CAMPBELL ALTERNATIVE ASSET TRUST
MONTHLY REPORT - September 2006
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STATEMENT OF CHANGES IN NET ASSET VALUE
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Net Asset Value (24,181.353 units) at August 31, 2006 $ 40,544,586
Additions of 44.086 units on September 30, 2006 71,963
Redemptions of (4.485) units on September 30, 2006 (7,321)
Offering Costs (29,697)
Net Income - September 2006 (1,042,762)
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Net Asset Value (24,220.954 units) at September 30, 2006 $ 39,536,769
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Net Asset Value per Unit at September 30, 2006 $ 1,632.34
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STATEMENT OF INCOME (LOSS)
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Income:
Gains (losses) on futures contracts:
Realized $ (638,480)
Change in unrealized (516,440)
Gains (losses) on forward and options on forward contracts:
Realized 164,804
Change in unrealized (105,551)
Interest income 161,014
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(934,653)
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Expenses:
Brokerage fee 101,733
Performance fee 0
Operating expenses 6,376
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108,109
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Net Income (Loss) - September 2006 $ (1,042,762)
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FUND STATISTICS
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Net Asset Value per Unit on September 30, 2006 $ 1,632.34
Net Asset Value per Unit on August 31, 2006 $ 1,676.69
Unit Value Monthly Gain (Loss) % (2.65)%
Fund 2006 calendar YTD Gain (Loss) % (3.52)%
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 Equity gains...
The biggest losses occurred in the energy complex where crude prices fell over
11% and heating oil and unleaded gasoline both fell around 14%. The drop in
prices was driven by the lack of hurricane activity, a further easing of
geopolitical tensions, and adequate physical supplies amid the
warmer-than-normal autumn season.
Trading in equity indices was positive as economic data (with the exception of
housing-related figures) continued to show moderate growth with restrained
inflation.
Gains were also recorded in currency markets, where losses on our cross rates
exposures were more than offset by gains on our outright positions, despite the
historically low volatilities in many of these markets. Small losses were
recorded in Fixed Income as the market continued to believe that the US Fed will
not raise rates again in the foreseeable future.
On a personal note, you will notice over the next couple of months that these
comments will be authored by one of my colleagues. I will be away from the
office for periods of time receiving treatment for an oral cancer with which I
was recently diagnosed. I look forward to authoring these comments again as soon
as my treatment is concluded.
Sincerely,
Bruce Cleland
President & CEO
Campbell & Company Inc.
Managing Owner