Campbell Alternative Asset Trust 10-Q 2005 Q3 Quarterly report

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

þ Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period endedSeptember 30, 2005

or

o Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from                                        to                                        

Commission File number:0-33311

CAMPBELL ALTERNATIVE ASSET TRUST

(Exact name of registrant as specified in charter)

Delaware	52-1823554
(State of Organization)	(IRS Employer Identification Number)

Court Towers Building
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204

(Address of principal executive offices, including zip code)

(410) 296-3301

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months, and (2) has been subject to such filing requirements for the past 90 days.

Yesþ Noo

Indicate by check mark whether the registrant is an accelerated filer (as defined in Exchange Act Rule 12b-2)

Yeso Noþ

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yeso Noo

Total number of Pages:29

			Page
PART I — FINANCIAL INFORMATION
	Item 1.	Financial Statements
		Statements of Financial Condition as of September 30, 2005 (Unaudited) and December 31, 2004 (Audited)		3
		Condensed Schedule of Investments as of September 30, 2005 (Unaudited) and December 31, 2004 (Audited)		4-5
		Statements of Operations for the Three Months and Nine Months Ended September 30, 2005 and 2004 (Unaudited)		6
		Statements of Cash Flows for the Nine Months Ended September 30, 2005 and 2004 (Unaudited)		7
		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2005 and 2004 (Unaudited)		8
		Notes to Financial Statements (Unaudited)		9-14
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		15-21
	Item 3.	Quantitative and Qualitative Disclosure About Market Risk		21-26
	Item 4.	Controls and Procedures		27
PART II — OTHER INFORMATION				28
SIGNATURES
CERTIFICATIONS

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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 2005 (Unaudited) and December 31, 2004 (Audited)

	September 30,		December 31,
	2005		2004
ASSETS
Equity in broker trading accounts
Cash	$	1,446,576	$	1,737,399
United States government securities		27,263,917		23,205,469
Net unrealized gain on open futures contracts		834,869		515,410
Total equity in broker trading accounts		29,545,362		25,458,278
Cash		2,929,174		10,308,861
United States government securities		4,965,968		0
Net unrealized gain (loss) on open forward currency contracts		821,906		(541,572	)
Total assets	$	38,262,410	$	35,225,567
LIABILITIES
Accounts payable	$	26,565	$	27,679
Brokerage fee		49,478		49,029
Commissions and other trading fees on open contracts		9,976		18,513
Offering costs payable		15,624		15,483
Redemptions payable		29,763		159,478
Total liabilities		131,406		270,182
UNITHOLDERS’ CAPITAL (Net Asset Value)
Managing Owner — 1,413.580 units outstanding at September 30, 2005 and December 31, 2004		2,311,147		2,122,335
Other Unitholders — 21,908.714 and 21,868.461 units outstanding at September 30, 2005 and December 31, 2004		35,819,857		32,833,050
Total unitholders’ capital (Net Asset Value)		38,131,004		34,955,385
Total liabilities and unitholders’ capital	$	38,262,410	$	35,225,567

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
September 30, 2005
(Unaudited)

UNITED STATES GOVERNMENT SECURITIES

	Maturity				% of Net
Face Value	Date	Description	Value		Asset Value
$13,500,000	11/03/2005	U.S. Treasury Bills	$	13,458,297		35.29	%
$  6,600,000	10/06/2005	U.S. Treasury Bills		6,597,204		17.30	%
$  7,250,000	12/01/2005	U.S. Treasury Bills		7,208,416		18.91	%
$  5,000,000	12/15/2005	U.S. Treasury Bills		4,965,968		13.02	%
	Total United States government securities (cost, including accrued interest, — $32,229,885)		$	32,229,885		84.52	%

LONG FUTURES CONTRACTS

				% of Net
Description	Value			Asset Value
Energy	$	(21,250	)		(0.06	)%
Metals		55,525			0.15	%
Stock index		461,839			1.21	%
Short-term interest rates		2,028			0.00	%
Long-term interest rates		(41,256	)		(0.11	)%
Total long futures contracts	$	456,886			1.19	%

SHORT FUTURES CONTRACTS

				% of Net
Description	Value			Asset Value
Energy	$	(54,046	)		(0.14	)%
Short-term interest rates		192,451			0.51	%
Long-term interest rates		239,578			0.63	%
Total short futures contracts	$	377,983			1.00	%
Total futures contracts	$	834,869			2.19	%

FORWARD CURRENCY CONTRACTS

				% of Net
Description	Value			Asset Value
Various long forward currency contracts	$	(2,227,138	)		(5.84	)%
Various short forward currency contracts		3,049,044			8.00	%
Total forward currency contracts	$	821,906			2.16	%

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2004
(Audited)

UNITED STATES GOVERNMENT SECURITIES

					% of Net
Face 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 Net
Description	Value			Asset Value
Energy	$	(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 Net
Description	Value			Asset Value
Metals	$	(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 Net
Description	Value			Asset Value
Various 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	)%

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
For the Three Months and Nine Months Ended September 30, 2005 and 2004
(Unaudited)

	Three Months Ended						Nine Months Ended
	September 30,						September 30,
	2005			2004			2005			2004
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	1,041,712		$	(688,863	)	$	2,799,662		$	2,426,358
Change in unrealized		(324,875	)		440,975			319,459			(391,471	)
Brokerage commissions		(28,741	)		(15,607	)		(77,296	)		(49,602	)
Net gain (loss) from futures trading		688,096			(263,495	)		3,041,825			1,985,285
Forward trading gains (losses)
Realized		(328,699	)		(1,597,494	)		(799,554	)		754,409
Change in unrealized		(467,175	)		1,094,534			1,363,478			(518,538	)
Brokerage commissions		(3,230	)		(2,454	)		(8,376	)		(6,607	)
Net gain (loss) from forward trading		(799,104	)		(505,414	)		555,548			229,264
Total net trading gains (losses)		(111,008	)		(768,909	)		3,597,373			2,214,549
EXPENSES NET OF INTEREST INCOME
Income
Interest income		300,025			112,926			741,243			285,388
Expenses
Brokerage fee		272,017			239,985			777,762			759,638
Performance fee		361			0			129,415			1,245,040
Operating expenses		17,353			15,148			48,436			48,503
Total expenses		289,731			255,133			955,613			2,053,181
Expenses net of interest income		10,294			(142,207	)		(214,370	)		(1,767,793	)
NET INCOME (LOSS)	$	(100,714	)	$	(911,116	)	$	3,383,003		$	446,756
NET INCOME (LOSS) PER MANAGING OWNER AND OTHER UNITHOLDER UNIT(based on weighted average number of units outstanding during the period)	$	(4.30	)	$	(38.10	)	$	144.17		$	18.61
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OWNER AND OTHER UNITHOLDER UNIT	$	(7.50	)	$	(41.28	)	$	133.57		$	8.79

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2005 and 2004
(Unaudited)

	2005			2004
Cash flows from (for) operating activities
Net income	$	3,383,003		$	446,756
Adjustments to reconcile net income to net cash from (for) operating activities
Net change in unrealized		(1,682,937	)		910,009
Increase (decrease) in accounts payable and accrued expenses		(9,202	)		(246,046	)
Net purchases of investments in United States government securities		(9,024,416	)		(2,986,007	)
Net cash from (for) operating activities		(7,333,552	)		(1,875,288	)
Cash flows from (for) financing activities
Addition of units		1,456,835			1,786,767
Redemption of units		(1,548,324	)		(1,588,269	)
Offering costs		(245,469	)		(241,081	)
Net cash from (for) financing activities		(336,958	)		(42,583	)
Net decrease in cash		(7,670,510	)		(1,917,871	)
Cash
Beginning of period		12,046,260			11,993,306
End of period	$	4,375,750		$	10,075,435
End of period cash consists of:
Cash in broker trading accounts	$	1,446,576		$	951,821
Cash		2,929,174			9,123,614
Total end of period cash	$	4,375,750		$	10,075,435

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2005 and 2004
(Unaudited)

	Unitholders’ Capital
	Managing Owner					Other Unitholders						Total
	Units		Amount			Units			Amount			Units			Amount
Nine Months Ended September 30, 2005
Balances at December 31, 2004		1,413.580	$	2,122,335			21,868.461		$	32,833,050			23,282.041		$	34,955,385
Net income for the nine months ended September 30, 2005		—		203,608			—			3,179,395			—			3,383,003
Additions		0.000		0			954.093			1,456,835			954.093			1,456,835
Redemptions		0.000		0			(913.840	)		(1,418,609	)		(913.840	)		(1,418,609	)
Offering costs		—		(14,796	)		—			(230,814	)		—			(245,610	)
Balances at September 30, 2005		1,413.580	$	2,311,147			21,908.714		$	35,819,857			23,322.294		$	38,131,004
Nine Months Ended September 30, 2004
Balances at December 31, 2003		1,413.580	$	1,947,390			22,411.035		$	30,874,028			23,824.615		$	32,821,418
Net income for the nine months ended September 30, 2004		—		26,549			—			420,207			—			446,756
Additions		0.000		0			1,199.039			1,786,767			1,199.039			1,786,767
Redemptions		0.000		0			(1,057.805	)		(1,588,269	)		(1,057.805	)		(1,588,269	)
Offering costs		—		(14,123	)		—			(225,762	)		—			(239,885	)
Balances at September 30, 2004		1,413.580	$	1,959,816			22,552.269		$	31,266,971			23,965.849		$	33,226,787

Net Asset Value per Managing Owner and Other Unitholders Unit
September 30,		December 31,		September 30,		December 31,
2005		2004		2004		2003
$	1,634.96	$	1,501.39	$	1,386.42	$	1,377.63

See accompanying notes.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
(Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.	General Description of the Trust
	Campbell 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 September 30, 2005, the 401(K) Plan held approximately 44% of the Trust’s outstanding units.
B.	Regulation
	As 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 Reporting
	The Trust’s financial statements are presented in accordance with U.S. generally accepted accounting principles, which require the use of certain estimates made by the Trust’s management. Transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board Interpretation No. 39 – “Offsetting of Amounts Related to Certain Contracts.” The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of forward currency (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 5:00 P.M. (E.T.) of the last business day of the reporting period. 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.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D.	Income Taxes
	The 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. Income taxes have not been provided, as each unitholder is individually liable for the taxes, if any, on their share of the Fund’s income and expenses.
E.	Offering Costs
	Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9% annualized) of the Trust’s month-end net asset value (as defined in the Amended and Restated Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. The Trust is only liable for payment of offering costs on a monthly basis. At September 30, 2005, the Trust reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $15,624.
	The offering costs for which Campbell & Company are being reimbursed relate to the offering of units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company rebates to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan.
	If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and the Trust will have no further obligation to Campbell & Company. At September 30, 2005, the amount of unreimbursed offering costs incurred by Campbell & Company is $641,332.
F.	Foreign Currency Transactions
	The 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.
H.	Reclassification
	Certain amounts in the 2004 financial statements were reclassified to conform with the 2005 presentation.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)

Note 2.	MANAGING OWNER AND COMMODITY TRADING ADVISOR (CONTINUED)
	The managing owner of the Trust is Campbell & Company, which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. The Amended and Restated Declaration of Trust and Trust Agreement requires Campbell & Company to maintain a capital account equal to 1% of the total capital accounts of the Trust. Additionally, Campbell & Company is required by the Amended and Restated Declaration of Trust and Trust Agreement to maintain a net worth of not less than $1,000,000.
	The Trust pays a monthly brokerage fee of 1/12 of 2.85% (2.85% annualized) of month-end net assets to Campbell & Company and approximately $6 per round turn to the broker for execution and clearing costs. Such costs are limited to 3.5% of average month-end net assets per year. From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for administrative services and a portion (2.5%) is retained by Campbell & Company for trading and management services rendered.
	Campbell & Company is also paid a performance fee equal to 20% of New Appreciation (as defined) calculated as of the end of each calendar quarter and upon redemption of units.
	Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee applicable to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan.
Note 3.	TRUSTEE
	The 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 BROKER
	The 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 EXPENSES
	Operating expenses of the Trust are restricted by the Amended and Restated Declaration of Trust and Trust Agreement to 0.40% per annum of the average month-end Net Asset Value of the Trust.
Note 6.	SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
	Investments 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.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)

Note 7.	TRADING ACTIVITIES AND RELATED RISKS
	The 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.
	Purchases and sales of futures contracts require margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer funds subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.
	The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy such requirements at September 30, 2005 and December 31, 2004 was $32,229,885 and $23,205,469, respectively, which equals 85% and 66% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2005 and December 31, 2004 was $2,927,075 and $10,212,526, respectively, which equals 8% and 29% of Net Asset Value, respectively. These amounts are included in cash.
	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.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)

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)
	September 30,			December 31,			September 30,			December 31,
	2005			2004			2005			2004
	(Unaudited)			(Audited)			(Unaudited)			(Audited)
Gross unrealized gains	$	981,167		$	697,507		$	3,400,270		$	1,435,900
Gross unrealized losses		(146,298	)		(182,097	)		(2,578,364	)		(1,977,472	)
Net unrealized gain (loss)	$	834,869		$	515,410		$	821,906		$	(541,572	)

	Open contracts generally mature within three months; as of September 30, 2005, the latest maturity date for open futures contracts is June 2006, and the latest maturity date for open forward currency contracts is December 2005. However, the Trust intends to close all contracts prior to maturity.
	Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be creditworthy. The unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
Note 8.	GUARANTEES
	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.
Note 9.	INTERIM FINANCIAL STATEMENTS
	The statement of financial condition, including the condensed schedule of investments, as of September 30, 2005, the statements of operations for the three months and nine months ended September 30, 2005 and 2004, and the related statements of cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 2005 and 2004 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2005, the results of operations for the three months and nine months ended September 30, 2005 and 2004, and the statements of cash flows for the nine months ended September 30, 2005 and 2004.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)

Note 10.	FINANCIAL HIGHLIGHTS
	The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2005 and 2004. This information has been derived from information presented in the financial statements.

	Three months ended						Nine months ended
	September 30,						September 30,
Per Unit Performance	2005			2004			2005			2004
(for a unit outstanding throughout the entire period)	(Unaudited)			(Unaudited)			(Unaudited)			(Unaudited)
Net asset value per unit at beginning of period	$	1,642.46		$	1,427.70		$	1,501.39		$	1,377.63
Income (loss) from operations:
Total net trading gains (losses)(1)		(4.27	)		(32.16	)		153.18			92.42
Expenses net of interest income(1)		0.44			(5.95	)		(9.14	)		(73.64	)
Total income (loss) from operations		(3.83	)		(38.11	)		144.04			18.78
Offering costs(1)		(3.67	)		(3.17	)		(10.47	)		(9.99	)
Net asset value per unit at end of period	$	1,634.96		$	1,386.42		$	1,634.96		$	1,386.42
Total Return(3)		(0.46	)%		(2.89	)%		8.90	%		0.64	%
Supplemental Data
Ratios to average net assets:
Expenses prior to performance fee(4)		3.04	%		3.03	%		3.05	%		3.09	%
Performance fee(3), (5)		0.00	%		0.00	%		0.36	%		3.57	%
Total expenses		3.04	%		3.03	%		3.41	%		6.66	%
Expenses net of interest income(2), (4)		(0.11	)%		1.69	%		0.31	%		2.00	%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)	Expenses net of interest income per unit and offering costs per unit are calculated by dividing the expenses net of interest income and offering costs by the average number of units outstanding during the period. Total trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Not annualized.
(4)	Annualized.
(5)	The performance fee for the three months ended was less than 0.005%

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

Introduction

The offering of Campbell Alternative Asset Trust’s (the Trust) Units of Beneficial Interest commenced on May 15, 2001, and the initial offering terminated on September 30, 2001 with proceeds of $15,821,743. The continuing offering period commenced immediately after the termination of the initial offering period; additional subscriptions totaling $28,600,632 have been accepted during the continuing offering period as of September 30, 2005. Redemptions over the same time period total $22,414,813. The Trust commenced operations on October 1, 2001.

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.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. forward contracts which are traded in the inter-bank market).

Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

Liquidity

Most United States commodity exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed

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to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the Trust’s bank and brokerage accounts to engage in trading activities and as reserves for that trading. The Trust meets its margin requirements by depositing U.S. government securities with the futures broker and the over-the-counter counterparties. In this way, substantially all (i.e., 95% or more) of the Trust’s assets, whether used as margin for trading purposes or as reserves for such trading, can be invested in U.S. government securities and time deposits with U.S. banks. Investors should note that maintenance of the Trust’s assets in U.S. government securities and banks does not reduce the risk of loss from trading futures and forward contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 30% of the Trust’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining 40% to 80% of the Trust’s assets will normally be invested in cash equivalents, such as U.S. Treasury bills, and held by the futures broker or the over-the-counter counterparties.

The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested with or loaned to Campbell & Company or any affiliated entities.

Results of Operations

The returns for the nine months ending September 30, 2005 and 2004 were 8.90% and 0.64%, respectively.

2005

Of the 2005 year-to-date increase of the 8.90%, approximately 10.18% was due to trading gains (before commissions) and approximately 2.05% was due to interest income, offset by approximately 3.33% due to brokerage fees, operating cost and offering costs and performance fees borne by the Trust. An analysis of the 10.18% trading gains by sector is as follows:

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Sector	% Gain (Loss)
Energy		4.22	%
Interest Rates		3.16
Currencies		1.73
Metals		0.54
Stock Indices		0.53
		10.18	%

The late December 2004 reversal of the major trends in currencies and equities persisted into January 2005 leaving the Trust with negative performance for the month. The U.S. Dollar rallied sharply in the first week of the month and held its new levels, which produced losses in the currency sector. The post-election rally in equities gave way to selling in January, which also produced losses for the Trust. The energy sector was positive as crude oil approached $50 per barrel. The interest rate sector was also positive.

The rally in the U.S. Dollar failed early in February and the Dollar ended the month lower. However, the small gains on the Trust’s U.S. Dollar short positions were offset by losses in its non-Dollar currency pairs, resulting in losses in the currency sector overall. This was a difficult interest rate environment with different pressures observable at different points along the yield curve. Consequently, the Trust’s short-term interest rate positions were positive, but not profitable enough to offset the losses in long-term interest rates. The stock index sector was the best performing sector for the month as the equity markets reversed again and traded higher reclaiming a portion of the losses in January. Crude oil’s continued rally also contributed profits for the month.

The Trust had a small trading profit in the month of March. The gains for the month were in the interest rate sector, as both short-term and long-term positions were profitable, and in the energy sector where crude oil made a new high. The U.S. Dollar closed higher for the month, reversing a long downtrend, which caused losses for the Trust. In addition, the Trust incurred losses in its non-Dollar currency positions in March making the currency sector the worst performing sector for the first quarter. The equity index markets also reversed and ended the month lower which caused losses for the Trust.

Gains in the interest rate and currency sectors led to a positive return for April. Interest rate instruments continued the rally which began in late March. The energy sector was the worst performing sector for the month. Crude oil prices fell by almost $8 a barrel, which, combined with the related sell-off in other energy products, resulted in losses for the month. Equity indices were also negative with stock prices ending lower following sharp declines mid-month.

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The Trust had a positive return in May which brought the Trust’s year-to-date return into positive territory. The interest rate and currency sectors continued their profitability in April into May. The apparent breakdown of the EU constitutional ratification process was a key development late in the month causing investors to readjust their expectations for the Euro. The shift in favor of the U.S. Dollar topped off a six week rally that led to its highest level since before the U.S. elections last year which benefited the Trust’s currency positions. The Trust’s interest rate positions benefited from the U.S. 10-year Treasury yield being pushed once again below 4%.

In June, global uncertainties continued to provide profitable trends for the Trust. The U.S. Dollar was up sharply in June to new six month highs, as the Euro and Yen continued a steep six-week slide. A further flattening of the yield curve provided a profitable opportunity for the Trust’s models and the fixed income sector. Several energy markets made new all-time highs in June contributing to the Trust’s profits for the month.

The Trust reported its fifth consecutive monthly gain in July. Markets were rattled following the Chinese currency revaluation, but much of the initial decline in the U.S. Dollar was recovered the following day. The equity markets ended the month broadly higher and were the Trust’s most profitable sector, while the interest rates sector traded lower and generated the Trust’s largest losses. Energy markets traded lower early in the month, but ended near all-time highs and at a profit for the Trust’s long positions.

August saw sharp trend reversals occur in each of the major financial sectors, resulting in losses for the Trust. The currency sector was the Trust’s worst performing sector. The U.S. Dollar peaked at the end of July, then reversed sharply and traded close to its recent lows at the end of August. A similar reversal occurred in the interest rates sector, resulting in losses at both ends of the yield curve. The equity markets trended higher in July, but record energy prices caused a sharp sell-off in August and resulted in a loss in this sector. The energy and metal sectors were the only profitable sectors in the Trust this month, but the size of positions was not sufficient to offset the losses incurred in the financial sectors.

In September, the Trust saw many of the trends in the major financial sectors resume their course. The same sectors that reversed so sharply in August were the most profitable this month, while the energy sector was the only sector that had losses in September. The U.S. Dollar rallied strongly from the start of the month following the late-August sell-off, and again approached the highs for the year. The Trust lost money on some non-U.S. Dollar trades, however the currency sector was profitable overall. The equities sector also finished higher. Fixed income instruments ended lower after the sharp reversals in August and provided solid gains for the Trust’s short positions.

2004

For the 2004 year-to-date increase of the 0.64%, approximately 6.55% was due to trading gains (before commissions) and approximately 0.82% was due to interest income, offset by approximately 6.73% due to brokerage fees, performance fees, and operating cost and offering costs borne by the Trust. An analysis of the 6.55% trading gains by sector is as follows:

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Sector	% Gain (Loss)
Interest Rates		8.19	%
Energy		1.87
Currencies		0.94
Metals		(0.31	)
Stock Indices		(4.14	)
		6.55	%

The year began with the Trust posting a positive return in January despite significant volatility throughout the month. The weak U.S. Dollar continued to drive most global markets, including many that had no apparent or direct connection to the Dollar, and in circumstances such as this, subtle shifts in perception can have a disproportionate impact on prices. The Dollar traded lower throughout the month, which was profitable for the Trust’s currency positions. Much of the gain reversed late in the month when markets reacted violently when the Federal Open Market Committee (FOMC) slightly restated its short-term interest rate bias. The interest rate sector was slightly positive despite also having suffered a reversal of earlier gains following the FOMC announcement. The stock index and metals sectors had small losses for the month.

The Trust had a strong positive return in February as the trends that were in place at the end of January persisted. The continued concern over the record U.S. budget deficit and current account imbalance kept downward pressure on the U.S. Dollar and resulted in strong gains in the currency sector. The weak Dollar in return reinforced several related trends, including the continued rise in energy prices, resulting in positive returns in the energy sector. The interest rates sector was also profitable for the month as European interest rate instruments traded higher.

All of the gain for the month of March came from the interest rate sector as U.S. Treasuries continued to trade higher, while a weakening U.S. Dollar also contributed solid returns. The energy sector was moderately positive, while the equity index sector was moderately negative.

In April, interest rates reversed course and started to head higher in response to a perceived change in stance by the U.S. Federal Reserve. In the days that followed, most major market trends also reversed. Fixed income instruments sold off hard and the U.S. Dollar rallied, while precious and base metals and many other physical commodities traded sharply lower. The equities markets also fell. Only the continued rise in energy prices provided modest gains for the Trust in April.

May was a difficult month for systematic trend following strategies and the Trust finished the month with slightly negative performance. Crude oil set record high prices during the month, which led to gains for the Trust in the energy sector. Most fixed income and currency contracts experienced a classic whipsaw. They began the month with the continuation of April’s reversals, but ended the month with a strong rally. Equity prices continued to weaken in the face of higher energy prices and global political uncertainty, which led to losses in the stock indices sector.

June was another month of choppy, range-bound trading, which resulted in negative performance for the Trust in all sectors. The market impact of unfolding events in Iraq had diminished greatly, and many traders were reluctant to take positions ahead of the Federal Reserve Bank’s June 30 interest rate

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announcement. Absent any other significant news, the markets remained trendless and did not provide the opportunities needed to produce positive returns.

July was a slightly negative month as most markets the Trust traded continued to oscillate in relatively narrow ranges. Interest rate instruments traded lower and then rallied on weaker than expected economic statistics, while equity indices rallied and then declined amid broad earnings disappointments. The U.S. Dollar traded in a narrow range. In the energy sector, a classic whipsaw caused the Trust to exit most of its long positions just before crude oil prices rallied to all-time highs.

August performance was negative as most financial markets continued to be bound by the ranges which had been in place previously. Fixed income instruments rallied profitably during the month, but these gains were quickly offset by losses in the currency sector as the U.S. Dollar strengthened. Small losses resulted from stock index trading as a six-week downtrend reversed sharply, mirroring the rise and fall of crude oil prices. The Trust’s exposure to the highly volatile energy sector was minor as a result of trading filters that kept the Trust out of that sector.

The losses for the Trust continued in September as listless market conditions persisted. While U.S. Dollar and interest rate instruments traded in narrow ranges, the Trust managed small profits in these sectors. These gains were largely offset by losses in the Trust’s small positions in the volatile energy sector. The largest losses for the month came from the equity index positions as positive economic reports late in the month caused stocks to rally towards 90-day highs.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, Inc., the managing owner (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.

In addition to market risk, in entering into futures, forward and swap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward and swap contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a

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group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.

Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

The Trust invests in futures and forward currency 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 (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.

Item 3.Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

     The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.

     Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.

     The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.

Standard of Materiality

     Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Trust’s market sensitive instruments.

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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).

     The Trust’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The one day 97.5% confidence level of the Trust’s VaR corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

     The Trust uses approximately one year of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.

     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.

     The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

     VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

     Because the business of the Trust is the speculative trading of futures, forwards and options, the composition of the Trust’s trading portfolio can change significantly over any given

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time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

The Trust’s Trading Value at Risk in Different Market Sectors

     The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of September 30, 2005 and December 31, 2004 and the trading gains/losses by market category for the nine months ended September 30, 2005 and the year ended December 31, 2004.

	September 30, 2005
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		1.47	%		1.73	%
Energy		0.58	%		4.22	%
Stock Indices		0.56	%		0.53	%
Long-Term Interest Rates		0.36	%		1.30	%
Short-Term Interest Rates		0.27	%		1.86	%
Metals		0.05	%		0.54	%
Aggregate/Total		1.67	%		10.18	%

*	-The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
**	-Of the return for the nine months ended September 30, 2005, approximately 10.18% was due to trading gains (before commissions), approximately 2.05% was due interest income offset by approximately 3.33% due to brokerage fees, management fees and operating costs borne by the Trust giving a net return of 8.90%.

	December 31, 2004
				Trading
Market 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	%

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*	-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%.

Material Limitations oF Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

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.

VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

Non-Trading Risk

     The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury Bills. The market risk represented by these investments is immaterial.

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

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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.

     The following were the primary trading risk exposures of the Trust as of September 30, 2005, by market sector.

Currencies

     Exchange rate risk is the principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates —i.e.,positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.

Interest Rates

     Interest rate risk is a significant market exposure of the Trust. Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Additionally, the Trust takes positions in the government debt of Switzerland. Campbell & Company anticipates that G-7 interest rates will remain the primary market exposure of the Trust for the foreseeable future. The changes in interest rates which have the most effect on the Trust are changes in long-term, as opposed to short-term rates. Most of the speculative positions held by the Trust are in medium- to long-term instruments.

Stock Indices

     The Trust’s primary equity exposure is to equity price risk in the G-7 countries and several other countries (Hong Kong, Spain and Taiwan). The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. (Static markets would not cause major market changes but would make it difficult for the Trust to avoid being “whipsawed” into numerous small losses.)

Energy

     The Trust’s primary energy market exposure is to gas and oil price movements, often resulting from political developments and ongoing conflicts in the Middle East. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

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Metals

     The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, nickel and zinc.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following represent non-trading risk exposures of the Trust as of September 30, 2005.

Foreign Currency Balances

     The Trust’s primary foreign currency balances are in Japanese Yen, British Pounds and Euros. The Trust controls the non-trading risk of these balances by regularly converting these balances back into U.S. Dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Treasury Bill Positions

     The Trust’s only market exposure in instruments held other than for trading is in its Treasury Bill portfolio. The Trust holds Treasury Bills (interest bearing and credit risk-free) with durations no longer than six months. Violent fluctuations in prevailing interest rates could cause immaterial mark-to-market losses on the Trust’s Treasury Bills, although substantially all of these short-term investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The means by which Campbell & Company attempts to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as imposing “stop-loss” points at which open positions must be closed out.

     Campbell & Company controls the risk of the Trust’s non-trading instruments (Treasury Bills held for cash management purposes) by limiting the duration of such instruments to no more than six months.

General

The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust’s operations.

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Item 4.Controls and Procedures

Campbell & Company, Inc., the managing owner of the Trust, with the participation of the managing owner’s chief executive officer and chief financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief financial officer have concluded that these disclosure controls and procedures are effective. There were no changes in the managing owner’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION

Item 1.	Legal Proceedings.
	None
Item 2.	Unregistered Sale of Equity Securities and Use of Proceeds
	None
Item 3.	Defaults Upon Senior Securities
	Not applicable.
Item 4.	Submissions of Matters to a vote of Security Holders.
	None
Item 5.	Other Information
	None
Item 6.	Exhibits

Exhibit
Number		Description of Document
	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 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.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

CAMPBELL ALTERNATIVE ASSET TRUST
(Registrant)
	By:	Campbell & Company, Inc.
		Managing Owner

Date: November 14, 2005	By:	/s/Theresa D. Becks
		Theresa D. Becks
		Chief Financial Officer/Treasurer/Director

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EXHIBIT INDEX

Exhibit Number	Description of Document	Page Number
31.01	Certification by Chief Executive Officer	E 2
31.02	Certification by Chief Financial Officer	E 3
32.01	Certification by Chief Executive Officer	E 4
32.02	Certification by Chief Financial Officer	E 5

 E 1