<PAGE>

                                  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 March 31, 2004

                                       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:  0-33311

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        --------------------------------
               (Exact name of registrant as specified in charter)

       Delaware                                           52-1823554
----------------------                       ----------------------------------
(State of Organization)                     (IRS Employer Identification Number)

                              Court Towers Building
                          210 West Pennsylvania Avenue,
                            Baltimore, Maryland 21204
           ----------------------------------------------------------
          (Address of principal executive offices, including 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 [ ]

Indicate by check mark whether the registrant is an accelerated filer (as
defined in Exchange Act Rule 12b-2)

Yes [ ]      No [X]

                            Total number of Pages: 27
<PAGE>

<TABLE>
<CAPTION>
                                                                                                                   PAGE
                                                                                                                   ----
<S>                                                                                                               <C>
PART I - FINANCIAL INFORMATION

         Item 1. Financial Statements

                 Statements of Financial Condition as of March 31, 2004 (Unaudited)
                 and December 31, 2003 (Audited)                                                                      3

                 Condensed Schedule of Investments as of March 31, 2004 (Unaudited)
                 and December 31, 2003 (Audited)                                                                    4-5

                 Statements of Operations for the Three Months Ended March 31, 2004 and 2003 (Unaudited)              6

                 Statements of Cash Flows for the Three Months Ended March 31, 2004 and 2003 (Unaudited)              7

                 Statements of Changes in Partners' Capital (Net Asset Value)
                 for the Three Months Ended March 31, 2004 and 2003 (Unaudited)                                       8

                 Notes to Financial Statements (Unaudited)                                                         9-14

         Item 2. Management's Discussion and Analysis of Financial Condition and
                 Results of Operations                                                                            15-19

         Item 3. Quantitative and Qualitative Disclosure About Market Risk                                        19-24

         Item 4. Controls and Procedures                                                                             25

PART II - OTHER INFORMATION                                                                                          26

         Item 6. Exhibits and Reports on Form 8-K                                                                    26

SIGNATURES

CERTIFICATIONS
</TABLE>

                                      -2-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        STATEMENTS OF FINANCIAL CONDITION
           March 31, 2004 (Unaudited) and December 31, 2003 (Audited)

<TABLE>
<CAPTION>
                                                                                       March 31,           December 31,
                                                                                         2004                  2003
                                                                                     ------------          ------------
<S>                                                                                  <C>                   <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                                          $  3,463,034          $    968,325
       United States government securities                                             21,230,509            19,483,115
       Unrealized gain on open futures contracts                                          909,467               583,469
                                                                                     ------------          ------------
              Deposits with broker                                                     25,603,010            21,034,909
    Cash                                                                               14,193,029            11,024,981
    Unrealized gain (loss) on open forward contracts                                     (164,047)            1,105,648
                                                                                     ------------          ------------
              Total assets                                                           $ 39,631,992          $ 33,165,538
                                                                                     ============          ============
LIABILITIES
    Accounts payable                                                                 $     19,270          $     23,676
    Brokerage fee                                                                          58,340                50,393
    Commissions and other trading fees
       on open contracts                                                                    9,434                 8,072
    Performance fee                                                                       765,148               246,065
    Offering costs payable                                                                 18,423                15,914
    Redemptions payable                                                                   391,946                     0
                                                                                     ------------          ------------
              Total liabilities                                                         1,262,561               344,120
                                                                                     ------------          ------------
UNITHOLDERS' CAPITAL (NET ASSET VALUE)
    Managing Owner - 1,413.580 units
       outstanding at March 31, 2004 and
       December 31, 2003                                                                2,242,998             1,947,390
    Other Unitholders - 22,767.592 and 22,411.035
       units outstanding at March 31, 2004 and
       December 31, 2003                                                               36,126,433            30,874,028
                                                                                     ------------          ------------
              Total unitholders' capital
                 (Net Asset Value)                                                     38,369,431            32,821,418
                                                                                     ------------          ------------
                                                                                     $ 39,631,992          $ 33,165,538
                                                                                     ============          ============
</TABLE>

                             See accompanying notes.

                                       -3-


<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        CONDENSED SCHEDULE OF INVESTMENTS
                                 March 31, 2004
                                   (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                   MATURITY                                                                                          % OF NET
 FACE VALUE          DATE            DESCRIPTION                                                      VALUE         ASSET VALUE
 ----------          ----            -----------                                                      -----         -----------
<S>               <C>                <C>                                                           <C>              <C>
$ 15,000,000      05/06/2004         U.S. Treasury Bill                                            $14,987,021         39.06 %
$  3,750,000      06/03/2004         U.S. Treasury Bill                                              3,743,897          9.76 %
$  2,500,000      04/08/2004         U.S. Treasury Bill                                              2,499,591          6.51 %
                                                                                                   -----------         -----
                                  TOTAL UNITED STATES GOVERNMENT SECURITIES
                                   (COST, INCLUDING ACCRUED INTEREST, - $21,230,509)               $21,230,509         55.33 %
                                                                                                   ===========         =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                      % OF NET
                                     DESCRIPTION                                                      VALUE         ASSET VALUE
                                     -----------                                                      -----         -----------
                                     <S>                                                           <C>               <C>
                                     Energy                                                        $      (317)         0.00 %
                                     Stock index                                                        54,007          0.14 %
                                     Short-term interest rate                                          170,741          0.44 %
                                     Long-term interest rate                                           715,788          1.87 %
                                                                                                   -----------          ----
                                     TOTAL LONG FUTURES CONTRACTS                                  $   940,219          2.45 %
                                                                                                   -----------          ----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                     DESCRIPTION                                                      VALUE         ASSET VALUE
                                     -----------                                                      -----         -----------
                                     <S>                                                           <C>              <C>
                                     Stock index                                                   $   (33,034)        (0.09)%
                                     Short-term interest rate                                            2,282          0.01 %
                                                                                                   -----------         -----
                                     TOTAL SHORT FUTURES CONTRACTS                                 $   (30,752)        (0.08)%
                                                                                                   -----------         -----
                                     TOTAL FUTURES CONTRACTS                                       $   909,467          2.37 %
                                                                                                   ===========         =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                     % OF NET
                                     DESCRIPTION                                                      VALUE         ASSET VALUE
                                     -----------                                                      -----         -----------
                                     <S>                                                           <C>              <C>
                                     Various long forward currency contracts                       $   665,590          1.73 %
                                     Various short forward currency contracts                         (829,637)        (2.16)%
                                                                                                   -----------         -----
                                     TOTAL FORWARD CURRENCY CONTRACTS                              $  (164,047)        (0.43)%
                                                                                                   ===========         =====
</TABLE>

                             See accompanying notes.

                                      -4-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        CONDENSED SCHEDULE OF INVESTMENTS
                                December 31, 2003
                                    (Audited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                            % OF NET
  FACE VALUE      MATURITY DATE        DESCRIPTION                                       VALUE             ASSET VALUE
  ----------      -------------        -----------                                       -----             -----------
<S>               <C>                  <C>                                           <C>                   <C>
$    15,000,000      2/05/04           U.S. Treasury Bills                           $  14,986,583           45.66 %
$     2,500,000      1/08/04           U.S. Treasury Bills                               2,499,577            7.62 %
$     2,000,000      3/04/04           U.S. Treasury Bills                               1,996,955            6.08 %
                                                                                     -------------           -----
                 TOTAL UNITED STATES GOVERNMENT SECURITIES
                    (COST, INCLUDING ACCRUED INTEREST, - $19,483,115)                $  19,483,115           59.36 %
                                                                                     =============           =====
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                            % OF NET
                                       DESCRIPTION                                       VALUE             ASSET VALUE
                                       -----------                                       -----             -----------
                                       <S>                                           <C>                   <C>
                                       Energy                                        $     143,959            0.44 %
                                       Metals                                               65,100            0.20 %
                                       Stock index                                         470,707            1.43 %
                                       Short-term interest rates                            63,901            0.19 %
                                       Long-term interest rates                            (89,188)          (0.27)%
                                                                                     -------------           -----
                                       TOTAL LONG FUTURES CONTRACTS                  $     654,479            1.99 %
                                                                                     -------------           -----
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                            % OF NET
                                       DESCRIPTION                                       VALUE             ASSET VALUE
                                       -----------                                       -----             -----------
                                       <S>                                           <C>                   <C>
                                       Metals                                        $     (32,212)          (0.10)%
                                       Short-term interest rates                             2,277            0.01 %
                                       Long-term interest rates                            (41,075)          (0.12)%
                                                                                     -------------           -----
                                       TOTAL SHORT FUTURES CONTRACTS                 $     (71,010)          (0.21)%
                                                                                     -------------           -----
                                       TOTAL FUTURES CONTRACTS                       $     583,469            1.78 %
                                                                                     =============           =====
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                            % OF NET
                                       DESCRIPTION                                       VALUE             ASSET VALUE
                                       -----------                                       -----             -----------
                                       <S>                                           <C>                   <C>
                                       Various long forward currency contracts       $   2,217,724            6.76 %
                                       Various short forward currency contracts         (1,112,076)          (3.39)%
                                                                                     -------------           -----
                                       TOTAL FORWARD CURRENCY CONTRACTS              $   1,105,648            3.37 %
                                                                                     =============           =====
</TABLE>

                             See accompanying notes.

                                      -5-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                            STATEMENTS OF OPERATIONS
               For the Three Months Ended March 31, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                                         2004                   2003
                                                                                     ------------            ----------
<S>                                                                                  <C>                     <C>
TRADING GAINS
    Futures trading gains (losses)
       Realized                                                                      $  4,100,092            $2,873,789
       Change in unrealized                                                               325,998              (345,490)
       Brokerage commissions                                                              (21,748)              (15,987)
                                                                                     ------------            ----------
              Gain from futures trading                                                 4,404,342             2,512,312
                                                                                     ------------            ----------
    Forward trading gains (losses)
       Realized                                                                         3,431,035             2,855,100
       Change in unrealized                                                            (1,269,695)             (462,812)
       Brokerage commissions                                                               (2,383)               (4,041)
                                                                                     ------------            ----------
              Gain from forward trading                                                 2,158,957             2,388,247
                                                                                     ------------            ----------
              Total trading gains                                                       6,563,299             4,900,559
                                                                                     ------------            ----------
EXPENSES NET OF INTEREST INCOME
    Income
       Interest income                                                                     83,795                98,420
                                                                                     ------------            ----------
    Expenses
       Brokerage fee                                                                      268,055               252,134
       Performance fee                                                                  1,245,040               662,083
       Operating expenses                                                                  14,776                12,089
                                                                                     ------------            ----------
              Total expenses                                                            1,527,871               926,306
                                                                                     ------------            ----------
              Expenses net of interest income                                          (1,444,076)             (827,886)
                                                                                     ------------            ----------
              NET INCOME                                                             $  5,119,223            $4,072,673
                                                                                     ============            ==========
NET INCOME PER MANAGING OWNER AND
    OTHER UNITHOLDER UNIT
    (based on weighted average number of
    units outstanding during the period)                                             $     213.31            $   147.44
                                                                                     ============            ==========
INCREASE IN NET ASSET VALUE PER
    MANAGING OWNER AND OTHER UNITHOLDER UNIT                                         $     209.12            $   128.58
                                                                                     ============            ==========
</TABLE>

                             See accompanying notes.

                                      -6-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                            STATEMENTS OF CASH FLOWS
               For the Three Months Ended March 31, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                                         2004                   2003
                                                                                     ------------           -----------
<S>                                                                                  <C>                    <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income                                                                       $  5,119,223           $ 4,072,673
    Adjustments to reconcile net income to net cash
       from (for) operating activities
          Net change in unrealized                                                        943,697               808,302
          Increase in accounts payable and accrued expenses                               523,986               313,146
          Net (purchases) of investments in United States
              government securities                                                    (1,747,394)           (1,498,790)
                                                                                     ------------           -----------

                 Net cash from operating activities                                     4,839,512             3,695,331
                                                                                     ------------           -----------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                                                   1,247,987               961,800
    Decrease in subscriptions receivable                                                        0             7,712,354
    Redemption of units                                                                  (734,548)           (7,046,615)
    Increase (decrease) in redemptions payable                                            391,946            (1,525,712)
    Offering costs charged                                                                (84,649)              (79,622)
    Increase (decrease) in offering costs payable                                           2,509                (3,472)
                                                                                     ------------           -----------

                 Net cash from financing activities                                       823,245                18,733
                                                                                     ------------           -----------

Net increase in cash                                                                    5,662,757             3,714,064

CASH
    Beginning of period                                                                11,993,306            10,064,651
                                                                                     ------------           -----------

    End of period                                                                    $ 17,656,063           $13,778,715
                                                                                     ============           ===========
End of period cash consists of:
    Cash in broker trading accounts                                                  $  3,463,034           $ 4,128,055
    Cash                                                                               14,193,029             9,650,660
                                                                                     ------------           -----------

                 Total end of period cash                                            $ 17,656,063           $13,778,715
                                                                                     ============           ===========
</TABLE>

                             See accompanying notes.

                                      -7-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
         STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
               For the Three Months Ended March 31, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                    Unitholders' Capital
                                    -----------------------------------------------------------------------------------
                                          Managing Owner             Other Unitholders                  Total
                                    ------------------------     -------------------------     ------------------------
                                      Units         Amount         Units          Amount          Units       Amount
                                    ----------   -----------     ----------    -----------     ----------   -----------
<S>                                 <C>          <C>             <C>           <C>             <C>          <C>
THREE MONTHS ENDED MARCH 31, 2004

Balances at
    December 31, 2003                1,413.580   $ 1,947,390     22,411.035    $30,874,028     23,824.615   $32,821,418

Net income for the three months
    ended March 31, 2004                             300,592                     4,818,631                    5,119,223

Additions                                0.000             0        823.394      1,247,987        823.394     1,247,987

Redemptions                              0.000             0       (466.837)      (734,548)      (466.837)     (734,548)

Offering costs                                        (4,984)                      (79,665)                     (84,649)
                                    ----------   -----------     ----------    -----------     ----------   -----------
Balances at
    March 31, 2004                   1,413.580   $ 2,242,998     22,767.592    $36,126,433     24,181.172   $38,369,431
                                    ==========   ===========     ==========    ===========     ==========   ===========

THREE MONTHS ENDED MARCH 31, 2003

Balances at
    December 31, 2002                6,000.000   $ 6,747,480     23,214.940    $26,106,998     29,214.940   $32,854,478

Net income for the three months
    ended March 31, 2003                           1,036,894                     3,035,779                    4,072,673

Additions                                0.000             0        775.265        961,800        775.265       961,800

Redemptions                         (4,586.420)   (6,000,000)      (855.669)    (1,046,615)    (5,442.089)   (7,046,615)

Offering costs                                       (12,932)                      (66,690)                     (79,622)
                                    ----------   -----------     ----------    -----------     ----------   -----------
Balances at
    March 31, 2003                   1,413.580   $ 1,771,442     23,134.536    $28,991,272     24,548.116   $30,762,714
                                    ==========   ===========     ==========    ===========     ==========   ===========
</TABLE>

<TABLE>
<CAPTION>
                                      Net Asset Value Per Managing Owner and Other Unitholder Unit
                                     ---------------------------------------------------------------
                                     March 31,       December 31,        March 31,      December 31,
                                       2004              2003              2003             2002
                                     ---------       ------------        ---------      ------------
                                     <S>             <C>                 <C>            <C>
                                     $1,586.75       $   1,377.63        $1,253.16      $   1,124.58
                                     =========       ============        =========      ============
</TABLE>

                             See accompanying notes.

                                      -8-

<PAGE>

                        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 statutory
            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.

            As of December 31, 2002, units are no longer offered to the public,
            but are offered exclusively for sale to the Campbell & Company, Inc.
            401(K) Plan (the 401(K) Plan).

      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." The market
            value of futures (exchange-traded) contracts is determined by the
            various futures exchanges, and reflects the settlement price for
            each contract as of the close of the last business day of the
            reporting period. The market value of forward (non-exchange traded)
            contracts is extrapolated on a forward basis from the spot prices
            quoted as of 5:00 P.M. (E.T.) of the last business day of the
            reporting period. 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.

                                      -9-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
        (CONTINUED)

      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.

      E.    Offering Costs

            Campbell & Company, Inc. (Campbell & Company) has incurred all costs
            in connection with the initial and continuous offering of units of
            the Trust (offering costs). 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. Such amounts are charged directly to unitholders'
            capital. The Trust is only liable for payment of offering costs on a
            monthly basis. At March 31, 2004, the Trust reflects a liability in
            the statement of financial condition for offering costs payable to
            Campbell & Company of $18,423.

            The offering costs for which Campbell & Company are being reimbursed
            relate to the offering of units of the Trust to all unitholders
            except the 401(K) Plan. Therefore, Campbell & Company rebates to the
            401(K) Plan the offering costs charged to the 401(K) Plan. All such
            rebates are made by issuing additional units to the 401(K) Plan.

            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. At March 31, 2004, the amount of
            unreimbursed offering costs incurred by Campbell & Company is
            $921,945.

      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.

      G.    Reclassification

            Certain amounts in the 2003 financial statements were reclassified
            to conform with the 2004 presentation.


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.

                                      -10-

<PAGE>

                        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
            approximately $6 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.

            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.

            Effective January 1, 2003, Campbell & Company rebates to the 401(K)
            Plan the brokerage fee and the performance fee applicable to the
            401(K) Plan. All such rebates are made by issuing additional units
            to the 401(K) Plan.

Note 3. TRUSTEE

            The trustee of the Trust is Wachovia 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 0.40% per annum
            of the average month-end Net Asset Value of the Trust.

Note 6. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

            Investments in the Trust are made by subscription agreement, subject
            to acceptance by Campbell & Company.

            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.

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.

                                      -11-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

Note 7. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

            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
            at March 31, 2004 and December 31, 2003 were $21,230,509 and
            $19,483,115, respectively, which equals 55% and 59% of Net Asset
            Value, respectively. The cash deposited with interbank market makers
            at March 31, 2004 and December 31, 2003 were $14,073,107 and
            $10,999,058, respectively, which equals 37% and 34% of Net Asset
            Value, respectively.

            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.

            The unrealized gain (loss) on open futures and forward contracts is
            comprised of the following:

<TABLE>
<CAPTION>
                                     Futures Contracts                    Forward Contracts
                                     (exchange traded)                  (non-exchange traded)
                                 March 31,       December 31,        March 31,        December 31,
                                   2004             2003               2004               2003
                                   ----             ----               ----               ----
<S>                             <C>             <C>                <C>                <C>
Gross unrealized gains          $1,007,009      $     787,909      $    922,366       $  2,379,878
Gross unrealized losses            (97,542)          (204,440)       (1,086,413)        (1,274,230)
                                ----------      -------------      ------------       ------------
Net unrealized gain (loss)      $  909,467      $     583,469      $   (164,047)      $  1,105,648
                                ==========      =============      ============       ============
</TABLE>

            Open contracts generally mature within three months; as of March 31,
            2004, the latest maturity date for open futures contracts is
            December 2004, and the latest maturity date for open forward
            contracts is June 2004. However, the Trust intends to close all
            contracts prior to maturity.

                                      -12-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)
                                   (Unaudited)

Note 7. TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

            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 March 31, 2004, including
            the condensed schedule of investments, and the statements of
            operations, cash flows and changes in unitholders' capital (Net
            Asset Value) for the three months ended March 31, 2004 and 2003 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 March 31, 2004, and the results of operations and cash flows for
            the three months ended March 31, 2004 and 2003.

                                      -13-

<PAGE>

                        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 three months
            ended March 31, 2004 and 2003. This information has been derived
            from information presented in the financial statements.

<TABLE>
<CAPTION>
                                                                                 Three months ended
                                                                                      March 31,
PER UNIT PERFORMANCE                                                         2004                  2003
(for a unit outstanding throughout the entire period)                     (Unaudited)           (Unaudited)
-----------------------------------------------------                     -----------           -----------
<S>                                                                       <C>                   <C>
Net asset value per unit at beginning of period                           $  1,377.63           $  1,124.58
                                                                          -----------           -----------
Income (loss) from operations:
     Total trading gains (2), (3)                                              272.82                161.43
     Expenses net of interest income (1), (3)                                  (60.17)               (29.97)
                                                                          -----------           -----------
           Total income (loss) from operations                                 212.65                131.46
                                                                          -----------           -----------
Offering costs (3)                                                              (3.53)                (2.88)
                                                                          -----------           -----------
Net asset value per unit at end of period                                 $  1,586.75           $  1,253.16
                                                                          ===========           ===========
TOTAL RETURN (4)                                                                15.18 %               11.43 %
                                                                          ===========           ===========
SUPPLEMENTAL DATA

Ratios to average net asset value:
     Expenses prior to performance fee (1), (5)                                 (3.17)%               (3.22)%
     Performance fee (4)                                                        (3.48)%               (2.02)%
                                                                          -----------           -----------
           Total expenses                                                       (6.65)%               (5.24)%
                                                                          ===========           ===========
     Expenses, prior to performance fee, net of interest income (1), (5)        (2.23)%               (2.02)%
                                                                          ===========           ===========
</TABLE>

            Total returns are calculated based on the change in value of a unit
            during the period. An individual partner'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)   Expenses net of interest income per unit and offering costs per unit are
      calculated by dividing the expenses net of interest income and offering
      costs by the average number of units outstanding during the period. The
      net realized and change in unrealized gain (loss) 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

                                      -14-

<PAGE>

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND 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 $26,336,988 have been
accepted during the continuing offering period as of March 31, 2004. Redemptions
over the same time period total $18,878,575. The Trust commenced operations on
October 1, 2001.

As of December 31, 2002, units are no longer offered to the public, but are
offered exclusively for sale to the Campbell & Company, Inc. 401(K) Plan.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent assets and liabilities at the date of the financial
statements and the reported amounts of income and expense during the reporting
period. Management believes that the estimates utilized in preparing the
financial statements are reasonable and prudent; however, actual results could
differ from those estimates. The Trust's significant accounting policies are
described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements,
with changes in fair value reported as a component of realized and change in
unrealized trading gain (loss) in the Statements of Operations. Generally, fair
values are based on market prices; however, in certain circumstances, estimates
are involved in determining fair value in the absence of an active market
closing price (e.g. forward contracts which are traded in the inter-bank
market).

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 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.

                                      -15-

<PAGE>

Other than these limitations on liquidity, which are inherent in the Trust's
futures trading operations, the Trust's assets are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the
Trust's bank and brokerage accounts to engage in trading activities and as
reserves for that trading. The Trust meets its margin requirements by depositing
U.S. government securities with the futures broker and the over-the-counter
counterparties. In this way, substantially all (i.e., 95% or more) of the
Trust's assets, whether used as margin for trading purposes or as reserves for
such trading, can be invested in U.S. government securities and time deposits
with U.S. banks. Investors should note that maintenance of the Trust's assets in
U.S. government securities and banks does not reduce the risk of loss from
trading futures and forward contracts. The Trust receives all interest earned on
its assets. No other person shall receive any interest or other economic
benefits from the deposit of Trust assets.

Approximately 10% to 30% of the Trust's assets normally are committed as
required margin for futures contracts and held by the futures broker, although
the amount committed may vary significantly. Such assets are maintained in the
form of cash or U.S. Treasury bills in segregated accounts with the futures
broker pursuant to the Commodity Exchange Act and regulations thereunder.
Approximately 10% to 30% of the Trust's assets are deposited with
over-the-counter counterparties in order to initiate and maintain forward
contracts. Such assets are not held in segregation or otherwise regulated under
the Commodity Exchange Act, unless such over-the-counter counterparty is
registered as a futures commission merchant. These assets are held either in
U.S. government securities or short-term time deposits with U.S.-regulated bank
affiliates of the over-the-counter counterparties. The remaining 40% to 80% of
the Trust's assets will normally be invested in cash equivalents, such as U.S.
Treasury bills, and held by the futures broker or the over-the-counter
counterparties.

The Trust's assets are not and will not be, directly or indirectly, commingled
with the property of any other person in violation of law or invested with or
loaned to Campbell & Company or any affiliated entities.

RESULTS OF OPERATIONS

The returns for the three months ending March 31, 2004 and 2003 were 15.18% and
11.43%, respectively.

2004

For the 2004 year-to-date increase of the 15.18%, approximately 19.52% was due
to trading gains (before commissions) and approximately 0.23% was due to
interest income, offset by approximately 4.57% due to brokerage fees,
performance fees, and operating cost and offering costs borne by the Trust. An
analysis of the 19.52% trading gains by sector is as follows:

                                      -16-

<PAGE>

<TABLE>
<CAPTION>
    SECTOR                                            % GAIN (LOSS)
    ------                                            -------------
<S>                                                   <C>
Interest Rates                                             11.50%

Currencies                                                  6.56

Energy                                                      1.62

Metals                                                     (0.12)

Stock Indices                                              (0.04)
                                                           -----

                                                           19.52 %
                                                           =====
</TABLE>

The year began with the Trust posting a positive return in January despite
significant volatility throughout the month. The weak U.S. Dollar continued to
drive most global markets, including many that had no apparent or direct
connection to the Dollar, and in circumstances such as this, subtle shifts in
perception can have a disproportionate impact on prices. The Dollar traded lower
throughout the month, which was profitable for the Trust's currency positions.
Much of the gain reversed late in the month when markets reacted violently when
the Federal Open Market Committee (FOMC) slightly restated its short-term
interest rate bias. The interest rate sector was slightly positive despite also
having suffered a reversal of earlier gains following the FOMC announcement. The
stock index and metals sectors had small losses for the month.

The Trust had a strong positive return in February as the trends that were in
place at the end of January persisted. The continued concern over the record
U.S. budget deficit and current account imbalance kept downward pressure on the
U.S. Dollar and resulted in strong gains in the currency sector. The weak Dollar
in return reinforced several related trends, including the continued rise in
energy prices, resulting in positive returns in the energy sector. The interest
rates sector was also profitable for the month as European interest rate
instruments traded higher on diminished rate-cut expectations.

All of the gain for the month of March came from the interest rate sector as
U.S. Treasuries continued to trade higher, while a weakening U.S. Dollar also
contributed solid returns. The energy sector was moderately positive, while the
equity index sector was moderately negative.

2003

The return for the three months ended March 31, 2003 was 11.43%. Of the
increase, approximately 14.26% was due to trading gains (before commissions),
approximately 0.30% was due interest income offset by approximately 3.13% due to
brokerage fees, performance fees, and operating and offering costs borne by the
Trust. An analysis of the 14.26% trading loss by sector is as follows:

                                      -17-

<PAGE>

<TABLE>
<CAPTION>
   SECTOR                                               % GAIN (LOSS)
   ------                                               -------------
<S>                                                     <C>
Currencies                                                   7.24%

Energy                                                       4.88

Interest Rates                                               1.87

Stock Indices                                                0.25

Agricultural                                                 0.02

Metals                                                       0.00
                                                            -----

                                                            14.26%
                                                            =====
</TABLE>

The long-term trends that created opportunity for the Trust in 2002 continued in
January 2003, in which profits were earned in every sector. However, the
environment was one where a single event, the prospect of war with Iraq, was
driving the Trust's whole portfolio. While the Trust's systematic and
disciplined trading strategies continued to keep it engaged, leverage was
subsequently decreased to protect against significant losses which could result
from potential sharp and extended reversals in core positions.

The Trust was positive again in February with metals being the only negative
sector. Strong momentum in energy, fixed income, currencies and stock indices
continued, largely as a result of the troubled global geopolitical outlook. In
order to mitigate the risk of potential sharp reversals in trends, the Trust
maintained a lower-than-normal level of leverage during the month.

The long awaited market reversal occurred in March. Initially, energy, precious
metals and fixed income markets all sold off sharply, while equities and the
U.S. Dollar rallied. Several days into this correction, these markets all sold
off suddenly, as hopes of a quick victory in Iraq subsided. With significantly
reduced leverage, the losses the Trust sustained were relatively modest, giving
the Trust a positive first quarter.

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

                                      -18-

<PAGE>

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 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.

DISCLOSURES ABOUT CERTAIN TRADING ACTIVITIES THAT INCLUDE NON-EXCHANGE TRADED
CONTRACTS ACCOUNTED FOR AT FAIR VALUE

The Trust invests in futures and forward currency contracts. The market value of
futures (exchange-traded) contracts is determined by the various futures
exchanges, and reflects the settlement price for each contract as of the close
of the last business day of the reporting period. The market value of forward
(non-exchange traded) contracts is extrapolated on a forward basis from the spot
prices quoted as of 5:00 P.M. (E.T.) of the last business day of the reporting
period.

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

                                      -19-

<PAGE>

indicated Value at Risk or the Trust's experience to date (i.e., "risk of
ruin"). Risk of ruin is defined to be no more than a 5% chance of losing 20% or
more on a monthly basis. 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, "Quantitative and Qualitative
Disclosures About Market Risk," is based on an assessment of reasonably possible
market movements and the 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

                                      -20-

<PAGE>

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.

      Value at Risk as calculated herein may not be comparable to similarly
titled measures used by others.


THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS

      The following tables indicate the trading Value at Risk associated with
the Trust's open positions by market category as of March 31, 2004 and December
31, 2003 and the trading gains/losses by market category for the three months
ended March 31, 2004 and the year ended December 31, 2003. All open position
trading risk exposures of the Trust have been included in calculating the
figures set forth below. As of March 31, 2004 and December 31, 2003, the Trust's
total capitalization was approximately $38.4 million and $32.8 million,
respectively.

<TABLE>
<CAPTION>
                               MARCH 31, 2004
                -----------------------------------------------
                                   % OF TOTAL        TRADING
MARKET SECTOR   VALUE AT RISK    CAPITALIZATION    GAIN/(LOSS)*
--------------  -------------    --------------    ------------
<S>             <C>              <C>               <C>
Currencies      $   1,164,000         3.04%           6.56 %
Interest Rates  $   1,140,000         2.97%          11.50 %
Stock Indices   $     361,000         0.94%          (0.04)%
Energy          $     250,000         0.65%           1.62 %
Metals          $           0         0.00%          (0.12)%
                -------------         ----           -----

   Total        $   2,915,000         7.60%          19.52 %
                =============         ====           =====
</TABLE>

* - Of the 15.18% return for the three months ended March 31, 2004,
approximately 19.52% was due to trading gains (before commissions),
approximately 0.23% was due interest income offset by approximately 4.57% due to
brokerage fees, performance fees, and operating and offering costs borne by the
Trust.

<TABLE>
<CAPTION>
                               DECEMBER 31, 2003
                -----------------------------------------------
                                   % OF TOTAL        TRADING
MARKET SECTOR   VALUE AT RISK    CAPITALIZATION    GAIN/(LOSS)*
--------------  -------------    --------------    ------------
<S>             <C>              <C>               <C>
Currencies      $   1,464,000          4.46%         26.99 %
Interest Rates      1,343,000          4.09%         (2.47)%
Stock Indices       1,282,000          3.91%          5.76 %
</TABLE>

                                      -21-

<PAGE>

<TABLE>
<S>             <C>                   <C>            <C>
Energy                324,000          0.99%          0.06 %
Metals                  7,000          0.02%         (0.33)%
Agricultural                0          0.00%          0.02 %
                -------------         -----          -----

   Total        $   4,420,000         13.47%         30.03 %
                =============         =====          =====
</TABLE>

* - Of the 22.50% return for the year ended December 31, 2003, approximately
30.03% was due to trading gains (before commissions) and approximately 1.04% was
due to interest income, offset by approximately 8.57% due to brokerage fees,
performance fees and operating and offering costs borne by the Trust.

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.

                                      -22-

<PAGE>

      The following were the primary trading risk exposures of the Trust as of
March 31, 2004, 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 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. Additionally, the Trust takes
positions in the government debt of Switzerland. Campbell & Company anticipates
that G-7 interest rates will remain the primary market exposure of the Trust for
the foreseeable future. The changes in interest rates which have the most effect
on the Trust are changes in long-term, as opposed to short-term rates. Most of
the speculative positions held by the Trust are in medium- to long-term
instruments. Consequently, even a material change in short-term rates would have
little effect on the Trust were the medium- to long-term rates to remain steady.

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 March 31, 2004, the Trust's primary exposures were in the DAX
(Germany), Nikkei (Japan), Euro STOXX 50 and S&P 500 (USA) 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 and ongoing conflicts in
the Middle East. As of March 31, 2004, crude oil 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.

                                      -23-

<PAGE>

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 1% of the Trust's portfolio during the three months ended March
31, 2004.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

      The following were the only non-trading risk exposures of the Trust as of
March 31, 2004.

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 Campbell & Company attempts 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.

                                      -24-

<PAGE>

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 (as defined in the Securities Exchange
Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the
end of the period covered by this quarterly report. Based on their evaluation,
the chief executive officer and chief financial officer have concluded that
these disclosure controls and procedures are effective. There were no changes in
the managing owner's internal control over financial reporting applicable to the
Trust identified in connection with the evaluation required by paragraph (d) of
Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter
that have materially affected, or is reasonably likely to materially affect,
internal control over financial reporting applicable to the Trust.

                                      -25-

<PAGE>

                            PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

      None

Item 2. Changes in Securities and Use of Proceeds

      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.

      (a)   Exhibits

      Exhibit
      Number                       Description of Document
      ------                       -----------------------

      31.01     Certification of Bruce L. Cleland, Chief Executive Officer,
                pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange
                Act of 1934.

      31.02     Certification of Theresa D. Becks, Chief Financial Officer,
                pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange
                Act of 1934.

      32.01     Certification of Bruce L. Cleland, Chief Executive Officer,
                pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of
                The Sarbanes-Oxley Act of 2002.

      32.02     Certification of Theresa D. Becks, Chief Financial Officer,
                pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of
                The Sarbanes-Oxley Act of 2002.

      (b)   Reports of Form 8-K

            Campbell & Company, Inc., the managing owner of the Trust, filed a
            Current Report on Form 8-K on March 2, 2004 under Item 5 announcing
            that it had sent a letter to investors in the Trust describing the
            challenges relating to investment capacity presently faced by the
            Trust due to the growth in assets under management of its commodity
            trading advisor, Campbell & Company, Inc.

                                      -26-

<PAGE>

                                   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: May 14, 2004                    By:    /s/Theresa D. Becks
                                           ---------------------
                                            Theresa D. Becks
                                            Chief Financial Officer/Treasurer
                                            /Director

                                      -27-

<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number                      Description of Document                     Page Number
--------------                      -----------------------                     -----------
<S>                        <C>                                                  <C>
31.01                      Certification by Chief Executive Officer               E 2- E3
31.02                      Certification by Chief Financial Officer               E 4 -E5
32.01                      Certification by Chief Executive Officer                 E 6
32.02                      Certification by Chief Financial Officer                 E 7
</TABLE>

                                       E 1