##### 



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, 2005
 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
    
    (IRS Employer Identification Number)incorporation or organization)210 W. Pennsylvania Avenue
Towson, Maryland
    
    21204
 (410)296-3301
 None
  Units of Beneficial Interest
  o þ
 o þ
 þ o
 þ
  Large accelerate filer o
    
    Accelerated filer o
    
    Non-accelerated filer þ
  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
    
    
    25-27ITEM 11.
    
    EXECUTIVE COMPENSATION
    
    
    27ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN
BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
    
    
    27-28ITEM 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-K29-30SIGNATURESCERTIFICATIONS




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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
     Forward and Option Transactions are Over-the-Counter, are Not Regulated and are Subject to Credit
Risk
  3




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##### 



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.
 Tax Risks
 Investors are Taxed Based on Their Share of Trust Income and Gain
 5




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##### 



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 31,2005
    
    2004
    
    2003
    
    2002
    
    2001Total Assets
    
    $
    40,221,009
    
    
    $
    35,225,567
    
    
    $
    33,165,538
    
    
    $
    34,524,465
    
    
    $
    18,595,332Total Unitholders Capital
    
    
    39,856,467
    
    
    
    34,955,385
    
    
    
    32,821,418
    
    
    
    32,854,478
    
    
    
    18,515,681Total Trading Gain
(net of brokerage commissions)
    
    
    5,125,300
    
    
    
    5,125,392
    
    
    
    9,269,009
    
    
    
    4,996,237
    
    
    
    (357,199
    )Net Income
    
    
    4,799,375
    
    
    
    3,249,651
    
    
    
    7,263,843
    
    
    
    3,761,201
    
    
    
    (422,955
    )Net Income Per Managing
Owner and Other
Unitholder Unit*
    
    
    204.75
    
    
    
    135.90
    
    
    
    292.55
    
    
    
    161.99
    
    
    
    (24.79
    )Increase in Net Asset Value
per Managing Owner and
Other Unitholder Unit
    
    
    190.55
    
    
    
    123.76
    
    
    
    253.05
    
    
    
    150.94
    
    
    
    (26.36
    )
 
 *
    
    - Based on weighted average number of units outstanding during the period. 10




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##### 



1st Qtr.
    
    2ndQtr.
    
    3rdQtr.
    
    4thQtr.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
 1stQtr.
    
    2ndQtr.
    
    3rdQtr.
    
    4thQtr.2004
    
    2004
    
    2004
    
    2004Total Trading Gain (Loss)
(net of brokerage
commissions)
    
    $
    6,563,299
    
    
    $
    (3,579,841
    )
    
    $
    (768,909
    )
    
    $
    2,910,843Net Income (Loss)
    
    
    5,119,223
    
    
    
    (3,761,351
    )
    
    
    (911,116
    )
    
    
    2,802,895Net Income (Loss)
per Managing Owner
and Other Unitholder
Unit *
    
    
    213.31
    
    
    
    (156.04
    )
    
    
    (38.10
    )
    
    
    118.60Increase (Decrease) in
Net Asset Value per
Managing Owner and
Other Unitholder Unit
    
    
    209.12
    
    
    
    (159.05
    )
    
    
    (41.28
    )
    
    
    114.97Net Asset Value per
Managing Owner and
Other Unitholder Unit
at the End of the Period
    
    
    1,586.75
    
    
    
    1,427.70
    
    
    
    1,386.42
    
    
    
    1,501.39
 
 *
    
    - 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
  i.e.
 12




---



##### 



Results of Operations
  2005
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.65
    %Currencies
    
    
    6.12Energy
    
    
    3.31Metals
    
    
    1.12Stock Indices
    
    
    (2.73
    )14.47
    %
   13




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##### 



14




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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
    %
  15




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##### 



16




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##### 



2003
  Sector
    
    % Gain (Loss)Currencies
    
    
    28.58
    %Stock Indices
    
    
    5.78Agriculture
    
    
    0.02Metals
    
    
    (0.31
    )Energy
    
    
    (1.14
    )Interest Rates
    
    
    (2.90
    )30.03
    %
    17




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##### 



rd
   18




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##### 



Off-Balance Sheet Risk
    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, 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%. 21




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##### 



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%. December 31, 2003TradingMarket Sector
    
    Value at Risk*
    
    
    Gain/(Loss)**Currencies
    
    
    1.31
    %
    
    
    28.58
    %Stock Indices
    
    
    0.56
    %
    
    
    5.78
    %Energy
    
    
    0.44
    %
    
    
    (1.14
    )%Long-Term Interest Rates
    
    
    0.43
    %
    
    
    (1.93
    )%Short-Term Interest Rates
    
    
    0.20
    %
    
    
    (0.97
    )%Metals /Agriculture
    
    
    0.02
    %
    
    
    (0.29
    )%Aggregate/Total
    
    
    1.50
    %
    
    
    30.03
    %
 
 *
    
    - 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, 2003, approximately 30.03% was due to
trading gains (before commissions) and approximately 1.04% was due to interest income, offset
by approximately 8.57% in brokerage fees, performance fees, and operating and offering costs
borne by the Trust giving a net return of 22.50%. Material Limitations oF Value at Risk as an Assessment of Market Risk
  22




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##### 



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.,
 Interest Rates
  23




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##### 



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




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##### 



General
  Item 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
  PART III
 Item 10. Directors and Executive Officers of the Registrant
 Theresa D. Becks Chief
Financial Officer Treasurer Secretary Director
 25




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##### 



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
 Kevin M. Heerdt Chief
Operating Officer
 James M. Little Executive
Vice President-Business Development Director The Handbook of Financial Futures
 Thomas P. Lloyd General Counsel and
Executive Vice President-Legal and Compliance
 26




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##### 



Audit Committee Financial Expert
  Code of Ethics
  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, 2005, no
Units of Beneficial Interest are owned or held by an officer of Campbell & Company. As
of December 31, 2005, the following beneficial owners owned more than five percent of
the Units:
 27




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##### 



Number of Units
    
    Percentage ofName of Beneficial Owner
    
    Owned
    
    TrustCampbell & Company, Inc. 401(k) Plan
    
    
    10,959.249
    
    
    
    46.52
    %Campbell & Company, Inc.
    
    
    1,413.580
    
    
    
    6.00
    %
 (b)
    
    Security Ownership of Management. As of December 31, 2005, Campbell & Company
owned 1,413.580 Units of Managing Owner Interest having a value of $2,391,693. 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 principal 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, 2005 and 2004 were
$61,718 and $30,250, respectively.(b)
    
    Audit Related FeesThe aggregate fees billed by the principal accountant for the monthly recalculation of
the Trusts net asset value for the years ended December 31, 2005 and 2004 were $0 and
$9,400, respectively.(c)
    
    Tax FeesThe aggregate fees billed by the principal accountant for professional services rendered
for the assistance in the preparation and mailing of the Trusts monthly account
statements to Unitholders, utilizing data, narrative and other items provided by
Campbell & Company for
the years ended December 31, 2005 and 2004 were $0 and $9,956, respectively. During the
year ended December 31, 2004, a total of 405 individual investor K-1s, respectively,
were distributed to the Unitholders.(d)
    
    All Other FeesThe aggregate fees and expenses billed by the principal accountant for professional
services, and related cost reimbursement for postage, supplies and fulfillment house
expenses, rendered for the assistance in the preparation and mailing of the Trusts
monthly account statements to Unitholders, utilizing data, narrative and other items
provided by Campbell & Company for the years ended December 31, 2005 and 2004 were $0
and $5,185, respectively. During the year ended December 31, 2004, a total of 4,511
monthly account statements respectively, were distributed to Unitholders.(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)
    
    Exhibits
 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. 5 to Form S-1
(No. 333-74014) filed on December 5, 2005).10.01
    
    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. 5 to Form S-1 (No. 333-74014) filed
on December 5, 2005).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).
 29




---



##### 



Exhibit Number
    
    Description of Document10.05
    
    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 Securities Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securities 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-K
  30




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##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUSTBy:
    CAMPBELL & COMPANY, INC.
Managing OwnerBy:
    /s/ Theresa D. BecksTheresa 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
  32




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
  PAGESReports of Independent Registered Public Accounting FirmsDeloitte & Touche LLP
    
    
    34Arthur F. Bell, Jr. & Associates, L.L.C.
    
    
    35Financial StatementsStatements of Financial Condition
December 31, 2005 and 2004
    
    
    36Condensed Schedules of Investments
December 31, 2005 and 2004
    
    
    37-38Statements of Operations For the Years
Ended December 31, 2005, 2004 and 2003
    
    
    39Statements of Cash Flows For the Years
Ended December 31, 2005, 2004 and 2003
    
    
    40Statements of Changes in Unitholders Capital (Net Asset Value)
For the Years Ended December 31, 2005, 2004 and 2003
    
    
    41Notes to Financial Statements
    
    
    42-47
 33




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##### 

\

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
      
 34




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##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
 
     
 35




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
 2005
    
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    2,614,570
    
    
    $
    1,737,399United States government securities
    
    
    27,349,932
    
    
    
    23,205,469Net unrealized gain (loss) on open futures contracts
    
    
    (160,660
    )
    
    
    515,410Total equity in broker trading accounts
    
    
    29,803,842
    
    
    
    25,458,278Cash
    
    
    7,388,416
    
    
    
    6,532,839Restricted cash
    
    
    1,873,271
    
    
    
    3,776,022United States government securities
    
    
    2,480,344
    
    
    
    0Net unrealized (loss) on open forward currency contracts
    
    
    (1,324,864
    )
    
    
    (541,572
    )Total assets
    
    $
    40,221,009
    
    
    $
    35,225,567LIABILITIESAccounts payable
    
    $
    58,305
    
    
    $
    27,679Brokerage fee
    
    
    51,325
    
    
    
    49,029Accrued commissions and other trading fees
on open contracts
    
    
    13,418
    
    
    
    18,513Performance fee
    
    
    69,538
    
    
    
    0Offering costs payable
    
    
    16,208
    
    
    
    15,483Redemptions payable
    
    
    155,748
    
    
    
    159,478Total liabilities
    
    
    364,542
    
    
    
    270,182UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units
outstanding at December 31, 2005 and 2004
    
    
    2,391,693
    
    
    
    2,122,335Other Unitholders  22,143.118 and 21,868.461 units
outstanding at December 31, 2005 and 2004
    
    
    37,464,774
    
    
    
    32,833,050Total unitholders capital
(Net Asset Value)
    
    
    39,856,467
    
    
    
    34,955,385Total liabilities and unitholders capital
    
    $
    40,221,009
    
    
    $
    35,225,567
  36




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    
    Description
    
    
    Value
    
    
    Asset Value$12,000,000
    
    
    02/02/2006
    
    
    U.S. Treasury Bills
    
    
    $
    11,959,253
    
    
    
    30.01
    %$  8,850,000
    
    
    03/02 /2006
    
    
    U.S. Treasury Bills
    
    
    
    8,793,213
    
    
    
    22.06
    %$  6,600,000
    
    
    01/05/2006
    
    
    U.S. Treasury Bills
    
    
    
    6,597,466
    
    
    
    16.55
    %$  2,500,000
    
    
    03/16/2006
    
    
    U.S. Treasury Bills
    
    
    
    2,480,344
    
    
    
    6.22
    %Total United States government securities
(cost, including accrued interest,  $29,830,276)
    
    $
    29,830,276
    
    
    
    74.84
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (341,534
    )
    
    
    (0.85
    )%Metals
    
    
    16,060
    
    
    
    0.04
    %Stock index
    
    
    (24,368
    )
    
    
    (0.06
    )%Long-term interest rates
    
    
    9,552
    
    
    
    0.02
    %Total long futures contracts
    
    $
    ( 340,290
    )
    
    
    (0. 85
    )%
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueStock Index
    
    $
    (11,765
    )
    
    
    (0.03
    )%Short-term interest rates
    
    
    222,468
    
    
    
    0.56
    %Long-term interest rates
    
    
    (31,073
    )
    
    
    (0.08
    )%Total short futures contracts
    
    $
    179,630
    
    
    
    0.45
    %Total futures contracts
    
    $
    (160,660
    )
    
    
    (0.40
    )%
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    (1,016,334
    )
    
    
    (2.55
    )%Various short forward currency contracts
    
    
    (308,530
    )
    
    
    (0.77
    )%Total forward currency contracts
    
    $
    (1,324,864
    )
    
    
    (3.32
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  37




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
 
 UNITED STATES GOVERNMENT SECURITIES*
 % of NetFace Value
    
    Maturity Date
    
    
    Description

    
    Value
    
    
    Asset Value$14,500,000
    
    
    02/03/2005
    
    
    U.S. Treasury Bills
    
    $
    14,474,546
    
    
    
    41.41
    %$  5,000,000
    
    
    03/03/2005
    
    
    U.S. Treasury Bills
    
    
    4,981,785
    
    
    
    14.25
    %$  3,750,000
    
    
    01/06/2005
    
    
    U.S. Treasury Bills
    
    
    3,749,138
    
    
    
    10.73
    %Total United States government securities
(cost, including accrued interest,  $23,205,469)
    
    $
    23,205,469
    
    
    
    66.39
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (67,171
    )
    
    
    (0.19
    )%Metals
    
    
    22,747
    
    
    
    0.06
    %Stock index
    
    
    284,504
    
    
    
    0.81
    %Short-term interest rates
    
    
    (26,703
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    271,151
    
    
    
    0.78
    %Total long futures contracts
    
    $
    484,528
    
    
    
    1.38
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (29,095
    )
    
    
    (0.08
    )%Short-term interest rates
    
    
    60,064
    
    
    
    0.17
    %Long-term interest rates
    
    
    (87
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    30,882
    
    
    
    0.09
    %Total futures contracts
    
    $
    515,410
    
    
    
    1.47
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,054,128
    
    
    
    3.02
    %Various short forward currency contracts
    
    
    (1,595,700
    )
    
    
    (4.57
    )%Total forward currency contracts
    
    $
    (541,572
    )
    
    
    (1.55
    )%
 
 *
    
    - pledged as collateral for the trading of futures and forward positions.  38




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
 2005
    
    
    2004
    
    
    2003TRADING GAINSFutures trading gains (losses)Realized
    
    $
    3,728,183
    
    
    $
    4,450,033
    
    
    $
    719,403Change in unrealized
    
    
    (676,070
    )
    
    
    (68,059
    )
    
    
    186,491Brokerage commissions
    
    
    (110,081
    )
    
    
    (72,245
    )
    
    
    (63,948
    )Net gain from futures trading
    
    
    2,942,032
    
    
    
    4,309,729
    
    
    
    841,946Forward currency trading gains (losses)Realized
    
    
    2,977,676
    
    
    
    2,473,670
    
    
    
    7,707,431Change in unrealized
    
    
    (783,292
    )
    
    
    (1,647,220
    )
    
    
    734,186Brokerage commissions
    
    
    (11,116
    )
    
    
    (10,787
    )
    
    
    (14,554
    )Net gain from forward currency trading
    
    
    2,183,268
    
    
    
    815,663
    
    
    
    8,427,063Total net trading gains
    
    
    5,125,300
    
    
    
    5,125,392
    
    
    
    9,269,009EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    1,086,132
    
    
    
    440,084
    
    
    
    327,818ExpensesBrokerage fee
    
    
    1,064,610
    
    
    
    1,007,951
    
    
    
    921,985Performance fee
    
    
    257,993
    
    
    
    1,245,039
    
    
    
    1,351,460Operating expenses
    
    
    89,454
    
    
    
    62,835
    
    
    
    59,539Total expenses
    
    
    1,412,057
    
    
    
    2,315,825
    
    
    
    2,332,984Expenses net of interest income
    
    
    (325,925
    )
    
    
    (1,875,741
    )
    
    
    (2,005,166
    )NET INCOME
    
    $
    4,799,375
    
    
    $
    3,249,651
    
    
    $
    7,263,843NET INCOME PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    204.75
    
    
    $
    135.90
    
    
    $
    292.55INCREASE IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDER UNIT
    
    $
    190.55
    
    
    $
    123.76
    
    
    $
    253.05
  39




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
 2005
    
    
    2004
    
    
    2003Cash flows from (for) operating activitiesNet income
    
    $
    4,799,375
    
    
    $
    3,249,651
    
    
    $
    7,263,843Adjustments to reconcile net income
to net cash from (for) operating activitiesNet change in unrealized
    
    
    1,459,362
    
    
    
    1,715,279
    
    
    
    (920,677
    )(Increase) decrease in restricted cash
    
    
    1,902,751
    
    
    
    299,148
    
    
    
    (1,168,241
    )Increase (decrease) in accounts payable and
accrued expenses
    
    
    97,365
    
    
    
    (232,985
    )
    
    
    239,214Net (purchase) of investments in
United States government securities
    
    
    (6,624,807
    )
    
    
    (3,722,354
    )
    
    
    (3,504,095
    )Net cash from operating activities
    
    
    1,634,046
    
    
    
    1,308,739
    
    
    
    1,910,044Cash flows from (for) financing activitiesAddition of units
    
    
    2,050,730
    
    
    
    2,054,793
    
    
    
    9,471,691Redemption of units
    
    
    (1,616,559
    )
    
    
    (2,692,699
    )
    
    
    (10,326,911
    )Offering costs
    
    
    (335,469
    )
    
    
    (318,731
    )
    
    
    (294,410
    )Net cash from (for) financing activities
    
    
    98,702
    
    
    
    (956,637
    )
    
    
    (1,149,630
    )Net increase in cash
    
    
    1,732,748
    
    
    
    352,102
    
    
    
    760,414Unrestricted cashBeginning of year
    
    
    8,270,238
    
    
    
    7,918,136
    
    
    
    7,157,722End of year
    
    $
    10,002,986
    
    
    $
    8,270,238
    
    
    $
    7,918,136End of year unrestricted cash consists of:Cash in broker trading accounts
    
    $
    2,614,570
    
    
    $
    1,737,399
    
    
    $
    968,325Cash
    
    
    7,388,416
    
    
    
    6,532,839
    
    
    
    6,949,811Total end of year cash
    
    $
    10,002,986
    
    
    $
    8,270,238
    
    
    $
    7,918,136
  40




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountBalances at
December 31, 2002
    
    
    6,000.000
    
    
    $
    6,747,480
    
    
    
    23,214.940
    
    
    $
    26,106,998
    
    
    
    29,214.940
    
    
    $
    32,854,478Net income for the year
ended December 31, 2003
    
    
    
    
    
    
    1,225,355
    
    
    
    
    
    
    
    6,038,488
    
    
    
    
    
    
    
    7,263,843Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,383.005
    
    
    
    1,759,337
    
    
    
    1,383.005
    
    
    
    1,759,337Redemptions
    
    
    (4,586.420
    )
    
    
    (6,000,000
    )
    
    
    (2,186.910
    )
    
    
    (2,765,086
    )
    
    
    (6,773.330
    )
    
    
    (8,765,086
    )Offering costs
    
    
    
    
    
    
    (25,445
    )
    
    
    
    
    
    
    (265,709
    )
    
    
    
    
    
    
    (291,154
    )Balances 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
    
    
    $
    39,856,467
 Net Asset Value Per Managing Owner and Other Unitholder UnitDecember 31,2005
    
    2004
    
    
    2003$
    1,691.94
    
    $
    1,501.39
    
    
    $
    1,377.63
  41




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 A.
    
    General Description of the TrustCampbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which
operates as a commodity investment pool. The Trust was formed on May 3, 2000 and
commenced trading on October 1, 2001. The Trust engages in the speculative trading
of futures contracts and forward currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(k) Plan (the 401(k) Plan).
At December 31, 2005, the 401(k) Plan held approximately 47% of the Trusts
outstanding units.B.
    
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the
regulations of the Commodity Futures Trading Commission, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Trust
executes transactions. Additionally, the Trust is subject to the requirements of
futures commission merchants (brokers) and interbank market makers through which the
Trust trades.C.
    
    Method of ReportingThe Trusts financial statements are presented in accordance with U.S. generally
accepted accounting principles, which may require the use of certain estimates made
by the Trusts management. Actual results may differ from these estimates.
Transactions are accounted for on the trade date. Gains or losses are realized when
contracts are liquidated. Unrealized gains and losses on open contracts (the
difference between contract trade price and market price) are reported in the
statement of financial condition as a net gain or loss, as there exists a right of
offset of unrealized gains or losses in accordance with Financial Accounting
Standards Board Interpretation No. 39  Offsetting of Amounts Related to Certain
Contracts. The market value of futures (exchange-traded) contracts is determined by
the various futures exchanges, and reflects the settlement price for each contract as
of the close of the last business day of the reporting period. The market value of
forward currency (non-exchange traded) contracts is extrapolated on a forward basis
from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of the
reporting period. Any change in net unrealized gain or loss from the preceding
period is reported in the statement of operations. Brokerage commissions and other
trading fees paid directly to the broker are charged to expense when contracts are
opened. United States government securities are stated at cost plus accrued
interest, which approximates market value.For purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of units
outstanding.
 42




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
 D.
    
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses
and trading gains or losses. 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 unitholders 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, 2005
and 2004, the Trust reflected a liability in the statement of financial condition for
offering costs payable to Campbell & Company of $16,208 and $15,483, 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, 2005 and 2004, the amount
of unreimbursed offering costs incurred by Campbell & Company was $592,663 and
$779,664, 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.
    
    ReclassificationCertain prior year amounts relating to cash balances were reclassified on the
statements of financial condition and the related statements of cash flows to conform
to the 2005 presentation.
 43




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 
 Note 2.
    
    MANAGING OWNER AND COMMODITY TRADING ADVISORThe managing owner of the Trust is Campbell & Company, which
conducts and manages the business of the Trust. Campbell &
Company is also the commodity trading advisor of the Trust. The
Amended and Restated Declaration of Trust and Trust Agreement
requires Campbell & Company to maintain a capital account equal to
1% of the total capital accounts of the Trust. Additionally,
Campbell & Company is required by the Amended and Restated
Declaration of Trust and Trust Agreement to maintain a net worth
of not less than $1,000,000.The Trust pays a monthly brokerage fee of 1/12 of 2.85% (2.85%
annualized) of month-end net assets to Campbell & Company and
approximately $6 per round turn to the broker for execution and
clearing costs. Such costs are limited to 3.5% of average
month-end net assets per year. From the 2.85% fee, a portion
(0.35%) is used to compensate selling agents for administrative
services and a portion (2.5%) is retained by Campbell & Company
for trading and management services rendered. The amount paid to
the broker and interbank market makers for execution and clearing
costs is limited to 0.65% annually.Campbell & Company is also paid a performance fee equal to 20% of
New Appreciation (as defined) calculated as of the end of each
calendar quarter and upon redemption of units.Effective January 1, 2003, Campbell & Company rebates to the
401(K) Plan the brokerage fee and the performance fee applicable
to the 401(K) Plan. All such rebates are made by issuing
additional units to the 401(K) Plan.Note 3.
    
    TRUSTEEThe trustee of the Trust is Wachovia Trust Company, National
Association, a national banking association. The trustee has
delegated to the managing owner the duty and authority to manage
the business and affairs of the Trust and has only nominal duties
and liabilities with respect to the Trust.Note 4.
    
    DEPOSITS WITH BROKERThe Trust deposits assets with a broker subject to Commodity
Futures Trading Commission regulations and various exchange and
broker requirements. Margin requirements are satisfied by the
deposit of U.S. Treasury bills and cash with such broker. The
Trust earns interest income on its assets deposited with the
broker.Note 5.
    
    OPERATING EXPENSESOperating expenses of the Trust are restricted by the Amended and
Restated Declaration of Trust and Trust Agreement to 0.40% per
annum of the average month-end Net Asset Value of the Trust.
 44




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 6.
    
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by Campbell & Company.The Trust is not required to make distributions, but may do so at
the sole discretion of Campbell & Company. A unitholder may
request and receive redemption of units owned, subject to
restrictions in the Amended and Restated Declaration of Trust and
Trust Agreement.Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and foreign
futures contracts and forward currency contracts (collectively,
derivatives).The Trust is exposed to both market risk, the
risk arising from changes in the market value of the contracts,
and credit risk, the risk of failure by another party to perform
according to the terms of a contract.Purchase and sale of futures contracts requires margin deposits
with the broker. Additional deposits may be necessary for any
loss on contract value. The Commodity Exchange Act requires a
broker to segregate all customer transactions and assets from such
brokers proprietary activities. A customers cash and other
property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer funds
subject to the brokers segregation requirements. In the event of
a brokers insolvency, recovery may be limited to a pro rata share
of segregated funds available. It is possible that the recovered
amount could be less than total cash and other property deposited.The amount of required margin and good faith deposits with the
broker and interbank market makers usually range from 10% to 30%
of Net Asset Value. The market value of securities held by the
broker at December 31, 2005 and 2004 was $29,830,276 and
$23,205,469, respectively, which equals 75% and 66% of Net Asset
Value, respectively. The cash deposited with interbank market
makers at December 31, 2005 and 2004 was $8,987,245 and
$10,212,526, respectively, which equals 23% and 29% of Net Asset
Value, respectively. Included in cash deposits with interbank
market makers at December 31, 2005 and 2004 was restricted cash
for margin requirements of $1,873,271 and $3,776,022,
respectively, which equals 5% and 11% of Net Asset Value,
respectively.The Trust trades forward currency contracts in unregulated markets
between principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated
with exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward
currency contracts typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit with
financial institutions. In the event of a financial institutions
insolvency, recovery of Trust assets on deposit may be limited to
account insurance or other protection afforded such deposits.For derivatives, risks arise from changes in the market value of
the contracts. Theoretically, the Trust is exposed to a market
risk equal to the notional contract value of futures and forward
currency contracts purchased and unlimited liability on such
contracts sold short.
 45




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)The unrealized gain (loss) on open futures and forward currency contracts is comprised of
the following:
 Futures Contracts
    
    
    Forward Currency Contracts(exchange traded)
    
    
    (non-exchange traded)December 31,
    
    
    December 31,2005
    
    
    2004
    
    
    2005
    
    
    2004Gross unrealized gains
    
    $
    537,098
    
    
    $
    697,507
    
    
    $
    1,046,611
    
    
    $
    1,435,900Gross unrealized losses
    
    
    (697,758
    )
    
    
    (182,097
    )
    
    
    (2,371,475
    )
    
    
    (1,977,472
    )Net unrealized gain (loss)
    
    $
    (160,660
    )
    
    $
    515,410
    
    
    $
    (1,324,864
    )
    
    $
    (541,572
    )
   Note 8.
    
    INDEMNIFICATIONS

In the normal course of business, the Trust enters into contracts
and agreements that contain a variety of representations and
warranties and which provide general indemnifications. The
Trusts maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the
Trust that have not yet occurred. The Trust expects the risk of
any future obligation under these indemnifications to be remote.
 46




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 9.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the years ended December 31, 2005, 2004 and 2003. This
information has been derived from information presented in the financial statements.
 Per Unit Performance(for a unit outstanding throughout the entire year)
    

    2005
    
    
    2004
    
    
    2003Net asset value per unit at beginning of year
    
    $
    1,501.39
    
    
    $
    1,377.63
    
    
    $
    1,124.58Income (loss) from operations:Total net trading gains (1)
    
    
    218.79
    
    
    
    215.51
    
    
    
    345.54Expenses net of interest income (1)
    
    
    (13.90
    )
    
    
    (78.44
    )
    
    
    (80.76
    )Total net income from operations
    
    
    204.89
    
    
    
    137.07
    
    
    
    264.78Offering costs (1)
    
    
    (14.34
    )
    
    
    (13.31
    )
    
    
    (11.73
    )Net asset value per unit at end of year
    
    $
    1,691.94
    
    
    $
    1,501.39
    
    
    $
    1,377.63Total Return
    
    
    12.69
    %
    
    
    8.98
    %
    
    
    22.50
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    (3.12
    )%
    
    
    (3.08
    )%
    
    
    (3.11
    )%Performance fee
    
    
    (0.70
    )%
    
    
    (3.58
    )%
    
    
    (4.29
    )%Total expenses
    
    
    (3.82)
    %
    
    
    (6.66
    )%
    
    
    (7.40
    )%Expenses net of interest income (2)
    
    
    (0.18)
    %
    
    
    (1.81
    )%
    
    
    (2.07
    )%
 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. 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