##### 



SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-K
  þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE
REQUIRED]
 For the Fiscal Year Ended December 31, 2006
 Commission File Number 0-33311 and 2-84126   OR
 o
    
    TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
 For
the transition period from
 to
 CAMPBELL ALTERNATIVE ASSET TRUST
  DELAWARE
    
    52-2238521(State or other jurisdiction of 
incorporation or organization)
    
    (IRS Employer Identification Number)210 W. Pennsylvania AvenueTowson, Maryland
    
    21204
 (410) 296-3301
 None
  Units of Beneficial Interest
  o þ
 o þ
 þ o
 þ
  o o þ
    5.




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##### 



TABLE OF CONTENTS
 PagePART IITEM 1.
    
    BUSINESS
    

    1-2ITEM 1A.
    
    RISK FACTORS
    

    3-9ITEM 1B.
    
    UNSETTLED STAFF COMMENTS
    

    10ITEM 2.
    
    PROPERTIES
    

    10ITEM 3.
    
    LEGAL PROCEEDINGS
    

 10ITEM 4.
    
    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    

    10PART IIITEM 5.
    
    MARKET FOR REGISTRANTS COMMON EQUITY AND RELATED STOCKHOLDER
MATTERS
    
    
    10ITEM 6.
    
    SELECTED FINANCIAL DATA
    
    10-11ITEM 7.
    
    MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL
CONDITION AND RESULTS OF OPERATIONS
    

    12-19ITEM 7A.
    
    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    

    19-25ITEM 8.
    
    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    

    25ITEM 9.
    
    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON
ACCOUNTING AND FINANCIAL DISCLOSURE
    

    25ITEM 9A.
    
    CONTROLS AND PROCEDURES
    

    25ITEM 9B.
    
    OTHER INFORMATION
    

    25PART IIIITEM 10.
    
    DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    

    26-27ITEM 11.
    
    EXECUTIVE COMPENSATION
    

    28ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
    

    28ITEM 13.
    
    CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    

    28ITEM 14.
    
    PRINCIPAL ACCOUNTANT FEES AND SERVICES
    

    28PART IVITEM 15.
    
    EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM 8-K
    

    29-30SIGNATURESCERTIFICATIONS
  i




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PART I
 Item 1. Business
       Regulation
  1




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##### 



Operations
     http://www.sec.gov
 2




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##### 



Item 1A. Risk Factors
 Market Risks
 You Could Possibly Lose Your Total Investment in the Trust
  The Trust Is Highly Leveraged
  Your Investment Could Be Illiquid
     3




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Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit
Risk   Options on Futures and Over-the-Counter Contracts are Speculative and Highly Leveraged
  An Investment in the Trust May Not Diversify an Overall Portfolio
  Trading Risks
 Campbell & Company Analyzes Primarily Technical Market Data
  4




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Increased Competition from Other Trend-Following Traders Could Reduce Campbell & Companys
Profitability
  Speculative Position Limits May Alter Trading Decisions for the Trust
  Increase in Assets Under Management May Make Profitable Trading More Difficult
  Investors Will Not Be Able to Review the Trusts Holdings on a Daily Basis
 i.e.
 5




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##### 



Tax Risks
 Investors are Taxed Based on Their Share of Trust Income and Gain
   Tax Could be Due from Investors on Their Share of the Trusts Ordinary Income Despite Overall
Losses
  There Could be a Limit on the Deductibility of Management and Performance Fees
  Other Risks
 Fees and Commissions are Charged Regardless of Profitability and are Subject to Change
  The Futures Broker Could Fail and Has Been Subject to Disciplinary Action
  6




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##### 



Investors Must Not Rely on the Past Performance of Either Campbell & Company or the Trust in
Deciding Whether to Buy Units
  Parties to the Trust Have Conflicts of Interest
     There Are No Independent Experts Representing Investors
  The Trust Places Significant Reliance on Campbell & Company
  The Trust Could Terminate Before Expiration of its Stated Term
  7




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##### 



The Trust Is Not a Regulated Investment Company
  Proposed Regulatory Change Is Impossible to Predict
  Forwards, Options, Swaps, Hybrids and Other Derivatives Are Not Subject to CFTC Regulation
  The Trust is Subject to Foreign Market Credit and Regulatory Risk
  The Trust is Subject to Foreign Exchange Risk
  8




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##### 



Transfers Could be Restricted
  A Single-Advisor Fund May Be More Volatile Than a Multi-Advisor Fund
  The Performance Fee Could be an Incentive to Make Riskier Investments
  The Trust May Distribute Profits to Unitholders at Inopportune Times
  Potential Inability to Trade or Report Due to Systems Failure
  Potential Disruption or Inability to Trade Due to a Failure to Receive Timely and Accurate Market
Data from Third Party Vendors
  9




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##### 



Item 1B. Unresolved Staff Comments
  Item 2. Properties
  Item 3. Legal Proceedings
  Item 4. Submission of Matters to a Vote of Security Holders
  PART II
 Item 5.
    
    Market for Registrants Common Equity , Related Stockholder Matters and Issuer
Purchases of Equity Securities
    Item 6. Selected Financial Data
  For the Years Ended December 31,2006
    
    2005
    
    2004
    
    2003
    
    2002Total Assets
    
    $
    43,619,109
    
    
    $
    40,221,009
    
    
    $
    35,225,567
    
    
    $
    33,165,538
    
    
    $
    34,524,465Total Unitholders Capital
    
    
    42,871,715
    
    
    
    39,856,467
    
    
    
    34,955,385
    
    
    
    32,821,418
    
    
    
    32,854,478Total Trading Gain
(net of brokerage commissions)
    
    
    2,971,747
    
    
    
    5,125,300
    
    
    
    5,125,392
    
    
    
    9,269,009
    
    
    
    4,996,237Net Income
    
    
    3,250,791
    
    
    
    4,799,375
    
    
    
    3,249,651
    
    
    
    7,263,843
    
    
    
    3,761,201Net Income Per Managing
Owner and Other
Unitholder Unit*
    
    
    135.31
    
    
    
    204.75
    
    
    
    135.90
    
    
    
    292.55
    
    
    
    161.99Increase in Net Asset Value
per Managing Owner and
Other Unitholder Unit
    
    
    123.59
    
    
    
    190.55
    
    
    
    123.76
    
    
    
    253.05
    
    
    
    150.94
 
 *
    
    - Based on weighted average number of units outstanding during the period. 10




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##### 



1st Qtr.
    
    2nd Qtr.
    
    3rd Qtr.
    
    4th Qtr.2006
    
    2006
    
    2006
    
    2006Total Trading Gain (Loss)
(net of brokerage
commissions)
    
    $
    2,254,666
    
    
    $
    (2,317,933
    )
    
    $
    (1,229,377
    )
    
    $
    4,264,391Net Income (Loss)
    
    
    1,997,584
    
    
    
    (2,159,035
    )
    
    
    (1,034,081
    )
    
    
    4,446,323Net Income (Loss)
per Managing Owner
and Other Unitholder
Unit *
    
    
    83.93
    
    
    
    (89.15
    )
    
    
    (42.70
    )
    
    
    186.33Increase (Decrease) in
Net Asset Value per
Managing Owner and
Other Unitholder Unit
    
    
    80.03
    
    
    
    (93.11
    )
    
    
    (46.52
    )
    
    
    183.19Net Asset Value per
Managing Owner and
Other Unitholder Unit
at the End of the Period
    
    
    1,771.97
    
    
    
    1,678.86
    
    
    
    1,632.34
    
    
    
    1,815.53
 1st Qtr.
    
    2nd Qtr.
    
    3rd Qtr.
    
    4th Qtr.2005
    
    2005
    
    2005
    
    2005Total Trading Gain (Loss)
(net of brokerage
commissions)
    
    $
    (890,145
    )
    
    $
    4,598,526
    
    
    $
    (111,008
    )
    
    $
    1,527,927Net Income (Loss)
    
    
    (946,303
    )
    
    
    4,430,020
    
    
    
    (100,714
    )
    
    
    1,416,372Net Income (Loss)
per Managing Owner
and Other Unitholder
Unit *
    
    
    (40.35
    )
    
    
    188.63
    
    
    
    (4.30
    )
    
    
    60.63Increase (Decrease) in
Net Asset Value per
Managing Owner and
Other Unitholder Unit
    
    
    (43.80
    )
    
    
    184.87
    
    
    
    (7.50
    )
    
    
    56.98Net Asset Value per
Managing Owner and
Other Unitholder Unit
at the End of the Period
    
    
    1,457.59
    
    
    
    1,642.46
    
    
    
    1,634.96
    
    
    
    1,691.94
 
 *
    
    - Based on weighted average number of units outstanding during the period. 11




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##### 



Item 7.
    
    Managements Discussion and Analysis of Financial Condition and
Results of Operations.
 Introduction
  Critical Accounting Policies
   Capital Resources
  Liquidity
  12




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##### 



i.e.
   Results of Operations
  2006
  Sector
    
    % Gain (Loss)Stock Indices
    
    
    6.98
    %Interest Rates
    
    
    3.07Currencies
    
    
    2.22Metals
    
    
    2.07Energy
    
    
    (6.58
    )7.76
    %
  13




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##### 



2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.65
    %Currencies
    
    
    6.12Energy
    
    
    3.31Metals
    
    
    1.12Stock Indices
    
    
    (2.73
    )14.47
    %
 14




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15




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16




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##### 



2004
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    13.06
    %Currencies
    
    
    2.68Energy
    
    
    2.22Metals
    
    
    (0.58
    )Stock Indices
    
    
    (1.85
    )15.53
    %
       17




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##### 



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 7A. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    19




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##### 



i.e.,
 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
  December 31, 2006TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Stock Indices
    
    
    0.75
    %
    
    
    6.98
    %Currencies
    
    
    0.70
    %
    
    
    2.22
    %Energy
    
    
    0.39
    %
    
    
    (6.58
    )%Long-Term Interest Rates
    
    
    0.35
    %
    
    
    (0.24
    )%Short-Term Interest Rates
    
    
    0.26
    %
    
    
    3.31
    %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%. 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%. December 31, 2004TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.19
    %
    
    
    2.68
    %Long-Term Interest Rates
    
    
    0.82
    %
    
    
    10.57
    %Short-Term Interest Rates
    
    
    0.25
    %
    
    
    2.49
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.85
    )%Energy
    
    
    0.18
    %
    
    
    2.22
    %Metals
    
    
    0.11
    %
    
    
    (0.58
    )%Aggregate/Total
    
    
    1.86
    %
    
    
    15.53
    %
 
 *
    
    -The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The aggregate VaR represents the VaR of the Trusts open
positions across all market sectors, and is less than the sum of the VaRs for all such market
sectors due to the diversification benefit across asset classes.**
    
    -Of the return for the year ended December 31, 2004, approximately 15.53% was due to
trading gains (before commissions) and approximately 1.26% was due to interest income, offset
by approximately 7.81% in brokerage fees, performance fees, and operating and offering costs
borne by the Trust giving a net return of 8.98%. 22




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##### 



Material Limitations of Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;
 2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;
 3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;
 4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and
 5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
 The following qualitative disclosures regarding the Trusts market risk exposures 
except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures  constitute
forward-looking statements within the meaning of Section 27A of the Securities Act and Section
21E of the Securities Exchange Act. The Trusts primary market risk exposures as well as the
strategies used and to be used by Campbell & Company for managing such exposures are subject
to numerous uncertainties, contingencies and risks, any one of which could cause the actual
results of the Trusts risk controls to differ materially from the objectives of such
strategies. Government interventions, defaults and expropriations, illiquid markets, the
emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other
factors could result in material 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.,
 23




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##### 



Interest Rates
  Stock Indices
  Energy
  Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  24




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##### 



Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  Item 8. Financial Statements and Supplementary Data
  Item 9. Changes in and Disagreements with Accountants on Accounting and
Financial Disclosure
  Item 9A. Controls and Procedures
  Item 9B. Other Information
  25




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##### 



PART III
 Item 10. Directors and Executive Officers of the Registrant
  G. William Andrews Vice President: Director of Research Operations
 Theresa D. Becks Chief Financial Officer Treasurer Secretary Director
 D. Keith Campbell Chairman of the Board of Directors
 William C. Clarke, III Executive Vice President Director
 Bruce L. Cleland President Director Chief Executive Officer
 Michael S. Harris Vice President and Director
of Trading
 26




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##### 



Michael J. Hebrank
 Kevin M. Heerdt Executive Vice President-Research Chief Operating Officer
 James M. Little Executive Vice President- Business Development Director The Handbook of Financial Futures
 Thomas P. Lloyd General Counsel Executive Vice President-Legal and Compliance
   Audit Committee Financial Expert
  Code of Ethics
  27




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##### 



Item 11. Executive Compensation
  Item 12. Security Ownership of Certain Beneficial Owners and Management and Related
Stockholder Matters
 (a)
    
    Security Ownership of Certain Beneficial Owners. As of December 31, 2006, no
Units of Beneficial Interest are owned or held by an officer of Campbell & Company. As
of December 31, 2006, the following beneficial owners owned more than five percent of
the Units:
 Name of Beneficial
    
    Number of Units
    
    Percentage ofOwner
    
    Owned
    
    TrustCampbell & Company, Inc. 401(k) Plan
    
    
    12,350.065
    
    
    
    52.30
    %Campbell & Company, Inc.
    
    
    1,413.580
    
    
    
    5.99
    %
 (b)
    
    Security Ownership of Management. As of December 31, 2006, Campbell & Company
owned 1,413.580 Units of Managing Owner Interest having a value of $2,566,397. Units
of Managing Owner Interest will always be owned by Campbell & Company in its capacity
as managing owner.
 Item 13. Certain Relationships and Related Transactions
  Item 14. Principal Accounting Fees and Services
  (a)
    
    Audit FeesThe aggregate fees billed for professional services rendered by the principle accountant
for the audit of the Trusts annual financial statements, for review of financial
statements included in the Trusts Forms 10-Q and other services normally provided in
connection with regulatory filings for the years ended December 31, 2006 and 2005 were
$66,115 and $61,718, respectively.(b)
    
    Audit Related FeesNone.(c)
    
    Tax FeesNone.(d)
    
    All Other FeesNone.(e)
    
    The Board of Directors of Campbell & Company approved all of the services
described above. The Board of Directors has determined that the payments made to its
independent accountants for these services are compatible with maintaining such
auditors independence. The Board of Directors explicitly pre-approves all audit and
non-audit services and all engagement fees and terms.
 28




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##### 



PART IV
 Item 15. Exhibits, Financial Statement Schedules, and Reports on Form 8-K
 (a)
    
    The Following documents are filed as part of this report:
 (1)
    
    See Financial Statements beginning on page 32 hereof.(2)
    
    Schedules:Financial statement schedules have been omitted because they are not
included in the financial statements or notes hereto applicable or because
equivalent information has been included in the financial statements or
notes thereto.(3)
    
    Exhibit
 Exhibit Number
    
    Description of Document1.01
    
    Selling Agreement among the Registrant, Campbell & Company,
PaineWebber Incorporated and the Selling Agent. (Incorporated by reference to
the respective exhibit to the Pre-Effective Amendment No. 2 to the Registrants
Registration Statement on Form S-1 (No. 333-37548) filed on February 26, 2001).1.02
    
    Additional Selling Agreement among the Registrant, Campbell &
Company and the Additional Selling Agent. (Incorporated by reference to the
respective exhibit to the Pre-Effective Amendment No. 2 to the Registrants
Registration Statement on Form S-1 (No. 333-37548) filed on February 26, 2001).3.01
    
    Declaration of Trust and Trust Agreement of the Registrant
dated May 1, 2000. (Incorporated by reference to the respective exhibit to the
Registrants Registration Statement on Form S-1 (No. 333-37548) filed on May
22, 2000).3.02
    
    Certificate of Trust of the Registrant. (Incorporated by
reference to the respective exhibit to the Pre-Effective Amendment No. 1 to the
Registrants Registration Statement on Form S-1 (No. 333-37548) filed on
November 9, 2000).3.03
    
    Amended and Restated Declaration of Trust and Trust Agreement
of the Registrant. (Incorporated by reference to the respective exhibit to the
Registrants Registration Statement on Post-Effective Amendment No. 7 to Form
S-1 (No. 333-74014) filed on September 5, 2006).
 29




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##### 



Exhibit Number
    
    Description of Document10.01
    
    Customer Agreement between the Registrant and Paine Webber
Incorporated. (Incorporated by reference to the respective exhibit to the
Pre-Effective Amendment No. 2 to the Registrants Registration Statement on
Form S-1 (No. 333-37548) filed on February 26, 2001).10.02
    
    Subscription Agreement and Power of Attorney. (Incorporated
by reference to the respective exhibit to the Registrants Registration
Statement on Post-Effective Amendment No. 7 to Form S-1 (No. 333-74014) filed
on September 5, 2006).10.03
    
    Escrow Agreement between the Registrant and Mercantile Safe
Deposit & Trust Company. (Incorporated by reference to the respective exhibit
to the Pre-Effective Amendment No. 2 to the Registrants Registration Statement
on Form S-1 (No. 333-37548) filed on February 26, 2001).10.04
    
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant and ABN AMRO Bank, N.V., Chicago Branch. (Incorporated
by reference to the respective exhibit to the Registrants Registration
Statement on Post-Effective Amendment No. 1 to Form S-1 (No. 333-74014) filed
on December 12, 2002).10.05
    
    International Swap Dealers Association, Inc. Master Agreement
between the Registrant and Deutsche Bank AG. (Incorporated by reference to the
respective exhibit to the Pre-Effective Amendment No. 2 to the Registrants
Registration Statement on Form S-1 (No. 333-37548) filed on February 26, 2001.)31.01
    
    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.
 (b)
    
    Reports on Form 8-KNone.
 30




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUSTBy: CAMPBELL &
COMPANY, INC.        Managing OwnerBy:
    
    /s/ Theresa D. Becks

Theresa D. BecksChief Financial Officer, Secretary, Treasurer and Director
  Signature
    
    
    
    Capacity/s/ D. Keith Campbell

D. Keith Campbell
    
    
    
    Chairman
of the Board/s/ William C. Clarke, III

William C. Clarke, III
    
    
    
    Executive
Vice President and Director/s/ Bruce L. Cleland

Bruce L. Cleland
    
    
    
    President,
Chief Executive Officer and Director/s/ Theresa D. Becks

Theresa D. Becks
    
    
    
    Chief
Financial Officer, Secretary, Treasurer and Director/s/ James M. Little

James M. Little
    
    
    
    Executive
Vice President and Director
 31




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 ANNUAL REPORT
   PAGESReports of Independent Registered Public Accounting FirmsDeloitte & Touche LLP
    
    
    33Arthur F. Bell, Jr. & Associates, L.L.C.
    
    
    34Financial StatementsStatements of Financial ConditionDecember 31, 2006 and 2005
    
    
    35Condensed Schedules of InvestmentsDecember 31, 2006 and 2005
    
    
    36-37Statements of Operations For the YearsEnded December 31, 2006, 2005 and 2004
    
    
    38Statements of Cash Flows For the YearsEnded December 31, 2006, 2005 and 2004
    
    
    39Statements of Changes in Unitholders Capital (Net Asset Value)For the Years Ended December 31, 2006, 2005 and 2004
    
    
    40Notes to Financial Statements
    
    
    41-47
 32




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 33




---



##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 34




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 2006
    
    
    2005ASSETSEquity in broker trading accountsCash
    
    $
    3,198,569
    
    
    $
    2,607,477United States government securities
    
    
    30,062,122
    
    
    
    27,349,932Net unrealized gain (loss) on open futures contracts
    
    
    1,082,948
    
    
    
    (160,660
    )Total equity in broker trading accounts
    
    
    34,343,639
    
    
    
    29,796,749Cash
    
    
    2,904,481
    
    
    
    7,368,833Restricted cash
    
    
    0
    
    
    
    1,873,271Options purchased, at fair value (premium paid $29,775)
    
    
    35,454
    
    
    
    0United States government securities
    
    
    4,485,165
    
    
    
    2,480,344Net unrealized gain (loss) on open forward currency contracts
    
    
    1,416,954
    
    
    
    (1,324,864
    )Interest receivable
    
    
    20,552
    
    
    
    26,676Subscriptions receivable
    
    
    412,864
    
    
    
    0Total assets
    
    $
    43,619,109
    
    
    $
    40,221,009LIABILITIESAccounts payable
    
    $
    67,122
    
    
    $
    58,305Brokerage fee
    
    
    50,122
    
    
    
    51,325Options written, at fair value (premiums received $17,336)
    
    
    16,186
    
    
    
    0Accrued commissions and other trading fees
on open contracts
    
    
    14,948
    
    
    
    13,418Performance fee
    
    
    0
    
    
    
    69,538Offering costs payable
    
    
    15,828
    
    
    
    16,208Redemptions payable
    
    
    583,188
    
    
    
    155,748Total liabilities
    
    
    747,394
    
    
    
    364,542UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units
outstanding at December 31, 2006 and 2005
    
    
    2,566,397
    
    
    
    2,391,693Other Unitholders  22,200.336 and 22,143.118 units
outstanding at December 31, 2006 and 2005
    
    
    40,305,318
    
    
    
    37,464,774Total unitholders capital
(Net Asset Value)
    
    
    42,871,715
    
    
    
    39,856,467Total liabilities and unitholders capital (Net Asset Value)
    
    $
    43,619,109
    
    
    $
    40,221,009
  35




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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$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.  36




---



##### 



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 indices
    
    
    (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 ndices
    
    $
    (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
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  37




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 2006
    
    
    2005
    
    
    2004TRADING GAINSFutures trading gains (losses)Realized
    
    $
    1,005,543
    
    
    $
    3,728,183
    
    
    $
    4,450,033Change in unrealized
    
    
    1,243,608
    
    
    
    (676,070
    )
    
    
    (68,059
    )Brokerage commissions
    
    
    (76,571
    )
    
    
    (110,081
    )
    
    
    (72,245
    )Net gain from futures trading
    
    
    2,172,580
    
    
    
    2,942,032
    
    
    
    4,309,729Forward currency and options on forward
currency trading gains (losses)Realized
    
    
    (1,928,500
    )
    
    
    2,977,676
    
    
    
    2,473,670Change in unrealized
    
    
    2,748,647
    
    
    
    (783,292
    )
    
    
    (1,647,220
    )Brokerage commissions
    
    
    (20,980
    )
    
    
    (11,116
    )
    
    
    (10,787
    )Net gain from forward currency and options
on forward currency trading
    
    
    799,167
    
    
    
    2,183,268
    
    
    
    815,663Total net trading gains
    
    
    2,971,747
    
    
    
    5,125,300
    
    
    
    5,125,392EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    1,921,132
    
    
    
    1,086,132
    
    
    
    440,084ExpensesBrokerage fee
    
    
    1,171,323
    
    
    
    1,064,610
    
    
    
    1,007,951Performance fee
    
    
    370,369
    
    
    
    257,993
    
    
    
    1,245,039Operating expenses
    
    
    100,396
    
    
    
    89,454
    
    
    
    62,835Total expenses
    
    
    1,642,088
    
    
    
    1,412,057
    
    
    
    2,315,825Expenses net of interest income
    
    
    279,044
    
    
    
    (325,925
    )
    
    
    (1,875,741
    )NET INCOME
    
    $
    3,250,791
    
    
    $
    4,799,375
    
    
    $
    3,249,651NET INCOME PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT
(based on weighted average number
of units outstanding during the year)
    
    $
    135.31
    
    
    $
    204.75
    
    
    $
    135.90INCREASE IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDER UNIT
    
    $
    123.59
    
    
    $
    190.55
    
    
    $
    123.76
  38




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 2006
    
    
    2005
    
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    3,250,791
    
    
    $
    4,799,375
    
    
    $
    3,249,651Adjustments to reconcile net income
to net cash from (for) operating activitiesNet change in unrealized
    
    
    (3,992,255
    )
    
    
    1,459,362
    
    
    
    1,715,279Option premium paid
    
    
    (29,775
    )
    
    
    0
    
    
    
    0Option premium received
    
    
    17,336
    
    
    
    0
    
    
    
    0Decrease in restricted cash
    
    
    1,873,271
    
    
    
    1,902,751
    
    
    
    299,148(Increase) decrease in interest receivable
    
    
    6,124
    
    
    
    (4,820
    )
    
    
    (13,847
    )Increase (decrease) in accounts payable and
accrued expenses
    
    
    (60,394
    )
    
    
    97,365
    
    
    
    (232,985
    )Net purchases of investments in
United States government securities
    
    
    (4,717,011
    )
    
    
    (6,624,807
    )
    
    
    (3,722,354
    )Net cash from operating activities
    
    
    (3,651,913
    )
    
    
    1,629,226
    
    
    
    1,294,892Cash flows from (for) financing activitiesAddition of units
    
    
    2,123,429
    
    
    
    2,050,730
    
    
    
    2,054,793Redemption of units
    
    
    (1,974,504
    )
    
    
    (1,616,559
    )
    
    
    (2,692,699
    )Offering cost
    
    
    (370,272
    )
    
    
    (335,469
    )
    
    
    (318,731
    )Net cash from (for) financing activities
    
    
    (221,347
    )
    
    
    98,702
    
    
    
    (956,637
    )Net increase (decrease) in cash
    
    
    (3,873,260
    )
    
    
    1,727,928
    
    
    
    338,255Unrestricted CashBeginning of year
    
    
    9,976,310
    
    
    
    8,248,382
    
    
    
    7,910,127End of year
    
    $
    6,103,050
    
    
    $
    9,976,310
    
    
    $
    8,248,382End of year cash consists of:Cash in broker trading accounts
    
    $
    3,198,569
    
    
    $
    2,607,477
    
    
    $
    1,733,100Cash
    
    
    2,904,481
    
    
    
    7,368,833
    
    
    
    6,515,282Total end of year cash
    
    $
    6,103,050
    
    
    $
    9,976,310
    
    
    $
    8,248,382
  39




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountBalances at
December 31, 2003
    
    
    1,413.580
    
    
    $
    1,947,390
    
    
    
    22,411.035
    
    
    $
    30,874,028
    
    
    
    23,824.615
    
    
    $
    32,821,418Net income for the year
ended December 31, 2004
    
    
    
    
    
    
    193,760
    
    
    
    
    
    
    
    3,055,891
    
    
    
    
    
    
    
    3,249,651Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,379.861
    
    
    
    2,054,793
    
    
    
    1,379.861
    
    
    
    2,054,793Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,922.435
    )
    
    
    (2,852,177
    )
    
    
    (1,922.435
    )
    
    
    (2,852,177
    )Offering costs
    
    
    
    
    
    
    (18,815
    )
    
    
    
    
    
    
    (299,485
    )
    
    
    
    
    
    
    (318,300
    )Balances at
December 31, 2004
    
    
    1,413.580
    
    
    
    2,122,335
    
    
    
    21,868.461
    
    
    
    32,833,050
    
    
    
    23,282.041
    
    
    
    34,955,385Net income for the year
ended December 31, 2005
    
    
    
    
    
    
    289,635
    
    
    
    
    
    
    
    4,509,740
    
    
    
    
    
    
    
    4,799,375Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,303.001
    
    
    
    2,050,730
    
    
    
    1,303.001
    
    
    
    2,050,730Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,028.344
    )
    
    
    (1,612,829
    )
    
    
    (1,028.344
    )
    
    
    (1,612,829
    )Offering costs
    
    
    
    
    
    
    (20,277
    )
    
    
    
    
    
    
    (315,917
    )
    
    
    
    
    
    
    (336,194
    )Balances 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 year
ended December 31, 2006
    
    
    
    
    
    
    196,472
    
    
    
    
    
    
    
    3,054,319
    
    
    
    
    
    
    
    3,250,791Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,463.895
    
    
    
    2,536,293
    
    
    
    1,463.895
    
    
    
    2,536,293Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,406.677
    )
    
    
    (2,401,944
    )
    
    
    (1,406.677
    )
    
    
    (2,401,944
    )Offering costs
    
    
    
    
    
    
    (21,768
    )
    
    
    
    
    
    
    (348,124
    )
    
    
    
    
    
    
    (369,892
    )Balances at
December 31, 2006
    
    
    1,413.580
    
    
    $
    2,566,397
    
    
    
    22,200.336
    
    
    $
    40,305,318
    
    
    
    23,613.916
    
    
    $
    42,871,715
 Net Asset Value Per Managing Owner and Other Unitholder Unit
 December 31,2006
    
    
    2005
    
    
    2004$
    1,815.53
    
    
    $
    1,691.94
    
    
    $
    1,501.39
  40




---



##### 



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, 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 December 31, 2006 and 2005, the 401(K) Plan held approximately 52% and 47%,
respectively, 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 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.
 41




---



##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 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 December 31, 2006
and 2005, the Trust reflects a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $15,828 and $16,208, 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 December 31, 2006 and 2005, the amount
of unreimbursed offering costs incurred by Campbell & Company is $403,225 and
$592,663, respectively.
 42




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 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.
    
    ReclassificationCertain amounts in the 2004 and 2005 financial statements were reclassified to
conform with the 2006 presentation.H.
    
    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 is not
expected to have a 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 years 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.
 MANAGING OWNER AND COMMODITY TRADING ADVISOR
  43




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 MANAGING OWNER AND COMMODITY TRADING ADVISOR (CONTINUED)
   TRUSTEE
  DEPOSITS WITH BROKER
  OPERATING EXPENSES
  SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
  44




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS
       45




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)
 Futures Contracts
    
    
    Forward Currency and Options on Forward(exchange traded)
    
    
    Currency Contracts (non-exchange traded)December 31,
    
    
    December 31,2006
    
    
    2005
    
    
    2006
    
    
    2005Gross unrealized gains
    
    $
    1,673,274
    
    
    $
    537,098
    
    
    $
    2,735,365
    
    
    $
    1,046,611Gross unrealized losses
    
    
    (590,326
    )
    
    
    (697,758
    )
    
    
    (1,311,582
    )
    
    
    (2,371,475
    )Net unrealized gain (loss)
    
    $
    1,082,948
    
    
    $
    (160,660
    )
    
    $
    1,423,783
    
    
    $
    (1,324,864
    )
   INDEMNIFICATIONS
  46




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 FINANCIAL HIGHLIGHTS
  2006
    
    
    2005
    
    
    2004Per Unit Performance
(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    1,691.94
    
    
    $
    1,501.39
    
    
    $
    1,377.63Income (loss) from operations:Total trading gains (1)
    
    
    127.38
    
    
    
    218.79
    
    
    
    215.51Expenses net of interest income (1)
    
    
    11.61
    
    
    
    (13.90
    )
    
    
    (78.44
    )Total income from operations
    
    
    138.99
    
    
    
    204.89
    
    
    
    137.07Offering costs (1)
    
    
    (15.40
    )
    
    
    (14.34
    )
    
    
    (13.31
    )Net asset value per unit at end of year
    
    $
    1,815.53
    
    
    $
    1,691.94
    
    
    $
    1,501.39Total Return
    
    
    7.30
    %
    
    
    12.69
    %
    
    
    8.98
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    3.11
    %
    
    
    3.12
    %
    
    
    3.08
    %Performance fee
    
    
    0.91
    %
    
    
    0.70
    %
    
    
    3.58
    %Total expenses
    
    
    4.02
    %
    
    
    3.82
    %
    
    
    6.66
    %Expenses net of interest income (2), (3)
    
    
    (1.59
    )%
    
    
    0.18
    %
    
    
    1.81
    %
 Total returns are calculated based on the change in value of a unit during the year. 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 expenses net of interest income and offering costs by the
average number of units outstanding during the year. Total trading gains 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)
    
    Expenses net of interest income is shown as a positive percentage when expenses
exceed interest income for the year. 
 47




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5
 E 1