Campbell Alternative Asset Trust 10-Q 2009 Q1 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 endedMarch 31, 2009

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)

2850 Quarry Lake Drive,
Baltimore, Maryland 21209
(Address of principal executive offices, including zip code)

(410) 413-2600
(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 has submitted electronically and posted on its corporate Web site, if any, every Interactive Date File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yeso Noo

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filero  Accelerated filero  Non-accelerated filer  o
(Do not check if a smaller reporting company) Smaller reporting companyþ 

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

Total number of pages:32

	Page
PART I — FINANCIAL INFORMATION
Item 1. Financial Statements
Condensed Schedules of Investments as of March 31, 2009 (Unaudited) and December 31, 2008		3-6
Statements of Financial Condition as of March 31, 2009 (Unaudited) and December 31, 2008		7
Statements of Operations for the Three Months Ended March 31, 2009 and 2008 (Unaudited)		8
Statements of Cash Flows for the Three Months Ended March 31, 2009 and 2008 (Unaudited)		9
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months Ended March 31, 2009 and 2008 (Unaudited)		10
Financial Highlights for the Three Months Ended March 31, 2009 and 2008 (Unaudited)		11
Notes to Financial Statements (Unaudited)		12-19
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		20-24
Item 3. Quantitative and Qualitative Disclosure About Market Risk		25-30
Item 4T. Controls and Procedures		30
PART II — OTHER INFORMATION		31
Item 6. Exhibits and Reports on Form 8-K		31
SIGNATURES		32
CERTIFICATIONS

CAMPBELL ALTERNATIVE ASSET TRUST

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2009 (Unaudited)

UNITED STATES GOVERNMENT SECURITIES*

Maturity	Maturity						% of Net
Face Value	Date		Description	Values ($)			Asset Value
$31,000,000		04/16/2009	U.S. Treasury Bills	$	30,999,160			86.89	%
$  1,250,000		04/23/2009	U.S. Treasury Bills	$	1,249,993			3.50	%
Total United States government securities
(cost, including accrued interest, — $32,249,153)				$	32,249,153			90.39	%
LONG FUTURES CONTRACTS
Description
Energy				$	(12,096	)		(0.03	)%
Metals				$	11,985			0.03	%
Stock indices				$	(950	)		0.00	%
Short-term interest rates				$	102,856			0.29	%
Long-term interest rates				$	152,388			0.43	%
Total long futures contracts				$	254,183			0.72	%
SHORT FUTURES CONTRACTS
Description
Energy				$	52,651			0.15	%
Metals				$	(95,569	)		(0.27	)%
Stock indices				$	(349,106	)		(0.98	)%
Short-term interest rates				$	(163	)		0.00	%
Long-term interest rates				$	18,335			0.05	%
Total short futures contracts				$	(373,852	)		(1.05	)%
Total futures contracts				$	(119,669	)		(0.33	)%

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2009 (Unaudited)

				% of Net
	Values ($)			Asset Value
FORWARD CURRENCY CONTRACTS
Description
Various long forward currency contracts	$	597,844			1.68	%
Various short forward currency contracts	$	(653,462	)		(1.83	)%
Total forward currency contracts	$	(55,618	)		(0.15	)%
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
Description
Purchased options on forward currency contracts (premiums paid — $14,178)	$	10,679			0.03	%
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
Description
Written options on forward currency contracts      (premiums received — $50,187)	$	(62,050	)		(0.17	)%

* Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

UNITED STATES GOVERNMENT SECURITIES*

Maturity	Maturity						% of Net
Face Value	Date		Description	Values ($)			Asset Value
$1,100,000		01/02/2009	U.S. Treasury Bills	$	1,100,000			3.07	%
Total United States government securities
(cost, including accrued interest, — $1,100,000)				$	1,100,000			3.07	%
LONG FUTURES CONTRACTS
Description
Stock indices				$	11,598			0.03	%
Short-term interest rates				$	46,855			0.13	%
Long-term interest rates				$	62,096			0.17	%
Total long futures contracts				$	120,549			0.33	%
SHORT FUTURES CONTRACTS
Description
Energy				$	(8,848	)		(0.03	)%
Metals				$	(22,893	)		(0.06	)%
Stock indices				$	(40,610	)		(0.11	)%
Short-term interest rates				$	125			0.00	%
Long-term interest rates				$	(54,477	)		(0.15	)%
Total short futures contracts				$	(126,703	)		(0.35	)%
Total futures contracts				$	(6,154	)		(0.02	)%

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2008

				% of Net
	Values ($)			Asset Value
FORWARD CURRENCY CONTRACTS
Description
Various long forward currency contracts	$	438,448			1.22	%
Various short forward currency contracts	$	(278,710	)		(0.78	)%
Total forward currency contracts	$	159,738			0.44	%
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
Description
Purchased options on forward currency contracts (premiums paid — $13,775)	$	7,494			0.02	%
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
Description
Written options on forward currency contracts (premiums received — $50,507)	$	(45,850	)		(0.13	)%

* Pledged as collateral for the trading of futures, forward and option positions.

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

STATEMENTS OF FINANCIAL CONDITION

March 31, 2009 (Unaudited) and December 31, 2008

	March 31,			December 31,
	2009			2008
ASSETS
Equity in broker trading accounts
Cash	$	4,066,882		$	33,954,446
Restricted cash		0			1,180,793
United States government securities		30,999,160			0
Net unrealized gain (loss) on open futures contracts		(119,669	)		(6,154	)
Total equity in broker trading accounts		34,946,373			35,129,085
Cash		251,360			269,764
United States government securities		1,249,993			1,100,000
Options purchased, at fair value (premiums paid — $14,178 and $13,775, respectively)		10,679			7,494
Net unrealized gain (loss) on open forward currency contracts		(55,618	)		159,738
Interest receivable		207			558
Prepaid expenses		1,000			2,000
Total assets	$	36,403,994		$	36,668,639
LIABILITIES
Accounts payable	$	49,076		$	66,072
Brokerage fee		27,057			28,580
Options written, at fair value (premiums received — $50,187 and $50,507, respectively)		62,050			45,850
Accrued commissions and other trading fees on open contracts		3,146			1,593
Offering costs payable		8,544			9,025
Redemptions payable		578,267			682,036
Total liabilities		728,140			833,156
UNITHOLDERS’ CAPITAL (Net Asset Value)
Managing Owner — 1,413.580 units outstanding at March 31, 2009 and December 31, 2008		2,288,798			2,306,948
Other Unitholders — 20,620.173 and 20,544.542 units outstanding at March 31, 2009 and December 31, 2008		33,387,056			33,528,535
Total unitholders’ capital (Net Asset Value)		35,675,854			35,835,483
Total liabilities and unitholders’ capital (Net Asset Value)	$	36,403,994		$	36,668,639

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2009 and 2008

(Unaudited)

	Three Months Ended
	March 31,
	2009			2008
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	51,616		$	1,211,899
Change in unrealized		(113,516	)		(636,163	)
Brokerage commissions		(12,848	)		(14,055	)
Net gain (loss) from futures trading		(74,748	)		561,681
Forward currency and options on forward currency trading gains (losses)
Realized		379,810			(873,576	)
Change in unrealized		(229,095	)		1,006,589
Brokerage commissions		(824	)		(1,687	)
Net gain (loss) from forward currency and options on forward currency trading		149,891			131,326
Total net trading gain (loss)		75,143			693,007
INTEREST INCOME NET OF EXPENSES
Income
Interest income		2,478			251,541
Expenses
Brokerage fee		259,579			263,726
Operating expenses		25,206			21,202
Total expenses		284,785			284,928
Interest income net of expenses		(282,307	)		(33,387	)
NET INCOME (LOSS)	$	(207,164	)	$	659,620
NET INCOME (LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT (based on weighted average number of units outstanding during the period)	$	(9.33	)	$	28.97
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT	$	(12.84	)	$	25.13

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

STATEMENTS OF CASH FLOWS

For the Three Months Ended March 31, 2009 and 2008

(Unaudited)

	Three Months Ended
	March 31,
	2009			2008
Cash flows from (for) operating activities
Net income (loss)	$	(207,164	)	$	659,620
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized		342,611			(370,426	)
(Increase) decrease in restricted cash		1,180,793			0
(Increase) decrease in option premiums paid		(403	)		60,120
Increase (decrease) in option premiums received		(320	)		(32,533	)
(Increase) decrease in interest receivable		351			1,897
(Increase) decrease in prepaid expenses		1,000			0
Increase (decrease) in accounts payable and accrued expenses		(16,966	)		3,954
Net maturities (purchases) of investments in United States government securities		(31,149,155	)		1,454,523
Net cash from (for) operating activities		(29,849,253	)		1,777,155
Cash flows from (for) financing activities
Addition of units		883,085			1,147,717
Redemption of units		(857,347	)		(1,920,601	)
Offering costs paid		(82,453	)		(84,461	)
Net cash from (for) financing activities		(56,715	)		(857,345	)
Net increase (decrease) in cash		(29,905,968	)		919,810
Unrestricted cash
Beginning of period		34,224,210			4,191,592
End of period	$	4,318,242		$	5,111,402
End of period cash consists of:
Cash in broker trading accounts	$	4,066,882		$	4,751,076
Cash		251,360			360,326
Total end of period cash	$	4,318,242		$	5,111,402

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

For the Three Months Ended March 31, 2009 and 2008

(Unaudited)

	Unitholders’ Capital
	Managing Owner					Other Unitholders						Total
	Units		Amount			Units			Amount			Units			Amount
Three Months Ended March 31, 2009
Balances at December 31, 2008		1,413.580	$	2,306,948			20,544.542		$	33,528,535			21,958.122		$	35,835,483
Net income (loss) for the three months ended March 31, 2009				(12,931	)					(194,233	)					(207,164	)
Additions		0.000		0			539.143			883,085			539.143			883,085
Redemptions		0.000		0			(463.512	)		(753,578	)		(463.512	)		(753,578	)
Offering costs				(5,219	)					(76,753	)					(81,972	)
Balances at March 31, 2009		1,413.580	$	2,288,798			20,620.173		$	33,387,056			22,033.753		$	35,675,854
Three Months Ended March 31, 2008
Balances at December 31, 2007		1,413.580	$	2,266,803			21,216.063		$	34,021,953			22,629.643		$	36,288,756
Net income (loss) for the three months ended March 31, 2008				40,694						618,926						659,620
Additions		0.000		0			691.119			1,113,779			691.119			1,113,779
Redemptions		0.000		0			(912.646	)		(1,482,276	)		(912.646	)		(1,482,276	)
Offering costs				(5,171	)					(78,110	)					(83,281	)
Balances at March 31, 2008		1,413.580	$	2,302,326			20,994.536		$	34,194,272			22,408.116		$	36,496,598

Net Asset Value per Managing Owner and Other Unitholders’ Unit
March 31, 2009	December 31, 2008		March 31, 2008		December 31, 2007
$1,619.15	$	1,631.99	$	1,628.72	$	1,603.59

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

FINANCIAL HIGHLIGHTS

For the Three Months Ended March 31, 2009 and 2008

(UNAUDITED)

The following information presents per unit operating performance data and other supplemental financial data for the three months ended March 31, 2009 and 2008. This information has been derived from information presented in the financial statements.

	Three Months Ended
	March 31,
	2009			2008
Per Unit Performance (for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	1,631.99		$	1,603.59
Income (loss) from operations:
Total net trading gains (losses)(1)		3.57			30.26
Interest income net of expenses(1)		(12.72	)		(1.47	)
Total net income (loss) from operations		(9.15	)		28.79
Offering costs(1)		(3.69	)		(3.66	)
Net asset value per unit at end of period	$	1,619.15		$	1,628.72
Total Return(3)		(0.79	)%		1.57	%
Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee(4)		3.13	%		3.10	%
Performance fee(3)		0.00	%		0.00	%
Total expenses		3.13	%		3.10	%
Interest income net of expenses(2),(4),(5)		(3.11	)%		(0.36	)%

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

(1)	Interest income net of expenses per unit and offering costs per unit are calculated by dividing the interest income net of expenses and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Not annualized
(4)	Annualized
(5)	Interest income net of expenses is shown as a positive amount when interest income exceeds expenses excluding the performance fee for the period and is shown as a negative amount when expenses excluding performance fee exceed interest income for the period.

See Accompanying Notes to Financial Statements.

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CAMPBELL ALTERNATIVE ASSET TRUST

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2009 (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, forward currency contracts and options on forward currency contracts.
	As of December 31, 2002, units are no longer offered to the public, but are offered exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan). At March 31, 2009 and December 31, 2008, the 401(K) Plan held approximately 69% and 68% of the Trust’s outstanding units, respectively.
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 accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board Interpretation No. 39 - “Offsetting of Amounts Related to Certain Contracts.” The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent.
	The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations.
	When the Trust writes an option, an amount equal to the premium received by the Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. United States government securities are stated at cost plus accrued interest, which approximates market value.
	For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

The Trust adopted the provisions of Statement of Financial Accounting Statement No. 157 — “Fair Value Measurement”, or SFAS 157, as of January 1, 2008. SFAS 157 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. SFAS 157 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

SFAS No. 157 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also include U.S. Treasury bills.

Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended March 31, 2009, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a reoccurring basis as of March 31, 2009 and December 31, 2008.

	Fair Value at March 31, 2009
Description	Level 1			Level 2			Level 3		Total
Investments
U.S. Treasury Bills	$	0		$	32,249,153		$	0	$	32,249,153
Other Financial Instruments
Exchange-traded futures contracts		(119,669	)		0			0		(119,669	)
Forward currency contracts		0			(55,618	)		0		(55,618	)
Options purchased		0			10,679			0		10,679
Options written		0			(62,050	)		0		(62,050	)
Total	$	(119,669	)	$	32,142,164		$	0	$	32,022,495

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CAMPBELL ALTERNATIVE ASSET TRUST

NOTES TO FINANCIAL STATEMENTS

MARCH 31, 2009 (UNAUDITED)

	Fair Value at December 31, 2008
Description	Level 1			Level 2			Level 3		Total
Investments
U.S. Treasury Bills	$	0		$	1,100,000		$	0	$	1,100,000
Other Financial Instruments
Exchange-traded futures contracts		(6,154	)		0			0		(6,154	)
Forward currency contracts		0			159,738			0		159,738
Options purchased		0			7,494			0		7,494
Options written		0			(45,850	)		0		(45,850	)
Total	$	(6,154	)	$	1,221,382		$	0	$	1,215,228

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. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes.
	Management has continued to evaluate the application of Financial Accounting Standards Board (FASB) Interpretation No. 48, “Accounting for Uncertainty in Income Taxes — an interpretation of FASB Statement No. 109” (FIN 48), to the Trust, and has determined that FIN 48 does not have a material impact on the Trust’s financial statements. The Trust files federal and state tax returns. The 2005 through 2008 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
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 March 31, 2009 and December 31, 2008, the Trust reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $8,544 and $9,025, 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 March 31, 2009 and December 31, 2008, the amount of unreimbursed offering costs incurred by Campbell & Company is $87,416 and $114,051, respectively.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

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.

Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR

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 U.S. Bank National Association, a national banking corporation The trustee has delegated to the managing operator 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 Declaration of Trust and Trust Agreement.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

Note 7. TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio primarily focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values. A secondary emphasis is on metals and energy values. 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. The market sensitive instruments held by the Trust 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.

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 trusts 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 Trusts available. It is possible that the recovered amount could be less than total cash and other property deposited.

The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy such requirements at March 31, 2009 and December 31, 2008 was $32,249,153 and $1,100,000, respectively, which equals 90% and 3% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2009 and December 31, 2008 was $112,036 and $257,949, respectively, which equals 0% and 1% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market maker at March 31, 2009 and December 31, 2008 was restricted cash for margin requirements of $0 and $1,180,793 respectively, which equals 0% and 3% of Net Asset Value respectively.

The Trust trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign 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 and options on 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. 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. 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. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts is comprised of the following:

							Forward Currency and
							Options on Forward
	Futures Contracts						Currency Contracts
	(exchange traded)						(non-exchange traded)
	March 31, 2009			December 31, 2008			March 31, 2009			December 31, 2008
Gross unrealized gains	$	476,809		$	192,722		$	1,527,896		$	977,900
Gross unrealized losses		(596,478	)		(198,876	)		(1,598,876	)		(819,786	)
Net unrealized gain (loss)	$	(119,669	)	$	(6,154	)	$	(70,980	)	$	158,114

In March 2008, the FASB issued Statement of Financial Accounting Standards No. 161 (SFAS 161), “Disclosures about Derivative Instruments and Hedging Activities — an amendment of FASB Statement No. 133.” SFAS 161 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. SFAS 161 is effective for financial statements issued for the Trusts first fiscal year beginning after November 15, 2008. The Trust adopted the provisions of SFAS 161 effective January 1, 2009.

The following tables summarize quantitative information required by SFAS 161.

The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of March 31, 2009 is as follows:

		Asset		Liability
		Derivatives at		Derivatives at
	Statement of Financial	March 31, 2009		March 31, 2009
Type of Instrument *	Condition Location	Fair Value		Fair Value			Net
Energy Contracts	Equity in broker trading accounts	$	87,905	$	(47,350	)	$	40,555
Metal Contracts	Equity in broker trading accounts		14,630		(98,213	)		(83,583	)
Stock Indices Contracts	Equity in broker trading accounts		25,753		(375,810	)		(350,057	)
Short-Term Interest Rate Contracts	Equity in broker trading accounts		102,855		(163	)		102,692
Long Term Interest Rate Contracts	Equity in broker trading accounts		245,666		(74,942	)		170,724
Forward Currency Contracts	Net unrealized gain (loss) on forward currency contracts		1,512,594		(1,568,212	)		(55,618	)
Purchased Options on Forward Currency Contracts	Options purchased, at fair value		10,679		0			10,679
Written Options on Forward Currency Contracts	Options written, at fair value		0		(62,050	)		(62,050	)
Totals		$	2,000,082	$	(2,226,740	)	$	(226,658	)

* Derivatives not designated as hedging instruments under Statement 133

The trading revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the period ended March 31, 2009 is as follows:

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

	Trading Revenue for
	the Three Months Ended
Type of Instrument	March 31, 2009
Energy Contracts	$	(30,032	)
Metal Contracts		(196,328	)
Stock Indices Contracts		(288,215	)
Short-Term Interest Rate Contracts		268,275
Long Term Interest Rate Contracts		188,785
Forward Currency Contracts		(64,267	)
Purchased Options on Forward Currency Contracts		(73,060	)
Written Options on Forward Currency Contracts		288,042
Total	$	93,200

	Trading Revenue for
	the Three Months Ended
Line Item in the Statement of Operations	March 31, 2009
Futures trading gains (losses):
Realized	$	56,001
Change in unrealized	$	(113,516	)
Forward currency and options on forward currency trading gains (losses):
Realized	$	379,810
Change in unrealized		(229,095	)
Total	$	93,200

For the three months ended March 31, 2009, the monthly average of futures contracts bought and sold was approximately 725 and the monthly average of notional value traded for forward currency and options on forward currency contacts was approximately $131,600,000.

Open contracts generally mature within three months; as of March 31, 2009, the latest maturity date for open futures contracts is June 2010, the latest maturity date for open forward currency contracts is June 2009, and the latest expiry date for options on forward currency contracts is April 2009. However, the Trust intends to close all futures and foreign currency 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’s attempt 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 precalculating “stop-loss” points at which systems will signal to close open positions. Campbell & Company controls the risk of the Fund’s non-trading instruments (Treasury Bills held for cash management purposes) by limiting the duration of such instruments to no more than six months.

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 credit worthy. The unitholder bears 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.

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CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2009 (UNAUDITED)

Note 8. INDEMNIFICATIONS

In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties 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 March 31, 2009, and the statements of operations, cash flows, changes in unitholders’ capital (Net Asset Value) and financial highlights for the three months ended March 31, 2009 and 2008 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2009, and the results of operations, cash flows, changes in unitholders’ capital (Net Asset Value) and financial highlights for the three months ended March 31, 2009 and 2008.

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Item 2. Management’s Discussion and Analysis of Financial Condition andResults 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 $37,485,997 have been accepted during the continuing offering period as of March 31, 2009. Redemptions over the same time period total $33,396,653. 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 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 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.

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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 three months ending March 31, 2009 and March 31, 2008 were (0.79%) and 1.57%, respectively.

2009

Of the 2009 year-to-date decrease of 0.79%, approximately 1.05% due to brokerage fees, operating costs and offering costs borne by the Trust offset by approximately 0.25% due to trading gains (before commissions) and approximately 0.01% due to interest income. An analysis of the 0.25% trading gains by sector is as follows:

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Sector	% Gain (Loss)
Interest Rates		1.23	%
Currencies		0.42
Commodities		(0.61	)
Stock Indices		(0.79	)
		0.25	%

President Obama’s stimulus plan took center stage in January; however, weak economic data continued to negatively impact global stock markets into the start of the New Year. An early month rally fizzled quickly, causing notable declines in major global indices. The Trust gained in equity indices trading on net short positions across each region. Gains were recorded in fixed income trading as the world’s central banks continued to lower interest rates. Mounting fiscal deficits and huge issuance needs begin to weigh heavy on the long-end; however, credit markets generally improved in January with yield spreads continuing to contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and capital preservation benefited the Trust’s net long U.S. Dollar position; however, the U.K. government’s unprecedented move to give the Bank of England power to increase their stake in Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating gains from a previous decline. Commodity trading was generally flat on volatility across precious and base metals and a slowing of the negative energy trend.

In February, the U.S. government’s ability to address the economic crisis was met with skepticism by Wall Street. Economic data remained persistently weak, especially on the employment and housing fronts. The U.S. was not alone in reporting negative news, as European and Asian economies also continued with the release of dismal economic data such as declining exports and falling dividends. The majority of February gains in the Trust resulted from equity indices trading, particularly from short positions in the U.S. and Asia. Additional gains were recorded in foreign exchange trading as investors continued to feed U.S. Dollar strength, particularly relative to the Japanese Yen. The U.S. Dollar continues to be the safe haven pick as the risk aversion theme continued, as evidenced by the U.S. treasury yields recording all-time lows.

Stock markets rallied in March as the 2008 fourth quarter earnings announcements subsided and large U.S. banks announced they would be profitable for the first two months of 2009. The majority of the Trust’s losses in March resulted from equity indices trading, as the equity rally adversely impacted net short positions globally. Commodities recorded minimal losses as energy price swings have become correlated with equities and metals surged on news of China’s economic stimulus plan. Gains from fixed income markets were recorded from the Trust’s long global bond positions as prices moved significantly higher on announcements from the Swiss, British and American Central Banks on their intentions of adding liquidity by purchasing medium to long-term bonds in the market. Foreign exchange trading resulted in minimal gains as investors sought currencies whose home central banks were not keen on engaging in quantitative easing

2008

Of the 2008 year-to-date increase of 1.57%, approximately 1.93% was due to trading gains (before commissions) and approximately 0.68% was due to interest income offset by approximately 1.04% due to brokerage fees, performance fees, operating costs and offering costs borne by the Trust. An analysis of the 1.93% trading gains by sector is as follows:

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Sector	% Gain (Loss)
Stock Indices		2.85	%
Currencies		0.27
Commodities		(0.10	)
Interest Rates		(1.09	)
		1.93	%

The 2007 credit crisis proceeded into 2008 with more write-downs, more credit downgrades, and a growing realization that sub-prime issues will have broader and longer-lasting impacts than initially suspected. Considerable “stress” across global equity markets benefited the Trust’s trading in January, which significantly offset losses stemming from the currency sector. Weak domestic economic data caused the Federal Open Market Committee of the U.S. Federal Reserve to cut short-term rates by a total of 1.25% during the month, which included an unprecedented 0.75% emergency cut. The S&P 500 recorded one of its worst performances for January in the history of the index. Currency trading in early January proved difficult as market-wide risk reduction was observed in several key crosses and the dynamics of high yielders were mixed amid changing short-term interest rates. Trading in fixed income produced slightly negative results as gains from the short end of the curve were offset by losses on the long end. Mid-month recession fears, weak housing data and a gloomy Bernanke testimony caused the curve to steepen substantially. Small gains were recorded in energy trading, while precious metals trading was positive and base metals trading was negative. Overall, the Trust finished the month with a slight loss.

In February, the U.S. Dollar weakened against all major currencies (except the British Pound) as U.S. economic data generally disappointed, stagflation concerns grew, and U.S. rate expectations declined dramatically. The Trust’s currency trading benefited from the U.S. Dollar decline to new lows, along with the Euro’s break to an all-time high and a more than 4% gain by the Australian Dollar. Additional gains were recorded in the equity indices sector as the S&P 500, Dow and Nasdaq indices continued the 2008 downslide that started in January. These two sectors were the main contributors to the Trust’s overall gain for the month. Consumer confidence fell to a 16-year low amid an ongoing drop in the value of real estate and a surge in residential foreclosures. The Trust’s trading in fixed income was relatively flat as recession fears and credit losses continued to grow, causing a steepening in the curve. The energy and metals sectors were also flat despite the continued speculative rally in precious and base metals and crude oil.

In March, the Trust’s trading resulted in a small gain. The U.S. Federal Reserve’s continued market intervention was rewarded at the end of March when U.S. stocks recovered from mid-month declines to finish flat for the month but still significantly negative year to date. The Trust’s gains were primarily from short positions in Asian and European equity indices as equity markets continued their downward direction. Ongoing uncertainty in the banking sector, coupled with negative sentiment on global growth continued to weigh on investor confidence. Some gains were recorded in the currency markets from long positions in the Euro as the Dollar continued to weaken during the month on lower U.S. yields and commodity market extensions. The fixed income sector had trading losses, primarily in Europe, as initial mid-month profits from the flight to quality were given back when market fears subsided at month-end. Marginal losses were also recorded in the commodity markets as energies came off their highs in the middle of the month to finish flat, while base metals continued to be fueled by U.S. Dollar price action.

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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 option 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 option 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 option 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 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, forward currency and option on 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 swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent. The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

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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.

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 Trust’s VaR at a one day 97.5% confidence level 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.

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     The Trust uses approximately one quarter 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 current methodology used to calculate 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 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 March 31, 2009 and December 31, 2008 and the trading gains/losses by market category for the three months ended March 31, 2009 and the year ended December 31, 2008.

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	March 31, 2009
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Stock Indices		0.64	%		(0.79	)%
Currencies		0.56	%		0.42	%
Interest Rates		0.38	%		1.23	%
Commodities		0.20	%		(0.61	)%
Aggregate/Total		1.23	%		0.25	%

*	-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 2009 year-to-date decrease of 0.79%, approximately 1.05% due to brokerage fees, operating costs and offering costs borne by the Trust offset by approximately 0.25% due to trading gains (before commissions) and approximately 0.01% due to interest income.

	December 31, 2008
				Trading
Market Sector	Value at Risk*			Gain/(Loss)**
Currencies		0.50	%		(0.51	)%
Interest Rates		0.30	%		(4.51	)%
Stock Indices		0.18	%		9.10	%
Commodities		0.05	%		0.35	%
Aggregate/Total		0.60	%		4.43	%

*	- 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, 2008, approximately 4.43% was due to trading gains (before commissions) and approximately 1.51% due to interest income offset by approximately 4.17% due to brokerage fees, operating costs and offering costs borne by the Trust offset by giving a net return of 1.77%.

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.

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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 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 March 31, 2009, by market sector.

Currencies

     Exchange rate risk can 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.

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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. Campbell & Company anticipates that G-7 interest rates will remain the primary rate 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, Netherlands 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 crude oil and derivative product price movements, often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. 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.

Metals

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

     The following were the primary non-trading risk exposures of the Trust as of March 31, 2009.

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 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 primary 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.

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Qualitative Disclosures Regarding Means of Managing Risk Exposure

     The means by which the Trust and Campbell & Company, severally, attempt 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 precalculating “stop-loss” points at which systems will signal to close out open positions.

     Campbell & Company manages 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.

Item 4T.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.Changes in 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 and Reports on Form 8-K.

(a) Exhibits

Exhibit
Number	Description of Document
31.01	Certification of Theresa D. Becks, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
31.02	Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
32.01	Certification of Theresa D. Becks, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
32.02	Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

(b)     Reports of Form 8-K

        None

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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: May 15, 2009		By:	/s/ Theresa D. BecksTheresa D. Becks
			Chief Executive Officer

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EXHIBIT INDEX

		Page
Exhibit Number	Description of Document	Number
31.01	Certification by Chief Executive Officer	E 2 – E 3
31.02	Certification by Chief Financial Officer	E 4 – E 5
32.01	Certification by Chief Executive Officer	E 6
32.02	Certification by Chief Financial Officer	E 7

E 1