**UNITEDSTATES**

**SECURITIES AND EXCHANGECOMMISSION**

 

**Washington, D.C. 20549**

** **

**FORM 10-K**

 

**ý****  Annual ReportPursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of 1934**

 

**For the Fiscal Year Ended:  December 31, 2005**

 

**or**

 

**o****  Transition ReportPursuant to Section 13 or 15(d)**

**of the Securities Exchange Act of 1934**

 

**Commission File Number:  0-26932**

** **

**THE MILLBURN WORLD RESOURCE TRUST**

(Exact name of registrant as specified in its charter)

 

| **Delaware**                                 | ** ** |   | ** ** | **06-6415583**      |
|----------------------------------------------|------------|--------|------------|---------------------|
| (State or other jurisdiction of              |       |   |       | (I.R.S. Employer    |
| incorporation or organization)               |       |   |       | Identification No.) |
|                                         |       |   |
| **c/o  MILLBURN RIDGEFIELD CORPORATION**     |
| **411  West Putnam Avenue**                  |
| **Greenwich,  Connecticut  06830** |
| (Address of principal  executive offices)    |

 

Registrant’s telephonenumber, including area code:   **(203) 625-7554**

Securities registeredpursuant to Section 12(b) of the Act:   **None**

Securities registeredpursuant to Section 12(g) of the Act:   **Units of Beneficial Interest**

(Title of Class)

 

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 ofthe Securities Act.   Yes o    No ý

 

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or Section 15(d) ofthe Act.    Yes o    No ý

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.   Yes ý    No o

 

Indicate by check mark if disclosure of delinquentfilers pursuant to Item 405 of Regulation S-K is not contained herein, and willnot be contained, to the best of registrant’s knowledge, in definitive proxy orinformation statements incorporation by reference in Part III of this Form 10-Kor any amendment to this Form 10-K.  ý

 

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer. Seedefinition of “accelerated filer and large accelerated filer” in Rule 12b-2of the Exchange Act. (Check one):

Large accelerated filer o          AcceleratedFiler o          Non-acceleratedfiler ý

 

Indicate by check markwhether the registrant is a shell company (as defined in Rule 12b-2 of theAct).   Yes o    No ý

 

 

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Documents Incorporated by Reference

 

Registrant’s FinancialStatements for the Years ended December 31, 2005, 2004 and 2003 withReport of Independent Registered Public Accounting Firm, the annual report tosecurity holders for the fiscal year ended December 31, 2005, isincorporated by reference into Part II item 8 and Part IV hereof andfiled as an exhibit herewith.

 

PART I

 

Item 1.  Business

 

(a)   General development of business

 

TheMillburn World Resource Trust (the “Trust”) is a business trust organized June 7,1995 pursuant to a Declaration of Trust and Trust Agreement (the “TrustAgreement”), under the Delaware Business Trust Act. Between July 12, 1995and September 11, 1995 (the “Initial Offering”), units of beneficialinterest in the Trust (the “Units”) were publicly offered at an initial priceof $1,000 per Unit. The proceeds of the Initial Offering and interest thereonwere held in escrow until September 13, 1995 at which time an aggregate of$15,141,664 was turned over to the Trust and the Trust commenced operations. TheTrust most recently offered Units during January 2002 and, as of December 31,2005, Units were not being offered. The offering is registered under theSecurities Act of 1933, as amended, and a total of $150 million of Units havebeen registered. A total of $98,280,140 of Units have been sold to the publicas of December 31, 2005.

 

TheTrust engages in speculative trading in the futures, options and forwardmarkets.

 

MillburnRidgefield Corporation (the “Managing Owner”), a Delaware corporation, is themanaging owner and the commodity trading advisor for the Trust. The ManagingOwner invested $400 in the Trust as an initial capital contribution to the Trustand $155,005 in the Trust at the outset of trading. Thereafter, the ManagingOwner contributed an additional $417,000 and has redeemed $950,000 of Units asof December 31, 2005. After reflecting cumulative gains and profit sharesof $580,731, the Managing Owner’s investment in the Trust totaled $203,136 asof December 31, 2005.

 

(b)   Financial information about industry segments

 

TheTrust’s business constitutes only one segment, i.e., a speculative commoditypool. The Trust does not engage in sales of goods and services. Financialinformation regarding the Trust’s business is set forth in Item 6 “SelectedFinancial Data” and in the Trust’s Financial Statements included as Exhibit 13.01to this report.

 

(c)   Narrative description of business

 

TheTrust engages in the speculative trading of futures, options on futures, andforward contracts. The Trust’s sole trading advisor is the Managing Owner. TheManaging Owner trades the Trust’s assets, pursuant to its World ResourcePortfolio, in the agricultural, metals, energy, interest rate and stock indicesfutures and futures options markets and in the currency markets, tradingprimarily forward contracts in the interbank market. The objective of theManaging Owner’s trading method is to participate in all major sustained pricemoves in the markets traded. The Managing Owner’s approach is medium-term tolong-term in nature. The Managing Owner makes trading decisions pursuant to itstrading method, which includes technical trend analysis, certain non-trend-followingtechnical systems, and money management principles, which may be revisedfrom time to time.

 

TheManaging Owner is engaged in an ongoing research effort to improve its tradingmethods and to apply its quantitative analytic expertise to new financial products.

 

Successfulsystematic futures trading depends on two factors;  development and selection of the tradingsystems used in each market, and allocation of portfolio risk among the marketsavailable for trading.

 

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Marketenvironments change over time, and particular systems may perform wellin one environment but poorly in another. Likewise, portfolio sectors andindividual markets go through periods where systematic trading is veryprofitable and other periods where no system makes any money.

 

Thegoal of the Managing Owner’s research has been to develop and select a mix ofsystems in each market and allocate risk across a wide array of markets, so asto contain overall portfolio risk in the targeted range, while allowingexposure to profitable trend opportunities. Over the last 30 years, theManaging Owner has developed hundreds of trading systems. These intermediate-to long-term trading systems generate buy or sell decisions in a particularmarket based on the direction of price movements in the market.

 

Systemscan be materially different – better in some periods and worse in others. Themain distinguishing features are time-frame over which systems work (intra-dayto long-term), the type of data fed into them (granularity [ticks toweeks/months], type [market or economic statistics], source [cash, futures oroptions markets]), and the objective of the system (profiting from trends,trading-ranges or volatility). No single approach will work all the time. Therefore,the Managing Owner’s objective is to have several approaches operating at alltimes. Since the early 1980’s, the Managing Owner has selected multiple systemsfor each market.

 

Whenarriving at the portfolio allocation, the Managing Owner seeks maximumdiversification subject to liquidity constraints. The markets traded andallocations are reviewed monthly, although changes may occur lessfrequently. The following factors are considered in constructing a universe ofmarkets to trade for each portfolio: profitability, correlation of market performance, liquidity of markets,depth of markets, breadth of markets, professional judgment, desireddiversification and transaction costs. Once the universe of markets isestablished, the Managing Owner’s simulation and optimization techniques helpdetermine which markets to include in the portfolio. The current allocation toany market in the portfolio does not exceed 3%.

 

Riskis a function of both price level and price volatility. In attempting to assessmarket volatility as a means of monitoring and evaluating risk, the ManagingOwner uses its volatility overlay as a part of individual market riskmanagement. This system is designed to measure the risk in the portfolio’sposition in each market and signals a decrease in position size when riskincreases and an increase in position size when risk decreases. The ManagingOwner’s volatility overlay maintains overall portfolio risk and distribution ofrisk across markets within designated ranges. It is applied to the systematicstrategies described above. A secondary benefit of the volatility overlay canbe timely profit taking. Because markets tend to become more volatile after aprofitable trend has been long underway, the volatility overlay often signalsposition reductions before trend reversals.

 

Inaddition to the volatility overlay, the Managing Owner’s risk managementfocuses on money management principles applicable to the portfolio as a wholerather than to individual markets and control of leverage and portfolio size.There are, however, no restrictions on the amount of leverage the managingowner may use at any time.

 

Pursuantto the Trust Agreement, the Managing Owner receives a flat-rate monthlybrokerage fee equal to 0.75 of 1% of the month-end Net Assets (a 9.0% annualrate). The Managing Owner retains the right to charge less than the annualbrokerage rate of 9% to those subscribers who either invest $1,000,000 or morein the Units or subscribe without incurring the selling commission paid by theManaging Owner. These reductions have no effect on other investors. TheManaging Owner also receives a profit share equal to 17.5% of any new tradingprofit as defined, determined as of the end of each calendar quarter. Thequarterly profit share is calculated net of brokerage fees and administrativeexpenses and excluding interest income.

 

PrudentialFinancial Derivatives LLC, Deutsche Bank Securities, Inc. and MerrillLynch, Pierce, Fenner & Smith Inc. act as the futures brokers for theTrust. The Trust executes currency forward trades with several brokers andbanks, including Morgan Stanley & Co. Incorporated and clears all suchtrades with Morgan Stanley & Co. Incorporated, serving as prime broker.The Trust pays “bid asked” spreads on its forward trades, as such spreads areincorporated into the pricing of forward contracts. The Managing Owner monitorsthe Trust’s trades to ensure that the prices it receives are competitive.

 

TheTrust pays its administrative expenses, including offering costs, and anyextraordinary expenses which it may incur. The Managing Owner pays all theroutine costs of executing and clearing the Trust’s trades and all compensationdue to the selling agents.

 

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TheTrust is open-ended and may offer Units at net asset value as of the firstday of each month, although it is not currently doing so. Unitholders may redeemany or all of their Units upon 10 business days’ written notice to theManaging Owner at their net asset value as of the last day of any month. Requestsfor redemption will be honored and payment will be made, except in the event ofhighly unusual market disruptions, within 15 business days of the effectivedate of redemption.

 

TheTrust’s cash and U.S. Treasury instruments are used by the Trust to engage inits trading activities and as reserves to support that trading. The Trust’sassets deposited with the Trust’s futures brokers as margin are maintained in “customersegregated funds accounts” or “foreign futures and foreign options securedamount accounts” and are held in cash, or U.S. Treasury instruments. Trustassets not deposited as margin are maintained in bank or brokerage accounts andare held primarily in bank money market funds or U.S. Treasury instruments.

 

TheTrust does not engage in lending (other than through permitted securitiesinvestments). The Managing Owner does not anticipate making any distributionsof Trust profits, if any.

 

Regulation

 

Underthe Commodity Exchange Act, as amended (the “CEA”), commodity exchanges andfutures trading are subject to regulation by the Commodity Futures TradingCommission (the “CFTC”). National Futures Association (“NFA”), a “registeredfutures association” under the CEA, is the only non-exchange self-regulatoryorganization for futures industry professionals. The CFTC has delegated to NFAresponsibility for the registration of “commodity trading advisors,” “commoditypool operators,” “futures commission merchants,” “introducing brokers” andtheir respective associated persons and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators andcommodity trading advisors, such as the Managing Owner, and commodity brokersor futures commission merchants, such as the Brokers, to be registered and tocomply with various reporting and record keeping requirements. The CFTC may suspenda commodity pool operator’s or trading advisor’s registration if it finds thatits trading practices tend to disrupt orderly market conditions or in certainother situations. In the event that the registration of the Managing Owner as acommodity pool operator or a commodity trading advisor were terminated orsuspended, the Managing Owner would be unable to continue to manage thebusiness of the Trust. Should the Managing Owner’s registration be suspended,termination of the Trust might result.

 

Inaddition to such registration requirements, the CFTC and certain commodityexchanges have established limits on the maximum net long or net short positionwhich any person may hold or control in particular commodities. Mostexchanges also limit the changes in futures contract prices that may occurduring a single trading day.  Currencyforward contracts are not subject to regulation by any United States Governmentagency.

 

(i)   through(xii) - not applicable.

 

(xiii)   theTrust has no employees.

 

(d)   Financial information about geographic areas

 

TheTrust does not engage in material operations in foreign countries (although itdoes trade from the United States in foreign currency forward contracts and onforeign futures exchanges), nor is a material portion of its revenues derivedfrom foreign customers.

 

(e)   Available information

 

TheTrust files quarterly, annual and current reports with the Securities andExchange Commission (“SEC”). These reports are available to read and copy atthe SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street,N.W., Washington, D.C. 20549. Please call the SEC’s toll free number,1-800-SEC-0330, for further information. The Trust does not maintain a websitewhere these reports are posted. However, the Trust’s filings are posted on theSEC’s website at http://www.sec.gov.

 

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Item 1A.  RiskFactors

** **

**You Could Lose YourEntire Investment in the Trust**

** **

Aninvestment in the Trust is a speculative investment. Investors rely on theManaging Owner to trade profitably for the Trust and profitability is notassured. You could lose all or substantially all of your investment in theTrust.

** **

**The Trust is a HighlyLeveraged Investment**

** **

TheTrust generally holds positions with a face value of as much as eight, andpossibly as much as ten or more, times its total equity. Consequently, smalladverse movements in the prices of the Trust’s open positions can causesignificant losses.

** **

**The Performance of theTrust Will be Volatile**

** **

TheManaging Owner expects that the performance of the Trust will be volatile. TheTrust may suffer sudden and substantial losses from time to time and theday-to-day value of the Units will be variable and uncertain. The Net AssetValue per Unit may change materially between the date on which yousubscribe for Units and the date the Units are issued or the date you request aredemption and the month-end redemption date.

** **

**The Trust’s Expenses WillCause Losses Unless Offset by Profits and Interest Income**

 

TheTrust pays annual expenses regardless of profitability. The Trust must earntrading profits and interest income at least equal to these expenses to avoidlosses.

** **

**An Investment in theTrust is not Liquid**

** **

Thereis no secondary market for the Units. Investors may redeem Units only asof the close of business on the last day of a calendar month and must give theTrust at least 10 days’ prior written notice of the intent to redeem.

** **

**The Timing of Investmentand Redemption Decisions Will Affect the Profitability of an Investment**

** **

TheManaging Owner expects that a majority of the Trust’s trades will result insmall profits only or in losses. The majority of any profits earned by the Trustwill most likely come from a small number of trades each year. Accordingly, investorswill not know when is a good time to redeem Units, and the timing of investmentand redemption decisions will affect the amount of profit or loss youexperience as an investor in the Trust.

** **

**The Managing Owner AloneDirects the Trust’s Trading**

 

TheTrust is a single-advisor fund. The use of a single advisor trading one programinvolves a greater risk of loss than the diversified, multi-advisor approachemployed by many futures funds. In addition, if the management services of theManaging Owner were to become unavailable for any reason, the Trust wouldterminate. Furthermore, were the Managing Owner to lose the services of its keyprincipals, the Managing Owner could decide to dissolve the Trust, possiblycausing it to realize losses.

** **

**The Managing Owner is aTechnical Trader and Does not Analyze Economic Factors External to Market Price**

 

TheManaging Owner’s systematic strategies are developed on the basis of a statisticalanalysis of market prices. Consequently, any factor external to the marketitself that dominates prices may cause major losses. For example, apending political or economic event may be very likely to cause a majorprice movement, but the

 

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Managing Owner wouldcontinue to maintain positions indicated by its trading method that would incurmajor losses if the event proved to be adverse.

 

TheManaging Owner’s systematic strategies retain certain discretionary aspects.Decisions, for example, to adjust the size of the positions indicated by thesystematic strategies, which contracts to trade and method of order entryrequire judgmental input from the Managing Owner’s principals. Additionally,the Managing Owner may determine not to enter a new position indicated byits strategies if the Managing Owner determines prevailing market conditions tobe unusual, for example, significantly more volatile than the expectedvolatility factored into the design of the strategies. The Managing Owner does,however, exit positions when its trading strategies indicate that it should doso. Discretionary decision-making may result in the Managing Owner makingunprofitable trades when a more wholly systematic approach would not have doneso.

** **

**Lack of Price Trends WillCause Losses; There Have Been Sustained Periods With Insufficient Price Trendsfor the Diversified Portfolio to Trade Profitably. The Managing Owner ExpectsThat There Will be Similar Periods in the Future**

 

The Trustcannot trade profitably unless there are major price trends in at least some ofthe markets it trades. Moreover, the price trends must be of a type theManaging Owner’s systems are designed to identify. In the past there have beensustained periods with few trending markets where gains from trading thosemarkets were insufficient to offset losses from trades in non-trending markets.

 

Marketsin which prices move rapidly and then reverse and then do so again may causelosses. In such “whipsaw” market conditions, the Managing Owner may establishpositions for the Trust on the basis of incorrectly identifying the rapidmovement or the reversal as a trend.

** **

**Lack of Market LiquidityCould Make it Impossible for the Trust to Realize Profits or Limit Losses**

 

Inilliquid markets, the Trust could be unable to close out positions to limitlosses or to take positions in order to follow trends. There are too manydifferent factors that can contribute to market illiquidity to predict when orwhere illiquid markets may occur.

 

Unexpectedmarket illiquidity has caused major losses for some traders in recent years insuch market sectors as emerging markets and mortgage-backed securities. Therecan be no assurance that the same will not happen in the markets traded by theTrust. In addition, the large size of the positions the Trust may takeincreases the risk of illiquidity by both making its positions more difficultto liquidate and increasing the losses incurred while trying to do so.

 

UnitedStates commodity exchanges impose limits on the amount the price of some, butnot all, futures contracts may change on a single day. Once a futurescontract has reached its daily limit, it may be impossible for the Trustto liquidate a position in that contract, if the market has moved adversely tothe Trust, until the limit is either raised by the exchange or the contractbegins to trade away from the limit price.

** **

**The Managing Owner’sTrading Systems Have Been Developed Over Time and are Subject to Change**

 

Inexecuting its trading method, the Managing Owner uses combinations of tradingsystems to generate buy and sell signals in the various markets traded. TheManaging Owner has developed, modified, retained and discarded numerous systemsover more than 30 years. Consequently, some of the trading systems andcombinations of systems currently being used to trade accounts such as theTrust are not identical to those used 5, 10, 15 or 20 years ago.

** **

**Tradingon Foreign Exchanges Presents Greater Risk Than Trading on U.S. Exchanges**

 

The Trust trades on commodity exchanges outside theUnited States. Trading on foreign exchanges is not regulated by any UnitedStates governmental agency and may involve certain risks that do not arisewhen trading on United States exchanges. For example, some foreign exchangesare “principals’ markets” in which performance is

 

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the responsibility onlyof the individual member with whom the Trust has traded, not of the exchange ora clearing facility. In such cases, the Trust will be subject to a risk thatthe member with whom the Trust has traded is unable or unwilling to perform itsobligations under the transaction. Additionally, an adverse change in theexchange rate between the United States dollar and the currency in which anon-U.S. futures contract is denominated would reduce the profit or increasethe loss on a trade in that contract.

 

Trading on foreign exchanges also presents risks ofloss due to (1) the possible imposition of exchange controls, which couldmake it difficult or impossible for the Trust to repatriate some or all of itsassets held by non-U.S. counterparties; (2) possible governmentconfiscation of assets; (3) taxation; (4) possible governmentdisruptions, which could result in market closures and thus an inability toexit positions and repatriate Trust assets for sustained periods of time, oreven permanently; and (5) limited rights in the event of the bankruptcy orinsolvency of a foreign broker or exchange resulting in a different and possiblyless favorable distribution of the bankrupt’s assets than would occur in theUnited States.

** **

**TheManaging Owner Anticipates the Trust’s Performance to be*****Non*****-Correlatedto Stocks and Bonds, not*****Negatively*****Correlated**

 

Non-correlation means that there is no statisticallyvalid relationship between two asset classes and should not be confused withnegative correlation, where the performance of two asset classes would beopposite. Because of this non-correlation, investors should not expect theTrust to be automatically profitable during unfavorable periods for the stockand /or bond markets, or **vice versa**.

 

If the Trust does not perform in a mannernon-correlated with the general financial markets or does not perform successfully,investors will obtain no diversification benefits by investing in the Units andthe Trust may have no gains to offset losses from other investments.

** **

**TheTrust May be Subject to Profit Shares Despite Certain Units HavingDeclined in Value**

 

Investors have purchased Units at different times andwill, accordingly, recognize different amounts of profit and loss on theirinvestments. Profit Shares are accrued, or the accruals are reversed to reflectlosses, on a monthly basis. Profit Shares are calculated on the basis of thecumulative net trading profits recognized by the Trust as a whole, not on theprofits recognized by any particular Unit or Units. Consequently, the ManagingOwner may still be allocated a Profit Share even though certain Units havelost value since the date they were purchased.

** **

**TheManaging Owner’s Increased Equity Under Management Could Lead to Lower Returnsfor Investors**

 

The Managing Owner has not agreed to limit the amountof money it may manage and is actively seeking additional accounts. Themore money the Managing Owner manages, the more difficult it may becomefor the Managing Owner to trade profitably for the Trust because of thedifficulty of trading larger positions without negatively affecting prices andperformance.

 

**Increased Competition Among Trend-FollowingTraders Could Reduce the Managing Owner’s Profitability**

 

A substantial number of commodity trading advisors usetechnical trading systems, particularly trend-following systems, like theManaging Owner’s systems. As the amount of money under the management of suchsystems increases, competition for the same positions increases, making thepositions more costly and more difficult to acquire.

** **

**TheTrust is Subject to Conflicts of Interest**

** **

The Trust is subject to numerous actual and potentialconflicts of interest, including: (1) the compensation that the SellingAgents receive gives them an incentive to discourage redemptions; (2) thebrokerage commissions that Prudential Financial Derivatives LLC, Merrill Lynch,Pierce, Fenner & Smith Incorporated and Deutsche Bank Securities Inc.receive as clearing brokers for the Trust gives an additional incentive todiscourage redemptions; (3) the Managing Owner has significant financialincentives to discourage their redemption; and (4) the Managing

 

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Owner of the Trust willnot select any other trading advisor even if doing so would be in the bestinterests of the Trust.

** **

**TheManaging Owner has not Established Formal Procedures to Resolve Conflicts ofInterest**

 

Because the Managing Owner has not established anyformal procedures for resolving conflicts of interest, investors will bedependent on the good faith of the parties with conflicts to resolve theconflicts equitably. The Managing Owner cannot assure that conflicts ofinterest will not result in losses for the Trust.

** **

**YouWill be Taxed Each Year on Your Share of Trust Profits**

 

If you are an individual or entity subject to U.S.taxes (e.g., not a tax-exempt entity such as an IRA or pension plan), you willbe taxed on your share of Trust income or gain each year, whether or not youredeem Units or receive distributions from the Trust.

 

Because a substantial portion of the Trust’s openpositions are “marked-to-market” at the end of each year, some of your tax liabilitywill be based on unrealized gains which the Trust may, in fact, never realize.

 

40% of any trading profits on certain U.S.exchange-traded futures contracts and certain foreign currency forwardcontracts are taxed as short-term capital gains at ordinary income rates(unless offset by capital losses), while 60% of any such trading profits aretaxed as long-term capital gains at a lower maximum rate for individuals (15%for most gains recognized in taxable years beginning on or before December 31,2008). 100% of any trading profits from non-U.S. exchange traded interest ratefutures contracts and certain forward currency contracts that do not have anequivalent U.S. exchange traded futures contract are “marked-to-market” at theend of each year and taxed as short-term capital gains at ordinary income taxrates (unless offset by capital losses). These rates apply regardless of howlong the Trust holds a contract, or an investor his or her Units.

 

Due to the different tax rates for long-term andshort-term capital gains and losses, and depending on the tax character ofincome and loss you receive on other investments in your portfolio, it ispossible for you to have a pre-tax economic gain on your investment in theTrust but an after tax loss.

 

Over time, the compounding effects of the annualtaxation of the Trust’s income are material to the economic consequences ofinvesting in the Trust. For example, a 10% compound annual rate of return overfive years would result in an initial $10,000 investment compounding to$16,105. However, if one factors in a 30% tax rate each year, the result wouldbe $14,025.

** **

**YouWill be Taxed on the Trust’s Interest Income Even if the Trust Suffers TradingLosses**

 

Losses on the Trust’s trading are almost exclusivelycapital losses. Non-corporate investors may use net capital losses tooffset up to $3,000 of ordinary income each year. So, for example, if yourshare of the Trust’s trading (**i.e.**,capital) loss was $10,000 in a given fiscal year and your share of interestincome was $5,000, you would incur a net loss in the Net Asset Value of yourUnits equal to $5,000, but would nevertheless recognize taxable income of$2,000.

** **

**Limitationson the Deductibility of “Investment Advisory Fees”**

 

The Managing Owner does not intend to treat theordinary expenses of the Trust as “investment advisory fees” for federal incometax purposes. The Managing Owner believes that this is the position adopted byvirtually all United States futures fund sponsors. However, were the ordinaryexpenses of the Trust characterized as “investment advisory fees,”non-corporate taxpayers would be subject to substantial restrictions on thedeductibility of those expenses, would pay increased taxes in respect of aninvestment in the Trust and could actually recognize taxable income despitehaving incurred a financial loss.

** **

**TheIRS Could Audit Both the Trust and Individual Unitholders**

 

The IRS could audit the Trust’s tax returns andrequire the Trust to adjust such returns. If an audit results in an adjustment,you could be audited and required to pay additional taxes, plus interest andpossibly penalties.

** **

**TheBankruptcy of a Clearing Broker or Currency Dealer Could Cause Losses**

 

The Managing Owner must assess the credit-worthinessof the clearing brokers and foreign currency counterparties it selects for theTrust. If one of the Trust’s clearing brokers or foreign currencycounterparties becomes bankrupt, the Trust will be limited to recovering onlyits **pro rata** share of allavailable customer funds

 

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segregated by the clearingbroker or counterparty. The Managing Owner attempts to mitigate this risk byselecting only well capitalized, major financial institutions as clearing brokersand foreign currency counterparties.

** **

**TheTrust Trades in Unregulated Markets**

 

The Trust will conduct all or substantially all of itscurrency forward and related options trading in unregulated markets. There isno way to determine fair pricing or prevent trading abuses in such markets. Theabsence of regulation in such markets could expose the Trust to significantlosses.

 

Various national governments have expressed concernregarding the disruptive effects of speculative trading in the currency marketsand the need to regulate the “derivatives” markets in general. Futureregulatory changes may limit the Trust’s ability to trade in certainmarkets.

 

Item 2.  Properties

 

TheTrust does not own or use any physical properties in the conduct of itsbusiness. The Managing Owner or an affiliate perform all administrativeservices for the Trust from their offices.

 

Item 3.  Legal Proceedings

 

TheManaging Owner is not aware of any pending legal proceedings to which eitherthe Trust is a party or to which any of its assets are subject. In addition there are no pending material legalproceedings involving the Managing Owner.

 

Item 4.  Submissionof Matters to a Vote of Security Holders

 

None.

 

PART II

 

Item 5.  Market for the Registrant’s Common Equity andRelated Stockholder Matters

 

(a)   Market Information.

 

Thereis no trading market for the Units, and none is likely to develop. Units may beredeemed upon  10 business days’written notice to the Managing Owner at their net asset value as of the lastday of any month.

 

(b)   Holders.

 

As of December 31,2005, there were 388 holders of Units.

 

(c)   Dividends.

 

Nodistributions or dividends have been made on the Units, and the Managing Ownerhas no present intention to make any.

 

(d)   Securities Authorized for Issuance Under Equity CompensationPlans

 

None.

 

(e)   RecentSales of Unregistered Securities; Use of Proceeds from Registered Securities.

 

Registranthas made no sales of unregistered securities within the past three years.

 

(f)   IssuerPurchases of Equity Securities.

 

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Pursuantto the Trust’s Declaration of Trust and Trust Agreement, Unitholders may redeemtheir Units at the end of each calendar month at the then current month-end NetAsset Value per Unit. The redemption of Units has no impact on the value ofUnits that remain outstanding, and Units are not reissued once redeemed.

 

Thefollowing table summarizes the redemptions by Unitholders during the fourthcalendar quarter of 2005:

 
| **Month**               | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|-------------------------|------------|--------------------|------------|-----------------------------------|------------|
| ** **              | ** ** | ** **         | ** ** | ** **                        | ** ** |
| October 31,  2005  |       | 159.614            |       | 1,022.76                          |       |
| November 30,  2005 |       | 60.308             |       | 1,105.56                          |       |
| December 31,  2005 |       | 237.478            |       | 1,096.35                          |       |
|                    |       |               |       |                              |       |
| Total                   |       | 457.400            |       |                              |       |

 

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Item 6.  Selected Financial Data

 

Thefollowing is a summary of operations for the fiscal years 2005, 2004, 2003,2002 and 2001, and total assets of the Trust at December 31, 2005, 2004,2003, 2002 and 2001. The Trust commenced trading operations on September 13,1995.

 
| ** **                                        | ** ** | **For the Year Ended  December 31, 2005** | ** ** | **For the Year Ended  December 31, 2004** | ** ** | **For the Year Ended  December 31, 2003** | ** ** | **For the Year Ended  December 31, 2002** | ** ** | **For the Year Ended  December 31, 2001** | ** ** |
|---------------------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|------------------------------------------------|------------|
| Revenue:                                          | ** ** | ** **                                     | ** ** | ** **                                     | ** ** | ** **                                     | ** ** | ** **                                     | ** ** | ** **                                     | ** ** |
| Total net realized and unrealized gains (losses)* |       | $                                              | 399,427    |                                           | $          | 443,927                                        |       | $                                              | 1,202,555  |                                           | $          | 5,309,031 |   | $ | (2,138,120 | ) |
| Interest income                                   |       | 182,141                                        |       | 134,837                                        |       | 253,838                                        |       | 469,289                                        |       | 1,467,711                                      |       |
|                                              |       |                                           |       |                                           |       |                                           |       |                                           |       |                                           |       |
| Expenses:                                         |       |                                           |       |                                           |       |                                           |       |                                           |       |                                           |       |
| Administrative expenses**                         |       | 27,996                                         |       | 95,749                                         |       | 102,856                                        |       | 106,135                                        |       | 265,562                                        |       |
| Brokerage Commissions                             |       | 593,517                                        |       | 1,003,462                                      |       | 1,774,676                                      |       | 2,041,313                                      |       | 2,629,963                                      |       |
|                                              |       |                                           |       |                                           |       |                                           |       |                                           |       |                                           |       |
| Net Income (loss)                                 |       | $                                              | (39,945    | )                                              | $          | (520,447                                       | )          | $                                              | (421,139   | )                                              | $          | 3,630,872 |   | $ | (3,565,934 | ) |
|                                              |       |                                           |       |                                           |       |                                           |       |                                           |       |                                           |       |
| Total assets                                      |       | $                                              | 6,403,569  |                                           | $          | 9,201,458                                      |       | $                                              | 18,378,284 |                                           | $          | 21,381,228 |   | $ | 26,592,238 |   |
| Total Trust capital                               |       | $                                              | 6,013,983  |                                           | $          | 8,445,343                                      |       | $                                              | 17,994,455 |                                           | $          | 20,880,211 |   | $ | 25,723,057 |   |
| Net asset value per Unit                          |       | $                                              | 1,096.35   |                                           | $          | 1,081.91                                       |       | $                                              | 1,125.38   |                                           | $          | 1,164.79 |   | $ | 998.22 |   |
| Increase (decrease) in net asset value per Unit   |       | $                                              | 14.44      |                                           | $          | (43.47                                         | )          | $                                              | (39.41     | )                                              | $          | 166.57 |   | $ | (137.46 | ) |

 

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*From trading of futuresand forward contracts, foreign exchange transactions and U.S. Treasuryobligations

 

**Includes custody fees

 

11

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Item 7.  Management’s Discussion and Analysis of FinancialCondition and Results of Operations

 

Referenceis made to “Item 6. Selected Financial Data” and “Item 8. FinancialStatements and Supplementary Data.” The information contained therein is essential to, and should be read inconjunction with, the following analysis.

 

Capital Resources

 

Units may beoffered for sale as of the beginning, and may be redeemed as of the end,of each month. Units are not, however, currently being offered.

 

Theamount of capital raised for the Trust should not have a significant impact onits operations, as the Trust has no significant capital expenditure or workingcapital requirements other than for monies to pay trading losses, brokeragecommissions and charges. Within broad ranges of capitalization, the ManagingOwner’s trading positions should increase or decrease in approximate proportionto the size of the Trust.

 

TheTrust raises additional capital only through the sale of Units and tradingprofits (if any) and does not engage in borrowing.

 

TheTrust trades futures, options and forward contracts on interest rates,commodities, currencies, metals, energy and stock indices. Risk arises fromchanges in the value of these contracts (market risk) and the potentialinability of counterparties or brokers to perform under the terms of theircontracts (credit risk). Market risk is generally to be measured by the faceamount of the futures positions acquired and the volatility of the marketstraded. The credit risk from counterparty non-performance associated with theseinstruments is the net unrealized gain, if any, on these positions plus thevalue of the margin or collateral held by the counterparty. The risksassociated with exchange-traded contracts are generally perceived to be lessthan those associated with over-the-counter transactions, because exchangestypically (but not universally) provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange. In over-the-counter transactions, on the other hand, traders mustrely solely on the credit of their respective individual counterparties. Marginswhich may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may require margin or collateralin the over-the-counter markets.

 

TheManaging Owner has procedures in place to control market risk, although therecan be no assurance that they will, in fact, succeed in doing so. Theseprocedures primarily focus on (1) real time monitoring of open positions; (2) diversifyingpositions among various markets; (3) limiting the assets committed asmargin, generally within a range of 15% to 35% of an account’s Net Assets atexchange minimum margins, (including imputed margins on forward positions)although the amount committed to margin at any time may be substantiallyhigher; (4) prohibiting pyramiding (that is, using unrealized profits in aparticular market as margin for additional positions in the same market); and (5) changingthe equity utilized for trading by an account solely on a controlled periodicbasis rather than as an automatic consequence of an increase in equityresulting from trading profits. The Trust controls credit risk by dealingexclusively with large, well capitalized financial institutions, such as theBrokers, as brokers and counterparties.

 

Thefinancial instruments traded by the Trust contain varying degrees ofoff-balance sheet risk whereby changes in the market values of the futures andforward contracts or the Trust’s satisfaction of the obligations may exceedthe amount recognized in the statement of financial condition of the Trust.

 

Due tothe nature of the Trust’s business, substantially all its assets arerepresented by cash and United States government obligations, while the Trustmaintains its market exposure through open futures and forward contractpositions.

 

TheTrust’s futures contracts are settled by offset and are cleared by the exchangeclearinghouse function. Open futures positions are marked to market eachtrading day and the Trust’s trading accounts are debited or creditedaccordingly. Options on futures contracts are settled either by offset or byexercise. If an option on a future

 

12

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is exercised, the Trustis assigned a position in the underlying future which is then settled by offset.The Trust’s spot and forward currency transactions conducted in the interbankmarket are settled by netting offsetting positions or payment obligations andby cash payments.

 

Thevalue of the Trust’s cash and financial instruments is not materially affectedby inflation. Changes in interest rates, which are often associated withinflation, could cause the value of certain of the Trust’s debt securities todecline, but only to a limited extent. More important, changes in interestrates could cause periods of strong up or down market price trends, duringwhich the Trust’s profit potential generally increases. However, inflation canalso give rise to markets which have numerous short price trends followed byrapid reversals, markets in which the Trust is likely to suffer losses.

 

Liquidity

 

TheTrust’s assets are generally held as cash or cash equivalents which are used tomargin the Trust’s futures and forward currency positions and withdrawn, asnecessary, to pay redemptions and expenses. Other than potentialmarket-imposed  limitations on liquidity,due, for example, to limited open interest in certain futures markets or todaily price fluctuation limits, which are inherent in the Trust’s futures andforward trading, the Trust’s assets are highly liquid and are expected toremain so. During its operations through December 31, 2005, the Trustexperienced no meaningful periods of illiquidity in any of the numerous marketstraded by the Managing Owner.

 

Critical Accounting Estimates

 

The Trust records its transactions in futures andforward currency contracts, including related income and expenses, on a tradedate basis. Open futures contracts traded on an exchange are valued at market,which is based on the closing settlement price on the exchange where thefutures contract is traded by the Trust on the day with respect to which NetAssets are being determined. Open forward currency contracts are recorded atfair value, based on pricing models  thatconsider the current market prices (“Spot Prices”) plus the time value of money(“Forward Points”) and contractual prices of the underlying financialinstruments. The Spot Prices and Forward Points for open forward currencycontracts are generally based on the 3:00 P.M. New York time pricesprovided by widely used quotation service providers on the day with respect towhich Net Assets are being determined. The Forward Points from the quotationservice providers are generally in periods of one month, two months, threemonths and six months forward while the contractual forward delivery dates forthe foreign currency contracts traded by the Trust may be in between theseperiods.

 

The Managing Owner’s policy is to calculate theForward Points for each contract being valued by determining the number of daysfrom the date the forward currency contract is being valued to its maturitydate and then using straight-line interpolation to calculate the valuation ofForward Points for the applicable forward currency contract. The Managing Ownerwill also compare the calculated price to the forward currency prices providedby dealers to determine whether the calculated price is fair and reasonable.

 

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions, such as accrual ofexpenses, that affect the amounts and disclosures reported in the financialstatements. Based on the nature of the business and operations of the Trust,the Managing Owner believes that the estimates utilized in preparing the Trust’sfinancial statements are appropriate and reasonable, however actual resultscould differ from these estimates. The estimates used do not provide a range ofpossible results that would require the exercise of subjective judgment. TheManaging Owner further believes that, based on the nature of the business andoperations of the Trust, no other reasonable assumptions relating to theapplication of the Trust’s critical accounting estimates other than thosecurrently used would likely result in materially different amounts from thosereported.

 

Off-Balance SheetArrangements

 

The Trust does not engage in off-balance sheetarrangements with other entities.

 

13

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ContractualObligations

 

TheTrust does not enter into any contractual obligations or commercial commitmentsto make future payments of a type that would be typical for an operatingcompany or that would affect its liquidity or capital resources. The Trust’ssole business is trading futures and forward currency contracts, both long(contracts to buy) and short (contracts to sell). All such contracts aresettled by offset, not delivery. Substantially all such contacts are forsettlement within four months of the trade date and substantially all suchcontracts are held by the Trust for less than four months before being offsetor rolled over into new contracts with similar maturities.  The Trust’s Financial Statements, included as Exhibit 13.01to this report, present a Condensed Schedule of Investments setting forthnet unrealized appreciation (depreciation) of the Trust’s open future andforward currency contracts, both long and short, at December 31, 2005.

 

Results of Operations

 

*Performance Summary*

 

TheTrust’s success depends on the Managing Owner’s ability to recognize andcapitalize on trends and other profit opportunities in different sectors of theworld economy. The Managing Owner’s trading methods are confidential, so thatsubstantially the only information that can be furnished regarding the Trust’sresults of operations is its performance record. Unlike most operatingbusinesses, general economic or seasonal conditions have no direct effect onthe profit potential of the Trust, while, at the same time, its pastperformance is not necessarily indicative of future results. Because of thespeculative nature of its trading, operational or economic trends have littlerelevance to the Trust’s results. The Managing Owner believes, however, thatthere are certain market conditions — for example, markets with strong pricetrends — in which the Trust has a better opportunity of being profitable thanin others.

 

*2005*

 

During2005, the Trust achieved net realized and unrealized gains of $399,427 from itstrading operations (including foreign exchange transactions and translations). Brokeragefees of $593,517 were paid or accrued. The Trust paid no profit share to theManaging Owner. Interest income of $182,141 partially offset the Trust’sexpenses resulting in a net loss (inclusive of administrative expenses) of$39,945 and a 1.33% increase in the Net Asset Value per Unit. The increase inNet Asset Value per Unit does not correspond with the net loss because of thetiming of redemptions of Units in relation to the fluctuating value of theTrust’s investments during the year. An analysis of the trading gain (loss) bysector is as follows:

 
| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| ** **     | ** ** | ** **        | ** ** |
| Interest Rates |       | 2.17              | %          |
| Currencies     |       | (3.95             | )%         |
| Stock Indices  |       | 7.17              | %          |
| Metals         |       | 6.98              | %          |
| Energies       |       | 1.16              | %          |
| Grains         |       | (3.45             | )%         |
| Softs          |       | (0.14             | )%         |
| Livestock      |       | (1.36             | )%         |
|           |       |              |       |
| Total          |       | 8.58              | %          |

 

The Trustproduced a small percentage gain for the year. Equity indices and metals werestrongly profitable, and to a lesser extent so were cross rate currencypositions, energy and interest rates. On the other hand, sizable lossesresulted from trading dollar currency positions, and lesser shortfalls camefrom trading grains, and livestock.

 

14

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Internationalequity indices were highly profitable in 2005. Following some consolidationearly in the year, non-U.S. equity indexes moved broadly higher through year end.There were gains from long positions in Asian, European, and South Africanequity indices. Solid growth worldwide propelled equities forward despite theheadwinds that came from high energy prices and rising interest rates. Tradingof U.S. stock indexes, which were range-bound for most of 2005, was notprofitable, however.

 

Stronggrowth of industrial production, especially in China, underpinned demand formetals, and long positions in copper, zinc, aluminum and lead generated gains.  Continuing expansion of money supply worldwidefueled demand for precious metals and long platinum, gold and silver positionswere also profitable.

 

Energyprices were volatile, but still moved somewhat higher on balance for the year,and long positions in crude, heating oil, London gas oil, unleaded gasoline,and kerosene were slightly profitable. By the end of 2005, however, positionsizes had been reduced significantly.

 

Interestrates were quite volatile during 2005. Early in the year, markets expectedcontinuing declines in non-U.S. interest rates, and further advances in shortterm U.S. rates. Later on, however, interest rates rose rather broadly as theEuropean Central Bank joined the Federal Reserve in raising official rates, asgrowth in emerging economies remained strong, as Japan showed evidence ofexiting from its protracted slump, and as high prices for energy and othercommodities induced inflation fears that periodically roiled markets. In thisenvironment, profits from long non-U.S. interest rate positions during thefirst half of 2005 were largely offset by losses from these positions in thesecond half. Indeed, by year end, the portfolio’s interest rate positions hadbeen reduced or reversed from long to short, anticipating higher interest rates.

 

Turningto currencies, cross rate trades based on selling low yield currencies andbuying high interest rate currencies were profitable. In particular, sellingyen and buying the Australian dollar, Canadian dollar and British pound wasprofitable, as was selling the euro and buying Polish zlotys and Canadiandollars.

 

Dollartrading, however, was unprofitable throughout the year. The U.S. currency wasnot able to sustain a trend and exhibited significant volatility, especiallyduring the second half of 2005. As a result, 14 of the 17 currencies tradedversus the dollar registered losses or no appreciable gain for the year.

 

Tradingof agricultural commodities and livestock generated losses. Prices of corn,wheat and elements of the soybean complex experienced wide swings in 2005, andmodest losses were sustained across the grain sector of the portfolio. A longsugar position was quite profitable as weather related crop shortages in Braziland Asia increased demand for the commodity and prompted short covering as well.However, losses from trading coffee, cotton, and cocoa were more thanoffsetting. Livestock trading was unprofitable.

 

*2004*

 

During2004, the Trust achieved net realized and unrealized gains of $443,927 from itstrading operations (including foreign exchange transactions and translations). Brokeragefees of $1,003,462 were paid or accrued. The Trust paid no profit share to theManaging Owner. Interest income of $134,837 partially offset the Trust’sexpenses resulting in a net loss (inclusive of administrative expenses) of$520,447 and a 3.86% decrease in the Net Asset Value per Unit. An analysis ofthe trading gain (loss) by sector is as follows:

 
| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| ** **     | ** ** | ** **        | ** ** |
| Interest Rates |       | 2.72              | %          |
| Currencies     |       | (3.05             | )%         |
| Stock Indices  |       | (2.10             | )%         |
| Metals         |       | 0.10              | %          |
| Energies       |       | 5.54              | %          |
| Grains         |       | 1.30              | %          |
| Softs          |       | 0.02              | %          |
| Livestock      |       | 0.12              | %          |
|           |       |              |       |
| Total          |       | 4.65              | %          |

 

15

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The year 2004 was distinguished by dramatictransitions in the underlying character of market trading dynamics. Profitabletrends in January and February gave way to a six month period oftrendless, turbulent action across a broad swath of markets that producedsignificant losses. Beginning in September, trends reappeared and the Trustchalked up a sharp recovery in the year’s final four months. Interest rate andenergy trading were profitable and to a lesser extent so was trading ofagricultural commodities. These gains partially offset losses from currency,and stock index trading. The Trust generated a trading gain for the year.

 

At the start of the year, long positions in note andbond futures, particularly for the U.S. and Europe, were quite profitable assluggish European growth, concerns about a “jobless” U.S. recovery and centralbank buying of treasuries drove interest rates down. Rising energy pricesbenefited long energy positions, and equity and metals trading were profitable.Currency trading was very unprofitable, however, as a dollar decline halted andreversed during the quarter.

 

From March through August, a number ofuncertainties plagued market participants including:  the June Iraqi elections, the U.S.Presidential elections in November, the strength of the American economy andthrust of Federal Reserve policy, and China’s foreign exchange, industrial andmonetary policy directions. As a result, markets across the board displayedunprofitable, directionless price action. Trading of currencies, interestrates, stock indices, metals and agricultural commodities produced losses. Energytrading, in fact, was the only profitable sector for this period, and the gainwas only marginal.

 

As the aforementioned uncertainties began to clarify,market participants became more confident of their opinions and a number ofprofitable trend opportunities emerged. In particular, a sharp dollar declineled to excellent profits from a series of short dollar positions,particularly versus the euro and Korean won. This dollar sell off was promptedby worries about persistent U. S. current account and budget deficits, as wellas the rising probability that foreign central banks would begin to diversifytheir international reserve holdings away from the American currency. Tradingof interest rate, stock index, and metal futures was also profitable over the lastfour months of the year.

 

*2003*

 

During2003, the Trust achieved net realized and unrealized gains of $1,202,555 fromtrading operations (including foreign exchange transactions and translations). Brokeragefees of $1,774,676 were paid or accrued. The Trust paid no profit share. Interestincome of $253,838 partially offset the Trust’s expenses resulting in a netloss (inclusive of administrative expenses) of $421,139 and a 3.38% decrease inthe Net Asset Value per Unit. An analysis of the trading gain (loss) by sectoris as follows:

 
| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| ** **     | ** ** | ** **        | ** ** |
| Interest Rates |       | 0.04              | %          |
| Currencies     |       | 4.84              | %          |
| Stock Indices  |       | 2.32              | %          |
| Metals         |       | 2.39              | %          |
| Energies       |       | (2.33             | )%         |
| Grains         |       | (2.37             | )%         |
| Softs          |       | (0.71             | )%         |
|           |       |              |       |
| Total          |       | 4.18              | %          |

 

TheTrust’s performance was quite volatile throughout the year 2003. Substantialgains registered in January and February were largely erased inMarch, when major long term price trends in currencies, energy and interestrates reversed abruptly as the Iraq invasion moved from rhetoric to reality,and as traders and investors rushed to square positions, moving to thesidelines at least temporarily. Then, in May, as the initial phase of the Iraqiconflict was reaching a quicker then expected resolution, concern about largeU.S. budget and trade deficits,

 

16

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unfavorable U.S. interestrate differentials, and Treasury Secretary Snow’s apparent acquiescence to aweaker dollar, reignited a dollar selloff. At the same time, fears ofdeflation, and the Fed’s continued easy monetary policy, produced a renewedfall in interest rates. These broad movements brought with them a sizableprofit for the portfolio. However, after slightly favorable summer results,interest rate and energy markets succumbed to volatility without sustainedtrends. Therefore, losses in these two sectors outweighed gains from currency,stock index, and metals trading over the second half of 2003.

 

On asector basis, currency trading was profitable for 2003. Long positions in theeuro and commodity currencies (South African rand, Australian and New Zealanddollars) were quite profitable as the U.S. currency fell. On the other hand,trading of Far Eastern currencies (yen, Korean won, and the Singapore dollar)produced losses, since heavy Central Bank intervention throughout the regioncounterbalanced much of the downward pressure on the U.S. unit and led toerratic rate fluctuations.

 

Stockfutures trading was profitable due to a general up move in equities worldwide.Long gold and copper positions were profitable, particularly later in the year,as flight to safety and a weak dollar boosted gold prices, and as a weak dollarand surging industrial demand pushed copper prices upward.

 

Energyprices were highly volatile during the year, particularly with the onset ofhostilities in Iraq in March, and, hence energy trading generated losses in2003.

 

Interestrate trading was very profitable during the first half of 2003 when ratesworldwide were continuing to trend downward. However, when that trend reversedabruptly in mid-June and was followed by erratic non-directional rangetrading, offsetting losses were experienced, especially during the September —December period. Lastly, trading of agricultural commodities producedlosses throughout the year.

 

Item 7A.  Quantitativeand Qualitative Disclosures About Market Risk

 

Notrequired.

 

Item 8.  Financial Statements and Supplementary Data

 

Financialstatements required by this item, including the report of Deloitte &Touche LLP for the fiscal years ended December 31, 2005 and 2004, areincluded as Exhibit 13.01 to this report. The report of Ernst &Young LLP for the fiscal year ended December 31, 2003 is filed as Exhibit 13.02hereto.

 

Thefollowing summarized quarterly financial information presents the results ofoperations for the three month periods ended March 31, June 30, September 30and December 31, 2005 and 2004. This information has not been audited.

 
| ** **                                  | ** ** | **4th Quarter  2005** | ** ** | **3rd Quarter  2005** | ** ** | **2nd Quarter  2005** | ** ** | **1st Quarter  2005** | ** ** |
|---------------------------------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|
| Interest Income:                            |       | $                     | 48,332     |                  | $          | 47,769                |       | $                     | 43,981     |   | $ | 42,059 |   |
| Net Realized and  Unrealized Gains (Losses) |       | 300,936               |       | 427,358               |       | 136,000               |       | (464,867              | )          |
| Expenses:                                   |       | 148,014               |       | 147,481               |       | 151,241               |       | 174,777               |       |
| Net Income  (Loss):                         |       | 201,254               |       | 327,646               |       | 28,740                |       | (597,585              | )          |
| Net Income  (Loss) per Unit                 |       | 35.03                 |       | 52.83                 |       | 6.78                  |       | (80.20                | )          |
|                                             |            |                       |            |                       |            |                       |            |                       |            |  |  |  |  |

 

17

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| ** **                                  | ** ** | **4th Quarter  2004** | ** ** | **3rd Quarter  2004** | ** ** | **2nd Quarter  2004** | ** ** | **1st Quarter  2004** | ** ** |
|---------------------------------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|-----------------------|------------|
| Interest Income:                            |       | $                     | 33,381     |                  | $          | 26,776                |       | $                     | 31,874     |   | $ | 42,806 |   |
| Net Realized and  Unrealized Gains (Losses) |       | 1,423,445             |       | (254,399              | )          | (2,016,908            | )          | 1,291,789             |       |
| Expenses:                                   |       | 213,452               |       | 207,126               |       | 273,293               |       | 405,340               |       |
| Net Income  (Loss):                         |       | 1,243,374             |       | (434,749              | )          | (2,258,327            | )          | 929,255               |       |
| Net Income  (Loss) per Unit                 |       | 142.86                |       | (47.35                | )          | (195.20               | )          | 56.22                 |       |
|                                             |            |                       |            |                       |            |                       |            |                       |            |  |  |  |  |

 

Therewere no extraordinary, unusual or infrequently occurring items recognized inany quarter within the two most recent fiscal years, and the Trust has notdisposed of any segments of its business. There have been no year-endadjustments that are material to the results of any fiscal quarter reportedabove.

 

Item 9.  Changes in and Disagreements with Accountantson Accounting and Financial Disclosure

 

None.

 

Item9A.  Controls and Procedures

 

The Managing Owner, with theparticipation of the Managing Owner’s principal executive officers andprincipal financial officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Trustas of the end of the fiscal year for which this Annual Report on Form 10-Kis being filed, and, based on their evaluation, have concluded that thesedisclosure controls and procedures are effective. There were no significantchanges in the Managing Owner’s internal controls with respect to the Trust orin other factors applicable to the Trust that could significantly affect thesecontrols subsequent to the date of their evaluation.

 

Item 9B.  OtherInformation

 

None.

 

PART III

 

Item 10.  Directors and Executive Officers of the Registrant

 

(a,b)   Identificationof Directors and Executive Officers

 

TheTrust has no directors or executive officers. The Trust is controlled andmanaged by the Managing Owner under a delegation of authority by the Trust’sTrustee, Wilmington Trust Company.

 

MillburnRidgefield Corporation,  the ManagingOwner, is a Delaware corporation organized in May 1982 to managediscretionary accounts in futures and forward markets. It is the corporatesuccessor to a futures trading and advisory organization which has beencontinuously managing assets in the currency and futures markets usingquantitative, systematic techniques since 1971.

 

Theprincipals and senior officers of the Managing Owner as of December 31,2005 are as follows:

*** ***

***Harvey Beker, age 52.*** Mr. Beker is Co-Chief Executive Officerand Co-Chairman of the Managing Owner and The Millburn Corporation, and apartner of their affiliate, ShareInVest Research L.P. He received a Bachelor ofArts degree in economics from New York University (“NYU”) in 1974 and a Masterof Business Administration degree in finance from NYU in 1975. From June 1975to July 1977, Mr. Beker was employed by Loeb Rhoades, Inc. wherehe developed and traded silver arbitrage strategies. From July 1977 to June 1978,Mr. Beker was a futures trader at Clayton Brokerage Co. of St. Louis.Mr. Beker has been employed by The Millburn

 

18

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Corporation since June 1978and initially served as the Director of operations for its affiliate, MillburnPartners. During his tenure at Millburn (including its affiliates, MillburnPartners and CommInVest Research Limited Partnership (“CommInVest”)) he hasbeen instrumental in the development of the research, trading and operationsareas. Mr. Beker became a principal of the firm in June 1982, and apartner in ShareInVest, the predecessor of ShareInVest Research L.P. (“ShareInVest”),in April 1982.

*** ***

***Gregg R. Buckbinder, age 47.*** Mr. Buckbinder is Senior Vice-Presidentand Chief Operating Officer of the Managing Owner and The Millburn Corporationand a partner, since January 2000, of ShareInVest. He graduated cum laudefrom Pace University (“Pace”) in 1980 with a B.B.A. in accounting and receivedan M.S. in taxation from Pace in 1988. He joined the Managing Owner and TheMillburn Corporation in January 1998 from Odyssey Partners, L.P. where hewas responsible for the operation, administration and accounting of the firm’smerchant banking and managed account businesses from July 1990 through December 1997.Mr. Buckbinder was employed by Tucker Anthony, a securities broker anddealer, from June 1985 to July 1990 where he was First Vice Presidentand Controller, and from August 1983 to June 1984 where he designedand implemented various operations and accounting systems. He was with thepublic accounting firm of Ernst & Whinney from June 1984 to June 1985as a manager in the tax department and from September 1980 to August 1983as a senior auditor, with an emphasis on clients in the financial servicesbusiness. He is a Certified Public Accountant and a member of the AmericanInstitute of Certified Public Accountants.

*** ***

***George E. Crapple, age 61.*** Mr. Crapple is Co-Chief Executive Officerand Co-Chairman of the Managing Owner and The Millburn Corporation and apartner of ShareInVest. In 1966 he graduated with honors from the University ofWisconsin where his field of concentration was economics and he was elected toPhi Beta Kappa. In 1969 he graduated from Harvard Law School, **magna cum laude**, where he was amember of the Harvard Law Review. He was a lawyer with Sidley &Austin, Chicago, Illinois, from 1969 until April 1, 1983, as a partnersince 1975, specializing in commodities, securities, corporate and tax law. Hewas first associated with the Managing Owner in 1976 and joined Managing Ownerand The Millburn Corporation (including its affiliates, Millburn Partners andCommInVest) on April 1, 1983 on a full-time basis. He became a partner inShareInVest in April 1984. Mr. Crapple is a Director, Member of theExecutive Committee, Chairman of the Appeals Committee and a former Chairman ofthe Eastern Regional Business Conduct Committee of the NFA, past Chairman ofthe Managed Funds Association, a member of the Global Markets AdvisoryCommittee of the CFTC and a member of the board of directors of the FuturesIndustry Association (“FIA”).

*** ***

***Steven M. Felsenthal, age 36.***Mr. Felsenthalis General Counsel and Chief Compliance Officer of the Managing Owner, TheMillburn Corporation and ShareInVest. Prior to joining Millburn in January 2004,Mr. Felsenthal was a senior associate in the investment management groupat Schulte Roth & Zabel LLP (September 1999- January 2004),where he represented and advised hedge funds, registered investment companies,investment advisers, broker-dealers and banks in connection with all facets oftheir asset management businesses, and a member of the tax department ofKramer, Levin, Naftalis & Frankel LLP (October 1996- September 1999).He graduated**cum laude** fromYeshiva University in 1991 with a bachelor of arts degree in political science,and **order of the coif** fromFordham University School of Law in 1996, where he also served as an editor ofthe Fordham Environmental Law Journal. Mr. Felsenthal received an LL.Mdegree in taxation from NYU School of Law in 2001 and has written and beenquoted in numerous published articles on various topics related to investmentmanagement. Mr. Felsenthal is a member of the New York State Bar.

*** ***

***Mark B. Fitzsimmons, age 58.***Mr. Fitzsimmonsis a Senior Vice-President of the Managing Owner and The Millburn Corporationand a partner, since January 2000, of ShareInVest. His responsibilitiesinclude both business development and investment strategy. He joined theManaging Owner and its affiliates in January 1990 from Morgan Stanley &Co. Incorporated where he was a Principal and Manager of institutional foreignexchange sales and was involved in strategic trading for the firm from October 1987until January 1990. From September 1977 to October 1987 he waswith Chemical Bank New York Corporation (“Chemical”), first as a SeniorEconomist in Chemical’s Foreign Exchange Advisory Service and later as aVice-President and Manager of Chemical’s Corporate Trading Group. While atChemical he also traded both foreign exchange and fixed income products. From September 1973to September 1977 Mr. Fitzsimmons was employed by the Federal ReserveBank of New York, dividing his time between the International ResearchDepartment and the Foreign Exchange Department. He graduated summa cum laudefrom the University of Bridgeport, Connecticut in 1970 with a B.S. in economics.His

 

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graduate work was done atthe University of Virginia, where he received a certificate of candidacy for aPh.D. in economics in 1973.

*** ***

***Barry Goodman, age 48.*** Mr. Goodman is Executive Vice-President,Director of Trading and Co-Director of Research of the Managing Owner and TheMillburn Corporation and a partner of ShareInVest . His responsibilitiesinclude overseeing the firm’s trading operation and managing its tradingrelationships, as well as the design and implementation of trading systems. Hegraduated **magna cum laude**from Harpur College of the State University of New York in 1979 with a B.A. ineconomics. From September 1980 through October 1982 he was acommodity trader for E. F. Hutton & Co., Inc.  (“E.F. Hutton”). At E.F. Hutton, he alsodesigned and maintained various technical indicators and coordinated researchprojects pertaining to the futures markets. He joined the Managing Owner andThe Millburn Corporation (including its affiliate, Millburn Partners) in November 1982as Assistant Director of Trading. He became a partner in ShareInVest in January 1984.

*** ***

***Dennis B. Newton, age 54.***Mr. Newtonis a Senior Vice-President of the Managing Owner and The Millburn Corporation. Hisprimary responsibilities are in administration and business development. Priorto joining the Managing Owner and The Millburn Corporation in September 1991,Mr. Newton was President of Phoenix Asset Management, Inc. (“Phoenix”),a registered commodity pool operator from April 1990 to August 1991and President of its affiliated introducing broker, Phoenix Futures Inc., from March 1990to June 1991. Prior to his employment with Phoenix, Mr. Newton was aDirector of Managed Futures with Prudential-Bache Securities Inc. (“Prudential-Bache”)from October 1987 to March 1990 and was associated with itsaffiliated futures commission merchant entity, Prudential Securities FuturesManagement, Inc. Mr. Newton joined Prudential-Bache from HeinoldAsset Management, Inc. (“Heinold”), and its affiliated futures commissionmerchant, Heinold Commodities Inc., where he was a member of the seniormanagement team from October 1974 to October 1987. Heinold was apioneer and one of the largest sponsors of funds utilizing futures and currencyforward trading.

*** ***

***Grant N. Smith, age 54.***Mr. Smithis Executive Vice-President and Co-Director of Research of the Managing Ownerand The Millburn Corporation and a partner of ShareInVest. He is responsiblefor the design, testing and implementation of quantitative trading strategies,as well as for planning and overseeing the computerized decision-supportsystems of the firm. He received a B.S. degree from the Massachusetts Instituteof Technology (“M.I.T.”) in 1974 and an M.S. degree from M.I.T. in 1975. Whileat M.I.T. he held several teaching and research positions in the computerscience field and participated in various projects relating to databasemanagement. He joined the predecessor entity to The Millburn Corporation in June 1975,and has been continuously associated with the Managing Owner, The MillburnCorporation and their affiliates since that time.

*** ***

***Tod A. Tanis, age 51.***Mr. Tanisis a Vice President, Principal Accounting Officer and Director of Operations ofthe Managing Owner and The Millburn Corporation. He is responsible foroverseeing operations and accounting for the firm’s commodity pools. Hegraduated from Grove City College in May 1976 with a B.A. in accountingand joined the Managing Owner and The Millburn Corporation in May of 1983.Prior to joining Millburn, he was with E.F. Hutton, where he was a Manager fromDecember 1982 to April 1983; a Supervisor from August 1982 to December 1982;an International Accountant from April 1979 to August 1982; and astaff accountant from June 1978 to April 1979. As a Manager at E.F.Hutton, he was responsible for all internal and external commodity reporting.Mr. Tanis also served as a Junior Accountant and then International StaffAccountant with Merrill Lynch & Company from September 1976 to May 1978.

 

(c)   Identificationof Certain Significant Employees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

20

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SeeItem 10 (a,b) above.

 

(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   AuditCommittee Financial Expert

 

Sincethe Trust has no employees, officers or directors, the Trust has no auditcommittee. The Trust is managed by the Managing Owner. Gregg Buckbinder servesas the Managing Owner’s “audit committee financial expert.”  Mr. Buckbinder is not independent of themanagement of the Managing Owner. The Managing Owner is a privately ownedcorporation managed by its shareholders. It has no independent directors.

 

(h)   Codeof Ethics

 

TheTrust has no employees, officers or directors and is managed by the ManagingOwner. The Managing Owner has adopted an Executive Code of Ethics that appliesto its principal executive officers, principal financial officer and principalaccounting officer. A copy of this Executive Code of Ethics may beobtained at no charge by written request to Millburn Ridgefield Corporation,411 West Putnam Avenue, Greenwich, Connecticut 06830 or by calling 203-625-7554(ask for Client Services).

 

Item 11.  Executive Compensation

 

TheTrust has no directors or officers. None of the directors or officers of theManaging Owner receive “other compensation” from the Trust. The Managing Ownermakes all trading decisions on behalf of the Trust. The Managing Owner receivesmonthly brokerage commissions of 0.75 of 1% of the Net Assets (which is reducedto 0.58 of 1% of Net Assets for Unitholders who invest more than $1 million inthe Trust) and a quarterly profit share of 17.5% of any new trading profit asdefined.

 

Item 12.  Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

TheTrust knows of no person who owns beneficially more than 5% of the Units. Allof the Trust’s managing owner interest is held by the Managing Owner.

 

(b)   Security Ownership of Management

 

Underthe terms of the Trust Agreement, the Trust’s affairs are managed by theManaging Owner, which has discretionary authority over the Trust’s trading. TheManaging Owner’s managing owner interest was valued at $203,136 as of December 31,2005, 3.38% of the Trust’s total capital.

 

(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item 13.  Certain Relationships and Related Transactions

 

See “Item11. Executive Compensation” and “Item 12. Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $593,517 in brokerage fees and$0 in profit share

 

21

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for the year ended  December 31, 2005. The Managing Owners’managing owner interest showed an allocation of gain of $19,264 for the yearended December 31, 2005. The Trust is prohibited from making any loans.

 

Item 14.  PrincipalAccountant Fees and Services

 

(1)                                  AuditFees

 

Theaggregate fees for professional services rendered by Deloitte & ToucheLLP in connection with their audit of the Trust’s financial statements andreviews of the financial statements included in the quarterly reports on Form 10-Qand in connection with the statutory and regulatory filings for the years endedDecember 31, 2005 and 2004 were approximately $34,300 and $25,000,respectively.

 

Theaggregate fees for professional services rendered by Ernst & Young LLPin connection with their reviews of the financial statements included in thequarterly reports on Form 10-Q and in connection with the statutory andregulatory filings for the year ended December 31, 2004 was approximately$2,667.

 

(2)                                  Audit-RelatedFees

 

Therewere no fees for assurance and related services rendered by Deloitte &Touche LLP or Ernst & Young LLP for the years ended December 31, 2005and 2004.

 

(3)                                  TaxFees

 

Theaggregate fees for professional services rendered by Deloitte & ToucheLLP for tax compliance, advice or planning services rendered by Deloitte &Touche LLP for the benefit of the Trust for the years ended December 31, 2005and 2004 were approximately $9,000 and $7,179, respectively.

 

(4)                                  AllOther Fees

 

None.

 

(5)                                  Pre-ApprovalPolicies

 

Theboard of directors of the Managing Owner pre-approves the engagement of theTrust’s auditor for all services to be provided by the auditor.

 

PART IV

 

Item 15.  Exhibits, Financial Statement Schedules andReports on Form 8-K

 

(a)(1)   Financial Statements

 

The following areincluded with the 2005 Report of Independent Registered Public Accounting Firm,a copy of which is filed herewith as Exhibit 13.01.

 

Affirmationof Millburn Ridgefield Corporation

Reportof Independent Registered Public Accounting Firm

Statementsof Financial Condition

CondensedSchedules of Investments

Statementsof Operations

Statementsof Changes in Trust Capital

Statementsof Financial Highlights

Notesto Financial Statements

 

22

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(a)(2)   Financial Statement Schedules

 

AllSchedules are omitted for the reason that they are not required or are notapplicable because equivalent information has been included in the financialstatements or the notes thereto.

 

(a)(3)   Exhibits as required by Item 601 of Regulation S-K

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2005 Report of  Independent Registered Public Accounting Firm                    |
| 13.02           |       | 2003 Report of  Independent Auditors                                             |
| 31.1            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
| 31.2            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
| 31.3            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
| 32.1            |       | Section 1350  Certification of Principal Executive Officer                  |
| 32.2            |       | Section 1350  Certification of Principal Executive Officer                  |
| 32.3            |       | Section 1350  Certification of Principal Financial Officer                  |

 

Thefollowing exhibits are incorporated by reference from Amendment No. 1 tothe Registration Statement (File No. 33-90756) filed on June 27, 1995on Form S-1 under the Securities Act of 1933.

 
| 3.02  |   | Certificate of  Trust of the Trust.                         |
|-------|--------|-------------------------------------------------------------|
| 10.01 |   | Form of  Subscription Agreement and Power of Attorney. |

 

Thefollowing exhibits are incorporated by reference from Post-Effective Amendment No. 1to the Registration Statement (File No. 33-90756) filed on March 1,1996 on Form S-1 under the Securities Act of 1933.

 
| 10.02    |   | Selling  Agreement among the Trust, the Managing Owner and the Principal Selling  Agents (includes a form of Additional Selling Agent and Correspondent  Selling Agent Agreement). |
|----------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| 10.03(a) |   | Customer  Agreement among the Trust, the Managing Owner and a Principal Selling Agent  in its capacity as a futures commission merchant.                                                |
| 10.03(b) |   | Customer  Agreement among the Trust, the Managing Owner and a Principal Selling Agent  in its capacity as a futures commission merchant.                                                |
| 10.04    |   | Escrow Agreement  between the Trust and Chemical Bank, N.A.                                                                                                                             |

 

The following exhibit is incorporated by reference fromPost-Effective Amendment No. 5 to the Registration Statement (File No. 33-90756)filed February 18, 1997 on Form S-1 under the Securities Act of 1933.

 
| 3.01 |   | Amended and  Restated Declaration of Trust and Trust Agreement |
|------|--------|----------------------------------------------------------------|

 

23

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SIGNATURES

 

Pursuantto the requirements of Section 13 or 15(d) of the Securities ExchangeAct of 1934, the Registrant has duly caused this report to be signed on itsbehalf by the undersigned, thereunto duly authorized, on the 30thday of March, 2006.

 

 
|   | THE MILLBURN  WORLD RESOURCE TRUST |
|--------|------------------------------------|
|   |                               |
|   | By:                                | Millburn  Ridgefield Corporation, |
|   |                               | Managing Owner |
|   |                               |
|   | By:                                | /s/ Harvey Beker |   |
|   |                               | Harvey Beker |
|   |                               | Co-Chief  Executive Officer |

 

Pursuantto the requirements of the Securities Exchange Act of 1934, this report hasbeen signed below by the following persons on behalf of the Managing Owner ofthe Registrant in the capacities and on the date indicated.

 
| ** **            | ** **                     | ** **                               |
|-----------------------|--------------------------------|------------------------------------------|
| **Signature**         | ** **                     | **Title with  Managing Owner** | ** ** | **Date** | ** ** |
|                  |                           |                                     |
| /s/ Harvey Beker      |                           | Co-Chief                                 | March 30,  2006 |
|                  |  Harvey  Beker            | Executive  Officer and Director          |   |
|                  | (Principal  Executive Officer) |                                     |
|                  |                           |                                     |
| /s/ George E. Crapple |                           | Co-Chief Executive                       | March 30, 2006 |
|                  |  George E.  Crapple       | Officer and  Director                    |   |
|                  | (Principal  Executive Officer) |                                     |
|                  |                           |                                     |
| /s/ Gregg  Buckbinder |                           | Chief Financial  and Operating Officer   | March 30,  2006 |
|                  |  Gregg  Buckbinder        | (Principal  Financial Officer)           |   |
|                  |                           |                                     |
| /s/ Tod A. Tanis      |                           | Vice President                           | March 30, 2006 |
|                  |  Tod A.  Tanis            | (Principal  Accounting Officer)          |   |
|                       |                                |                                          |  |  |  |  |  |

 

(Beingthe principal executive officers, the principal financial officer and principalaccounting officer, and a majority of the directors of Millburn RidgefieldCorporation)

 

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March 30, 2006

 
| By     | /s/ Harvey Beker            |   |
|--------|-----------------------------|--------|
|   | Harvey Beker                |
|   | Co-Chief  Executive Officer |
|        |                             |        |  |

 

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EXHIBIT INDEX

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2005 Report of  Independent Registered Public Accounting Firm                    |
|            |       |                                                                             |
| 13.02           |       | 2003 Report of  Independent Auditors                                             |
|            |       |                                                                             |
| 31.1            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.2            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.3            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
|            |       |                                                                             |
| 32.1            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.2            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.3            |       | Section 1350  Certification of Principal Financial Officer                  |

 

Thefollowing exhibits are incorporated by reference from Amendment No. 1 tothe Registration Statement (File No. 33-90756) filed on June 27, 1995on Form S-1 under the Securities Act of 1933.

 
| 3.02   |   | Certificate of  Trust of the Trust.                         |
|--------|--------|-------------------------------------------------------------|
|   |   |                                                        |
| 10.01  |   | Form of  Subscription Agreement and Power of Attorney. |

 

Thefollowing exhibits are incorporated by reference from Post-Effective Amendment No. 1to the Registration Statement (File No. 33-90756) filed on March 1,1996 on Form S-1 under the Securities Act of 1933.

 
| 10.02    |   | Selling  Agreement among the Trust, the Managing Owner and the Principal Selling  Agents (includes a form of Additional Selling Agent and Correspondent  Selling Agent Agreement). |
|----------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|     |   |                                                                                                                                                                                    |
| 10.03(a) |   | Customer  Agreement among the Trust, the Managing Owner and a Principal Selling Agent  in its capacity as a futures commission merchant.                                                |
|     |   |                                                                                                                                                                                    |
| 10.03(b) |   | Customer  Agreement among the Trust, the Managing Owner and a Principal Selling Agent  in its capacity as a futures commission merchant.                                                |
|     |   |                                                                                                                                                                                    |
| 10.04    |   | Escrow Agreement  between the Trust and Chemical Bank, N.A.                                                                                                                             |

 

The following exhibit is incorporated by reference fromPost-Effective Amendment No. 5 to the Registration Statement (File No. 33-90756)filed February 18, 1997 on Form S-1 under the Securities Act of 1933.

 
| 3.01 |   | Amended and  Restated Declaration of Trust and Trust Agreement |
|------|--------|----------------------------------------------------------------|

 

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