##### 



SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549
 FORM 10-K (Mark One) þ
    
    ANNUAL REPORT PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934   [NO FEE REQUIRED]
 For the Fiscal Year Ended December 31, 2004
Commission File Number 0-33311 and
2-84126 OR o
    
    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 
  DELAWARE
    
    52-2238521(State or other jurisdiction of
    
    (IRS Employer Identification Number)incorporation or organization)210 W. Pennsylvania AvenueTowson, 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 
  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  þ  No  o 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.  þ Indicate by check mark whether the registrant is an accelerated filer (as defined in Exchange Act
Rule 12b-2)
Yes  o  No  þ The Registrant has no voting stock. As of December 31, 2004 there were 23,282.041 Units of
Beneficial Interest issued and outstanding. Total number of pages 38. Consecutive page numbers on which exhibits commence: 5.




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TABLE OF CONTENTS PagePART IITEM 1.
    
    BUSINESS
    
    
    1-2ITEM 2.
    
    PROPERTIES
    
    
    2ITEM 3.
    
    LEGAL PROCEEDINGS
    
    
    3ITEM 4.
    
    SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
    
    
    3PART IIITEM 5.
    
    MARKET FOR REGISTRANTS COMMON
EQUITY RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY
SECURITIES
    
    
    3ITEM 6.
    
    SELECTED FINANCIAL DATA
    
    
    3-4ITEM 7.
    
    MANAGEMENTS DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
    
    
    5-12ITEM 7A.
    
    QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
    
    
    12-17ITEM 8.
    
    FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
    
    
    17ITEM 9.
    
    CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE
    
    
    17ITEM 9A.
    
    CONTROLS AND PROCEDURES
    
    
    18ITEM 9B.
    
    OTHER INFORMATION
    
    
    18PART IIIITEM 10.
    
    DIRECTORS AND EXECUTIVE OFFICERS OF THE REGISTRANT
    
    
    18-19ITEM 11.
    
    EXECUTIVE COMPENSATION
    
    
    20ITEM 12.
    
    SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS
    
    
    20ITEM 13.
    
    CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
    
    
    20ITEM 14.
    
    PRINCIPAL ACCOUNTING FEES AND SERVICES
    
    
    20-21PART IVITEM 15.
    
    EXHIBITS, FINANCIAL STATEMENT SCHEDULES, AND REPORTS ON FORM  8-K
    
    
    21-22SIGNATURESCERTIFICATIONS




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DOCUMENTS INCORPORATED BY REFERENCE  - Prospectus dated June 30, 2004 included within the
Registration Statement on Post-Effective Amendment No. 3 to Form S-1 (File No. 333-74014),
incorporated by reference into Parts I, II, III and IV.




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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 $42,965,537 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




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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 2005, the Trusts assets
are allocated to the different market sectors in approximately the following manner: 52% to
currencies, 30% to interest rates, 12% 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




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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, Related
Stockholder Matters and Issuer Purchases of Equity Securities 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, 2004, there were 309 Unitholders in the Registrant and 23,282.041
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, 2004, 2003,
2002 and 2001, and for the period May 3, 2000 (inception) through December 31, 2000. For thePeriod EndedFor the Years Ended December 31,
    
    
    
    
    December 31,2004
    
    
    2003
    
    
    2002
    
    
    2001
    
    
    2000Total Assets
    
    $
    35,225,567
    
    
    $
    33,165,538
    
    
    $
    34,524,465
    
    
    $
    18,595,332
    
    
    $
    2,000Total Unitholders Capital
    
    
    34,955,385
    
    
    
    32,821,418
    
    
    
    32,854,478
    
    
    
    18,515,681
    
    
    
    2,000Total Trading Gain
(Loss) (includes brokerage commissions)
    
    
    5,125,392
    
    
    
    9,269,009
    
    
    
    4,996,237
    
    
    
    (357,199
    )
    
    
    0Net Income (Loss)
    
    
    3,249,651
    
    
    
    7,263,843
    
    
    
    3,761,201
    
    
    
    (422,955
    )
    
    
    0Net Income (Loss) Per Managing
Owner and Other Unitholder Unit*
    
    
    135.90
    
    
    
    292.55
    
    
    
    161.99
    
    
    
    (24.79
    )
    
    
    0.00Increase
(Decrease) in Net Asset Value
per Managing Owner and
Other Unitholder Unit
    
    
    123.76
    
    
    
    253.05
    
    
    
    150.94
    
    
    
    (26.36
    )
    
    
    0.00
   *
    
    - Based on weighted average number of units outstanding during the period. 3




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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, 2004 and 2003. 1st Qtr.
    
    
    2nd Qtr.
    
    
    3rd Qtr.
    
    
    4th Qtr.2004
    
    
    2004
    
    
    2004
    
    
    2004Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    6,563,299
    
    
    $
    (3,579,841
    )
    
    $
    (768,909
    )
    
    $
    2,910,843Net Income (Loss)
    
    
    5,119,223
    
    
    
    (3,761,351
    )
    
    
    (911,116
    )
    
    
    2,802,895Net Income (Loss)
per Managing Owner
and Other Unitholder
Unit *
    
    
    213.31
    
    
    
    (156.04
    )
    
    
    (38.10
    )
    
    
    118.60Increase (Decrease) in
Net Asset Value per
Managing Owner and
Other Unitholder Unit
    
    
    209.12
    
    
    
    (159.05
    )
    
    
    (41.28
    )
    
    
    114.97Net Asset Value per
Managing Owner and
Other Unitholder Unit
at the End of the Period
    
    
    1,586.75
    
    
    
    1,427.70
    
    
    
    1,386.42
    
    
    
    1,501.39
 1st Qtr.
    
    
    2nd Qtr.
    
    
    3rd Qtr.
    
    
    4th Qtr.2003
    
    
    2003
    
    
    2003
    
    
    2003Total Trading Gain (Loss)
(includes brokerage
commissions)
    
    $
    4,900,559
    
    
    $
    1,842,889
    
    
    $
    (723,618
    )
    
    $
    3,249,179Net Income (Loss)
    
    
    4,072,674
    
    
    
    1,376,343
    
    
    
    (879,344
    )
    
    
    2,694,170Net Income (Loss)
per Managing Owner
and Other Unitholder
Unit *
    
    
    147.44
    
    
    
    57.11
    
    
    
    (36.84
    )
    
    
    113.55Increase (Decrease) in
Net Asset Value per
Managing Owner and
Other Unitholder Unit
    
    
    128.58
    
    
    
    53.66
    
    
    
    (39.72
    )
    
    
    110.53Net 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
   *
    - Based on weighted average number of units outstanding during the period. 4




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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
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. 5




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Approximately 10% to 30% of the Trusts assets normally are committed as required margin for
futures contracts and held by the futures broker, although the amount committed may vary
significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated
accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder.
Approximately 10% to 30% of the Trusts assets are deposited with over-the-counter counterparties
in order to initiate and maintain forward contracts. Such assets are not held in segregation or
otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is
registered as a futures commission merchant. These assets are held either in U.S. government
securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter
counterparties. The remaining 40% to 80% of the Trusts assets will normally be invested in cash
equivalents, such as U.S. Treasury bills, and held by the futures broker or the over-the-counter
counterparties. The Trusts assets are not and will not be, directly or indirectly, commingled with the
property of any other person in violation of law or invested with or loaned to Campbell & Company
or any affiliated entities. Results of Operations The returns for the years ended December 31, 2004, 2003 and 2002 were 8.98%, 22.50% and 15.50%,
respectively. 2004 For the 2004 increase of 8.98%, approximately 15.53% was due to trading gains (before commissions)
and approximately 1.26% was due to interest income, offset by approximately 7.81% due to brokerage
fees, performance fees, and operating and offering costs borne by the Trust. An analysis of the
15.53% trading gain by sector is as follows: Sector
    
    % Gain (Loss)Interest Rates
    
    
    13.06
    %Currencies
    
    
    2.68Energy
    
    
    2.22Metals
    
    
    (0.58
    )Stock Indices
    
    
    (1.85
    )15.53
    %
 The year began with the Trust posting a positive return in January despite significant volatility
throughout the month. The weak U.S. Dollar continued to drive most global markets,
including many that had no apparent or direct connection to the Dollar, and in circumstances such
as this, subtle shifts in perception can have a disproportionate impact on prices. The Dollar
traded lower throughout the month, which was profitable for the Trusts currency positions. Much
of the gain reversed late in the month when markets reacted violently when the Federal Open Market
Committee (FOMC) slightly restated its short-term interest rate bias. The interest rate sector was
slightly positive despite also having suffered a reversal of earlier gains following the FOMC
announcement. The stock index and metals sectors had small losses for the month. The Trust had a strong positive return in February as the trends that were in place at the end of
January persisted. The continued concern over the record U.S. budget deficit and current account
imbalance kept downward pressure on the U.S. Dollar and resulted in strong gains in the currency
sector. The weak Dollar in return reinforced several related trends, including the continued rise
in energy prices, resulting in positive returns in the energy sector. The interest rates sector
was also profitable for the month as European interest rate instruments traded higher. 6




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All of the gain for the month of March came from the interest rate sector as U.S. Treasuries
continued to trade higher, while a weakening U.S. Dollar also contributed solid returns. The
energy sector was moderately positive, while the equity index sector was moderately negative. In April, interest rates reversed course and started to head higher in response to a perceived
change in stance by the U.S. Federal Reserve. In the days that followed, most major market trends
also reversed. Fixed income instruments sold off hard and the U.S. Dollar rallied, while precious
and base metals and many other physical commodities traded sharply lower. The equities markets
also fell. Only the continued rise in energy prices provided modest gains for the Trust in April. May was a difficult month for systematic trend following strategies and the Trust finished the
month with slightly negative performance. Crude oil set record high prices during the month, which
led to gains for the Trust in the energy sector. Most fixed income and currency contracts
experienced a classic whipsaw. They began the month with the continuation of Aprils reversals,
but ended the month with a strong rally. Equity prices continued to weaken in the face of higher
energy prices and global political uncertainty, which led to losses in the stock indices sector. June was another month of choppy, range-bound trading, which resulted in negative performance for
the Trust in all sectors. The market impact of unfolding events in Iraq had diminished greatly,
and many traders were reluctant to take positions ahead of the Federal Reserve Banks June 30
interest rate announcement. Absent any other significant news, the markets remained trendless and
did not provide the opportunities needed to produce positive returns. July was a slightly negative month as most markets the Trust traded continued to oscillate in
relatively narrow ranges. Interest rate instruments traded lower and then rallied on weaker than
expected economic statistics, while equity indices rallied and then declined amid broad earnings
disappointments. The U.S. Dollar traded in a narrow range. In the energy sector, a classic whipsaw
caused the Trust to exit most of its long positions just before crude oil prices rallied to
all-time highs. August performance was negative as most financial markets continued to be bound by the ranges which
had been in place previously. Fixed income instruments rallied profitably during the month, but
these gains were quickly offset by losses in the currency sector as the U.S. Dollar strengthened.
Small losses resulted from stock index trading as a six-week downtrend reversed sharply, mirroring
the rise and fall of crude oil prices. The Trusts exposure to the highly volatile energy sector
was minor as a result of trading filters that kept the Trust out of that sector. The losses for the Trust continued in September as listless market conditions persisted. While
U.S. Dollar and interest rate instruments traded in narrow ranges, the Trust managed small profits
in these sectors. These gains were largely offset by losses in the Trusts small positions in the
volatile energy sector. The largest losses for the month came from the equity index positions as
positive economic reports late in the month caused stocks to rally towards 90-day highs. The Trust bounced back with a respectable gain in October. This was primarily as a result of
positive performance in the foreign exchange and interest rate sectors, as the long-awaited
downward movement in the U.S Dollar began to unfold. Traders reacted to key economic data,
including a report of the second highest trade-gap in U.S. history. Following the report, the U.S.
Dollar trended broadly lower against other leading currencies. The Trust was on the sidelines in
the energy sector during the month as crude oil hit new highs and natural gas traded at the highest
prices since the levels reached in February 2003. The Trust had a strong profitable month in November as the growing momentum in the slide of the
U.S. Dollar resulted in a new low against the Euro and multi-year lows against other major
currencies. Structural problems of record budget deficits, trade deficits, and current account
deficits, and the prospect of four more years of unchanged fiscal and monetary policy had the
attention of the foreign exchange markets. Consequently, while the U.S. Dollar has been weak for
several years, the recent decline has been very sharp. The foreign exchange and interest rate
sectors were profitable in November and were the most profitable sectors for the year. The Trust finished the year with a positive performance in December and for the year, closing out a
year that was confounding for many traders. The big stories for the year were the slide in the
U.S. Dollar and the rise and fall of crude oil prices, but high volatility made these markets
difficult to trade. Fixed income was the most profitable sector for the Trust in 2004. Long-term
interest rates were sharply higher in the first quarter, but reversed in the second quarter despite
a Federal Reserve Bank bias toward higher rates. The rally continued through the second half of
the year and produced strong returns for the year in the fixed income sector. Equity markets were
range-bound for most of the year awaiting the outcome of the election, which was followed by a dramatic rally and delivered some
useful gains from the otherwise worst performing sector in 2004. 7




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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: Sector
    
    % Gain (Loss)Currencies
    
    
    26.99
    %Stock Indices
    
    
    5.76Energy
    
    
    0.06Agriculture
    
    
    0.02Metals
    
    
    (0.33
    )Interest Rates
    
    
    (2.47
    )30.03
    %
 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 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. 8




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##### 



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: 9




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Sector
    
    % Gain (Loss)Interest Rates
    
    
    15.12
    %Currencies
    
    
    5.81Stock Indices
    
    
    3.58Agricultural
    
    
    (.37
    )Metals
    
    
    (.41
    )Energy
    
    
    (1.64
    )22.09
    %
 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. 10




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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. 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%. 11




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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. 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. 12




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##### 



Standard of Materiality Materiality as used in this section,  Quantitative and Qualitative Disclosures About
Market Risk, is based on an assessment of reasonably possible market movements and the
potential losses caused by such movements, taking into account the leverage, and multiplier
features of the Trusts market sensitive instruments. Quantifying the Trusts Trading Value at Risk Quantitative Forward-Looking Statements The following quantitative disclosures regarding the Trusts market risk exposures
contain forward-looking statements within the meaning of the safe harbor from civil
liability provided for such statements by the Private Securities Litigation Reform Act of 1995
(set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities
Exchange Act of 1934). All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for statements of
historical fact (such as the dollar amount of maintenance margin required for market risk
sensitive instruments held at the end of the reporting period). The Trusts risk exposure in the various market sectors traded by Campbell & Company is
quantified below in terms of Value at Risk. Due to the Trusts mark-to-market accounting, any
loss in the fair value of the Trusts open positions is directly reflected in the Trusts
earnings (realized or unrealized). Exchange maintenance margin requirements have been used by the Trust as the measure of
its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed
the maximum losses reasonably expected to be incurred in the fair value of any given contract
in 95%99% of any one-day intervals. The maintenance margin levels are established by dealers
and exchanges using historical price studies as well as an assessment of current market
volatility and economic fundamentals to provide a probabilistic estimate of the maximum
expected near-term one-day price fluctuation. Maintenance margin has been used rather than
the more generally available initial margin, because initial margin includes a credit risk
component which is not relevant to Value at Risk. In the case of market sensitive instruments which are not exchange-traded (which includes
currencies in the case of the Trust), the margin requirements for the equivalent futures
positions have been used as Value at Risk. In those cases in which a futures-equivalent
margin is not available, dealers margins have been used. In the case of contracts denominated in foreign currencies, the Value at Risk figures
include foreign margin amounts converted into U.S. Dollars with an incremental adjustment to
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. 13




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##### 



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, 2004, 2003 and 2002 the trading gains/losses by
market category for the years ended December 31, 2004 and 2003. All open position trading risk
exposures of the Trust have been included in calculating the figures set forth below. As of
December 31, 2004, 2003 and 2002, the Trusts total capitalization was approximately $35.0 million,
$32.8 million and $32.9 million, respectively. December 31, 2004 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    
    VALUE AT RISK
    
    CAPITALIZATION
    
    GAIN/(LOSS)*Stock Indices
    
    $
    1,644,000
    
    
    4.70
    %
    
    
    (1.85
    )%Currencies
    
    
    1,491,000
    
    
    4.26
    %
    
    
    2.68
    %Interest Rates
    
    
    935,000
    
    
    2.68
    %
    
    
    13.06
    %Energy
    
    
    220,000
    
    
    0.63
    %
    
    
    2.22
    %Metals
    
    
    98,000
    
    
    0.28
    %
    
    
    (0.58
    )%Total
    
    $
    4,388,000
    
    
    12.55
    %
    
    
    15.53
    %
 * -Of the 8.98% return for the year ended December 31, 2004, approximately 15.53% was due to
trading gains (before commissions) and approximately 1.26% was due to interest income, offset
by approximately 7.81% due to brokerage fees, performance fees and operating and offering
costs borne by the Trust.
 December 31, 2003 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    
    VALUE AT RISK
    
    CAPITALIZATION
    
    GAIN/(LOSS)*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
    %
 * -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.
 14




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##### 



December 31, 2002 % OF TOTAL
    
    TRADINGMARKET SECTOR
    
    

    VALUE AT RISK
    
    CAPITALIZATION*
    
    GAIN/(LOSS)**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
    %
 * -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 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 15




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##### 



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,
2004, by market sector. Currencies Exchange rate risk is the principal market exposure of the Trust. The Trusts currency
exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic conditions. The
Trust trades in a large number of currencies, including cross-rates  i.e.,positions between
two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the
risk profile of the Trusts currency sector will change significantly in the future. Interest Rates Interest rate risk is a significant market exposure of the Trust. Interest rate
movements directly affect the price of the sovereign bond positions held by the Trust and
indirectly the value of its stock index and currency positions. Interest rate movements in
one country as well as relative interest rate movements between countries materially impact
the Trusts profitability. The Trusts primary interest rate exposure is to interest rate
fluctuations in the United States and the other G-7 countries. 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. 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, 2004, the Trusts
primary exposures were in the Euro STOXX 50, DAX (Germany), 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 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, 2004, crude oil and natural 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 2004. 16




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##### 



Qualitative Disclosures Regarding Non-Trading Risk Exposure The following were the only non-trading risk exposures of the Trust as of December 31,
2004. Foreign Currency Balances The Trusts primary foreign currency balances are in Japanese Yen, British Pounds and
Euros. The Trust controls the non-trading risk of these balances by regularly converting
these balances back into dollars (no less frequently than twice per 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. 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 24 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. 17




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##### 



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. Item 9B.     
Other Information There
was no information required to be disclosed in a report on Form 8-K
during the fourth quarter of 2004. 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 Officerand Treasurersince 1992, and Secretaryand a Directorsince 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 Directorsof 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 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 Presidentsince 1991 and a Directorsince 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
Presidentand a Directorsince 1994, and Chief Executive Officersince 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. 18




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##### 



Kevin M. Heerdt, born in 1958, joined Campbell & Company in March 2003 and has served as Executive
Vice President-Research since then. His duties include risk management, research, and the
development of quantitatively based hedge fund and options strategies. 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 Developmentand a Directorsince 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 Presidentand has
served as General Counselsince November 2003. In this capacity, he is involved in all aspects of
legal affairs and regulatory oversight, as well as managerial oversight of compliance and 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-Tradingsince 2003 and a Director since 2001. 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 Black & Decker. He holds a B.A. in Government from Franklin and
Marshall College. Mr. York is an Associated Person of Campbell & Company. 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. 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. 19




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##### 



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.  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, 2004, no
Units of Beneficial Interest are owned or held by an officer of Campbell & Company. As
of December 31, 2004, the following beneficial owners owned more than five percent of
the Units: Name of Beneficial Owner
    

Number of Units Owned
    
    

Percentage of TrustCampbell & Company, Inc. 401(k) Plan
    
    9,674.269
    
    
    
    41.55%Campbell & Company, Inc.
    
    1,413.580
    
    
    
    6.07%
  (b)
    Security Ownership of Management. As of December 31, 2004, Campbell & Company
owned 1,413.580 Units of Managing Owner Interest having a value of $2,122,335. 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 Accounting Fees and Services  (a)
    Audit FeesThe 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,
2004 and 2003 were $30,250 and $20,595, respectively.(b)
    Audit Related FeesThe aggregate fees billed by AFB for the monthly recalculation of the Trusts net asset
value for the years ended December 31, 2004 and 2003 were $9,400 and $7,200,
respectively.(c)
    Tax FeesThe 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, 2004 and 2003 were $9,956 and $3,600, respectively. During the years
ended December 31, 2004 and 2003, a total of 405 and 579 individual investor K-1s,
respectively, were distributed to the Unitholders. 20




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##### 



(d)
    All Other FeesThe aggregate fees and expenses billed by AFB for professional services, and related
cost reimbursement for postage, supplies and fulfillment house expenses, rendered for
the assistance in the preparation and mailing of the Funds monthly account statements
to Unitholders, utilizing data, narrative and other items provided by Campbell & Company
for the years ended December 31, 2004 and 2003 were $5,185 and $6,353, respectively.
During the years ended December 31, 2004 and 2003, a total of 4,511 and 5,024 monthly
account statements respectively, were distributed to Unitholders.(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 24 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 Exhibit
Number
    
    Description of Document
 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. 3 to Form
S-1 (No. 333-74014) filed on June 2, 2004).
 21




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##### 



Exhibit Number
    
    Description of Document
 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. 3 to Form S-1 (No. 333-74014) filed
on June 2, 2004).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).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 Securites Exchange Act of 1934.31.02
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.32.01
    Certification of Bruce L. Cleland, Chief Executive Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.32.02
    Certification of Theresa D. Becks, Chief Financial Officer,
pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The
Sarbanes-Oxley Act of 2002.
 (b) Reports on Form 8-K None. 22




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##### 



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 29, 2005. CAMPBELL ALTERNATIVE ASSET TRUSTBy:
    
    CAMPBELL & COMPANY, INC. Managing OwnerBy:
    
    /s/ Theresa D. BecksTheresa D. BecksChief 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 29, 2005. Signature
    
    Capacity/s/ D. Keith CampbellD. Keith Campbell
    
    Chairman of the Board/s/ William C. Clarke, IIIWilliam C. Clarke, III
    
    Executive Vice President and Director/s/ Bruce L. ClelandBruce L. Cleland
    
    President, Chief Executive Officer and Director/s/ Theresa D. BecksTheresa D. Becks
    
    Chief Financial Officer, Secretary, Treasurer and Director/s/ James M. LittleJames M. Little
    
    Executive Vice President and Director/s/ C. Douglas YorkC. Douglas York
    
    Executive Vice President and Director
 23




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST ANNUAL REPORT December 31, 2004 24




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST TABLE OF CONTENTS PAGESIndependent Auditors Report
    
    26Financial StatementsStatements of Financial Condition
December 31, 2004 and 2003
    
    27Condensed Schedules of Investments
December 31, 2004
    
    28-29Statements of Operations For the Years
Ended December 31, 2004, 2003 and 2002
    
    30Statements of Cash Flows For the Years
Ended December 31, 2004, 2003 and 2002
    
    31Statements
of Changes in Unitholders Capital (Net Asset Value)
For the Years Ended December 31, 2004, 2003 and 2002
    
    32Notes to Financial Statements
    
    33-38
 25




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##### 



REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM 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, 2004 and 2003, including the December 31, 2004 and 2003 condensed
schedules of investments, and the related statements of operations, cash flows and changes in
unitholders capital (net asset value) for the years ended December 31, 2004, 2003 and 2002. 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 the standards of the Public Company Accounting Oversight
Board (United States). Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free
of material misstatement. The Trust is not required to have, nor were
we engaged to perform, an audit of its internal control over
financial reporting. Our audits included consideration of internal
control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the
purpose of expressing an opinion on the effectiveness of the
Trusts internal control over financial reporting. Accordingly,
we express no such opinion. An
audit also 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, 2004 and
2003, and the results of its operations, cash flows and the changes in its net asset values for the
years ended December 31, 2004, 2003 and 2002, in conformity with U.S. generally accepted accounting
principles. /s/ Arthur F. Bell, Jr. & Associates, L.L.C. Hunt Valley, Maryland
March 22, 2005 26




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF FINANCIAL CONDITION
December 31, 2004 and 2003    2004
    
    
    2003ASSETSEquity in broker trading accountsCash
    
    $
    1,737,399
    
    
    $
    968,325United States government securities
    
    
    23,205,469
    
    
    
    19,483,115Unrealized gain on open futures contracts
    
    
    515,410
    
    
    
    583,469Deposits with broker
    
    
    25,458,278
    
    
    
    21,034,909Cash
    
    
    10,308,861
    
    
    
    11,024,981Unrealized gain (loss) on open forward currency contracts
    
    
    (541,572
    )
    
    
    1,105,648Total assets
    
    $
    35,225,567
    
    
    $
    33,165,538LIABILITIESAccounts payable
    
    $
    27,679
    
    
    $
    23,676Brokerage fee
    
    
    49,029
    
    
    
    50,393Commissions and other trading fees
on open contracts
    
    
    18,513
    
    
    
    8,072Performance fee
    
    
    0
    
    
    
    246,065Offering costs payable
    
    
    15,483
    
    
    
    15,914Redemptions payable
    
    
    159,478
    
    
    
    0Total liabilities
    
    
    270,182
    
    
    
    344,120UNITHOLDERS CAPITAL (Net Asset Value)Managing Owner  1,413.580 units
outstanding at December 31, 2004 and 2003
    
    
    2,122,335
    
    
    
    1,947,390Other Unitholders  21,868.461 and 22,411.035 units
outstanding at December 31, 2004 and 2003
    
    
    32,833,050
    
    
    
    30,874,028Total unitholders capital
(Net Asset Value)
    
    
    34,955,385
    
    
    
    32,821,418$
    35,225,567
    
    
    $
    33,165,538
 See accompanying notes. 27




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
December 31, 2004   UNITED STATES GOVERNMENT
SECURITIES % of NetFace Value
    
    
    Maturity Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    14,500,000
    
    
    
    02/03/2005
    
    
    U.S. Treasury Bills
    
    $
    14,474,546
    
    
    
    41.41
    %$
    5,000,000
    
    
    
    03/03/2005
    
    
    U.S. Treasury Bills
    
    
    4,981,785
    
    
    
    14.25
    %$
    3,750,000
    
    
    
    01/06/2005
    
    
    U.S. Treasury Bills
    
    
    3,749,138
    
    
    
    10.73
    %Total United States government securities
(cost, including accrued interest, 
$23,205,469)
    
    $
    23,205,469
    
    
    
    66.39
    %
 LONG FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    (67,171
    )
    
    
    (0.19
    )%Metals
    
    
    22,747
    
    
    
    0.06
    %Stock index
    
    
    284,504
    
    
    
    0.81
    %Short-term interest rates
    
    
    (26,703
    )
    
    
    (0.08
    )%Long-term interest rates
    
    
    271,151
    
    
    
    0.78
    %Total long futures contracts
    
    $
    484,528
    
    
    
    1.38
    %
 SHORT FUTURES CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (29,095
    )
    
    
    (0.08
    )%Short-term interest rates
    
    
    60,064
    
    
    
    0.17
    %Long-term interest rates
    
    
    (87
    )
    
    
    0.00
    %Total short futures contracts
    
    $
    30,882
    
    
    
    0.09
    %Total futures contracts
    
    $
    515,410
    
    
    
    1.47
    %
 FORWARD CURRENCY CONTRACTS % of NetDescription
    
    Value
    
    
    Asset ValueVarious long forward currency contracts
    
    $
    1,054,128
    
    
    
    3.02
    %Various short forward currency contracts
    
    
    (1,595,700
    )
    
    
    (4.57
    )%Total forward currency contracts
    
    $
    (541,572
    )
    
    
    (1.55
    )%
 See accompanying notes. 28




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
CONDENSED SCHEDULES OF INVESTMENT
December 31, 2003   UNITED STATES GOVERNMENT SECURITIES % of NetFace Value
    
    
    Maturity Date
    
    
    Description
    
    Value
    
    
    Asset Value$
    15,000,000
    
    
    
    02/05/04
    
    
    U.S. Treasury Bills
    
    $
    14,986,583
    
    
    
    45.66
    %$
    2,500,000
    
    
    
    01/08/04
    
    
    U.S. Treasury Bills
    
    
    2,499,577
    
    
    
    7.62
    %$
    2,000,000
    
    
    
    03/04/04
    
    
    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 NetDescription
    
    Value
    
    
    Asset ValueEnergy
    
    $
    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 NetDescription
    
    Value
    
    
    Asset ValueMetals
    
    $
    (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 NetDescription
    
    Value
    
    
    Asset ValueVarious 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
    %
 See accompanying notes. 29




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 2004, 2003 and 2002   2004
    
    
    2003
    
    
    2002TRADING
GAINSFutures trading gains (losses)Realized
    
    $
    4,450,033
    
    
    $
    719,403
    
    
    $
    3,372,098Change in unrealized
    
    
    (68,059
    )
    
    
    186,491
    
    
    
    451,637Brokerage commissions
    
    
    (72,245
    )
    
    
    (63,948
    )
    
    
    (107,259
    )Gain from futures trading
    
    
    4,309,729
    
    
    
    841,946
    
    
    
    3,716,476Forward currency trading gains (losses)Realized
    
    
    2,473,670
    
    
    
    7,707,431
    
    
    
    1,782,960Change in unrealized
    
    
    (1,647,220
    )
    
    
    734,186
    
    
    
    (490,626
    )Brokerage commissions
    
    
    (10,787
    )
    
    
    (14,554
    )
    
    
    (12,573
    )Gain from forward currency trading
    
    
    815,663
    
    
    
    8,427,063
    
    
    
    1,279,761Total trading gains
    
    
    5,125,392
    
    
    
    9,269,009
    
    
    
    4,996,237EXPENSES NET OF INTEREST INCOMEIncomeInterest income
    
    
    440,084
    
    
    
    327,818
    
    
    
    383,867ExpensesBrokerage fee
    
    
    1,007,951
    
    
    
    921,985
    
    
    
    690,980Performance fee
    
    
    1,245,039
    
    
    
    1,351,460
    
    
    
    870,160Operating expenses
    
    
    62,835
    
    
    
    59,539
    
    
    
    57,763Total expenses
    
    
    2,315,825
    
    
    
    2,332,984
    
    
    
    1,618,903Expenses net of interest income
    
    
    (1,875,741
    )
    
    
    (2,005,166
    )
    
    
    (1,235,036
    )NET INCOME
    
    $
    3,249,651
    
    
    $
    7,263,843
    
    
    $
    3,761,201NET INCOME PER MANAGING OWNER
AND OTHER UNITHOLDER UNIT(based on weighted average number
of units outstanding during the year)
    
    $
    135.90
    
    
    $
    292.55
    
    
    $
    161.99INCREASE IN NET ASSET VALUE
PER MANAGING OWNER AND
OTHER UNITHOLDER UNIT
    
    $
    123.76
    
    
    $
    253.05
    
    
    $
    150.94
 See accompanying notes. 30




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CASH FLOWS
For the Years Ended December 31, 2004, 2003 and 2002   2004
    
    
    2003
    
    
    2002Cash flows from (for) operating activitiesNet income
    
    $
    3,249,651
    
    
    $
    7,263,843
    
    
    $
    3,761,201Adjustments to reconcile net income
to net cash from (for) operating activitiesNet change in unrealized
    
    
    1,715,279
    
    
    
    (920,677
    )
    
    
    38,989Increase (decrease) in accounts payable and
accrued expenses
    
    
    (232,985
    )
    
    
    239,214
    
    
    
    22,758Net (purchases) of investments
in United States government securities
    
    
    (3,722,354
    )
    
    
    (3,504,095
    )
    
    
    (7,494,308
    )Net cash from (for) operating activities
    
    
    1,009,591
    
    
    
    3,078,285
    
    
    
    (3,671,360
    )Cash flows from (for) financing activitiesAddition of units
    
    
    2,054,793
    
    
    
    1,759,337
    
    
    
    20,154,920Decrease (increase) in subscriptions receivable
    
    
    0
    
    
    
    7,712,354
    
    
    
    (7,198,283
    )Redemption of units
    
    
    (2,852,177
    )
    
    
    (8,765,086
    )
    
    
    (9,359,119
    )Increase (decrease) in redemptions payable
    
    
    159,478
    
    
    
    (1,561,825
    )
    
    
    1,561,825Offering costs charged
    
    
    (318,300
    )
    
    
    (291,154
    )
    
    
    (218,205
    )Increase (decrease) in offering costs payable
    
    
    (431
    )
    
    
    (3,256
    )
    
    
    5,753Net cash from (for) financing activities
    
    
    (956,637
    )
    
    
    (1,149,630
    )
    
    
    4,946,891Net increase in cash
    
    
    52,954
    
    
    
    1,928,655
    
    
    
    1,275,531CashBeginning of year
    
    
    11,993,306
    
    
    
    10,064,651
    
    
    
    8,789,120End of year
    
    $
    12,046,260
    
    
    $
    11,993,306
    
    
    $
    10,064,651End of year cash consists of:Cash in broker trading accounts
    
    $
    1,737,399
    
    
    $
    968,325
    
    
    $
    1,776,218Cash
    
    
    10,308,861
    
    
    
    11,024,981
    
    
    
    8,288,433Total end of year cash
    
    $
    12,046,260
    
    
    $
    11,993,306
    
    
    $
    10,064,651
 See accompanying notes. 31




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Years Ended December 31, 2004, 2003 and 2002   Unitholders CapitalManaging Owner
    
    
    Other Unitholders
    
    
    TotalUnits
    
    
    Amount
    
    
    Units
    
    
    Amount
    
    
    Units
    
    
    AmountBalances at
December 31, 2001
    
    
    6,000.000
    
    
    $
    5,841,866
    
    
    
    13,016.882
    
    
    $
    12,673,815
    
    
    
    19,016.882
    
    
    $
    18,515,681Net income for the year
ended December 31, 2002
    
    
    
    
    
    
    961,603
    
    
    
    
    
    
    
    2,799,598
    
    
    
    
    
    
    
    3,761,201Additions
    
    
    0.000
    
    
    
    0
    
    
    
    18,767.321
    
    
    
    20,154,920
    
    
    
    18,767.321
    
    
    
    20,154,920Redemptions
    
    
    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
    
    
    
    32,854,478Net income for the year
ended December 31, 2003
    
    
    
    
    
    
    1,225,355
    
    
    
    
    
    
    
    6,038,488
    
    
    
    
    
    
    
    7,263,843Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,383.005
    
    
    
    1,759,337
    
    
    
    1,383.005
    
    
    
    1,759,337Redemptions
    
    
    (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
    
    
    
    32,821,418Net income for the year
ended December 31, 2004
    
    
    
    
    
    
    193,760
    
    
    
    
    
    
    
    3,055,891
    
    
    
    
    
    
    
    3,249,651Additions
    
    
    0.000
    
    
    
    0
    
    
    
    1,379.861
    
    
    
    2,054,793
    
    
    
    1,379.861
    
    
    
    2,054,793Redemptions
    
    
    0.000
    
    
    
    0
    
    
    
    (1,922.435
    )
    
    
    (2,852,177
    )
    
    
    (1,922.435
    )
    
    
    (2,852,177
    )Offering costs
    
    
    
    
    
    
    (18,815
    )
    
    
    
    
    
    
    (299,485
    )
    
    
    
    
    
    
    (318,300
    )Balances at
December 31, 2004
    
    
    1,413.580
    
    
    $
    2,122,335
    
    
    
    21,868.461
    
    
    $
    32,833,050
    
    
    
    23,282.041
    
    
    $
    34,955,385
 Net Asset Value Per Managing Owner and Other Unitholder UnitDecember 31,2004
    
    
    2003
    
    
    2002$
    1,501.39
    
    
    $
    1,377.63
    
    
    $
    1,124.58
 See accompanying notes. 32




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS   Note 1.
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES  A.
    General Description of the TrustCampbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which
operates as a commodity investment pool. The Trust was formed on May 3, 2000 and
commenced trading on October 1, 2001. The Trust engages in the speculative trading
of futures contracts and forward currency contracts.As of December 31, 2002, units are no longer offered to the public, but are offered
exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan).
At December 31, 2003, the 401(K) Plan held approximately 42% of the Trusts
outstanding units.B.
    RegulationAs a registrant with the Securities and Exchange Commission, the Trust is subject to
the regulatory requirements under the Securities Act of 1933 and the Securities
Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the
regulations of the Commodity Futures Trading Commssion, an agency of the United
States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory
organization; and the requirements of the various commodity exchanges where the Trust
executes transactions. Additionally, the Trust is subject to the requirements of
futures commission merchants (brokers) and interbank market makers through which the
Trust trades.C.
    Method of ReportingThe Trusts financial statements are presented in accordance with 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. 33




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)   Note 1.
    ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)  D.
    Income TaxesThe Trust prepares calendar year U.S. and applicable state information tax returns
and reports to the unitholders their allocable shares of the Trusts income, expenses
and trading gains or losses.E.
    Offering CostsCampbell & Company, Inc. (Campbell & Company) has incurred all costs in connection
with the initial and continuous offering of units of the Trust (offering costs).
Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9%
annualized) of the Trusts month-end net asset value (as defined in the Amended and
Restated Declaration of Trust and Trust Agreement) until such amounts are fully
reimbursed. Such amounts are charged directly to unitholders capital. The Trust is
only liable for payment of offering costs on a monthly basis. At December 31, 2004,
the Trust reflects a liability in the statement of financial condition for offering
costs payable to Campbell & Company of $15,483.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, 2004, the amount of
unreimbursed offering costs incurred by Campbell & Company is $779,664.F.
    Foreign Currency TransactionsThe Trusts functional currency is the U.S. dollar; however, it transacts business in
currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates
in effect at the date of the statement of financial condition. Income and expense
items denominated in currencies other than the U.S. dollar are translated into U.S.
dollars at the rates in effect during the period. Gains and losses resulting from
the translation to U.S. dollars are reported in income currently. 34




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)   Note 2.
    MANAGING OWNER AND COMMODITY TRADING ADVISORThe managing owner of the Trust is Campbell & Company, which
conducts and manages the business of the Trust. Campbell &
Company is also the commodity trading advisor of the Trust.
The Amended and Restated Declaration of Trust and Trust
Agreement requires Campbell & Company to maintain a capital
account equal to 1% of the total capital accounts of the
Trust. Additionally, Campbell & Company is required by the
Amended and Restated Declaration of Trust and Trust Agreement
to maintain a net worth of not less than $1,000,000.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.
    TRUSTEEThe trustee of the Trust is Wachovia Trust Company, National
Association, a national banking association. The trustee has
delegated to the managing owner the duty and authority to
manage the business and affairs of the Trust and has only
nominal duties and liabilities with respect to the Trust.Note 4.
    DEPOSITS WITH BROKERThe Trust deposits assets with a broker subject to Commodity
Futures Trading Commission regulations and various exchange
and broker requirements. Margin requirements are satisfied
by the deposit of U.S. Treasury bills and cash with such
broker. The Trust earns interest income on its assets
deposited with the broker.Note 5.
    OPERATING EXPENSESOperating expenses of the Trust are restricted by the Amended
and Restated Declaration of Trust and Trust Agreement to
0.40% per annum of the average month-end Net Asset Value of
the Trust.Note 6.
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONSInvestments in the Trust are made by subscription agreement,
subject to acceptance by Campbell & Company. 35




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)   Note 6.
    SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (CONTINUED)The Trust is not required to make distributions, but may do
so at the sole discretion of Campbell & Company. A
unitholder may request and receive redemption of units owned,
subject to restrictions in the Amended and Restated
Declaration of Trust and Trust Agreement.Note 7.
    TRADING ACTIVITIES AND RELATED RISKSThe Trust engages in the speculative trading of U.S. and
foreign futures contracts and forward currency contracts
(collectively, derivatives). The Trust is exposed to both
market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure
by another party to perform according to the terms of a
contract.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, 2004 and 2003 was
$23,205,469 and $19,483,115, respectively, which equals 66%
and 59% of Net Asset Value, respectively. The cash deposited
with interbank market makers at December 31, 2004 and 2003
was $10,212,526 and $10,999,058, respectively, which equals
29% and 34% of Net Asset Value, respectively. These amounts
are included in cash.The Trust trades forward currency contracts in unregulated
markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks
associated with forward currency contracts are generally
greater than those associated with exchange traded contracts
because of the greater risk of counterparty default.
Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.The Trust has a substantial portion of its assets on deposit
with financial institutions. In the event of a financial
institutions insolvency, recovery of Trust assets on deposit
may be limited to account insurance or other protection
afforded such deposits.For derivatives, risks arise from changes in the market value
of the contracts. Theoretically, the Trust is exposed to a
market risk equal to the notional contract value of futures
and forward currency contracts purchased and unlimited
liability on such contracts sold short. 36




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##### 



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 currency contracts is comprised of the
following: Futures Contracts
    
    
    Forward currency contracts(exchange traded)
    
    
    (non-exchange traded)December
31,2004
    
    

December
31,
2003
    
    

December
31,2004
    
    

December
31,2003Gross unrealized gains
    
    $
    697,507
    
    
    $
    787,909
    
    
    $
    1,435,900
    
    
    $
    2,379,878Gross unrealized losses
    
    
    (182,097
    )
    
    
    (204,440
    )
    
    
    (1,977,472
    )
    
    
    (1,274,230
    )Net unrealized gain (loss)
    
    $
    515,410
    
    
    $
    583,469
    
    
    $

    (541,572
    )
    
    $
    1,105,648
  Open contracts generally mature within three months; as of December 31, 2004, the latest
maturity date for open futures contracts is September 2005, and the latest maturity date
for open forward currency contracts is March 2005. However, the Trust intends to close
all contracts prior to maturity.Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing
so. Campbell & Companys basic market risk control procedures consist of continuously
monitoring open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%. Campbell & Company seeks to minimize
credit risk primarily by depositing and maintaining the Trusts assets at financial
institutions and brokers which Campbell & Company believes to be creditworthy. The
unitholders bear the risk of loss only to the extent of the market value of their
respective investments and, in certain specific circumstances, distributions and
redemptions received.Note 8.
    GUARANTEESIn the normal course of business, the Trust enters into contracts
and agreements that contain a variety of representations and
warranties and which provide general indemnifications. The
Trusts maximum exposure under these arrangements is unknown, as
this would involve future claims that may be made against the
Trust that have not yet occurred. The Trust expects the risk of
any future obligation under these indemnifications to be remote. 37




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##### 



CAMPBELL ALTERNATIVE ASSET TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)   Note 9.
    FINANCIAL HIGHLIGHTSThe following information presents per unit operating performance data and other
supplemental financial data for the years ended December 31, 2004, 2003 and 2002. This
information has been derived from information presented in the financial statements. 2004
    
    
    2003
    
    
    2002Per Unit Performance(for a unit outstanding throughout the entire year)Net asset value per unit at beginning of year
    
    $
    1,377.63
    
    
    $
    1,124.58
    
    
    $
    973.64Income (loss) from operations:Total trading gains (1)
    
    
    215.51
    
    
    
    345.54
    
    
    
    213.53Expenses net of interest income (1)
    
    
    (78.44
    )
    
    
    (80.76
    )
    
    
    (53.19
    )Total income from operations
    
    
    137.07
    
    
    
    264.78
    
    
    
    160.34Offering costs (1)
    
    
    (13.31
    )
    
    
    (11.73
    )
    
    
    (9.40
    )Net asset value per unit at end of year
    
    $
    1,501.39
    
    
    $
    1,377.63
    
    
    $
    1,124.58Total Return
    
    
    8.98
    %
    
    
    22.50
    %
    
    
    15.50
    %Supplemental DataRatios to average net asset value:Expenses prior to performance fee
    
    
    (3.08
    )%
    
    
    (3.11
    )%
    
    
    (3.14
    )%Performance fee
    
    
    (3.58
    )%
    
    
    (4.29
    )%
    
    
    (3.65
    )%Total expenses
    
    
    (6.66
    )%
    
    
    (7.40
    )%
    
    
    (6.79
    )%Expenses net of interest income (2)
    
    
    (1.81
    )%
    
    
    (2.07
    )%
    
    
    (1.53
    )%
  Total returns are calculated based on the change in value of a unit during the year. 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 year. 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. 38




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##### 



EXHIBIT INDEX Exhibit Number
    
    Description of Document
    
    Page Number31.01
    
    Certification by Chief Executive Officer
    
    E 231.02
    
    Certification by Chief Financial Officer
    
    E 332.01
    
    Certification by Chief Executive Officer
    
    E 432.02
    
    Certification by Chief Financial Officer
    
    E 5
 E-1