CAMPBELL ALTERNATIVE ASSET TRUST
MONTHLY REPORT - August 2006
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STATEMENT OF CHANGES IN NET ASSET VALUE
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Net Asset Value (24,227.235 units) at July 31, 2006 $ 40,702,002
Additions of 67.654 units on August 31, 2006 113,435
Redemptions of (113.536) units on August 31, 2006 (190,365)
Offering Costs (30,562)
Net Income - August 2006 (49,924)
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Net Asset Value (24,181.353 units) at August 31, 2006 $ 40,544,586
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Net Asset Value per Unit at August 31, 2006 $ 1,676.69
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STATEMENT OF INCOME (LOSS)
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Income:
Gains (losses) on futures contracts:
Realized $ (441,462)
Change in unrealized 73,350
Gains (losses) on forward and options on forward contracts:
Realized (4,684)
Change in unrealized 263,066
Interest income 172,350
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62,620
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Expenses:
Brokerage fee 104,338
Performance fee 0
Operating expenses 8,206
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112,544
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Net Income (Loss) - August 2006 $ (49,924)
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FUND STATISTICS
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Net Asset Value per Unit on August 31, 2006 $ 1,676.69
Net Asset Value per Unit on July 31, 2006 $ 1,680.01
Unit Value Monthly Gain (Loss) % (0.20)%
Fund 2006 calendar YTD Gain (Loss) % (0.90)%
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,
Energy losses overshadow gains from nascent trends ...
Markets with light volume and little momentum resulted in small negative returns
for Campbell & Company's portfolios in August. With many traders on vacation,
the summer doldrums reflected the state of many of the sectors we trade, and
even the notoriously fickle but volatile Energy markets were mostly range-bound.
The Energy sector was dominated by perceptions of an easing in global
geopolitical tensions, a mild hurricane season (so far!), and steadily rising
inventories. These factors led to a sharp sell-off in Natural Gas (down by 30%)
and Crude Oil (fell below $70 per barrel). Also negative for our portfolios (but
welcome news at the pump!), Unleaded Gasoline traded down more than 40 cents in
August alone.
Trading in non-dollar currency positions was profitable, but outright US Dollar
positions resulted in losses. Positive returns were also earned in long-dated
Interest Rate instruments and Stock Indices, with both rallying sharply from
mid-summer lows.
The recent market environment has not been conducive to our style of trading,
and for this reason commitment levels are lower than they have been in a very
long time. However, market trends often strengthen as we head towards the end of
the year, and we remain confident that over the intermediate to long-term our
strategies will continue to add value to our clients' portfolios.
In the meantime, if you have any questions, please do not hesitate to contact
me.
Sincerely,
Bruce Cleland
President & CEO
Campbell & Company Inc.
Managing Owner