##### 



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, 2006
 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 þ
  þ o
 30




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of September 30, 2006 (Unaudited)
and December 31, 2005
    
    
    3Condensed Schedules of Investments as of September 30, 2006 (Unaudited)
and December 31, 2005
    
    
    4-5Statements of Operations for the Three Months and Nine Months Ended
September 30, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Nine Months Ended
September 30, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Nine Months Ended September 30, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-15Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    16-22Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    23-28Item 4.
    
    Controls and Procedures
    
    
    28PART II  OTHER INFORMATION
    
    
    29Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    29SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 September 30,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    2,938,507
    
    
    $
    2,614,570United States government securities
    
    
    30,057,447
    
    
    
    27,349,932Unrealized (loss) on open futures contracts
    
    
    (472,423
    )
    
    
    (160,660
    )Total equity in broker trading accounts
    
    
    32,523,531
    
    
    
    29,803,842Cash
    
    
    3,101,814
    
    
    
    7,388,416Restricted cash
    
    
    3,923,408
    
    
    
    1,873,271United States government securities
    
    
    0
    
    
    
    2,480,344Unrealized gain (loss) on open forward currency contracts
    
    
    127,377
    
    
    
    (1,324,864
    )Total assets
    
    $
    39,676,130
    
    
    $
    40,221,009LIABILITIESAccounts payable
    
    $
    55,066
    
    
    $
    58,305Brokerage fee
    
    
    47,499
    
    
    
    51,325Options written, at fair value (premiums received $5,568)
    
    
    4,630
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    9,846
    
    
    
    13,418Performance fee
    
    
    0
    
    
    
    69,538Offering costs payable
    
    
    14,999
    
    
    
    16,208Redemptions payable
    
    
    7,321
    
    
    
    155,748Total liabilities
    
    
    139,361
    
    
    
    364,542UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units outstanding
at September 30, 2006 and December 31, 2005
    
    
    2,307,443
    
    
    
    2,391,693Other Unitholders  22,807.374 and 22,143.118
units outstanding at September 30, 2006 and
December 31, 2005
    
    
    37,229,326
    
    
    
    37,464,774Total unitholders capital (Net Asset Value)
    
    
    39,536,769
    
    
    
    39,856,467Total liabilities and unitholders capital (Net Asset Value)
    
    $
    39,676,130
    
    
    $
    40,221,009
  - 3 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    
    Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    13,000,000
    
    
    
    11/02/2006
    
    
    U.S. Treasury Bills
    
    $
    12,942,684
    
    
    
    32.73
    %10,000,000
    
    
    
    11/30/2006
    
    
    U.S. Treasury Bills
    
    
    9,918,667
    
    
    
    25.09
    %7,200,000
    
    
    
    10/05/2006
    
    
    U.S. Treasury Bills
    
    
    7,196,096
    
    
    
    18.20
    %Total United States government securities
                     (Cost, including accrued interest,  $30,057,447)
    
    $
    30,057,447
    
    
    
    76.02
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (784,636
    )
    
    
    (1.99
    )%Metals
    
    
    (38,778
    )
    
    
    (0.10
    )%Stock index
    
    
    338,429
    
    
    
    0.86
    %Short-term interest rates
    
    
    (1,000
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    106,792
    
    
    
    0.27
    %Total long futures contracts
    
    $
    (379,193
    )
    
    
    (0.96
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    4,300
    
    
    
    0.01
    %Metals
    
    
    (480
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    (92,236
    )
    
    
    (0.23
    )%Long-term interest rates
    
    
    (4,814
    )
    
    
    (0.01
    )%Total short futures contracts
    
    $
    (93,230
    )
    
    
    (0.23)
    )%Total futures contracts
    
    $
    (472,423
    )
    
    
    (1.19)
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (980,834
    )
    
    
    (2.48
    )%Various short forward currency contracts
    
    
    1,108,211
    
    
    
    2.80
    %Total forward currency contracts
    
    $
    127,377
    
    
    
    0.32
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $5,568)
    
    $
    (4,630
    )
    
    
    (0.01
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  - 4 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    
    Maturity Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    12,000,000
    
    
    
    02/02/2006
    
    
    U.S. Treasury Bills
    
    $
    11,959,253
    
    
    
    30.01
    %8,850,000
    
    
    
    03/02/2006
    
    
    U.S. Treasury Bills
    
    
    8,793,213
    
    
    
    22.06
    %6,600,000
    
    
    
    01/05/2006
    
    
    U.S. Treasury Bills
    
    
    6,597,466
    
    
    
    16.55
    %2,500,000
    
    
    
    03/16/2006
    
    
    U.S. Treasury Bills
    
    
    2,480,344
    
    
    
    6.22
    %Total United States government securities
                      (cost, including accrued interest,  $29,830,276)
    
    $
    29,830,276
    
    
    
    74.84
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (341,534
    )
    
    
    (0.85
    )%Metals
    
    
    16,060
    
    
    
    0.04
    %Stock index
    
    
    (24,368
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    9,552
    
    
    
    0.02
    %Total long futures contracts
    
    $
    ( 340,290
    )
    
    
    (0.85
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueStock Index
    
    $
    (11,765
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    222,468
    
    
    
    0.56
    %Long-term interest rates
    
    
    (31,073
    )
    
    
    (0.08
    )%Total short futures contracts
    
    $
    179,630
    
    
    
    0.45
    %Total futures contracts
    
    $
    (160,660
    )
    
    
    (0.40
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (1,016,334
    )
    
    
    (2.55
    )%Various short forward currency contracts
    
    
    (308,530
    )
    
    
    (0.77
    )%Total forward currency contracts
    
    $
    (1,324,864
    )
    
    
    (3.32
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  - 5 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (979,207
    )
    
    $
    1,041,712
    
    
    $
    1,175,937
    
    
    $
    2,799,662Change in unrealized
    
    
    (905,732
    )
    
    
    (324,875
    )
    
    
    (311,763
    )
    
    
    319,459Brokerage commissions
    
    
    (13,333
    )
    
    
    (28,741
    )
    
    
    (54,007
    )
    
    
    (77,296
    )Gain (loss) from futures trading
    
    
    (1,898,272
    )
    
    
    688,096
    
    
    
    810,167
    
    
    
    3,041,825Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    182,206
    
    
    
    (328,699
    )
    
    
    (3,540,951
    )
    
    
    (799,554
    )Change in unrealized
    
    
    492,986
    
    
    
    (467,175
    )
    
    
    1,453,179
    
    
    
    1,363,478Brokerage commissions
    
    
    (6,297
    )
    
    
    (3,230
    )
    
    
    (15,039
    )
    
    
    (8,376
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    668,895
    
    
    
    (799,104
    )
    
    
    (2,102,811
    )
    
    
    555,548Total net trading gains (losses)
    
    
    (1,229,377
    )
    
    
    (111,008
    )
    
    
    (1,292,644
    )
    
    
    3,597,373EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    505,280
    
    
    
    300,025
    
    
    
    1,426,339
    
    
    
    741,243ExpensesBrokerage fee
    
    
    287,880
    
    
    
    272,017
    
    
    
    878,111
    
    
    
    777,762Performance fee
    
    
    0
    
    
    
    361
    
    
    
    370,369
    
    
    
    129,415Operating expenses
    
    
    22,104
    
    
    
    17,353
    
    
    
    80,747
    
    
    
    48,436Total expenses
    
    
    309,984
    
    
    
    289,731
    
    
    
    1,329,227
    
    
    
    955,613Expenses net of interest income
    
    
    195,296
    
    
    
    10,294
    
    
    
    97,112
    
    
    
    (214,370
    )NET INCOME (LOSS)
    
    $
    (1,034,081
    )
    
    $
    (100,714
    )
    
    $
    (1,195,532
    )
    
    $
    3,383,003NET INCOME (LOSS) PER MANAGING
OWNER AND OTHER UNITHOLDER
UNIT(based on weighted average number of units outstanding during the period)
    
    $
    (42.70
    )
    
    $
    (4.30
    )
    
    $
    (49.65
    )
    
    $
    144.17INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT
    
    $
    (46.52
    )
    
    $
    (7.50
    )
    
    $
    (59.60
    )
    
    $
    133.57
  - 6 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 Nine Months EndedSeptember 30,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (1,195,532
    )
    
    $
    3,383,003Adjustments to reconcile net income (loss) to net cash
from (for) operating activitiesNet change in unrealized
    
    
    (1,141,416
    )
    
    
    (1,682,937
    )Options premium received
    
    
    5,568
    
    
    
    0Increase in restricted cash
    
    
    (2,050,137
    )
    
    
    0Decrease in accounts payable and accrued expenses
    
    
    (80,175
    )
    
    
    (9,202
    )Net (purchases) of investments in United States
government securities
    
    
    (227,171
    )
    
    
    (9,024,416
    )Net cash (for) operating activities
    
    
    (4,688,863
    )
    
    
    (7,333,552
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,868,414
    
    
    
    1,456,835Redemption of units
    
    
    (863,708
    )
    
    
    (1,548,324
    )Offering costs paid
    
    
    (278,508
    )
    
    
    (245,469
    )Net cash from (for) financing activities
    
    
    726,198
    
    
    
    (336,958
    )Net (decrease) in unrestricted cash
    
    
    (3,962,665
    )
    
    
    (7,670,510
    )Unrestricted CashBeginning of period
    
    
    10,002,986
    
    
    
    12,046,260End of period
    
    $
    6,040,321
    
    
    $
    4,375,750End of period unrestricted cash consists of:Cash in broker trading accounts
    
    $
    2,938,507
    
    
    $
    1,446,576Cash
    
    
    3,101,814
    
    
    
    2,929,174Total end of period unrestricted cash
    
    $
    6,040,321
    
    
    $
    4,375,750
  - 7 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September
30, 2006Balances at
December 31, 2005
    
    
    1,413.580
    
    
    $
    2,391,693
    
    
    
    22,143.118
    
    
    $
    37,464,774
    
    
    
    23,556.698
    
    
    $
    39,856,467Net (loss) for the nine months
ended September 30, 2006
    
    
    
    
    
    
    (67,969
    )
    
    
    
    
    
    
    (1,127,563
    )
    
    
    
    
    
    
    (1,195,532
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,087.352
    
    
    
    1,868,414
    
    
    
    1,087.352
    
    
    
    1,868,414Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (423.096
    )
    
    
    (715,281
    )
    
    
    (423.096
    )
    
    
    (715,281
    )Offering costs
    
    
    
    
    
    
    (16,281
    )
    
    
    
    
    
    
    (261,018
    )
    
    
    
    
    
    
    (277,299
    )Balances at
September 30, 2006
    
    
    1,413.580
    
    
    $
    2,307,443
    
    
    
    22,807.374
    
    
    $
    37,229,326
    
    
    
    24,220.954
    
    
    $
    39,536,769Nine Months Ended September 30, 2005Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385Net income for the nine months
ended September 30, 2005
    
    
    
    
    
    
    203,608
    
    
    
    
    
    
    
    3,179,395
    
    
    
    
    
    
    
    3,383,003Additions
    
    
    0.000
    
    
    
    0
    
    
    
    954.093
    
    
    
    1,456,835
    
    
    
    954.093
    
    
    
    1,456,835Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (913.840
    )
    
    
    (1,418,609
    )
    
    
    (913.840
    )
    
    
    (1,418,609
    )Offering costs
    
    
    
    
    
    
    (14,796
    )
    
    
    
    
    
    
    (230,814
    )
    
    
    
    
    
    
    (245,610
    )Balances at
September 30, 2005
    
    
    1,413.580
    
    
    $
    2,311,147
    
    
    
    21,908.714
    
    
    $
    35,819,857
    
    
    
    23,322.294
    
    
    $
    38,131,004
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2005
    
    
    2004$
    1,632.34
    
    
    $
    1,691.94
    
    
    $
    1,634.96
    
    
    $
    1,501.39
  - 8 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
 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, 2006, the 401(K) Plan held approximately 50% of the Trusts
outstanding units.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 Interpretation No. 39  Offsetting of Amounts
Related to Certain Contracts. The market value of futures (exchange-traded)
contracts is determined by the various futures exchanges, and reflects the settlement
price for each contract as of the close of the last business day of the reporting
period. Beginning July 1, 2006, the market value of forward currency (non-exchange
traded) contracts is extrapolated on a forward basis from the spot prices quoted as
of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the
market value of its exchange-traded equivalent. Prior to July 1, 2006, the market
value of forward currency (non-exchange traded) contracts was extrapolated on a
forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business
day of the reporting period or based on the market value of its exchange-traded
equivalent.
 - 9 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (continued)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. Brokerage commissions include
other trading fees and are charged to expense when contracts are opened. United
States government securities are stated at cost plus accrued interest, which
approximates market value.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
units outstanding.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.E.
    
    Offering CostsCampbell & 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, 2006
and December 31, 2005, the Trust reflects a liability in the statement of financial
condition for offering costs payable to Campbell & Company of $14,999 and $16,208,
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, 2006 and December 31,
2005, the amount of unreimbursed offering costs incurred by Campbell & Company is
$448,252 and $592,663, respectively.
 - 10 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 F.  Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts
business in currencies other than the U.S. dollar. Assets and liabilities
denominated in currencies other than the U.S. dollar are translated into U.S. dollars
at the rates in effect at the date of the statement of financial condition. Income
and expense items denominated in currencies other than the U.S. dollar are translated
into U.S. dollars at the rates in effect during the period. Gains and losses
resulting from the translation to U.S. dollars are reported in
income.G.  ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 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 $6 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.
 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 Wachovia Trust Company, National
Association, a national banking association. The trustee has
delegated to the managing owner 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.
 - 11 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 4.
    
    DEPOSITS WITH BROKER
 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.
 Note 5.
    
    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 6.
    
    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 Amended and Restated
Declaration of Trust and Trust Agreement.
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS
 The Trust engages in the speculative trading of U.S. and
foreign futures contracts, forward currency contracts and
options on forward currency contracts (collectively,
derivatives). The Trust is exposed to both market risk,
the risk arising from changes in the market value of the
contracts, and credit risk, the risk of failure by another
party to perform according to the terms of a contract.
 Purchase and sale of futures contracts requires margin
deposits with the broker. Additional deposits may be
necessary for any loss on contract value. The Commodity
Exchange Act requires a broker to segregate all customer
transactions and assets from such brokers proprietary
activities. A customers cash and other property (for
example, U.S. Treasury bills) deposited with a broker are
considered commingled with all other customer funds subject
to the brokers segregation requirements. In the event of a
brokers insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.
 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, 2006 and
December 31, 2005 was $30,057,447 and $29,830,276,
respectively, which equals 76% and 75% of Net Asset Value,
respectively. The cash deposited with interbank market
makers at September 30, 2006 and December 31, 2005 was
$6,963,162 and $8,987,245, respectively, which equals 18% and
23% of Net Asset Value, respectively. Included in cash
deposits with interbank market makers at September 30, 2006
and December 31, 2005 was restricted cash for margin
requirements of $3,923,408 and $1,873,271 which equals
approximately 10% and 5% of Net Asset Value at December 31,
2005.
 - 12 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
     Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)September 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    518,348
    
    
    $
    537,098
    
    
    $
    1,198,801
    
    
    $
    1,046,611Gross unrealized losses
    
    
    (990,771
    )
    
    
    (697,758
    )
    
    
    (1,070,486
    )
    
    
    (2,371,475
    )Net unrealized gain (loss)
    
    $
    (472,423
    )
    
    $
    (160,660
    )
    
    $
    128,315
    
    
    $
    (1,324,864
    )
   - 13 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 INDEMNIFICATIONS
  INTERIM FINANCIAL STATEMENTS
  - 14 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
  Three months ended
    
    
    Nine months endedSeptember 30,
    
    
    September 30,2006
    
    
    2005
    
    
    2006
    
    
    2005(Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)

        
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,678.86
    
    
    $
    1,642.46
    
    
    $
    1,691.94
    
    
    $
    1,501.39Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (50.83
    )
    
    
    (4.27
    )
    
    
    (52.11
    )
    
    
    153.18Expenses net of interest income (1)
    
    
    8.06
    
    
    
    0 44
    
    
    
    4.03
    
    
    
    (9.14
    )Total income (loss) from operations
    
    
    (42.77
    )
    
    
    (3.83
    )
    
    
    (48.08
    )
    
    
    144.04Offering costs (1)
    
    
    (3.75
    )
    
    
    (3.67
    )
    
    
    (11.52
    )
    
    
    (10.47
    )Net asset value per unit at end of period
    
    $
    1,632.34
    
    
    $
    1,634.96
    
    
    $
    1,632.34
    
    
    $
    1,634.96Total Return(3)
    
    
    (2.77
    )%
    
    
    (0.46
    )%
    
    
    (3.52
    )%
    
    
    8.90
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.07
    %
    
    
    3.04
    %
    
    
    3.13
    %
    
    
    3.05
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.91
    %
    
    
    0.36
    %Total expenses
    
    
    3.07
    %
    
    
    3.04
    %
    
    
    4.04
    %
    
    
    3.41
    %Expenses net of interest income (2), (4), (5)
    
    
    (1.94
    )%
    
    
    (0.11
    )%
    
    
    (1.52
    )%
    
    
    0.31
    %
 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)
    
    Expenses net of interest income per unit and offering costs per unit
are calculated by dividing the expenses net of interest income and offering costs by
the average number of units outstanding during the period. Total trading gains
(losses) is a balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized.(4)
    
    Annualized.(5)
    
    Expenses net of interest income is shown as a positive percentage when
expenses exceed interest income for the period. - 15 -




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##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
           - 16 -




---



##### 



i.e.
   Results of Operations
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.33
    %Metals
    
    
    2.20Interest Rates
    
    
    1.93Energy
    
    
    (4.46
    )Currencies
    
    
    (4.91
    )(2.91
    )%
 - 17 -




---



##### 



- 18 -




---



##### 



- 19 -




---



##### 



2005
  Sector
    
    % Gain (Loss)Energy
    
    
    4.22
    %Interest Rates
    
    
    3.16Currencies
    
    
    1.73Metals
    
    
    0.54Stock Indices
    
    
    0.5310.18
    %
      - 20 -




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##### 



Off-Balance Sheet Risk
  - 21 -




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 22 -




---



##### 



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.
   - 23 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  September 30, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Energy
    
    
    0.58
    %
    
    
    (4.46
    )%Currencies
    
    
    0.55
    %
    
    
    (4.91
    )%Stock Indices
    
    
    0.29
    %
    
    
    2.33
    %Short Interest Rates
    
    
    0.26
    %
    
    
    2.50
    %Metals
    
    
    0.14
    %
    
    
    2.20
    %Long Interest Rates
    
    
    0.11
    %
    
    
    (0.57
    )%Aggregate/Total
    
    
    1.02
    %
    
    
    (2.91
    )%
 
 *
    
    -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 nine months ended September 30, 2006, approximately 2.91% was due
to trading losses (before commissions) and approximately 4.10% due to brokerage fees,
management fees, performance fees and operating and offering costs borne by the Trust offset
by approximately 3.49% due to interest income giving a net return of (3.52)%. - 24 -




---



##### 



December 31, 2005TradingMarket Sector
    Value at Risk*
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.12
    %Long-Term Interest Rates
    
    
    0.79
    %
    
    
    1.89
    %Energy
    
    
    0.64
    %
    
    
    3.31
    %Short-Term Interest Rates
    
    
    0.62
    %
    
    
    4.76
    %Stock Indices
    
    
    0.38
    %
    
    
    (2.73
    )%Metals
    
    
    0.06
    %
    
    
    1.12
    %Aggregate/Total
    
    
    2.47
    %
    
    
    14.47
    %
 
 *
    
    -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, 2005, approximately 14.47% was due to
trading gains (before commissions), approximately 2.94% was due interest income offset by
approximately 4.72% due to brokerage fees, performance fees and operating and offering costs
borne by the Trust giving a net return of 12.69%. 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.
 - 25 -




---



##### 



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.,
 - 26 -




---



##### 



Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  - 27 -




---



##### 



Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  Item 4. Controls and Procedures
  - 28 -




---



##### 



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 Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 29 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: November 8, 2006
    
    By:
    
    /s/Theresa D. Becks

Theresa D. BecksChief Financial Officer/Treasurer/Director
 - 30 -




---



##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E331.02
    
    Certification by Chief Financial Officer
    
    E 4  E532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1