Filer:
Company Data:
Company Name: Campbell Alternative Asset Trust
IRS Number: 52-2238521
State of Incorporation: Delaware
Fiscal Year End: 12/31
Business Address: 210 W. Pennsylvania Avenue
Baltimore, Maryland 21204
Business Phone: 410-296-3301
Filing Values:
Form Type: 424B3
SEC File Number: 333-37548
CAMPBELL ALTERNATIVE ASSET TRUST
MONTHLY REPORT - MAY 2005
----------------
STATEMENT OF CHANGES IN NET ASSET VALUE
---------------------------------------
<Table>
Net Asset Value (23,519.640 units) at April 30, 2005 $ 34,452,789
Additions of 67.841 units on May 31, 2005 104,622
Redemptions of (71.761) units on May 31, 2005 (110,666)
Offering Costs (27,288)
Net Income (Loss) - May 2005 1,845,314
---------------
Net Asset Value (23,515.720 units) at May 31, 2005 $ 36,264,771
===============
Net Asset Value per Unit at May 31, 2005 $ 1,542.15
===============
</Table>
STATEMENT OF INCOME (LOSS)
--------------------------
<Table>
Income:
Gains (losses) on futures contracts:
Realized $ 858,960
Change in unrealized 37,862
Gains (losses) on forward contracts:
Realized 0
Change in unrealized 971,590
Interest income 80,167
---------------
</Table>
<Table>
1,948,579
---------------
Expenses:
Brokerage fee 97,388
Performance fee 0
Operating expenses 5,877
---------------
103,265
---------------
Net Income (Loss) - May 2005 $ 1,845,314
===============
</Table>
FUND STATISTICS
---------------
<Table>
Net Asset Value per Unit on May 31, 2005 $ 1,542.15
Net Asset Value per Unit on April 30, 2005 $ 1,464.85
Unit Value Monthly Gain (Loss) % 5.28%
Fund 2005 calendar YTD Gain (Loss) % 2.71%
</Table>
To the best of my knowledge and belief, the information contained herein is
accurate and complete.
/s/ Theresa D. Becks
-----------------------------------------
Theresa D. Becks, Chief Financial Officer
Campbell & Company, Inc.
Managing Owner
Campbell Alternative Asset Trust
Prepared without audit
Dear Investor,
Political and economic events surprise and reward...
May performance was strong, with sharply higher returns across a broad spectrum
of our programs, resulting in positive year-to-date returns as of the end of the
month.
The breakdown of the EU constitutional ratification process was a key
development causing investors to readjust their expectations for the Euro.
Investor demand for the US Dollar pushed the greenback to its highest levels
since before the US elections contributing to positive returns in the currency
sector.
The fixed income sector was our best performer in May. Sustained strength at the
long end of the yield curve in the face of Fed tightening continues to confound
a large part of the investment community. And while recent economic reports have
been ambiguous, traders managed to push the benchmark US 10-year Treasury yield
once again below 4%; such a low level is surprising this late in the cycle but
the move has been persistent enough for our models to benefit.
The markets' sharp response to economic and political events during the course
of the May evidenced a certain degree of investor surprise. We, however, remain
confident in our systematic approach and committed to the discipline that has
allowed us to deliver attractive risk-adjusted returns over time.
If you have any questions, please do not hesitate to call.
Sincerely,
Bruce Cleland
President & CEO