UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 OR 15(d) of The Securities Exchange Act of 1934 Date of Report (Date of earliest event reported): March 1, 2004 ------------- Campbell Alternative Asset Trust -------------------------------- (Exact name of registrant as specified in its charter) Delaware 000-3311 52-2238521 -------- -------- ---------- (State or other jurisdiction (Commission (IRS Employer of incorporation) File Number) Identification No.) c/o Campbell & Company, Inc. Court Towers Building 210 West Pennsylvania Avenue Towson, Maryland 21204 (410) 296-3301 -------------- (Address of principal executive offices) Item 5. Other Events On March 1, 2004, Campbell & Company, Inc., the Managing Owner of Campbell Alternative Asset Trust (the "Trust") sent a letter to investors in the Trust describing the challenges relating to investment capacity presently faced by the Trust due to the growth in assets under management of its commodity trading advisor, Campbell & Company, Inc. A copy of that letter is furnished as Exhibit 99.1 to this report and is incorporated by reference herein. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. CAMPBELL ALTERNATIVE ASSET TRUST By: Campbell & Company, Inc. Managing Owner By: /s/ Theresa D. Becks ---------------------- Theresa D. Becks Chief Financial Officer, Secretary and Treasurer April 2, 2004 INDEX TO EXHIBITS Exhibit Number Description - -------------- ----------- 99.1 Letter to Investors dated March 1, 2004