##### 



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 endedMarch 31, 2007
 or
 o
    
    Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For the transition period from  to
 Commission File number: 0-33311
 CAMPBELL ALTERNATIVE ASSET TRUST
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
 (410) 296-3301
 þ o
  o o þ
 þ o
 28




---



##### 



PagePART I  FINANCIAL INFORMATIONItem 1. Financial StatementsStatements of Financial Condition as of March 31, 2007 (Unaudited)
and December 31, 2006
    
    
    3Condensed Schedules of Investments as of March 31, 2007 (Unaudited)
and December 31, 2006
    
    
    4-5Statements of Operations for the Three Months Ended
March 31, 2007 and 2006 (Unaudited)
    
    
    6Statements of Cash Flows for the Three Months Ended
March 31, 2007 and 2006 (Unaudited)
    
    
    7Statements of Changes in Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2007 and 2006 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-15Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    16-20Item 3. Quantitative and Qualitative Disclosure About Market Risk
    
    
    20-26Item 4. Controls and Procedures
    
    
    26PART II  OTHER INFORMATION
    
    
    27Item 6. Exhibits and Reports on Form 8-K
    
    
    27SIGNATURESCERTIFICATIONS




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 
 March 31,
    
    
    December 31,2007
    
    
    2006ASSETSEquity in broker trading accountsCash
    
    $
    2,807,228
    
    
    $
    3,198,569United States government securities
    
    
    30,855,953
    
    
    
    30,062,122Net unrealized gain on open futures contracts
    
    
    213,721
    
    
    
    1,082,948Total equity in broker trading accounts
    
    
    33,876,902
    
    
    
    34,343,639Cash
    
    
    1,685,735
    
    
    
    2,904,481Options purchased, at fair value
(premium paid $37,655 and $29,775)
    
    
    35,127
    
    
    
    35,454United States government securities
    
    
    4,484,562
    
    
    
    4,485,165Net unrealized gain on open forward currency contracts
    
    
    248,746
    
    
    
    1,416,954Interest receivable
    
    
    20,260
    
    
    
    20,552Subscriptions receivable
    
    
    266,973
    
    
    
    412,864Total assets
    
    $
    40,618,305
    
    
    $
    43,619,109LIABILITIESAccounts payable
    
    $
    62,281
    
    
    $
    67,122Brokerage fee
    
    
    44,249
    
    
    
    50,122Options written, at fair value
(premiums received $21,636 and $17,336)
    
    
    16,947
    
    
    
    16,186Accrued commissions and other trading fees
on open contracts
    
    
    10,405
    
    
    
    14,948Offering costs payable
    
    
    13,973
    
    
    
    15,828Redemptions payable
    
    
    424,171
    
    
    
    583,188Total liabilities
    
    
    572,026
    
    
    
    747,394UNITHOLDERS CAPITAL (Net Asset Value)Managing Operator  1,413.580 units outstanding
at March 31, 2007 and December 31, 2006
    
    
    2,416,953
    
    
    
    2,566,397Other Unitholders  22,007.841 and 22,200.336
units outstanding at March 31, 2007 and
December 31, 2006
    
    
    37,629,326
    
    
    
    40,305,318Total unitholders capital
(Net Asset Value)
    
    
    40,046,279
    
    
    
    42,871,715Total liabilities and unitholders capital
(Net Asset Value)
    
    $
    40,618,305
    
    
    $
    43,619,109
  - 3 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$13,000,000
    
    05/03/2007
    
    U.S. Treasury Bills
    
    $
    12,942,800
    
    
    
    32.32
    %$10,000,000
    
    05/31/2007
    
    U.S. Treasury Bills
    
    
    9,917,500
    
    
    
    24.77
    %$  8,000,000
    
    04/05/2007
    
    U.S. Treasury Bills
    
    
    7,995,653
    
    
    
    19.96
    %$  4,500,000
    
    04/26/2007
    
    U.S. Treasury Bills
    
    
    4,484,562
    
    
    
    11.20
    %Total United States government securities
(cost, including accrued interest,  $35,340,515)
    
    $
    35,340,515
    
    
    
    88.25
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    11,575
    
    
    
    0.03
    %Metals
    
    
    22,702
    
    
    
    0.05
    %Stock indices
    
    
    235,945
    
    
    
    0.59
    %Short-term interest rates
    
    
    (20,711
    )
    
    
    (0.05
    )%Long-term interest rates
    
    
    (79,142
    )
    
    
    (0.20
    )%Total long futures contracts
    
    $
    170,369
    
    
    
    0.42
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (46,269
    )
    
    
    (0.12
    )%Metals
    
    
    (26,289
    )
    
    
    (0.06
    )%Stock indices
    
    
    (2,040
    )
    
    
    (0.00
    )%Short-term interest rates
    
    
    29,336
    
    
    
    0.07
    %Long-term interest rates
    
    
    88,614
    
    
    
    0.22
    %Total short futures contracts
    
    $
    43,352
    
    
    
    0.11
    %Total futures contracts
    
    $
    213,721
    
    
    
    0.53
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,070,158
    
    
    
    2.67
    %Various short forward currency contracts
    
    
    (821,412
    )
    
    
    (2.05
    )%Total forward currency contracts
    
    $
    248,746
    
    
    
    0.62
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid - $37,655)
    
    $
    35,127
    
    
    
    0.09
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received - $21,636)
    
    $
    (16,947
    )
    
    
    (0.04
    )%
 
 *
    
    - Pledged as collateral for the trading of futures, forward and options positions.  - 4 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    
    Asset Value$13,000,000
    
    02/01/2007
    
    U.S. Treasury Bills
    
    $
    12,944,980
    
    
    
    30.19
    %$10,000,000
    
    03/01/2007
    
    U.S. Treasury Bills
    
    
    9,920,022
    
    
    
    23.14
    %$  7,200,000
    
    01/04/2007
    
    U.S. Treasury Bills
    
    
    7,197,120
    
    
    
    16.79
    %$  4,500,000
    
    01/25/2007
    
    U.S. Treasury Bills
    
    
    4,485,165
    
    
    
    10.46
    %Total United States government securities
(cost, including accrued interest,  $34,547,287)
    
    $
    34,547,287
    
    
    
    80.58
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (405,662
    )
    
    
    (0.94
    )%Metals
    
    
    (68,317
    )
    
    
    (0.16
    )%Stock indices
    
    
    451,110
    
    
    
    1.05
    %Long-term interest rates
    
    
    (47,968
    )
    
    
    (0.11
    )%Total long futures contracts
    
    $
    (70,837
    )
    
    
    (0.16
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    8,960
    
    
    
    0.02
    %Metals
    
    
    35,389
    
    
    
    0.08
    %Short-term interest rates
    
    
    347,969
    
    
    
    0.81
    %Long-term interest rates
    
    
    761,467
    
    
    
    1.78
    %Total short futures contracts
    
    $
    1,153,785
    
    
    
    2.69
    %Total futures contracts
    
    $
    1,082,948
    
    
    
    2.53
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (792,936
    )
    
    
    (1.84
    )%Various short forward currency contracts
    
    
    2,209,890
    
    
    
    5.15
    %Total forward currency contracts
    
    $
    1,416,954
    
    
    
    3.31
    %
 PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValuePurchased options on forward currency contracts
(premiums paid - $29,775)
    
    $
    35,454
    
    
    
    0.08
    %
 WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueWritten options on forward currency contracts
(premiums received - $17,336)
    
    $
    (16,186
    )
    
    
    (0.03
    )%
 
 *
    
    - Pledged as collateral for the trading of futures, forward and options positions.  - 5 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 
 Three Months EndedMarch 31,2007
    
    
    2006TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    (222,454
    )
    
    $
    532,418Change in unrealized
    
    
    (869,227
    )
    
    
    1,344,608Brokerage commissions
    
    
    (18,823
    )
    
    
    (21,352
    )Gain (loss) from futures trading
    
    
    (1,110,504
    )
    
    
    1,855,674Forward currency and options on forward currency
trading gains (losses)Realized
    
    
    (287,918
    )
    
    
    (1,359,207
    )Change in unrealized
    
    
    (1,172,876
    )
    
    
    1,761,795Brokerage commissions
    
    
    (9,045
    )
    
    
    (3,596
    )Net gain (loss) from forward currency and options
on forward currency trading
    
    
    (1,469,839
    )
    
    
    398,992Total net trading gains (losses)
    
    
    (2,580,343
    )
    
    
    2,254,666INTEREST INCOME OF EXPENSESIncomeInterest income
    
    
    506,222
    
    
    
    435,263ExpensesBrokerage fee
    
    
    299,823
    
    
    
    296,464Performance fee
    
    
    793
    
    
    
    370,369Operating expenses
    
    
    18,801
    
    
    
    25,512Total expenses
    
    
    319,417
    
    
    
    692,345Interest income net of expenses
    
    
    186,805
    
    
    
    (257,082
    )NET INCOME (LOSS)
    
    $
    (2,393,538
    )
    
    $
    1,997,584NET INCOME (LOSS) PER MANAGING OWNER
AND OTHER UNITHOLDERS UNIT
(based on weighted average number of
units outstanding during the period)
    
    $
    (101.57
    )
    
    $
    83.93INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND OTHER
UNITHOLDERS UNIT
    
    $
    (105.72
    )
    
    $
    80.03
  - 6 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 
 Three Months EndedMarch 31,2007
    
    
    2006Cash flows from (for) operating activitiesNet income (loss)
    
    $
    (2,393,538
    )
    
    $
    1,997,584Adjustments to reconcile net income (loss) to net cash
from (for) operating activitiesNet change in unrealized
    
    
    2,042,103
    
    
    
    (3,106,403
    )Increase in option premiums paid
    
    
    (7,880
    )
    
    
    0Increase in option premiums received
    
    
    4,300
    
    
    
    7,334Decrease in restricted cash
    
    
    0
    
    
    
    1,873,271Increase (decrease) in accounts payable and accrued expenses
    
    
    (15,257
    )
    
    
    118,580Decrease in interest receivable
    
    
    292
    
    
    
    0Net (purchases) of investments in United States
government securities
    
    
    (793,228
    )
    
    
    (4,542,201
    )Net cash for operating activities
    
    
    (1,163,208
    )
    
    
    (3,651,835
    )Cash flows from (for) financing activitiesAddition of units
    
    
    954,824
    
    
    
    1,213,720Redemption of units
    
    
    (1,305,167
    )
    
    
    (367,997
    )Offering costs paid
    
    
    (96,536
    )
    
    
    (93,046
    )Net cash from (for) financing activities
    
    
    (446,879
    )
    
    
    752,677Net decrease in cash
    
    
    (1,610,087
    )
    
    
    (2,899,158
    )CashBeginning of period
    
    
    6,103,050
    
    
    
    10,002,986End of period
    
    $
    4,492,963
    
    
    $
    7,103,828End of period cash consists of:Cash in broker trading accounts
    
    $
    2,807,228
    
    
    $
    2,904,720Cash
    
    
    1,685,735
    
    
    
    4,199,108Total end of period cash
    
    $
    4,492,963
    
    
    $
    7,103,828
  - 7 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountThree Months Ended March 31, 2007Balances at
December 31, 2006
    
    
    1,413.580
    
    
    $
    2,566,397
    
    
    
    22,200.336
    
    
    $
    40,305,318
    
    
    
    23,613.916
    
    
    $
    42,871,715Net (loss) for the three months
ended March 31, 2007
    
    
    
    
    
    
    (143,765
    )
    
    
    
    
    
    
    (2,249,773
    )
    
    
    
    
    
    
    (2,393,538
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    456.793
    
    
    
    808,933
    
    
    
    456.793
    
    
    
    808,933Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (649.288
    )
    
    
    (1,146,150
    )
    
    
    (649.288
    )
    
    
    (1,146,150
    )Offering costs
    
    
    
    
    
    
    (5,679
    )
    
    
    
    
    
    
    (89,002
    )
    
    
    
    
    
    
    (94,681
    )Balances at
March 31, 2007
    
    
    1,413.580
    
    
    $
    2,416,953
    
    
    
    22,007.841
    
    
    $
    37,629,326
    
    
    
    23,421.421
    
    
    $
    40,046,279Three Months Ended March 31, 2006Balances at
December 31, 2005
    
    
    1,413.580
    
    
    $
    2,391,693
    
    
    
    22,143.118
    
    
    $
    37,464,774
    
    
    
    23,556.698
    
    
    $
    39,856,467Net income for the three months
ended March 31, 2006
    
    
    
    
    
    
    118,688
    
    
    
    
    
    
    
    1,878,896
    
    
    
    
    
    
    
    1,997,584Additions
    
    
    0.000
    
    
    
    0
    
    
    
    699.000
    
    
    
    1,213,720
    
    
    
    699.000
    
    
    
    1,213,720Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (123.240
    )
    
    
    (212,248
    )
    
    
    (123.240
    )
    
    
    (212,248
    )Offering costs
    
    
    
    
    
    
    (5,560
    )
    
    
    
    
    
    
    (88,061
    )
    
    
    
    
    
    
    (93,621
    )Balances at
March 31, 2006
    
    
    1,413.580
    
    
    $
    2,504,821
    
    
    
    22,718.878
    
    
    $
    40,257,081
    
    
    
    24,132.458
    
    
    $
    42,761,902
 Net Asset Value per Managing Owner and Other Unitholders UnitMarch 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2007
    
    
    2006
    
    
    2006
    
    
    2005$
    1,709.81
    
    
    $
    1,815.53
    
    
    $
    1,771.97
    
    
    $
    1,691.94
  - 8 -




---



##### 



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 March 31, 2007 and December 31, 2006, the 401(K) Plan held approximately 55% and
52% 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. Beginning July 1, 2006, the market value of forward currency (non-exchange
traded) contracts is 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. Prior to July 1, 2006, the market
value of forward currency (non-exchange traded) contracts was 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 or based on the market value of its exchange-traded
equivalent.
 - 9 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES CONTINUED)
 C.
    
    Method of Reporting (Continued)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 units
outstanding.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.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, 2007 and
December 31, 2006, the Trust reflects a liability in the statement of financial
condition for offering costs payable to Campbell & Company of $13,973 and $15,828,
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, 2007 and December 31, 2006,
the amount of unreimbursed offering costs incurred by Campbell & Company is $356,831
and $403,225, respectively.
 - 10 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES CONTINUED)
 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 currently.G.
    
    Recently Issued Accounting PronouncementsIn July 2006, the Financial Accounting Standards Board (FASB) issued Interpretation
No. 48 (FIN 48) entitled Accounting For Uncertainty in Income Taxes  an
interpretation of FASB Statement No. 109. FIN 48 prescribes the minimum recognition
threshold a tax position must meet in connection with accounting for uncertainties in
income tax positions taken or expected to be taken by an entity before being measured
and recognized in the financial statements. Adoption of FIN 48 is required for
fiscal years beginning after December 15, 2006. The implementation of FIN 48
had no material impact on the Trusts financial statements.In September 2006, the FASB issued Statement of Financial Accounting
Standards No. 157, Fair Value Measurements
(FAS 157). FAS 157 defines fair value, establishes a
framework for measuring fair value in accounting principles generally
accepted in the United States of America, and expands disclosures
about fair value measurements. While FAS 157 does not require
any new fair value measurements, for some entities, the application
of FAS 157 may change current practice. FAS 157 is
effective for financial statements issued for fiscal year beginning
after November 15, 2007 and interim periods within those fiscal
years. The implementation of FAS 157 is not expected to have a material impact on
the Trusts financial statements.
 Note 2.
    
    MANAGING OWNER AND COMMODITY TRADING ADVISORThe 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 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.
 - 11 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 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.Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts, forward currency and options on
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.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, 2007 and December 31, 2006 was $35,340,515
and $34,547,287, respectively, which equals 88% and 81% of Net Asset Value, respectively.
The cash deposited with interbank market makers at March 31, 2007 and December 31, 2006
was $1,667,412 and $2,900,150, respectively, which equals 4% and 7% of Net Asset Value,
respectively. There were no restricted cash deposits at March 31, 2007 and December 31,
2006.
 - 12 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)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 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 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.
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.The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts
is comprised of the following:
 Forward Currency and OptionsFutures Contracts
    
    
    on Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)March 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2007
    
    
    2006
    
    
    2007
    
    
    2006Gross unrealized gains
    
    $
    406,851
    
    
    $
    1,673,274
    
    
    $
    1,469,057
    
    
    $
    2,735,365Gross unrealized losses
    
    
    (193,130
    )
    
    
    (590,326
    )
    
    
    (1,218,150
    )
    
    
    (1,311,582
    )Net unrealized gain
    
    $
    213,721
    
    
    $
    1,082,948
    
    
    $
    250,907
    
    
    $
    1,423,783
 Open contracts generally mature within three months; as of
March 31, 2007, the
latest maturity date for open futures contracts is December 2007, and the latest maturity
date for open forward currency contracts is June 2007, and the latest expiry date for
options on forward currency contracts is April 2007. However, the Trust intends to close
all futures and forward 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 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.
 - 13 -




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 8.
    
    INDEMNIFICATIONSIn 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 March 31, 2007 and the statements
of operations, cash flows and changes in unitholders capital (Net
Asset Value) for the three months ended March 31, 2007 and 2006
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, 2007, and the results of operations and
cash flows for the three months ended March 31, 2007 and 2006.
 - 14 -




---



##### 



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 ended March 31, 2007 and 2006. This
information has been derived from information presented in the financial statements.
 Three months endedMarch 31,2007
    
    
    2006(Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,815.53
    
    
    $
    1,691.94Income (loss) from operations:Total trading gains (losses) (1)
    
    
    (109.63
    )
    
    
    94.76Interest income net of expenses (1)
    
    
    7.93
    
    
    
    (10.80
    )Total income (loss) from operations
    
    
    (101.70
    )
    
    
    83.96Offering costs (1)
    
    
    (4.02
    )
    
    
    (3.93
    )Net asset value per unit at end of period
    
    $
    1,709.81
    
    
    $
    1,771.97Total Return(3)
    
    
    (5.82
    )%
    
    
    4.73
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.03
    %
    
    
    3.13
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.90
    %Total expenses
    
    
    3.03
    %
    
    
    4.03
    %Interest income net of expenses (2), (4)
    
    
    1.78
    %
    
    
    1.10
    %
 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)
    
    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 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. - 15 -




---



##### 



Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
           - 16 -




---



##### 



i.e.
   Results of Operations
  2007
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    0.60
    %Metals
    
    
    (0.17
    )Energy
    
    
    (1.03
    )Interest Rates
    
    
    (2.01
    )Currencies
    
    
    (3.36
    )(5.97
    )%
 - 17 -




---



##### 



th
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.83
    %Metals
    
    
    0.96Currencies
    
    
    0.88Interest Rates
    
    
    0.72Energy
    
    
    0.255.64
    %
 - 18 -




---



##### 



Off-Balance Sheet Risk
  - 19 -




---



##### 



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
   - 20 -




---



##### 



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.
    - 21 -




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  March 31, 2007TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.03
    %
    
    
    (3.36
    )%Interest Rates
    
    
    0.87
    %
    
    
    (2.01
    )%Stock Indices
    
    
    0.66
    %
    
    
    0.60
    %Energy
    
    
    0.21
    %
    
    
    (1.03
    )%Metals
    
    
    0.11
    %
    
    
    (0.17
    )%Aggregate/Total
    
    
    1.92
    %
    
    
    (5.97
    )%
 
 *
    
    -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 three months ended March 31, 2007, approximately 5.97% was due to
trading losses (before commissions) and approximately 1.05% due to brokerage fees, management
fees, performance fees and operating and offering costs borne by the Trust offset by
approximately 1.20% due to interest income giving a net return of (5.82)%. - 22 -




---



##### 



December 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Stock Indices
    
    
    0.75
    %
    
    
    6.98
    %Currencies
    
    
    0.70
    %
    
    
    2.22
    %Interest Rates
    
    
    0.59
    %
    
    
    3.07
    %Energy
    
    
    0.39
    %
    
    
    (6.58
    )%Metals
    
    
    0.17
    %
    
    
    2.07
    %Aggregate/Total
    
    
    1.42
    %
    
    
    7.76
    %
 
 *
    
    -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, 2006, approximately 7.76% was due to
trading gains (before commissions), approximately 4.70% was due interest income offset by
approximately 5.16% due to brokerage fees, performance fees and operating and offering costs
borne by the Trust giving a net return of 7.30%. 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
  - 23 -




---



##### 



Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  - 24 -




---



##### 



Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
  - 25 -




---



##### 



General
  Item 4. Controls and Procedures
  - 26 -




---



##### 



PART II-OTHER INFORMATION
 Item 1. Legal Proceedings.
 None
 Item 2. Changes in Securities and Use of Proceeds
 None
 Item 3. Defaults Upon Senior Securities
 Not applicable.
 Item 4. Submissions of Matters to a vote of Security Holders.
 None
 Item 5. Other Information
 None
 Item 6. Exhibits and Reports on Form 8-K.
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Theresa D. Becks, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Gregory T. Donovan, Senior Vice President of
Accounting and Finance, 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, Senior Vice President of
Accounting and Finance, pursuant to 18 U.S.C. Section 1350, as enacted by
Section 906 of The Sarbanes-Oxley Act of 2002.
   - 27 -




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    Campbell & Company, Inc.Managing OwnerDate: May 15, 2007
    By:
    /s/Theresa D. BecksTheresa D. BecksChief Executive Officer - 28 -




---



##### 



EXHIBIT INDEX
 PageExhibit Number
    
    Description of Document
    
    Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Senior Vice President of Accounting and Finance
    
    E-332.01
    
    Certification by Chief Executive Officer
    
    E-432.02
    
    Certification by Senior Vice President of Accounting and Finance
    
    E-5
 E 1