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, 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)
 Baltimore, Maryland 21209
 (410) 413-2600
 þ o
 o o
  Large accelerated filer o
    
    Accelerated filer o
    
    Non-accelerated filer   o
(Do not check if a smaller reporting company)
    
    Smaller reporting company þ
 o þ
   32




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PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsCondensed Schedules of Investments as of March 31, 2009 (Unaudited)
and December 31, 2008
    
    
    3-6Statements of Financial Condition as of March 31, 2009 (Unaudited)
and December 31, 2008
    
    
    7Statements of Operations for the Three Months Ended
March 31, 2009 and 2008 (Unaudited)
    
    
    8Statements of Cash Flows for the Three Months Ended
March 31, 2009 and 2008 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2009 and 2008 (Unaudited)
    
    
    10Financial Highlights for the Three Months Ended March 31, 2009 and
2008 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-19Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    20-24Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    25-30Item 4T. Controls and Procedures
    
    
    30PART II  OTHER INFORMATION
    
    
    31Item 6. Exhibits and Reports on Form 8-K
    
    
    31SIGNATURES
    
    
    32CERTIFICATIONS




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##### 



UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    Maturity
    
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    Date
    
    Description
    
    Values ($)
    
    
    Asset Value$31,000,000
    
    
    04/16/2009
    
    
    U.S. Treasury Bills
    
    $
    30,999,160
    
    
    
    86.89
    %$  1,250,000
    
    
    04/23/2009
    
    
    U.S. Treasury Bills
    
    $
    1,249,993
    
    
    
    3.50
    %Total United States government securities(cost, including accrued interest,  $32,249,153)
    
    $
    32,249,153
    
    
    
    90.39
    %LONG
FUTURES CONTRACTSDescriptionEnergy
    
    $
    (12,096
    )
    
    
    (0.03
    )%Metals
    
    $
    11,985
    
    
    
    0.03
    %Stock indices
    
    $
    (950
    )
    
    
    0.00
    %Short-term interest rates
    
    $
    102,856
    
    
    
    0.29
    %Long-term
interest rates
    
    $
    152,388
    
    
    
    0.43
    %Total
long futures contracts
    
    $
    254,183
    
    
    
    0.72
    %SHORT FUTURES CONTRACTSDescriptionEnergy
    
    $
    52,651
    
    
    
    0.15
    %Metals
    
    $
    (95,569
    )
    
    
    (0.27
    )%Stock
indices
    
    $
    (349,106
    )
    
    
    (0.98
    )%Short-term
interest rates
    
    $
    (163
    )
    
    
    0.00
    %Long-term
interest rates
    
    $
    18,335
    
    
    
    0.05
    %Total short futures contracts
    
    $
    (373,852
    )
    
    
    (1.05
    )%Total futures contracts
    
    $
    (119,669
    )
    
    
    (0.33
    )%
 See Accompanying Notes to Financial Statements.
 - 3 -




---



##### 



% of NetValues ($)
    
    
    Asset ValueFORWARD CURRENCY CONTRACTSDescriptionVarious long forward currency
contracts
    
    $
    597,844
    
    
    
    1.68
    %Various short forward
currency contracts
    
    $
    (653,462
    )
    
    
    (1.83
    )%Total forward currency contracts
    
    $
    (55,618
    )
    
    
    (0.15
    )%PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on forward
currency contracts (premiums
paid  $14,178)
    
    $
    10,679
    
    
    
    0.03
    %WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward
currency contracts      (premiums
received  $50,187)
    
    $
    (62,050
    )
    
    
    (0.17
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.
 - 4 -




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##### 



UNITED STATES GOVERNMENT SECURITIES*
 Maturity
    
    Maturity
    
    
    
    
    
    
    
    
    
    % of NetFace Value
    
    Date
    
    Description
    
    Values ($)
    
    
    Asset Value$1,100,000
    
    
    01/02/2009
    
    
    U.S. Treasury Bills
    
    $
    1,100,000
    
    
    
    3.07
    %Total United States government
securities(cost, including accrued interest,  $1,100,000)
    
    $
    1,100,000
    
    
    
    3.07
    %LONG
FUTURES 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 -




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##### 



March 31,
    
    
    December 31,2009
    
    
    2008ASSETSEquity in broker trading accountsCash
    
    $
    4,066,882
    
    
    $
    33,954,446Restricted cash
    
    
    0
    
    
    
    1,180,793United States government securities
    
    
    30,999,160
    
    
    
    0Net unrealized gain (loss) on open futures contracts
    
    
    (119,669
    )
    
    
    (6,154
    )Total equity in broker trading accounts
    
    
    34,946,373
    
    
    
    35,129,085Cash
    
    
    251,360
    
    
    
    269,764United States government securities
    
    
    1,249,993
    
    
    
    1,100,000Options purchased, at fair value
(premiums paid  $14,178 and $13,775, respectively)
    
    
    10,679
    
    
    
    7,494Net unrealized gain (loss) on open forward currency contracts
    
    
    (55,618
    )
    
    
    159,738Interest receivable
    
    
    207
    
    
    
    558Prepaid expenses
    
    
    1,000
    
    
    
    2,000Total assets
    
    $
    36,403,994
    
    
    $
    36,668,639LIABILITIESAccounts payable
    
    $
    49,076
    
    
    $
    66,072Brokerage fee
    
    
    27,057
    
    
    
    28,580Options written, at fair value
(premiums received  $50,187 and $50,507, respectively)
    
    
    62,050
    
    
    
    45,850Accrued commissions and other trading fees on open contracts
    
    
    3,146
    
    
    
    1,593Offering costs payable
    
    
    8,544
    
    
    
    9,025Redemptions payable
    
    
    578,267
    
    
    
    682,036Total liabilities
    
    
    728,140
    
    
    
    833,156UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units outstanding at
March 31, 2009 and December 31, 2008
    
    
    2,288,798
    
    
    
    2,306,948Other Unitholders  20,620.173 and 20,544.542 units outstanding at
March 31, 2009 and December 31, 2008
    
    
    33,387,056
    
    
    
    33,528,535Total unitholders capital (Net Asset Value)
    
    
    35,675,854
    
    
    
    35,835,483Total liabilities and unitholders capital (Net Asset Value)
    
    $
    36,403,994
    
    
    $
    36,668,639
 See Accompanying Notes to Financial Statements.
 - 7 -




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##### 



Three Months EndedMarch 31,2009
    
    
    2008TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    51,616
    
    
    $
    1,211,899Change in unrealized
    
    
    (113,516
    )
    
    
    (636,163
    )Brokerage commissions
    
    
    (12,848
    )
    
    
    (14,055
    )Net gain (loss) from futures trading
    
    
    (74,748
    )
    
    
    561,681Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    379,810
    
    
    
    (873,576
    )Change in unrealized
    
    
    (229,095
    )
    
    
    1,006,589Brokerage commissions
    
    
    (824
    )
    
    
    (1,687
    )Net gain (loss) from forward currency
and options on forward currency trading
    
    
    149,891
    
    
    
    131,326Total net trading gain (loss)
    
    
    75,143
    
    
    
    693,007INTEREST INCOME NET OF EXPENSESIncomeInterest income
    
    
    2,478
    
    
    
    251,541ExpensesBrokerage fee
    
    
    259,579
    
    
    
    263,726Operating expenses
    
    
    25,206
    
    
    
    21,202Total expenses
    
    
    284,785
    
    
    
    284,928Interest income net of expenses
    
    
    (282,307
    )
    
    
    (33,387
    )NET INCOME (LOSS)
    
    $
    (207,164
    )
    
    $
    659,620NET INCOME (LOSS) PER MANAGING OWNER
AND OTHER UNITHOLDERS UNIT
(based on weighted average number
of units outstanding during the period)
    
    $
    (9.33
    )
    
    $
    28.97INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDERS UNIT
    
    $
    (12.84
    )
    
    $
    25.13
 See Accompanying Notes to Financial Statements.
 - 8 -




---



##### 



Three Months EndedMarch 31,2009
    
    
    2008Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (207,164
    )
    
    $
    659,620Adjustments to reconcile net income (loss) to net cash from
(for) operating activitiesNet change in unrealized
    
    
    342,611
    
    
    
    (370,426
    )(Increase) decrease in restricted cash
    
    
    1,180,793
    
    
    
    0(Increase) decrease in option premiums paid
    
    
    (403
    )
    
    
    60,120Increase (decrease) in option premiums received
    
    
    (320
    )
    
    
    (32,533
    )(Increase) decrease in interest receivable
    
    
    351
    
    
    
    1,897(Increase) decrease in prepaid expenses
    
    
    1,000
    
    
    
    0Increase (decrease) in accounts payable and accrued expenses
    
    
    (16,966
    )
    
    
    3,954Net maturities (purchases) of investments in
United States government securities
    
    
    (31,149,155
    )
    
    
    1,454,523Net cash from (for) operating activities
    
    
    (29,849,253
    )
    
    
    1,777,155Cash flows from (for) financing activitiesAddition of units
    
    
    883,085
    
    
    
    1,147,717Redemption of units
    
    
    (857,347
    )
    
    
    (1,920,601
    )Offering costs paid
    
    
    (82,453
    )
    
    
    (84,461
    )Net cash from (for) financing activities
    
    
    (56,715
    )
    
    
    (857,345
    )Net increase (decrease) in cash
    
    
    (29,905,968
    )
    
    
    919,810Unrestricted cashBeginning of period
    
    
    34,224,210
    
    
    
    4,191,592End of period
    
    $
    4,318,242
    
    
    $
    5,111,402End of period cash consists of:Cash in broker trading accounts
    
    $
    4,066,882
    
    
    $
    4,751,076Cash
    
    
    251,360
    
    
    
    360,326Total end of period cash
    
    $
    4,318,242
    
    
    $
    5,111,402
 See Accompanying Notes to Financial Statements.
 - 9 -




---



##### 



Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 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 three months ended
March 31, 2009
    
    
    
    
    
    
    (12,931
    )
    
    
    
    
    
    
    (194,233
    )
    
    
    
    
    
    
    (207,164
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    539.143
    
    
    
    883,085
    
    
    
    539.143
    
    
    
    883,085Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (463.512
    )
    
    
    (753,578
    )
    
    
    (463.512
    )
    
    
    (753,578
    )Offering costs
    
    
    
    
    
    
    (5,219
    )
    
    
    
    
    
    
    (76,753
    )
    
    
    
    
    
    
    (81,972
    )Balances at March 31, 2009
    
    
    1,413.580
    
    
    $
    2,288,798
    
    
    
    20,620.173
    
    
    $
    33,387,056
    
    
    
    22,033.753
    
    
    $
    35,675,854Three Months Ended March 31, 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 three months ended
March 31, 2008
    
    
    
    
    
    
    40,694
    
    
    
    
    
    
    
    618,926
    
    
    
    
    
    
    
    659,620Additions
    
    
    0.000
    
    
    
    0
    
    
    
    691.119
    
    
    
    1,113,779
    
    
    
    691.119
    
    
    
    1,113,779Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (912.646
    )
    
    
    (1,482,276
    )
    
    
    (912.646
    )
    
    
    (1,482,276
    )Offering costs
    
    
    
    
    
    
    (5,171
    )
    
    
    
    
    
    
    (78,110
    )
    
    
    
    
    
    
    (83,281
    )Balances at March 31, 2008
    
    
    1,413.580
    
    
    $
    2,302,326
    
    
    
    20,994.536
    
    
    $
    34,194,272
    
    
    
    22,408.116
    
    
    $
    36,496,598
 Net Asset Value per Managing Owner and Other Unitholders UnitMarch 31, 2009
    
    December 31, 2008
    
    March 31, 2008
    
    December 31, 2007$1,619.15
    
    $
    1,631.99
    
    
    $
    1,628.72
    
    
    $
    1,603.59
 See Accompanying Notes to Financial Statements.
 - 10 -




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##### 



Three Months EndedMarch 31,2009
    
    
    2008Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,631.99
    
    
    $
    1,603.59Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    3.57
    
    
    
    30.26Interest income net of expenses (1)
    
    
    (12.72
    )
    
    
    (1.47
    )Total net income (loss) from operations
    
    
    (9.15
    )
    
    
    28.79Offering costs (1)
    
    
    (3.69
    )
    
    
    (3.66
    )Net asset value per unit at end of period
    
    $
    1,619.15
    
    
    $
    1,628.72Total Return(3)
    
    
    (0.79
    )%
    
    
    1.57
    %Supplemental DataRatios to average net asset value:Expenses
prior to performance fee (4)
    
    
    3.13
    %
    
    
    3.10
    %Performance
fee (3)
    
    
    0.00
    %
    
    
    0.00
    %Total expenses
    
    
    3.13
    %
    
    
    3.10
    %Interest
income net of expenses
(2),(4),(5)
    
    
    (3.11
    )%
    
    
    (0.36
    )%
 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 is shown as a positive amount when interest income exceeds
expenses excluding the performance fee for the period and is shown as a negative amount when
expenses excluding performance fee 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 March
31, 2009 and December 31, 2008, the 401(K) Plan held approximately 69% 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.
 - 12 -




---



##### 



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 include 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 March 31, 2009, the Trust did not have any Level 3
assets or liabilities.The following tables set forth by level within the fair value hierarchy the Trusts investments
accounted for at fair value on a reoccurring basis as of March 31, 2009 and December 31, 2008.
 Fair Value at March 31, 2009Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsU.S. Treasury Bills
    
    $
    0
    
    
    $
    32,249,153
    
    
    $
    0
    
    
    $
    32,249,153Other
Financial InstrumentsExchange-traded futures contracts
    
    
    (119,669
    )
    
    
    0
    
    
    
    0
    
    
    
    (119,669
    )Forward currency contracts
    
    
    0
    
    
    
    (55,618
    )
    
    
    0
    
    
    
    (55,618
    )Options purchased
    
    
    0
    
    
    
    10,679
    
    
    
    0
    
    
    
    10,679Options written
    
    
    0
    
    
    
    (62,050
    )
    
    
    0
    
    
    
    (62,050
    )Total
    
    $
    (119,669
    )
    
    $
    32,142,164
    
    
    $
    0
    
    
    $
    32,022,495
 - 13 -




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##### 



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
FIN 48 does not have a material impact on the Trusts financial statements. 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 March 31, 2009 and December 31, 2008, the Trust reflects a liability in the
statement of financial condition for offering costs payable to Campbell & Company of $8,544
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 March 31, 2009 and December 31, 2008, the amount of unreimbursed offering costs incurred by Campbell & Company
is $87,416 and $114,051, respectively.
 - 14 -




---



##### 



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 $6 per round turn to the broker for execution
and clearing costs. Such costs are limited to 3.5% of average
month-end net assets per year.
From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for
administrative services and a portion (2.5%) is retained by Campbell & Company for trading
and management services rendered.Campbell & Company is also paid a performance fee equal to 20% of New Appreciation
(as defined) calculated as of the end of each calendar quarter and upon redemption
of units.Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee
applicable to the 401(K) Plan. All such rebates are made by issuing additional units to
the 401(K) Plan.
 Note 3. TRUSTEE
 The trustee of the Trust is U.S. Bank National Association, a national banking corporation
The trustee has delegated to the managing operator the duty and authority to manage the
business and affairs of the Trust and has only nominal duties and liabilities with respect
to the Trust.
 Note 4. DEPOSITS WITH BROKER
 The Trust deposits assets with a broker subject to Commodity Futures Trading Commission
regulations and various exchange and broker requirements. Margin requirements are satisfied
by the deposit of U.S. Treasury bills and cash with such broker. The Trust earns interest
income on its assets deposited with the broker.
 Note 5. OPERATING EXPENSES
 Operating expenses of the Trust are restricted by the Amended and Restated Declaration of
Trust and Trust Agreement to 0.40% per annum of the average month-end Net Asset Value of the
Trust.
 Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
 Investments in the Trust are made by subscription agreement, subject to acceptance by
Campbell & Company.The Trust is not required to make distributions, but may do so at the sole discretion of
Campbell & Company. A unitholder may request and receive redemption of units owned,
subject to restrictions in the Declaration of Trust and Trust Agreement.
 - 15 -




---



##### 



Note 7. TRADING ACTIVITIES AND RELATED RISKS
 The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward
currency contracts and options on forward currency contracts (collectively, derivatives).
Specifically, the Fund trades a portfolio primarily focused on financial futures, which are
instruments designed to hedge or speculate on changes in interest rates, currency exchange
rates or stock index values. A secondary emphasis is on metals and energy values. The Trust
is exposed to both market risk, the risk arising from changes in the market value of the
contracts, and credit risk, the risk of failure by another party to perform according to the
terms of a contract. The market sensitive instruments held by the Trust are acquired for
speculative trading purposes, and all or a substantial amount of the Trusts assets are
subject to the risk of trading loss. Unlike an operating company, the risk of market
sensitive instruments is integral, not incidental, to the Trusts main line of business.Purchase and sale of futures contracts requires margin deposits with the broker. Additional
deposits may be necessary for any loss on contract value. The Commodity Exchange Act
requires a broker to segregate all customer transactions and assets from such brokers
proprietary activities. A customers cash and other property (for example, U.S. Treasury
bills) deposited with a broker are considered commingled with all other customer trusts
subject to the brokers segregation requirements. In the event of a brokers insolvency,
recovery may be limited to a pro rata share of segregated Trusts available. It is possible
that the recovered amount could be less than total cash and other property deposited.The amount of required margin and good faith deposits with the broker and interbank market
makers usually range from 10% to 30% of Net Asset Value. The market value of securities held
to satisfy such requirements at March 31, 2009 and December 31, 2008 was $32,249,153 and
$1,100,000, respectively, which equals 90% and 3% of Net Asset Value, respectively. The cash
deposited with interbank market makers at March 31, 2009 and December 31, 2008 was $112,036
and $257,949, respectively, which equals 0% and 1% of Net Asset Value, respectively. These
amounts are included in cash and cash equivalents. Included in cash deposits with the broker
and interbank market maker at March 31, 2009 and December 31, 2008 was restricted cash for
margin requirements of $0 and $1,180,793 respectively, which equals 0% and 3% of Net Asset
Value respectively.The Trust trades forward currency and options on forward currency contracts in unregulated
markets between principals and assumes the risk of loss from counterparty nonperformance.
Accordingly, the risks associated with forward currency and options on foreign currency
contracts are generally greater than those associated with exchange traded contracts because
of the greater risk of counterparty default. Additionally, the trading of forward currency
and options on forward currency contracts typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit with financial institutions. In
the event of a financial institutions insolvency, recovery of Trust assets on deposit may
be limited to account insurance or other protection afforded such deposits.For derivatives, risks arise from changes in the market value of the contracts. Market
movements result in frequent changes in the fair market value of the Trusts open positions
and, consequently, in its earnings and cash flow. The Trusts market risk is influenced by a
wide variety of factors, including the level and volatility of exchange rates, interest
rates, equity price levels, the market value of financial instruments and contracts, the
diversification effects among the Trusts open positions and the liquidity of the markets in
which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional
contract value of futures and forward currency contracts purchased and unlimited liability
on such contracts sold short. As both a buyer and seller of options, the Trust pays or
receives a premium at the outset and then bears the risk of unfavorable changes in the price
of the contract underlying the option. Written options expose the Trust to potentially
unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid.
 - 16 -




---



##### 



The unrealized gain (loss) on open futures, forward currency and options on forward currency
contracts is comprised of the following:
 Forward Currency andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)March  31, 2009
    
    
    December 31, 2008
    
    
    March 31, 2009
    
    
    December 31, 2008Gross unrealized gains
    
    $
    476,809
    
    
    $
    192,722
    
    
    $
    1,527,896
    
    
    $
    977,900Gross unrealized losses
    
    
    (596,478
    )
    
    
    (198,876
    )
    
    
    (1,598,876
    )
    
    
    (819,786
    )Net unrealized gain (loss)
    
    $
    (119,669
    )
    
    $
    (6,154
    )
    
    $
    (70,980
    )
    
    $
    158,114
 In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161 (SFAS 161),
Disclosures about Derivative Instruments and Hedging Activities  an amendment of FASB Statement
No. 133. SFAS 161 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. SFAS 161 is effective for
financial statements issued for the Trusts first fiscal year beginning after November 15, 2008. The
Trust adopted the provisions of SFAS 161 effective January 1, 2009.The following tables summarize quantitative information required by SFAS 161.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, 2009 is as follows:
 Asset
    
    
    LiabilityDerivatives at
    
    
    Derivatives atStatement of Financial
    
    March 31, 2009
    
    
    March 31, 2009Type of Instrument *
    
    Condition Location
    
    Fair Value
    
    
    Fair Value
    
    
    NetEnergy Contracts
    
    Equity in broker trading accounts
    
    $
    87,905
    
    
    $
    (47,350
    )
    
    $
    40,555Metal Contracts
    
    Equity in broker trading accounts
    
    
    14,630
    
    
    
    (98,213
    )
    
    
    (83,583
    )Stock Indices Contracts
    
    Equity in broker trading accounts
    
    
    25,753
    
    
    
    (375,810
    )
    
    
    (350,057
    )Short-Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    102,855
    
    
    
    (163
    )
    
    
    102,692Long Term Interest Rate Contracts
    
    Equity in broker trading accounts
    
    
    245,666
    
    
    
    (74,942
    )
    
    
    170,724Forward Currency Contracts
    
    Net unrealized gain (loss) on forward currency contracts
    
    
    1,512,594
    
    
    
    (1,568,212
    )
    
    
    (55,618
    )Purchased Options on Forward Currency Contracts
    
    Options purchased, at fair value
    
    
    10,679
    
    
    
    0
    
    
    
    10,679Written Options on
Forward Currency
Contracts
    
    Options written, at fair value
    
    
    0
    
    
    
    (62,050
    )
    
    
    (62,050
    )Totals
    
    
    
    $
    2,000,082
    
    
    $
    (2,226,740
    )
    
    $
    (226,658
    )
 
 *
    
    Derivatives not designated as hedging instruments under Statement 133 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, 2009 is as follows:
 - 17 -




---



##### 



Trading Revenue forthe Three Months EndedType of Instrument
    
    March 31, 2009Energy Contracts
    
    $
    (30,032
    )Metal Contracts
    
    
    (196,328
    )Stock Indices Contracts
    
    
    (288,215
    )Short-Term Interest Rate Contracts
    
    
    268,275Long Term Interest Rate Contracts
    
    
    188,785Forward Currency Contracts
    
    
    (64,267
    )Purchased Options on Forward Currency Contracts
    
    
    (73,060
    )Written Options on Forward Currency Contracts
    
    
    288,042Total
    
    $
    93,200
 Trading Revenue forthe Three Months EndedLine Item in the Statement of Operations
    

March 31, 2009Futures trading gains (losses):Realized
    
    $
    56,001Change in unrealized
    
    $
    (113,516
    )Forward currency and options on forward currency trading
gains (losses):Realized
    
    $
    379,810Change in unrealized
    
    
    (229,095
    )Total
    
    $
    93,200
 For the three months ended March 31, 2009, the monthly average of futures contracts bought and
sold was approximately 725 and the monthly average of notional value traded for forward
currency and options on forward currency contacts was approximately $131,600,000.Open contracts generally mature within three months; as of March 31, 2009, the latest maturity date
for open futures contracts is June 2010, the latest maturity date for open forward currency
contracts is June 2009, and the latest expiry date for options on forward currency contracts is
April 2009. However, the Trust intends to close all futures and foreign currency contracts prior to
maturity.Campbell & Company has established procedures to actively monitor market risk and minimize credit
risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell &
Companys basic market risk control procedures consist of continuously monitoring open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds
30%. Campbell & Companys attempt to manage the risk of the Trusts open positions is essentially
the same in all market categories traded. Campbell & Company applies risk management policies to
its trading which generally limit the total exposure that may be taken per risk unit of assets
under management. In addition, Campbell & Company follows diversification guidelines (often
formulated in terms of the balanced volatility between markets and correlated groups), as well as
precalculating stop-loss points at which systems will signal to close open positions. Campbell &
Company controls the risk of the Funds non-trading instruments (Treasury Bills held for cash
management purposes) by limiting the duration of such instruments to no more than six months.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.
 - 18 -




---



##### 



Note 8. 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 9. INTERIM FINANCIAL STATEMENTS
 The statement of financial condition, including the condensed schedule of investments, as of
March 31, 2009, and the statements of operations, cash flows, changes in unitholders
capital (Net Asset Value) and financial highlights for the three months ended March 31, 2009 and 2008 are unaudited. In the
opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair
 presentation of financial position as of March 31, 2009, and  the results of operations, cash flows, changes in unitholders
capital (Net Asset Value) and financial highlights for the three months ended March 31, 2009 and 2008.
 - 19 -




---



##### 



Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
   
        - 20 -




---



##### 



i.e.
   Results of Operations
  2009
  - 21 -




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    1.23
    %Currencies
    
    
    0.42Commodities
    
    
    (0.61
    )Stock Indices
    
    
    (0.79
    )0.25
    %
    2008
  - 22 -




---



##### 



Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.85
    %Currencies
    
    
    0.27Commodities
    
    
    (0.10
    )Interest Rates
    
    
    (1.09
    )1.93
    %
    - 23 -




---



##### 



Off-Balance Sheet Risk
    Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  - 24 -




---



##### 



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical 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
  - 26 -




---



##### 



March 31, 2009TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Stock Indices
    
    
    0.64
    %
    
    
    (0.79
    )%Currencies
    
    
    0.56
    %
    
    
    0.42
    %Interest Rates
    
    
    0.38
    %
    
    
    1.23
    %Commodities
    
    
    0.20
    %
    
    
    (0.61
    )%Aggregate/Total
    
    
    1.23
    %
    
    
    0.25
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the 2009 year-to-date decrease of 0.79%, approximately 1.05% due to brokerage fees,
operating costs and offering costs borne by the Trust offset by approximately 0.25% due to
trading gains (before commissions) and approximately 0.01% 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%. 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.
 - 27 -




---



##### 



Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 - 28 -




---



##### 



Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  - 29 -




---



##### 



Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
   Item 4T. Controls and Procedures
  - 30 -




---



##### 



PART II  OTHER INFORMATION
 Item 1. Legal Proceedings.
  Item 2. Changes in Securities and Use of Proceeds
  Item 3. Defaults Upon Senior Securities
  Item 4. Submissions of Matters to a vote of Security Holders.
  Item 5. Other Information
   Item 6. Exhibits and Reports on Form 8-K.
 (a)
    
    Exhibits
 ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    Certification of Theresa D. Becks, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    Certification of Gregory T. Donovan, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 
 - 31 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: May 15, 2009
    
    
    
    By:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Executive Officer
 - 32 -




---



##### 



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