***EXHIBIT 13.01***

 

***TheMillburn World Resource Trust***

 

Financial Statements forthe Years Ended

December 31, 2005,2004 and 2003 and

Report of IndependentRegistered

Public Accounting Firm

 

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**TABLE OFCONTENTS**

 
| ** **                                                                                        | **Page** |
|---------------------------------------------------------------------------------------------------|----------|
|                                                                                              |     |
| AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION                                                    |     |
|                                                                                              |     |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING  FIRM                                          | 1        |
|                                                                                              |     |
| FINANCIAL STATEMENTS:                                                                             |     |   |
|                                                                                              |     |   |
| Statements of Financial Condition at December 31,  2005 and 2004                             | 2        |
|                                                                                              |     |
| Condensed Schedules of Investments at December 31,  2005 and 2004                            | 3-6      |
|                                                                                              |     |
| Statements of Operations for the Years Ended December 31,  2005, 2004 and 2003               | 7        |
|                                                                                              |     |
| Statements of Changes in Trust Capital for the Years  Ended December 31, 2005, 2004 and 2003 | 8        |
|                                                                                              |     |
| Statements of Financial Highlights for the Years  Ended December 31, 2005, 2004 and 2003     | 9        |
|                                                                                              |     |
| Notes to Financial Statements for the Years Ended December 31,  2005, 2004 and 2003          | 10-14    |

 

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**AFFIRMATION OF MILLBURNRIDGEFIELD CORPORATION**

 

In compliance with theCommodity Futures Trading Commission’s regulations, I hereby affirm that to thebest of my knowledge and belief, the information contained in the statements offinancial condition of The Millburn World Resource Trust at December 31,2005 and 2004, including the condensed schedules of investments, and therelated statements of operations, changes in trust capital and financialhighlights for the years ended December 31, 2005, 2004 and 2003, arecomplete and accurate.

 

 

George E. Crapple,Co-Chief Executive Officer

Millburn RidgefieldCorporation

Managing Owner of TheMillburn World Resource Trust

 

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**REPORT OFINDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**

 

To the Unitholders of

The Millburn WorldResource Trust:

 

We have audited theaccompanying statements of financial condition of The Millburn World ResourceTrust (the “Trust”) as of December 31, 2005 and 2004, including thecondensed schedules of investments, and the related statements of operations,changes in trust capital and financial highlights for the years  then ended. These financial statements andfinancial highlights are the responsibility of the Trust’s management. Ourresponsibility is to express an opinion on these financial statements andfinancial highlights based on our audits. The financial statements andfinancial highlights for the year ended December 31, 2003 were audited byother auditors whose report dated February 17, 2004 expressed anunqualified opinion on those statements.

 

We conducted our auditsin accordance with the standards of the Public Company Accounting OversightBoard (United States). Those standards require that we plan and perform theaudit to obtain reasonable assurance about whether the financial statements andfinancial highlights are free of material misstatement. The Trust is notrequired to have, nor were we engaged to perform, an audit of its internalcontrol over financial reporting. Our audits included consideration of internalcontrol over financial reporting as a basis for designing audit procedures thatare appropriate in the circumstances, but not for the purpose of expressing anopinion on the effectiveness of the Trust’s internal control over financialreporting. Accordingly, we express no such opinion. An audit also includesexamining, on a test basis, evidence supporting the amounts and disclosures inthe financial statements and financial highlights, assessing the accountingprinciples used and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believe that ouraudits provide a reasonable basis for our opinion.

 

In our opinion, thefinancial statements and financial highlights referred to above present fairly,in all material respects, the financial position of The Millburn World ResourceTrust at December 31, 2005 and 2004, and the results of its operations,changes in trust capital and financial highlights for the years then ended inconformity with accounting principles generally accepted in the United Statesof America.

 

Deloitte &Touche LLP

New York, New York

February 27, 2006

 

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF FINANCIAL CONDITION**

**AT DECEMBER 31, 2005 AND 2004**

 
| ** **                                                                                           | ** ** | **2005**   | ** ** | **2004**   | ** ** |
|------------------------------------------------------------------------------------------------------|------------|------------|------------|------------|------------|
|                                                                                                 |       |       |       |       |       |
| **ASSETS**                                                                                           | ** ** | ** ** | ** ** | ** ** | ** ** |
|                                                                                                 |       |       |       |       |       |
| EQUITY IN  TRADING ACCOUNTS:                                                                         |       |       |       |       |       |
| Investments in  U.S. Treasury notes—at market value (amortized cost $2,324,375 and  $2,433,710) |       | $          | 2,320,797  |       | $          | 2,431,481 |   |
| Net unrealized  appreciation on open futures and forward currency contracts                          |       | 43,826     |       | 262,727    |       |
| Net unrealized  depreciation on open futures contracts                                               |       | (2,030     | )          | (22,602    | )          |
| Due from brokers                                                                                     |       | 332,333    |       | 299,981    |       |
| Cash denominated  in foreign currencies (cost $79,292 and $93,604)                                   |       | 78,108     |       | 95,419     |       |
|                                                                                                 |       |       |       |       |       |
| Total equity in  trading accounts                                                                    |       | 2,773,034  |       | 3,067,006  |       |
|                                                                                                 |       |       |       |       |       |
| INVESTMENTS IN  U.S. TREASURY NOTES—at market value (amortized cost $2,893,757 and  $5,459,734) |       | 2,886,966  |       | 5,452,919  |       |
|                                                                                                 |       |       |       |       |       |
| CASH AND CASH  EQUIVALENTS                                                                           |       | 720,792    |       | 661,189    |       |
|                                                                                                 |       |       |       |       |       |
| ACCRUED INTEREST  RECEIVABLE                                                                         |       | 22,777     |       | 20,344     |       |
|                                                                                                 |       |       |       |       |       |
| TOTAL                                                                                                |       | $          | 6,403,569  |       | $          | 9,201,458 |   |
|                                                                                                 |       |       |       |       |       |
| **LIABILITIES  AND TRUST CAPITAL**                                                                   |       |       |       |       |       |
|                                                                                                 |       |       |       |       |       |
| LIABILITIES:                                                                                         |       |       |       |       |       |
| Due to brokers                                                                                       |       | $          | 60,388     |       | $          | — |   |
| Accrued expenses                                                                                     |       | 24,428     |       | 59,769     |       |
| Accrued  brokerage fees                                                                              |       | 44,411     |       | 60,526     |       |
| Redemptions  payable                                                                                 |       | 260,359    |       | 635,820    |       |
|                                                                                                 |       |       |       |       |       |
| Total  liabilities                                                                                   |       | 389,586    |       | 756,115    |       |
|                                                                                                 |       |       |       |       |       |
| TRUST CAPITAL:                                                                                       |       |       |       |       |       |
| Managing owner  interest                                                                             |       | 203,136    |       | 183,872    |       |
| Unitholders  (5,300.162 and 7,635.974 units outstanding)                                             |       | 5,810,847  |       | 8,261,471  |       |
|                                                                                                 |       |       |       |       |       |
| Total trust  capital                                                                                 |       | 6,013,983  |       | 8,445,343  |       |
|                                                                                                 |       |       |       |       |       |
| TOTAL                                                                                                |       | $          | 6,403,569  |       | $          | 9,201,458 |   |
|                                                                                                 |       |       |       |       |       |
| NET ASSET VALUE  PER UNIT OUTSTANDING                                                                |       | $          | 1,096.35   |       | $          | 1,081.91 |   |

 

Seenotes to financial statements.

 

2

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2005**

 
| ** **                                       | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a% of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|--------------------------------------------------|------------|---------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
| **FUTURES  AND FORWARD CURRENCY CONTRACTS**      |       |                                                                      |       |                                              |       |
|                                             |       |                                                                      |       |                                              |       |
| FUTURES  CONTRACTS                               |       |                                                                      |       |                                              |       |
| LONG FUTURES CONTRACTS:                          |       |                                                                      |       |                                              |       |
| Energies                                         |       | 0.12                                                                      | %          | $                                                 | 7,440      |   |
| Grains                                           |       | 0.37                                                                      |       | 22,408                                            |       |
| Interest rates                                   |       | 0.19                                                                      |       | 11,628                                            |       |
| Livestock                                        |       | (0.06                                                                     | )          | (4,000                                            | )          |
| Metals                                           |       | 1.84                                                                      |       | 110,272                                           |       |
| Softs                                            |       | 1.34                                                                      |       | 80,886                                            |       |
| Stock indices                                    |       | 0.50                                                                      |       | 29,984                                            |       |
|                                             |       |                                                                      |       |                                              |       |
| Total long futures contracts                     |       | 4.30                                                                      |       | 258,618                                           |       |
|                                             |       |                                                                      |       |                                              |       |
| SHORT FUTURES CONTRACTS:                         |       |                                                                      |       |                                              |       |
| Grains                                           |       | (0.41                                                                     | )          | (24,443                                           | )          |
| Interest rates                                   |       | 0.47                                                                      |       | 28,285                                            |       |
| Metals                                           |       | 0.04                                                                      |       | 2,480                                             |       |
| Softs                                            |       | (0.36                                                                     | )          | (22,230                                           | )          |
|                                             |       |                                                                      |       |                                              |       |
| Total short futures contracts                    |       | (0.26                                                                     | )          | (15,908                                           | )          |
|                                             |       |                                                                      |       |                                              |       |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net |       | 4.04                                                                      |       | 242,710                                           |       |
|                                             |       |                                                                      |       |                                              |       |
| FORWARD CURRENCY  CONTRACTS:                     |       |                                                                      |       |                                              |       |
| TOTAL LONG FORWARD CURRENCY CONTRACTS            |       | (2.54                                                                     | )          | (152,675                                          | )          |
| TOTAL SHORT FORWARD CURRENCY CONTRACTS           |       | (0.80                                                                     | )          | (48,239                                           | )          |
|                                             |       |                                                                      |       |                                              |       |
| TOTAL  INVESTMENTS IN FORWARD CURRENCY           |       |                                                                      |       |                                              |       |
| CONTRACTS—Net                               |       | (3.34                                                                     | )          | (200,914                                          | )          |
|                                             |       |                                                                      |       |                                              |       |
| TOTAL                                            |       | 0.70                                                                      | %          | $                                                 | 41,796     |   |

 

(Continued)

 

3

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**CONDENSEDSCHEDULE OF INVESTMENTS**

**ATDECEMBER 31, 2005**

 

**U.S.TREASURY NOTES**

 
| **Face**

**Amount** | ** ** | **Description**                           | ** **                            | **Value as a  % of Trust Capital**    | ** ** | **Value**  | ** ** |
|----------------------|------------|-------------------------------------------|---------------------------------------|---------------------------------------|------------|------------|------------|
| ** **           | ** ** | ** **                                | ** **                            | ** **                            | ** ** | ** ** | ** ** |
| $                    |       | 1,460,000                                 |                                  | U.S. Treasury Notes, 1.625%, 02/28/06 |       | 24.19      | %          | $ | 1,454,525 |   |
|                 | 1,560,000  |                                      | U.S. Treasury Notes, 2.500%, 05/31/06 |                                  | 25.75      |       | 1,548,300  |   |
|                 | 875,000    |                                      | U.S. Treasury Notes, 2.375%, 08/15/06 |                                  | 14.37      |       | 864,063    |   |
|                 | 1,360,000  |                                      | U.S. Treasury Notes, 2.875%, 11/30/06 |                                  | 22.28      |       | 1,340,875  |   |
|                 |       |                                      |                                  |                                  |       |       |       |
|                 |       | Total  investments in U.S. Treasury notes |                                  |                                  |       |       |       |
|                 |       | (amortized cost $5,218,132)               |                                  | 86.59                                 | %     | $          | 5,207,763  |   |

 

Seenotes to financial statements.

 

(Concluded)

 

4

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2004**

 
| ** **                                       | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a% of  Trust Capital** | ** ** | **Net  Unrealized Appreciation (Depreciation)** | ** ** |
|--------------------------------------------------|------------|---------------------------------------------------------------------------|------------|-------------------------------------------------|------------|
| **FUTURES  AND FORWARD CURRENCY CONTRACTS**      |       |                                                                      |       |                                            |       |
|                                             |       |                                                                      |       |                                            |       |
| FUTURES  CONTRACTS:                              |       |                                                                      |       |                                            |       |
| LONG FUTURES CONTRACTS:                          |       |                                                                      |       |                                            |       |
| Energies                                         |       | (0.38                                                                     | )%         | $                                               | (31,992    | ) |
| Interest rates                                   |       | 0.05                                                                      |       | 3,807                                           |       |
| Livestock                                        |       | 0.01                                                                      |       | 860                                             |       |
| Metals                                           |       | 0.12                                                                      |       | 10,201                                          |       |
| Softs                                            |       | 0.24                                                                      |       | 20,405                                          |       |
| Stock indices                                    |       | 0.89                                                                      |       | 75,077                                          |       |
|                                             |       |                                                                      |       |                                            |       |
| Total long futures contracts                     |       | 0.93                                                                      |       | 78,358                                          |       |
|                                             |       |                                                                      |       |                                            |       |
| SHORT FUTURES CONTRACTS:                         |       |                                                                      |       |                                            |       |
| Energies                                         |       | 0.20                                                                      |       | 16,788                                          |       |
| Grains                                           |       | 0.23                                                                      |       | 19,498                                          |       |
| Interest rates                                   |       | 0.01                                                                      |       | 1,226                                           |       |
| Metals                                           |       | 0.04                                                                      |       | 3,050                                           |       |
| Softs                                            |       | (0.02                                                                     | )          | (2,015                                          | )          |
|                                             |       |                                                                      |       |                                            |       |
| Total short futures contracts                    |       | 0.46                                                                      |       | 38,547                                          |       |
|                                             |       |                                                                      |       |                                            |       |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net |       | 1.39                                                                      |       | 116,905                                         |       |
|                                             |       |                                                                      |       |                                            |       |
| FORWARD CURRENCY  CONTRACTS:                     |       |                                                                      |       |                                            |       |
| TOTAL LONG FORWARD CURRENCY CONTRACTS            |       | 3.56                                                                      |       | 300,917                                         |       |
| TOTAL SHORT FORWARD CURRENCY CONTRACTS           |       | (2.10                                                                     | )          | (177,697                                        | )          |
|                                             |       |                                                                      |       |                                            |       |
| TOTAL  INVESTMENTS IN FORWARD CURRENCY           |       |                                                                      |       |                                            |       |
| CONTRACTS—Net                               |       | 1.46                                                                      |       | 123,220                                         |       |
|                                             |       |                                                                      |       |                                            |       |
| TOTAL                                            |       | 2.85                                                                      | %          | $                                               | 240,125    |   |

 

(Continued)

 

5

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**CONDENSEDSCHEDULE OF INVESTMENTS**

**ATDECEMBER 31, 2004**

 

**U.S.TREASURY NOTES**

 
| **Face**

**Amount** | ** ** | **Description**                           | ** **                              | **Value as a  % of Trust Capital**      | ** ** | **Value** | ** ** |
|----------------------|------------|-------------------------------------------|-----------------------------------------|-----------------------------------------|------------|-----------|------------|
|                 |       |                                      |                                    |                                    |       |      |       |
| $                    |       | 2,560,000                                 |                                    | U.S. Treasury Notes, 1.500%, 02/28/2005 |       | 30.29     | %          | $ | 2,558,400 |   |
|                 | 2,800,000  |                                      | U.S. Treasury Notes, 1.250%, 05/31/2005 |                                    | 32.99      |      | 2,786,000  |   |
|                 | 2,560,000  |                                      | U.S. Treasury Notes, 1.875%, 11/30/2005 |                                    | 30.08      |      | 2,540,000  |   |
|                 |       |                                      |                                    |                                    |       |      |       |
|                 |       | Total  investments in U.S. Treasury notes |                                    |                                    |       |      |       |
|                 |       | (amortized cost $7,893,444)               |                                    | 93.36                                   | %          | $         | 7,884,400  |   |

 

See notes to financialstatements.

 

(Concluded)

 

6

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF OPERATIONS**

**FOR THEYEARS ENDED DECEMBER 31, 2005, 2004 AND 2003**

 
| ** **                                          | ** ** | **2005** | ** ** | **2004**  | ** ** | **2003**   | ** ** |
|-----------------------------------------------------|------------|----------|------------|-----------|------------|------------|------------|
|                                                |       |     |       |      |       |       |       |
| INVESTMENT  INCOME:                                 |       |     |       |      |       |       |       |
| Interest income                                     |       | $        | 182,141    |      | $          | 134,837    |       | $ | 253,838 |   |
|                                                |       |     |       |      |       |       |       |
| EXPENSES:                                           |       |     |       |      |       |       |       |
| Brokerage fees                                      |       | 593,517  |       | 1,003,462 |       | 1,774,676  |       |
| Administrative expenses                             |       | 26,951   |       | 94,492    |       | 100,000    |       |
| Custody fees                                        |       | 1,045    |       | 1,257     |       | 2,856      |       |
|                                                |       |     |       |      |       |       |       |
| Total expenses                                      |       | 621,513  |       | 1,099,211 |       | 1,877,532  |       |
|                                                |       |     |       |      |       |       |       |
| NET INVESTMENT  LOSS                                |       | (439,372 | )          | (964,374  | )          | (1,623,694 | )          |
|                                                |       |     |       |      |       |       |       |
| NET REALIZED AND  UNREALIZED                        |       |     |       |      |       |       |       |
| GAINS (LOSSES):                                     |       |     |       |      |       |       |       |
| Net realized gains (losses) on closed positions:    |       |     |       |      |       |       |       |
| Futures and forward currency contracts              |       | 612,445  |       | 1,201,009 |       | 1,570,413  |       |
| Foreign exchange translation                        |       | (10,365  | )          | 14,350    |       | (12,625    | )          |
| Net change in unrealized appreciation/depreciation: |       |     |       |      |       |       |       |
| Futures and forward currency contracts              |       | (198,329 | )          | (757,157  | )          | (351,179   | )          |
| Foreign exchange translation                        |       | (2,999   | )          | (658      | )          | 9,776      |       |
| Net losses from U.S. Treasury Notes:                |       |     |       |      |       |       |       |
| Net realized loss                                   |       | —   |       | (1,964    | )          | —     |       |
| Net change in unrealized appreciation/depreciation  |       | (1,325   | )          | (11,653   | )          | (13,830    | )          |
|                                                |       |     |       |      |       |       |       |
| TOTAL NET  REALIZED AND                             |       |     |       |      |       |       |       |
| UNREALIZED GAINS                                    |       | 399,427  |       | 443,927   |       | 1,202,555  |       |
|                                                |       |     |       |      |       |       |       |
| NET LOSS                                            |       | $        | (39,945    | )         | $          | (520,447   | )          | $ | (421,139 | ) |
|                                                |       |     |       |      |       |       |       |
| NET INCOME  (LOSS) PER UNIT *                       |       | $        | 14.44      |      | $          | (43.47     | )     | $ | (39.41 | ) |
|                                                     |            |          |            |           |            |            |            |  |  |  |  |

 

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*            Theamount shown per unit in 2005 does not correspond with the net loss because ofthe timing of redemptions of the Trust’s units in relation to the fluctuatingvalue of the Trust’s investments during the year.

 

Seenotes to financial statements.

 

7

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF CHANGES IN TRUST CAPITAL**

**FOR THE YEARS ENDED DECEMBER 31, 2005, 2004 AND2003**

 
| ** **                                | ** ** | ** **      | ** ** | ** **  | ** ** | **New Profit Memo** | ** ** | **Managing** | ** ** | ** ** | ** ** | ** ** | ** ** |
|-------------------------------------------|------------|-----------------|------------|-------------|------------|---------------------|------------|--------------|------------|------------|------------|------------|------------|
| ** **                                | ** ** | **Unitholders** | ** ** | **Account** | ** ** | **Owner**           | ** ** | **Total**    | ** ** |
| ** **                                | ** ** | **Amount**      | ** ** | **Units**   | ** ** | **Amount**          | ** ** | **Units**    | ** ** | **Amount** | ** ** | **Units**  | ** ** | **Amount** | ** ** | **Units** | ** ** |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| TRUST CAPITAL—January 1, 2003   |       | $               | 20,303,891 |        | 17,431.417 |                | $          | —       |       | —     |       | $          | 576,320    |   | — |   | $ | 20,880,211 |   | 17,431.417 |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| Redemptions                               |       | (2,464,617      | )          | (2,008.445  | )          | —              |       | —       |       | —     |       | —     |       | (2,464,617 | ) | (2,008.445 | ) |
| Additional units allocated *              |       | —          |       | 28.597      |       | —              |       | —       |       | —     |       | —     |       | — |   | 28.597 |   |
| Net income (loss)                         |       | (450,340        | )          | —      |       | —              |       | —       |       | 29,201     |       | —     |       | (421,139 | ) | — |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| TRUST CAPITAL—December 31, 2003 |       | 17,388,934      |       | 15,451.569  |       | —              |       | —       |       | 605,521    |       | —     |       | 17,994,455 |   | 15,451.569 |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| Redemptions                               |       | (8,578,665      | )          | (7,827.688  | )          | —              |       | —       |       | (450,000   | )          | —     |       | (9,028,665 | ) | (7,827.688 | ) |
| Additional units allocated *              |       | —          |       | 12.093      |       | —              |       | —       |       | —     |       | —     |       | — |   | 12.093 |   |
| Net income (loss)                         |       | (548,798        | )          | —      |       | —              |       | —       |       | 28,351     |       | —     |       | (520,447 | ) | — |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| TRUST CAPITAL—December 31, 2004 |       | 8,261,471       |       | 7,635.974   |       | —              |       | —       |       | 183,872    |       | —     |       | 8,445,343 |   | 7,635.974 |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| Redemptions                               |       | (2,391,415      | )          | (2,335.812  | )          | —              |       | —       |       | —     |       | —     |       | (2,391,415 | ) | (2,335.812 | ) |
| Additional units allocated *              |       | —          |       | —      |       | —              |       | —       |       | —     |       | —     |       | — |   | — |   |
| Net income (loss)                         |       | (59,209         | )          | —      |       | —              |       | —       |       | 19,264     |       | —     |       | (39,945 | ) | — |   |
|                                      |       |            |       |        |       |                |       |         |       |       |       |       |       |   |   |   |   |
| TRUST CAPITAL—December 31, 2005 |       | $               | 5,810,847  |        | 5,300.162  |                | $          | —       |       | —     |       | $          | 203,136    |   | — |   | $ | 6,013,983 |   | 5,300.162 |   |

 

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* Additional unitsare issued to Unitholders who are charged less than a 9.0% brokerage fee.

 

See notes to financialstatements.

 

8

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF FINANCIAL HIGHLIGHTS**

**FOR THE YEARS ENDED DECEMBER 31, 2005, 2004 AND2003**

 
| ** **                                                                                           | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** |
|------------------------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
|                                                                                                 |       |     |       |     |       |     |       |
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT OF  BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE YEAR): |       |     |       |     |       |     |       |
| Net income (loss) from operations:                                                                   |       |     |       |     |       |     |       |
| Net investment loss                                                                                  |       | $        | (69.40     | )(a)     | $          | (91.83   | )(a)       | $ | (98.85 | )(a) |
| Net realized and unrealized gains on trading of  futures and forward currency contracts              |       | 84.05    |       | 49.61    |       | 60.26    |       |
| Net losses from U.S. Treasury notes                                                                  |       | (0.21    | )(a)       | (1.25    | )(a)       | (0.82    | )(a)       |
|                                                                                                 |       |     |       |     |       |     |       |
| TOTAL INCOME (LOSS) FROM OPERATIONS                                                                  |       | 14.44    |       | (43.47   | )          | (39.41   | )          |
|                                                                                                 |       |     |       |     |       |     |       |
| NET ASSET VALUE—Beginning of year                                                               |       | 1,081.91 |       | 1,125.38 |       | 1,164.79 |       |
|                                                                                                 |       |     |       |     |       |     |       |
| NET ASSET VALUE—End of year                                                                     |       | $        | 1,096.35   |     | $          | 1,081.91 |       | $ | 1,125.38 |   |
|                                                                                                 |       |     |       |     |       |     |       |
| TOTAL RETURN                                                                                         |       | 1.33     | %          | (3.86    | )%         | (3.38    | )%         |
|                                                                                                 |       |     |       |     |       |     |       |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                                     |       |     |       |     |       |     |       |
| NET INVESTMENT LOSS                                                                                  |       | (6.77    | )%         | (8.61    | )%         | (8.16    | )%         |
|                                                                                                 |       |     |       |     |       |     |       |
| TOTAL EXPENSES                                                                                       |       | 9.48     | %          | 9.76     | %          | 9.39     | %          |

 

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(a) Calculatedbased on weighted average number of units during the year.

 

Seenotes to financial statements.

 

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**NOTES TO FINANCIAL STATEMENTS**

**YEARSENDED DECEMBER 31, 2005, 2004 AND 2003**

 

**1.****                    ORGANIZATION**

 

TheMillburn World Resource Trust (the “Trust”) was organized on June 7, 1995,under the Delaware Business Trust Act. The Trust commenced trading operationson September 13, 1995. The Trust engages in the speculative trading offutures and forward currency contracts. The instruments that are traded by theTrust are volatile and involve a high degree of market risk.

 

Themanaging owner of the Trust is Millburn Ridgefield Corporation (the “ManagingOwner”). The Managing Owner manages the business of the Trust and makes alltrading decisions.

 

TheManaging Owner has agreed to make additional capital contributions, subject tocertain possible exceptions in order to maintain its capital account at notless than 1% of the total capital of the Trust. The Managing Owner and theholders of the Units of Beneficial Interest (“Units”) issued by the Trust willshare in any profits and losses of the Trust in proportion to the percentageinterest owned by each, before brokerage fees and profit share allocations.

 

TheTrust will terminate on December 31, 2025, or at an earlier date ifcertain conditions occur as defined in the Declaration of Trust and the TrustAgreement (the “Agreement”).

 

**2.****                    SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES**

 

***Investments***—The Trust records its transactions in futures and forward currencycontracts, including related income and expenses, on a trade date basis.

 

Openfutures contracts are valued at market value and open forward currencycontracts are valued at fair value which is based on pricing models thatconsider the time value of money and the current market and contractual pricesof the underlying financial instruments. Realized gains (losses) and changes inunrealized appreciation (depreciation) on futures and forward currencycontracts are recognized in the periods in which the contracts are closed orthe changes occur, and are included in net realized and unrealized gains(losses) in the statements of operations.

 

Investmentsin U.S. Treasury notes are valued at market value based on bid quotationsreported daily in The Wall Street Journal. The Trust amortizes premiums and accretesdiscounts on U.S. Treasury notes using the effective interest method. Suchsecurities are normally on deposit with financial institutions as collateralfor performance of the Trust’s trading obligations with respect to derivativecontracts and are held for safekeeping in a custody account.

 

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***Fair Value of Financial Instruments***—The fair value of the Trust’s assets and liabilities,which qualify as financial instruments under Statement of Financial AccountingStandards No. 107, *Disclosures about FairValue of Financial Instruments*, approximates the carrying amountspresented in the statements of financial condition.

 

***Foreign Currency Translation***—Assets and liabilities denominated in foreigncurrencies are translated at quoted prices of such currencies. Purchases andsales of investments are translated at the exchange rate prevailing when suchtransactions occurred.

 

***Income Taxes***—Income taxes have not been provided, as each Unitholder isindividually liable for the taxes, if any, on their share of the Trust’s incomeand expenses.

 

***Estimates***—The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States requires management to makeestimates and assumptions that affect the amounts and disclosures reported inthe financial statements. Actual results could differ from these estimates.

 

***Right of Offset***—The customer agreements between the Trust and some ofits brokers give the Trust the legal right to net unrealized gains and losses.Unrealized gains and losses related to offsetting transactions with thesebrokers are reflected on a net basis in the equity in trading accounts in thestatements of financial condition.

** **

**3.**                    TRUST AGREEMENT

 

TheTrust pays brokerage fees to the Managing Owner at the annual rate of 9.0% ofthe Trust’s average month-end Net Assets of Unitholders’ interests (prior toreduction for accrued brokerage fees or Profit Share). The Managing Ownerretains the right to charge less than the annual brokerage rate of 9.0% tothose subscribers who either invest $1,000,000 or more in the Units orsubscribe without incurring the selling commission paid by the Managing Owner.Brokerage fees will be charged to capital accounts of the Managing Owner, itsprincipals, their respective affiliates or the New Profit Memo Account only tothe extent of charges paid to third party executing and clearing brokers. Inorder to maintain a uniform Net Asset Value per Unit, additional units areissued to Unitholders who are charged less than a 9.0% brokerage fee.

 

TheManaging Owner, not the Trust, will pay all routine costs of executing andclearing the Trust’s futures trades, including brokerage fees payable to theclearing brokers. The Managing Owner also pays, from its own funds, sellingcommissions on all sales of Units.

 

TheAgreement provides that the Managing Owner’s profit share equal to 17.5% of NewTrading Profits (as defined in the Agreement) in excess of the highestcumulative level of Trading Profit as of any previous calendar quarter-end ischarged to the Unitholders’ capital accounts. However, for Unitholders’redemptions during the quarter, the profit share calculation shall be computedas though the redemption date was at quarter end.

 

Anyprofit share charged is added to the Managing Owner’s capital account to theextent that net taxable capital gains are allocated to the Managing Owner. Theremainder of such profit share, if any, is added to the New Profit MemoAccount. The Managing Owner may not make any withdrawal from the balancein the New Profit Memo Account. If, at the end

 

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of asubsequent year, net taxable gains are allocated to the Managing Owner inexcess of such year’s profit share, a corresponding amount is transferred fromthe New Profit Memo Account to the Managing Owner’s capital account.

 

TheTrust pays its legal, accounting, auditing, printing, postage and similaradministrative expenses (including the Trustee’s fees and the charges of anoutside accounting services agency), as well as extraordinary costs.

 

Units may beredeemed, at the option of any Unitholder, at Net Asset Value (as defined inthe Agreement) as of the close of business on the last business day of anycalendar month on ten business days’ written notice to the Managing Owner.

** **

**4.****                    DUEFROM/TO BROKERS**

 

At December 31,2005 and 2004, the due from brokers and due to brokers balances in thestatements of financial condition include cash receivable from and payable tobrokers.

 

**5.****                    TRADINGACTIVITIES**

 

TheTrust conducts its trading activities with various brokers acting either as abroker or counterparty to various transactions. At December 31, 2005 and2004, cash, due from brokers and Treasury notes aggregating $2,731,238 and $2,826,881,respectively, included in the Trust’s equity in trading accounts were held bysuch brokers in segregated accounts as collateral as required by U.S. CommodityFutures Trading Commission’s regulations or by the counterparty bank or broker.Such collateral can be sold or repledged by the counterparties, at theirdiscretion.

 

TheTrust enters into contracts with various service providers (i.e., financialinstitutions, transfer agent, etc.) that contain a variety ofindemnifications. The Trust’s maximum exposure under these arrangements isunknown. However, the Trust has not had prior claims or losses pursuant tothese contracts and expects the risk of loss to be remote.

** **

**6.****                    DERIVATIVEINSTRUMENTS**

 

TheTrust is party to derivative financial instruments in the normal course of itsbusiness. These financial instruments include futures and forward currencycontracts which may be traded on an exchange (“exchange-traded contracts”)or over-the-counter (“OTC contracts”).

 

TheTrust records its derivative activities on a mark-to-market basis as describedin Note 2. For OTC contracts, the Trust enters into master nettingagreements with most of its counterparties. Therefore, assets represent theTrust’s unrealized gains, less unrealized losses for OTC contracts in which theTrust has a master netting agreement. Similarly, liabilities represent netamounts owed to counterparties on OTC contracts.

 

Futurescontracts are agreements to buy or sell an underlying asset or index for a setprice in the future. Initial margin deposits are made upon entering intofutures contracts and can be either in cash or treasury securities. Openfutures contracts are revalued on a daily basis to reflect the market value ofthe contracts at the end of each trading day. Variation margin

 

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paymentsare received or made, depending upon whether unrealized gains or losses areincurred. When the contract is closed, the Trust records a realized gain orloss equal to the difference between the value of the contract at the time itwas opened and the time it was closed. The Trust bears the market risk thatarises from changes in the value of these financial instruments.

 

Forwardcurrency contracts entered into by the Trust represent a firm commitment to buyor sell an underlying currency at a specified value and point in time basedupon an agreed or contracted quantity. The ultimate gain or loss is equal tothe difference between the value of the contract at the onset and the value ofthe contract at settlement date.

 

Eachof these financial instruments is subject to various risks similar to thoserelated to the underlying financial instruments, including market risk, creditrisk and sovereign risk.

 

Marketrisk is the potential change in the value of the instruments traded by theTrust due to market changes, including interest and foreign exchange ratemovements and fluctuations in futures or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets in which therelated underlying assets are traded. The financial instruments traded by theTrust contain varying degrees of off-balance sheet risk whereby changes in themarket values of the futures and forward currency contracts and the Trust’ssatisfaction of its obligations related to such market value changes may exceedthe amount recognized in the statements of financial condition.

 

Creditrisk is the possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Credit riskis normally reduced to the extent that an exchange or clearing organizationacts as a counterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the financial integrity of the exchange. In thecase of OTC transactions, the Trust must rely solely on the credit of theindividual counterparties. The contract amounts of the forward and futurescontracts do not represent the Trust’s risk of loss due to counterpartynonperformance. The Trust’s exposure to credit risk associated withcounterparty nonperformance of these contracts is limited to the unrealizedgains inherent in such contracts, which are recognized in the statements offinancial condition, plus the value of margin or collateral held by thecounterparty. The amount of such credit risk was $1,389,599 and $1,478,206 at December 31,2005 and 2004, respectively.

 

TheManaging Owner has established procedures to actively monitor market risk andminimize credit risk, although there can be no assurance that it will, in factsucceed in doing so. The Managing Owner’s market risk control proceduresinclude diversification of the Trust’s portfolio and continuously monitoringthe portfolio’s open positions, historical volatility and maximum historicalloss. The Managing Owner seeks to minimize credit risk primarily by depositingand maintaining the Trust’s assets at financial institutions and brokers whichthe Managing Owner believes to be creditworthy. The Trust’s trading activitiesare primarily with brokers and other financial institutions located in NorthAmerica, Europe and Asia. All futures transactions of the Trust are cleared bymajor securities firms pursuant to customer agreements. For all forwardcurrency transactions, the Trust utilizes a single clearing broker which is amajor financial institution.

 

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TheTrust is subject to sovereign risk such as the risk of restrictions beingimposed by foreign governments on the repatriation of cash and the effects ofpolitical or economic uncertainties. Net unrealized appreciation (depreciation)on futures and forward currency contracts are denominated in the functionalcurrency. Cash settlement of futures and forward currency contracts is made inthe local currency (settlement currency) and then translated to the functionalcurrency (U.S. Dollar).

 

Netunrealized appreciation (depreciation) on futures and forward currencycontracts by settlement currency type denominated in the functional currency atDecember 31, 2005 and 2004, is detailed below:

 
| ** **             | ** ** | **December 31**                                         | ** **   |
|------------------------|------------|--------------------------------------------------------------|--------------|
| ** **             | ** ** | **2005**                                                     | ** **   | **2004** | ** ** |
| **Currency Type** | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** **   | **Percent of   Total** | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** |
| ** **             | ** ** | ** **                                                   | ** **   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| Australian  dollar     |       | $                                                            | 12,013       |   | 28.74 | % | $ | 13,008 |   | 5.42 | % |
| British pound          |       | (439                                                         | )            | (1.05 | ) | 192 |   | 0.08 |   |
| Canadian dollar        |       | 18,962                                                       |         | 45.37 |   | 3,824 |   | 1.59 |   |
| Euro                   |       | 41,803                                                       |         | 100.01 |   | (258 | ) | (0.11 | ) |
| Hong Kong dollar       |       | (5,920                                                       | )            | (14.16 | ) | (1,209 | ) | (0.50 | ) |
| Japanese yen           |       | (64,721                                                      | )            | (154.85 | ) | 19,566 |   | 8.15 |   |
| Norwegian krona        |       | (5,913                                                       | )            | (14.15 | ) | (25,613 | ) | (10.67 | ) |
| Polish zloty           |       | 3,799                                                        |         | 9.09 |   | 12,475 |   | 5.20 |   |
| Swedish krona          |       | (78                                                          | )            | (0.19 | ) | (6,719 | ) | (2.80 | ) |
| South African  rand    |       | 7,760                                                        |         | 18.57 |   | 7,086 |   | 2.95 |   |
| U.S. dollar            |       | 34,530                                                       |         | 82.62 |   | 217,773 |   | 90.69 |   |
|                   |       |                                                         |         |   |   |   |   |   |   |
| Total                  |       | $                                                            |  41,796 |   | 100.00 | % | $ |  240,125 |   | 100.00 | % |
|                        |            |                                                              |              |  |  |  |  |  |  |  |  |  |  |

 

**7.****                    FINANCIALHIGHLIGHTS**

 

Perunit operating performance is calculated based on Unitholders’ capital taken asa whole. An individual Unitholder’s per unit operating performance may varyfrom these per unit values based on the timing of capital transactions.

 

Theratios are calculated based on Unitholders’ capital taken as a whole. Thecomputation of such ratios based on the amount of net investment loss, totalexpenses and profit share allocation to an individual Unitholder’s capitalbalance may vary from these ratios based on the timing of capitaltransactions and differences in individual investor’s brokerage fee and profitshare allocation arrangements.

 

Totalreturn is calculated for Unitholders taken as a whole. An individual Unitholder’stotal return may vary from the stated total return based on the timing ofcapital transactions and differences in individual Unitholders’ brokerage feeand profit share allocation arrangements.

*******

 

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