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
 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)
 (Address of principal executive offices, including zip code)
 (Registrants telephone number, including area code)
 þ o
 o o
  Large accelerated filer o
    
    Accelerated filer o
    
    Non-accelerated filer  o
    
    Smaller reporting company þ(Do not check if a smaller reporting company)
 o þ




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsCondensed Schedules of Investments as of September 30, 2009 (Unaudited) and December 31, 2008
    
    
    3-6Statements of Financial Condition as of September 30, 2009 (Unaudited) and December 31, 2008
    
    
    7Statements of Operations for the Three Months and Nine Months Ended September 30, 2009 and 2008 (Unaudited)
    
    
    8Statements of Cash Flows for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value) for the Nine Months Ended September 30, 2009 and 2008 (Unaudited)
    
    
    10Financial
Highlights for the Three and  Nine Months Ended September 30, 2009 and 2008 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-17Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    18-26Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    26-31Item 4T. Controls and Procedures
    
    
    32PART II  OTHER INFORMATION
    
    
    33Item 6. Exhibits and Reports on Form 8-K
    
    
    33SIGNATURES
    
    
    34CERTIFICATIONS




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##### 



CONDENSED SCHEDULE OF INVESTMENTS
 FIXED INCOME SECURITIES
 Maturity
    
    
    Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Values ($)
    
    
    Asset ValueBank DepositsUnited StatesFinancials 
(cost $2,194,000)
    
    $
    2,194,780
    
    
    
    6.99
    %Commercial PaperGermanyMaterials 
(cost $587,623)
    
    $
    588,427
    
    
    
    1.87
    %United StatesConsumer Staples
    
    $
    1,517,099
    
    
    
    4.83
    %Financials
    
    $
    2,187,260
    
    
    
    6.96
    %Healthcare
    
    $
    1,098,942
    
    
    
    3.50
    %Industrials$
    1,703,000
    
    
    
    10/01/2009
    
    
    Avery Dennison Corporation
    
    $
    1,702,985
    
    
    
    5.42
    %Municipal
    
    $
    4,794,815
    
    
    
    15.27
    %UtilitiesConsolidated Edison Company, Inc.$
    2,098,000
    
    
    
    10/01/2009
    
    
    Discount Coupon 10-01-2009
    
    $
    2,097,982
    
    
    
    6.68
    %Total United States(cost $13,397,030)
    
    $
    13,399,083
    
    
    
    42.66
    %Total Commercial Paper(cost $13,984,653)
    
    $
    13,987,510
    
    
    
    44.53
    %Corporate BondsUnited StatesFinancials 
(cost $1,601,273)
    
    $
    1,601,679
    
    
    
    5.10
    %Government And Agency ObligationsUnited StatesMunicipal
    
    $
    961,123
    
    
    
    3.06
    %US Government Agency
    
    $
    3,249,747
    
    
    
    10.35
    %US Treasury Bill$
    6,000,000
    
    
    
    10/08/2009
    
    
    U.S. Treasury Bills *
    
    $
    5,999,893
    
    
    
    19.10
    %$
    1,500,000
    
    
    
    10/01/2009
    
    
    U.S. Treasury Bills *
    
    $
    1,500,000
    
    
    
    4.78
    %Total United States(cost $11,708,670)
    
    $
    11,710,763
    
    
    
    37.29
    %Short Term Investment FundsUnited StatesShort Term Investment Funds 
(cost $13,322)
    
    $
    13,322
    
    
    
    0.04
    %Total
Fixed Income Securities(cost $29,501,918)
    
    $
    29,508,054
    
    
    
    93.95
    %
 See Accompanying Notes to Financial Statements.
 3




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##### 



LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    (1,230
    )
    
    
    0.00
    %Metals
    
    $
    (17,061
    )
    
    
    (0.05
    )%Stock indices
    
    $
    7,086
    
    
    
    0.02
    %Short-term interest rates
    
    $
    11,180
    
    
    
    0.04
    %Long-term interest rates
    
    $
    115,480
    
    
    
    0.36
    %Total long futures contracts
    
    $
    115,455
    
    
    
    0.37
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    5,275
    
    
    
    0.02
    %Energy
    
    $
    (96,279
    )
    
    
    (0.31
    )%Metals
    
    $
    12,664
    
    
    
    0.04
    %Short-term interest rates
    
    $
    13,332
    
    
    
    0.04
    %Long-term interest rates
    
    $
    16,117
    
    
    
    0.05
    %Total short futures contracts
    
    $
    (48,891
    )
    
    
    (0.16
    )%Total futures contracts
    
    $
    66,564
    
    
    
    0.21
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,414,991
    
    
    
    4.50
    %Various short forward currency contracts
    
    $
    (287,073
    )
    
    
    (0.91
    )%Total forward currency contracts
    
    $
    1,127,918
    
    
    
    3.59
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $38,470)
    
    $
    27,449
    
    
    
    0.09
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $24,190)
    
    $
    (21,263
    )
    
    
    (0.07
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 4




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##### 



FIXED INCOME SECURITIES
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Values ($)
    
    
    Asset Value$
    1,100,000
    
    
    
    01/02/2009
    
    
    U.S. Treasury Bills
    
    $
    1,100,000
    
    
    
    3.07
    %Total United States government securities(cost,
including accrued interest,  $1,100,000)
    
    $
    1,100,000
    
    
    
    3.07
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueStock indices
    
    $
    11,598
    
    
    
    0.03
    %Short-term interest rates
    
    $
    46,855
    
    
    
    0.13
    %Long-term interest rates
    
    $
    62,096
    
    
    
    0.17
    %Total long futures contracts
    
    $
    120,549
    
    
    
    0.33
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueEnergy
    
    $
    (8,848
    )
    
    
    (0.03
    )%Metals
    
    $
    (22,893
    )
    
    
    (0.06
    )%Stock indices
    
    $
    (40,610
    )
    
    
    (0.11
    )%Short-term interest rates
    
    $
    125
    
    
    
    0.00
    %Long-term interest rates
    
    $
    (54,477
    )
    
    
    (0.15
    )%Total short futures contracts
    
    $
    (126,703
    )
    
    
    (0.35
    )%Total futures contracts
    
    $
    (6,154
    )
    
    
    (0.02
    )%
 See Accompanying Notes to Financial Statements.
 5




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##### 



FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    438,448
    
    
    
    1.22
    %Various short forward currency contracts
    
    $
    (278,710
    )
    
    
    (0.78
    )%Total forward currency contracts
    
    $
    159,738
    
    
    
    0.44
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $13,775)
    
    $
    7,494
    
    
    
    0.02
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $50,507)
    
    $
    (45,850
    )
    
    
    (0.13
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 6




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##### 



STATEMENTS OF FINANCIAL CONDITION
 September 30,
    
    
    December 31,2009
    
    
    2008ASSETSEquity in broker trading accountsCash
    
    $
    924,047
    
    
    $
    33,954,446Restricted cash
    
    
    0
    
    
    
    1,180,793Net unrealized gain (loss) on open futures contracts
    
    
    66,564
    
    
    
    (6,154
    )Total equity in
broker trading accounts
    
    
    990,611
    
    
    
    35,129,085Cash
    
    
    279,353
    
    
    
    269,764Fixed income securities (cost $29,501,918 and $1,100,000, respectively)
    
    
    29,508,054
    
    
    
    1,100,000Options purchased, at fair value
(premiums paid  $38,470 and $13,775, respectively)
    
    
    27,449
    
    
    
    7,494Net unrealized gain (loss) on open forward currency contracts
    
    
    1,127,918
    
    
    
    159,738Interest receivable
    
    
    4,096
    
    
    
    558Prepaid expenses
    
    
    3,565
    
    
    
    2,000Total assets
    
    $
    31,941,046
    
    
    $
    36,668,639LIABILITIESAccounts payable
    
    $
    60,508
    
    
    $
    66,072Brokerage fee
    
    
    20,651
    
    
    
    28,580Options written, at fair value
(premiums received  $24,190 and $50,507, respectively)
    
    
    21,263
    
    
    
    45,850Accrued commissions and other trading fees on open contracts
    
    
    4,428
    
    
    
    1,593Offering costs payable
    
    
    6,522
    
    
    
    9,025Redemptions payable
    
    
    417,458
    
    
    
    682,036Total liabilities
    
    
    530,830
    
    
    
    833,156UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 redeemable units outstanding at
September 30, 2009 and December 31, 2008
    
    
    2,198,300
    
    
    
    2,306,948Other Unitholders  18,784.252 and 20,544.542 redeemable units
outstanding at September 30, 2009 and December 31, 2008
    
    
    29,211,916
    
    
    
    33,528,535Total unitholders capital (Net Asset Value)
    
    
    31,410,216
    
    
    
    35,835,483Total liabilities and unitholders capital (Net Asset Value)
    
    $
    31,941,046
    
    
    $
    36,668,639
 See Accompanying Notes to Financial Statements.
 7




---



##### 



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    273,937
    
    
    $
    1,450,320
    
    
    $
    (1,530,131
    )
    
    $
    2,221,211Change in unrealized
    
    
    44,044
    
    
    
    (1,484,905
    )
    
    
    72,717
    
    
    
    (305,575
    )Brokerage commissions
    
    
    (10,748
    )
    
    
    (17,807
    )
    
    
    (36,627
    )
    
    
    (45,141
    )Net gain (loss) from futures trading
    
    
    307,233
    
    
    
    (52,392
    )
    
    
    (1,494,041
    )
    
    
    1,870,495Forward currency and options on forward currency trading gains
(losses)Realized
    
    
    (69,988
    )
    
    
    (137,628
    )
    
    
    (209,179
    )
    
    
    (173,110
    )Change in unrealized
    
    
    1,081,275
    
    
    
    (1,026,268
    )
    
    
    961,710
    
    
    
    (35,663
    )Brokerage commissions
    
    
    (1,508
    )
    
    
    (1,230
    )
    
    
    (3,817
    )
    
    
    (1,054
    )Net gain (loss) from forward currency and options on forward
currency trading
    
    
    1,009,779
    
    
    
    (1,165,126
    )
    
    
    748,714
    
    
    
    (209,827
    )Total net trading gain (loss)
    
    
    1,317,012
    
    
    
    (1,217,518
    )
    
    
    (745,327
    )
    
    
    1,660,668NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    9,044
    
    
    
    145,542
    
    
    
    16,195
    
    
    
    543,896Change in unrealized gain (loss) on fixed income securities
    
    
    6,136
    
    
    
    0
    
    
    
    6,136
    
    
    
    0Total investment income
    
    
    15,180
    
    
    
    145,542
    
    
    
    22,331
    
    
    
    543,896ExpensesBrokerage fee
    
    
    222,091
    
    
    
    267,559
    
    
    
    719,246
    
    
    
    794,185Operating expenses
    
    
    31,315
    
    
    
    27,343
    
    
    
    78,943
    
    
    
    72,578Total expenses
    
    
    253,406
    
    
    
    294,902
    
    
    
    798,189
    
    
    
    866,763Net investment income (loss)
    
    
    (238,226
    )
    
    
    (149,360
    )
    
    
    (775,858
    )
    
    
    (322,867
    )NET INCOME (LOSS)
    
    $
    1,078,786
    
    
    $
    (1,366,878
    )
    
    $
    (1,521,185
    )
    
    $
    1,337,801NET INCOME (LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT
(based on weighted average number of units outstanding during the
period)
    
    $
    52.82
    
    
    $
    (61.14
    )
    
    $
    (70.94
    )
    
    $
    59.46INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT
    
    $
    49.41
    
    
    $
    (64.92
    )
    
    $
    (76.86
    )
    
    $
    48.08
 See Accompanying Notes to Financial Statements.
 8




---



##### 



Nine Months EndedSeptember 30,2009
    
    
    2008Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (1,521,185
    )
    
    $
    1,337,801Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    (1,040,563
    )
    
    
    341,238(Increase) decrease in restricted cash
    
    
    1,180,793
    
    
    
    0(Increase) decrease in option premiums paid
    
    
    (24,695
    )
    
    
    66,522Increase (decrease) in option premiums received
    
    
    (26,317
    )
    
    
    (37,132
    )(Increase) decrease in interest receivable
    
    
    (3,538
    )
    
    
    (1,299
    )(Increase) decrease in prepaid expenses
    
    
    (1,565
    )
    
    
    (4,155
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    (10,658
    )
    
    
    4,335Net maturities (purchases) of investments in Fixed income securities
    
    
    (28,401,919
    )
    
    
    12,396,640Net cash from (for) operating activities
    
    
    (29,849,647
    )
    
    
    14,103,950Cash flows from (for) financing activitiesAddition of units
    
    
    1,460,338
    
    
    
    2,130,678Redemption of units
    
    
    (4,401,868
    )
    
    
    (3,297,276
    )Offering costs paid
    
    
    (229,633
    )
    
    
    (252,857
    )Net cash from (for) financing activities
    
    
    (3,171,163
    )
    
    
    (1,419,455
    )Net increase (decrease) in cash
    
    
    (33,020,810
    )
    
    
    12,684,495Unrestricted cashBeginning of period
    
    
    34,224,210
    
    
    
    4,191,592End of period
    
    $
    1,203,400
    
    
    $
    16,876,087End of period cash consists of:Cash in broker trading accounts
    
    $
    924,047
    
    
    $
    16,122,517Cash
    
    
    279,353
    
    
    
    753,570Total end of period cash
    
    $
    1,203,400
    
    
    $
    16,876,087
 See Accompanying Notes to Financial Statements.
 9




---



##### 



Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 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 nine months ended
September 30, 2009
    
    
    
    
    
    
    (93,690
    )
    
    
    
    
    
    
    (1,427,495
    )
    
    
    
    
    
    
    (1,521,185
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    916.784
    
    
    
    1,460,338
    
    
    
    916.784
    
    
    
    1,460,338Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (2,677.074
    )
    
    
    (4,137,290
    )
    
    
    (2,677.074
    )
    
    
    (4,137,290
    )Offering costs
    
    
    
    
    
    
    (14,958
    )
    
    
    
    
    
    
    (212,172
    )
    
    
    
    
    
    
    (227,130
    )Balances at September 30, 2009
    
    
    1,413.580
    
    
    $
    2,198,300
    
    
    
    18,784.252
    
    
    $
    29,211,916
    
    
    
    20,197.832
    
    
    $
    31,410,216Nine Months Ended September 30, 2008Balances at December 31, 2007
    
    
    1,413.580
    
    
    $
    2,266,803
    
    
    
    21,216.063
    
    
    $
    34,021,953
    
    
    
    22,629.643
    
    
    $
    36,288,756Net income (loss) for the nine months ended
September 30, 2008
    
    
    
    
    
    
    83,723
    
    
    
    
    
    
    
    1,254,078
    
    
    
    
    
    
    
    1,337,801Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,282.424
    
    
    
    2,096,740
    
    
    
    1,282.424
    
    
    
    2,096,740Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,399.158
    )
    
    
    (2,288,663
    )
    
    
    (1,399.158
    )
    
    
    (2,288,663
    )Offering costs
    
    
    
    
    
    
    (15,758
    )
    
    
    
    
    
    
    (235,036
    )
    
    
    
    
    
    
    (250,794
    )Balances at September 30, 2008
    
    
    1,413.580
    
    
    $
    2,334,768
    
    
    
    21,099.329
    
    
    $
    34,849,072
    
    
    
    22,512.909
    
    
    $
    37,183,840
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30, 2009
    
    
    December 31, 2008
    
    
    September 30, 2008
    
    
    December 31, 2007$
    1,555.13
    
    
    $
    1,631.99
    
    
    $
    1,651.67
    
    
    $
    1,603.59
 See Accompanying Notes to Financial Statements.
 10




---



##### 



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Per Unit Performance

(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,505.72
    
    
    $
    1,716.59
    
    
    $
    1,631.99
    
    
    $
    1,603.59Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    64.50
    
    
    
    (54.46
    )
    
    
    (30.09
    )
    
    
    73.58Net investment income (loss) (1)
    
    
    (11.66
    )
    
    
    (6.68
    )
    
    
    (36.18
    )
    
    
    (14.35
    )Total net income (loss) from operations
    
    
    52.84
    
    
    
    (61.14
    )
    
    
    (66.27
    )
    
    
    59.23Offering costs (1)
    
    
    (3.43
    )
    
    
    (3.78
    )
    
    
    (10.59
    )
    
    
    (11.15
    )Net asset value per unit at end of period
    
    $
    1,555.13
    
    
    $
    1,651.67
    
    
    $
    1,555.13
    
    
    $
    1,651.67Total Return(3)
    
    
    3.28
    %
    
    
    (3.78
    )%
    
    
    (4.71
    )%
    
    
    3.00
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.27
    %
    
    
    3.13
    %
    
    
    3.17
    %
    
    
    3.13
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    3.27
    %
    
    
    3.13
    %
    
    
    3.17
    %
    
    
    3.13
    %Net investment income (loss) (2),(4)
    
    
    (3.07
    )%
    
    
    (1.59
    )%
    
    
    (3.08
    )%
    
    
    (1.17
    )%
 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) net of expenses per unit and offering costs per unit are
calculated by dividing the net investment income (loss) net of expenses 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




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##### 



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
September 30, 2009 and December 31, 2008, the 401(K) Plan held approximately 74% and 68%
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, (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.
 12




---



##### 



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, 2009Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    29,508,054
    
    
    $
    0
    
    
    $
    29,508,054Other Financial InstrumentsExchange-traded futures contracts
    
    
    66,564
    
    
    
    0
    
    
    
    0
    
    
    
    66,564Forward currency contracts
    
    
    0
    
    
    
    1,127,918
    
    
    
    0
    
    
    
    1,127,918Options purchased
    
    
    0
    
    
    
    27,449
    
    
    
    0
    
    
    
    27,449Options written
    
    
    0
    
    
    
    (21,263
    )
    
    
    0
    
    
    
    (21,263
    )Total
    
    $
    66,564
    
    
    $
    30,642,158
    
    
    $
    0
    
    
    $
    30,708,722
 Fair Value at December 31, 2008Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    1,100,000
    
    
    $
    0
    
    
    $
    1,100,000Other Financial InstrumentsExchange-traded futures contracts
    
    
    (6,154
    )
    
    
    0
    
    
    
    0
    
    
    
    (6,154
    )Forward currency contracts
    
    
    0
    
    
    
    159,738
    
    
    
    0
    
    
    
    159,738Options purchased
    
    
    0
    
    
    
    7,494
    
    
    
    0
    
    
    
    7,494Options written
    
    
    0
    
    
    
    (45,850
    )
    
    
    0
    
    
    
    (45,850
    )Total
    
    $
    (6,154
    )
    
    $
    1,221,382
    
    
    $
    0
    
    
    $
    1,215,228
 D.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns and reports
to the unitholders their allocable shares of the Trusts income, expenses and trading gains or
losses. No provision for income taxes has been made in the accompanying financial statements
as each unitholder is individually responsible for reporting income or loss based on such
unitholders respective share of the Trusts income and expenses as reported for income tax
purposes.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.E.
    
    Offering Costs
 13




---



##### 



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 September 30, 2009 and December 31, 2008, the Trust reflects a liability in the
statement of financial condition for offering costs payable to Campbell & Company of $6,522
and $9,025, 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.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 the Trust 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 $43,729 and $114,051,
respectively.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of
the statement of financial condition. Income and expense items denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars are reported in
income.
 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 $5 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 Fund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.
 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 earns
interest income on its assets deposited with the broker.
 14




---



##### 



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. The market sensitive instruments held by the Trust 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.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 $7,499,893 and
$1,100,000, respectively, which equals 24% and 3% of Net Asset Value, respectively. The cash
deposited with interbank market makers at September 30, 2009 and December 31, 2008 was
$248,183 and $257,949, respectively, which equals 1% and 1% of Net Asset Value, respectively.
These amounts are included in cash and cash equivalents. Included in cash deposits with the
broker and interbank market maker at September 30, 2009 and December 31, 2008 was restricted
cash for margin requirements of $0 and $1,180,793 respectively, which equals 0% and 3% of Net
Asset Value respectively.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. 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. 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)September 30, 2009
    
    
    December 31, 2008
    
    
    September 30, 2009
    
    
    December 31, 2008Gross unrealized gains
    
    $
    317,412
    
    
    $
    192,722
    
    
    $
    2,065,544
    
    
    $
    977,900Gross unrealized losses
    
    
    (250,848
    )
    
    
    (198,876
    )
    
    
    (945,720
    )
    
    
    (819,786
    )Net unrealized gain (loss)
    
    $
    66,564
    
    
    $
    (6,154
    )
    
    $
    1,119,824
    
    
    $
    158,114
 15




---



##### 



Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    September 30, 2009
    
    
    September 30, 2009Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    17,625
    
    
    $
    (13,580
    )
    
    $
    4,045Energy Contracts
    
    Equity in broker trading accounts
    
    
    988
    
    
    
    (97,267
    )
    
    
    (96,279
    )Metal Contracts
    
    Equity in broker trading accounts
    
    
    55,052
    
    
    
    (59,449
    )
    
    
    (4,397
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    69,506
    
    
    
    (62,420
    )
    
    
    7,086Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    38,280
    
    
    
    (13,768
    )
    
    
    24,512Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    135,960
    
    
    
    (4,363
    )
    
    
    131,597Forward Currency Contracts
    
    Net unrealized gain (loss) on
    forward currency contracts
    
    
    2,052,129
    
    
    
    (924,211
    )
    
    
    1,127,918Purchased Options on Forward
Currency Contracts
    
    Options purchased, at fair value
    
    
    27,449
    
    
    
    0
    
    
    
    27,449Written Options on Forward
Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (21,263
    )
    
    
    (21,263
    )Total
    
    
    
    $
    2,396,989
    
    
    $
    (1,196,321
    )
    
    $
    1,200,668
 
 *
    
    Derivatives not designated as hedging instruments under Statement 133  Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Nine Months EndedType of Instrument
    
    September 30, 2009
    
    
    September 30, 2009Agricultural Contracts
    
    $
    (54,066
    )
    
    $
    (54,066
    )Energy Contracts
    
    
    (348,610
    )
    
    
    (318,926
    )Metal Contracts
    
    
    323,513
    
    
    
    13,348Stock Indices Contracts
    
    
    573,997
    
    
    
    (477,865
    )Short-Term Interest Rate Contracts
    
    
    68,625
    
    
    
    (144,120
    )Long Term Interest Rate Contracts
    
    
    (246,329
    )
    
    
    (488,244
    )Forward Currency Contracts
    
    
    988,246
    
    
    
    277,613Purchased Options on Forward Currency Contracts
    
    
    (193,462
    )
    
    
    (371,356
    )Written Options on Forward Currency Contracts
    
    
    216,503
    
    
    
    846,274Total
    
    $
    1,328,417
    
    
    $
    (717,342
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Nine Months EndedLine Item in the Statement of Operations
    
    September 30, 2009
    
    
    September 30, 2009Futures trading gains (losses):Realized
    
    $
    273,086
    
    
    $
    (1,542,590
    )Change in unrealized
    
    
    44,044
    
    
    
    72,717Forward currency and options on forward currency trading gains (losses):Realized
    
    
    (69,988
    )
    
    
    (209,179
    )Change in unrealized
    
    
    1,081,275
    
    
    
    961,710Total
    
    $
    1,328,417
    
    
    $
    (717,342
    )
 16




---



##### 



For the three months and nine months ended September 30, 2009, the monthly average of futures
contracts bought and sold was approximately 1,000 and 800 respectively, and the monthly
average of notional value of forward currency and options on forward currency contracts was
$186,300,000 and $158,300,000 respectively.Open contracts generally mature within three 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.
 17




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Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
   401(K)
       18




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19




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Results of Operations
  2009
  Sector
    
    % Gain (Loss)Currencies
    
    
    2.57
    %Commodities
    
    
    (1.01
    )Stock Indices
    
    
    (1.09
    )Interest Rates
    
    
    (2.07
    )(1.60
    )%
   20




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21




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2008
  22




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Sector
    
    % Gain (Loss)Stock Indices
    
    
    7.93
    %Commodities
    
    
    0.77Currencies
    
    
    (0.55
    )Interest Rates
    
    
    (3.47
    )4.68
    %
    23




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24




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Off-Balance Sheet Risk
    25




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Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted
for at Fair Value
  
 Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  26




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Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures contain
forward-looking statements within the meaning of the safe harbor from civil liability provided
for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section
27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All
quantitative disclosures in this section are deemed to be forward-looking statements for purposes
of the safe harbor, except for statements of historical fact (such as the dollar amount of
maintenance margin required for market risk sensitive instruments held at the end of the reporting
period).
       The Trusts Trading Value at Risk in Different Market Sectors
  27




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September 30, 2009
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.80
    %
    
    
    2.57
    %Stock Indices
    
    
    0.40
    %
    
    
    (1.09
    )%Interest Rates
    
    
    0.35
    %
    
    
    (2.07
    )%Commodities
    
    
    0.33
    %
    
    
    (1.01
    )%Aggregate/Total
    
    
    1.34
    %
    
    
    (1.60
    )%
 
 *
    
    -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 2009 year-to-date decrease of 4.71%, approximately 1.60% was due to trading losses
(before commissions) approximately 3.17% was due to brokerage fees, operating costs and offering
costs borne by the Trust offset by approximately 0.06% due to interest income. December 31, 2008
 TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    0.50
    %
    
    
    (0.51
    )%Interest Rates
    
    
    0.30
    %
    
    
    (4.51
    )%Stock Indices
    
    
    0.18
    %
    
    
    9.10
    %Commodities
    
    
    0.05
    %
    
    
    0.35
    %Aggregate/Total
    
    
    0.60
    %
    
    
    4.43
    %
 
 *
    
    - 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, 2008, approximately 4.43% was due to trading
gains (before commissions) and approximately 1.51% due to interest income offset by approximately
4.17% due to brokerage fees, operating costs and offering costs borne by the Trust offset by giving
a net return of 1.77%. 28




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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.
  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.
  29




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##### 



Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  30




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Foreign Currency Balances
  Fixed Income Securities
  Treasury Bill Positions Held for Margin Purposes
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  31




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Item 4T. Controls and Procedures
  32




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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.
 (a)
    
    Exhibits
 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.
 (b)
    
    Reports of Form 8-KNone
 33




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: November 16, 2009
    
    
    
    By:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Executive Officer
 34




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##### 



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