##### 



UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 þ
    
    Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
 For
the quarterly period ended June 30, 2005
 or
 o
    
    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
  Delaware
    
    52-1823554(State of Organization)
    
    (IRS Employer Identification Number)
 Baltimore, Maryland 21204
 (410) 296-3301
  þ o
  o þ
 28




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##### 



PagePART I  FINANCIAL INFORMATIONItem 1.
    
    Financial StatementsStatements of Financial Condition as of June 30, 2005 (Unaudited) and December 31, 2004 (Audited)
    
    
    3Condensed Schedules of Investments as of June 30, 2005 (Unaudited) and December 31, 2004 (Audited)
    
    
    4-5Statements of Operations for the Three Months and Six Months Ended June 30, 2005 and 2004 (Unaudited)
    
    
    6Statements of Cash Flows for the Six Months Ended June 30, 2005 and 2004 (Unaudited)
    
    
    7Statements of Changes in Partners' Capital (Net Asset Value) for the Six Months Ended June 30, 2005 and 2004 (Unaudited)
    
    
    8Notes to Financial Statements (Unaudited)
    
    
    9-14Item 2.
    
    Management's Discussion and Analysis of Financial Condition and Results of Operations
    
    
    15-20Item 3.
    
    Quantitative and Qualitative Disclosure About Market Risk
    
    
    20-25Item 4.
    
    Controls and Procedures
    
    
    26PART II  OTHER INFORMATION
    
    
    27Item 6.
    
    Exhibits and Reports on Form 8-K
    
    
    27SIGNATURESCERTIFICATIONS
 -2-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 STATEMENTS OF FINANCIAL CONDITION
 June 30,
    
    December 31,2005
    
    2004ASSETSEquity in broker trading accountsCash
    
    $
    3,517,422
    
    
    $
    1,737,399United States government securities
    
    
    23,782,666
    
    
    
    23,205,469Unrealized gain on open futures contracts
    
    
    1,159,744
    
    
    
    515,410Deposits with broker
    
    
    28,459,832
    
    
    
    25,458,278Cash
    
    
    3,261,587
    
    
    
    10,308,861United States government securities
    
    
    5,987,456
    
    
    
    0Unrealized gain (loss) on open forward currency contracts
    
    
    1,289,081
    
    
    
    (541,572
    )Total assets
    
    $
    38,997,956
    
    
    $
    35,225,567LIABILITIESAccounts payable
    
    $
    19,218
    
    
    $
    27,679Brokerage fee
    
    
    51,874
    
    
    
    49,029Performance fee
    
    
    72,533
    
    
    
    0Commissions and other trading fees
on open contracts
    
    
    14,692
    
    
    
    18,513Offering costs payable
    
    
    16,382
    
    
    
    15,483Redemptions payable
    
    
    238,130
    
    
    
    159,478Total liabilities
    
    
    412,829
    
    
    
    270,182UNITHOLDERS CAPITAL (Net Asset Value)Managing
Owner  1,413.580 units outstanding at
June 30, 2005 and December 31, 2004
    
    
    2,321,749
    
    
    
    2,122,335Other
Unitholders  22,078.644 and 21,868.461 units
outstanding at June 30, 2005 and December 31, 2004
    
    
    36,263,378
    
    
    
    32,833,050Total unitholders capital
(Net Asset Value)
    
    
    38,585,127
    
    
    
    34,955,385$
    38,997,956
    
    
    $
    35,225,567
  -3-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES
 Maturity
    
    
    
    
    
    
    
    % of NetFace Value
    
    Date
    
    Description
    
    Value
    
    Asset Value$13,500,000
    
    08/04/2005
    
    U.S. Treasury Bills
    
    $
    13,464,683
    
    
    
    34.89
    %$  6,000,000
    
    07/28/2005
    
    U.S. Treasury Bills
    
    
    5,987,456
    
    
    
    15.52
    %$  6,000,000
    
    09/01/2005
    
    U.S. Treasury Bills
    
    
    5,969,930
    
    
    
    15.47
    %$  4,350,000
    
    07/07/2005
    
    U.S. Treasury Bills
    
    
    4,348,053
    
    
    
    11.27
    %Total United States government securities
(cost, including accrued interest,  $29,770,122)
    
    $
    29,770,122
    
    
    
    77.15
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    99,838
    
    
    
    0.26
    %Metals
    
    
    18,425
    
    
    
    0.05
    %Stock index
    
    
    (18,794
    )
    
    
    (0.04
    )%Short-term interest rates
    
    
    437,709
    
    
    
    1.13
    %Long-term interest rates
    
    
    618,667
    
    
    
    1.60
    %Total long futures contracts
    
    $
    1,155,845
    
    
    
    3.00
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    2,880
    
    
    
    0.01
    %Metals
    
    
    1,019
    
    
    
    0.00
    %Total short futures contracts
    
    $
    3,899
    
    
    
    0.01
    %Total futures contracts
    
    $
    1,159,744
    
    
    
    3.01
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueVarious long forward currency contracts
    
    $
    (95,785
    )
    
    
    (0.25
    )%Various short forward currency contracts
    
    
    1,384,866
    
    
    
    3.59
    %Total forward currency contracts
    
    $
    1,289,081
    
    
    
    3.34
    %
  -4-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 CONDENSED SCHEDULE OF INVESTMENTS
 UNITED STATES GOVERNMENT SECURITIES
 % of NetFace Value
    
    Maturity Date
    
    Description
    
    Value
    
    Asset Value$14,500,000
    
    02/03/2005
    
    U.S. Treasury Bills
    
    $
    14,474,546
    
    
    
    41.41
    %$  5,000,000
    
    03/03/2005
    
    U.S. Treasury Bills
    
    
    4,981,785
    
    
    
    14.25
    %$  3,750,000
    
    01/06/2005
    
    U.S. Treasury Bills
    
    
    3,749,138
    
    
    
    10.73
    %Total United States government securities
(cost, including accrued interest,  $23,205,469)
    
    $
    23,205,469
    
    
    
    66.39
    %
 LONG FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueEnergy
    
    $
    (67,171
    )
    
    
    (0.19
    )%Metals
    
    
    22,747
    
    
    
    0.06
    %Stock index
    
    
    284,504
    
    
    
    0.81
    %Short-term interest rates
    
    
    (26,703
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    271,151
    
    
    
    0.78
    %Total long futures contracts
    
    $
    484,528
    
    
    
    1.38
    %
 SHORT FUTURES CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueMetals
    
    $
    (29,095
    )
    
    
    (0.08
    )%Short-term interest rates
    
    
    60,064
    
    
    
    0.17
    %Long-term interest rates
    
    
    (87
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    30,882
    
    
    
    0.09
    %Total futures contracts
    
    $
    515,410
    
    
    
    1.47
    %
 FORWARD CURRENCY CONTRACTS
 % of NetDescription
    
    Value
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,054,128
    
    
    
    3.02
    %Various short forward currency contracts
    
    
    (1,595,700
    )
    
    
    (4.57
    )%Total forward currency contracts
    
    $
    (541,572
    )
    
    
    (1.55
    )%
  -5-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 STATEMENTS OF OPERATIONS
 Three Months Ended
    
    Six Months EndedJune 30,
    
    June 30,2005
    
    2004
    
    2005
    
    2004TRADING GAINS (LOSSES)Futures trading gains (losses)Realized
    
    $
    1,322,231
    
    
    $
    (984,871
    )
    
    $
    1,757,950
    
    
    $
    3,115,221Change in unrealized
    
    
    536,772
    
    
    
    (1,158,444
    )
    
    
    644,334
    
    
    
    (832,446
    )Brokerage commissions
    
    
    (28,166
    )
    
    
    (12,247
    )
    
    
    (48,555
    )
    
    
    (33,995
    )Gain (loss) from futures trading
    
    
    1,830,837
    
    
    
    (2,155,562
    )
    
    
    2,353,729
    
    
    
    2,248,780Forward trading gains (losses)Realized
    
    
    1,108,263
    
    
    
    (1,079,132
    )
    
    
    (470,855
    )
    
    
    2,351,903Change in unrealized
    
    
    1,661,535
    
    
    
    (343,377
    )
    
    
    1,830,653
    
    
    
    (1,613,072
    )Brokerage commissions
    
    
    (2,109
    )
    
    
    (1,770
    )
    
    
    (5,146
    )
    
    
    (4,153
    )Gain (loss) from forward trading
    
    
    2,767,689
    
    
    
    (1,424,279
    )
    
    
    1,354,652
    
    
    
    734,678Total trading gains (losses)
    
    
    4,598,526
    
    
    
    (3,579,841
    )
    
    
    3,708,381
    
    
    
    2,983,458EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    237,025
    
    
    
    88,667
    
    
    
    441,218
    
    
    
    172,462ExpensesBrokerage fee
    
    
    260,807
    
    
    
    251,598
    
    
    
    505,745
    
    
    
    519,653Performance fee
    
    
    129,054
    
    
    
    0
    
    
    
    129,054
    
    
    
    1,245,040Operating expenses
    
    
    15,670
    
    
    
    18,579
    
    
    
    31,083
    
    
    
    33,355Total expenses
    
    
    405,531
    
    
    
    270,177
    
    
    
    665,882
    
    
    
    1,798,048Expenses net of interest income
    
    
    (168,506
    )
    
    
    (181,510
    )
    
    
    (224,664
    )
    
    
    (1,625,586
    )NET INCOME (LOSS)
    
    $
    4,430,020
    
    
    $
    (3,761,351
    )
    
    $
    3,483,717
    
    
    $
    1,357,872NET INCOME (LOSS) PER MANAGING
OWNER AND OTHER UNITHOLDER
UNIT(based on weighted average number
of units outstanding during the period)
    
    $
    188.63
    
    
    $
    (156.04
    )
    
    $
    148.14
    
    
    $
    56.46INCREASE (DECREASE) IN NET ASSET
VALUE PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT
    
    $
    184.87
    
    
    $
    (159.05
    )
    
    $
    141.07
    
    
    $
    50.07
  -6-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 STATEMENTS OF CASH FLOWS
 2005
    
    2004Cash flows from (for) operating activitiesNet income
    
    $
    3,483,717
    
    
    $
    1,357,872Adjustments to reconcile net income to net cash
from (for) operating activitiesNet change in unrealized
    
    
    (2,474,987
    )
    
    
    2,445,518Increase (decrease) in accounts payable and accrued expenses
    
    
    63,096
    
    
    
    (254,194
    )Net (purchases) of investments in United States
government securities
    
    
    (6,564,653
    )
    
    
    (3,244,897
    )Net cash from (for) operating activities
    
    
    (5,492,827
    )
    
    
    304,299Cash flows from (for) financing activitiesAddition of units
    
    
    1,114,549
    
    
    
    1,523,779Redemption of units
    
    
    (808,814
    )
    
    
    (1,360,392
    )Increase in redemptions payable
    
    
    78,652
    
    
    
    298,299Offering costs charged
    
    
    (159,710
    )
    
    
    (164,100
    )Increase (decrease) in offering costs payable
    
    
    899
    
    
    
    (362
    )Net cash from financing activities
    
    
    225,576
    
    
    
    297,224Net increase (decrease) in cash
    
    
    (5,267,251
    )
    
    
    601,523CashBeginning of period
    
    
    12,046,260
    
    
    
    11,993,306End of period
    
    $
    6,779,009
    
    
    $
    12,594,829End of period cash consists of:Cash in broker trading accounts
    
    $
    3,517,422
    
    
    $
    1,179,127Cash
    
    
    3,261,587
    
    
    
    11,415,702Total end of period cash
    
    $
    6,779,009
    
    
    $
    12,594,829
  -7-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
 Unitholders CapitalManaging Owner
    
    Other Unitholders
    
    TotalUnits
    
    Amount
    
    Units
    
    Amount
    
    Units
    
    AmountSix Months Ended June 30, 2005Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385Net income for the six months
ended June 30, 2005
    
    
    
    
    
    
    209,027
    
    
    
    
    
    
    
    3,274,690
    
    
    
    
    
    
    
    3,483,717Additions
    
    
    0.000
    
    
    
    
    
    
    
    742.487
    
    
    
    1,114,549
    
    
    
    742.487
    
    
    
    1,114,549Redemptions
    
    
    0.000
    
    
    
    
    
    
    
    (532.304
    )
    
    
    (808,814
    )
    
    
    (532.304
    )
    
    
    (808,814
    )Offering costs
    
    
    
    
    
    
    (9,613
    )
    
    
    
    
    
    
    (150,097
    )
    
    
    
    
    

    
    (159,710
    )Balances at
June 30, 2005
    
    
    1,413.580
    
    
    $
    2,321,749
    
    
    
    22,078.644
    
    
    $
    36,263,378
    
    
    
    23,492.224
    
    
    $
    38,585,127Six Months Ended June 30, 2004Balances at
December 31, 2003
    
    
    1,413.580
    
    
    $
    1,947,390
    
    
    
    22,411.035
    
    
    $
    30,874,028
    
    
    
    23,824.615
    
    
    $
    32,821,418Net income for the six months
ended June 30, 2004
    
    
    
    
    
    
    80,422
    
    
    
    
    
    
    
    1,277,450
    
    
    
    
    
    
    
    1,357,872Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,012.026
    
    
    
    1,523,779
    
    
    
    1,012.026
    
    
    
    1,523,779Redemptions
    
    
    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
 Net Asset Value Per Managing Owner and Other Unitholders UnitJune 30,
    

    December 31,
    
    June 30,
    
    December 31,2005
    

    2004
    
    2004
    
    2003$1,642.46
    
    $
    1,501.39
    
    
    $
    1,427.70
    
    
    $
    1,377.63
  -8-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIESA.
    
    General Description of the TrustCampbell 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 currency 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, 2005, the 401(K) Plan held approximately 44% of the Trusts outstanding
units.B.
    
    RegulationAs 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 ReportingThe Trusts financial statements are presented in accordance with U.S.
generally accepted accounting principles, 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 currency (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 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-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 1.
    
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES(CONTINUED)D.
    
    Income TaxesThe 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 CostsCampbell & 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, 2005, the
Trust reflects a liability in the statement of financial condition for offering costs
payable to Campbell & Company of $16,382.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, 2005, the amount of
unreimbursed offering costs incurred by Campbell & Company is $689,471.F.
    
    Foreign Currency TransactionsThe 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.Note 2.
    
    MANAGING OWNER AND COMMODITY TRADING ADVISORThe managing owner of the Trust is Campbell & Company, which
conducts and manages the business of the Trust. Campbell &
Company is also the commodity trading advisor of the Trust. The
Amended and Restated Declaration of Trust and Trust Agreement
requires Campbell & Company to maintain a capital account equal to
1% of the total capital accounts of the Trust. Additionally,
Campbell & Company is required by the Amended and Restated
Declaration of Trust and Trust Agreement to maintain a net worth
of not less than $1,000,000.
 -10-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 2.
    
    MANAGING OWNER AND COMMODITY TRADING ADVISOR (CONTINUED)The Trust pays a monthly brokerage fee of 1/12 of 2.85%
(2.85% annualized) of month-end net assets to Campbell &
Company and approximately $6 per round turn to the broker for
execution and clearing costs. Such costs are limited to 3.5%
of average month-end net assets per year. From the 2.85% fee,
a portion (0.35%) is used to compensate selling agents for
administrative services and a portion (2.5%) is retained by
Campbell & Company for trading and management services
rendered.Campbell & Company is also paid a performance fee equal to
20% of New Appreciation (as defined) calculated as of the end
of each calendar quarter and upon redemption of units.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.
    
    TRUSTEEThe 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 BROKERThe 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 EXPENSESOperating 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 REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by Campbell & Company.
The Trust is not required to make distributions, but may do
so at the sole discretion of Campbell & Company. A
unitholder may request and receive redemption of units owned,
subject to restrictions in the Amended and Restated
Declaration of Trust and Trust Agreement.Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts and forward currency contracts
(collectively, derivatives). The Trust is exposed to both
market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a
contract.
 -11-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits
may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to
segregate all customer transactions and assets from such brokers proprietary activities. A
customers cash and other property (for example, U.S. Treasury bills) deposited with a broker are
considered commingled with all other customer funds subject to the brokers segregation requirements.
In the event of a brokers insolvency, recovery may be limited to a pro rata share of segregated
funds available. It is possible that the recovered amount could be less than total cash and other
property deposited.The amount of required margin and good faith deposits with the broker and interbank market makers
usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy
such requirements at June 30, 2005 and December 31, 2004 was $29,770,122 and $23,205,469,
respectively, which equals 77% and 66% of Net Asset Value, respectively. The cash deposited with
interbank market makers at June 30, 2005 and December 31, 2004 was $3,170,640 and $10,212,526,
respectively, which equals 8% and 29% of Net Asset Value, respectively. These amounts are included
in cash.The Trust trades forward currency contracts in unregulated markets between principals and assumes the
risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward
currency contracts are generally greater than those associated with exchange traded contracts because
of the greater risk of counterparty default. Additionally, the trading of forward currency 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
currency contracts purchased and unlimited liability on such contracts sold short.The unrealized gain (loss) on open futures and forward currency contracts is comprised of the
following:
 Futures Contracts
    
    Forward Currency Contracts(exchange traded)
    
    (non-exchange traded)June 30,
    
    December 31,
    
    June 30,
    
    December 31,2005
    
    2004
    
    2005
    
    2004Gross unrealized gains
    
    $
    1,309,182
    
    
    $
    697,507
    
    
    $
    1,888,003
    
    
    $
    1,435,900Gross unrealized losses
    
    
    (149,438
    )
    
    
    (182,097
    )
    
    
    (598,922
    )
    
    
    (1,977,472
    )Net unrealized gain (loss)
    
    $
    1,159,744
    
    
    $
    515,410
    
    
    $
    1,289,081
    
    
    $
    (541,572
    )
 -12-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 7.
    
    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)Open contracts generally mature within three months; as of
June 30, 2005, the latest maturity date for open futures
contracts is March 2006, and the latest maturity date for
open forward currency contracts is September 2005. 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.
    
    GUARANTEESIn the normal course of business, the Trust enters into contracts
and agreements that contain a variety of representations and
warranties and which provide general indemnifications. The
Trusts maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the
Trust that have not yet occurred. The Trust expects the risk of
any future obligation under these indemnifications to be remote.Note 9.
    
    INTERIM FINANCIAL STATEMENTSThe statement of financial condition, including the condensed
schedule of investments, as of June 30, 2005, the statements of
operations for the three months and six months ended June 30, 2005
and 2004, and the related statements of cash flows and changes in
unitholders capital (Net Asset Value) for the six months ended
June 30, 2005 and 2004 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, 2005, the
results of operations for the three months and six months ended
June 30, 2005 and 2004, and the statements of cash flows for the
six months ended June 30, 2005 and 2004.
 -13-




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
 NOTES TO FINANCIAL STATEMENTS (CONTINUED)
 Note 10.
    
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the three months and six months ended June 30, 2005 and
2004. This information has been derived from information presented in the financial
statements.
 Three months ended
    
    Six months endedJune 30,
    
    June 30,2005
    
    2004
    
    2005
    
    2004(Unaudited)
    
    (Unaudited)
    
    (Unaudited)
    
    (Unaudited)Per Unit Performance(for a unit outstanding throughout the entire period)Net asset value per unit at beginning of period
    
    $
    1,457.59
    
    
    $
    1,586.75
    
    
    $
    1,501.39
    
    
    $
    1,377.63Income (loss) from operations:Total trading gains (losses) (1)
    
    
    195.54
    
    
    
    (148.22
    )
    
    
    157.44
    
    
    
    124.48Expenses net of interest income (1)
    
    
    (7.17
    )
    
    
    (7.53
    )
    
    
    (9.57
    )
    
    
    (67.59
    )Total income (loss) from operations
    
    
    188.37
    
    
    
    (155.75
    )
    
    
    147.87
    
    
    
    56.89Offering costs (1)
    
    
    (3.50
    )
    
    
    (3.30
    )
    
    
    (6.80
    )
    
    
    (6.82
    )Net asset value per unit at end of period
    
    $
    1,642.46
    
    
    $
    1,427.70
    
    
    $
    1,642.46
    
    
    $
    1,427.70Total Return(3)
    
    
    12.68
    %
    
    
    (10.02
    )%
    
    
    9.40
    %
    
    
    3.63
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee (4)
    
    
    (3.08
    )%
    
    
    (3.01
    )%
    
    
    (3.04
    )%
    
    
    (3.11
    )%Performance fee (3)
    
    
    (0.36
    )%
    
    
    0.00
    %
    
    
    (0.37
    )%
    
    
    (3.50
    )%Total expenses
    
    
    (3.44
    )%
    
    
    (3.01
    )%
    
    
    (3.41)
    %
    
    
    (6.61
    )%Expenses net of interest income (2), (4)
    
    
    (0.44
    )%
    
    
    (2.02
    )%
    
    
    (0.54
    )%
    
    
    (2.14
    )%
 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-




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##### 



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




---



##### 



i.e.
   Results of Operations
  2005
  -16-




---



##### 



Sector
    
    % Gain (Loss)Interest Rates
    
    
    8.62
    %Currencies
    
    
    3.80Energy
    
    
    1.48Metals
    
    
    0.18Stock Indices
    
    
    (3.59
    )10.49
    %
      -17-




---



##### 



2004
  Sector
    
    % Gain (Loss)Interest Rates
    
    
    6.26
    %Currencies
    
    
    2.38Energy
    
    
    2.12Metals
    
    
    (0.18
    )Stock Indices
    
    
    (1.92
    )8.66
    %
   -18-




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##### 



Off-Balance Sheet Risk
   -19-




---



##### 



Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
  Item 3. Quantitative and Qualitative Disclosures About Market Risk
 Introduction
 Past Results Not Necessarily Indicative of Future Performance
    Standard of Materiality
  Quantifying the Trusts Trading Value at Risk
 -20-




---



##### 



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).
       -21-




---



##### 



The Trusts Trading Value at Risk in Different Market Sectors
  June 30, 2005TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.28
    %
    
    
    3.80
    %Long-Term Interest Rates
    
    
    0.96
    %
    
    
    5.06
    %Short-Term Interest Rates
    
    
    0.39
    %
    
    
    3.56
    %Stock Indices
    
    
    0.39
    %
    
    
    (3.59
    )%Energy
    
    
    0.48
    %
    
    
    1.48
    %Metals
    
    
    0.05
    %
    
    
    0.18
    %Aggregate/Total
    
    
    1.93
    %
    
    
    10.49
    %
 * 
 ** 
 December 31, 2004TradingMarket Sector
    
    Value at Risk*
    
    Gain/(Loss)**Currencies
    
    
    1.19
    %
    
    
    2.68
    %Long-Term Interest Rates
    
    
    0.82
    %
    
    
    10.57
    %Short-Term Interest Rates
    
    
    0.25
    %
    
    
    2.49
    %Stock Indices
    
    
    0.60
    %
    
    
    (1.85
    )%Energy
    
    
    0.18
    %
    
    
    2.22
    %Metals
    
    
    0.11
    %
    
    
    (0.58
    )%Aggregate/Total
    
    
    1.86
    %
    
    
    15.53
    %
 -22-




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##### 



* 
 ** 
 Material Limitations oF Value at Risk as an Assessment of Market Risk
  1)
    
    Past changes in market risk factors will not always result in accurate predictions of
the distributions and correlations of future market movements;2)
    
    Changes in portfolio value caused by market movements may differ from those of the VaR
model;3)
    
    VaR results reflect past trading positions while future risk depends on future
positions;4)
    
    VaR using a one day time horizon does not fully capture the market risk of positions
that cannot be liquidated or hedged within one day; and5)
    
    The historical market risk factor data for VaR estimation may provide only limited
insight into losses that could be incurred under certain unusual market movements.
  Non-Trading Risk
  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
 -23-




---



##### 



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.
  Currencies
 i.e.,
 Interest Rates
  Stock Indices
  Energy
  -24-




---



##### 



Metals
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  Foreign Currency Balances
  Treasury Bill Positions
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
   General
  -25-




---



##### 



Item 4. Controls and Procedures
  -26-




---



##### 



PART II-OTHER INFORMATION
 Item 1.
    
    Legal Proceedings.NoneItem 2.
    
    Changes in Securities and Use of ProceedsNoneItem 3.
    
    Defaults Upon Senior SecuritiesNot applicable.Item 4.
    
    Submissions of Matters to a vote of Security Holders.NoneItem 5.
    
    Other InformationNoneItem 6.
    
    Exhibits and Reports on Form 8-K.
 (a)
    
    Exhibits
 ExhibitNumber
    
    Description of Document31.01
    
    Certification of Bruce L. Cleland, Chief Executive Officer, pursuant to
Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.31.02
    
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites 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-KNone
 -27-




---



##### 



SIGNATURES
  CAMPBELL ALTERNATIVE ASSET TRUST(Registrant)By:
    
    Campbell & Company, Inc.Managing Owner
 Date: August 15, 2005
    By:

/s/ Theresa D. BecksTheresa D. BecksChief Financial Officer/Treasurer/Director -28-




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##### 



EXHIBIT INDEX
 Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 2  E331.02
    
    Certification by Chief Financial Officer
    
    E 4  E532.01
    
    Certification by Chief Executive Officer
    
    E 632.02
    
    Certification by Chief Financial Officer
    
    E 7
 E 1