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 March 31, 2011
 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
 þ o
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer o
    
    Smaller reporting company þ(Do not check if a smaller reporting company)
 o þ
 32




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
Unaudited Financial StatementsCondensed Schedules of Investments as of March 31, 2011 (Liquidation Basis)
and December 31, 2010
    
    
    3-5Statements of Financial Condition as of March 31, 2011 (Liquidation Basis) and December 31, 2010
    
    
    6Statements of Operations for the Three Months Ended
March 31, 2011 (Liquidation Basis) and 2010
    
    
    7Statements of Cash Flows for the Three Months Ended
March 31, 2011 (Liquidation Basis) and 2010
    
    
    8Statements of Changes in Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2011 (Liquidation Basis) and 2010
    
    
    9Financial Highlights for the Three Months Ended
March 31, 2011 (Liquidation Basis) and 2010
    
    
    10Notes to Financial Statements (Liquidation Basis)
    
    
    11-16Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    17-22Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    22-28Item 4. Controls and Procedures
    
    
    28PART II  OTHER INFORMATION
    
    
    29Item 6. Exhibits and Reports on Form 8-K
    
    
    29SIGNATURES
    
    
    30CERTIFICATIONS




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##### 



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    Description
    
    Values ($)
    
    
    Asset ValueGovernment And Agency ObligationsUnited StatesUS Treasury BillU.S. Treasury Bills *$14,000,000
    
    Due 04/07/2011
(cost $13,999,848)
    
    $
    13,999,848
    
    
    
    48.06
    %Total Fixed Income Securities
(cost $13,999,848)
    
    $
    13,999,848
    
    
    
    48.06
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    50,745
    
    
    
    0.17
    %Energy
    
    $
    127,090
    
    
    
    0.44
    %Long-term interest rates
    
    $
    (159,450
    )
    
    
    (0.55
    )%Metals
    
    $
    57,480
    
    
    
    0.20
    %Short-term interest rates
    
    $
    (51,884
    )
    
    
    (0.18
    )%Stock indices
    
    $
    131,079
    
    
    
    0.45
    %Total long futures contracts
    
    $
    155,060
    
    
    
    0.53
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    (17,783
    )
    
    
    (0.06
    )%Energy
    
    $
    0
    
    
    
    0.00
    %Long-term interest rates
    
    $
    14,300
    
    
    
    0.05
    %Metals
    
    $
    (66,122
    )
    
    
    (0.22
    )%Short-term interest rates
    
    $
    56,295
    
    
    
    0.19
    %Stock indices
    
    $
    (8,547
    )
    
    
    (0.03
    )%Total short futures contracts
    
    $
    (21,857
    )
    
    
    (0.07
    )%Total futures contracts
    
    $
    133,203
    
    
    
    0.46
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    710,525
    
    
    
    2.44
    %Various short forward currency contracts
    
    $
    (933,283
    )
    
    
    (3.20
    )%Total forward currency contracts
    
    $
    (222,758
    )
    
    
    (0.76
    )%
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $63,770)
    
    $
    113,860
    
    
    
    0.39
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $36,480)
    
    $
    (58,982
    )
    
    
    (0.20
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 3 -




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##### 



FIXED INCOME SECURITIES
 Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    Description
    
    Values ($)
    
    
    Asset ValueCertificate Of DepositCanadaCertificate of Deposit
Financials
(cost $740,000)
    
    $
    740,659
    
    
    
    2.49
    %Commercial PaperUnited KingdomConsumer Staples
(cost $742,778)
    
    $
    742,826
    
    
    
    2.50
    %United StatesConsumer Discretionary
    
    $
    3,697,905
    
    
    
    12.44
    %Energy
    
    $
    249,972
    
    
    
    0.84
    %Financials
    
    $
    742,982
    
    
    
    2.50
    %Industrial
    
    $
    742,918
    
    
    
    2.50
    %Municipal
    
    $
    430,017
    
    
    
    1.45
    %Utilities
    
    $
    1,946,850
    
    
    
    6.55
    %Total United States (cost$7,810,309)
    
    $
    7,810,644
    
    
    
    26.28
    %Total Commercial Paper
(cost $8,553,087)
    
    $
    8,553,470
    
    
    
    28.78
    %Corporate BondsUnited StatesFinancials 
(cost $1,529,608)
    
    $
    1,536,950
    
    
    
    5.17
    %Government And Agency ObligationsUnited StatesUS Government Agency
    
    $
    998,100
    
    
    
    3.36
    %US Treasury BillU.S. Treasury Bills *$5,000,000
    
    Due 01/13/2011
    
    $
    4,999,842
    
    
    
    16.82
    %Total United States (cost$5,999,742)
    
    $
    5,997,942
    
    
    
    20.18
    %Short Term Investment FundsUnited StatesShort Term Investment Funds
(cost $3,070,325)
    
    $
    3,070,325
    
    
    
    10.33
    %Total Fixed Income Securities
(cost $19,892,762)
    
    $
    19,899,346
    
    
    
    66.95
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    200,217
    
    
    
    0.67
    %Energy
    
    $
    68,603
    
    
    
    0.23
    %Long-term interest rates
    
    $
    3,254
    
    
    
    0.01
    %Metals
    
    $
    238,213
    
    
    
    0.80
    %Short-term interest rates
    
    $
    34,455
    
    
    
    0.12
    %Stock indices
    
    $
    1,453
    
    
    
    0.00
    %Total long futures contracts
    
    $
    546,195
    
    
    
    1.83
    %
 See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 4 -




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##### 



SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueAgriculture
    
    $
    (10,356
    )
    
    
    (0.03
    )%Energy
    
    $
    (24,831
    )
    
    
    (0.08
    )%Long-term interest rates
    
    $
    (52,701
    )
    
    
    (0.18
    )%Metals
    
    $
    (12,703
    )
    
    
    (0.04
    )%Short-term interest rates
    
    $
    (469
    )
    
    
    0.00
    %Stock indices
    
    $
    4,024
    
    
    
    0.01
    %Total short futures contracts
    
    $
    (97,036
    )
    
    
    (0.32
    )%Total futures contracts
    
    $
    449,159
    
    
    
    1.51
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    2,407,765
    
    
    
    8.10
    %Various short forward currency contracts
    
    $
    (1,930,792
    )
    
    
    (6.49
    )%Total forward currency contracts
    
    $
    476,973
    
    
    
    1.61
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid  $96,376)
    
    $
    132,809
    
    
    
    0.45
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Values ($)
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received  $-20,991)
    
    $
    (61,350
    )
    
    
    (0.21
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 5 -




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##### 



March 31,
    
    
    December 31,2011
    
    
    2010ASSETSEquity in broker trading accountsCash
    
    $
    12,391,703
    
    
    $
    7,272,155Fixed income securities
(cost $13,999,848 and $4,999,842, respectively)
    
    
    13,999,848
    
    
    
    4,999,842Net unrealized gain (loss) on open futures contracts
    
    
    133,203
    
    
    
    449,159Total equity in broker trading accounts
    
    
    26,524,754
    
    
    
    12,721,156Cash
    
    
    1,406,822
    
    
    
    2,502,810Restricted cash deposits with forwards broker
    
    
    1,443,555
    
    
    
    249,673Fixed income securities
(cost $0 and $14,892,920, respectively)
    
    
    0
    
    
    
    14,899,504Options purchased, at fair value
(premiums paid  $63,770 and $96,376, respectively)
    
    
    113,860
    
    
    
    132,808Net unrealized gain (loss) on open forward currency contracts
    
    
    (222,758
    )
    
    
    476,973Interest receivable
    
    
    49
    
    
    
    3,739Prepaid expenses
    
    
    1,680
    
    
    
    3,359Total assets
    
    $
    29,267,962
    
    
    $
    30,990,022LIABILITIESAccounts payable
    
    $
    39,301
    
    
    $
    38,155Brokerage fee
    
    
    11,314
    
    
    
    14,679Options
written, at fair value (premiums received  $36,480 and $20,991, respectively)
    
    
    58,982
    
    
    
    61,350Accrued commissions and other trading fees on open contracts
    
    
    6,777
    
    
    
    4,070Redemptions payable
    
    
    23,966
    
    
    
    1,143,802Total liabilities
    
    
    140,340
    
    
    
    1,262,056UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner - 741.284 redeemable units
outstanding at March 31, 2011 and December 31, 2010
    
    
    1,242,166
    
    
    
    1,299,767Other Unitholders - 16,641.059 and 16,213.126 redeemable units
outstanding at March 31, 2011 and December 31, 2010
    
    
    27,885,456
    
    
    
    28,428,199Total unitholders capital (Net Asset Value)
    
    
    29,127,622
    
    
    
    29,727,966Total liabilities and unitholders capital (Net Asset Value)
    
    $
    29,267,962
    
    
    $
    30,990,022
 See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 6 -




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##### 



Three Months EndedMarch 31,2011
    
    
    2010TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (243,328
    )
    
    $
    (1,150,240
    )Change in unrealized
    
    
    (315,956
    )
    
    
    690,302Brokerage commissions
    
    
    (19,131
    )
    
    
    (19,695
    )Net gain (loss) from futures trading
    
    
    (578,415
    )
    
    
    (479,633
    )Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    132,606
    
    
    
    (479,481
    )Change in unrealized
    
    
    (668,216
    )
    
    
    295,511Brokerage commissions
    
    
    (2,964
    )
    
    
    (1,840
    )Net gain (loss) from forward currency
and options on forward currency trading
    
    
    (538,574
    )
    
    
    (185,810
    )Total net trading gain (loss)
    
    
    (1,116,989
    )
    
    
    (665,443
    )NET INVESTMENT INCOME (LOSS)Investment incomeInterest income
    
    
    7,397
    
    
    
    22,113Realized gain (loss) on fixed income securities
    
    
    6,522
    
    
    
    (858
    )Change in unrealized gain (loss) on fixed income securities
    
    
    (6,584
    )
    
    
    (4,433
    )Total investment income
    
    
    7,335
    
    
    
    16,822ExpensesBrokerage fee
    
    
    212,607
    
    
    
    199,626Operating expenses
    
    
    23,179
    
    
    
    23,847Total expenses
    
    
    235,786
    
    
    
    223,473Net investment income (loss)
    
    
    (228,451
    )
    
    
    (206,651
    )NET INCOME (LOSS)
    
    $
    (1,345,440
    )
    
    $
    (872,094
    )NET INCOME
(LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT
(based on weighted average number
of units outstanding during the period)
    
    $
    (78.38
    )
    
    $
    (45.45
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDERS UNIT
    
    $
    (77.71
    )
    
    $
    (51.13
    )
 See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 7 -




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##### 



Three Months EndedMarch 31,2011
    
    
    2010Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (1,345,440
    )
    
    $
    (872,094
    )Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    990,755
    
    
    
    (981,380
    )(Increase) decrease in restricted cash
    
    
    (1,193,882
    )
    
    
    0(Increase) decrease in option premiums paid
    
    
    32,606
    
    
    
    11,103Increase (decrease) in option premiums received
    
    
    15,489
    
    
    
    34(Increase) decrease in interest receivable
    
    
    3,690
    
    
    
    3,656(Increase) decrease in prepaid expenses
    
    
    1,679
    
    
    
    552Increase (decrease) in accounts payable and accrued expenses
    
    
    488
    
    
    
    11,698Purchases of investments in fixed income securities
    
    
    (35,998,713
    )
    
    
    (103,931,256
    )Sales/maturities of investments in fixed income securities
    
    
    41,891,628
    
    
    
    106,995,987Net cash from (for) operating activities
    
    
    4,398,300
    
    
    
    1,238,300Cash flows from (for) financing activitiesAddition of units
    
    
    1,102,511
    
    
    
    1,093,142Redemption of units
    
    
    (1,477,251
    )
    
    
    (2,053,506
    )Offering costs paid
    
    
    0
    
    
    
    (63,295
    )Net cash from (for) financing activities
    
    
    (374,740
    )
    
    
    (1,023,659
    )Net increase (decrease) in cash
    
    
    4,023,560
    
    
    
    214,641Unrestricted cashBeginning of period
    
    
    9,774,965
    
    
    
    974,319End of period
    
    $
    13,798,525
    
    
    $
    1,188,960End of period cash consists of:Cash in broker trading accounts
    
    $
    12,391,703
    
    
    $
    895,909Cash
    
    
    1,406,822
    
    
    
    293,051Total end of period cash
    
    $
    13,798,525
    
    
    $
    1,188,960
 See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 8 -




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##### 



Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2011Balances at December 31, 2010
    
    
    741.284
    
    
    $
    1,299,767
    
    
    
    16,213.126
    
    
    $
    28,428,199
    
    
    
    16,954.410
    
    
    $
    29,727,966Net income (loss) for the three months ended
March 31, 2011
    
    
    
    
    
    
    (57,601
    )
    
    
    
    
    
    
    (1,287,839
    )
    
    
    
    
    
    
    (1,345,440
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    632.084
    
    
    
    1,102,511
    
    
    
    632.084
    
    
    
    1,102,511Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (204.151
    )
    
    
    (357,415
    )
    
    
    (204.151
    )
    
    
    (357,415
    )Balances at March 31, 2011
    
    
    741.284
    
    
    $
    1,242,166
    
    
    
    16,641.059
    
    
    $
    27,885,456
    
    
    
    17,382.343
    
    
    $
    29,127,622Three Months Ended March 31, 2010Balances at December 31, 2009
    
    
    1,413.580
    
    
    $
    2,173,492
    
    
    
    17,448.570
    
    
    $
    26,828,570
    
    
    
    18,862.150
    
    
    $
    29,002,062Net income (loss) for the three months ended
March 31, 2010
    
    
    
    
    
    
    (67,633
    )
    
    
    
    
    
    
    (804,461
    )
    
    
    
    
    
    
    (872,094
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    758.588
    
    
    
    1,093,142
    
    
    
    758.588
    
    
    
    1,093,142Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (715.044
    )
    
    
    (1,057,786
    )
    
    
    (715.044
    )
    
    
    (1,057,786
    )Offering costs
    
    
    
    
    
    
    (4,643
    )
    
    
    
    
    
    
    (58,396
    )
    
    
    
    
    
    
    (63,039
    )Balances at March 31, 2010
    
    
    1,413.580
    
    
    $
    2,101,216
    
    
    
    17,492.114
    
    
    $
    26,001,069
    
    
    
    18,905.694
    
    
    $
    28,102,285
 Net Asset Value per Managing Owner and Other Unitholders UnitMarch 31, 2011
    
    
    
    
    December 31, 2010
    
    
    March 31, 2010
    
    
    December 31, 2009$
    1,675.70
    
    
    
    
    $
    1,753.41
    
    
    $
    1,486.45
    
    
    $
    1,537.58
 See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 9 -




---



##### 



Three Months EndedMarch 31,2011
    
    
    2010Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,753.41
    
    
    $
    1,537.58Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (64.40
    )
    
    
    (37.07
    )Net investment income (loss) (1)
    
    
    (13.31
    )
    
    
    (10.77
    )Total net income (loss) from operations
    
    
    (77.71
    )
    
    
    (47.84
    )Offering costs (1)
    
    
    0.00
    
    
    
    (3.29
    )Net asset value per unit at end of period
    
    $
    1,675.70
    
    
    $
    1,486.45Total Return(3)
    
    
    (4.43
    )%
    
    
    (3.33
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.15
    %
    
    
    3.15
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    3.15
    %
    
    
    3.15
    %Net investment income (loss) (2),(4)
    
    
    (3.05
    )%
    
    
    (2.91
    )%
 Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
 
 (1)
    
    Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units
outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized(4)
    
    Annualized See Accompanying Notes to Financial Statements. (Liquidation Basis)
 - 10 -




---



##### 



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 March
31, 2011 and December 31, 2010, the 401(K) Plan held approximately 84% and 83% of the Trusts
outstanding units, respectively.In the first quarter of 2011, management of the Trust has made the decision to cease the Trust
offering, effective April 22, 2011. The decision to cease the offering is the precursor to
closing the Trust as of May 31, 2011. Accordingly, starting on
January 1, 2011, the financial statements are presented on a
liquidation basis of accounting. Under the liquidation basis of accounting, assets are valued
at their estimated net realizable amounts and liabilities are adjusted to the estimated
amounts to be paid in settlement of the Trusts obligations. As the majority of the Trusts
assets and liabilities are at fair value, the presentation of liquidation-basis financial
statements does not have a material impact on the presentation of the Trusts financial
statements.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to the
regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity
Futures Trading Commission, an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry; rules of the National Futures Association, an
industry self-regulatory organization; and the requirements of the various commodity exchanges
where the Trust executes transactions. Additionally, the Trust is subject to the requirements
of futures commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting principles
generally accepted in the United States of America, which may require the use of certain
estimates made by the Trusts management. Actual results may differ from these estimates.
Investment transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the difference
between contract trade price and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of offset of unrealized gains or
losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards
Codification (ASC) 210-20, Offsetting  Balance Sheet. The fair value of futures
(exchange-traded) contracts is determined by the various futures exchanges, and reflects the
settlement price for each contract as of the close on the last business day of the reporting
period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on
a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of
the reporting period.The fair value of option (non-exchange traded) contracts is calculated by applying an
industry-standard adaptation of the Black-Scholes options valuation model to foreign currency
options, using as inputs the spot prices, interest rates and option implied volatilities
quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in
net unrealized gain or loss from the preceding period is reported in the statement of
operations.When the Trust writes an option, an amount equal to the premium received by the Trust is
reflected as an asset and an equivalent liability. The amount of the liability is subsequently
marked to market to reflect the current fair value of option written. Brokerage commissions
include other trading fees and are charged to expense when contracts are opened.The fixed income investments, other than U.S. Treasury bills, are held at the custodian and
marked to market on the last business day of the reporting period by the custodian who
utilizes a third party vendor hierarchy of pricing providers who specialize in such markets.
The prices furnished by the providers consider the yield or price of bonds of comparable
quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in
such securities. U.S. Treasury bills are held at the brokers or interbank market makers and
are stated at cost plus accrued interest, which approximates fair value. Premiums and
discounts on fixed income securities are amortized for financial reporting purposes.For purposes of both financial reporting and calculation of redemption value, Net Asset Value
per unit is calculated by dividing Net Asset Value by the number of outstanding units.The Trust follows the provisions of ASC 820, Fair Value Measurements and Disclosures, as of
January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased
disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820
defines fair value as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the measurement date.ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The fair value hierarchy gives
the highest priority to quoted prices (unadjusted) in active markets for identical assets or
liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
 - 11 -




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##### 



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.Level 3 inputs are unobservable inputs for an asset or liability (including the Trusts own
assumptions used in determining the fair value of investments). Unobservable inputs shall be used
to measure fair value to the extent that observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for the asset or liability at the
measurement date. As of and for the period ended March 31, 2011, the Trust did not have any Level 3
assets or liabilities.In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06) for
improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements
about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales,
issuances and settlements in the reconciliation for fair value measurements using significant
unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the
levels of disaggregation for fair value measurement and inputs and valuation techniques used to
measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except
for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in
Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the
remaining provisions have not had a material impact on the Trusts financial statement disclosures.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 March 31, 2011 and December 31, 2010.
 Fair Value at March 31, 2011Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    13,999,848
    
    
    $
    0
    
    
    $
    13,999,848Other Financial InstrumentsExchange-traded futures contracts
    
    
    133,203
    
    
    
    0
    
    
    
    0
    
    
    
    133,203Forward currency contracts
    
    
    0
    
    
    
    (222,758
    )
    
    
    0
    
    
    
    (222,758
    )Options purchased
    
    
    0
    
    
    
    113,860
    
    
    
    0
    
    
    
    113,860Options written
    
    
    0
    
    
    
    (58,982
    )
    
    
    0
    
    
    
    (58,982
    )Total
    
    $
    133,203
    
    
    $
    13,831,968
    
    
    $
    0
    
    
    $
    13,965,171
 Fair Value at December 31, 2010Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsFixed income securities
    
    $
    0
    
    
    $
    19,899,346
    
    
    $
    0
    
    
    $
    19,899,346Other Financial InstrumentsExchange-traded futures contracts
    
    
    449,159
    
    
    
    0
    
    
    
    0
    
    
    
    449,159Forward currency contracts
    
    
    0
    
    
    
    476,973
    
    
    
    0
    
    
    
    476,973Options purchased
    
    
    0
    
    
    
    132,808
    
    
    
    0
    
    
    
    132,808Options written
    
    
    0
    
    
    
    (61,350
    )
    
    
    0
    
    
    
    (61,350
    )Total
    
    $
    449,159
    
    
    $
    20,447,777
    
    
    $
    0
    
    
    $
    20,896,936
 The gross presentation of the fair value of the Trusts derivatives by instrument type is
shown in Note 8. See Condensed Schedule of Investments for additional detail categorization.
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##### 



D.
    
    Income TaxesThe Trust prepares calendar year U.S. federal and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses and
trading gains or losses. No provision for income taxes has been made in the accompanying
financial statements as each unitholder is individually responsible for reporting income or
loss based on such unitholders respective share of the Trusts income and expenses as
reported for income tax purposes.Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust,
and has determined that no reserves for uncertain tax positions were required. The Trust files
federal and state tax returns. The 2007 through 2010 tax years generally remain subject to
examination by the U.S. federal and most state tax authorities.E.
    
    Offering CostsEffective May 2010, the Trust had reimbursed Campbell & Company, Inc. (Campbell & Company) for
all offering costs incurred in the initial and continuing offering of the Trust. Additional
offering costs with regard to the Trusts continued offering will be incurred by Campbell &
Company. Campbell & Company will not be reimbursed by the Trust for these costs.Campbell & Company incurred all costs in connection with the initial and continuous offering
of units of the Trust (offering costs). Offering costs were 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 were
fully reimbursed. Such amounts are charged directly to unitholders capital. The Trust was
only liable for payment of offering costs on a monthly basis.The offering costs for which Campbell & Company were reimbursed relate to the offering of
units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company
rebated to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates
were made by issuing additional units to the 401(K) Plan.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 $4 per round turn to the broker for execution
and clearing costs. Such costs are limited to 3.5% of average month-end net assets per year.
From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for administrative
services and a portion (2.5%) is retained by Campbell & Company for trading and management
services rendered.Campbell & Company is also paid a performance fee equal to 20% of New Appreciation (as
defined) calculated as of the end of each calendar quarter and upon redemption of units. More
specifically, the performance fee is paid on the cumulative increase, if any, in the Net
Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly
referred to as a High Water Mark) adjusting for investment income. In determining the
brokerage and performance fees, adjustments shall be made for capital additions and
withdrawals and Net Assets shall not be reduced by the fees being calculated for such current
period. The performance fee is not subject to any clawback provisions. The brokerage fee and
performance fee are typically paid in the month following the month in which they are earned.
The brokerage fee and performance fee are paid from the available cash at the Trusts bank,
broker or cash management accounts.Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee
applicable to the 401(K) Plan. All such rebates are made by issuing additional units to the
401(K) Plan.
 Note 3. TRUSTEE
 The trustee of the Trust is U.S. Bank National Association, a national banking corporation.
The trustee has delegated to the managing operator the duty and authority to manage the
business and affairs of the Trust and has only nominal duties and liabilities with respect to
the Trust.
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##### 



Note 4. CASH MANAGER AND CUSTODIAN
 The Trust 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 terminated the
Non-Custody Investment Advisory Agreement appointing Wilmington Trust Investment Management LLC as cash manager, effective
December 31, 2010.The Trust opened a custodial account at The Northern Trust Company (the custodian) and granted the cash manager
authority to make certain investments on behalf of the Trust provided such investments were consistent with the investment
guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust were held
in its custody account at the custodian. The cash manager had no beneficial or other interest in the securities and cash in
 such custody account.The Trust instructed the cash manager to either sell or let mature all of its positions in its cash management
program. In February 2011, the remaining proceeds in the custodial
account were transferred to the Trusts trading accounts.
 Note 5. DEPOSITS WITH BROKER
 The Trust deposits assets with a broker subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin requirements are satisfied
by the deposit of U.S. Treasury bills and cash with such broker. The Trust typically earns
interest income on its assets deposited with the broker.
 Note 6. OPERATING EXPENSES
 Operating expenses of the Trust are restricted by the Amended and Restated Declaration of
Trust and Trust Agreement to 0.40% per annum of the average month-end Net Asset Value of the
Trust. The operating expenses of the Trust did not exceed the 0.40% threshold for the periods
ended March 31, 2011 and 2010.
 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 focused on financial futures, which are instruments
designed to hedge or speculate on changes in interest rates, currency exchange rates or stock
index values, as well as metals, energy and agricultural 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 fair 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 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 fair value of securities held to
satisfy such requirements at March 31, 2011 and December 31, 2010 was $13,999,848 and
$4,999,842, respectively, which equals 48% and 17% of Net Asset Value, respectively. The cash
deposited with interbank market makers at March 31, 2011 and December 31, 2010 was $2,726,564
and $2,547,070, respectively, which equals 9% and 9% 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 March 31, 2011 and December 31, 2010 was restricted cash for
margin requirements of $1,443,555 and $249,673 respectively, which equals 5% and 1% 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.
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##### 



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 fair value of the contracts. Market
movements result in frequent changes in the fair 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 fair 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 Trust has adopted the provisions of ASC 815, Derivatives and Hedging, (ASC 815). ASC
815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted
for, and how derivative instruments affect an entitys financial position, financial performance
and cash flows.The following tables summarize quantitative information required by ASC 815.The fair value of the Trusts derivatives by instrument type, as well as the location of those
instruments on the Statement of Financial Condition, as of March 31, 2011 and December 31, 2010
is as follows:
 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    March 31, 2011
    
    
    March 31, 2011Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    70,986
    
    
    $
    (38,024
    )
    
    $
    32,962Energy Contracts
    
    Equity in broker trading accounts
    
    
    127,090
    
    
    
    0
    
    
    
    127,090Metal Contracts
    
    Equity in broker trading accounts
    
    
    87,026
    
    
    
    (95,668
    )
    
    
    (8,642
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    133,415
    
    
    
    (10,883
    )
    
    
    122,532Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    57,228
    
    
    
    (52,817
    )
    
    
    4,411Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    14,300
    
    
    
    (159,450
    )
    
    
    (145,150
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on open forward currency contracts
    
    
    710,525
    
    
    
    (933,283
    )
    
    
    (222,758
    )Purchased Options on 
Forward Currency 
Contracts
    
    Options purchased, at fair value
    
    
    113,860
    
    
    
    0
    
    
    
    113,860Written Options on Forward Currency
Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (58,982
    )
    
    
    (58,982
    )Totals
    
    
    
    $
    1,314,430
    
    
    $
    (1,349,107
    )
    
    $
    (34,677
    )*    Derivatives not designated as hedging instruments under ASC 815Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    December 31, 2010
    
    
    December 31, 2010Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetAgricultural Contracts
    
    Equity in broker trading accounts
    
    $
    200,217
    
    
    $
    (10,356
    )
    
    $
    189,861Energy Contracts
    
    Equity in broker trading accounts
    
    
    87,953
    
    
    
    (44,181
    )
    
    
    43,772Metal Contracts
    
    Equity in broker trading accounts
    
    
    238,213
    
    
    
    (12,703
    )
    
    
    225,510Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    67,063
    
    
    
    (61,586
    )
    
    
    5,477Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    34,455
    
    
    
    ( 469
    )
    
    
    33,986Long-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    12,905
    
    
    
    (62,352
    )
    
    
    (49,447
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on open forward currency contracts
    
    
    2,407,765
    
    
    
    (1,930,792
    )
    
    
    476,973Purchased Options on 
Forward Currency 

Contracts
    
    Options purchased, at fair value
    
    
    132,808
    
    
    
    0
    
    
    
    132,808Written Options on Forward Currency
Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (61,350
    )
    
    
    (61,350
    )Totals
    
    
    
    $
    3,181,379
    
    
    $
    (2,183,789
    )
    
    $
    997,590*    Derivatives not designated as hedging instruments under ASC 815
 - 15 -




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##### 



The trading revenue of the Trusts derivatives by instrument type, as well as the location of
those gains and losses on the Statement of Operations, for the period ended March 31, 2011 and
2010 is as follows:
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedType of Instrument
    
    March 31, 2011
    
    
    March 31, 2010Agricultural Contracts
    
    $
    4,471
    
    
    $
    7,142Energy Contracts
    
    
    606,933
    
    
    
    (214,491
    )Metal Contracts
    
    
    (120,012
    )
    
    
    (192,929
    )Stock Indices Contracts
    
    
    (583,075
    )
    
    
    (553,826
    )Short-Term Interest Rate Contracts
    
    
    (335,808
    )
    
    
    856,726Long Term Interest Rate Contracts
    
    
    (132,357
    )
    
    
    (358,642
    )Forward Currency Contracts
    
    
    (287,320
    )
    
    
    (41,619
    )Purchased Options on Forward Currency Contracts
    
    
    (404,996
    )
    
    
    (314,684
    )Written Options on Forward Currency Contracts
    
    
    156,706
    
    
    
    172,334Total
    
    $
    (1,095,458
    )
    
    $
    (639,989
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Three Months EndedLine Item in the Statement of Operations
    
    March 31, 2011
    
    
    March 31, 2010Futures trading gains (losses):Realized
    
    $
    (243,892
    )
    
    $
    (1,146,321
    )Change in unrealized
    
    
    (315,956
    )
    
    
    690,302Forward currency and options on forward currency trading gains (losses):Realized
    
    
    132,606
    
    
    
    (479,481
    )Change in unrealized
    
    
    (668,216
    )
    
    
    295,511Total
    
    $
    (1,095,458
    )
    
    $
    (639,989
    )
 For the three months ended March 31, 2011 and 2010, the monthly average of futures
contracts bought and sold was approximately 1,540 and 1,640 respectively, and the monthly
average of notional value of forward currency and options on forward currency contracts was
$299,730,000 and $207,720,000 respectively.Open contracts generally mature within twelve months; as of March 31, 2011, the latest
maturity date for open futures contracts is June 2012, the latest maturity date for open
forward currency contracts is June 2011, and the latest expiry date for options on forward
currency contracts is April 2011. 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 reducing position sizes dynamically in response to
trading losses. 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 (Liquidation Basis)
 The statement of financial condition, including the condensed schedule of investments, as of
March 31, 2011, and December 31, 2010, and the statements of operations, cash flows, changes in unitholders capital
(Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010
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 March 31, 2011, and the results of
operations, cash flows, changes in unitholders capital (Net Asset Value) and financial
highlights for the three months ended March 31, 2011 and 2010.
 Note 11. SUBSEQUENT EVENTS
 Management of the Trust has evaluated subsequent events through the date the financial
statements were filed. There are no subsequent events to disclose or record.
 - 16 -




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Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
 Introduction
    Critical Accounting Policies
    Capital Resources
  - 17 -




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Liquidity
     - 18 -




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##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted
for at Fair Value
  - 19 -




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Results of Operations
  2011
  Sector
    
    % Gain (Loss)Commodities
    
    
    1.68
    %Interest Rates
    
    
    (1.57
    )Currencies
    
    
    (1.80
    )Stock Indices
    
    
    (1.91
    )(3.60
    )%
   - 20 -




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##### 



2010
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    1.73
    %Currencies
    
    
    (0.60
    )Commodities
    
    
    (1.43
    )Stock Indices
    
    
    (2.01
    )(2.31
    )%
  - 21 -




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##### 



Item 3.
    
    Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
  - 22 -




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##### 



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).
    - 23 -




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  March 31, 2011TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Commodities
    
    
    0.96
    %
    
    
    1.68
    %Interest Rates
    
    
    0.25
    %
    
    
    (1.57
    )%Currencies
    
    
    0.58
    %
    
    
    (1.80
    )%Stock Indices
    
    
    0.86
    %
    
    
    (1.91
    )%Aggregate/Total
    
    
    2.01
    %
    
    
    (3.60
    )%
 
 *
    
    -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 2011 year-to-date decrease of 4.43%, approximately (0.85)% was due to brokerage fees,
operating costs and offering costs borne by the Trust, approximately (3.60)% was due to trading
gains (before commissions) and approximately 0.02% was due to investment income. - 24 -




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##### 



December 31, 2010TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Commodities
    
    
    0.83
    %
    
    
    4.19
    %Stock Indices
    
    
    0.61
    %
    
    
    (2.39
    )%Interest Rates
    
    
    0.56
    %
    
    
    12.36
    %Currencies
    
    
    0.55
    %
    
    
    3.35
    %Aggregate/Total
    
    
    1.95
    %
    
    
    17.51
    %
 
 *
    
    -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 14.04% return for the year ended December 31, 2010, approximately 17.51% was due to
trading gains (before commissions) and approximately 0.34% due to interest income offset by
approximately (3.81)% due to brokerage fees, operating costs and offering costs borne by the Trust. 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
  - 25 -




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##### 



Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures  except for (i)
those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust
manages its primary market risk exposures  constitute forward-looking statements within the
meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The
Trusts primary market risk exposures as well as the strategies used and to be used by Campbell &
Company for managing such exposures are subject to numerous uncertainties, contingencies and risks,
any one of which could cause the actual results of the Trusts risk controls to differ materially
from the objectives of such strategies. Government interventions, defaults and expropriations,
illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in
historical price relationships, an influx of new market participants, increased regulation and many
other factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that any
such strategies will be effective in either the short- or long-term. Investors must be prepared to
lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  - 26 -




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##### 



Stock Indices
  Energy
  Metals
  Agricultural
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Fixed Income Securities
  Treasury Bill Positions Held for Margin Purposes
  - 27 -




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##### 



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




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##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 1A. Risk Factors.
  Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
  Item 3. Defaults Upon Senior Securities.
  Item 4. (Removed and Reserved).
 Item 5. Other Information
  
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
   - 29 -




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    Campbell & Company, Inc.Managing OwnerDate:  May 16, 2011
    By:

/s/ Theresa D. BecksTheresa D. BecksChief Executive Officer - 30 -




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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