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, 2008
 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
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer o
    
    Smaller reporting company þ(Do not check if a smaller reporting company)
 o þ
   32




---



##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsCondensed Schedules of Investments as of September 30, 2008 (Unaudited) and December 31, 2007
    
    
    3-6Statements of Financial Condition as of September 30, 2008 (Unaudited) and December 31, 2007
    
    
    7Statements of Operations for the Three Months and Nine Months Ended September 30, 2008 and 2007 (Unaudited)
    
    
    8Statements of Cash Flows for Nine Months Ended September 30, 2008 and 2007 (Unaudited)
    
    
    9Statements of Changes in Unitholders Capital (Net Asset Value) for the Nine Months Ended September 30, 2008 and 2007 (Unaudited)
    
    
    10Financial Highlights for the Nine Months Ended
September 30, 2008 and 2007 (Unaudited)
    
    
    11Notes to Financial Statements (Unaudited)
    
    
    12-17Item 2.
    
    Managements Discussion and Analysis of Financial Condition and Results of Operations
    
    
    18-24Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    25-30Item 4T.
    
    Controls and Procedures
    
    
    30PART II  OTHER INFORMATIONItem 6.
    
    Exhibits and Reports on Form 8-K
    
    
    31SIGNATURESCERTIFICATIONS




---



##### 



% of NetValues ($)
    
    
    Asset ValueUNITED
STATES GOVERNMENT SECURITIES*Maturity
    
    MaturityFace Value
    
    Date
    
    Description$18,500,000
    
    10/02/2008
    
    U.S. Treasury Bills
    
    $
    18,499,219
    
    
    
    49.75
    %$  3,000,000
    
    10/09/2008
    
    U.S. Treasury Bills
    
    $
    2,999,900
    
    
    
    8.07
    %Total United States government securities
(cost, including accrued interest,  $21,499,119)
    
    
    
    
    
    $
    21,499,119
    
    
    
    57.82
    %LONG
FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    $
    (50,965
    )
    
    
    (0.14
    )%Metals
    
    
    
    
    
    $
    (20,409
    )
    
    
    (0.05
    )%Stock indices
    
    
    
    
    
    $
    (91,338
    )
    
    
    (0.25
    )%Short-term
interest rates
    
    
    
    
    
    $
    (5,923
    )
    
    
    (0.02
    )%Long-term interest rates
    
    
    
    
    
    $
    6,796
    
    
    
    0.02
    %Total long futures contracts
    
    
    
    
    
    $
    (161,839
    )
    
    
    (0.44
    )%SHORT
FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    $
    60,594
    
    
    
    0.16
    %Metals
    
    
    
    
    
    $
    20,483
    
    
    
    0.06
    %Stock indices
    
    
    
    
    
    $
    281,227
    
    
    
    0.76
    %Short-term interest rates
    
    
    
    
    
    $
    (161,398
    )
    
    
    (0.43
    )%Long-term interest rates
    
    
    
    
    
    $
    (147,132
    )
    
    
    (0.40
    )%Total short futures contracts
    
    
    
    
    
    $
    53,774
    
    
    
    0.15
    %Total futures contracts
    
    
    
    
    
    $
    (108,065
    )
    
    
    (0.29
    )%
 See Accompanying Notes to Financial Statements.




---



##### 



% of NetValues ($)
    
    
    Asset ValueFORWARD
CURRENCY CONTRACTSDescriptionVarious long forward currency contracts
    
    $
    (859,738
    )
    
    
    (2.31
    )%Various short forward currency contracts
    
    $
    14,014
    
    
    
    0.04
    %Total forward currency contracts
    
    $
    (845,724
    )
    
    
    (2.27
    )%PURCHASED
OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on forward currency contracts(premiums paid  $7,637)
    
    $
    8,417
    
    
    
    0.02
    %WRITTEN
OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward currency contracts(premiums received  $4,713)
    
    $
    (7,213
    )
    
    
    (0.02
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.




---



##### 



% of NetValues ($)
    
    
    Asset ValueUNITED
STATES GOVERNMENT SECURITIES*Maturity
    
    MaturityFace Value
    
    Date
    
    Description$12,000,000
    
    02/07/2008
    
    U.S. Treasury Bills
    
    $
    11,953,750
    
    
    
    32.94
    %$10,000,000
    
    02/28/2008
    
    U.S. Treasury Bills
    
    $
    9,953,278
    
    
    
    27.43
    %$8,000,000
    
    01/03/2008
    
    U.S. Treasury Bills
    
    $
    7,998,289
    
    
    
    22.04
    %$4,000,000
    
    01/24/2008
    
    U.S. Treasury Bills
    
    $
    3,990,442
    
    
    
    11.00
    %Total United States government securities
(cost, including accrued interest,  $33,895,759)
    
    
    
    
    
    $
    33,895,759
    
    
    
    93.41
    %LONG
FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    $
    89,355
    
    
    
    0.25
    %Metals
    
    
    
    
    
    $
    37,694
    
    
    
    0.10
    %Stock indices
    
    
    
    
    
    $
    105,504
    
    
    
    0.29
    %Short-term
interest rates
    
    
    
    
    
    $
    46,265
    
    
    
    0.13
    %Long-term interest rates
    
    
    
    
    
    $
    37,652
    
    
    
    0.10
    %Total long futures contracts
    
    
    
    
    
    $
    316,470
    
    
    
    0.87
    %SHORT
FUTURES CONTRACTSDescriptionEnergy
    
    
    
    
    
    $
    (72,904
    )
    
    
    (0.20
    )%Metals
    
    
    
    
    
    $
    (9,992
    )
    
    
    (0.03
    )%Stock indices
    
    
    
    
    
    $
    (4,422
    )
    
    
    (0.01
    )%Short-term interest rates
    
    
    
    
    
    $
    (48,238
    )
    
    
    (0.13
    )%Long-term interest rates
    
    
    
    
    
    $
    16,596
    
    
    
    0.05
    %Total short futures contracts
    
    
    
    
    
    $
    (118,960
    )
    
    
    (0.32
    )%Total futures contracts
    
    
    
    
    
    $
    197,510
    
    
    
    0.55
    %
 See Accompanying Notes to Financial Statements.




---



##### 



% of NetValues ($)
    
    
    Asset ValueFORWARD
CURRENCY CONTRACTSDescriptionVarious long forward currency contracts
    
    $
    (604,943
    )
    
    
    (1.67
    )%Various short forward currency contracts
    
    $
    (205,499
    )
    
    
    (0.57
    )%Total forward currency contracts
    
    $
    (810,442
    )
    
    
    (2.24
    )%PURCHASED
OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionPurchased options on forward currency contracts(premiums paid  $74,159)
    
    $
    50,330
    
    
    
    0.14
    %WRITTEN
OPTIONS ON FORWARD CURRENCY CONTRACTSDescriptionWritten options on forward currency contracts(premiums received  $41,845)
    
    $
    (19,355
    )
    
    
    (0.05
    )%
 
 *
    
    Pledged as collateral for the trading of futures, forward and option positions. See Accompanying Notes to Financial Statements.




---



##### 



September 30,
    
    
    December 31,2008
    
    
    2007ASSETSEquity in broker trading accountsCash
    
    $
    16,122,517
    
    
    $
    2,538,672United States government securities
    
    
    18,499,219
    
    
    
    29,905,317Net unrealized gain (loss) on open futures contracts
    
    
    (108,065
    )
    
    
    197,510Total equity in broker trading accounts
    
    
    34,513,671
    
    
    
    32,641,499Cash
    
    
    753,570
    
    
    
    1,652,920United States government securities
    
    
    2,999,900
    
    
    
    3,990,442Options purchased, at fair value(premiums paid  $7,637 and $74,159, respectively)
    
    
    8,417
    
    
    
    50,330Net unrealized gain (loss) on open forward currency contracts
    
    
    (845,724
    )
    
    
    (810,442
    )Interest receivable
    
    
    9,193
    
    
    
    7,894Subscriptions receivable
    
    
    0
    
    
    
    33,938Prepaid expenses
    
    
    4,155
    
    
    
    0Total assets
    
    $
    37,443,182
    
    
    $
    37,566,581LIABILITIESAccounts payable
    
    $
    53,837
    
    
    $
    38,549Brokerage fee
    
    
    30,509
    
    
    
    37,041Options written, at fair value(premiums received  $4,713 and $41,845, respectively)
    
    
    7,213
    
    
    
    19,355Accrued commissions and other trading fees on open contracts
    
    
    3,525
    
    
    
    7,946Offering costs payable
    
    
    9,634
    
    
    
    11,697Redemptions payable
    
    
    154,624
    
    
    
    1,163,237Total liabilities
    
    
    259,342
    
    
    
    1,277,825UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner - 1,413.580 units outstanding at
September 30, 2008 and December 31, 2007
    
    
    2,334,768
    
    
    
    2,266,803Other Unitholders - 21,099.329 and 21,216.063 units outstanding at
September 30, 2008 and December 31, 2007
    
    
    34,849,072
    
    
    
    34,021,953Total unitholders capital (Net Asset Value)
    
    
    37,183,840
    
    
    
    36,288,756Total liabilities and unitholders capital (Net Asset Value)
    
    $
    37,443,182
    
    
    $
    37,566,581
 See Accompanying Notes to Financial Statements.
 7




---



##### 



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2008
    
    
    2007
    
    
    2008
    
    
    2007TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    1,450,320
    
    
    $
    (3,471,839
    )
    
    $
    2,221,211
    
    
    $
    (174,622
    )Change in unrealized
    
    
    (1,484,905
    )
    
    
    (644,029
    )
    
    
    (305,575
    )
    
    
    (891,709
    )Brokerage commissions
    
    
    (17,807
    )
    
    
    (11,331
    )
    
    
    (45,141
    )
    
    
    (57,369
    )Net gain (loss) from futures trading(52,392
    )
    
    
    (4,127,199
    )
    
    
    1,870,495
    
    
    
    (1,123,700
    )Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (137,628
    )
    
    
    (1,884,766
    )
    
    
    (173,110
    )
    
    
    (2,100,846
    )Change in unrealized
    
    
    (1,026,268
    )
    
    
    (419,780
    )
    
    
    (35,663
    )
    
    
    (600,182
    )Brokerage commissions
    
    
    (1,230
    )
    
    
    (4,975
    )
    
    
    (1,054
    )
    
    
    (24,214
    )Net gain (loss) from forward
currency and options on forward
currency trading
    
    
    (1,165,126
    )
    
    
    (2,309,521
    )
    
    
    (209,827
    )
    
    
    (2,725,242
    )Total net trading gain (loss)
    
    
    (1,217,518
    )
    
    
    (6,436,720
    )
    
    
    1,660,668
    
    
    
    (3,848,942
    )INTEREST INCOME NET OF EXPENSESIncomeInterest income
    
    
    145,542
    
    
    
    469,193
    
    
    
    543,896
    
    
    
    1,491,476ExpensesBrokerage fee
    
    
    267,559
    
    
    
    274,967
    
    
    
    794,185
    
    
    
    881,460Performance fee
    
    
    0
    
    
    
    0
    
    
    
    0
    
    
    
    270,167Operating expenses
    
    
    27,343
    
    
    
    20,735
    
    
    
    72,578
    
    
    
    74,417Total expenses
    
    
    294,902
    
    
    
    295,702
    
    
    
    866,763
    
    
    
    1,226,044Interest income net of expenses
    
    
    (149,360
    )
    
    
    173,491
    
    
    
    (322,867
    )
    
    
    265,432NET INCOME (LOSS)
    
    $
    (1,366,878
    )
    
    $
    (6,263,229
    )
    
    $
    1,337,801
    
    
    $
    (3,583,510
    )NET INCOME (LOSS) PER MANAGING OWNER AND
OTHER UNITHOLDERS UNIT(based on
weighted average number of units
outstanding during the period)
    
    $
    (61.14
    )
    
    $
    (270.61
    )
    
    $
    59.46
    
    
    $
    (153.63
    )INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OWNER AND OTHER UNITHOLDERS
UNIT
    
    $
    (64.92
    )
    
    $
    (274.75
    )
    
    $
    48.08
    
    
    $
    (166.36
    )
 See Accompanying Notes to Financial Statements.
 8




---



##### 



Nine Months EndedSeptember 30,2008
    
    
    2007Cash flows from (for) operating activitiesNet income (loss)
    
    $
    1,337,801
    
    
    $
    (3,583,510
    )Adjustments to reconcile net income (loss) to net cash from
(for) operating activitiesNet change in unrealized
    
    
    341,238
    
    
    
    1,491,891(Increase) decrease in option premiums paid
    
    
    66,522
    
    
    
    (11,453
    )Increase (decrease) in option premiums received
    
    
    (37,132
    )
    
    
    6,194(Increase) decrease in interest receivable
    
    
    (1,299
    )
    
    
    8,911(Increase) decrease in prepaid expenses
    
    
    (4,155
    )
    
    
    (3,750
    )Increase (decrease) in accounts payable and accrued expenses
    
    
    4,335
    
    
    
    (41,470
    )Net sales maturities (purchases) of investments in
United States government securities
    
    
    12,396,640
    
    
    
    (326,411
    )Net cash from (for) operating activities
    
    
    14,103,950
    
    
    
    (2,459,598
    )Cash flows from (for) financing activitiesAddition of units
    
    
    2,130,678
    
    
    
    2,079,679Redemption of units
    
    
    (3,297,276
    )
    
    
    (2,896,836
    )Offering costs paid
    
    
    (252,857
    )
    
    
    (281,653
    )Net cash from (for) financing activities
    
    
    (1,419,455
    )
    
    
    (1,098,810
    )Net increase (decrease) in cash
    
    
    12,684,495
    
    
    
    (3,558,408
    )CashBeginning of period
    
    
    4,191,592
    
    
    
    6,103,050End of period
    
    $
    16,876,087
    
    
    $
    2,544,642End of period cash consists of:Cash in broker trading accounts
    
    $
    16,122,517
    
    
    $
    2,091,512Cash
    
    
    753,570
    
    
    
    453,130Total end of period cash
    
    $
    16,876,087
    
    
    $
    2,544,642
 See Accompanying Notes to Financial Statements.
 9




---



##### 



Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountNine Months Ended September 30, 2008Balances at December 31, 2007
    
    
    1,413.580
    
    
    $
    2,266,803
    
    
    
    21,216.063
    
    
    $
    34,021,953
    
    
    
    22,629.643
    
    
    $
    36,288,756Net income (loss) for the nine
months ended September 30, 2008
    
    
    
    
    
    
    83,723
    
    
    
    
    
    
    
    1,254,078
    
    
    
    
    
    
    
    1,337,801Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,282.424
    
    
    
    2,096,740
    
    
    
    1,282.424
    
    
    
    2,096,740Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,399.158
    )
    
    
    (2,288,663
    )
    
    
    (1,399.158
    )
    
    
    (2,288,663
    )Offering costs
    
    
    
    
    
    
    (15,758
    )
    
    
    
    
    
    
    (235,036
    )
    
    
    
    
    
    
    (250,794
    )Balances at September 30, 2008
    
    
    1,413.580
    
    
    $
    2,334,768
    
    
    
    21,099.329
    
    
    $
    34,849,072
    
    
    
    22,512.909
    
    
    $
    37,183,840Nine Months Ended September 30, 2007Balances at December 31, 2006
    
    
    1,413.580
    
    
    $
    2,566,397
    
    
    
    22,200.336
    
    
    $
    40,305,318
    
    
    
    23,613.916
    
    
    $
    42,871,715Net income (loss) for the nine
months ended September 30, 2007
    
    
    
    
    
    
    (218,295
    )
    
    
    
    
    
    
    (3,365,215
    )
    
    
    
    
    
    
    (3,583,510
    )Additions
    
    
    0.000
    
    
    
    0
    
    
    
    936.688
    
    
    
    1,666,815
    
    
    
    936.688
    
    
    
    1,666,815Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,369.280
    )
    
    
    (2,446,741
    )
    
    
    (1,369.280
    )
    
    
    (2,446,741
    )Offering costs
    
    
    
    
    
    
    (16,868
    )
    
    
    
    
    
    
    (261,488
    )
    
    
    
    
    
    
    (278,356
    )Balances at September 30, 2007
    
    
    1,413.580
    
    
    $
    2,331,234
    
    
    
    21,767.744
    
    
    $
    35,898,689
    
    
    
    23,181.324
    
    
    $
    38,229,923
 Net Asset Value per Managing Owner and Other Unitholders UnitSeptember 30, 2008
    
    December 31, 2007
    
    
    September 30, 2007
    
    
    December 31, 2006$           1,651.67
    
    $
    1,603.59
    
    
    $
    1,649.17
    
    
    $
    1,815.53
 See Accompanying Notes to Financial Statements.
 10




---



##### 



Three Months Ended
    
    
    Nine Months EndedSeptember 30,
    
    
    September 30,2008
    
    
    2007
    
    
    2008
    
    
    2007Per Unit Performance
(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,716.59
    
    
    $
    1,923.92
    
    
    $
    1,603.59
    
    
    $
    1,815.53Income (loss) from operations:Total net trading gains (losses) (1)
    
    
    (54.46
    )
    
    
    (278.50
    )
    
    
    73.58
    
    
    
    (165.81
    )Interest income net of expenses (1)
    
    
    (6.68
    )
    
    
    7.50
    
    
    
    (14.35
    )
    
    
    11.38Total net income (loss) from operations
    
    
    (61.14
    )
    
    
    (271.00
    )
    
    
    59.23
    
    
    
    (154.43
    )Offering costs (1)
    
    
    (3.78
    )
    
    
    (3.75
    )
    
    
    (11.15
    )
    
    
    (11.93
    )Net asset value per unit at end of period
    
    $
    1,651.67
    
    
    $
    1,649.17
    
    
    $
    1,651.67
    
    
    $
    1,649.17Total Return(3)
    
    
    (3.78
    )%
    
    
    (14.28
    )%
    
    
    3.00
    %
    
    
    (9.16
    )%Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    3.13
    %
    
    
    2.96
    %
    
    
    3.13
    %
    
    
    3.10
    %Performance fee (3)
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.00
    %
    
    
    0.66
    %Total expenses
    
    
    3.13
    %
    
    
    2.96
    %
    
    
    3.13
    %
    
    
    3.76
    %Interest income net of expenses (2),(4),(5)
    
    
    (1.59
    )%
    
    
    1.73
    %
    
    
    (1.17
    )%
    
    
    1.73
    %
 Total returns are calculated based on the change in value of a unit during the period. An
individual partners total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
 
 (1)
    
    Interest income net of expenses per unit and offering costs per unit are calculated by
dividing the interest income net of expenses and offering costs by the
average number of units outstanding during the period. Total net trading gains (losses) is a
balancing amount necessary to reconcile the change in net asset value
per unit with the other per unit information.(2)
    
    Excludes performance fee.(3)
    
    Not annualized(4)
    
    Annualized(5)
    
    Interest income net of expenses are shown as a positive percentage when interest income
exceeds expenses excluding the performance fee for the period and a
negative number when expenses exceed interest income for the period. See Accompanying Notes to Financial Statements
 11




---



##### 



Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustCampbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which
operates as a commodity investment pool. The Trust was formed on May 3, 2000 and
commenced trading on October 1, 2001. The Trust engages in the speculative trading of
futures contracts, forward currency contracts and options on forward currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan). At
September 30, 2008 and December 31, 2007, the 401(K) Plan held approximately 66% and 60%
of the Trusts outstanding units, respectively.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to the
regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of
1934. As a commodity investment pool, the Trust is subject to the regulations of the
Commodity Futures Trading Commission, an agency of the United States (U.S.) government which
regulates most aspects of the commodity futures industry; rules of the National Futures
Association, an industry self-regulatory organization; and the requirements of the various
commodity exchanges where the Trust executes transactions. Additionally, the Trust is
subject to the requirements of futures commission merchants (brokers) and interbank market
makers through which the Trust trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with accounting principles
generally accepted in the United States of America, which may require the use of certain
estimates made by the Trusts management. Actual results may differ from these estimates.
Investment transactions are accounted for on the trade date. Gains or losses are realized
when contracts are liquidated. Unrealized gains and losses on open contracts (the difference
between contract trade price and market price) are reported in the statement of financial
condition as a net gain or loss, as there exists a right of offset of unrealized gains or
losses in accordance with Financial Accounting Standards Board Interpretation No. 39 -
Offsetting of Amounts Related to Certain Contracts. The market value of futures
(exchange-traded) contracts is determined by the various futures exchanges, and reflects the
settlement price for each contract as of the close of the last business day of the reporting
period. The market value of forward currency (non-exchange traded) contracts was
extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the
last business day of the reporting period or based on the market value of its
exchange-traded equivalent.The market value of option (non-exchange traded) contracts is calculated by applying an
industry-standard adaptation of the Black-Scholes options valuation model to foreign
currency options, using as input, the spot prices, interest rates and option implied
volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.
Any change in net unrealized gain or loss from the preceding period is reported in the
statement of operations.When the Trust writes an option, an amount equal to the premium received by the Trust is
reflected as an asset and an equivalent liability. The amount of the liability is
subsequently marked-to -market to reflect the current market value of option written.
Brokerage commissions include other trading fees and are charged to expense when contracts
are opened. United States government securities are stated at cost plus accrued interest,
which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net Asset
Value per unit is calculated by dividing Net Asset Value by the number of outstanding
units.
 12




---



##### 



Fair Value at September 30, 2008Description
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalInvestmentsU.S. Treasury Bills
    
    $
    0
    
    
    $
    21,499,119
    
    
    $
    0
    
    
    $
    21,499,119Other Financial InstrumentsExchange-traded futures contracts
    
    
    (108,065
    )
    
    
    0
    
    
    
    0
    
    
    
    (108,065
    )Forward currency contracts
    
    
    0
    
    
    
    (845,724
    )
    
    
    0
    
    
    
    (845,724
    )Options purchased
    
    
    0
    
    
    
    8,417
    
    
    
    0
    
    
    
    8,417Options written
    
    
    0
    
    
    
    (7,213
    )
    
    
    0
    
    
    
    (7,213
    )Total
    
    $
    (108,065
    )
    
    $
    20,654,599
    
    
    $
    0
    
    
    $
    20,546,534
 13




---



##### 



D.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns and
reports to the unitholders their allocable shares of the Trusts income, expenses and
trading gains or losses. No provision for income taxes has been made in the accompanying
financial statements as each unitholder is individually responsible for reporting income or
loss based on such unitholders respective share of the Trusts income and expenses as
reported for income tax purposes.Management has continued to evaluate the application of Financial Accounting Standards Board
(FASB) Interpretation No. 48, Accounting for Uncertainty in Income Taxes  an
interpretation of FASB Statement No. 109 (FIN 48), to the Trust, and has determined that
FIN 48 does not have a material impact on the Trusts financial statements. The Trust files
federal and state tax returns. The 2004 through 2007 tax years generally remain subject to
examination by the U.S. federal and most state tax authorities.E.
    
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the
initial and continuous offering of units of the Trust (offering costs). Offering costs are
charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9% annualized) of the Trusts
month-end net asset value (as defined in the Amended and Restated Declaration of Trust and
Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly
to unitholders capital. The Trust is only liable for payment of offering costs on a monthly
basis. At September 30, 2008 and December 31, 2007, the Trust reflects a liability in the
statement of financial condition for offering costs payable to Campbell & Company of $9,634
and $11,697, 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 September 30, 2008 and December 31, 2007, the amount of
unreimbursed offering costs incurred by Campbell & Company is $142,211 and $235,984,
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.G.
    
    Recently Issued Accounting PronouncementsIn March 2008, the Financial Accounting Standards Board (FASB) issued Statement of Financial
Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging
Activities  an amendment of FASB Statement No. 133 (SFAS 161). SFAS 161 establishes, amoung
other things, the disclosure requirements for derivative instruments and for hedging
activities. SFAS 161 is effective for financial statements issued for fiscal years beginning
after November 15, 2008, and interim periods within those fiscal years. The impact on the
Trusts financial statement disclosures, if any, is currently being assessed.
 14




---



##### 



Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR
     Note 3. TRUSTEE
  Note 4. DEPOSITS WITH BROKER
  Note 5. OPERATING EXPENSES
  Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
   Note 7. TRADING ACTIVITIES AND RELATED RISKS
   15




---



##### 



Forward Currency andOptions on ForwardFutures Contracts
    
    
    Currency Contracts(exchange traded)
    
    
    (non-exchange traded)September 30, 2008
    
    
    December 31, 2007
    
    
    September 30, 2008
    
    
    December 31,2007Gross unrealized gains
    
    $
    554,487
    
    
    $
    470,224
    
    
    $
    718,264
    
    
    $
    742,233Gross unrealized losses
    
    
    (662,552
    )
    
    
    (272,714
    )
    
    
    (1,565,709
    )
    
    
    (1,554,014
    )Net unrealized gain
(loss)
    
    $
    (108,065
    )
    
    $
    197,510
    
    
    $
    (847,445
    )
    
    $
    (811,781
    )
  16




---



##### 



Note 8. INDEMNIFICATIONS
  Note 9. INTERIM FINANCIAL STATEMENTS
  17




---



##### 



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




---



##### 



i.e.
   Results of Operations
  2008
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    7.93
    %Commodities
    
    
    0.77Currencies
    
    
    (0.55
    )Interest Rates
    
    
    (3.47
    )4.68
    %
 19




---



##### 



20




---



##### 



21




---



##### 



2007
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    0.45
    %Stock Indices
    
    
    (0.37
    )Metals
    
    
    (0.80
    )Energy
    
    
    (1.55
    )Currencies
    
    
    (6.66
    )(8.93
    )%
  22




---



##### 



23




---



##### 



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




---



##### 



Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 Quantitative Forward-Looking Statements
 The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period).
  25




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  26




---



##### 



September 30, 2008TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.18
    %
    
    
    (0.55
    )%Stock Indices
    
    
    1.01
    %
    
    
    7.93
    %Interest Rates
    
    
    0.81
    %
    
    
    (3.47
    )%Commodities
    
    
    0.22
    %
    
    
    0.77
    %Aggregate/Total
    
    
    1.66
    %
    
    
    4.68
    %
 
 * -
    
    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, 2008, approximately 4.68% was due
to trading gains (before commissions) and approximately 1.47% of interest income offset by
approximately 3.15% due to brokerage fees, operating costs and offering costs borne by the
Trust giving a net return of 3.00%.
 December 31, 2007TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.48
    %
    
    
    (7.17
    )%Stock Indices
    
    
    0.51
    %
    
    
    (2.53
    )%Interest Rates
    
    
    0.42
    %
    
    
    1.10
    %Commodities
    
    
    0.22
    %
    
    
    (2.72
    )%Aggregate/Total
    
    
    1.72
    %
    
    
    (11.32
    )%
 
 * -
    
    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, 2007, approximately 11.32% was due to
trading losses (before commissions) and approximately 4.91% due to brokerage fees, performance
fees and operating and offering costs borne by the Trust offset by approximately 4.56% of
interest income giving a net return of (11.67)%.
 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;
 27




---



##### 



4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material losses as well as in material changes to the risk exposures
and the risk management strategies of the Trust. There can be no assurance that the Trusts
current market exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or long-term. Investors must be
prepared to lose all or substantially all of their investment in the Trust.
  Currencies
 i.e.,
 28




---



##### 



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




---



##### 



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




---



##### 



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




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)By:
    
    Campbell & Company, Inc.Managing OwnerDate: November 14, 2008
    
    
    
    By:
    
    /s/Theresa D. BecksTheresa D. BecksChief Executive Officer
 32




---



##### 



EXHIBIT INDEX
 PageExhibit Number
    
    Description of Document
    
    Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E 331.02
    
    Certification by Chief Financial Officer
    
    E 4  E 532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1