<PAGE>

                       SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549

(Mark One)
                                    FORM 10-K

                 ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)

[X]        OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]

                   For the Fiscal Year Ended December 31, 2003
                       Commission File Number 0-33311 and
                                     2-84126

                                       OR

[ ]        TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

                SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]

            For the transition period from ___________ to __________

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

           DELAWARE                                     52-2238521
--------------------------------            ------------------------------------
(State or other jurisdiction of             (IRS Employer Identification Number)
 incorporation or organization)

   210 W. PENNSYLVANIA AVENUE
        TOWSON, MARYLAND                                  21204
   --------------------------               ------------------------------------

       Registrant's telephone number, including area code: (410) 296-3301

        Securities registered pursuant to Section 12 (b) of the Act: NONE

          Securities registered pursuant to Section 12 (g) of the Act:

                          UNITS OF BENEFICIAL INTEREST
                          -----------------------------
                                (Title of Class)

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 (or for such shorter period that the Registrant
was required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.

Yes [X] No [ ]

Indicate by check mark if the disclosure of delinquent filers pursuant to Item
405 of Regulation S-K is not contained herein, and will not be contained, to the
best of the Registrant's knowledge, in definitive proxy or information
statements incorporated by reference in Part II of this Form 10-K or any
amendment to this Form 10-K. [X]

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

Yes [ ] No [X]

The Registrant has no voting stock. As of December 31, 2003 there were
23,824.615 Units of Beneficial Interest issued and outstanding.

Total number of pages 36. Consecutive page numbers on which exhibits commence:
5.

<PAGE>

                                TABLE OF CONTENTS

<TABLE>
<CAPTION>
                                                                                                   Page
                                                                                                   ----
<S>                                                                                                <C>
                                     PART I

    ITEM 1.    BUSINESS.......................................................................       1-2

    ITEM 2.    PROPERTIES.....................................................................         2

    ITEM 3.    LEGAL PROCEEDINGS..............................................................         3

    ITEM 4.    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS............................         3

                                     PART II

    ITEM 5.    MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER MATTERS..........         3

    ITEM 6.    SELECTED FINANCIAL DATA........................................................       3-4

    ITEM 7.    MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
                OPERATIONS....................................................................      4-11

    ITEM 7A.   QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.....................     11-16

    ITEM 8.    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA....................................        16

    ITEM 9.    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL
                DISCLOSURE....................................................................        16

    ITEM 9A.   CONTROLS AND PROCEDURES .......................................................        16

                                    PART III

    ITEM 10.   DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT.............................     16-18

    ITEM 11.   EXECUTIVE COMPENSATION.........................................................        18

    ITEM 12.   SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED
                STOCKHOLDER MATTERS...........................................................        19

    ITEM 13.   CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS.................................        19

    ITEM 14.   PRINCIPAL ACCOUNTANT FEES AND SERVICES.........................................     19-20

                                     PART IV

    ITEM 15.   EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM  8-K..............     20-21

SIGNATURES

CERTIFICATIONS
</TABLE>

                                       i
<PAGE>

DOCUMENTS INCORPORATED BY REFERENCE - Prospectus dated December 31, 2002
included within the Registration Statement on Post-Effective Amendment No.2 to
Form S-1 (File No. 333-74014), incorporated by reference into Parts I, II, III
and IV.

<PAGE>

                                     PART I

ITEM 1.           BUSINESS

         Campbell Alternative Asset Trust (the "Registrant" or the "Trust") is a
Trust which was formed on May 3, 2000 under the Delaware Business Trust Act. The
Registrant operates as a commodity investment pool, whose purpose is to trade
speculatively in the U.S. and international futures and forward markets.
Specifically, the Trust trades a portfolio primarily focused on financial
futures, which are instruments designed to hedge or speculate on changes in
interest rates, currency exchange rates or stock index values. A secondary
emphasis is on metals, energy and agricultural values. The trustee of the Trust
is Wachovia Trust Company, National Association (the "Trustee") (formerly known
as First Union Trust Company, National Association), a national banking
association. The managing owner and trading advisor of the Registrant is
Campbell & Company, Inc. ("Campbell & Company"). The Registrant's operations are
regulated by the provisions of the Commodity Exchange Act, the regulations of
the Commodity Futures Trading Commission, and the rules of the National Futures
Association.

         The Registrant originally filed a registration statement with the U.S.
Securities and Exchange Commission for the sale of a minimum of $8,000,000 and a
maximum of $50,000,000 in Units of Beneficial Interest at $1,000 each, which
registration statement was effective on May 15, 2001. The Trust has since filed
additional registration statements with the U.S. Securities and Exchange
Commission to bring the sum of existing and offered Units of Beneficial Interest
to a maximum of approximately $250,000,000 through March 2003. The Unit selling
price during the initial offering period, which lasted for approximately 130
days and ended on September 30, 2001, was $1,000. Since September 30, 2001,
Units of Beneficial Interest of the Trust have been offered on an ongoing basis
during the Trust's continuing offering period. During the continuing offering
period, subscriptions are accepted monthly and proceeds are transferred to bank
and brokerage accounts for trading purposes. The Unit selling price during the
continuing offering period is the net asset value per unit as of the last
business day of the month in which the subscription is accepted.

         Units were offered to the public until Campbell & Company terminated
the continuing offering to the public effective October 29, 2002. The current
offering is only available to the Campbell & Company, Inc. 401 (k) Plan.

         A total of $40,910,745 has been raised in the initial and continuing
offering periods through December 31, 2003.

         Under the Amended and Restated Declaration of Trust and Trust
Agreement, the Trustee has delegated to Campbell & Company the exclusive
management of all aspects of the business and administration of the Registrant.

         The Registrant will be terminated and dissolved promptly thereafter
upon the happening of the earlier of: (a) the expiration of the Registrant's
stated term of December 31, 2030; (b) an election to dissolve the Registrant at
any time by Unitholders owning more than 50% of the Units then outstanding; (c)
the withdrawal of Campbell & Company unless one or more new managing owners have
been elected or appointed pursuant to the Amended and Restated Declaration of
Trust and Trust Agreement; (d) a decline in the aggregate net assets of the
Trust to less than $500,000 or (e) any event which shall make unlawful the
continuing existence of the Registrant.

REGULATION

         Under the Commodity Exchange Act, as amended (the "Act"), commodity
exchanges and commodity futures trading are subject to regulation by the
Commodity Futures Trading Commission (the "CFTC"). The National Futures
Association (the "NFA"), a registered futures association under the Act, is the
only non-exchange self-regulatory organization for commodity industry
professionals. The CFTC has delegated to the NFA responsibility for the
registration of "commodity trading advisors," "commodity pool operators,"
"futures commission merchants," "introducing brokers" and their respective
associated persons and "floor brokers." The Act requires "commodity pool
operators," and "commodity trading advisors," such as Campbell & Company, and
commodity brokers or "futures commission merchants," such as the

                                        1

<PAGE>

Registrant's commodity broker, to be registered and to comply with various
reporting and recordkeeping requirements. Campbell & Company and the
Registrant's commodity broker are members of the NFA. The CFTC may suspend a
commodity pool operator's or commodity trading advisor's registration if it
finds that its trading practices tend to disrupt orderly market conditions, or
as the result of violations of the Commodity Exchange Act or rules and
regulations promulgated thereunder. In the event Campbell & Company's
registration as a commodity pool operator or commodity trading advisor were
terminated or suspended, Campbell & Company would be unable to continue to
manage the business of the Registrant. Should Campbell & Company's registration
be suspended, termination of the Registrant might result.

         In addition to such registration requirements, the CFTC and certain
commodity exchanges have established limits on the maximum net long and net
short positions which any person, including the Registrant, may hold or control
in particular commodities. Most exchanges also limit the maximum changes in
futures contract prices that may occur during a single trading day. The
Registrant also trades in dealer markets for forward contracts, which are not
regulated by the CFTC. Federal and state banking authorities also do not
regulate forward trading or forward dealers. In addition, the Registrant trades
on foreign commodity exchanges, which are not subject to regulation by any
United States government agency.

OPERATIONS

         A description of the business of the Registrant, including trading
approach, rights and obligations of the Unitholders, and compensation
arrangements is contained in the Prospectus under "Summary," "The Risks You
Face, " "Campbell & Company, Inc.," "Conflicts of Interest" and "Charges to the
Trust," and such description is incorporated herein by reference from the
Prospectus.

         The Registrant conducts its business in one industry segment, the
speculative trading of futures and forward contracts. The Registrant is a market
participant in the "managed futures" industry. The managed futures industry has
grown substantially in the previous ten years. Market participants include all
types of investors, such as corporations, employee benefit plans, individuals
and foreign investors. Service providers of the managed futures industry include
(a) pool operators, which conduct and manage all aspects of trading funds
(except trading decisions), such as the Registrant, (b) trading advisors, which
make the specific trading decisions, and (c) commodity brokers, which execute
and clear the trades pursuant to the instructions of the trading advisor. The
Registrant has no employees, and does not engage in the sale of goods or
services.

         The Registrant engages in financial instrument trading in approximately
50 financial instrument contracts on domestic and international markets.
Beginning in January 2003, Campbell & Company began utilizing its Financial,
Metal and Energy Large Portfolio in trading the Registrant's assets. Prior to
January 2003, all of the Trust's assets were allocated to the Global Diversified
Large Portfolio which is concentrated in the financial markets, such as interest
rates, foreign exchange and stock indices, as well as metals, energy and
agricultural. The Financial, Metal and Energy Large Portfolio trades the same
forward and futures markets as the Global Diversified Large Portfolio, except it
does not trade the agricultural markets. As of March 2004, the Trust's assets
are allocated to the different market sectors in approximately the following
manner: 47% to currencies, 34% to interest rates, 13% to stock indices, 5% to
energy products and 1% to metals. The contracts traded by the Registrant will
fluctuate from time to time.

         The Registrant may, in the future, experience increased competition for
the futures and other contracts in which it trades. Campbell & Company will
recommend similar or identical trades for other accounts under its management.
Such competition may also increase due to the widespread utilization of
computerized methods similar to those used by Campbell & Company.

ITEM 2.           PROPERTIES

         The Registrant does not use any physical properties in the conduct of
its business. Its assets currently consist of futures and other contracts, cash
and U.S. Treasury Bills.


                                        2

<PAGE>
ITEM 3.           LEGAL PROCEEDINGS


         Campbell & Company is not aware of any material legal proceedings to
which the Registrant is a party or to which any of their assets are subject.

ITEM 4.           SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS

         None.

                                     PART II

ITEM 5.           MARKET FOR REGISTRANT'S COMMON EQUITY AND RELATED STOCKHOLDER
                  MATTERS

         Units of Beneficial Interest are not publicly traded. Units may be
transferred or redeemed subject to the conditions imposed by the Amended and
Restated Declaration of Trust and Trust Agreement. As of December 31, 2003,
there were 350 Unitholders in the Registrant and 23,824.615 Units of Beneficial
Interest outstanding.

         Campbell & Company has sole discretion in determining what
distributions, if any, the Registrant will make to its Unit holders. Campbell &
Company has not made any distributions as of the date hereof.

         The Registrant has no securities authorized for issuance under equity
compensation plans.

ITEM 6.           SELECTED FINANCIAL DATA

         The following summarized financial information is for the years ended
December 31, 2003, 2002 and 2001, and for the period May 3, 2000 (inception)
through December 31, 2000.

<TABLE>
<CAPTION>
                                                                                             For the Period Ended
                                               For the Years Ended December 31,                   December 31,
                                             2003             2002             2001                   2000
                                         ------------     ------------     ------------      --------------------
<S>                                      <C>              <C>              <C>               <C>
Total Assets                             $ 33,165,538     $ 34,524,465     $ 18,595,332             $ 2,000
Total Unitholders' Capital                 32,821,418       32,854,478       18,515,681               2,000
Total Trading (Loss)
    (includes brokerage commissions)        9,269,009        4,996,237         (357,199)                  0
Net Income (Loss)                           7,263,843        3,761,201         (422,955)                  0
Net Income (Loss) Per Managing
    Owner and Other Unitholder Unit*           292.55           161.99           (24.79)               0.00
Increase (Decrease) in Net Asset
    Value per Managing Owner and
    Other Unitholder Unit                      253.05           150.94           (26.36)               0.00
</TABLE>

* Based on weighted average number of units outstanding during the period.

The following summarized quarterly financial information presents the results of
operations for the three-month periods ending March 31, June 30, September 30
and December 31, 2003 and 2002.


                                        3

<PAGE>

<TABLE>
<CAPTION>
                                  1st Qtr.          2nd Qtr.          3rd Qtr.         4th Qtr.
                                    2003             2003               2003            2003
                               -------------     -------------     -------------    -------------
<S>                            <C>               <C>               <C>              <C>
Total Trading Gain (Loss)
  (includes brokerage
  commissions)                 $   4,900,559     $   1,842,889     $    (723,618)   $   3,249,179
Net Income (Loss)                  4,072,674         1,376,343          (879,344)       2,694,170
Net Income (Loss)
  per Managing Owner
  and Other Unitholder
  Unit *                              147.44             57.11            (36.84)          113.55
Increase (Decrease) in
  Net Asset Value per
  Managing Owner and
  Other Unitholder Unit               128.58             53.66            (39.72)          110.53
Net Asset Value per
  Managing Owner and
  Other Unitholder Unit
  at the End of the Period          1,253.16          1,306.82          1,267.10         1,377.63
</TABLE>

<TABLE>
<CAPTION>
                                  1st Qtr.          2nd Qtr.          3rd Qtr.         4th Qtr.
                                    2002             2002               2002            2002
                               -------------     -------------     -------------    -------------
<S>                            <C>               <C>               <C>              <C>
Total Trading Gain (Loss)
  (includes brokerage
  commissions)                 $    (735,107)    $   1,776,347     $   4,708,634    $    (753,637)
Net Income (Loss)                   (802,423)        1,692,027         3,741,136         (869,539)
Net Income (Loss)
  per Managing Owner
  and Other Unitholder
  Unit *                              (40.04)            75.69            152.82           (33.44)
Increase (Decrease) in
  Net Asset Value per
  Managing Owner and
  Other Unitholder Unit               (41.85)            70.66            151.34           (29.21)
Net Asset Value per
  Managing Owner and
  Other Unitholder Unit
  at the End of the Period            931.79          1,002.45          1,153.79         1,124.58
</TABLE>

* - Based on weighted average number of units outstanding during the period.

ITEM 7.           MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION
                  AND RESULTS OF OPERATIONS.

INTRODUCTION

         The offering of its Units of Beneficial Interest commenced on May 15,
2001. The initial offering terminated on September 28, 2001 and the Trust
commenced operations on October 1, 2001. The continuing offering period
commenced at the termination of the initial offering period and is ongoing.

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

                                        4

<PAGE>

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.
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.

                                        5

<PAGE>

         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 years ended December 31, 2003 and 2002 and for the period
October 1 (inception of trading) through December 31, 2001 were 22.50%, 15.50%
and (2.64)%, respectively.

2003

For the 2003 increase of 22.50%, 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. An analysis of the 30.03% trading gain by
sector is as follows:

<TABLE>
<CAPTION>
SECTOR                                    % GAIN (LOSS)
------                                    -------------
<S>                                       <C>
Currencies                                    26.99%

Stock Indices                                  5.76

Energy                                         0.06

Agriculture                                    0.02

Metals                                        (0.33)

Interest Rates                                (2.47)
                                             ------
                                              30.03%
                                             ======
</TABLE>

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

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

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

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.

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

                                        6

<PAGE>

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 contracts were also
strongly positive, while losses in the energy and stock index sectors offset
some of those gains.

Even with a negative result for June, the Trust finished the first half of 2003
with a double-digit return. Long-term interest rates lost value as yield curves
steepened, particularly the Japanese government bond. Short-term interest rates
and stock index sectors contributed very modest gains for the month, while all
other sectors contributed losses. While the global economy was looking better
than it had for several years, many substantive uncertainties remained.

The Trust's performance for July was negative due to significant price reversals
in the Trust's largest positions. The U.S. Dollar's strong rally caused losses
in the Trust's currency and cross rate sectors. In addition, the sudden sharp
sell-off in long-term bonds resulted in losses in the Trust's long positions.
These losses were partially offset by gains in the Trust's long equity index
positions as investor confidence grew in the economic recovery and the potential
for improved growth.

The stock indices sector was the best performing sector for the month of August
as the U.S. equity markets posted their sixth straight month of gains. Much of
this was attributed to improving consumer confidence, federal tax cuts and
increased defense spending. The energy sector contributed positive returns as
crude oil remained above the thirty-dollar level on continuing supply concerns.
Also, the Trust's short positions in the Japanese Government Bond provided a
significant portion of the month's gains.

In September, the currency sector was the only significantly positive sector as
short U.S. Dollar positions benefited from continued weakness in the U.S.
Dollar. After showing positive returns for most of the month, sudden reversals
in the fixed income, equity and energy markets washed out the gains in the
currency sector and put the Trust's portfolio into negative territory late in
the month. The Trust finished the 3rd quarter with a negative return, but was
positive year-to-date through September.

The Trust began the fourth quarter on a positive note with a majority of the
gain coming from the currencies and stock indices sectors. The continued but
orderly decline of the U.S. Dollar against the other major currencies provided
good trending opportunities during October, but an unexpectedly sharp decline in
the Yen at the end of the month took away some of the profits earned earlier.
The performance of the currency cross rates, interest rates and energy sectors
all resulted in losses for the month. The energy markets were particularly
volatile, with natural gas prices whipsawing on shifting weather predictions,
while crude oil declined sharply from the high end of its recent trading range.

November was a positive month for the Trust. The currencies and stock indices
sectors provided good profits, which were partially offset by losses in the
cross currency, energy and interest rate sectors. As global equity prices
continued to strengthen, the U.S. dollar weakened, reaching 10 and 5 year lows
against the Canadian dollar and Sterling, respectively, while the Euro made an
all time high late in the month. Paradoxically strong U.S. economic indicators
encouraged a positive outlook, with a strong retail sales and a 20-year high in
manufacturing. Global economic data was also encouraging, particularly that
coming out of Asia.

The trends of the falling U.S. dollar and the rise in global equity indices
prevalent in the second half of 2003 continued in December and left the Trust
with a gain for the month. These trends were also responsible for most of the
gains for the year.

2002

For the 2002 increase of 15.50%, approximately 22.09% was due to trading gains
(before commissions) and approximately 1.61% was due to interest income, offset
by approximately 8.20% due to brokerage fees, performance fees, and operating
and offering costs borne by the Trust. An analysis of the 22.09% trading gain by
sector is as follows:

                                        7

<PAGE>

<TABLE>
<CAPTION>
SECTOR                                    % GAIN (LOSS)
------                                    -------------
<S>                                       <C>
Interest Rates                                15.12%

Currencies                                     5.81

Stock Indices                                  3.58

Agricultural                                   (.37)

Metals                                         (.41)

Energy                                        (1.64)
                                             ------
                                              22.09%
                                             ======
</TABLE>

During January, the Enron and Global Crossing bankruptcies took a toll on the
U.S. equities markets that were already under pressure and resulted in a
stumbling start to the New Year, as layoffs, earnings restatements and revenue
declines continued to dominate the business news. Internationally, the Japanese
economy continued to deteriorate, while the full extent of any Argentinean
contagion was yet to be acknowledged in Brazil or other parts of South America.
On the positive side, U.S. consumer spending continued to be robust. The Trust
posted a small loss for January, largely as a result of volatility in the global
currency markets. Energy and short stock index positions contributed small
gains.

The high market volatility in January continued into February. Further Enron
revelations radiated concern about the accounting practices of other large
companies and caused the equity markets to decline early in the month. Sentiment
reversed abruptly on positive economic news on home sales, manufacturing and
consumer spending. The Trust's performance was negative in February with losses
in energy, stock indices and long-term interest rates partially offset by gains
in short-term interest rates.

March was a mixed month in which positive performance in the energy and interest
rate sectors were more than offset by losses in stock indices and currencies,
which made up a substantial part of the Trust's portfolio. The Japanese Yen
produced the largest loss when it rallied in reaction to Bank of Japan
intervention in preparation for their March 31st fiscal year-end as the Trust
was maintaining a short position. Energy was the strongest performing sector
profiting from long positions in crude oil and unleaded gas. The loss in the
stock indices sector came from short positions in the Nikkei and Hang Seng
indices as Asian equities rallied. The overall loss for the month occurred
independently of the equity and bond markets demonstrating the volatility
reducing effect of blending assets whose returns are largely uncorrelated.

April was one of the most difficult trading months since the Trust began
trading. The Trust ended the month down over 4.5%. The fixed income sector was
whip-lashed as hopes of imminent economic recovery sputtered causing the
majority of the trading losses for the month. Broad-based selling of the three
leading US equity indices put them at their lowest levels since October 2001 and
contributed to the Trust's losses for the month. The energy sector was battered
by reports of unfolding events in both Venezuela and the Middle East. Many areas
of concern remain including continued instability in the Middle East, weak
corporate earnings, continued revelations of corporate accounting issues, fear
of a collapse in the residential real estate market, high energy costs and a
growing federal budget deficit due to lower tax receipts.

The month of May finally provided some trending opportunities that the Trust was
able to profit from. The currencies and interest rates sectors provided the
gains for the month, but these were offset by losses in the energy and stock
indices sectors. While the equities markets remained nervous, many alternative
investment strategies, including managed futures, were able to provide positive
returns.

Strong performance in the month of June contributed to a positive second quarter
and more than made up for losses during the beginning of the year. All major US
equity indices made new cycle lows as domestic and international investor
confidence was battered by reports of scandalous corporate leadership conduct.
The long awaited US economic recovery looked sluggish at best. In this troubled
environment, the US dollar lost ground against most major trading partners,
while interest rate futures rose and stock indices declined. These three sectors
contributed significantly to the profits in June, while small losses were
recorded in the metals and energy sectors.


                                        8

<PAGE>

The Trust's positive performance continued in July, posting similar numbers as
June. This was the third consecutive month of positive performance and was
mainly attributable to profits in short stock indices and long interest rate
positions. These gains were reduced by small negative performances in metals,
currencies and cross rates as the dollar strengthened against other major
currencies, again rising above parity with the Euro.

In August, the Trust recorded another month of positive performance with profits
in the interest rates, currencies, stock indices and energy sectors. Global
markets continued to respond to weak US economic data and concerns over
geopolitical developments. The much-anticipated US economic recovery continued
to be elusive, while economies in Europe and Japan appeared to be stagnant. The
quickening pace of US plans to invade Iraq has aroused much international
criticism and concern, which impacted energy prices and investor confidence.

September was the fifth consecutive month of positive returns for the Trust, as
traditional investment strategies continued to struggle. Profits were earned in
the stock indices, interest rates and energy sectors, offset by losses in the
currency sector. Further reports of corporate governance and accounting
failures, the possibility of an unpopular war in the Middle East, rising jobless
claims, disappointing earnings and a gloomy retail outlook were compounded by
high energy prices and systemic instability in Japan and Brazil. In this time of
global economic weakness and uncertainty, the Trust's ability to trade both the
long and short side of a diverse portfolio of international markets proved to be
a beneficial tool.

Many of the trends that had been so profitable for the Trust over the preceding
five months reversed during October, resulting in losses in interest rates,
equity indices and precious metals. The US dollar weakened on unfavorable Gross
Domestic Product news and caused losses in the currency sector. US equities
surprised the market by turning their second best month since 1997. As the US
struggled with the United Nations over Iraq, energy prices sold off sharply,
making this the Trust's worst performing sector in October.

In October and November, US equity prices rose at a faster pace than any time
since 1997. Over this same period, the Trust was defensively positioned against
a reversal of the major trends that were profitable for the year, leaving
year-to-date gains in the double digits. Performance for November was marginally
negative, with gains in currencies offset by losses in interest rates, stock
indices and energy.

The Trust recorded a strong positive performance in December and for the year.
The Trust's core strategy of systematic, diversified trend-following again
demonstrated the ability to outperform most other strategies in times of
economic weakness and uncertainty. The ability to short markets enabled the
Trust to profit as global markets suffered their third consecutive negative
year. Profits were generated in interest rates, currencies and equities, while
losses occurred in energy, industrial metals and agricultural sectors.

2001

The return for the period October 1 (inception of trading) through December 31,
2001 was (2.64%). For the 2001 decrease of (2.64%), approximately (1.90%) was
due to trading losses (before commissions) and approximately .43% was due to
interest income, offset by approximately 1.17% due to brokerage fees,
performance fees, and operating and offering costs borne by the Trust. An
analysis of the (1.90%) trading loss by sector is as follows:

                                        9

<PAGE>

<TABLE>
<CAPTION>
SECTOR                                    % GAIN (LOSS)
------                                    -------------
<S>                                       <C>
Currencies                                     4.04 %

Interest Rates                                (4.20)

Stock Indices                                 (2.03)

Metals                                         (.51)

Energy                                         1.02

Agricultural                                   (.22)
                                             -------
                                              (1.90)%
                                             ======
</TABLE>

As the United States began to recover from the September 11th disaster, the
country demonstrated unity and fortitude in the most challenging of
circumstances. The Trust was positive during the month of October. The positive
performance was led by interest rates, which were strong throughout the month
and helped by the U.S. Treasury's announcement of the ending of the issuance of
30-year bonds. The energy and industrial metals sectors were also positive.
These gains were partly offset by losses in the currency and stock indices
sectors. In November, a sharp and totally unexpected increase in global interest
rates resulted in a large decline for the Trust. While statistically losses of
this magnitude can occur, the speed of this loss caught the Trust's trading
advisor by surprise. The continuing decline in U.S. interest rates initially
accelerated after the U.S. Treasury announced it would stop issuing 30-year
Treasury Bonds. However, with good news from Afghanistan, a sharp decline in
energy prices, and a totally unexpected increase in retail sales for October,
market sentiment changed abruptly. Equity prices rallied and interest rate
instruments declined across the entire yield curve, all over the world. The
Trust rebounded with a positive return in December. The majority of the gain for
the month was made in currencies, primarily in the Japanese Yen. These gains
were offset by losses in the interest rate sectors. 2001 will unfortunately be
remembered as a year that brought pain and devastation to so many.

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 and forward 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 and forward 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.

                                       10

<PAGE>

In the case of forward contracts, which are traded on the interbank market
rather than on exchanges, the counterparty is generally a single bank or other
financial institution, rather than a group of financial institutions; thus there
may be a greater counterparty credit risk. Campbell & Company trades for the
Trust only with those counterparties which it believes to be creditworthy. All
positions of the Trust are valued each day on a mark-to-market basis. There can
be no assurance that any clearing member, clearinghouse or other counterparty
will be able to meet its obligations to the Trust.

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

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

ITEM 7A. 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.

                                       11

<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.

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 December 31, 2003 and 2002
and the trading gains/losses by market category for the years ended December 31,
2003 and 2002. All open position trading risk exposures of the Trust have been
included in calculating the figures set forth below. As of December 31, 2003 and
2002, the Trust's total capitalization was approximately $32.8 million and $32.9
million.

                                       12

<PAGE>

                                DECEMBER 31, 2003

<TABLE>
<CAPTION>
                                   % 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.

                                DECEMBER 31, 2002

<TABLE>
<CAPTION>
                                   % OF TOTAL       TRADING
MARKET SECTOR    VALUE AT RISK   CAPITALIZATION*  GAIN/(LOSS)**
--------------   -------------   ---------------  -------------
<S>              <C>             <C>              <C>
Currencies       $     878,000        3.44%               5.81 %
Energy                 622,000        2.44%              (1.64)%
Interest Rates         382,000        1.50%              15.12 %
Stock Indices          221,000        0.87%               3.58 %
Metals                  68,000        0.27%              (0.41)%
Agricultural            62,000        0.24%              (0.37)%
                 -------------       -----        ------------
   Total         $   2,233,000        8.76%              22.09 %
                 =============       =====        ============
</TABLE>

* - For the purposes of the above "% of Total Capitalization", additions and
redemptions as of December 31, 2002 were not included in the total
capitalization.

** - Of the 15.50% return for the year ended December 31, 2002, approximately
22.09% was due to trading gains (before commissions) and approximately 1.61% was
due to interest income, offset by approximately 8.20% due to brokerage fees,
performance fees and operating and offering costs borne by the Trust.

MATERIAL LIMITATIONS ON VALUE AT RISK AS AN ASSESSMENT OF MARKET RISK

         The face value of the market sector instruments held by the Trust is
typically many times the applicable maintenance margin requirement (maintenance
margin requirements generally ranging between approximately 1% and 10% of
contract face value) as well as many times the capitalization of the Trust. The
magnitude of the Trust's open positions creates a "risk of ruin" not typically
found in most other investment vehicles. Because of the size of its positions,
certain market conditions -- unusual, but historically recurring from time to
time -- could cause the Trust to incur severe losses over a short period of
time. The foregoing Value at Risk tables -- as well as the past performance of
the Trust -- give no indication of this "risk of ruin."

NON-TRADING RISK

                                       13

<PAGE>

         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 December 31, 2003, by market sector.

Currencies

         Exchange rate risk is the principal market exposure of the Trust. The
Trust's currency exposure is to exchange rate fluctuations, primarily
fluctuations which disrupt the historical pricing relationships between
different currencies and currency pairs. These fluctuations are influenced by
interest rate changes as well as political and general economic conditions. The
Trust trades in a large number of currencies, including cross-rates -- i.e.,
positions between two currencies other than the U.S. Dollar. Campbell & Company
does not anticipate that the risk profile of the Trust's currency sector will
change significantly in the future.

Interest Rates

         Interest rate risk is a significant market exposure of the Trust.
Interest rate movements directly affect the price of the sovereign bond
positions held by the Trust and indirectly the value of its stock index and
currency positions. Interest rate movements in one country as well as relative
interest rate movements between countries materially impact the Trust's
profitability. The Trust's primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. However, the
Trust also 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 limited to futures on broadly based
indices. As of December 31, 2003, the Trust's primary exposures were in the DAX
(Germany), Euro STOXX 50, FTSE (U.K.), S&P 500 (USA), NASDAQ (USA) and IBEX
(Spain) 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

                                       14

<PAGE>

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 December 31, 2003, crude oil, heating oil and unleaded
gas 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 2003.

Agricultural

         Since January 2003, the Trust no longer trades in agricultural
contracts.

QUALITATIVE DISCLOSURES REGARDING NON-TRADING RISK EXPOSURE

         The following were the only non-trading risk exposures of the Trust as
of December 31, 2003.

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 the Trust and Campbell & Company, severally, attempt
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.

                                       15

<PAGE>

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.

ITEM 8.           FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA

         Financial statements meeting the requirements of Regulation S-X appear
beginning on Page 23 of this report. The supplementary financial information
specified by Item 302 of Regulation S-K is included in Item 6. Selected
Financial Data.

ITEM 9.           CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING
                  AND FINANCIAL DISCLOSURE

         None.

ITEM 9A.          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 annual 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.

                                    PART III

ITEM 10.          DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT

         The Registrant has no directors or executive officers. The Registrant
has no employees. It is managed by Campbell & Company in its capacity as
managing owner. Campbell & Company has been registered as a commodity pool
operator (CPO) since September 1982. Its main business address is 210 West
Pennsylvania Avenue, Towson, Maryland 21204, (410) 296-3301. Campbell &
Company's directors and executive officers are as follows:

THERESA D. BECKS, born in 1963, joined Campbell & Company in June 1991 and has
served as the CHIEF FINANCIAL OFFICER and TREASURER since 1992, and SECRETARY
and a DIRECTOR since 1994. In addition to her role as CFO, Ms. Becks also
oversees administration, compliance and trade operations. Ms. Becks is currently
a member of the Board of Directors of the Managed Funds Association. From 1987
to 1991, she was employed by Bank Maryland Corp, a publicly held company, as a
Vice President and Chief Financial Officer. Prior to that time, she worked with
Ernst & Young. Ms. Becks is a C.P.A. and has a B.S. in Accounting from the
University of Delaware. Ms. Becks is an Associated Person of Campbell & Company.

D. KEITH CAMPBELL, born in 1942, has served as the CHAIRMAN OF THE BOARD OF
DIRECTORS of Campbell & Company since it began operations, was President until
1994, and was Chief Executive Officer until 1997. Mr. Campbell is the majority
voting stockholder of Campbell & Company. From 1971 to 1978, he was a registered
representative of a futures commission merchant. Mr. Campbell has acted as a
commodity trading advisor since 1972 when, as general partner of the Campbell
Fund, a limited partnership engaged

                                       16

<PAGE>

in commodity futures trading, he assumed sole responsibility for trading
decisions made on behalf of the Fund. Since then, he has applied various
technical trading models to numerous discretionary futures trading accounts. Mr.
Campbell is registered with the CFTC and NFA as a commodity pool operator. Mr.
Campbell is an Associated Person of Campbell & Company.

WILLIAM C. CLARKE, III, born in 1951, joined Campbell & Company in June 1977 and
has served as an EXECUTIVE VICE PRESIDENT since 1991 and a DIRECTOR since 1984.
Mr. Clarke holds a B.S. in Finance from Lehigh University where he graduated in
1973. Mr. Clarke currently oversees all aspects of research, which involves the
development of proprietary trading models and portfolio management methods. Mr.
Clarke is an Associated Person of Campbell & Company.

BRUCE L. CLELAND, born in 1947, joined Campbell & Company in January 1993 and
has served as PRESIDENT and a DIRECTOR since 1994, and CHIEF EXECUTIVE OFFICER
since 1997. Mr. Cleland has worked in the international derivatives industry
since 1973, and has owned and managed firms engaged in global clearing, floor
brokerage, trading and portfolio management. Mr. Cleland is currently a member
of the Board of Directors of the National Futures Association, and previously
served as a member of the Board of Directors of the Managed Funds Association
and as a member of the Board of Governors of the COMEX, in New York. Mr. Cleland
is a graduate of Victoria University in Wellington, New Zealand where he earned
a Bachelor of Commerce and Administration degree. Mr. Cleland is an Associated
Person of Campbell & Company.

KEVIN M. HEERDT, born in 1958, joined Campbell & Company in March 2003 as
Executive Vice President-Research and was appointed EXECUTIVE VICE
PRESIDENT-RESEARCH AND INFORMATION TECHNOLOGY in November 2003. His duties
include risk management, research, and the development of quantitatively based
hedge fund and options strategies, as well as providing managerial oversight of
the information technology team. From February 2002 to March 2003, he was
self-employed through Integrity Consulting. Previously, Mr. Heerdt worked for
twelve years at Moore Capital Management, Inc., where he was a Director until
1999, and a Managing Director from 2000 to 2002. Mr. Heerdt holds a B.A. in
Economics and in International Relations from the University of Southern
California. Mr. Heerdt is an Associated Person of Campbell & Company.

JAMES M. LITTLE, born in 1946, joined Campbell & Company in April 1990 and has
served as EXECUTIVE VICE PRESIDENT-BUSINESS DEVELOPMENT and a DIRECTOR since
1992. Mr. Little holds a B.S. in Economics and Psychology from Purdue
University. From 1989 to 1990, Mr. Little was a registered representative of
A.G. Edwards & Sons, Inc. From 1984 to 1989, he was the Chief Executive Officer
of James Little & Associates, Inc., a commodity pool operator and broker-dealer.
Mr. Little is the co-author of The Handbook of Financial Futures, and is a
frequent contributor to investment industry publications. Mr. Little is an
Associated Person of Campbell & Company.

CRAIG A. WEYNAND, born in 1969, joined Campbell & Company in October 2003 as
VICE PRESIDENT and has served as GENERAL COUNSEL since November 2003. In this
capacity, he is involved in all aspects of legal affairs and regulatory
oversight, as well as managerial oversight of trade operations. From May 1990 to
September 2003, Mr. Weynand was employed by Morgan Stanley, serving as Senior
Trader for Morgan Stanley Futures and Currency Management Inc., a commodity
trading advisor, until 1998 and as Vice President - Director of Product
Origination & Analysis for the Morgan Stanley Managed Futures Department until
his departure. Mr. Weynand holds a B.S. in International Business and Marketing
and an M.B.A. in Economics from New York University, and a J.D. from the Fordham
University School of Law. Mr. Weynand is a member of the New York State Bar and
serves on the Government Relations Committee of the Managed Funds Association.
Mr. Weynand is an Associated Person of Campbell & Company.

C. DOUGLAS YORK, born in 1958, has been employed by Campbell & Company since
November 1992, was appointed a Senior Vice President-Trading in 1997, and has
served as EXECUTIVE VICE PRESIDENT-TRADING since 2003. His duties include
managing daily trade execution for the assets under Campbell & Company's
management. From 1991 to 1992, Mr. York was the Global Foreign Exchange Manager
for

                                       17

<PAGE>

Black & Decker. He holds a B.A. in Government from Franklin and Marshall
College. Mr. York is an Associated Person of Campbell & Company.

RICHARD M. BELL, SENIOR VICE PRESIDENT - TRADING, retired as of January 1, 2004.

There has never been a material administrative, civil or criminal action brought
against Campbell & Company or any of its directors, executive officers,
promoters or control persons.

No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To
the best of the Registrant's knowledge, no such forms have been or are required
to be filed.

AUDIT COMMITTEE FINANCIAL EXPERT

The Board of Directors of Campbell & Company, in its capacity as the audit
committee for the Trust, has determined that Theresa D. Becks qualifies as an
"audit committee financial expert" in accordance with the applicable rules and
regulations of the Securities and Exchange Commission. She is not independent of
management.

CODE OF ETHICS

Campbell & Company has adopted a code of ethics for its chief executive officer,
chief financial officer, controller, accounting managers and persons performing
similar functions. A copy of the code of ethics may be obtained at no charge by
written request to Campbell & Company's corporate secretary, Court Towers
Building, 210 West Pennsylvania Ave., Suite 770, Towson, Maryland 21204 or by
calling 1-800-698-7235.

ITEM 11.          EXECUTIVE COMPENSATION

         The Registrant is managed by its managing owner, Campbell & Company.
Campbell & Company receives from the Registrant a Brokerage Fee equal to up to
3.5% of the Registrant's month-end Net Assets per year. From such 3.5% Brokerage
Fee, Campbell & Company remits up to 0.65% to the futures broker for execution
and clearing costs, and 0.35% to the broker-dealers which engaged in the
distribution of the Units in return for ongoing services to the Unitholders.
Campbell & Company retains the remaining 2.5% as management fees (2% for
providing advisory fees and 0.5% for acting as managing owner). Campbell &
Company also receives a performance fee of 20% of the aggregate cumulative
appreciation (if any) in Net Asset Value per unit at the end of each calendar
quarter, exclusive of the appreciation attributable to interest income.

                                       18

<PAGE>

ITEM 12.          SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT
                  AND RELATED STOCKHOLDER MATTERS

         (a)      Security Ownership of Certain Beneficial Owners. As of
                  December 31, 2003, no Units of Beneficial Interest are owned
                  or held by an officer of Campbell & Company. As of December
                  31, 2003, the following beneficial owners owned more than five
                  percent of the Units:

<TABLE>
<CAPTION>
          Name of Beneficial                Number of Units         Percentage of
                Owner                           Owned                  Trust
                -----                           -----                  -----
<S>                                         <C>                     <C>
Campbell & Company, Inc. 401(k) Plan           8,648.266               36.30%
Campbell & Company, Inc.                       1,413.580                5.93%
</TABLE>

         (b)      Security Ownership of Management. As of December 31, 2003,
                  Campbell & Company owned 1,413.580 Units of Managing Owner
                  Interest having a value of $1,947,390. Units of Managing Owner
                  Interest will always be owned by Campbell & Company in its
                  capacity as managing owner.

ITEM 13.          CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS

         See Item 11, Executive Compensation and Item 12, Security Ownership of
Certain Beneficial Owners and Management.

ITEM 14.          PRINCIPAL ACCOUNTANT FEES AND SERVICES

         (a)  Audit Fees

              The aggregate fees billed for professional services rendered by
              Arthur F. Bell, Jr. & Associates, L.L.C. ("AFB") for the audit of
              the Trust's annual financial statements, for review of financial
              statements included in the Trust's Forms 10-Q and other services
              normally provided in connection with regulatory filings for the
              years ended December 31, 2003 and 2002 were $20,595 and $25,863,
              respectively.

         (b)  Audit Related Fees

              The aggregate fees billed by AFB for the monthly recalculation of
              the Trust's net asset value for the years ended December 31, 2003
              and 2002 were $7,200 and $7,200, respectively.

         (c)  Tax Fees

              The aggregate fees billed by AFB for professional services
              rendered for the assistance in the preparation and mailing of the
              Trust's monthly account statements to Unitholders, utilizing data,
              narrative and other items provided by Campbell & Company for the
              years ended December 31, 2003 and 2002 were $3,600 and $7,362,
              respectively. During the years ended December 31, 2003 and 2002, a
              total of 579 and 195 individual investor K-1s, respectively, were
              distributed to the Unitholders.

         (d)  All Other Fees

              The aggregate fees and expenses billed by AFB for professional
              services, and related cost reimbursements for postage, supplies
              and fulfillment house expenses, rendered for the assistance in the
              preparation and mailing of the Trust's monthly account statements
              to Unitholders, utilizing data, narrative and other items provided
              by Campbell & Company for the years ended December 31, 2003 and
              2002 were $6,353 and $5,603, respectively. During the years ended
              December 31, 2003 and 2002, a total of 5,024 and 3,193 monthly
              account statements respectively, were distributed to Unitholders.

                                       19

<PAGE>

         (e)  The Board of Directors of Campbell & Company approved all of the
              services described above. The Board of Directors has determined
              that the payments made to its independent accountants for these
              services are compatible with maintaining such auditors'
              independence. The Board of Directors explicitly pre-approves all
              audit and non-audit services and all engagement fees and terms.

                                     PART IV

ITEM 15.          EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM
                  8-K

         (a)      The Following documents are filed as part of this report:

                  (1)      See Financial Statements beginning on page 20 hereof.

                  (2)      Schedules:

                           Financial statement schedules have been omitted
                           because they are not included in the financial
                           statements or notes hereto applicable or because
                           equivalent information has been included in the
                           financial statements or notes thereto.

                  (3)      Exhibits

<TABLE>
<CAPTION>
Exhibit Number                       Description of Document
--------------                       -----------------------
<S>               <C>
    1.01          Selling Agreement among the Registrant, Campbell & Company,
                  PaineWebber Incorporated and the Selling Agent. (Incorporated
                  by reference to the respective exhibit to the Pre-Effective
                  Amendment No. 2 to the Registrant's Registration Statement on
                  Form S-1 (No. 333-37548) filed on February 26, 2001).

    1.02          Additional Selling Agreement among the Registrant, Campbell &
                  Company and the Additional Selling Agent. (Incorporated by
                  reference to the respective exhibit to the Pre-Effective
                  Amendment No. 2 to the Registrant's Registration Statement on
                  Form S-1 (No. 333-37548) filed on February 26, 2001).

    3.01          Declaration of Trust and Trust Agreement of the Registrant
                  dated May 1, 2000. (Incorporated by reference to the
                  respective exhibit to the Registrant's Registration Statement
                  on Form S-1 (No. 333-37548) filed on May 22, 2000).

    3.02          Certificate of Trust of the Registrant. (Incorporated by
                  reference to the respective exhibit to the Pre-Effective
                  Amendment No. 1 to the Registrant's Registration Statement on
                  Form S-1 (No. 333-37548) filed on November 9, 2000).

    3.03          Amended and Restated Declaration of Trust and Trust Agreement
                  of the Registrant. (Incorporated by reference to the
                  respective exhibit to the Registrant's Registration Statement
                  on Post-Effective Amendment No. 2 to Form S-1 (No. 333-74014)
                  filed on September 4, 2003).

    10.01         Customer Agreement between the Registrant and Paine Webber
                  Incorporated. (Incorporated by reference to the respective
                  exhibit to the Pre-Effective Amendment No. 2 to the
                  Registrant's Registration Statement on Form S-1 (No.
                  333-37548) filed on February 26, 2001).

    10.02         Subscription Agreement and Power of Attorney. (Incorporated by
                  reference to the respective exhibit to the Registrant's
                  Registration Statement on Post-Effective Amendment No. 2 to
                  Form S-1 (No. 333-74014) filed on September 4, 2003).

    10.03         Escrow Agreement between the Registrant and Mercantile Safe
                  Deposit & Trust Company. (Incorporated by reference to the
                  respective exhibit to the Pre-Effective Amendment No. 2 to the
                  Registrant's Registration Statement on Form S-1 (No.
                  333-37548) filed on February 26, 2001).
</TABLE>

                                       20

<PAGE>

<TABLE>
<CAPTION>
Exhibit Number                       Description of Document
--------------                       -----------------------
<S>               <C>
    10.04         International Swap Dealers Association, Inc. Master Agreement
                  between the Registrant and ABN AMRO Bank, N.V., Chicago
                  Branch. (Incorporated by reference to the respective exhibit
                  to the Registrant's Registration Statement on Post-Effective
                  Amendment No. 1 to Form S-1 (No. 333-74014) filed on December
                  12, 2002).

    10.05         International Swap Dealers Association, Inc. Master Agreement
                  between the Registrant and Deutsche Bank AG. (Incorporated by
                  reference to the respective exhibit to the Pre-Effective
                  Amendment No. 2 to the Registrant's Registration Statement on
                  Form S-1 (No. 333-37548) filed on February 26, 2001.)

    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.
</TABLE>

                  (b)      Reports on Form 8-K

                           None.

                                       21

<PAGE>

                                   SIGNATURES

         Pursuant to the requirements of Section 13 or 15 (d) 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 on March 24, 2004.

                               CAMPBELL ALTERNATIVE ASSET TRUST

                               By: CAMPBELL & COMPANY, INC.
                                   Managing Owner

                               By: /s/ Theresa D. Becks
                                   ---------------------------------------------
                                   Theresa D. Becks
                                   Chief Financial Officer, Secretary, Treasurer
                                   and Director

         Pursuant to the requirements of the Securities Exchange Act of 1934,
this report has been signed below by the following persons on behalf of the
Registrant in the capacities indicated on March 24, 2004.

         Signature                              Capacity

/s/ D. Keith Campbell
---------------------------
 D.Keith Campbell                Chairman of the Board

/s/ William C. Clarke, III
---------------------------
William C. Clarke, III           Executive Vice President and Director

/s/ Bruce L. Cleland
---------------------------
Bruce L. Cleland                 President, Chief Executive Officer and Director

/s/ Theresa D. Becks
---------------------------
Theresa D. Becks                 Chief Financial Officer,  Secretary,
                                 Treasurer and Director

/s/ James M. Little
---------------------------
James M. Little                  Executive Vice President and Director

/s/ C. Douglas York
---------------------------
C. Douglas York                  Executive Vice President and Director

                                       22

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST

                                  ANNUAL REPORT

                                December 31, 2003

                                       23

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST

                                TABLE OF CONTENTS

<TABLE>
<CAPTION>
                                                                           PAGES
                                                                           -----
<S>                                                                        <C>
INDEPENDENT AUDITOR'S REPORT                                                  25

FINANCIAL STATEMENTS

Statements of Financial Condition
December 31, 2003 and 2002                                                    26

Condensed Schedule of Investments
December 31, 2003                                                             27

Statements of Operations For the Years
Ended December 31, 2003, 2002 and 2001                                        28

Statements of Cash Flows For the Years
Ended December 31, 2003, 2002 and 2001                                        29

Statements of Changes in Partners' Capital (Net Asset Value)
For the Years Ended December 31, 2003, 2002 and 2001                          30

Notes to Financial Statements                                              31-36
</TABLE>

                                       24

<PAGE>


                          INDEPENDENT AUDITOR'S REPORT

To the Unitholders
Campbell Alternative Asset Trust

We have audited the accompanying statements of financial condition of Campbell
Alternative Asset Trust as of December 31, 2003 and 2002, including the December
31, 2003 condensed schedule of investments, and the related statements of
operations, cash flows and changes in unitholders' capital (net asset value) for
the years ended December 31, 2003, 2002 and 2001. These financial statements are
the responsibility of the Trust's management. Our responsibility is to express
an opinion on these financial statements based on our audits.

We conducted our audits in accordance with auditing standards generally accepted
in the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Campbell Alternative Asset
Trust as of December 31, 2003 and 2002, and the results of its operations, cash
flows and the changes in its net asset values for the years ended December 31,
2003, 2002 and 2001, in conformity with accounting principles generally accepted
in the United States of America.

/s/ Arthur F. Bell, Jr. & Associates, L.L.C.

Hunt Valley, Maryland
February 26, 2004

                                       25

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                        STATEMENTS OF FINANCIAL CONDITION
                           December 31, 2003 and 2002

<TABLE>
<CAPTION>
                                                             2003            2002
                                                          -----------     -----------
<S>                                                       <C>             <C>
ASSETS
  Equity in broker trading accounts
     Cash                                                 $   968,325     $ 1,776,218
     United States government securities                   19,483,115      15,979,020
     Unrealized gain on open futures contracts                583,469         396,978
                                                          -----------     -----------

            Deposits with broker                           21,034,909      18,152,216

  Cash                                                     11,024,981       8,288,433
  Unrealized gain on open forward contracts                 1,105,648         371,462
  Subscriptions receivable                                          0       7,712,354
                                                          -----------     -----------

            Total assets                                  $33,165,538     $34,524,465
                                                          ===========     ===========

LIABILITIES
  Accounts payable                                        $    23,676     $    22,026
  Brokerage fee                                                50,393          60,705
  Commissions and other trading fees
     on open contracts                                          8,072           6,261
  Performance fee                                             246,065               0
  Offering costs payable                                       15,914          19,170
  Redemptions payable                                               0       1,561,825
                                                          -----------     -----------

            Total liabilities                                 344,120       1,669,987
                                                          -----------     -----------

UNITHOLDERS' CAPITAL (NET ASSET VALUE)
  Managing Owner - 1,413.580 and 6,000.000 units
     outstanding at December 31, 2003 and 2002              1,947,390       6,747,480
  Other Unitholders - 22,411.035 and 23,214.940 units
     outstanding at December 31, 2003 and 2002             30,874,028      26,106,998
                                                          -----------     -----------

            Total unitholders' capital
                (Net Asset Value)                          32,821,418      32,854,478
                                                          -----------     -----------

                                                          $33,165,538     $34,524,465
                                                          ===========     ===========
</TABLE>

                             See accompanying notes.

                                       26

<PAGE>

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


<TABLE>
<CAPTION>
UNITED STATES GOVERNMENT SECURITIES
                                                                                                  % of Net
 Face Value    Maturity Date   Description                                            Value      Asset Value
 ----------    -------------   -----------                                            -----      -----------
<S>            <C>             <C>                                                <C>            <C>
$ 15,000,000      2/05/04      U.S. Treasury Bills                                $ 14,986,583         45.66 %
$  2,500,000      1/08/04      U.S. Treasury Bills                                   2,499,577          7.62 %
$  2,000,000      3/04/04      U.S. Treasury Bills                                   1,996,955          6.08 %
                                                                                  ------------   -----------

             TOTAL UNITED STATES GOVERNMENT SECURITIES
              (COST, INCLUDING ACCRUED INTEREST, - $ 19,483,115)                  $ 19,483,115         59.36 %
                                                                                  ============   ===========

LONG FUTURES CONTRACTS

                                                                                                  % of Net
                               Description                                            Value      Asset Value
                               -----------                                            -----      -----------
                               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 %
                                                                                  ------------   -----------
SHORT FUTURES CONTRACTS

                                                                                                  % of Net
                               Description                                            Value      Asset Value
                               -----------                                            -----      -----------
                               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 %
                                                                                  ============   ===========

FORWARD CURRENCY CONTRACTS

                                                                                                  % of Net
                               Description                                            Value      Asset Value
                               -----------                                            -----      -----------
                               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.

                                       27

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                            STATEMENTS OF OPERATIONS
              For the Years Ended December 31, 2003, 2002 and 2001

<TABLE>
<CAPTION>
                                                   2003             2002             2001
                                                   ----             ----             ----
<S>                                             <C>              <C>              <C>
TRADING GAINS
  Futures trading gains (losses)
     Realized                                   $   719,403      $ 3,372,098      $  (957,880)
     Change in unrealized                           186,491          451,637          (54,659)
     Brokerage commissions                          (63,948)        (107,259)         (21,229)
                                                -----------      -----------      -----------

           Gain (loss) from futures trading         841,946        3,716,476       (1,033,768)
                                                -----------      -----------      -----------

  Forward trading gains (losses)
     Realized                                     7,707,431        1,782,960         (183,057)
     Change in unrealized                           734,186         (490,626)         862,088
     Brokerage commissions                          (14,554)         (12,573)          (2,462)
                                                -----------      -----------      -----------

           Gain from forward trading              8,427,063        1,279,761          676,569
                                                -----------      -----------      -----------

           Total trading gains (losses)           9,269,009        4,996,237         (357,199)
                                                -----------      -----------      -----------

EXPENSES NET OF INTEREST INCOME
  Income
     Interest income                                327,818          383,867           74,626
                                                -----------      -----------      -----------

  Expenses
     Brokerage fee                                  921,985          690,980          120,424
     Performance fee                              1,351,460          870,160              198
     Operating expenses                              59,539           57,763           19,760
                                                -----------      -----------      -----------

           Total expenses                         2,332,984        1,618,903          140,382
                                                -----------      -----------      -----------

           Expenses net of interest income       (2,005,166)      (1,235,036)         (65,756)
                                                -----------      -----------      -----------

           NET INCOME (LOSS)                    $ 7,263,843      $ 3,761,201      $  (422,955)
                                                ===========      ===========      ===========

NET INCOME (LOSS) PER MANAGING OWNER
  AND OTHER UNITHOLDER UNIT
     (based on weighted average number
     of units outstanding during the year)      $    292.55      $    161.99      $    (24.79)
                                                ===========      ===========      ===========

INCREASE (DECREASE) IN NET ASSET VALUE
  PER MANAGING OWNER AND
  OTHER UNITHOLDER UNIT                         $    253.05      $    150.94      $    (26.36)
                                                ===========      ===========      ===========
</TABLE>

                             See accompanying notes.

                                       28

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                            STATEMENTS OF CASH FLOWS
              For the Years Ended December 31, 2003, 2002 and 2001

<TABLE>
<CAPTION>
                                                                 2003              2002             2001
                                                                 ----              ----             ----
<S>                                                          <C>               <C>               <C>
CASH FLOWS FROM (FOR) OPERATING ACTIVITIES
 Net income (loss)                                           $  7,263,843      $  3,761,201      $   (422,955)
    Adjustments to reconcile net income (loss)
       to net cash from (for) operating activities
           Net change in unrealized                              (920,677)           38,989          (807,429)
           Increase in accounts payable and
              accrued expenses                                    239,214            22,758            66,234
           Net (purchases) of investments
              in United States government securities           (3,504,095)       (7,494,308)       (8,484,712)
                                                             ------------      ------------      ------------

                Net cash from (for) operating activities        3,078,285        (3,671,360)       (9,648,862)
                                                             ------------      ------------      ------------

CASH FLOWS FROM (FOR) FINANCING ACTIVITIES
 Addition of units                                              1,759,337        20,154,920        18,994,488
 Decrease (increase) in subscriptions receivable                7,712,354        (7,198,283)         (514,071)
 Redemption of units                                           (8,765,086)       (9,359,119)          (19,822)
 Increase (decrease) in redemptions payable                    (1,561,825)        1,561,825                 0
 Offering costs charged                                          (291,154)         (218,205)          (38,030)
 Increase (decrease) in offering costs payable                     (3,256)            5,753            13,417
                                                             ------------      ------------      ------------

                Net cash from (for) financing activities       (1,149,630)        4,946,891        18,435,982
                                                             ------------      ------------      ------------

Net increase in cash                                            1,928,655         1,275,531         8,787,120

CASH
 Beginning of year                                             10,064,651         8,789,120             2,000
                                                             ------------      ------------      ------------
 End of year                                                 $ 11,993,306      $ 10,064,651      $  8,789,120
                                                             ============      ============      ============

End of year cash consists of:
 Cash in broker trading accounts                             $    968,325      $  1,776,218      $    712,721
 Cash                                                          11,024,981         8,288,433         8,076,399
                                                             ------------      ------------      ------------

                Total end of year cash                       $ 11,993,306      $ 10,064,651      $  8,789,120
                                                             ============      ============      ============
</TABLE>

                             See accompanying notes.

                                       29

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
         STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
              For the Years Ended December 31, 2003, 2002 and 2001

<TABLE>
<CAPTION>
                                                                 Unitholders' Capital
                               ---------------------------------------------------------------------------------------------
                                     Managing Owner                 Other Unitholders                      Total
                               ---------------------------    -----------------------------    -----------------------------
                                  Units          Amount           Units           Amount           Units           Amount
                                  -----          ------           -----           ------           -----           ------
<S>                            <C>            <C>             <C>              <C>             <C>              <C>
Balances at
   December 31, 2000                 2.000    $      2,000            0.000    $          0            2.000    $      2,000
Additions                        5,998.000       5,998,000       13,035.882      12,996,488       19,033.882      18,994,488
Net (loss) for the year
   ended December 31, 2001                        (144,735)                        (278,220)                        (422,955)
Redemptions                          0.000               0          (19.000)        (19,822)         (19.000)        (19,822)
Offering costs                                     (13,399)                         (24,631)                         (38,030)
                               -----------    ------------    -------------    ------------    -------------    ------------
Balances at
   December 31, 2001             6,000.000       5,841,866       13,016.882      12,673,815       19,016.882      18,515,681

Net income for the year
   ended December 31, 2002                         961,603                        2,799,598                        3,761,201
Additions                            0.000               0       18,767.321      20,154,920       18,767.321      20,154,920
Redemptions                          0.000               0       (8,569.263)     (9,359,119)      (8,569.263)     (9,359,119)
Offering costs                                     (55,989)                        (162,216)                        (218,205)
                               -----------    ------------    -------------    ------------    -------------    ------------
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 year
   ended December 31, 2003                       1,225,355                        6,038,488                        7,263,843
Additions                            0.000               0        1,383.005       1,759,337        1,383.005       1,759,337
Redemptions                     (4,586.420)     (6,000,000)      (2,186.910)     (2,765,086)      (6,773.330)     (8,765,086)
Offering costs                                     (25,445)                        (265,709)                        (291,154)
                               -----------    ------------    -------------    ------------    -------------    ------------
Balances at
   December 31, 2003             1,413.580    $  1,947,390       22,411.035    $ 30,874,028       23,824.615    $ 32,821,418
                               ===========    ============    =============    ============    =============    ============
</TABLE>

<TABLE>
<CAPTION>
Net Asset Value Per Managing Owner and Other Unitholder Unit
------------------------------------------------------------
                    December 31,
  2003                  2002                    2001
  ----                  ----                    ----
<S>                   <C>                     <C>
$1,377.63             $1,124.58               $973.64
=========             =========               =======
</TABLE>

                             See accompanying notes.

                                       30

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                          NOTES TO FINANCIAL STATEMENTS

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 December 31,
                  2003, the 401 (K) Plan held approximately 36% 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 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.

                                       31

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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 December 31, 2003, the Trust reflects a
                  liability in the statement of financial condition for offering
                  costs payable to Campbell & Company of $15,914.

                  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 December 31, 2003, the amount of unreimbursed
                  offering costs incurred by Campbell & Company is $972,637.

         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 2002 and 2001 financial statements were
                  reclassified to conform with the 2003 presentation.

                                       32

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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,
         effective January 1, 2003, approximately $6 per round turn to the
         broker for execution and clearing costs. Prior to January 1, 2003, the
         Trust paid $10 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 .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 subscriptions receivable at
         December 31, 2002 represent subscriptions from the Campbell & Company,
         Inc. 401(K) Plan and were received by the Trust on or before January 9,
         2003.

         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.

                                       33

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

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 December
         31, 2003 and 2002 was $19,483,115 and $15,979,020, respectively, which
         equals 59% and 49% of Net Asset Value, respectively. The cash deposited
         with interbank market makers at December 31, 2003 and 2002 was
         $10,999,058 and $8,287,188, respectively, which equals 34% and 25% of
         Net Asset Value, respectively. These amounts are included in cash.

         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.

                                       34

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 7.    TRADING ACTIVITIES AND RELATED RISKS (CONTINUED)

         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)
                                       December 31,                       December 31,
                                  2003             2002             2003             2002
                                  ----             ----             ----             ----
<S>                            <C>              <C>              <C>              <C>
Gross unrealized gains         $   787,909      $   573,482      $ 2,379,878      $ 2,292,568
Gross unrealized losses           (204,440)        (176,504)      (1,274,230)      (1,921,106)
                               -----------      -----------      -----------      -----------

Net unrealized gain (loss)     $   583,469      $   396,978      $ 1,105,648      $   371,462
                               ===========      ===========      ===========      ===========
</TABLE>

         Open contracts generally mature within three months; as of December 31,
         2003, the latest maturity date for open futures contracts is September
         2004, and the latest maturity date for open forward contracts is March
         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.

                                       35

<PAGE>

                        CAMPBELL ALTERNATIVE ASSET TRUST
                    NOTES TO FINANCIAL STATEMENTS (CONTINUED)

Note 8.  FINANCIAL HIGHLIGHTS

         The following information presents per unit operating performance data
         and other supplemental financial data for the years ended December 31,
         2003 and 2002 and for the period October 1, 2001 (commencement of
         trading) to December 31, 2001. This information has been derived from
         information presented in the financial statements.

<TABLE>
<CAPTION>
                                                           Year Ended      Year Ended     Period Ended
                                                          December 31,    December 31,    December 31
                                                             2003             2002           2001
                                                             ----             ----           ----
<S>                                                       <C>             <C>             <C>
PER UNIT PERFORMANCE
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period           $   1,124.58    $     973.64    $   1,000.00
                                                          ------------    ------------    ------------
Income (loss) from operations:
       Total trading gains (1)                                  345.54          213.53          (20.28)
       Expenses net of interest income (1)                      (80.76)         (53.19)          (3.85)
                                                          ------------    ------------    ------------
              Total income from operations                      264.78          160.34          (24.13)
                                                          ------------    ------------    ------------
Offering costs (1)                                              (11.73)          (9.40)          (2.23)
                                                          ------------    ------------    ------------
Net asset value per unit at end of period                 $   1,377.63    $   1,124.58    $     973.64
                                                          ============    ============    ============
TOTAL RETURN                                                     22.50%          15.50 %         (2.64)%(3)
                                                          ============    ============    ============
SUPPLEMENTAL DATA
Ratios to average net asset value:
       Expenses prior to performance fee                         (3.11)%         (3.14)%         (3.31)%(4)
       Performance fee                                           (4.29)%         (3.65)%         (0.00)%(4)
                                                          ------------    ------------    ------------
              Total expenses                                     (7.40)%         (6.79)%         (3.31)%(4)
                                                          ============    ============    ============
       Expenses net of interest income (2)                       (2.07)%         (1.53)%         (1.55)%(4)
                                                          ============    ============    ============
</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 expenses net of interest
                  income and offering costs by the average number of units
                  outstanding during the period. Total trading gains 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.

                                       36

<PAGE>

EXHIBIT INDEX

<TABLE>
<CAPTION>
Exhibit Number             Description of Document                              Page Number
--------------             -----------------------                              -----------
<S>                        <C>                                                  <C>
31.01                      Certification by Chief Executive Officer                 E 2
31.02                      Certification by Chief Financial Officer                 E 3
32.01                      Certification by Chief Executive Officer                 E 4
32.02                      Certification by Chief Financial Officer                 E 5
</TABLE>

                                       E-1