UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended June 30, 2008
 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)
 Baltimore, Maryland 21204
 (410) 296-3301
 þ o
  Large accelerated filer
o
    
    Accelerated filer o
    
    Non-accelerated filer   þ
(Do not check if a smaller reporting company)
    
    Smaller reporting company
o
 o þ




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsCondensed Schedules of Investments as of June 30, 2008 (Unaudited)
and December 31, 2007
    
    3-6Statements of Financial Condition as of June 30, 2008 (Unaudited)
and December 31, 2007
    
    7Statements of Operations for the Three Months and Six Months Ended
June 30, 2008 and 2007 (Unaudited)
    
    8Statements of Cash Flows for Six Months Ended
June 30, 2008 and 2007 (Unaudited)
    
    9Statements of Changes in Unitholders Capital (Net Asset Value)
for the Six Months Ended June 30, 2008 and 2007 (Unaudited)
    
    10Financial Highlights for the Six Months Ended June 30, 2008 and
2007 (Unaudited)
    
    11Notes to Financial Statements (Unaudited)
    
    12-17Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    18-23Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    23-29Item 4T. Controls and Procedures
    
    29PART II  OTHER INFORMATION
    
    30Item 6. Exhibits and Reports on Form 8-K
    
    30SIGNATURESCERTIFICATIONS




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##### 



UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    Date
    
    Description
    
    Value
($)
    
    
    Asset Value$
    18,500,000
    
    
    
    07/03/2008
    
    
    U.S. Treasury Bills
    
    $
    18,498,181
    
    
    
    48.22
    %$
    10,000,000
    
    
    
    07/24/2008
    
    
    U.S. Treasury Bills
    
    $
    9,991,375
    
    
    
    26.04
    %$
    4,000,000
    
    
    
    07/17/2008
    
    
    U.S. Treasury Bills
    
    $
    3,997,244
    
    
    
    10.42
    %Total United States government securities(cost,
including accrued interest, - $32,486,800)
    
    $
    32,486,800
    
    
    
    84.68
    %
 LONG FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    108,200
    
    
    
    0.28
    %Metals
    
    
    
    
    
    
    
    
    
    $
    3,590
    
    
    
    0.01
    %Stock indices
    
    
    
    
    
    
    
    
    
    $
    (46,518
    )
    
    
    (0.12
    )%Short-term interest rates
    
    
    
    
    
    
    
    
    
    $
    917
    
    
    
    0.00
    %Long-term interest rates
    
    
    
    
    
    
    
    
    
    $
    119,994
    
    
    
    0.31
    %Total long futures contracts
    
    
    
    
    
    
    
    
    
    $
    186,183
    
    
    
    0.48
    %SHORT FUTURES CONTRACTSDescriptionMetals
    
    
    
    
    
    
    
    
    
    $
    (30,225
    )
    
    
    (0.08
    )%Stock indices
    
    
    
    
    
    
    
    
    
    $
    1,075,333
    
    
    
    2.80
    %Short-term interest rates
    
    
    
    
    
    
    
    
    
    $
    175,163
    
    
    
    0.46
    %Long-term interest rates
    
    
    
    
    
    
    
    
    
    $
    (29,613
    )
    
    
    (0.08
    )%Total short futures contracts
    
    
    
    
    
    
    
    
    
    $
    1,190,658
    
    
    
    3.10
    %Total futures contracts
    
    
    
    
    
    
    
    
    
    $
    1,376,841
    
    
    
    3.58
    %
 See Accompanying Notes to Financial Statements.
 - 3 -




---



##### 



% of NetValues ($)
    
    
    Asset ValueFORWARD CURRENCY CONTRACTSDescriptionVarious long forward
currency contracts
    
    $
    452,670
    
    
    
    1.18
    %Various short forward
currency contracts
    
    $
    (274,817
    )
    
    
    (0.72
    )%Total forward currency contracts
    
    $
    177,853
    
    
    
    0.46
    %PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on
forward currency
contracts
(premiums paid - $12,224)
    
    $
    13,442
    
    
    
    0.04
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward
currency contracts
(premiums received - $7,217)
    
    $
    (7,464
    )
    
    
    (0.02
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 4 -




---



##### 



UNITED STATES GOVERNMENT SECURITIES*Maturity
    
    Maturity
    
    
    
    
    
    

% of NetFace Value
    
    Date
    
    Description
    
    Value
($)
    
    Asset Value$
    12,000,000
    
    
    
    02/07/2008
    
    
    U.S. Treasury Bills
    
    $
    11,953,750
    
    
    32.94
    %$
    10,000,000
    
    
    
    02/28/2008
    
    
    U.S. Treasury Bills
    
    $
    9,953,278
    
    
    27.43
    %$
    8,000,000
    
    
    
    01/03/2008
    
    
    U.S. Treasury Bills
    
    $
    7,998,289
    
    
    22.04
    %$
    4,000,000
    
    
    
    01/24/2008
    
    
    U.S. Treasury Bills
    
    $
    3,990,442
    
    
    11.00
    %Total United States government securities(cost, including accrued interest - $33,895,759)
    
    $
    33,895,759
    
    
    93.41
    %%
 LONG FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    89,355
    
    
    
    0.25
    %Metals
    
    
    
    
    
    
    
    
    
    $
    37,694
    
    
    
    0.10
    %Stock indices
    
    
    
    
    
    
    
    
    
    $
    105,504
    
    
    
    0.29
    %Short-term interest rates
    
    
    
    
    
    
    
    
    
    $
    46,265
    
    
    
    0.13
    %Long-term interest rates
    
    
    
    
    
    
    
    
    
    $
    37,652
    
    
    
    0.10
    %Total long futures contracts
    
    
    
    
    
    
    
    
    
    $
    316,470
    
    
    
    0.87
    %SHORT FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    (72,904
    )
    
    
    (0.20
    )%Metals
    
    
    
    
    
    
    
    
    
    $
    (9,992
    )
    
    
    (0.03
    )%Stock indices
    
    
    
    
    
    
    
    
    
    $
    (4,422
    )
    
    
    (0.01
    )%Short-term interest rates
    
    
    
    
    
    
    
    
    
    $
    (48,238
    )
    
    
    (0.13
    )%Long-term interest rates
    
    
    
    
    
    
    
    
    
    $
    16,596
    
    
    
    0.05
    %Total short futures contracts
    
    
    
    
    
    
    
    
    
    $
    (118,960
    )
    
    
    (0.32
    )%Total futures contracts
    
    
    
    
    
    
    
    
    
    $
    197,510
    
    
    
    0.55
    %
 See Accompanying Notes to Financial Statements.
 - 5 -




---



##### 



Values ($)
    
    

% of

Net Asset ValueFORWARD CURRENCY CONTRACTSDescriptionVarious long forward
currency contracts
    
    $
    (604,943
    )
    
    
    (1.67
    )%Various short forward
currency contracts
    
    $
    (205,499
    )
    
    
    (0.57
    )%Total forward currency contracts
    
    $
    (810,442
    )
    
    
    (2.24
    )%PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on
forward currency
contracts
(premiums paid - $74,159)
    
    $
    50,330
    
    
    
    0.14
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward
currency contracts
(premiums received - $41,845)
    
    $
    (19,355
    )
    
    
    (0.05
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 6 -




---



##### 



June 30,
    
    
    December 31,2008
    
    
    2007ASSETSEquity in broker trading accountsCash
    
    $
    3,358,013
    
    
    $
    2,538,672United States government securities
    
    
    28,489,556
    
    
    
    29,905,317Net unrealized gain (loss) on open futures contracts
    
    
    1,376,841
    
    
    
    197,510Total equity in broker trading accounts
    
    
    33,224,410
    
    
    
    32,641,499Cash
    
    
    1,159,945
    
    
    
    1,652,920United States government securities
    
    
    3,997,244
    
    
    
    3,990,442Options purchased, at fair value
(premiums paid - $12,224 and $74,159, respectively)
    
    
    13,442
    
    
    
    50,330Net unrealized gain (loss) on open forward currency contracts
    
    
    177,853
    
    
    
    (810,442
    )Interest receivable
    
    
    7,590
    
    
    
    7,894Subscriptions receivable
    
    
    0
    
    
    
    33,938Prepaid expenses
    
    
    2,309
    
    
    
    0Total assets
    
    $
    38,582,793
    
    
    $
    37,566,581LIABILITIESAccounts payable
    
    $
    36,409
    
    
    $
    38,549Brokerage fee
    
    
    32,617
    
    
    
    37,041Options
written, at fair value (premiums received - $7,217 and
$41,845, respectively)
    
    
    7,464
    
    
    
    19,355Accrued commissions and other trading fees on open contracts
    
    
    3,086
    
    
    
    7,946Offering costs payable
    
    
    10,300
    
    
    
    11,697Redemptions payable
    
    
    129,803
    
    
    
    1,163,237Total liabilities
    
    
    219,679
    
    
    
    1,277,825UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner - 1,413.580 units outstanding at June 30, 2008
and December 31, 2007
    
    
    2,426,537
    
    
    
    2,266,803Other Unitholders - 20,934.852 and 21,216.063 units
outstanding at June 30, 2008 and December 31, 2007
    
    
    35,936,577
    
    
    
    34,021,953Total unitholders capital (Net Asset Value)
    
    
    38,363,114
    
    
    
    36,288,756Total liabilities and unitholders capital (Net Asset Value)
    
    $
    38,582,793
    
    
    $
    37,566,581
 See Accompanying Notes to Financial Statements.
 - 7 -




---



##### 



Three Month Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2008
    
    
    2007
    
    
    2008
    
    
    2007TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (441,008
    )
    
    $
    3,519,671
    
    
    $
    770,891
    
    
    $
    3,297,217Change in unrealized
    
    
    1,815,493
    
    
    
    621,547
    
    
    
    1,179,330
    
    
    
    (247,680
    )Brokerage commissions
    
    
    (13,279
    )
    
    
    (27,215
    )
    
    
    (27,334
    )
    
    
    (46,038
    )Net gain (loss) from futures trading
    
    
    1,361,206
    
    
    
    4,114,003
    
    
    
    1,922,887
    
    
    
    3,003,499Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    838,094
    
    
    
    71,838
    
    
    
    (35,482
    )
    
    
    (216,080
    )Change in unrealized
    
    
    (15,984
    )
    
    
    992,474
    
    
    
    990,605
    
    
    
    (180,402
    )Brokerage commissions
    
    
    1,863
    
    
    
    (10,194
    )
    
    
    176
    
    
    
    (19,239
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    823,973
    
    
    
    1,054,118
    
    
    
    955,299
    
    
    
    (415,721
    )Total net trading gain (loss)
    
    
    2,185,179
    
    
    
    5,168,121
    
    
    
    2,878,186
    
    
    
    2,587,778INTEREST INCOME NET OF EXPENSESIncomeInterest income
    
    
    146,813
    
    
    
    516,061
    
    
    
    398,354
    
    
    
    1,022,283ExpensesBrokerage fee
    
    
    262,900
    
    
    
    306,670
    
    
    
    526,626
    
    
    
    606,493Performance fee
    
    
    0
    
    
    
    269,374
    
    
    
    0
    
    
    
    270,167Operating expenses
    
    
    24,033
    
    
    
    34,881
    
    
    
    45,235
    
    
    
    53,682Total expenses
    
    
    286,933
    
    
    
    610,925
    
    
    
    571,861
    
    
    
    930,342Interest income net of expenses
    
    
    (140,120
    )
    
    
    (94,864
    )
    
    
    (173,507
    )
    
    
    91,941NET INCOME (LOSS)
    
    $
    2,045,059
    
    
    $
    5,073,257
    
    
    $
    2,704,679
    
    
    $
    2,679,719NET INCOME (LOSS) PER MANAGING OWNER AND
OTHER UNITHOLDERS UNIT
(based on weighted average number of units
outstanding during the period)
    
    $
    91.39
    
    
    $
    218.05
    
    
    $
    119.83
    
    
    $
    114.44INCREASE (DECREASE) IN NET ASSET VALUE PER
MANAGING OWNER AND OTHER UNITHOLDERS UNIT
    
    $
    87.87
    
    
    $
    214.11
    
    
    $
    113.00
    
    
    $
    108.39
 See Accompanying Notes to Financial Statements.
 - 8 -




---



##### 



Six Months EndedJune 30,2008
    
    
    2007Cash flows from (for) operating activitiesNet income (loss)
    
    $
    2,704,679
    
    
    $
    2,679,719Adjustments to reconcile net income (loss) to net cash from
(for) operating activitiesNet change in unrealized
    
    
    (2,169,935
    )
    
    
    428,082(Increase) decrease in option premiums paid
    
    
    61,935
    
    
    
    (36,495
    )Increase (decrease) in option premiums received
    
    
    (34,628
    )
    
    
    20,626(Increase) decrease in interest receivable
    
    
    304
    
    
    
    (10,617
    )(Increase) decrease in prepaid expenses
    
    
    (2,309
    )
    
    
    (7,500
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    (11,424
    )
    
    
    83,881Net maturities (purchases) of investments in United States
government securities
    
    
    1,408,958
    
    
    
    (801,027
    )Net cash from (for) operating activities
    
    
    1,957,580
    
    
    
    2,356,669Cash flows from (for) financing activitiesAddition of units
    
    
    1,471,696
    
    
    
    1,651,219Redemption of units
    
    
    (2,935,211
    )
    
    
    (2,513,485
    )Offering costs paid
    
    
    (167,699
    )
    
    
    (192,468
    )Net cash from (for) financing activities
    
    
    (1,631,214
    )
    
    
    (1,054,734
    )Net increase (decrease) in cash
    
    
    326,366
    
    
    
    1,301,935CashBeginning of period
    
    
    4,191,592
    
    
    
    6,103,050End of period
    
    $
    4,517,958
    
    
    $
    7,404,985End of period cash consists of:Cash in broker trading accounts
    
    $
    3,358,013
    
    
    $
    6,185,671Cash
    
    
    1,159,945
    
    
    
    1,219,314Total end of period cash
    
    $
    4,517,958
    
    
    $
    7,404,985
 See Accompanying Notes to Financial Statements.
 - 9 -




---



##### 



Unitholders CapitalManaging owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 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 six
months ended June 30, 2008
    
    
    
    
    
    
    170,149
    
    
    
    
    
    
    
    2,534,530
    
    
    
    
    
    
    
    2,704,679Additions
    
    
    0.000
    
    
    
    0
    
    
    
    887.489
    
    
    
    1,437,758
    
    
    
    887.489
    
    
    
    1,437,758Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,168.700
    )
    
    
    (1,901,777
    )
    
    
    (1,168.700
    )
    
    
    (1,901,777
    )Offering costs
    
    
    
    
    
    
    (10,415
    )
    
    
    
    
    
    
    (155,887
    )
    
    
    
    
    
    
    (166,302
    )Balances at June 30, 2008
    
    
    1,413.580
    
    
    $
    2,426,537
    
    
    
    20,934.852
    
    
    $
    35,936,577
    
    
    
    22,348.432
    
    
    $
    38,363,114Six Months Ended June 30, 2007Balances at December 31, 2006
    
    
    1,413.580
    
    
    $
    2,566,397
    
    
    
    22,200.336
    
    
    $
    40,305,318
    
    
    
    23,613.916
    
    
    $
    42,871,715Net income (loss) for the six
months ended June 30, 2007
    
    
    
    
    
    
    164,782
    
    
    
    
    
    
    
    2,514,937
    
    
    
    
    
    
    
    2,679,719Additions
    
    
    0.000
    
    
    
    0
    
    
    
    739.939
    
    
    
    1,341,286
    
    
    
    739.939
    
    
    
    1,341,286Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,237.372
    )
    
    
    (2,226,827
    )
    
    
    (1,237.372
    )
    
    
    (2,226,827
    )Offering costs
    
    
    
    
    
    
    (11,564
    )
    
    
    
    
    
    
    (179,961
    )
    
    
    
    
    
    
    (191,525
    )Balances at June 30, 2007
    
    
    1,413.580
    
    
    $
    2,719,615
    
    
    
    21,702.903
    
    
    $
    41,754,753
    
    
    
    23,116.483
    
    
    $
    44,474,368
 Net Asset Value per Managing Owner and Other Unitholders UnitJune 30, 2008
    
    
December 31, 2007
    
    
    June 30, 2007
    
    

December 31, 2006$
    1,716.59
    
    
    $
    1,603.59
    
    
    $
    1,923.92
    
    
    $
    1,815.53
 See Accompanying Notes to Financial Statements.
 - 10 -




---



##### 



Three Months Ended
    
    
    Three Months EndedJune 30
    
    
    June 30,2008
    
    
    2007
    
    
    2008
    
    
    2007Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,628.72
    
    
    $
    1,709.81
    
    
    $
    1,603.59
    
    
    $
    1,815.53Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    97.84
    
    
    
    222.35
    
    
    
    128.06
    
    
    
    112.64Interest income net of expenses (1)
    
    
    (6.26
    )
    
    
    (4.08
    )
    
    
    (7.69
    )
    
    
    3.93Total net income (loss) from operations
    
    
    91.58
    
    
    
    218.27
    
    
    
    120.37
    
    
    
    116.57Offering costs(1)
    
    
    (3.71
    )
    
    
    (4.16
    )
    
    
    (7.37
    )
    
    
    (8.18
    )Net asset value per unit at end of period
    
    $
    1,716.59
    
    
    $
    1,923.92
    
    
    $
    1,716.59
    
    
    $
    1,923.92Total Return(3)
    
    
    5.40
    %
    
    
    12.52
    %
    
    
    7.05
    %
    
    
    5.97
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.13
    %
    
    
    3.25
    %
    
    
    3.12
    %
    
    
    3.12
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.64
    %
    
    
    0.00
    %
    
    
    0.64
    %Total expenses
    
    
    3.13
    %
    
    
    3.89
    %
    
    
    3.12
    %
    
    
    3.76
    %Interest
income net of expenses (2),(4),(5)
    
    
    (1.53
    )%
    
    
    1.66
    %
    
    
    (0.95
    )%
    
    
    1.71
    %
 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)
    
    Interest income net of expenses per unit and offering costs per unit are
calculated by dividing the interest income 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(5)
    
    Interest income net of expenses are shown as a positive percentage when
interest income exceeds expenses excluding the performance fee for the period and a
negative number when expenses exceed interest income for the period. 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 June
30, 2008 and December 31, 2007, the 401(K) Plan held approximately 65% and 60% 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 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. 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. 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 outstanding
units.
 - 12 -




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##### 



Fair Value at June 30, 2008Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsU.S. Treasury Bills
    
    $
    0
    
    
    $
    32,486,800
    
    
    $
    0
    
    
    $
    32,486,800Other Financial InstrumentsExchange-traded futures contracts
    
    
    1,376,841
    
    
    
    0
    
    
    
    0
    
    
    
    1,376,841Forward currency contracts
    
    
    0
    
    
    
    177,853
    
    
    
    0
    
    
    
    177,853Options purchased
    
    
    0
    
    
    
    13,442
    
    
    
    0
    
    
    
    13,442Options written
    
    
    0
    
    
    
    (7,464
    )
    
    
    0
    
    
    
    (7,464
    )Total
    
    $
    1,376,841
    
    
    $
    32,670,631
    
    
    $
    0
    
    
    $
    34,047,472
 D.
    
    Income Taxes
 - 13 -




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##### 



The Trust prepares calendar year U.S. and applicable state information tax returns and
reports to the unitholders their allocable shares of the Trusts income, expenses and
trading gains or losses. No provision for income taxes has been made in the accompanying
financial statements as each unitholder is individually responsible for reporting income or
loss based on such unitholders respective share of the Trusts income and expenses as
reported for income tax purposes.Management has continued to evaluate the application of Financial Accounting Standards Board
(FASB) Interpretation No. 48, Accounting for Uncertainty in Income Taxes  an
interpretation of FASB Statement No. 109 (FIN 48), to the Trust, and has determined that
FIN 48 does not have a material impact on the Trusts financial statements. The Trust files
federal and state tax returns. The 2004 through 2007 tax years generally remain subject to
examination by the U.S. federal and most state tax authorities.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 June 30, 2008 and December 31, 2007, the Trust reflects a liability in the statement
of financial condition for offering costs payable to Campbell & Company of $10,300 and
$11,697, 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 June 30, 2008 and
December 31, 2007, the amount of
unreimbursed offering costs incurred by Campbell & Company is $ 172,377 and $235,984,
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.G.
    
    Recently Issued Accounting PronouncementsIn March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial
Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging
Activities  an amendment of FASB Statement No. 133 (SFAS 161). SFAS 161 establishes,
amoung other things, the disclosure requirements for derivative instruments and for hedging
activities. SFAS 161 is effective for financial statements issued for fiscal years beginning
after November 15, 2008, and interim periods within those fiscal years. The impact on the
Trusts financial statement disclosures, if any, is currently being assessed.
 Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR
 - 14 -




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##### 



Note3. TRUSTEE
  Note 4. DEPOSITS WITH BROKER
  Note 5. OPERATING EXPENSES
  Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   Note 7. TRADING ACTIVITIES AND RELATED RISKS
   - 15 -




---



##### 



Forward Currency andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)June 30, 2008
    
    
    December 31, 2007
    
    
    June 30, 2008
    
    
    December 31 , 2007Gross unrealized gains
    
    $
    1,636,590
    
    
    $
    470,224
    
    
    $
    718,159
    
    
    $
    742,233Gross
unrealized losses
    
    
    (259,749
    )
    
    
    (272,714
    )
    
    
    (539,335
    )
    
    
    (1,554,014
    )Net unrealized
gain (loss)
    
    $
    1,376,841
    
    
    $
    197,510
    
    
    $
    178,824
    
    
    $
    (811,781
    )
   - 16 -




---



##### 



Note 8. INDEMNIFICATIONS
  Note 9. INTERIM FINANCIAL STATEMENTS
  - 17 -




---



##### 



Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
           - 18 -




---



##### 



i.e.
   Results of Operations
  2008
  - 19 -




---



##### 



Sector
    
    % Gain (Loss)Stock Indices
    
    
    5.03
    %Currencies
    
    
    2.60Commodities
    
    
    2.82Interest Rates
    
    
    (2.40
    )8.05
    %
    - 20 -




---



##### 



2007
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    5.02
    %Stock Indices
    
    
    4.13Commodities
    
    
    (1.78
    )Currencies
    
    
    (1.01
    )6.36
    %
  - 21 -




---



##### 



Off-Balance Sheet Risk
   - 22 -




---



##### 



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
    - 23 -




---



##### 



Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
      - 24 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  June 30, 2008TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Interest Rates
    
    
    0.49
    %
    
    
    (2.40
    )%Currencies
    
    
    0.49
    %
    
    
    2.60
    %Stock Indices
    
    
    0.56
    %
    
    
    5.03
    %Commodities
    
    
    0.33
    %
    
    
    2.82
    %Aggregate/Total
    
    
    0.78
    %
    
    
    8.05
    %
 
 *
    
    -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 six months ended June 30, 2008, approximately 8.05% was due to
trading gains (before commissions) and approximately 1.09% of interest income offset by
approximately 2.09% due to brokerage fees, operating costs and offering costs borne by the
Trust giving a net return of 7.05%. December
31, 2007TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48%
    
    
    
    (7.17
    )%Stock Indices
    
    
    0.51%
    
    
    
    (2.53
    )%Interest Rates
    
    
    0.42%
    
    
    
    1.10
    %Commodities
    
    
    0.22%
    
    
    
    (2.72
    )%Aggregate/Total
    
    
    1.72%
    
    
    
    (11.32
    )%
 - 25 -




---



##### 



*
    
    -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, 2007, approximately 11.32% was due to
trading losses (before commissions) and approximately 4.91% due to brokerage fees, performance
fees and operating and offering costs borne by the Trust offset by approximately 4.56% of
interest income giving a net return of (11.67)%. 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.
 - 26 -




---



##### 



Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  - 27 -




---



##### 



Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  - 28 -




---



##### 



Item 4T. Controls and Procedures
  - 29 -




---



##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
  
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Senior Vice President of Accounting and Finance,
pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.32.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Gregory T. Donovan, Senior Vice President of Accounting and Finance,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 30 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    Campbell & Company, Inc.Managing Owner Date: August 14, 2008
    By:

/s/ Theresa D. BecksTheresa D. BecksChief Executive Officer - 31 -




---



##### 



EXHIBIT INDEX
 PageExhibit Number
    
    Description of Document
    
    Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E 331.02
    
    Certification by Senior Vice President of Accounting and Finance
    
    E 4  E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Senior Vice President of Accounting and Finance
    
    E 7
 E 1