##### 



UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the quarterly period ended September 30, 2005
 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 þ
  o o
 29




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of September 30, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    3Condensed Schedule of Investments as of September 30, 2005 (Unaudited)
and December 31, 2004 (Audited)
    
    
    4-5Statements of Operations for the Three Months and Nine Months
Ended September 30, 2005 and 2004 (Unaudited)
    
    
    6Statements of Cash Flows for the Nine Months Ended
September 30, 2005 and 2004 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Nine Months Ended September 30, 2005 and 2004 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    15-21Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    21-26Item 4.
    
    Controls and Procedures
    
    
    27PART II  OTHER INFORMATION
    
    
    28SIGNATURESCERTIFICATIONS
 - 2 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 September 30,
    
    
    December 31,2005
    
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    1,446,576
    
    
    $
    1,737,399United States government securities
    
    
    27,263,917
    
    
    
    23,205,469Net unrealized gain on open futures contracts
    
    
    834,869
    
    
    
    515,410Total equity in broker trading accounts
    
    
    29,545,362
    
    
    
    25,458,278Cash
    
    
    2,929,174
    
    
    
    10,308,861United States government securities
    
    
    4,965,968
    
    
    
    0Net unrealized gain (loss) on open forward currency contracts
    
    
    821,906
    
    
    
    (541,572
    )Total assets
    
    $
    38,262,410
    
    
    $
    35,225,567LIABILITIESAccounts payable
    
    $
    26,565
    
    
    $
    27,679Brokerage fee
    
    
    49,478
    
    
    
    49,029Commissions and other trading fees
on open contracts
    
    
    9,976
    
    
    
    18,513Offering costs payable
    
    
    15,624
    
    
    
    15,483Redemptions payable
    
    
    29,763
    
    
    
    159,478Total liabilities
    
    
    131,406
    
    
    
    270,182UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units outstanding at
September 30, 2005 and December 31, 2004
    
    
    2,311,147
    
    
    
    2,122,335Other Unitholders  21,908.714 and 21,868.461 units
outstanding at September 30, 2005 and December 31, 2004
    
    
    35,819,857
    
    
    
    32,833,050Total unitholders capital
(Net Asset Value)
    
    
    38,131,004
    
    
    
    34,955,385Total liabilities and unitholders capital
    
    $
    38,262,410
    
    
    $
    35,225,567
  - 3 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES
 Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    Date
    
    Description
    
    Value
    
    
    Asset Value$13,500,000
    
    11/03/2005
    
    U.S. Treasury Bills
    
    $
    13,458,297
    
    
    
    35.29
    %$  6,600,000
    
    10/06/2005
    
    U.S. Treasury Bills
    
    
    6,597,204
    
    
    
    17.30
    %$  7,250,000
    
    12/01/2005
    
    U.S. Treasury Bills
    
    
    7,208,416
    
    
    
    18.91
    %$  5,000,000
    
    12/15/2005
    
    U.S. Treasury Bills
    
    
    4,965,968
    
    
    
    13.02
    %Total United States government securities
(cost, including accrued
interest,  $32,229,885)
    
    $
    32,229,885
    
    
    
    84.52
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (21,250
    )
    
    
    (0.06
    )%Metals
    
    
    55,525
    
    
    
    0.15
    %Stock index
    
    
    461,839
    
    
    
    1.21
    %Short-term interest rates
    
    
    2,028
    
    
    
    0.00
    %Long-term interest rates
    
    
    (41,256
    )
    
    
    (0.11
    )%Total long futures contracts
    
    $
    456,886
    
    
    
    1.19
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (54,046
    )
    
    
    (0.14
    )%Short-term interest rates
    
    
    192,451
    
    
    
    0.51
    %Long-term interest rates
    
    
    239,578
    
    
    
    0.63
    %Total short futures contracts
    
    $
    377,983
    
    
    
    1.00
    %Total futures contracts
    
    $
    834,869
    
    
    
    2.19
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (2,227,138
    )
    
    
    (5.84
    )%Various short forward currency contracts
    
    
    3,049,044
    
    
    
    8.00
    %Total forward currency contracts
    
    $
    821,906
    
    
    
    2.16
    %
  - 4 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$14,500,000
    
    02/03/2005
    
    U.S. Treasury Bills
    
    $
    14,474,546
    
    
    
    41.41
    %$  5,000,000
    
    03/03/2005
    
    U.S. Treasury Bills
    
    
    4,981,785
    
    
    
    14.25
    %$  3,750,000
    
    01/06/2005
    
    U.S. Treasury Bills
    
    
    3,749,138
    
    
    
    10.73
    %Total United States government securities
(cost, including accrued interest, 
$23,205,469)
    
    $
    23,205,469
    
    
    
    66.39
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (67,171
    )
    
    
    (0.19
    )%Metals
    
    
    22,747
    
    
    
    0.06
    %Stock index
    
    
    284,504
    
    
    
    0.81
    %Short-term interest rates
    
    
    (26,703
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    271,151
    
    
    
    0.78
    %Total long futures contracts
    
    $
    484,528
    
    
    
    1.38
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (29,095
    )
    
    
    (0.08
    )%Short-term interest rates
    
    
    60,064
    
    
    
    0.17
    %Long-term interest rates
    
    
    (87
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    30,882
    
    
    
    0.09
    %Total futures contracts
    
    $
    515,410
    
    
    
    1.47
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,054,128
    
    
    
    3.02
    %Various short forward currency contracts
    
    
    (1,595,700
    )
    
    
    (4.57
    )%Total forward currency contracts
    
    $
    (541,572
    )
    
    
    (1.55
    )%
  - 5 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2005
    
    
    2004
    
    
    2005
    
    
    2004TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    1,041,712
    
    
    $
    (688,863
    )
    
    $
    2,799,662
    
    
    $
    2,426,358Change in unrealized
    
    
    (324,875
    )
    
    
    440,975
    
    
    
    319,459
    
    
    
    (391,471
    )Brokerage commissions
    
    
    (28,741
    )
    
    
    (15,607
    )
    
    
    (77,296
    )
    
    
    (49,602
    )Net gain (loss) from futures trading
    
    
    688,096
    
    
    
    (263,495
    )
    
    
    3,041,825
    
    
    
    1,985,285Forward trading gains (losses)Realized
    
    
    (328,699
    )
    
    
    (1,597,494
    )
    
    
    (799,554
    )
    
    
    754,409Change in unrealized
    
    
    (467,175
    )
    
    
    1,094,534
    
    
    
    1,363,478
    
    
    
    (518,538
    )Brokerage commissions
    
    
    (3,230
    )
    
    
    (2,454
    )
    
    
    (8,376
    )
    
    
    (6,607
    )Net gain (loss) from forward trading
    
    
    (799,104
    )
    
    
    (505,414
    )
    
    
    555,548
    
    
    
    229,264Total net trading gains (losses)
    
    
    (111,008
    )
    
    
    (768,909
    )
    
    
    3,597,373
    
    
    
    2,214,549EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    300,025
    
    
    
    112,926
    
    
    
    741,243
    
    
    
    285,388ExpensesBrokerage fee
    
    
    272,017
    
    
    
    239,985
    
    
    
    777,762
    
    
    
    759,638Performance fee
    
    
    361
    
    
    
    0
    
    
    
    129,415
    
    
    
    1,245,040Operating expenses
    
    
    17,353
    
    
    
    15,148
    
    
    
    48,436
    
    
    
    48,503Total expenses
    
    
    289,731
    
    
    
    255,133
    
    
    
    955,613
    
    
    
    2,053,181Expenses net of interest income
    
    
    10,294
    
    
    
    (142,207
    )
    
    
    (214,370
    )
    
    
    (1,767,793
    )NET INCOME (LOSS)
    
    $
    (100,714
    )
    
    $
    (911,116
    )
    
    $
    3,383,003
    
    
    $
    446,756NET INCOME (LOSS) PER MANAGING
OWNER AND OTHER UNITHOLDER
UNIT(based on weighted average number
of units outstanding during the period)
    
    $
    (4.30
    )
    
    $
    (38.10
    )
    
    $
    144.17
    
    
    $
    18.61INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT
    
    $
    (7.50
    )
    
    $
    (41.28
    )
    
    $
    133.57
    
    
    $
    8.79
  - 6 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 2005
    
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    3,383,003
    
    
    $
    446,756Adjustments to reconcile net income to net cash
from (for) operating activitiesNet change in unrealized
    
    
    (1,682,937
    )
    
    
    910,009Increase (decrease) in accounts payable and accrued expenses
    
    
    (9,202
    )
    
    
    (246,046
    )Net purchases of investments in United States
government securities
    
    
    (9,024,416
    )
    
    
    (2,986,007
    )Net cash from (for) operating activities
    
    
    (7,333,552
    )
    
    
    (1,875,288
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,456,835
    
    
    
    1,786,767Redemption of units
    
    
    (1,548,324
    )
    
    
    (1,588,269
    )Offering costs
    
    
    (245,469
    )
    
    
    (241,081
    )Net cash from (for) financing activities
    
    
    (336,958
    )
    
    
    (42,583
    )Net decrease in cash
    
    
    (7,670,510
    )
    
    
    (1,917,871
    )CashBeginning of period
    
    
    12,046,260
    
    
    
    11,993,306End of period
    
    $
    4,375,750
    
    
    $
    10,075,435End of period cash consists of:Cash in broker trading accounts
    
    $
    1,446,576
    
    
    $
    951,821Cash
    
    
    2,929,174
    
    
    
    9,123,614Total end of period cash
    
    $
    4,375,750
    
    
    $
    10,075,435
  - 7 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 30, 2005Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385Net income for the nine months
ended September 30, 2005
    
    
    
    
    
    
    203,608
    
    
    
    
    
    
    
    3,179,395
    
    
    
    
    
    
    
    3,383,003Additions
    
    
    0.000
    
    
    
    0
    
    
    
    954.093
    
    
    
    1,456,835
    
    
    
    954.093
    
    
    
    1,456,835Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (913.840
    )
    
    
    (1,418,609
    )
    
    
    (913.840
    )
    
    
    (1,418,609
    )Offering costs
    
    
    
    
    
    
    (14,796
    )
    
    
    
    
    
    
    (230,814
    )
    
    
    
    
    
    
    (245,610
    )Balances at
September 30, 2005
    
    
    1,413.580
    
    
    $
    2,311,147
    
    
    
    21,908.714
    
    
    $
    35,819,857
    
    
    
    23,322.294
    
    
    $
    38,131,004Nine Months Ended September 30, 2004Balances at
December 31, 2003
    
    
    1,413.580
    
    
    $
    1,947,390
    
    
    
    22,411.035
    
    
    $
    30,874,028
    
    
    
    23,824.615
    
    
    $
    32,821,418Net income for the nine months
ended September 30, 2004
    
    
    
    
    
    
    26,549
    
    
    
    
    
    
    
    420,207
    
    
    
    
    
    
    
    446,756Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,199.039
    
    
    
    1,786,767
    
    
    
    1,199.039
    
    
    
    1,786,767Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,057.805
    )
    
    
    (1,588,269
    )
    
    
    (1,057.805
    )
    
    
    (1,588,269
    )Offering costs
    
    
    
    
    
    
    (14,123
    )
    
    
    
    
    
    
    (225,762
    )
    
    
    
    
    
    
    (239,885
    )Balances at
September 30, 2004
    
    
    1,413.580
    
    
    $
    1,959,816
    
    
    
    22,552.269
    
    
    $
    31,266,971
    
    
    
    23,965.849
    
    
    $
    33,226,787
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30,
    
    December 31,
    
    September 30,
    
    December 31,2005
    
    2004
    
    2004
    
    2003$
    1,634.96
    
    $
    1,501.39
    
    $
    1,386.42
    
    $
    1,377.63
  - 8 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
 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 and forward currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan).
At September 30, 2005, the 401(K) Plan held approximately 44% of the Trusts
outstanding units.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is
subject to the regulatory requirements under the Securities Act of 1933 and the
Securities Exchange Act of 1934. As a commodity investment pool, the Trust is
subject to the regulations of the Commodity Futures Trading Commission, an agency of
the United States (U.S.) government which regulates most aspects of the commodity
futures industry; rules of the National Futures Association, an industry
self-regulatory organization; and the requirements of the various commodity exchanges
where the Trust executes transactions. Additionally, the Trust is subject to the
requirements of futures commission merchants (brokers) and interbank market makers
through which the Trust trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with U.S.
generally accepted accounting principles, which require the use of certain estimates
made by the Trusts management. 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 is
extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of
the last business day of the reporting period. Any change in net unrealized gain or
loss from the preceding period is reported in the statement of operations. Brokerage
commissions and other trading fees paid directly to the broker are charged to expense
when contracts are opened. United States government securities are stated at cost
plus accrued interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of units
outstanding.
 - 9 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 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. Income taxes have not been provided, as each unitholder
is individually liable for the taxes, if any, on their share of the Funds income and
expenses.E.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection
with the initial and continuous offering of units of the Trust (offering costs).
Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9%
annualized) of the Trusts month-end net asset value (as defined in the Amended and
Restated Declaration of Trust and Trust Agreement) until such amounts are fully
reimbursed. Such amounts are charged directly to unitholders capital. The Trust is
only liable for payment of offering costs on a monthly basis. At September 30, 2005,
the Trust reflects a liability in the statement of financial condition for offering
costs payable to Campbell & Company of $15,624.The offering costs for which Campbell & Company are being reimbursed relate to the
offering of units of the Trust to all unitholders except the 401(K) Plan. Therefore,
Campbell & Company rebates to the 401(K) Plan the offering costs charged to the
401(K) Plan. All such rebates are made by issuing additional units to the 401(K)
Plan.If the Trust terminates prior to completion of payment to Campbell & Company for the
unreimbursed offering costs incurred through the date of such termination, Campbell &
Company will not be entitled to any additional payments, and the Trust will have no
further obligation to Campbell & Company. At September 30, 2005, the amount of
unreimbursed offering costs incurred by Campbell & Company is $641,332.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.H.
    
    ReclassificationCertain amounts in the 2004 financial statements were reclassified to conform with
the 2005 presentation.
 - 10 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 2.
    
    MANAGING OWNER AND COMMODITY TRADING ADVISOR (CONTINUED)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.
    
    TRUSTEEThe trustee of the Trust is Wachovia Trust Company, National
Association, a national banking association. The trustee has
delegated to the managing owner the duty and authority to
manage the business and affairs of the Trust and has only
nominal duties and liabilities with respect to the Trust.Note 4.
    
    DEPOSITS WITH BROKERThe 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 EXPENSESOperating 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 REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by Campbell & Company.The Trust is not required to make distributions, but may do
so at the sole discretion of Campbell & Company. A
unitholder may request and receive redemption of units owned,
subject to restrictions in the Amended and Restated
Declaration of Trust and Trust Agreement.
 - 11 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts and forward currency contracts
(collectively, derivatives). The Trust is exposed to both
market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a
contract.Purchases and sales of futures contracts require margin
deposits with the broker. Additional deposits may be
necessary for any loss on contract value. The Commodity
Exchange Act requires a broker to segregate all customer
transactions and assets from such brokers proprietary
activities. A customers cash and other property (for
example, U.S. Treasury bills) deposited with a broker are
considered commingled with all other customer funds subject
to the brokers segregation requirements. In the event of a
brokers insolvency, recovery may be limited to a pro rata
share of segregated funds available. It is possible that the
recovered amount could be less than total cash and other
property deposited.The amount of required margin and good faith deposits with
the broker and interbank market makers usually range from 10%
to 30% of Net Asset Value. The market value of securities
held to satisfy such requirements at September 30, 2005 and
December 31, 2004 was $32,229,885 and $23,205,469,
respectively, which equals 85% and 66% of Net Asset Value,
respectively. The cash deposited with interbank market
makers at September 30, 2005 and December 31, 2004 was
$2,927,075 and $10,212,526, respectively, which equals 8% and
29% of Net Asset Value, respectively. These amounts are
included in cash.The Trust trades forward currency contracts in unregulated
markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks
associated with forward 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 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. 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.
 - 12 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)The unrealized gain (loss) on open futures and forward currency contracts is comprised of the
following:
 Futures Contracts
    
    
    Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)September 30,
    
    
    December 31,
    
    
    September 30,
    
    
    December 31,2005
    
    
    2004
    
    
    2005
    
    
    2004(Unaudited)
    
    
    (Audited)
    
    
    (Unaudited)
    
    
    (Audited)Gross unrealized gains
    
    $
    981,167
    
    
    $
    697,507
    
    
    $
    3,400,270
    
    
    $
    1,435,900Gross unrealized losses
    
    
    (146,298
    )
    
    
    (182,097
    )
    
    
    (2,578,364
    )
    
    
    (1,977,472
    )Net unrealized gain (loss)
    
    $
    834,869
    
    
    $
    515,410
    
    
    $
    821,906
    
    
    $
    (541,572
    )
 Open contracts generally mature within three months; as of September 30, 2005, the
latest maturity date for open futures contracts is June 2006, and the latest maturity date
for open forward currency contracts is December 2005. However, the Trust intends to close
all 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 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 creditworthy. The
unitholders bear the risk of loss only to the extent of the market value of their
respective investments and, in certain specific circumstances, distributions and
redemptions received.Note 8.
    
    GUARANTEESIn the normal course of business, the Trust enters into contracts
and agreements that contain a variety of representations and
warranties and 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 STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of September 30, 2005, the statements
of operations for the three months and nine months ended September
30, 2005 and 2004, and the related statements of cash flows and
changes in unitholders capital (Net Asset Value) for the nine
months ended September 30, 2005 and 2004 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
September 30, 2005, the results of operations for the three months
and nine months ended September 30, 2005 and 2004, and the
statements of cash flows for the nine months ended September 30,
2005 and 2004.
 - 13 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 10.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months and nine months ended September 30, 2005
and 2004. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    
    Nine months endedSeptember 30,
    
    
    September 30,Per Unit Performance
    
    2005
    
    
    2004
    
    
    2005
    
    
    2004(for a unit outstanding throughout the entire period)
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)
    
    
    (Unaudited)Net asset value per unit at beginning of period
    
    $
    1,642.46
    
    
    $
    1,427.70
    
    
    $
    1,501.39
    
    
    $
    1,377.63Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (4.27
    )
    
    
    (32.16
    )
    
    
    153.18
    
    
    
    92.42Expenses net of interest income (1)
    
    
    0.44
    
    
    
    (5.95
    )
    
    
    (9.14
    )
    
    
    (73.64
    )Total income (loss) from operations
    
    
    (3.83
    )
    
    
    (38.11
    )
    
    
    144.04
    
    
    
    18.78Offering costs (1)
    
    
    (3.67
    )
    
    
    (3.17
    )
    
    
    (10.47
    )
    
    
    (9.99
    )Net asset value per unit at end of period
    
    $
    1,634.96
    
    
    $
    1,386.42
    
    
    $
    1,634.96
    
    
    $
    1,386.42Total Return(3)
    
    
    (0.46
    )%
    
    
    (2.89
    )%
    
    
    8.90
    %
    
    
    0.64
    %Supplemental DataRatios to average net assets:Expenses prior to performance fee (4)
    
    
    3.04
    %
    
    
    3.03
    %
    
    
    3.05
    %
    
    
    3.09
    %Performance fee (3), (5)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.36
    %
    
    
    3.57
    %Total expenses
    
    
    3.04
    %
    
    
    3.03
    %
    
    
    3.41
    %
    
    
    6.66
    %Expenses net of interest income (2), (4)
    
    
    (0.11
    )%
    
    
    1.69
    %
    
    
    0.31
    %
    
    
    2.00
    %
 Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and
ratios based on the timing of additions and redemptions.
 
 (1)
    
    Expenses net of interest income per unit and offering costs per unit
are calculated by dividing the expenses net of interest income and offering costs by
the average number of units outstanding during the period. Total trading gains
(losses) is a balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized.(4)
    
    Annualized.(5)
    
    The performance fee for the three months ended was less than 0.005% - 14 -




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##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
           - 15 -




---



##### 



i.e.
   Results of Operations
  2005
  - 16 -




---



##### 



Sector
    
    % Gain (Loss)Energy
    
    
    4.22
    %Interest Rates
    
    
    3.16Currencies
    
    
    1.73Metals
    
    
    0.54Stock Indices
    
    
    0.5310.18
    %
     - 17 -




---



##### 



2004
  - 18 -




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.19
    %Energy
    
    
    1.87Currencies
    
    
    0.94Metals
    
    
    (0.31
    )Stock Indices
    
    
    (4.14
    )6.55
    %
       - 19 -




---



##### 



Off-Balance Sheet Risk
    - 20 -




---



##### 



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
  - 21 -




---



##### 



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).
       - 22 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  September 30, 2005TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.47
    %
    
    
    1.73
    %Energy
    
    
    0.58
    %
    
    
    4.22
    %Stock Indices
    
    
    0.56
    %
    
    
    0.53
    %Long-Term Interest Rates
    
    
    0.36
    %
    
    
    1.30
    %Short-Term Interest Rates
    
    
    0.27
    %
    
    
    1.86
    %Metals
    
    
    0.05
    %
    
    
    0.54
    %Aggregate/Total
    
    
    1.67
    %
    
    
    10.18
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the nine months ended September 30, 2005, approximately 10.18% was due
to trading gains (before commissions), approximately 2.05% was due interest income offset by
approximately 3.33% due to brokerage fees, management fees and operating costs borne by the
Trust giving a net return of 8.90%. December 31, 2004TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.19
    %
    
    
    2.68
    %Long-Term Interest Rates
    
    
    0.82
    %
    
    
    10.57
    %Short-Term Interest Rates
    
    
    0.25
    %
    
    
    2.49
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.85
    )%Energy
    
    
    0.18
    %
    
    
    2.22
    %Metals
    
    
    0.11
    %
    
    
    (0.58
    )%Aggregate/Total
    
    
    1.86
    %
    
    
    15.53
    %
 - 23 -




---



##### 



*
    
    -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, 2004, approximately 15.53% was due to
trading gains (before commissions) and approximately 1.26% was due to interest income, offset
by approximately 7.81% in brokerage fees, performance fees, and operating and offering costs
borne by the Trust giving a net return of 8.98%. Material Limitations oF Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and
 5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. 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
 - 24 -




---



##### 



losses as well as in material changes to the risk exposures and the risk management strategies
of the Trust. There can be no assurance that the Trusts current market exposure and/or risk
management strategies will not change materially or that any such strategies will be effective
in either the short- or long-term. Investors must be prepared to lose all or substantially
all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  - 25 -




---



##### 



Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  - 26 -




---



##### 



Item 4. Controls and Procedures
  - 27 -




---



##### 



PART II-OTHER INFORMATION
 Item 1.
    

Legal
Proceedings.NoneItem 2.
    
    Unregistered Sale of Equity
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 InformationNoneItem 6.
    
    Exhibits
 ExhibitNumber
    
    Description of Document31.01
    
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.31.02
    
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    
    
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 - 28 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing Owner
 Date: November 14, 2005
    By:
    /s/Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director - 29 -




---



##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5