##### 



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, 2006
 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
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PagePART I - FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of March 31, 2006 (Unaudited)
and December 31, 2005 (Audited)
    
    
    3Condensed Schedules of Investments as of March 31, 2006 (Unaudited)
and December 31, 2005 (Audited)
    
    
    4-5Statements of Operations for the Three Months Ended
March 31, 2006 and 2005 (Unaudited)
    
    
    6Statements of Cash Flows for the Three Months Ended
March 31, 2006 and 2005 (Unaudited)
    
    
    7Statements of Changes in
Unitholders Capital (Net Asset Value)
for the Three Months Ended March 31, 2006 and 2005 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations
    
    
    15-19Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    19-25Item 4.
    
    Controls and Procedures
    
    
    25PART II - OTHER INFORMATION
    
    
    26Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    26SIGNATURESCERTIFICATIONS




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 March 31,
    
    
    December 31,2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    2,904,720
    
    
    $
    2,614,570United States government securities
    
    
    28,923,303
    
    
    
    27,349,932Net unrealized gain (loss) on open futures contracts
    
    
    1,183,948
    
    
    
    (160,660
    )Total equity in broker trading accounts
    
    
    33,011,971
    
    
    
    29,803,842Cash and cash equivalents
    
    
    4,199,108
    
    
    
    7,388,416Restricted cash
    
    
    0
    
    
    
    1,873,271United States government securities
    
    
    5,449,174
    
    
    
    2,480,344Net unrealized gain (loss) on open forward currency contracts
    
    
    433,034
    
    
    
    (1,324,864
    )Total assets
    
    $
    43,093,287
    
    
    $
    40,221,009LIABILITIESAccounts payable
    
    $
    53,433
    
    
    $
    58,305Brokerage fee
    
    
    53,147
    
    
    
    51,325Commissions and other trading fees
on open contracts
    
    
    12,034
    
    
    
    13,418Performance fee
    
    
    192,552
    
    
    
    69,538Offering costs payable
    
    
    16,783
    
    
    
    16,208Options written, at fair value (premium received  $7,334)
    
    
    3,436
    
    
    
    0Redemptions payable
    
    
    0
    
    
    
    155,748Total liabilities
    
    $
    331,385
    
    
    $
    364,542UNITHOLDERS CAPITAL (Net Asset Value)Managing
Owner  1,413.580 units outstanding
at March 31, 2006 and December 31, 2005
    
    
    2,504,821
    
    
    
    2,391,693Other
Unitholders  22,718.878 and 22,143.118
units outstanding at March 31, 2006 and
December 31, 2005
    
    
    40,257,081
    
    
    
    37,464,774Total unitholders capital
(Net Asset Value)
    
    
    42,761,902
    
    
    
    39,856,467Total liabilities and unitholders capital
    
    $
    43,093,287
    
    
    $
    40,221,009
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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$
    12,000,000
    
    05/04/2006
    
    U.S. Treasury Bills
    
    $
    11,952,150
    
    
    
    27. 95
    %$
    9,850,000
    
    06/01/2006
    
    U.S. Treasury Bills
    
    
    9,775,227
    
    
    
    16.83
    %$
    7,200,000
    
    04/06/2006
    
    U.S. Treasury Bills
    
    
    7,195,925
    
    
    
    22.86
    %$
    5,500,000
    
    06/15/2006
    
    U.S. Treasury Bills
    
    
    5,449,175
    
    
    
    12.74
    %Total
United States government securities
(cost, including accrued interest,  $34,372,477)
    
    $
    34,372,477
    
    
    
    80.38
    %LONG FUTURES CONTRACTS% of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    256,826
    
    
    
    0.60
    %Metals
    
    
    299,657
    
    
    
    0.70
    %Stock index
    
    
    213,717
    
    
    
    0.50
    %Short-term interest rates
    
    
    (2,264
    )
    
    
    (0.00
    )%Long-term interest rates
    
    
    (82,126
    )
    
    
    (0.19
    )%Total long futures contracts
    
    $
    685,810
    
    
    
    1.61
    %SHORT FUTURES CONTRACTSDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (950
    )
    
    
    (0.00
    )%Metals
    
    
    (7,294
    )
    
    
    (0.02
    )%Short-term interest rates
    
    
    373,007
    
    
    
    0.87
    %Long-term interest rates
    
    
    133,375
    
    
    
    0.31
    %Total short futures contracts
    
    $
    498,138
    
    
    
    1.16
    %Total futures contracts
    
    $
    1,183,948
    
    
    
    2.77
    %FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (864,120
    )
    
    
    (2.02
    )%Various short forward currency contracts
    
    
    1,297,154
    
    
    
    3.02
    %Total forward currency contracts
    
    $
    433,034
    
    
    
    1.00
    %WRITTEN OPTIONS ON FORWARD
CURRENCY CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueWritten options
on forward currency contracts
(premiums received  $7,334)
    
    $
    (3,436
    )
    
    
    (0.01
    )%
 
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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$
    12,000,000
    
    02/02/2006
    
    U.S. Treasury Bills
    
    $
    11,959,253
    
    
    
    30.01
    %$
    8,850,000
    
    03/02/2006
    
    U.S. Treasury Bills
    
    
    8,793,213
    
    
    
    22.06
    %$
    6,600,000
    
    01/05/2006
    
    U.S. Treasury Bills
    
    
    6,597,466
    
    
    
    16.55
    %$
    2,500,000
    
    03/16/2006
    
    U.S. Treasury Bills
    
    
    2,480,344
    
    
    
    6.22
    %Total United States government securities
(cost, including accrued interest,  $29,830,276)
    
    $
    29,830,276
    
    
    
    74.84
    %LONG FUTURES CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (341,534
    )
    
    
    (0.85
    )%Metals
    
    
    16,060
    
    
    
    0.04
    %Stock index
    
    
    (24,368
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    9,552
    
    
    
    0.02
    %Total long futures contracts
    
    $
    (340,290
    )
    
    
    (0. 85
    )%SHORT FUTURES CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueStock Index
    
    $
    (11,765
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    222,468
    
    
    
    0.56
    %Long-term interest rates
    
    
    (31,073
    )
    
    
    (0.08
    )%Total short futures contracts
    
    $
    179,630
    
    
    
    0.45
    %Total futures contracts
    
    $
    (160,660
    )
    
    
    (0.40
    )%FORWARD CURRENCY CONTRACTS% of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (1,016,334
    )
    
    
    (2.55
    )%Various short forward currency contracts
    
    
    (308,530
    )
    
    
    (0.77
    )%Total forward currency contracts
    
    $
    (1,324,864
    )
    
    
    (3.32
    )%
 
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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 Three Months EndedMarch 31,2006
    
    
    2005TRADING GAINS (LOSSES)Futures trading gainsRealized
    
    $
    532,418
    
    
    $
    435,719Change in unrealized
    
    
    1,344,608
    
    
    
    107,562Brokerage commissions
    
    
    (21,352
    )
    
    
    (20,389
    )Net gain from futures trading
    
    
    1,855,674
    
    
    
    522,892Forward currency and options on forward currency
trading gains (losses)Realized
    
    
    (1,359,207
    )
    
    
    (1,579,118
    )Change in unrealized
    
    
    1,761,795
    
    
    
    169,118Brokerage commissions
    
    
    (3,596
    )
    
    
    (3,037
    )Net gain
(loss) from forward currency and options on forward currency trading
    
    
    398,992
    
    
    
    (1,413,037
    )Total net trading gains (losses)
    
    
    2,254,666
    
    
    
    (890,145
    )EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    435,263
    
    
    
    204,193ExpensesBrokerage fee
    
    
    296,464
    
    
    
    244,938Performance fee
    
    
    370,369
    
    
    
    0Operating expenses
    
    
    25,512
    
    
    
    15,413Total expenses
    
    
    692,345
    
    
    
    260,351Expenses net of interest income
    
    
    (257,082
    )
    
    
    (56,158
    )NET INCOME (LOSS)
    
    $
    1,997,584
    
    
    $
    (946,303
    )NET INCOME (LOSS) PER MANAGING OWNER
AND OTHER UNITHOLDERS UNIT(based on weighted average number of
units outstanding during the period)
    
    $
    83.93
    
    
    $
    (40.35
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND OTHER
UNITHOLDERS UNIT
    
    $
    80.03
    
    
    $
    (43.80
    )
  - 6 -




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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 Three Months EndedMarch 31,2006
    
    
    2005Cash flows from (for) operating activitiesNet income (loss)
    
    $
    1,997,584
    
    
    $
    (946,303
    )Adjustments to reconcile net income (loss) to net cash
from (for) operating activitiesNet change in unrealized
    
    
    (3,106,403
    )
    
    
    (276,680
    )Net change in options written
    
    
    7,334
    
    
    
    0Decrease in restricted cash
    
    
    1,873,271
    
    
    
    0Increase (decrease) in accounts payable
and accrued expenses
    
    
    118,580
    
    
    
    (16,708
    )Net (purchases) of investments in United States
government securities
    
    
    (4,542,201
    )
    
    
    (6,584,737
    )Net cash (for) operating activities
    
    
    (3,651,835
    )
    
    
    (7,824,428
    )Cash flows from (for) financing activitiesAddition of units
    
    
    1,213,720
    
    
    
    758,879Redemption of units
    
    
    (367,997
    )
    
    
    (510,448
    )Offering costs paid
    
    
    (93,046
    )
    
    
    (78,176
    )Net cash from financing activities
    
    
    752,677
    
    
    
    170,255Net (decrease) in cash
    
    
    (2,899,158
    )
    
    
    (7,654,173
    )CashBeginning of period
    
    
    10,002,986
    
    
    
    12,046,260End of period
    
    $
    7,103,828
    
    
    $
    4,392,087End of period cash consists of:Cash in broker trading accounts
    
    $
    2,904,720
    
    
    $
    1,896,507Cash
    
    
    4,199,108
    
    
    
    2,495,580Total end of period cash
    
    $
    7,103,828
    
    
    $
    4,392,087
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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
    
    
    AmountThree 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
    
    
    $
    42,761,902Three Months Ended March 31, 2005Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385Net (loss) for the three months
ended March 31, 2005
    
    
    
    
    
    
    (57,253
    )
    
    
    
    
    
    
    (889,050
    )
    
    
    
    
    
    
    (946,303
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    517.994
    
    
    
    758,879
    
    
    
    517.994
    
    
    
    758,879Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (283.994
    )
    
    
    (413,780
    )
    
    
    (283.994
    )
    
    
    (413,780
    )Offering costs
    
    
    
    
    
    
    (4,662
    )
    
    
    
    
    
    
    (72,687
    )
    
    
    
    
    
    
    (77,349
    )Balances at
March 31, 2005
    
    
    1,413.580
    
    
    $
    2,060,420
    
    
    
    22,102.461
    
    
    $
    32,216,412
    
    
    
    23,516.041
    
    
    $
    34,276,832
 Net Asset Value per Managing Owner and Other Unitholder UnitMarch 31,
    
    December 31,
    
    
    March 31,
    
    
    December 31,2006
    
    2005
    
    
    2005
    
    
    2004$1,771.97
    
    $
    1,691.94
    
    
    $
    1,457.59
    
    
    $
    1,501.39
  - 8 -




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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
 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, 2006, the 401(K) Plan held approximately 48.31% 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 accounting
principles generally accepted in the United States of America, 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. 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. 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.
 - 9 -




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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 C.
    
    Method of Reporting (Continued)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, 2006 and
December 31, 2005, the Trust reflects a liability in the statement of financial
condition for offering costs payable to Campbell & Company of $16,783 and $16,208.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, 2006 and December 31, 2005,
the amount of unreimbursed offering costs incurred by Campbell & Company is $543,980
and $592,663, respectively.F.
    
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income.
 - 10 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
 H.
    
    ReclassificationCertain amounts in the 2005 financial statements were reclassified to conform with
the 2006 presentation.
 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. The amount paid to the broker and interbank
market makers for execution and clearing costs is limited to 1/12 of 0.65% (0.65%
annualized) of month-end net assets.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.
 - 11 -




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 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 contracts 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 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 March 31, 2006 and
December 31, 2005 was $34,372,477 and $29,830,276,
respectively, which equals 80% and 75% of Net Asset Value,
respectively. The cash deposited with interbank market
makers at March 31, 2006 and December 31, 2005 was $4,111,119
and $8,987,245, respectively, which equals 10% and 23% of Net
Asset Value, respectively. Included in cash deposits with
interbank market makers at December 31, 2005 was restricted
cash for margin requirements of $1,873,271 which equals 5% of
Net Asset Value at December 31, 2005.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 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,
forward currency and swap contracts purchased and unlimited
liability on such contracts sold short. As a seller of
options, the Trust 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.
 - 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, forward currency and options on forward currency contracts is comprised
of the following:
 Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)March 31,
    
    
    December 31,
    
    
    March 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    1,302,646
    
    
    $
    537,098
    
    
    $
    2,042,455
    
    
    $
    1,046,611Gross unrealized losses
    
    
    (118,698
    )
    
    
    (697,758
    )
    
    
    (1,605,523
    )
    
    
    (2,371,475
    )Net unrealized gain (loss)
    
    $
    1,183,948
    
    
    $
    (160,660
    )
    
    $
    436,932
    
    
    $
    (1,324,864
    )
 Open contracts generally mature within three months; as of March 31, 2006, the latest
maturity date for open futures contracts is December 2006, and the latest maturity or
expiry date for open forward currency and options on forward currency contracts is June
2006. 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.
    
    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, 2006 and the statements
of operations, cash flows and changes in unitholders capital (Net
Asset Value) for the three months ended March 31, 2006 and 2005
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, 2006, and the results of operations and
cash flows for the three months ended March 31, 2006 and 2005.
 - 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 ended March 31, 2006 and 2005. This
information has been derived from information presented in the financial statements.
 Three months endedMarch 31,2006
    
    
    2005(Unaudited)
    
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,691.94
    
    
    $
    1,501.39Income (loss) from operations:Total trading gains (losses) (1)
    
    
    94.76
    
    
    
    (38.11
    )Expenses net of interest income (1)
    
    
    (10.80
    )
    
    
    (2.39
    )Total income (loss) from operations
    
    
    83.96
    
    
    
    (40.50
    )Offering costs (1)
    
    
    (3.93
    )
    
    
    (3.30
    )Net asset value per unit at end of period
    
    $
    1,771.97
    
    
    $
    1,457.59Total Return(3)
    
    
    4.73
    %
    
    
    (2.92
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.13
    %
    
    
    3.02
    %Performance fee (3)
    
    
    0.90
    %
    
    
    0.00
    %Total expenses
    
    
    4.03
    %
    
    
    3.02
    %Expenses net of interest income (2), (4)
    
    
    (1.10
    )%
    
    
    0.65
    %
 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. - 14 -




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##### 



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




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##### 



i.e.
   Results of Operations
  2006
  - 16 -




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##### 



Sector
    
    % Gain (Loss)Stock Indices
    
    
    2.83
    %Metals
    
    
    0.96Currencies
    
    
    0.88Interest Rates
    
    
    0.72Energy
    
    
    0.255.64
    %
    2005
  - 17 -




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##### 



Sector
    
    % Gain (Loss)Energy
    
    
    1.81
    %Interest Rates
    
    
    0.59Metals
    
    
    0.23Stock Indices
    
    
    (1.06
    )Currencies
    
    
    (4.03
    )(2.46
    )%
    Off-Balance Sheet Risk
  - 18 -




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##### 



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
   - 19 -




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##### 



Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
     - 20 -




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##### 



The Trusts Trading Value at Risk in Different Market Sectors
  March 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.23
    %
    
    
    0.88
    %Energy
    
    
    0.74
    %
    
    
    0.25
    %Stock Indices
    
    
    0.54
    %
    
    
    2.83
    %Short-Term Interest Rates
    
    
    0.39
    %
    
    
    1.64
    %Long-Term Interest Rates
    
    
    0.17
    %
    
    
    (0.92
    )%Metals
    
    
    0.14
    %
    
    
    0.96
    %Aggregate/Total
    
    
    1.69
    %
    
    
    5.64
    %
 
 *
    
    -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, 2006, approximately 5.64% was due to
trading gains (before commissions), approximately 1.06% was due interest income offset by
approximately 1.97% due to brokerage fees, management fees, performance fees and operating
costs borne by the Trust giving a net return of 4.73%. - 21 -




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##### 



December 31, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    6.12
    %Long-Term Interest Rates
    
    
    0.79
    %
    
    
    1.89
    %Energy
    
    
    0.64
    %
    
    
    3.31
    %Short-Term Interest Rates
    
    
    0.62
    %
    
    
    4.76
    %Stock Indices
    
    
    0.38
    %
    
    
    (2.73
    )%Metals
    
    
    0.06
    %
    
    
    1.12
    %Aggregate/Total
    
    
    2.47
    %
    
    
    14.47
    %
 
 *
    
    -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, 2005, approximately 14.47% was due to
trading gains (before commissions), approximately 2.94% was due interest income offset by
approximately 4.72% due to brokerage fees, performance fees and operating and offering costs
borne by the Trust giving a net return of 12.69%. 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
  - 22 -




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##### 



Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 Interest Rates
  - 23 -




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##### 



Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
  - 24 -




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##### 



General
  Item 4. Controls and Procedures
  - 25 -




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##### 



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
  ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites 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.
   - 26 -




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: May 15, 2006
    
    
    
    By:
    
    /s/Theresa D. Becks

Theresa D. BecksChief Financial Officer/Treasurer/Director
 - 27 -




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2- E331.02
    
    Certification by Chief Financial Officer
    
    E 4 E532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1