CAMPBELL ALTERNATIVE ASSET TRUST
MONTHLY REPORT - March 2006
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STATEMENT OF CHANGES IN NET ASSET VALUE
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Net Asset Value (23,947.810 units) at February 28, 2006 $ 40,860,500
Additions of 184.648 units on March 31, 2006 327,190
Redemptions of (0.000) units on March 31, 2006 0
Offering Costs (32,204)
Net Income (Loss) - March 2006 1,606,416
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Net Asset Value (24,132.458 units) at March 31, 2006 $ 42,761,902
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Net Asset Value per Unit at March 31, 2006 $ 1,771.97
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STATEMENT OF INCOME (LOSS)
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Income:
Gains (losses) on futures contracts:
Realized $ 887,748
Change in unrealized 544,264
Gains (losses) on forward contracts:
Realized (1,359,650)
Change in unrealized 1,854,170
Interest income 156,586
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2,083,118
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Expenses:
Brokerage fee 112,519
Performance fee 354,428
Operating expenses 9,755
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476,702
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Net Income (Loss) - March 2006 $ 1,606,416
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FUND STATISTICS
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Net Asset Value per Unit on March 31, 2006 $ 1,771.97
Net Asset Value per Unit on February 28, 2006 $ 1,706.23
Unit Value Monthly Gain (Loss) % 3.85%
Fund 2006 calendar YTD Gain (Loss) % 4.73%
To the best of my knowledge and belief, the information contained herein is
accurate and complete.
/s/ Theresa D. Becks
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Theresa D. Becks, Chief Financial Officer
Campbell & Company, Inc.
Managing Owner
Campbell Alternative Asset Trust
Prepared without audit
Dear Investor,
Strong March and a Solid Q1
Strong performance from several sectors contributed to a strong March and a
solid finish to Q1. We are also pleased to note that most portfolios and funds
that we manage are now at new all-time highs.
The biggest gains in March were in FX, as the US Dollar rallied in response to
expectations of further interest rate hikes. Correspondingly, US and Euro
fixed income instruments had their worst quarter in several years, which
benefited our short positions. Energy prices rebounded profitably from
February's sell-off on renewed production and supply concerns, but this was
not enough to restrain equity prices, and the Equity Indices sector also
finished higher. Many of the Base and Precious metals again made new highs,
and contributed positively to our returns.
Please contact me at any time if I can be of assistance.
Sincerely,
Bruce Cleland
President & CEO