<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 June 30, 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: 28

<PAGE>

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

         Item 1. Financial Statements

                 Statements of Financial Condition as of June 30, 2004 (Unaudited)
                 and December 31, 2003 (Audited)                                                           3

                 Condensed Schedule of Investments as of June 30, 2004 (Unaudited)
                 and December 31, 2003 (Audited)                                                         4-5

                 Statements of Operations for the Three Months and Six Months Ended
                 June 30, 2004 and 2003 (Unaudited)                                                        6

                 Statements of Cash Flows for the Six Months Ended
                 June 30, 2004 and 2003 (Unaudited)                                                        7

                 Statements of Changes in Unitholders' Capital (Net Asset Value)
                 for the Six Months Ended June 30, 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                                                                 15-20

         Item 3. Quantitative and Qualitative Disclosure About Market Risk                             20-25

         Item 4. Controls and Procedures                                                                  26

PART II - OTHER INFORMATION                                                                               27

         Item 6. Exhibits and Reports on Form 8-K                                                         27

SIGNATURES

CERTIFICATIONS
</TABLE>

                                      -2-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        STATEMENTS OF FINANCIAL CONDITION
            June 30, 2004 (Unaudited) and December 31, 2003 (Audited)

<TABLE>
<CAPTION>
                                                                                  June 30,             December 31,
                                                                                    2004                   2003
                                                                                    ----                   ----
<S>                                                                            <C>                    <C>
ASSETS
    Equity in broker trading accounts
       Cash                                                                    $    1,179,127         $      968,325
       United States government securities                                         22,728,012             19,483,115
       Unrealized gain (loss) on open futures contracts                              (248,977)               583,469
                                                                               --------------         --------------
              Deposits with broker                                                 23,658,162             21,034,909

    Cash                                                                           11,415,702             11,024,981
    Unrealized gain (loss) on open forward contracts                                 (507,424)             1,105,648
                                                                               --------------         --------------
              Total assets                                                     $   34,566,440         $   33,165,538
                                                                               ==============         ==============
LIABILITIES
    Accounts payable                                                           $       17,966         $       23,676
    Brokerage fee                                                                      49,249                 50,393
    Commissions and other trading fees
       on open contracts                                                                6,797                  8,072
    Performance fee                                                                         0                246,065
    Offering costs payable                                                             15,552                 15,914
    Redemptions payable                                                               298,299                      0
                                                                               --------------         --------------
              Total liabilities                                                       387,863                344,120
                                                                               --------------         --------------
UNITHOLDERS' CAPITAL (NET ASSET VALUE)
    Managing Owner - 1,413.580 units
       outstanding at June 30, 2004 and
       December 31, 2003                                                            2,018,168              1,947,390
    Other Unitholders - 22,526.079 and 22,411.035
       units outstanding at June 30, 2004 and
       December 31, 2003                                                           32,160,409             30,874,028
                                                                               --------------         --------------
              Total unitholders' capital
                 (Net Asset Value)                                                 34,178,577             32,821,418
                                                                               --------------         --------------
                                                                               $   34,566,440         $   33,165,538
                                                                               ==============         ==============
</TABLE>

                             See accompanying notes.

                                      -3-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        CONDENSED SCHEDULE OF INVESTMENTS
                                  June 30, 2004
                                   (Unaudited)

UNITED STATES GOVERNMENT SECURITIES

<TABLE>
<CAPTION>
                                                                                                                 % OF NET
 FACE VALUE     MATURITY DATE         DESCRIPTION                                                VALUE          ASSET VALUE
 ----------     -------------         -----------                                                -----          -----------
<S>             <C>                   <C>                                                    <C>                <C>
$ 15,000,000      8/05/2004           U.S. Treasury Bill                                     $  14,986,000         43.85 %
$  4,000,000      7/08/2004           U.S. Treasury Bill                                         3,999,296         11.70 %
$  3,750,000      9/02/2004           U.S. Treasury Bill                                         3,742,716         10.95 %
                                                                                             -------------        ------
                                      TOTAL UNITED STATES GOVERNMENT SECURITIES
                                      (COST, INCLUDING ACCRUED INTEREST, - $22,728,012)      $  22,728,012         66.50 %
                                                                                             =============        ======
</TABLE>

LONG FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                 % OF NET
                                      DESCRIPTION                                                VALUE          ASSET VALUE
                                      -----------                                                -----          -----------
<S>                                                                                          <C>                <C>
                                      Energy                                                 $      (1,871)        (0.00)%
                                      Metals                                                        48,833          0.14 %
                                      Stock index                                                   20,103          0.06 %
                                                                                             -------------        ------
                                      TOTAL LONG FUTURES CONTRACTS                           $      67,065          0.20 %
                                                                                             -------------        ------
</TABLE>

SHORT FUTURES CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                 % OF NET
                                      DESCRIPTION                                                VALUE          ASSET VALUE
                                      -----------                                                -----          -----------
<S>                                                                                          <C>                <C>
                                      Metals                                                 $     (51,682)        (0.15)%
                                      Stock index                                                   (5,280)        (0.02)%
                                      Short-term interest rate                                    (108,106)        (0.32)%
                                      Long-term interest rate                                     (150,974)        (0.44)%
                                                                                             -------------        ------
                                      TOTAL SHORT FUTURES CONTRACTS                          $    (316,042)        (0.93)%
                                                                                             -------------        ------
                                      TOTAL FUTURES CONTRACTS                                $    (248,977)        (0.73)%
                                                                                             =============        ======
</TABLE>

FORWARD CURRENCY CONTRACTS

<TABLE>
<CAPTION>
                                                                                                                 % OF NET
                                      DESCRIPTION                                                VALUE          ASSET VALUE
                                      -----------                                                -----          -----------
<S>                                                                                          <C>                <C>
                                      Various long forward currency contracts                $      (5,019)        (0.01)%
                                      Various short forward currency contracts                    (502,405)        (1.47)%
                                                                                             -------------        ------
                                      TOTAL FORWARD CURRENCY CONTRACTS                       $    (507,424)        (1.48)%
                                                                                             =============        ======
</TABLE>

                             See accompanying notes.

                                      -4-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                  CONDENSED SCHEDULE OF INVESTMENTS (CONTINUED)
                                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 Bill                                     $  14,986,583         45.66 %
$  2,500,000       1/08/04            U.S. Treasury Bill                                         2,499,577          7.62 %
$  2,000,000       3/04/04            U.S. Treasury Bill                                         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 and Six Months Ended
                             June 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                            Three Months Ended                  Six Months Ended
                                                                 June 30,                            June 30,
                                                          2004              2003              2004              2003
                                                          ----              ----              ----              ----
<S>                                                   <C>               <C>               <C>               <C>
TRADING GAINS (LOSSES)
    Futures trading gains (losses)
       Realized                                       $   (984,871)     $    538,951      $ 3,115,221       $ 3,412,740
       Change in unrealized                             (1,158,444)         (527,992)        (832,446)         (873,482)
       Brokerage commissions                               (12,247)          (13,155)         (33,995)          (29,142)
                                                      ------------      ------------      -----------       -----------
              Gain (loss) from futures trading          (2,155,562)           (2,196)       2,248,780         2,510,116
                                                      ------------      ------------      -----------       -----------
    Forward trading gains (losses)
       Realized                                         (1,079,132)        1,350,399        2,351,903         4,205,499
       Change in unrealized                               (343,377)          499,756       (1,613,072)           36,944
       Brokerage commissions                                (1,770)           (5,070)          (4,153)           (9,111)
                                                      ------------      ------------      -----------       -----------
              Gain (loss) from forward trading          (1,424,279)        1,845,085          734,678         4,233,332
                                                      ------------      ------------      -----------       -----------
              Total trading gains (losses)              (3,579,841)        1,842,889        2,983,458         6,743,448
                                                      ------------      ------------      -----------       -----------
EXPENSES NET OF INTEREST INCOME
    Income
       Interest income                                      88,667            87,733          172,462           186,153
                                                      ------------      ------------      -----------       -----------
    Expenses
       Brokerage fee                                       251,598           226,606          519,653           478,740
       Performance fee                                           0           305,247        1,245,040           967,330
       Operating expenses                                   18,579            22,425           33,355            34,514
                                                      ------------      ------------      -----------       -----------
              Total expenses                               270,177           554,278        1,798,048         1,480,584
                                                      ------------      ------------      -----------       -----------
              Expenses net of interest income             (181,510)         (466,545)      (1,625,586)       (1,294,431)
                                                      ------------      ------------      -----------       -----------
              NET INCOME (LOSS)                       $ (3,761,351)     $  1,376,344      $ 1,357,872       $ 5,449,017
                                                      ============      ============      ===========       ===========
NET INCOME (LOSS) PER MANAGING
    OWNER AND OTHER UNITHOLDER
    UNIT (based on weighted average number
    of units outstanding during the period)           $    (156.04)     $      57.11      $     56.46       $    210.71
                                                      ============      ============      ===========       ===========
INCREASE (DECREASE) IN NET ASSET
    VALUE PER MANAGING OWNER
    AND OTHER UNITHOLDER UNIT                         $    (159.05)     $      53.66      $     50.07       $    182.24
                                                      ============      ============      ===========       ===========
</TABLE>

                             See accompanying notes.

                                      -6-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                            STATEMENTS OF CASH FLOWS
                 For the Six Months Ended June 30, 2004 and 2003
                                   (Unaudited)

<TABLE>
<CAPTION>
                                                                                    2004                   2003
                                                                                    ----                   ----
<S>                                                                            <C>                    <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
    Net income                                                                 $    1,357,872         $    5,449,017
       Adjustments to reconcile net income to net cash from
          (for) operating activities
              Net change in unrealized                                              2,445,518                836,538
              Increase (decrease) in accounts payable and
                 accrued expenses                                                    (254,194)               185,250
              Net (purchases) of investments in United States
                 government securities                                             (3,244,897)            (4,998,894)
                                                                               --------------         --------------
                    Net cash from operating activities                                304,299              1,471,911
                                                                               --------------         --------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
    Addition of units                                                               1,523,779              1,226,565
    Decrease in subscriptions receivable                                                    0              7,712,354
    Redemption of units                                                            (1,360,392)            (8,181,970)
    Increase (decrease) in redemptions payable                                        298,299             (1,409,092)
    Offering costs charged                                                           (164,100)              (151,181)
    Decrease in offering costs payable                                                   (362)                (3,549)
                                                                               --------------         --------------
                    Net cash from (for) financing activities                          297,224               (806,873)
                                                                               --------------         --------------

Net increase in cash                                                                  601,523                665,038

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

    End of period                                                              $   12,594,829         $   10,729,689
                                                                               ==============         ==============

End of period cash consists of:
    Cash in broker trading accounts                                            $    1,179,127         $    1,312,298
    Cash                                                                           11,415,702              9,417,391
                                                                               --------------         --------------

                    Total end of period cash                                   $   12,594,829         $   10,729,689
                                                                               ==============         ==============
</TABLE>

                             See accompanying notes.

                                      -7-

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
         STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
                 For the Six Months Ended June 30, 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>
SIX MONTHS ENDED JUNE 30, 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 six months
    ended June 30, 2004                               80,422                     1,277,450                      1,357,872
Additions                               0.000              0      1,012.026      1,523,779      1,012.026       1,523,779
Redemptions                            (0.000)            (0)      (896.982)    (1,360,392)      (896.982)     (1,360,392)
Offering costs                                        (9,644)                     (154,456)                      (164,100)
                                   ----------    -----------     ----------    -----------     ----------     -----------
Balances at
    June 30, 2004                   1,413.580    $ 2,018,168     22,526.079    $32,160,409     23,939.659     $34,178,577
                                   ==========    ===========     ==========    ===========     ==========     ===========

SIX MONTHS ENDED JUNE 30, 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 six months
    ended June 30, 2003                            1,116,946                     4,332,071                      5,449,017
Additions                               0.000              0        978.651      1,226,565        978.651       1,226,565
Redemptions                        (4,586.420)    (6,000,000)    (1,734.818)    (2,181,970)    (6,321.238)     (8,181,970)
Offering costs                                       (17,131)                     (134,050)                      (151,181)
                                   ----------    -----------     ----------    -----------     ----------     -----------
Balances at
    June 30, 2003                   1,413.580    $ 1,847,295     22,458.773    $29,349,614     23,872.353     $31,196,909
                                   ==========    ===========     ==========    ===========     ==========     ===========
</TABLE>

<TABLE>
<CAPTION>
                          Net Asset Value Per Managing Owner and Other Unitholder Unit
                        ----------------------------------------------------------------
                        June 30,         December 31,       June 30,        December 31,
                          2004              2003              2003             2002
                          ----              ----              ----             ----
                        <S>              <C>                <C>             <C>
                        $1,427.70         $1,377.63         $1,306.82        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). At June 30, 2004,
                  the 401(K) plan held approximately 40% of the Trust's
                  outstanding units.

            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 June 30, 2004, the Trust reflects a
                  liability in the statement of financial condition for offering
                  costs payable to Campbell & Company of $15,552.

                  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 June 30, 2004, the amount of unreimbursed offering
                  costs incurred by Campbell & Company is $871,055.

            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.

                                      -10-

<PAGE>

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

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.

            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.

                                      -11-

<PAGE>

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

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.

            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 June 30, 2004 and December 31, 2003 were $22,728,012 and
            $19,483,115, respectively, which equals 67% and 59% of Net Asset
            Value, respectively. The cash deposited with interbank market makers
            at June 30, 2004 and December 31, 2003 were $11,367,222 and
            $10,999,058, respectively, which equals 33% 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)
                               June 30,         December 31,         June 30,          December 31,
                                 2004               2003               2004                2003
                                 ----               ----               ----                ----
<S>                          <C>                <C>               <C>                  <C>
Gross unrealized gains       $      92,228      $    787,909      $      380,918       $  2,379,878
Gross unrealized losses           (341,205)         (204,440)           (888,342)        (1,274,230)
                             -------------      ------------      --------------       ------------
Net unrealized gain (loss)   $    (248,977)     $    583,469      $     (507,424)      $  1,105,648
                             =============      ============      ==============       ============
</TABLE>

                                      -12-

<PAGE>

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

Note 7.     TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

            Open contracts generally mature within three months; as of June 30,
            2004, the latest maturity date for open futures contracts is March
            2005, and the latest maturity date for open forward contracts is
            September 2004. However, the Trust intends to close all contracts
            prior to maturity.

            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 June 30, 2004, including
            the condensed schedule of investments, the statements of operations
            for the three months and six months ended June 30, 2004 and 2003,
            and the statements of cash flows and changes in unitholders' capital
            (Net Asset Value) for the six months ended June 30, 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 June 30, 2004, the results of operations for the
            three months and six months ended June 30, 2004 and 2003, and cash
            flows for the six months ended June 30, 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 and
            six months ended June 30, 2004 and 2003. This information has been
            derived from information presented in the financial statements.

<TABLE>
<CAPTION>
                                                            Three months ended            Six months ended
                                                                 June 30,                     June 30,
                                                            2004          2003           2004          2003
                                                         (Unaudited)   (Unaudited)    (Unaudited)   (Unaudited)
                                                         -----------   -----------    -----------   -----------
<S>                                                      <C>           <C>            <C>           <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period           $1,586.75     $1,253.16      $1,377.63     $1,124.58
                                                          ---------     ---------      ---------     ---------
Income (loss) from operations:
       Total trading gains (losses)(1)                      (148.22)        75.99         124.48        238.15
       Expenses net of interest income(1)                     (7.53)       (19.36)        (67.59)       (50.06)
                                                          ---------     ---------      ---------     ---------
              Total income (loss) from operations           (155.75)        56.63          56.89        188.09
                                                          ---------     ---------      ---------     ---------
Offering costs(1)                                             (3.30)        (2.97)         (6.82)        (5.85)
                                                          ---------     ---------      ---------     ---------
Net asset value per unit at end of period                 $1,427.70     $1,306.82      $1,427.70     $1,306.82
                                                          =========     =========      =========     =========
TOTAL RETURN(3)                                              (10.02)%        4.28 %         3.63 %       16.21 %
                                                          =========     =========      =========     =========
SUPPLEMENTAL DATA

Ratios to average net asset value:
       Expenses prior to performance fee(4)                   (3.01)%       (3.21)%        (3.11)%       (3.20)%
       Performance fee(3)                                      0.00 %       (0.98)%        (3.50)%       (3.02)%
                                                          ---------     ---------      ---------     ---------
              Total expenses                                  (3.01)%       (4.19)%        (6.61)%       (6.22)%
                                                          =========     =========      =========     =========
       Expenses net of interest income(2),(4)                 (2.02)%       (2.08)%        (2.14)%       (2.04)%
                                                          =========     =========      =========     =========
</TABLE>

Total returns are calculated based on the change in value of a unit during the
period. An individual unitholder's total returns and ratios may vary from the
above total returns and ratios based on the timing of additions and redemptions.

--------------------------

(1)   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. Total
      trading gains (losses) is a balancing amount necessary to reconcile the
      change in net asset value per unit with the other per unit information.

(2)   Excludes performance fee.

(3)   Not annualized.

(4)   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 $26,612,780 have been
accepted during the continuing offering period as of June 30, 2004. Redemptions
over the same time period total $19,504,419. 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 six months ending June 30, 2004 and 2003 were 3.63% and
16.21%, respectively.

2004

For the 2004 year-to-date increase of the 3.63%, approximately 8.66% was due to
trading gains (before commissions) and approximately 0.49% was due to interest
income, offset by approximately 5.52% due to brokerage fees, performance fees,
and operating cost and offering costs borne by the Trust. An analysis of the
8.66% trading gains by sector is as follows:

                                      -16-

<PAGE>

<TABLE>
<CAPTION>
   SECTOR                                              % GAIN (LOSS)
   ------                                              -------------
<S>                                                    <C>
Interest Rates                                              6.26%

Currencies                                                  2.38

Energy                                                      2.12

Metals                                                     (0.18)

Stock Indices                                              (1.92)
                                                           -----
                                                            8.66%
                                                           =====
</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.

In April, interest rates finally reversed course and started to head higher in
response to a perceived change in stance by the U.S. Federal Reserve. In the
days that followed, most major market trends also reversed. Fixed income
instruments sold off hard and the U.S. Dollar rallied, while precious and base
metals and many other physical commodities traded sharply lower. The equities
markets also fell. Only the continued rise in energy prices provided modest
gains for the Trust in April.

May was a difficult month for systematic trend following strategies and the
Trust finished the month with slightly negative performance. Crude oil set
record high prices during the month, which led to gains for the Trust in the
energy sector. Most fixed income and currency contracts experienced a classic
whipsaw. They began the month with the continuation of April's reversals, but
ended the month with a strong rally. Equity prices continued to weaken in the
face of higher energy prices and global political uncertainty, which led to
losses in the stock indices sector.

                                      -17-

<PAGE>

June was another month of choppy, range-bound trading, which resulted in
negative performance for the Trust in all sectors. The market impact of
unfolding events in Iraq had diminished greatly, and many traders were reluctant
to take positions ahead of the Fed's June 30 interest rates announcement. Absent
any other significant news, the markets remained trendless and did not provide
the opportunities needed to produce positive returns.

2003

The return for the six months ended June 30, 2003 was 16.21%. Of the 2003
increase, approximately 20.84% was due to trading gains (before commissions),
approximately 0.58% was due interest income offset by approximately 5.21% due to
brokerage fees, performance fees, and operating and offering costs borne by the
Trust. An analysis of the 20.84% trading loss by sector is as follows:

<TABLE>
<CAPTION>
   SECTOR                                              % GAIN (LOSS)
   ------                                              -------------
<S>                                                    <C>
Currencies                                                 13.79%

Energy                                                      4.20

Interest Rates                                              3.94

Agricultural                                                0.02

Metals                                                     (0.51)

Stock Indices                                              (0.60)
                                                           -----
                                                           20.84%
                                                           =====
</TABLE>

The long-term trends that created so much opportunity for the Trust in 2002
continued in January 2003. Profits were earned in every sector other than stock
indices. 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.

In April, the Trust's leverage was returned to a more normal level, but the
portfolio was not fully engaged in many markets due to the lack of strong
trends. Many markets had calmed significantly at this time, but uncertainty was
still prevalent in global markets due to the many unresolved geopolitical
issues. A strong performance in the currencies sector was partially offset by
negative performances in the metals and stock index sectors.

                                      -18-

<PAGE>

In May, the uncertainty that remained in April dominated the markets the Trust
trades and led to another positive month. While corporate earnings looked
stronger, unemployment, overcapacity and the ongoing threat of terrorism still
loomed large over the global financial markets. The US dollar weakened further
against the other major currencies despite the concern expressed by the United
States' trade partners over the impact this would have on global trade. Interest
rates were the best performing sector for the Trust particularly at the long end
of the yield curve, where higher prices reflected lower rates. Currency cross
rates were also positive, while losses in the energy, stock index and currency
sectors offset some of those gains.

With a small negative result for June, the Trust finished the first half of 2003
with a solid double-digit return. Profits for the month were earned in the
currency sector while long-term interest rates lost value as yield curves
steepened, particularly the Japanese government bond. Short-term interest rates
and stock index sectors contributed modest gains for the month, while the
energy, metals and currency cross-rates contributed small losses. While the
global economy was looking better than it had for several years, many
substantive uncertainties remained.

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 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.

                                      -19-

<PAGE>

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 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.

                                      -20-

<PAGE>

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 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.

                                      -21-

<PAGE>

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 June 30, 2004 and December
31, 2003 and the trading gains/losses by market category for the six months
ended June 30, 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 June 30, 2004 and December 31, 2003, the Trust's
total capitalization was approximately $34.2 million and $32.8 million,
respectively.

<TABLE>
<CAPTION>
                                     JUNE 30, 2004
                           ----------------------------------
                                                 % OF TOTAL       TRADING
MARKET SECTOR              VALUE AT RISK       CAPITALIZATION   GAIN/(LOSS)*
-------------              -------------       --------------   ------------
<S>                        <C>                 <C>              <C>
Currencies                   $1,091,000              3.19%           2.38 %
Stock Indices                $  459,000              1.34%          (1.92)%
Interest Rates               $  451,000              1.32%           6.26 %
Metals                       $   56,000              0.16%          (0.18)%
Energy                       $    9,000              0.03%           2.12 %
                             ----------          --------        --------

   Total                     $2,066,000              6.04%           8.66 %
                             ==========          ========        ========
</TABLE>

* - Of the 3.63% return for the six months ended June 30, 2004, approximately
8.66% was due to trading gains (before commissions), approximately 0.49% was due
interest income offset by approximately 5.52% 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 %
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.

                                      -22-

<PAGE>

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.

      The following were the primary trading risk exposures of the Trust as of
June 30, 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.

                                      -23-

<PAGE>

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 June 30, 2004, the Trust's primary exposures were in the Euro
STOXX 50, NASDAQ (USA), S&P 500 (USA) and DAX (Germany) 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 June 30, 2004, natural gas 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.

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 3% of the Trust's portfolio during the six months ended June
30, 2004.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

      The following were the only non-trading risk exposures of the Trust as of
June 30, 2004.

                                      -24-

<PAGE>

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.

                                      -25-
<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.

                                      -26-
<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

                    None.

                                      -27-
<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: August 13, 2004                            By:   /s/Theresa D. Becks
                                                     ---------------------
                                                      Theresa D. Becks
                                                      Chief Financial Officer
                                                      /Treasurer/Director

                                      -28-
<PAGE>

                                  EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number             Description of Document                              Page Number
--------------             -----------------------                              -----------
<S>                        <C>                                                  <C>
31.01                      Certification by Chief Executive Officer               E2 - E3
31.02                      Certification by Chief Financial Officer               E4 - E5
32.01                      Certification by Chief Executive Officer                 E 6
32.02                      Certification by Chief Financial Officer                 E 7
</TABLE>

                                       E1