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, 2009
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from to
 Commission File number: 0-33311
 CAMPBELL ALTERNATIVE ASSET TRUST
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 (Address of principal executive offices, including zip code)
 (Registrants telephone number, including area code)
 þ o
 o o
  Large accelerated filero
    
    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. Financial StatementsCondensed Schedules of Investments as of June 30, 2009 (Unaudited) and December 31, 2008
    
    
    3-6Statements of Financial Condition as of June 30, 2009 (Unaudited) and December 31, 2008
    
    
    7Statements of Operations for the Three Months and Six Months Ended June 30, 2009 and 2008 (Unaudited)
    
    
    8Statements of Cash Flows for the Six Months Ended June 30, 2009 and 2008 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value) for the Six Months Ended June 30, 2009 and 2008 (Unaudited)
    
    
    10Financial Highlights for the Six Months Ended June 30, 2009 and 2008 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-17Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    18-24Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    24-29Item 4T. Controls and Procedures
    
    
    29PART II  OTHER INFORMATION
    
    
    30Item 6. Exhibits and Reports on Form 8-K
    
    
    30SIGNATURES
    
    
    31CERTIFICATIONS




---



##### 



% of NetValues ($)
    
    
    Asset ValueUNITED STATES GOVERNMENT SECURITIES*Maturity
    
    MaturityFace Value
    
    Date
    
    
    Description$26,650,000
    
    
    07/09/2009
    
    
    U.S. Treasury Bills
    
    $
    26,649,543
    
    
    
    86.63
    %$  1,500,000
    
    
    07/23/2009
    
    
    U.S. Treasury Bills
    
    $
    1,499,967
    
    
    
    4.88
    %Total United States government securities
(cost, including accrued interest,  $28,149,510)
    
    $
    28,149,510
    
    
    
    91.51
    %LONG FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    (27,533
    )
    
    
    (0.09
    )%Metals
    
    
    
    
    
    
    
    
    
    $
    (15,898
    )
    
    
    (0.05
    )%Stock indices
    
    
    
    
    
    
    
    
    
    $
    56,200
    
    
    
    0.18
    %Short-term interest rates
    
    
    
    
    
    $
    43,888
    
    
    
    0.14
    %Long-term interest rates
    
    
    
    
    
    $
    12,429
    
    
    
    0.04
    %Total long  futures contracts
    
    
    
    
    
    $
    69,086
    
    
    
    0.22
    %SHORT FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    17,680
    
    
    
    0.06
    %Metals
    
    
    
    
    
    
    
    
    
    $
    1,368
    
    
    
    0.00
    %Stock indices
    
    
    
    
    
    
    
    
    
    $
    63,103
    
    
    
    0.21
    %Short-term interest rates
    
    
    
    
    
    $
    3,975
    
    
    
    0.01
    %Long-term interest rates
    
    
    
    
    
    $
    (132,693
    )
    
    
    (0.43
    )%Total short futures contracts
    
    
    
    
    
    $
    (46,567
    )
    
    
    (0.15
    )%Total futures contracts
    
    
    
    
    
    $
    22,519
    
    
    
    0.07
    %
 See Accompanying Notes to Financial Statements.
 - 3 -




---



##### 



% of NetValues ($)
    
    
    Asset ValueFORWARD CURRENCY CONTRACTSDescriptionVarious long forward currency contracts
    
    $
    122,518
    
    
    
    0.40
    %Various short forward currency contracts
    
    $
    (102,615
    )
    
    
    (0.33
    )%Total forward currency contracts
    
    $
    19,903
    
    
    
    0.07
    %PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on forward currency
contracts (premiums paid  $15,413)
    
    $
    15,970
    
    
    
    0.05
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward currency
contracts(premiums received  $48,050)
    
    $
    (29,960
    )
    
    
    (0.10
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 4 -




---



##### 



% of NetValues ($)
    
    
    Asset ValueUNITED STATES GOVERNMENT SECURITIES*Maturity
    
    MaturityFace Value
    
    Date
    
    
    Description$1,100,000
    
    
    01/02/2009
    
    
    U.S. Treasury Bills
    
    $
    1,100,000
    
    
    
    3.07
    %Total United States government securities
(cost, including accrued interest,  $1,100,000)
    
    $
    1,100,000
    
    
    
    3.07
    %LONG FUTURES CONTRACTSDescriptionStock indices
    
    
    
    
    
    
    
    
    
    $
    11,598
    
    
    
    0.03
    %Short-term interest rates

    
    
    
    
    
    $
    46,855
    
    
    
    0.13
    %Long-term interest rates
    
    
    
    
    
    $
    62,096
    
    
    
    0.17
    %Total long futures contracts
    
    
    
    
    
    $
    120,549
    
    
    
    0.33
    %SHORT FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    
    
    
    
    $
    (8,848
    )
    
    
    (0.03
    )%Metals
    
    
    
    
    
    
    
    
    
    $
    (22,893
    )
    
    
    (0.06
    )%Stock indices
    
    
    
    
    
    
    
    
    
    $
    (40,610
    )
    
    
    (0.11
    )%Short-term interest rates
    
    
    
    
    
    $
    125
    
    
    
    0.00
    %Long-term interest rates
    
    
    
    
    
    $
    (54,477
    )
    
    
    (0.15
    )%Total short futures contracts

    
    
    
    
    
    $
    (126,703
    )
    
    
    (0.35
    )%Total futures contracts

    
    
    
    
    
    $
    (6,154
    )
    
    
    (0.02
    )%
 See Accompanying Notes to Financial Statements.
 - 5 -




---



##### 



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




---



##### 



June 30,
    
    
    December 31,2009
    
    
    2008ASSETSEquity in broker trading accountsCash
    
    $
    3,337,843
    
    
    $
    33,954,446Restricted cash
    
    
    0
    
    
    
    1,180,793United States government securities
    
    
    24,999,583
    
    
    
    0Net unrealized gain (loss) on open futures contracts
    
    
    22,519
    
    
    
    (6,154
    )Total equity in broker trading accounts
    
    
    28,359,945
    
    
    
    35,129,085Cash
    
    
    386,720
    
    
    
    269,764United States government securities
    
    
    3,149,927
    
    
    
    1,100,000Options purchased, at fair value
(premiums paid  $15,413 and $13,775, respectively)
    
    
    15,970
    
    
    
    7,494Net unrealized gain (loss) on open forward currency contracts
    
    
    19,903
    
    
    
    159,738Interest receivable
    
    
    0
    
    
    
    558Prepaid expenses
    
    
    5,912
    
    
    
    2,000Total assets
    
    $
    31,938,377
    
    
    $
    36,668,639LIABILITIESAccounts payable
    
    $
    36,757
    
    
    $
    66,072Interest payable
    
    
    643
    
    
    
    0Brokerage fee
    
    
    20,636
    
    
    
    28,580Options written, at fair value
(premiums received  $48,050 and $50,507, respectively)
    
    
    29,960
    
    
    
    45,850Accrued commissions and other trading fees on open contracts
    
    
    3,135
    
    
    
    1,593Offering costs payable
    
    
    6,516
    
    
    
    9,025Redemptions payable
    
    
    1,078,531
    
    
    
    682,036Total liabilities
    
    
    1,176,178
    
    
    
    833,156UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner - 1,413.580 units outstanding at
June 30, 2009 and December 31, 2008
    
    
    2,128,456
    
    
    
    2,306,948Other Unitholders - 19,016.583 and 20,544.542 units outstanding at
June 30, 2009 andDecember 31, 2008
    
    
    28,633,743
    
    
    
    33,528,535Total unitholders capital (Net Asset Value)
    
    
    30,762,199
    
    
    
    35,835,483Total liabilities and unitholders capital (Net Asset Value)
    
    $
    31,938,377
    
    
    $
    36,668,639
 See Accompanying Notes to Financial Statements.
 - 7 -




---



##### 



Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (1,855,684
    )
    
    $
    (441,008
    )
    
    $
    (1,804,068
    )
    
    $
    770,891Change in unrealized
    
    
    142,189
    
    
    
    1,815,493
    
    
    
    28,673
    
    
    
    1,179,330Brokerage commissions
    
    
    (13,031
    )
    
    
    (13,279
    )
    
    
    (25,879
    )
    
    
    (27,334
    )Net gain (loss) from futures trading
    
    
    (1,726,526
    )
    
    
    1,361,206
    
    
    
    (1,801,274
    )
    
    
    1,922,887Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (519,001
    )
    
    
    838,094
    
    
    
    (139,191
    )
    
    
    (35,482
    )Change in unrealized
    
    
    109,530
    
    
    
    (15,984
    )
    
    
    (119,565
    )
    
    
    990,605Brokerage commissions
    
    
    (1,485
    )
    
    
    1,863
    
    
    
    (2,309
    )
    
    
    176Net gain (loss) from forward currency
and options on forward currency trading
    
    
    (410,956
    )
    
    
    823,973
    
    
    
    (261,065
    )
    
    
    955,299Total net trading gain (loss)
    
    
    (2,137,482
    )
    
    
    2,185,179
    
    
    
    (2,062,339
    )
    
    
    2,878,186INTEREST INCOME NET OF EXPENSESIncomeInterest income
    
    
    4,673
    
    
    
    146,813
    
    
    
    7,151
    
    
    
    398,354ExpensesBrokerage fee
    
    
    237,576
    
    
    
    262,900
    
    
    
    497,155
    
    
    
    526,626Operating expenses
    
    
    22,422
    
    
    
    24,033
    
    
    
    47,628
    
    
    
    45,235Total expenses
    
    
    259,998
    
    
    
    286,933
    
    
    
    544,783
    
    
    
    571,861Interest income net of expenses
    
    
    (255,325
    )
    
    
    (140,120
    )
    
    
    (537,632
    )
    
    
    (173,507
    )NET INCOME (LOSS)
    
    $
    (2,392,807
    )
    
    $
    2,045,059
    
    
    $
    (2,599,971
    )
    
    $
    2,704,679NET INCOME (LOSS) PER MANAGING OWNER
AND OTHER UNITHOLDERS UNIT
(based on weighted average number of units
outstanding during the period)
    
    $
    (110.22
    )
    
    $
    91.39
    
    
    $
    (118.42
    )
    
    $
    119.83INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT
    
    $
    (113.43
    )
    
    $
    87.87
    
    
    $
    (126.27
    )
    
    $
    113.00
 See Accompanying Notes to Financial Statements.
 - 8 -




---



##### 



Six Months EndedJune 30,2009
    
    
    2008Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (2,599,971
    )
    
    $
    2,704,679Adjustments to reconcile net income (loss) to net cash from (for) operating activitiesNet change in unrealized
    
    
    90,892
    
    
    
    (2,169,935
    )(Increase) decrease in restricted cash
    
    
    1,180,793
    
    
    
    0(Increase) decrease in option premiums paid
    
    
    (1,638
    )
    
    
    61,935Increase (decrease) in option premiums received
    
    
    (2,457
    )
    
    
    (34,628
    )(Increase) decrease in interest receivable
    
    
    558
    
    
    
    304Increase (decrease) in interest payable
    
    
    643
    
    
    
    0(Increase) decrease in prepaid expenses
    
    
    (3,912
    )
    
    
    (2,309
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    (35,718
    )
    
    
    (11,424
    )Net maturities (purchases) of investments in United States government securities
    
    
    (27,049,510
    )
    
    
    1,408,958Net cash from (for) operating activities
    
    
    (28,420,320
    )
    
    
    1,957,580Cash flows from (for) financing activitiesAddition of units
    
    
    1,213,578
    
    
    
    1,471,696Redemption of units
    
    
    (3,133,400
    )
    
    
    (2,935,211
    )Offering costs paid
    
    
    (159,505
    )
    
    
    (167,699
    )Net cash from (for) financing activities
    
    
    (2,079,327
    )
    
    
    (1,631,214
    )Net increase (decrease) in cash
    
    
    (30,499,647
    )
    
    
    326,366Unrestricted cashBeginning of period
    
    
    34,224,210
    
    
    
    4,191,592End of period
    
    $
    3,724,563
    
    
    $
    4,517,958End of period cash consists of:Cash in broker trading accounts
    
    $
    3,337,843
    
    
    $
    3,358,013Cash
    
    
    386,720
    
    
    
    1,159,945Total end of period cash
    
    $
    3,724,563
    
    
    $
    4,517,958
 See Accompanying Notes to Financial Statements.
 - 9 -




---



##### 



Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountSix Months Ended June 30, 2009Balances at December 31, 2008
    
    
    1,413.580
    
    
    $
    2,306,948
    
    
    
    20,544.542
    
    
    $
    33,528,535
    
    
    
    21,958.122
    
    
    $
    35,835,483Net income (loss) for the six months ended
June 30, 2009
    
    
    
    
    
    
    (168,389
    )
    
    
    
    
    
    
    (2,431,582
    )
    
    
    
    
    
    
    (2,599,971
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    754.368
    
    
    
    1,213,578
    
    
    
    754.368
    
    
    
    1,213,578Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (2,282.327
    )
    
    
    (3,529,895
    )
    
    
    (2,282.327
    )
    
    
    (3,529,895
    )Offering costs
    
    
    
    
    
    
    (10,103
    )
    
    
    
    
    
    
    (146,893
    )
    
    
    
    
    
    
    (156,996
    )Balances at June 30, 2009
    
    
    1,413.580
    
    
    $
    2,128,456
    
    
    
    19,016.583
    
    
    $
    28,633,743
    
    
    
    20,430.163
    
    
    $
    30,762,199Six 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
    
    
    $
    38,363,114
 Net Asset Value per Managing Owner and Other Unitholders UnitJune 30, 2009
    
    
    
    
    December 31, 2008
    
    
    June 30, 2008
    
    
    December 31, 2007$
    1,505.72
    
    
    
    
    $
    1,631.99
    
    
    $
    1,716.59
    
    
    $
    1,603.59
 See Accompanying Notes to Financial Statements.
 - 10 -




---



##### 



Three Months Ended
    
    
    Six Months EndedJune 30,
    
    
    June 30,2009
    
    
    2008
    
    
    2009
    
    
    2008Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,619.15
    
    
    $
    1,628.72
    
    
    $
    1,631.99
    
    
    $
    1,603.59Income (loss) from operations:Total net trading gains
(losses) (1)
    
    
    (98.21
    )
    
    
    97.84
    
    
    
    (94.63
    )
    
    
    128.06Interest income net of
expenses (1)
    
    
    (11.76
    )
    
    
    (6.26
    )
    
    
    (24.49
    )
    
    
    (7.69
    )Total net income (loss) from operations
    
    
    (109.97
    )
    
    
    91.58
    
    
    
    (119.12
    )
    
    
    120.37Offering costs (1)
    
    
    (3.46
    )
    
    
    (3.71
    )
    
    
    (7.15
    )
    
    
    (7.37
    )Net asset value per unit at end of period
    
    $
    1,505.72
    
    
    $
    1,716.59
    
    
    $
    1,505.72
    
    
    $
    1,716.59Total Return(3)
    
    
    (7.01
    )%
    
    
    5.40
    %
    
    
    (7.74
    )%
    
    
    7.05
    %Supplemental DataRatios to average net asset value:Expenses prior to
performance fee (4)
    
    
    3.11
    %
    
    
    3.13
    %
    
    
    3.14
    %
    
    
    3.12
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    3.11
    %
    
    
    3.13
    %
    
    
    3.14
    %
    
    
    3.12
    %Interest income net of expenses (2),(4),(5)
    
    
    (3.05
    )%
    
    
    (1.53
    )%
    
    
    (3.09
    )%
    
    
    (0.95
    )%
 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 -




---



##### 



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, 2009 and December 31, 2008, the 401(K) Plan held approximately 72% and 68% of the Trusts
outstanding units, respectively.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to the
regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity
Futures Trading Commission, an agency of the United States (U.S.) government which regulates
most aspects of the commodity futures industry; rules of the National Futures Association, an
industry self-regulatory organization; and the requirements of the various commodity exchanges
where the Trust executes transactions. Additionally, the Trust is subject to the requirements
of futures commission merchants (brokers) and interbank market makers through which the Trust
trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting principles
generally accepted in the United States of America, which may require the use of certain
estimates made by the Trusts management. Actual results may differ from these estimates.
Investment transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the difference
between contract trade price and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of offset of unrealized gains or
losses in accordance with Financial Accounting Standards Board 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.The Trust adopted the provisions of Statement of Financial Accounting Statement No. 157 -
Fair Value Measurement, or SFAS 157, as of January 1, 2008. SFAS 157 provides guidance for
determining fair value and requires increased disclosure regarding the inputs to valuation
techniques used to measure fair value. SFAS 157 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.SFAS No. 157 establishes a fair value hierarchy which prioritizes the inputs to valuation
techniques used to measure fair value into three broad levels. The fair value hierarchy gives
the highest priority to quoted prices (unadjusted) in active markets for identical assets or
liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or
liabilities that the Trust has the ability to access at the measurement date. An active market
for the asset or liability is a market in which transactions for the asset or liability occur
with sufficient frequency and volume to provide pricing information on an ongoing basis. The
value of the Trusts exchange-traded futures contracts fall into this category.Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for
the asset or liability, either directly or indirectly. This category includes forward currency
contracts and options on forward currency contracts that the Trust values using models or
other valuation methodologies derived from observable market data. This category also includes
U.S. Treasury bills.Level 3 inputs are unobservable inputs for an asset or liability (including the Funds own
assumptions used in determining the fair value of investments). Unobservable inputs shall be
used to measure fair value to the extent that observable inputs are not available, thereby
allowing for situations in which there is little, if any, market activity for the asset or
liability at the measurement date. As of and for the period ended June 30, 2009, the Trust did
not have any Level 3 assets or liabilities.
 
 - 12 -




---



##### 



Fair Value at June 30, 2009Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsU.S. Treasury Bills
    
    $
    0
    
    
    $
    28,149,510
    
    
    $
    0
    
    
    $
    28,149,510Other Financial InstrumentsExchange-traded futures contracts
    
    
    22,519
    
    
    
    0
    
    
    
    0
    
    
    
    22,519Forward currency contracts
    
    
    0
    
    
    
    19,903
    
    
    
    0
    
    
    
    19,903Options purchased
    
    
    0
    
    
    
    15,970
    
    
    
    0
    
    
    
    15,970Options written
    
    
    0
    
    
    
    (29,960
    )
    
    
    0
    
    
    
    (29,960
    )Total
    
    $
    22,519
    
    
    $
    28,155,423
    
    
    $
    0
    
    
    $
    28,177,942
 Fair Value at December 31, 2008Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsU.S. Treasury Bills
    
    $
    0
    
    
    $
    1,100,000
    
    
    $
    0
    
    
    $
    1,100,000Other Financial InstrumentsExchange-traded futures contracts
    
    
    (6,154
    )
    
    
    0
    
    
    
    0
    
    
    
    (6,154
    )Forward currency contracts
    
    
    0
    
    
    
    159,738
    
    
    
    0
    
    
    
    159,738Options purchased
    
    
    0
    
    
    
    7,494
    
    
    
    0
    
    
    
    7,494Options written
    
    
    0
    
    
    
    (45,850
    )
    
    
    0
    
    
    
    (45,850
    )Total
    
    $
    (6,154
    )
    
    $
    1,221,382
    
    
    $
    0
    
    
    $
    1,215,228
 D.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns and reports
to the unitholders their allocable shares of the Trusts income, expenses and trading gains or
losses. No provision for income taxes has been made in the accompanying financial statements
as each unitholder is individually responsible for reporting income or loss based on such
unitholders respective share of the Trusts income and expenses as reported for income tax
purposes.Management has continued to evaluate the application of 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 no
reserves for uncertain tax positions were required to have been recorded as a result of the
adoption of FIN 48. Management is not aware of any tax positions for which it is reasonably
possible that the total amounts of unrecognized tax benefits will significantly increase or
decrease within twelve months. The Trust files federal and state tax returns. The 2005
through 2008 tax years generally remain subject to examination by the U.S. federal and most
state tax authorities.E.
    
    Offering 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, 2009 and December 31, 2008, the Trust reflects a liability in the statement
of financial condition for offering costs payable to Campbell & Company of $6,516 and $9,025,
respectively.The offering costs for which Campbell & Company are being reimbursed relate to the offering of
units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company
rebates to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates are
made by issuing additional units to the 401(K) Plan.
 If the Trust terminates prior to completion of payment to Campbell & Company for the
unreimbursed offering costs incurred through the date of such termination, Campbell & Company
will not be entitled to any additional payments, and the Trust will have no further obligation
to Campbell & Company. At June 30, 2009 and December 31, 2008, the amount of unreimbursed
offering costs incurred by Campbell & Company is $63,094 and $114,051, respectively.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of
the statement of financial condition. Income and expense items denominated in currencies other
than the U.S. dollar are translated into U.S. dollars at the rates in effect during the
period. Gains and losses resulting from the translation to U.S. dollars are reported in
income.
 - 13 -




---



##### 



G.
    
    Recently Issued Accounting PronouncementsIn May 2009, the FASB issued Statement of Financial Accounting Standards No. 165, Subsequent
Events(SFAS 165). SFAS 165 establishes general standards of accounting for and disclosure of
events that occur after the statement of financial condition date but before the financial
statements are issued or available to be issued. SFAS 165 is effective for financial
statements issued for interim and annual periods ending after June 15, 2009. See Note 10.
 Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR
     Note 3. TRUSTEE
  Note 4. DEPOSITS WITH BROKER
  Note 5. OPERATING EXPENSES
  Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   Note 7. TRADING ACTIVITIES AND RELATED RISKS
   - 14 -




---



##### 



Forward Currency andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)June 30, 2009
    
    
    December 31, 2008
    
    
    June 30, 2009
    
    
    December 31, 2008Gross unrealized gains
    
    $
    303,916
    
    
    $
    192,722
    
    
    $
    677,464
    
    
    $
    977,900Gross unrealized losses
    
    
    (281,397
    )
    
    
    (198,876
    )
    
    
    (638,914
    )
    
    
    (819,786
    )Net unrealized gain (loss)
    
    $
    22,519
    
    
    $
    (6,154
    )
    
    $
    38,550
    
    
    $
    158,114
    Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial

    
    June 30, 2009
    
    
    June 30, 2009Type of Instrument *
    
    Condition Location

    
    Fair Value
    
    
    Fair Value
    
    
    NetEnergy Contracts
    
    Equity in broker trading accounts
    
    $
    26,649
    
    
    $
    (36,502
    )
    
    $
    (9,853
    )Metal Contracts
    
    Equity in broker trading accounts
    
    
    29,850
    
    
    
    (44,380
    )
    
    
    (14,530
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    125,233
    
    
    
    (5,930
    )
    
    
    119,303Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    52,960
    
    
    
    (5,097
    )
    
    
    47,863Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    69,223
    
    
    
    (189,487
    )
    
    
    (120,264
    )Forward Currency Contracts
    
    Net unrealized gain (loss) on forward currency contracts
    
    
    653,252
    
    
    
    (633,349
    )
    
    
    19,903Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    15,970
    
    
    
    0
    
    
    
    15,970Written Options on Forward Currency Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (29,960
    )
    
    
    (29,960
    )Totals
    
    
    
    
    
    $
    973,137
    
    
    $
    (944,705
    )
    
    $
    28,432
 
 *
    
    Derivatives not designated as hedging instruments under Statement 133 - 15 -




---



##### 



Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Six Months EndedType of Instrument
    
    June 30, 2009
    
    
    June 30, 2009Energy Contracts
    
    $
    59,716
    
    
    $
    29,684Metal Contracts
    
    
    (113,837
    )
    
    
    (310,165
    )Stock Indices Contracts
    
    
    (763,647
    )
    
    
    (1,051,862
    )Short-Term Interest Rate Contracts
    
    
    (481,020
    )
    
    
    (212,745
    )Long Term Interest Rate Contracts
    
    
    (430,700
    )
    
    
    (241,915
    )Forward Currency Contracts
    
    
    (646,366
    )
    
    
    (710,633
    )Purchased Options on Forward Currency Contracts
    
    
    (104,834
    )
    
    
    (177,894
    )Written Options on Forward Currency Contracts
    
    
    341,729
    
    
    
    629,771Total
    
    $
    (2,138,959
    )
    
    $
    (2,045,759
    )
 Trading Revenue for
    
    
    Trading Revenue forthe Three Months Ended
    
    
    the Six Months EndedLine Item in the Statement of Operations
    
    June 30, 2009
    
    
    June 30, 2009Futures trading gains (losses):Realized
    
    $
    (1,871,677
    )
    
    $
    (1,815,676
    )Change in unrealized
    
    $
    142,189
    
    
    $
    28,673Forward currency and options on forward currency trading gains (losses):Realized
    
    $
    (519,001
    )
    
    $
    (139,191
    )Change in unrealized
    
    
    109,530
    
    
    
    (119,565
    )Total
    
    $
    (2,138,959
    )
    
    $
    (2,045,759
    )
     - 16 -




---



##### 



Note 8. INDEMNIFICATIONS
  Note 9. INTERIM FINANCIAL STATEMENTS
  Note 10. SUBSEQUENT EVENTS
  - 17 -




---



##### 



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




---



##### 



i.e.
   Results of Operations
  2009
  - 19 -




---



##### 



Sector
    
    % Gain (Loss)Currencies
    
    
    (0.66
    )%Commodities
    
    
    (0.73
    )Interest Rates
    
    
    (1.47
    )Stock Indices
    
    
    (2.80
    )(5.66
    )%
     - 20 -




---



##### 



2008
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    5.03
    %Commodities
    
    
    2.82Currencies
    
    
    2.60Interest Rates
    
    
    (2.40
    )8.05
    %
 - 21 -




---



##### 



- 22 -




---



##### 



Off-Balance Sheet Risk
    - 23 -




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  
 Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  - 24 -




---



##### 



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).
       - 25 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  June 30, 2009TradingMarket Sector
    
    Value at Risk*

    
    Gain/(Loss)**Currencies
    
    
    0.71
    %
    
    
    (0.66
    )%Interest Rates
    
    
    0.51
    %
    
    
    (1.47
    )%Stock Indices
    
    
    0.43
    %
    
    
    (2.80
    )%Commodities
    
    
    0.30
    %
    
    
    (0.73
    )%Aggregate/Total
    
    
    1.18
    %
    
    
    (5.66
    )%
 
 *
    -
    The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    -
    Of the 2009 year-to-date decrease of 7.74%, approximately 5.66% was due to trading losses
(before commissions) approximately 2.10% was due to brokerage fees, operating costs and
offering costs borne by the Trust offset by approximately 0.02% due to interest income. December 31, 2008TradingMarket Sector
    
    Value at Risk*

    
    Gain/(Loss)**Currencies
    
    
    0.50
    %
    
    
    (0.51
    )%Interest Rates
    
    
    0.30
    %
    
    
    (4.51
    )%Stock Indices
    
    
    0.18
    %
    
    
    9.10
    %Commodities
    
    
    0.05
    %
    
    
    0.35
    %Aggregate/Total
    
    
    0.60
    %
    
    
    4.43
    %
 
 *
    -
    The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    -
    Of the return for the year ended December 31, 2008, approximately 4.43% was due to
trading gains (before commissions) and approximately 1.51% due to interest income offset by
approximately 4.17% due to brokerage fees, operating costs and offering costs borne by the
Trust offset by giving a net return of 1.77%. - 26 -




---



##### 



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; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
 - 27 -




---



##### 



Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  Metals
  - 28 -




---



##### 



Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  
 Item 4T. Controls and Procedures
  - 29 -




---



##### 



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

    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 (b)
    
    Reports of Form 8-KNone
 - 30 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: August 14, 2009
    
    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 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