UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
[X] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934
For the quarterly period ended September 30, 2002
-------------------
or
[ ] 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: 00-33311
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CAMPBELL ALTERNATIVE ASSET TRUST
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
Delaware 52-2238521
- ---------------------------------------- ------------------------------------
(State of Organization) (IRS Employer Identification Number)
Court Towers Building,
210 West Pennsylvania Avenue,
Baltimore, Maryland 21204
- ---------------------------------------- ------------------------------------
(Address of principal executive offices) (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.
Yes [X] No [ ]
Total number of Pages: 30
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PART I - FINANCIAL INFORMATION
Item 1. Financial Statements
The following financial statements of Campbell Alternative Asset Trust are
included in Item 1:
Statements of Financial Condition as of September 30, 2002 (Unaudited) and
December 31, 2001 (Audited)
Condensed Schedule of Investments as of September 30, 2002 (Unaudited)
Statements of Operations for the Three Months and Nine Months
Ended September 30, 2002 and 2001 (Unaudited)
Statements of Cash Flows for the Nine Months Ended
September 30, 2002 and 2001 (Unaudited)
Statements of Changes in Unitholders' Capital (Net Asset Value)
for the Nine Months Ended September 30, 2002 and 2001 (Unaudited)
-2-
CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 2002 (Unaudited) and December 31, 2001 (Audited)
September 30, December 31,
2002 2001
------------ ------------
ASSETS
Equity in broker trading accounts
Cash $ 2,057,231 $ 712,721
United States government securities 14,973,625 8,484,712
Unrealized gain (loss) on open futures contracts 1,300,729 (54,659)
------------ ------------
Deposits with broker 18,331,585 9,142,774
Cash 13,146,453 8,076,399
Unrealized gain (loss) on open forward contracts (48,625) 862,088
Subscriptions receivable 0 514,071
------------ ------------
Total assets $ 31,429,413 $ 18,595,332
============ ============
LIABILITIES
Accounts payable $ 17,610 $ 17,678
Brokerage fee 91,916 48,556
Performance fee 866,827 0
Offering costs payable 22,569 13,417
Redemptions payable 20,691 0
Subscription deposits 29,631 0
------------ ------------
Total liabilities 1,049,244 79,651
------------ ------------
UNITHOLDERS' CAPITAL (NET ASSET VALUE)
Managing Owner - 6,000.000 units outstanding
at September 30, 2002 and December 31, 2001 6,922,740 5,841,866
Other Unitholders - 20,330.856 and 13,016.882
units outstanding at September 30, 2002 and
December 31, 2001 23,457,429 12,673,815
------------ ------------
Total unitholders' capital
(Net Asset Value) 30,380,169 18,515,681
------------ ------------
$ 31,429,413 $ 18,595,332
============ ============
See accompanying notes.
-3-
CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
September 30, 2002
(Unaudited)
UNITED STATES GOVERNMENT SECURITIES
% of Net
Face Value Description Value Asset Value
---------- ----------- ----- -----------
$13,000,000 U.S. Treasury Bills, 11/7/02 $12,979,241 42.72 %
2,000,000 U.S. Treasury Bill, 12/5/02 1,994,384 6.56 %
----------- -------
TOTAL UNITED STATES GOVERNMENT SECURITIES
(COST, INCLUDING ACCRUED INTEREST, - $14,973,625) $14,973,625 49.28 %
=========== =======
LONG FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----------- -----------
Agricultural $ 10,663 0.04 %
Energy 215,542 0.71 %
Metals (7,951) (0.03)%
Short-term interest rates 301,302 0.99 %
Long-term interest rates 571,755 1.88 %
----------- ------
TOTAL LONG FUTURES CONTRACTS $ 1,091,311 3.59 %
=========== ======
LONG FORWARD CURRENCY CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Various forward currency contracts $ (99,030) (0.33)%
============== ==========
SHORT FUTURES CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Agricultural $ (7,660) (0.02)%
Metals 30,529 0.10 %
Stock indices 186,549 0.61 %
------------- ----------
TOTAL SHORT FUTURES CONTRACTS $ 209,418 0.69 %
============= ==========
SHORT FORWARD CURRENCY CONTRACTS
% of Net
Description Value Asset Value
----------- ----- -----------
Various forward currency contracts $ 50,405 0.17 %
============= ==========
See accompanying notes.
-4-
CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended September 30, 2002 and 2001 and
For the Nine Months Ended September 30, 2002 and 2001
(Unaudited)
Three Months Nine Months
Ended Ended
September 30, September 30,
2002 2001 2002 2001
----------- ----------- ----------- -----------
INCOME
Futures trading gains
Realized $ 4,862,525 $ 0 $ 3,906,546 $ 0
Change in unrealized 499,761 0 1,355,388 0
----------- ----------- ----------- -----------
Gain from futures trading 5,362,286 0 5,261,934 0
----------- ----------- ----------- -----------
Forward trading gains (losses)
Realized 73,029 0 1,498,150 0
Change in unrealized (697,758) 0 (910,713) 0
----------- ----------- ----------- -----------
Gain (loss) from forward trading (624,729) 0 587,437 0
----------- ----------- ----------- -----------
Interest income 116,579 0 279,199 0
----------- ----------- ----------- -----------
Total income 4,854,136 0 6,128,570 0
----------- ----------- ----------- -----------
EXPENSES
Brokerage fee 228,698 0 585,436 0
Performance fee 870,161 0 870,161 0
Operating expenses 14,141 0 42,233 0
----------- ----------- ----------- -----------
Total expenses 1,113,000 0 1,497,830 0
----------- ----------- ----------- -----------
NET INCOME $ 3,741,136 $ 0 $ 4,630,740 $ 0
=========== =========== =========== ===========
NET INCOME PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT
(based on weighted average number of
units outstanding during the period) $ 152.82 $ 0.00 $ 207.74 $ 0.00
=========== =========== =========== ===========
INCREASE IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDER UNIT $ 151.34 $ 0.00 $ 180.15 $ 0.00
=========== =========== =========== ===========
See accompanying notes.
-5-
CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2002 and 2001
(Unaudited)
2002 2001
------------ ------------
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
Net income $ 4,630,740 $ 0
Adjustments to reconcile net income to net cash
(for) operating activities
Net change in unrealized (444,675) 0
Increase in accounts payable and accrued expenses 910,119 0
Net (purchases) of investments in United States
government securities (6,488,913) 0
------------ ------------
Net cash (for) operating activities (1,392,729) 0
------------ ------------
CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
Addition of units 7,774,145 0
Decrease in subscriptions receivable 514,071 0
Increase in subscription deposits 29,631 8,486,394
Redemption of units (386,942) 0
Increase in redemptions payable 20,691 0
Offering costs charged (153,455) 0
Increase in offering costs payable 9,152 0
------------ ------------
Net cash from financing activities 7,807,293 8,486,394
------------ ------------
Net increase in cash 6,414,564 8,486,394
CASH
Beginning of period 8,789,120 2,000
------------ ------------
End of period $ 15,203,684 $ 8,488,394
============ ============
End of period cash consists of:
Cash in broker trading accounts $ 2,057,231 $ 0
Cash 13,146,453 8,488,394
------------ ------------
Total end of period cash $ 15,203,684 $ 8,488,394
============ ============
See accompanying notes.
-6-
CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2002 and 2001
(Unaudited)
Unitholders' Capital
------------------------------------------------------------------------------------------
Managing Owner Other Unitholders Total
-------------------------- --------------------------- ---------------------------
Units Amount Units Amount Units Amount
---------- ------------ ---------- ------------ ---------- ------------
NINE MONTHS ENDED SEPTEMBER 30, 2002
Balances at
December 31, 2001 6,000.000 $ 5,841,866 13,016.882 $ 12,673,815 19,016.882 $ 18,515,681
Net income for the nine months
ended September 30, 2002 1,121,900 3,508,840 4,630,740
Additions 0.000 0 7,693.304 7,774,145 7,693.304 7,774,145
Redemptions 0.000 0 (379.330) (386,942) (379.330) (386,942)
Offering costs (41,026) (112,429) (153,455)
---------- ------------ ---------- ------------ ---------- ------------
Balances at
September 30, 2002 6,000.000 $ 6,922,740 20,330.856 $ 23,457,429 26,330.856 $ 30,380,169
========== ============ ========== ============ ========== ============
NINE MONTHS ENDED SEPTEMBER 30, 2001
Balances at
December 31, 2000 2.000 $ 2,000 0.000 $ 0 2.000 $ 2,000
Net income for the nine months
ended September 30, 2001 0 0 0
Additions 0.000 0 0.000 0 0.000 0
Redemptions 0.000 0 0.000 0 0.000 0
---------- ------------ ---------- ------------ ---------- ------------
Balances at
September 30, 2001 2.000 $ 2,000 0.000 $ 0 2.000 $ 2,000
========== ============ ========== ============ ========== ============
Net Asset Value Per Managing Owner and Other Unitholder Unit
------------------------------------------------------------
September 30, December 31, September 30, December 31,
2002 2001 2001 2000
---- ---- ---- ----
$1,153.79 $973.64 $1,000.00 $1,000.00
========= ======= ========= =========
See accompanying notes.
-7-
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
business 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 contracts.
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 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." 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 included in "brokerage fee" and are charged to expense
when contracts are opened. United States government securities
are stated at cost plus accrued interest, which approximates
market value.
For purposes of both financial reporting and calculation of
redemption value, Net Asset Value per unit is calculated by
dividing Net Asset Value by the number of units outstanding.
D. Income 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.
-8-
CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
E. Offering Costs
Campbell & Company, Inc. (Campbell & Company) has incurred total
costs in connection with the initial and continuous offering of
units of the Trust (offering costs) of $1,278,240 through
September 30, 2002, $168,915 of which has already been reimbursed
to Campbell & Company by the Trust. At September 30, 2002, the
Trust reflects a liability in the statement of financial
condition for offering costs payable to Campbell & Company of
$22,569. 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. The Trust is only liable for payment of
offering costs on a monthly basis. 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.
The amount of monthly reimbursement due to Campbell & Company is
charged directly to unitholders' capital.
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 currently.
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.
-9-
CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 2. MANAGING OWNER AND COMMODITY TRADING ADVISOR (CONTINUED)
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 $10 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. During the three
months and nine months ended September 30, 2002, the amounts paid
directly to the broker and interbank market maker were $28,923 and
$99,497, respectively.
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.
Note 3. TRUSTEE
The trustee of the Trust is First Union 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 .40% per annum of
the average month-end Net Asset Value of the Trust. Actual operating
expenses were less than .40% (annualized) of average Net Asset Value
for the three months and nine months ended September 30, 2002.
Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Trust are made by subscription agreement, subject to
acceptance by Campbell & Company. The subscriptions receivable at
December 31, 2001 were received by the Trust on or before January 17,
2002.
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.
-10-
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 contracts (collectively, "derivatives").
The Trust is exposed to both market risk, the risk arising from changes
in the market value of the contracts, and credit risk, the risk of
failure by another party to perform according to the terms of a
contract.
Purchase and sale of futures contracts requires margin deposits with
the broker. Additional deposits may be necessary for any loss on
contract value. The Commodity Exchange Act requires a broker to
segregate all customer transactions and assets from such broker's
proprietary activities. A customer's cash and other property (for
example, U.S. Treasury bills) deposited with a broker are considered
commingled with all other customer funds subject to the broker's
segregation requirements. In the event of a broker's insolvency,
recovery may be limited to a pro rata share of segregated funds
available. It is possible that the recovered amount could be less than
total cash and other property deposited.
The amount of required margin and good faith deposits with the broker
and interbank market makers usually range from 10% to 30% of Net Asset
Value. The market value of securities held by the broker to satisfy
such requirements at September 30, 2002 and December 31, 2001 were
$14,973,625 and $8,484,712, respectively, which equals 49% and 46% of
Net Asset Value, respectively. The cash deposited with interbank market
makers to satisfy such requirements at September 30, 2002 and December
31, 2001 were $11,846,640 and $6,996,592, respectively, which equals
39% and 38% of Net Asset Value, respectively. These amounts are
included in cash and cash equivalents.
The Trust trades forward contracts in unregulated markets between
principals and assumes the risk of loss from counterparty
nonperformance. Accordingly, the risks associated with forward
contracts are generally greater than those associated with exchange
traded contracts because of the greater risk of counterparty default.
Additionally, the trading of forward 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 contracts
purchased and unlimited liability on such contracts sold short.
-11-
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 contracts is
comprised of the following:
Futures Contracts Forward Contracts
(exchange traded) (non-exchange traded)
September 30, December 31, September 30, December 31,
2002 2001 2002 2001
---- ---- ---- ----
Gross unrealized gains $ 1,418,405 $ 151,022 $ 1,018,077 $ 1,016,908
Gross unrealized losses (117,676) (205,681) (1,066,702) (154,820)
----------- ----------- ----------- -----------
Net unrealized gain (loss) $ 1,300,729 $ (54,659) $ (48,625) $ 862,088
=========== =========== =========== ===========
Open contracts generally mature within three months; as of September
30, 2002, the latest maturity date for open futures contracts is June
2003, and the latest maturity date for open forward contracts is
December 2002. 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. INTERIM FINANCIAL STATEMENTS
The statement of financial condition as of September 30, 2002,
including the September 30, 2002 condensed schedule of investments, the
statements of operations for the three months and nine months ended
September 30, 2002 and 2001, and the statements of cash flows and
changes in unitholders' capital (Net Asset Value) for the nine months
ended September 30, 2002 and 2001 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, 2002, the
results of operations for the three months and nine months ended
September 30, 2002 and 2001, and cash flows for the nine months ended
September 30, 2002 and 2001.
-12-
CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(Unaudited)
Note 9. FINANCIAL HIGHLIGHTS
The following information presents per unit operating performance data
and other supplemental financial data for the entire three months and
nine months ended September 30, 2002 and 2001. This information has
been derived from information presented in the financial statements.
Three months ended Nine months ended
September 30, September 30,
2002 2001 2002 2001
(Unaudited) (Unaudited) (Unaudited) (Unaudited)
----------- ----------- ----------- -----------
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)
-----------------------------------------------------
Net asset value per unit at beginning of period $1,002.45 $1,000.00 $ 973.64 $1,000.00
--------- --------- --------- ---------
Income (loss) from operations:
Net investment (loss) (1), (3) (39.52) 0.00 (50.20) 0.00
Net realized and change in unrealized gain
from trading (2), (3) 193.44 0.00 237.23 0.00
--------- --------- --------- ---------
Total income from operations 153.92 0.00 187.03 0.00
--------- --------- --------- ---------
Offering costs (3) (2.58) 0.00 (6.88) 0.00
--------- --------- --------- ---------
Net asset value per unit at end of period $1,153.79 $1,000.00 $1,153.79 $1,000.00
========= ========= ========= =========
TOTAL RETURN (4) 15.10 % 0.00% 18.50 % 0.00%
========= ========= ========= =========
SUPPLEMENTAL DATA
Ratios to average net asset value:
Expenses prior to performance fee(1), (5) 3.18 % 0.00% 3.11 % 0.00%
Performance fee (5) 12.96 % 0.00% 5.11 % 0.00%
--------- --------- --------- ---------
Total expense (1), (5) 16.14 % 0.00% 8.22 % 0.00%
========= ========= ========= =========
Net investment (loss) (1), (5), (6) (1.45)% 0.00% (1.46)% 0.00%
========= ========= ========= =========
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) Excludes brokerage commissions and other trading fees paid directly to
the broker.
(2) Includes brokerage commissions and other trading fees paid directly to
the broker.
(3) The net investment (loss) per unit and offering costs per unit are
calculated by dividing the net investment (loss) and offering costs by
the average number of units outstanding during the period. The net
realized and change in unrealized gain from trading is a balancing
amount necessary to reconcile the change in net asset value per unit
with the other per unit information.
(4) Not annualized
(5) Annualized
(6) Excludes performance fee
-13-
Item 2. Management's Discussion and Analysis of Financial
Condition and Results of Operations.
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 $10,948,890 have been
accepted during the continuing offering period as of September 30, 2002.
Redemptions over the same time period total $406,764. The Trust commenced
operations on October 1, 2001. The continuing offering period expired on
October 29, 2002. It is the Managing Owner's intent to reopen the continuing
offering period only for the investment by the Managing Owner's 401(k) plan.
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 to
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
commodity futures trading operations, the Trust's assets are expected to be
highly liquid.
RESULTS OF OPERATIONS
The return for the nine months ended September 30, 2002 was 18.50%. Of the
increase, approximately 24.55% was due to trading gains (before commissions) and
approximately 1.23% was due to interest income, offset by approximately 7.28%
due to brokerage fees, performance fees, and operating and offering costs borne
by the Trust. An analysis of the 24.55% trading gain by sector is as follows:
SECTOR % GAIN (LOSS)
- ------ -------------
Interest Rates 15.19%
Stock Indices 4.88
Currencies 3.19
Energy 1.96
-14-
Agricultural (.20)
Metals (.47)
-------
24.55%
=======
During January, the Enron and Global Crossing bankruptcies took a toll on the
U.S. equities markets that were already under pressure and resulted in a
stumbling start to the New Year, as layoffs, earnings restatements and revenue
declines continued to dominate the business news. Internationally, the Japanese
economy continued to deteriorate, while the full extent of any Argentinean
contagion is yet to be acknowledged in Brazil or other parts of South America.
On the positive side, U.S. consumer spending continued to be robust. The Trust
posted a small loss for January, largely as a result of volatility in the global
currency markets. Energy and short stock index positions contributed small
gains.
The high market volatility in January continued into February. Further Enron
revelations radiated concern about the accounting practices of other large
companies and caused the equity markets to decline early in the month. Sentiment
reversed abruptly on positive economic news on home sales, manufacturing and
consumer spending. The Trust's performance was negative in February with losses
in energy, stock indices and long-term interest rates partially offset by gains
in short-term interest rates.
March was a mixed month in which positive performance in the energy and interest
rate sectors were more than offset by losses in stock indices and currencies,
which make up a substantial part of the Trust's portfolio. The Japanese Yen
produced the largest loss when it rallied in reaction to Bank of Japan
intervention in preparation for their March 31st fiscal year-end as the Trust
was maintaining a short position. Energy was the strongest performing sector
profiting from long positions in crude oil and unleaded gas. The loss in the
stock indices sector came from short positions in the Nikkei and Hang Seng
indices as Asian equities rallied. The overall loss for the month occurred quite
independently of the equity and bond markets demonstrating the volatility
reducing effect of blending assets whose returns are largely uncorrelated.
April was one of the most difficult trading months since the Trust began
trading. The Trust ended the month down over 4%. The fixed income sector was
whip-lashed as hopes of imminent economic recovery sputtered causing the
majority of the trading losses for the month. Broad-based selling of the three
leading US equity indices put them at their lowest levels since October 2001 and
contributed to the Trust's losses for the month. The energy sector was battered
by reports of unfolding events in both Venezuela and the Middle East. Many areas
of concern remain including continued instability in the Middle East, weak
corporate earnings, continued revelations of corporate accounting issues, fear
of a collapse in the residential real estate market, high energy costs and a
growing federal budget deficit due to lower tax receipts.
The month of May finally provided some trending opportunities that the Trust was
able to profit from. The currencies and interest rates sectors provided the
gains for the month, but these were offset by losses in the energy and stock
indices sectors. While the equities markets remained nervous, many alternative
investment strategies, including managed futures, were able to provide positive
returns.
Strong performance in the month of June contributed to a positive second quarter
and more than made up for losses during the beginning of the year. All major US
equity indices made new cycle lows as domestic and international investor
confidence was battered by reports of scandalous
-15-
corporate leadership conduct. The long awaited US economic recovery looked
sluggish at best. In this troubled environment, the US dollar lost ground
against most major trading partners, while interest rate futures rose and stock
indices declined. These three sectors contributed significantly to the profits
in June, while small losses were recorded in the metals and energy sectors.
The Trust's positive performance continued in July posting similar numbers as
June. This was the third consecutive month of positive performance and was
mainly attributable to profits in short stock indices and long interest rate
positions. These gains were reduced by small negative performances in metals,
currencies and cross rates as the dollar strengthened against other major
currencies, again rising above parity with the Euro.
In August, the Trust recorded another month of positive performance with profits
in the interest rates, currencies, stock indices and energy sectors. Global
markets continued to respond to weak US economic data and concerns over
geopolitical developments. The much-anticipated US economic recovery continued
to be elusive, while economies in Europe and Japan appeared to be stagnant. The
quickening pace of US plans to invade Iraq had aroused much international
criticism and concern, which had impacted energy prices and investor confidence.
September was the fifth consecutive month of positive returns for the Trust as
traditional investment strategies continued to struggle. Profits were earned in
the stock indices, interest rates and energy sectors offset by losses in the
currencies sector. Further reports of corporate governance and accounting
failures, the possibility of an unpopular war in the Middle East, rising jobless
claims, disappointing earnings and a gloomy retail outlook were being compounded
by high energy prices and systemic instability in Japan and Brazil. In this time
of global economic weakness and uncertainty, the Trust's ability to trade both
the long and short side of a diverse portfolio of international markets was
proving to be a beneficial tool.
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
-16-
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 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.
-17-
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.
Value at Risk is a measure of the maximum amount which the Trust could
reasonably be expected to lose in a given market sector. However, the inherent
uncertainty of the Trust's speculative trading and the recurrence in the markets
traded by the Trust of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Trust's experience to date (i.e., "risk of ruin"). In light of the
foregoing as well as the risks and uncertainties intrinsic to all future
projections, the inclusion of the quantification included in this section should
not be considered to constitute any assurance or representation that the Trust's
losses in any market sector will be limited to Value at Risk or by the Trust's
attempts to manage its market risk.
Standard of Materiality
Materiality as used in this section, "Qualitative and Quantitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the
-18-
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 by
Campbell & Company is quantified below in terms of Value at Risk. Due to the
Trust's mark-to-market accounting, any loss in the fair value of the Trust's
open positions is directly reflected in the Trust's earnings (realized or
unrealized).
Exchange maintenance margin requirements have been used by the Trust as
the measure of its Value at Risk. Maintenance margin requirements are set by
exchanges to equal or exceed the maximum losses reasonably expected to be
incurred in the fair value of any given contract in 95%-99% of any one-day
intervals. The maintenance margin levels are established by dealers and
exchanges using historical price studies as well as an assessment of current
market volatility and economic fundamentals to provide a probabilistic estimate
of the maximum expected near-term one-day price fluctuation. Maintenance margin
has been used rather than the more generally available initial margin, because
initial margin includes a credit risk component, which is not relevant to Value
at Risk.
In the case of market sensitive instruments, which are not
exchange-traded (which includes currencies in the case of the Trust), the margin
requirements for the equivalent futures positions have been used as Value at
Risk. In those cases in which a futures-equivalent margin is not available,
dealers' margins have been used.
In the case of contracts denominated in foreign currencies, the Value at
Risk figures include foreign margin amounts converted into U.S. Dollars with an
incremental adjustment to reflect the exchange rate risk inherent to the
Dollar-based Trust in expressing Value at Risk in a functional currency other
than Dollars.
In quantifying the Trust's Value at Risk, 100% positive correlation in
the different positions held in each market risk category has been assumed.
Consequently, the margin requirements applicable to the open contracts have
simply been aggregated to determine each trading category's aggregate Value at
Risk. The diversification effects resulting from the fact that the Trust's
positions are rarely, if ever, 100% positively correlated have not been
reflected.
THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS
-19-
The following tables indicate the trading Value at Risk associated with
the Trust's open positions by market category as of September 30, 2002 and
December 31, 2001 and the trading gains/losses by market category for the nine
months ended September 30, 2002 and the period October 1, 2001 (inception of
trading) through December 31, 2001. All open position trading risk exposures of
the Trust have been included in calculating the figures set forth below. As of
September 30, 2002 and December 31, 2001, the Trust's total capitalization was
approximately $30.4 million and $18.5 million, respectively.
SEPTEMBER 30, 2002
------------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Currencies $1,450,000 4.77% 3.19%
Energy $ 613,000 2.02% 1.96%
Interest Rates $ 564,000 1.86% 15.19%
Stock Indices $ 397,000 1.31% 4.88%
Agricultural $ 56,000 .18% (.20)%
Metals $ 53,000 .17% (.47)%
---------- ------ -------
Total $3,133,000 10.31% 24.55%
========== ====== ======
* - Of the 18.50% return for the nine months ended September 30, 2002,
approximately 24.55% was due to trading gains (before commissions) and
approximately 1.23% was due to interest income, offset by approximately 7.28%
due to brokerage fees, performance fees and operating and offering costs borne
by the Trust.
DECEMBER 31, 2001
-----------------
% OF TOTAL TRADING
MARKET SECTOR VALUE AT RISK CAPITALIZATION GAIN/(LOSS)*
- ------------- ------------- -------------- ------------
Currencies $ 862,000 4.66% 4.04%
Stock Indices $ 266,000 1.44% (2.03%)
Interest Rates $ 246,000 1.33% (4.20%)
Energy $ 235,000 1.27% 1.02%
Agricultural $ 19,000 .10% (.22%)
Metals $ 13,000 .07% (.51%)
----------- ----- -------
Total $ 1,641,000 8.87% (1.90%)
=========== ===== =======
* - Of the (2.64%) return for the period October 1 (inception of trading)
through December 31, 2001, approximately (1.90%) was due to trading losses
(before commissions) and approximately .43% was due to interest income, offset
by approximately 1.17% due to brokerage fees, performance fees and operating and
offering costs borne by the Trust.
-20-
MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK
The face value of the market sector instruments held by the Trust is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Trust. The
magnitude of the Trust's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Trust to incur severe losses over a short period of
time. The foregoing Value at Risk tables -- as well as the past performance of
the Trust -- give no indication of this "risk of ruin."
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
September 30, 2002, 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
-21-
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. However, the
Trust also takes positions in the government debt of Switzerland. Campbell &
Company anticipates that G-7 interest rates will remain one of the primary
market exposures of the Trust for the foreseeable future.
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. As of September 30, 2002, the Trust's primary exposures were in the
Hang Seng (Hong Kong), IBEX (Spain), Nikkei (Japan), S&P 500 (USA) NASDAQ (USA)
and DAX (Germany) stock 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 in the Middle East. As of
September 30, 2002, crude oil, unleaded gas and heating oil are the dominant
energy market exposures of the Trust. 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
aluminum, copper, gold, nickel and zinc. The risk allocation to the metal sector
has not exceeded 4% of the Trust's portfolio during the nine months ended
September 30, 2002.
Agricultural
The Trust's agricultural exposure is to wheat, corn, coffee and cotton.
The risk allocation to the agricultural sector has been approximately 3% of the
Trust's portfolio during the nine months ended September 30, 2002.
QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE
The following were the only non-trading risk exposures of the Trust as
of September 30, 2002.
-22-
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 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 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 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.
-23-
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 with respect to the Trust within 90
days of the filing date of this quarterly report, and, based on their
evaluation, have concluded that these disclosure controls and procedures are
effective. There were no significant changes in the managing owner's internal
controls with respect to the Trust or in other factors applicable to the Trust
that could significantly affect these controls subsequent to the date of their
evaluation.
-24-
PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 2. Changes in Securities
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.
None
-25-
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, 2002 By: /s/Theresa D. Becks
---------------------
Theresa D. Becks
Chief Financial Officer/
Treasurer/Director
-26-
CERTIFICATION
I, Bruce L. Cleland, Chief Executive Officer of Campbell & Company, Inc., the
managing owner of Campbell Alternative Asset Trust (the "Trust"), do hereby
certify that:
1. I have reviewed this quarterly report on Form 10-Q of Campbell Alternative
Asset Trust;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and cash
flows of the Trust as of, and for, the periods presented in this quarterly
report;
4. The Trust's other certifying officer and I are responsible for establishing
and maintaining disclosure controls and procedures (as such term is defined
in paragraph (c) of Exchange Act Rule 15d-14) for the Trust and we have:
(i) designed such disclosure controls and procedures to ensure that
material information relating to the Trust, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;
(ii) evaluated the effectiveness of the Trust's disclosure controls and
procedures as of a date within 90 days prior to the filing date of
this quarterly report (the "Evaluation Date"); and
(iii) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The Trust's other certifying officer and I have disclosed, based on our
most recent evaluation, to the Trust's auditors and the audit committee of
the Trust's board of directors (or persons performing the equivalent
functions):
(i) all significant deficiencies in the design or operation of internal
controls which could adversely affect the Trust's ability to record,
process, summarize and report financial data and have identified for
the Trust's auditors any material weaknesses in internal controls; and
-27-
(ii) any fraud, whether or not material, that involves management or other
employees who have a significant role in the Trust's internal
controls; and
6. The Trust's other certifying officer and I have indicated in this quarterly
report whether or not there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
By: /s/ Bruce L. Cleland
--------------------------------
Bruce L. Cleland
Chief Executive Officer
November 14, 2002
-28-
CERTIFICATION
I, Theresa D. Becks, Chief Financial Officer of Campbell & Company, Inc., the
managing owner of Campbell Alternative Asset Trust (the "Trust"), do hereby
certify that:
1. I have reviewed this quarterly report on Form 10-Q of the Campbell
Alternative Asset Trust;
2. Based on my knowledge, this quarterly report does not contain any untrue
statement of a material fact or omit to state a material fact necessary to
make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by
this quarterly report;
3. Based on my knowledge, the financial statements, and other financial
information included in this quarterly report, fairly present in all
material respects the financial condition, results of operations and cash
flows of the Trust as of, and for, the periods presented in this quarterly
report;
4. The Trust's other certifying officer and I are responsible for establishing
and maintaining disclosure controls and procedures (as such term is defined
in paragraph (c) of Exchange Act Rule 15d-14) for the Trust and we have:
(i) designed such disclosure controls and procedures to ensure that
material information relating to the Trust, including its consolidated
subsidiaries, is made known to us by others within those entities,
particularly during the period in which this quarterly report is being
prepared;
(ii) evaluated the effectiveness of the Trust's disclosure controls and
procedures as of a date within 90 days prior to the filing date of
this quarterly report (the "Evaluation Date"); and
(iii) presented in this quarterly report our conclusions about the
effectiveness of the disclosure controls and procedures based on our
evaluation as of the Evaluation Date;
5. The Trust's other certifying officer and I have disclosed, based on our
most recent evaluation, to the Trust's auditors and the audit committee of
the Trust's board of directors (or persons performing the equivalent
functions):
(i) all significant deficiencies in the design or operation of internal
controls which could adversely affect the Trust's ability to record,
process, summarize and report financial data and have identified for
the Trust's auditors any material weaknesses in internal controls; and
(ii) any fraud, whether or not material, that involves management or other
employees who have a significant role in the Trust's internal
controls; and
-29-
6. The Trust's other certifying officer and I have indicated in this quarterly
report whether or not there were significant changes in internal controls
or in other factors that could significantly affect internal controls
subsequent to the date of our most recent evaluation, including any
corrective actions with regard to significant deficiencies and material
weaknesses.
By: /s/ Theresa D. Becks
----------------------------------
Theresa D. Becks
Chief Financial Officer
November 14, 2002
-30-
EXHIBIT INDEX
Exhibit Number Description of Document Page Number
- -------------- ----------------------- -----------
99.01 Certification by Chief Executive Officer E 2
99.02 Certification by Chief Financial Officer E 3
-E 1-