CAMPBELL ALTERNATIVE ASSET TRUST
MONTHLY REPORT - August 2007
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STATEMENT OF CHANGES IN NET ASSET VALUE
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Net Asset Value(23,127.355 units) at July 31, 2007 $ 39,833,971
Additions of 74.957 units on August 31, 2007 121,068
Redemptions of (12.799) units on August 31, 2007 (20,673)
Offering Costs (28,104)
Net Income - August 2007 (2,451,172)
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Net Asset Value (23,189.513 units) at August 31, 2007 $ 37,455,090
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Net Asset Value per Unit at August 31, 2007 $ 1,615.17
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STATEMENT OF INCOME (LOSS)
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Income:
Gains (losses) on futures contracts:
Realized $ (1,916,518)
Change in unrealized 1,220,743
Gains (losses) on forward and options on forward contracts:
Realized (27,091)
Change in unrealized (1,780,665)
Interest income 156,750
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(2,346,781)
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Expenses:
Brokerage fee 94,520
Performance fee 0
Operating expenses 9,871
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104,391
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Net Income (Loss) - August 2007 $ (2,451,172)
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FUND STATISTICS
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Net Asset Value per Unit on August 31, 2007 $ 1,615.17
Net Asset Value per Unit on July 31, 2007 $ 1,722.37
Unit Value Monthly Gain (Loss) % (6.22) %
Fund 2007 calendar YTD Gain (Loss) % (11.04) %
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 Executive Officer
Campbell & Company, Inc.
Managing Owner
Campbell Alternative Asset Trust
Prepared without audit
Dear Investor,
The highly unusual market conditions of late July continued almost unabated for
the first half of August. The contagion effect throughout the financial system
created a confidence and liquidity crisis that also affected Campbell's
portfolios across the board.
Major stock, bond and currency markets globally experienced double digit losses
from mid-July to mid-August. For Campbell, while broad exposures to general
market risk factors were independently within normal ranges, the unique
combination of relatively low market dispersion and low model diversity created
inopportune conditions for Campbell's risk/return profile.
Foreign Exchange trading proved very difficult in August as our technical and
macro models were both exposed to high yielding currencies that suffered market
value declines of historical proportions in mid-August. Trading in Equity
Indices was also difficult as volatility dominated global stock markets, with
the S&P dropping over 8% from its intra-month high only to bounce off of its
lows once the Fund's exposure was reduced. The more balanced Fixed Income
exposure generated flat results with long- and short-end exposure netting.
Campbell's response to these well-documented and unprecedented market moves was
to cut risk in two increments at the end of July as indicated in last month's
report, and by a third increment in mid-August. We have already begun to slowly
re-engage some of the final incremental reductions. In the short-term, further
risk re-engagement will be dependent on overall market stabilization, in
addition to model indicators reflecting positive expected return and
contribution to our internal diversification index. In the medium-term,
Campbell's research will focus on sensitizing individual models to conditions
identified as adverse to the portfolio at large, which includes the development
of risk indicators designed to measure factor risks and their correlations to
one another - such as flight-to-quality and momentum. In addition, tolerance
levels are being tested and new portfolio guidelines are being adopted. The
lower risk posture may be maintained for the near term until market and model
conditions warrant re-engagement to full leverage. Over the long-term, we will
endeavor to expand model diversification by instrument, trading style and
investment horizon as part of our ongoing research efforts.
Over 36 years of experience evidences Campbell's ability to evolve with changing
market conditions. Our expectation is to emerge from this recent performance
difficulty more robust in our process and discipline than ever before. We intend
to gain substantial insight from this experience and are well positioned to find
opportunity and profit from this environment.
Campbell invests along side of you in our sponsored funds, so we share your
disappointment and pain in light of the Fund's recent performance. We look
forward to the opportunities the markets are presenting, and hope the lessons
learned from this experience will more than compensate for the pain you have
endured. As always, please do not hesitate to contact me with any questions or
concerns.
Sincerely,
Terri Becks
President & CEO