**EXHIBIT 13.01**

 

***The Millburn World Resource Trust***

 

*FinancialStatements for theYears Ended December 31, 2004, 2003 and 2002 andReport of Independent Registered Public Accounting Firm*

 

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**TABLE OF CONTENTS**

 
| AFFIRMATION  OF MILLBURN RIDGEFIELD CORPORATION                            |   |
|----------------------------------------------------------------------------|--------|
|                                                                       |   |
| REPORT  OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM                   |   |
|                                                                       |   |
| FINANCIAL STATEMENTS FOR THE YEARS ENDED DECEMBER  31, 2004, 2003 AND 2002 |   |
|                                                                       |   |
| Statements of  Financial Condition                                         |   |
|                                                                       |   |
| Condensed Schedules  of Investments                                        |   |
|                                                                       |   |
| Statements of Operations                                                   |   |
|                                                                       |   |
| Statements of  Changes in Trust Capital                                    |   |
|                                                                       |   |
| Statements of  Financial Highlights                                        |   |
|                                                                       |   |
| Notes to Financial  Statements                                             |   |

 

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**AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION**

 

Incompliance with the Commodity Futures Trading Commission’s regulations, Ihereby affirm that to the best of my knowledge and belief, the informationcontained in the statements of financial condition of The Millburn WorldResource Trust at December 31, 2004 and 2003, including the condensed schedulesof investments, and the related statements of operations, changes in trustcapital and financial highlights for the years ended December 31, 2004, 2003and 2002 are complete and accurate.

 

 

George E. Crapple,Co-Chief Executive Officer

Millburn RidgefieldCorporation

Managing Owner of The Millburn World Resource Trust

 

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**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTINGFIRM**

 

To theUnitholders ofThe Millburn World Resource Trust

 

Wehave audited the accompanying statement of financial condition of The MillburnWorld Resource Trust (the “Trust”) as of December 31, 2004, including thecondensed schedule of investments, and the related statements of operations,changes in trust capital and financial highlights for the year then ended.These financial statements and financial highlights are the responsibility ofthe Trust’s management. Our responsibility is to express an opinion on thesefinancial statements and financial highlights based on our audit. The financialstatements and financial highlights for the years ended December 31, 2003 and2002, including the condensed schedule of investments for 2003, were audited byother auditors whose report dated February 17, 2004,expresses an unqualified opinion on those statements.

 

Weconducted our audit in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards require that weplan and perform the audit to obtain reasonable assurance about whether thefinancial statements and financial highlights are free of materialmisstatement. An audit includes consideration of internal control overfinancial reporting as a basis for designing audit procedures that areappropriate 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 ouraudit provides a reasonable basis for our opinion.

 

In ouropinion, the financial statements and financial highlights referred to abovepresent fairly, in all material respects, the financial position of TheMillburn World Resource Trust at December 31, 2004, and the results of itsoperations, changes in trust capital and financial highlights for the year thenended in conformity with accounting principles generally accepted in the UnitedStates of America.

 

 

Deloitte & Touche LLP

New York, New York

February 28, 2005

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**THEMILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF FINANCIAL CONDITION**

**YEARS ENDEDDECEMBER 31, 2004 AND 2003**

 
| ** **                                                                                           | ** ** | **2004**  | ** ** | **2003**   | ** ** |
|------------------------------------------------------------------------------------------------------|------------|-----------|------------|------------|------------|
| **ASSETS**                                                                                           |       |      |       |       |       |
|                                                                                                 |       |      |       |       |       |
| EQUITY IN  TRADING ACCOUNTS:                                                                         |       |      |       |       |       |
| Investments in  U.S. Treasury notes—at market value (amortized cost $2,433,710 and  $8,181,547) |       | $         | 2,431,481  |       | $          | 8,181,553 |   |
| Net unrealized  appreciation on open futures and forward currency contracts                          |       | 262,727   |       | 1,186,052  |       |
| Net unrealized  depreciation on open futures and forward currency contracts                          |       | (22,602   | )          | (188,770   | )          |
| Due from brokers                                                                                     |       | 299,981   |       | 402,071    |       |
| Cash denominated  in foreign currencies (cost $93,604 and $64,388)                                   |       | 95,419    |       | 66,861     |       |
|                                                                                                 |       |      |       |       |       |
| Total equity in  trading accounts                                                                    |       | 3,067,006 |       | 9,647,767  |       |
|                                                                                                 |       |      |       |       |       |
| INVESTMENTS IN  U.S. TREASURY NOTES—at market value (amortized cost $5,459,734 and  $7,511,928) |       | 5,452,919 |       | 7,514,531  |       |
| CASH AND CASH  EQUIVALENTS                                                                           |       | 661,189   |       | 1,043,177  |       |
| ACCRUED INTEREST  RECEIVABLE                                                                         |       | 20,344    |       | 172,809    |       |
|                                                                                                 |       |      |       |       |       |
| TOTAL                                                                                                |       | $         | 9,201,458  |       | $          | 18,378,284 |   |
|                                                                                                 |       |      |       |       |       |
| **LIABILITIES  AND TRUST CAPITAL**                                                                   |       |      |       |       |       |
|                                                                                                 |       |      |       |       |       |
| LIABILITIES:                                                                                         |       |      |       |       |       |
| Due to brokers                                                                                       |       | $         | —     |       | $          | 28,463 |   |
| Accrued expenses                                                                                     |       | 59,769    |       | 10,854     |       |
| Accrued  brokerage fees                                                                              |       | 60,526    |       | 121,941    |       |
| Redemptions  payable                                                                                 |       | 635,820   |       | 222,571    |       |
|                                                                                                 |       |      |       |       |       |
| Total  liabilities                                                                                   |       | 756,115   |       | 383,829    |       |
|                                                                                                 |       |      |       |       |       |
| TRUST CAPITAL:                                                                                       |       |      |       |       |       |
| Managing owner  interest                                                                             |       | 183,872   |       | 605,521    |       |
| Unitholders  (7,635.974 and 15,451.569 units outstanding)                                            |       | 8,261,471 |       | 17,388,934 |       |
|                                                                                                 |       |      |       |       |       |
| Total trust  capital                                                                                 |       | 8,445,343 |       | 17,994,455 |       |
|                                                                                                 |       |      |       |       |       |
| TOTAL                                                                                                |       | $         | 9,201,458  |       | $          | 18,378,284 |   |
|                                                                                                 |       |      |       |       |       |
| NET ASSET VALUE  PER UNIT OUTSTANDING                                                                |       | $         | 1,081.91   |       | $          | 1,125.38 |   |

 

See notes to financial statements.

 

2

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**DECEMBER 31, 2004**

 
| **Futures and Forward Currency  Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|-----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
|                                                      |       |                                                                       |       |                                              |       |
| 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)

 

3

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**DECEMBER 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  financial statements. | (Concluded) |
|-------------------------------------|-------------|

 

4

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**THE MILLBURN WORLD RESOURCE TRUST**

** **

**CONDENSED SCHEDULE OF INVESTMENTS**

**DECEMBER 31, 2003**

 
| **Futures and Forward Currency  Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|-----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
|                                                      |       |                                                                       |       |                                              |       |
| FUTURES  CONTRACTS                                        |       |                                                                       |       |                                              |       |
| Long futures  contracts:                                  | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Energies:                                                 | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Natural Gas, 20  contracts—February 2004             |       | (1.03                                                                      | )%         | $                                                 | (186,200   | ) |
| Other energies                                            |       | 0.17                                                                       |       | 30,336                                            |       |
| ** **                                                | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Total long  energy contracts                              |       | (0.86                                                                      | )          | (155,864                                          | )          |
| ** **                                                | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Interest rates                                            |       | 0.13                                                                       |       | 23,539                                            |       |
| ** **                                                | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Metals:                                                   | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Gold, 109  contracts—February 2004                   |       | 1.12                                                                       |       | 201,450                                           |       |
| Other metals                                              |       | 0.50                                                                       |       | 90,774                                            |       |
| ** **                                                | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Total long metal  contracts                               |       | 1.62                                                                       |       | 292,224                                           |       |
| ** **                                                | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| Softs                                                     |       | (0.11                                                                      | )          | (19,720                                           | )          |
| Stock indices                                             |       | 0.47                                                                       |       | 84,551                                            |       |
|                                                      |       |                                                                       |       |                                              |       |
| Total long  futures contracts                             |       | 1.25                                                                       |       | 224,730                                           |       |
|                                                      |       |                                                                       |       |                                              |       |
| Short futures  contracts:                                 |       |                                                                       |       |                                              |       |
| Interest rates                                            |       | (0.03                                                                      | )          | (4,510                                            | )          |
| Softs                                                     |       | —                                                                     |       | (825                                              | )          |
|                                                      |       |                                                                       |       |                                              |       |
| Total short  futures contracts                            |       | (0.03                                                                      | )          | (5,335                                            | )          |
|                                                      |       |                                                                       |       |                                              |       |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 1.22                                                                       |       | 219,395                                           |       |
|                                                      |       |                                                                       |       |                                              |       |
| FORWARD CURRENCY  CONTRACTS                               |       |                                                                       |       |                                              |       |
| Long forward  currency contracts:                         |       |                                                                       |       |                                              |       |
| Euro/U.S.  Dollars—March 2004                        |       | 3.15                                                                       |       | 597,490                                           |       |
| Other long  forward currency contracts                    |       | 2.20                                                                       |       | 366,234                                           |       |
|                                                      |       |                                                                       |       |                                              |       |
| Total long  forward currency contracts                    |       | 5.35                                                                       |       | 963,724                                           |       |
|                                                      |       |                                                                       |       |                                              |       |
| Total short  forward currency contracts                   |       | (1.03                                                                      | )          | (185,837                                          | )          |
|                                                      |       |                                                                       |       |                                              |       |
| TOTAL  INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | 4.32                                                                       |       | 777,887                                           |       |
|                                                      |       |                                                                       |       |                                              |       |
| TOTAL                                                     |       | 5.54                                                                       | %          | $                                                 | 997,282    |   |

 

(Continued)

 

5

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**THE MILLBURN WORLD RESOURCE TRUST**

** **

**CONDENSED SCHEDULE OF INVESTMENTS**

**DECEMBER 31, 2003**

 

**U.S.Treasury Notes**

 
| **Face  Amount** | ** ** | **Description**                                                        | ** **                               | **Value as a  % of Trust  Capital** | ** ** | **Value**  | ** ** |
|------------------|------------|------------------------------------------------------------------------|------------------------------------------|-------------------------------------|------------|------------|------------|
| ** **       | ** ** | ** **                                                             | ** **                               | ** **                          | ** ** | ** ** | ** ** |
| $                | 6,300,000  |                                                                   | U.S. Treasury  Notes, 4.750%, 02/15/2004 |                                | 35.16      | %          | $          | 6,327,562 |   |
| 4,890,000        |       | U.S. Treasury  Notes, 3.375%, 04/30/2004                               |                                     | 27.39                               |       | 4,928,203  |       |
| 4,410,000        |       | U.S. Treasury  Notes, 2.125%, 08/31/2004                               |                                     | 24.68                               |       | 4,440,319  |       |
|             |       |                                                                   |                                     |                                |       |       |       |
|             |       |                                                                   |                                     |                                |       |       |       |
|             |       | Total investments in U.S. Treasury notes (amortized  cost $15,693,475) |                                     | 87.23                               | %          | $          | 15,696,084 |   |
|                  |            |                                                                        |                                          |                                     |            |            |            |  |  |

 
| See notes to financial statements. | (Concluded) |
|------------------------------------|-------------|

 

6

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF OPERATIONS**

**YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002**

 
| ** **                                             | ** ** | **2004**   | ** ** | **2003**   | ** ** | **2002**   | ** ** |
|--------------------------------------------------------|------------|------------|------------|------------|------------|------------|------------|
| ** **                                             | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| INVESTMENT  INCOME:                                    |       |       |       |       |       |       |       |
| Interest income                                        |       | $          | 134,837    |       | $          | 253,838    |       | $ | 469,289 |   |
|                                                   |       |       |       |       |       |       |       |
| EXPENSES:                                              |       |       |       |       |       |       |       |
| Brokerage fees                                         |       | 1,003,462  |       | 1,774,676  |       | 2,041,313  |       |
| Administrative  expenses                               |       | 94,492     |       | 100,000    |       | 106,135    |       |
| Custody fees                                           |       | 1,257      |       | 2,856      |       | —     |       |
|                                                   |       |       |       |       |       |       |       |
| Total expenses                                         |       | 1,099,211  |       | 1,877,532  |       | 2,147,448  |       |
|                                                   |       |       |       |       |       |       |       |
| NET INVESTMENT  LOSS                                   |       | (964,374   | )          | (1,623,694 | )          | (1,678,159 | )          |
|                                                   |       |       |       |       |       |       |       |
| NET REALIZED AND  UNREALIZED GAINS (LOSSES):           |       |       |       |       |       |       |       |
| Net realized  gains (losses) on closed positions:      |       |       |       |       |       |       |       |
| Futures and  forward currency contracts                |       | 1,201,009  |       | 1,570,413  |       | 4,970,123  |       |
| Foreign exchange  translation                          |       | 14,350     |       | (12,625    | )          | 14,048     |       |
| Net change in  unrealized appreciation (depreciation): |       |       |       |       |       |       |       |
| Futures and  forward currency contracts                |       | (757,157   | )          | (351,179   | )          | 404,363    |       |
| Foreign exchange  translation                          |       | (658       | )          | 9,776      |       | (7,369     | )          |
| Net losses from  U.S. Treasury Notes:                  |       |       |       |       |       |       |       |
| Net realized  loss                                     |       | (1,964     | )          | —     |       | —     |       |
| Net change in  unrealized appreciation (depreciation)  |       | (11,653    | )          | (13,830    | )          | (72,134    | )          |
|                                                   |       |       |       |       |       |       |       |
| TOTAL NET  REALIZED AND UNREALIZED GAINS               |       | 443,927    |       | 1,202,555  |       | 5,309,031  |       |
|                                                   |       |       |       |       |       |       |       |
| NET INCOME  (LOSS)                                     |       | $          | (520,447   | )          | $          | (421,139   | )          | $ | 3,630,872 |   |
|                                                   |       |       |       |       |       |       |       |
| NET INCOME  (LOSS) PER UNIT                            |       | $          | (43.47     | )          | $          | (39.41     | )          | $ | 166.57 |   |

 

See notes to financial statements.

 

7

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF CHANGES IN TRUST CAPITAL**

**YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002**

 
| ** **                            | ** ** | ** **      | ** ** | ** **  | ** ** | **New  Profit Memo** | ** ** | **Managing** | ** ** | ** ** | ** ** | ** ** | ** ** |
|---------------------------------------|------------|-----------------|------------|-------------|------------|----------------------|------------|--------------|------------|------------|------------|------------|------------|
| ** **                            | ** ** | **Unitholders** | ** ** | **Account** | ** ** | **Owner**            | ** ** | **Total**    | ** ** |
| ** **                            | ** ** | **Amount**      | ** ** | **Units**   | ** ** | **Amount**           | ** ** | **Units**    | ** ** | **Amount** | ** ** | **Units**  | ** ** | **Amount** | ** ** | **Units** | ** ** |
| ** **                            | ** ** | ** **      | ** ** | ** **  | ** ** | ** **           | ** ** | ** **   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| TRUST CAPITAL—January  1, 2002   |       | $               | 24,822,541 |        | 24,866.853 |                 | $          | —       |       | —     |       | $          | 900,516    |   | — |   | $ | 25,723,057 |   | 24,866.853 |   |
|                                  |       |            |       |        |       |                 |       |         |       |       |       |       |       |   |   |   |   |
| Subscriptions                         |       | 279,804         |       | 282.151     |       | —               |       | —       |       | —     |       | —     |       | 279,804 |   | 282.151 |   |
| Redemptions                           |       | (8,253,522      | )          | (7,749.040  | )          | —               |       | —       |       | (500,000   | )          | —     |       | (8,753,522 | ) | (7,749.040 | ) |
| Additional units  allocated *         |       | —          |       | 31.453      |       | —               |       | —       |       | —     |       | —     |       | — |   | 31.453 |   |
| Net income                            |       | 3,455,068       |       | —      |       | —               |       | —       |       | 175,804    |       | —     |       | 3,630,872 |   | — |   |
| ** **                            | ** ** | ** **      | ** ** | ** **  | ** ** | ** **           | ** ** | ** **   | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| TRUST CAPITAL—December  31, 2002 |       | 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 |   |

 

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*  Additional units areissued to Unitholders who are charged less than a 9.0% brokerage fee.

 

See notes to financialstatements.

 

8

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**STATEMENTS OF FINANCIAL HIGHLIGHTS**

**YEARS ENDED DECEMBER 31, 2004, 2003 AND 2002**

 
| ** **                                                                                            | ** ** | **2004** | ** ** | **2003** | ** ** | **2002** | ** ** |
|-------------------------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
|                                                                                                  |       |     |       |     |       |     |       |
| PER UNIT OPERATING  PERFORMANCE (FOR A UNIT OF BENEFICIAL INTEREST OUTSTANDING THROUGHOUT THE  YEAR): |       |     |       |     |       |     |       |
| Net income  (loss) from operations:                                                                   |       |     |       |     |       |     |       |
| Net investment  loss                                                                                  |       | $        | (91.83     | )(a)     | $          | (98.85   | )(a)       | $ | (79.26 | )(a) |
| Net realized and  unrealized gains on trading of futures and forward currency contracts               |       | 49.61    |       | 60.26    |       | 248.55   |       |
| Net losses from  U.S. Treasury notes                                                                  |       | (1.25    | )(a)       | (0.82    | )(a)       | (2.72    | )(a)       |
|                                                                                                  |       |     |       |     |       |     |       |
| TOTAL INCOME  (LOSS) FROM OPERATIONS                                                                  |       | (43.47   | )          | (39.41   | )          | 166.57   |       |
|                                                                                                  |       |     |       |     |       |     |       |
| NET ASSET VALUE—Beginning  of year                                                               |       | 1,125.38 |       | 1,164.79 |       | 998.22   |       |
|                                                                                                  |       |     |       |     |       |     |       |
| NET ASSET VALUE—End  of year                                                                     |       | $        | 1,081.91   |     | $          | 1,125.38 |       | $ | 1,164.79 |   |
|                                                                                                  |       |     |       |     |       |     |       |
| TOTAL RETURN                                                                                          |       | (3.86    | )%         | (3.38    | )%         | 16.69    | %          |
|                                                                                                  |       |     |       |     |       |     |       |
| RATIOS TO  AVERAGE TRUST CAPITAL:                                                                     |       |     |       |     |       |     |       |
| Net investment  loss                                                                                  |       | (8.61    | )%         | (8.16    | )%         | (7.37    | )%         |
|                                                                                                  |       |     |       |     |       |     |       |
| TOTAL EXPENSES                                                                                        |       | 9.76     | %          | 9.39     | %          | 9.36     | %          |

 

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(a) Calculated basedon weighted average number of units during the year.

 

See notes to financial statements.

 

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**THE MILLBURN WORLD RESOURCE TRUST**

 

**NOTES TO FINANCIALSTATEMENTS**

**YEARS ENDED DECEMBER 31,2004, 2003 AND 2002**

 

**1.**                      ORGANIZATION

 

The Millburn World Resource Trust (the “Trust”) wasorganized on June 7, 1995 under the Delaware Business Trust Act. The Trustcommenced trading operations on September 13, 1995. The Trust engages in thespeculative trading of futures and forward currency contracts. The instrumentsthat are traded by the Trust are volatile and involve a high degree of marketrisk.

 

The managing owner of the Trust is Millburn RidgefieldCorporation (the “Managing Owner”). The Managing Owner manages the business ofthe Trust and makes all trading decisions.

 

The Managing Owner has agreed to make additionalcapital contributions, subject to certain possible exceptions in order tomaintain its capital account at not less than 1% of the total capital of theTrust. The Managing Owner and the holders of the Units of Beneficial Interest (“Units”)issued by the Trust will share in any profits and losses of the Trust in proportionto the percentage interest owned by each, before brokerage fees and profitshare allocations.

 

The Trust will terminate on December 31, 2025 or at anearlier date if certain conditions occur as defined in the Declaration of Trustand the Trust Agreement (the “Agreement”).

 

**2.**                      SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

***Investments—***The Trust records its transactions infutures and forward currency contracts, including related income and expenses,on a trade date basis.

 

Open futures contracts are valued at market value andopen forward currency contracts are valued at fair value which is based onpricing models that consider the time value of money and the current market andcontractual prices of the underlying financial instruments. Realized gains (losses)and changes in unrealized appreciation (depreciation) on futures and forwardcurrency contracts are recognized in the periods in which the contracts areclosed or the changes occur, and are included in net realized and unrealizedgains (losses) in the statements of operations.

 

Investments in U.S. Treasury notes are valued atmarket value based on bid quotations reported daily in The Wall Street Journal.The Trust amortizes premiums and accretes discounts on U.S. Treasury notesusing the effective interest method. Such securities are normally on depositwith financial institutions as collateral for performance of the Trust’strading obligations with respect to derivative contracts and are held forsafekeeping in a custody account.

 

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***Fair Value of FinancialInstruments—***Thefair value of the Trust’s assets and liabilities, which qualify as financialinstruments under Statement of Financial Accounting Standards No. 107, *Disclosures about Fair Value of Financial Instruments*,approximates the carrying amounts presented in the statements of financialcondition.

 

***Foreign Currency Translation—***Assets and liabilities denominated inforeign currencies are translated at quoted prices of such currencies.Purchases and sales of investments are translated at the exchange rateprevailing when such transactions occurred.

 

***Income Taxes—***Income taxes have not been provided, aseach Unitholder is individually liable for the taxes, if any, on their share ofthe Trust’s income and expenses.

 

***Estimates—***The preparation of financial statements inconformity with accounting principles generally accepted in the United Statesrequires management to make estimates and assumptions that affect the amountsand disclosures reported in the financial statements. Actual results coulddiffer from these estimates.

 

***Right of Offset—***The customer agreements between the Trustand some of its brokers give the Trust the legal right to net unrealized gainsand losses. Unrealized gains and losses related to offsetting transactions withthese brokers are reflected on a net basis in the equity in trading accounts inthe statements of financial condition.

 

***Reclassifications—***Certain reclassifications have been made to theprior years’ financial statements to conform to the current year presentation.Such reclassifications have no impact on the previously reported net income(loss) after profit share to Managing Owner.

 

**3.**                      TRUST AGREEMENT

 

The Trust pays brokerage fees to the Managing Owner atthe annual rate of 9.0% of the Trust’s average month-end Net Assets ofUnitholders’ interests (prior to reduction for accrued brokerage fees or ProfitShare). The Managing Owner retains the right to charge less than the annualbrokerage rate of 9.0% to those subscribers who either invest $1,000,000 ormore in the Units or subscribe without incurring the selling commission paid bythe Managing Owner. Brokerage fees will be charged to capital accounts of theManaging Owner, its principals, their respective affiliates or the New ProfitMemo Account only to the extent of charges paid to third party executing andclearing brokers. In order to maintain a uniform Net Asset Value per Unit,additional units are issued to Unitholders who are charged less than a 9.0%brokerage fee.

 

The Managing Owner, not the Trust, will pay allroutine costs of executing and clearing the Trust’s futures trades, includingbrokerage fees payable to the clearing brokers. The Managing Owner also pays,from its own funds, selling commissions on all sales of Units.

 

The Agreement provides that the Managing Owner’sprofit share equal to 17.5% of New Trading Profits (as defined in theAgreement) in excess of the highest cumulative level of Trading Profit as ofany previous calendar quarter-end is charged to the Unitholders’

 

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capital accounts. However, for Unitholders’ redemptionsduring the quarter, the profit share calculation shall be computed as thoughthe redemption date was at quarter end.

 

Any profit share charged is added to the ManagingOwner’s capital account to the extent that net taxable capital gains areallocated to the Managing Owner. The remainder of such profit share, if any, isadded to the New Profit Memo Account. The Managing Owner may not make anywithdrawal from the balance in the New Profit Memo Account. If, at the end 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.

 

The Trust pays its legal, accounting, auditing,printing, postage and similar administrative expenses (including the Trustee’sfees and the charges of an outside accounting services agency), as well as extraordinarycosts.

 

Units may be redeemed, at the option of anyUnitholder, at Net Asset Value (as defined in the Agreement) as of the close ofbusiness on the last business day of any calendar month on ten business days’written notice to the Managing Owner.

 

**4.**                      DUE FROM/TO BROKERS

 

At December 31, 2004 and 2003, the due from brokersand due to brokers balances in the statements offinancial condition include cash receivable from and payable to brokers.

 

**5.**                      TRADING ACTIVITIES

 

The Trust conducts its trading activities with variousbrokers acting either as a broker or counterparty to various transactions. AtDecember 31, 2004 and 2003, cash, due from brokers, and treasury notesaggregating $2,826,881 and $8,650,485, respectively, included in the Trust’sequity in trading accounts were held by such brokers in segregated accounts ascollateral as required by U.S. Commodity Futures Trading Commission’sregulations or by the counterparty bank or broker. Such collateral can be soldor repledged by the counterparties, at their discretion.

 

The Trust enters into contracts with various serviceproviders (i.e., financial institutions, transfer agent, etc.) that contain avariety of indemnifications. The Trust’s maximum exposure under thesearrangements is unknown. However, the Trust has not had prior claims or lossespursuant to these contracts and expects the risk of loss to be remote.

 

**6.**                      DERIVATIVE INSTRUMENTS

** **

The Trust is party to derivative financial instrumentsin the normal course of its business. These financial instruments includefutures and forward currency contracts which may be traded on an exchange (“exchange-tradedcontracts”) or over-the-counter (“OTC contracts”).

 

The Trust records its derivative activities on amark-to-market basis as described in Note 2. For OTC contracts, the Trustenters into master netting agreements with most of its counterparties.Therefore, assets represent the Trust’s unrealized gains, less unrealized

 

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losses for OTC contracts in which the Trust has a masternetting agreement. Similarly, liabilities represent net amounts owed tocounterparties on OTC contracts.

 

Futures contracts are agreements to buy or sell anunderlying asset or index for a set price in the future. Initial margindeposits are made upon entering into futures contracts and can be either incash or treasury securities. Open futures contracts are revalued on a dailybasis to reflect the market value of the contracts at the end of each tradingday. Variation margin payments are received or made, depending upon whetherunrealized gains or losses are incurred. When the contract is closed, the Trustrecords a realized gain or loss equal to the difference between the value ofthe contract at the time it was opened and the time it was closed. The Trustbears the market risk that arises from changes in the value of these financialinstruments.

 

Forward currency contracts entered into by the Trustrepresent a firm commitment to buy or sell an underlying currency at a specifiedvalue and point in time based upon an agreed or contracted quantity. Theultimate gain or loss is equal to the difference between the value of thecontract at the onset and the value of the contract at settlement date.

 

Each of these financial instruments is subject tovarious risks similar to those related to the underlying financial instruments,including market risk, credit risk and sovereign risk.

 

Market risk is the potential change in the value ofthe instruments traded by the Trust due to market changes, including interestand foreign exchange rate movements and fluctuations in futures or securityprices. Market risk is directly impacted by the volatility and liquidity in themarkets in which the related underlying assets are traded. The financialinstruments traded by the Trust contain varying degrees of off-balance sheetrisk whereby changes in the market values of the futures and forward currencycontracts and the Trust’s satisfaction of its obligations related to suchmarket value changes may exceed the amount recognized in the statements offinancial condition.

 

Credit risk is the possibility that a loss may occurdue to the failure of a counterparty to performaccording to the terms of a contract. Credit risk is normally reduced to theextent that an exchange or clearing organization acts as acounterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the financialintegrity of the exchange. In the case of OTC transactions, the Trust must relysolely on the credit of the individual counterparties. The contract amounts ofthe forward and futures contracts do not represent the Trust’s risk of loss dueto counterparty nonperformance. The Trust’s exposure to credit risk associatedwith counterparty nonperformance of these contracts is limited to theunrealized gains inherent in such contracts, which are recognized in thestatements of financial condition.

 

Derivative contracts with a net unrealized gain(asset) of $123,220 and $777,887 at December 31, 2004 and 2003,respectively, are related to forward currency contracts with the remainingunrealized gains related to exchange-traded futures contracts. The primarydifference in the risks associated with OTC contracts and exchange-tradedcontracts is credit risk. The Trust views its credit exposure to be $348,911and $1,101,253 at

 

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December 31, 2004 and 2003, respectively, representingthe fair value of OTC contracts in an unrealized gain position.

 

The Managing Owner has established procedures toactively monitor market risk and minimize credit risk, although there can be noassurance that it will, in fact succeed in doing so. The Managing Owner’smarket risk control procedures includesdiversification of the Trust’s portfolio and continuously monitoring theportfolio’s open positions, historical volatility and maximum historical loss.The Managing Owner seeks to minimize credit risk primarily by depositing andmaintaining the Trust’s assets at financial institutions and brokers which theManaging Owner believes to be creditworthy. The Trust’s trading activities areprimarily 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.

 

The Trust is subject to sovereign risk such as therisk of restrictions being imposed by foreign governments on the repatriationof cash and the effects of political or economic uncertainties. Net unrealizedappreciation (depreciation) on futures and forward currency contracts aredenominated in the functional currency. Cash settlement of futures and forwardcurrency contracts is made in the local currency (settlement currency) and thentranslated to the functional currency (U.S. Dollar).

 

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Net unrealized appreciation (depreciation) on futuresand forward currency contracts by settlement currency type denominated in thefunctional currency at December 31, 2004 and 2003 is detailed below:

 
| ** **          | ** ** | **December 31**                                         | ** ** |
|---------------------|------------|---------------------------------------------------------|------------|
| ** **          | ** ** | **2004**                                                | ** ** | **2003** | ** ** |
| **Currency Type**   | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** |
|                |       |                                                    |       |   |   |   |   |   |   |
| Aussie dollar       |       | $                                                       | 13,008     |   | 5.42 | % | $ | — |   | — | % |
| British pound       |       | 192                                                     |       | 0.08 |   | 1,767 |   | 0.18 |   |
| Canadian dollar     |       | 3,824                                                   |       | 1.59 |   | — |   | — |   |
| Euro                |       | (258                                                    | )          | (0.11 | ) | 71,631 |   | 7.18 |   |
| Hong Kong dollar    |       | (1,209                                                  | )          | (0.50 | ) | 5,873 |   | 0.59 |   |
| Japanese yen        |       | 19,566                                                  |       | 8.15 |   | (19,903 | ) | (2.00 | ) |
| Norwegian krona     |       | (25,613                                                 | )          | (10.67 | ) | (65,619 | ) | (6.58 | ) |
| Polish zloty        |       | 12,475                                                  |       | 5.20 |   | — |   | — |   |
| Swedish krona       |       | (6,719                                                  | )          | (2.80 | ) | — |   | — |   |
| South African  rand |       | 7,086                                                   |       | 2.95 |   | — |   | — |   |
| U.S. dollar         |       | 217,773                                                 |       | 90.69 |   | 1,003,533 |   | 100.63 |   |
|                |       |                                                    |       |   |   |   |   |   |   |
| Total               |       | $                                                       | 240,125    |   | 100.00 | % | $ | 997,282 |   | 100.00 | % |

 

**7.**                      FINANCIAL HIGHLIGHTS

 

Per unit operating performance is calculated based onUnitholders’ capital taken as a whole. An individual Unitholder’s per unitoperating performance may vary from these per unit values based on the timingof capital transactions.

 

The ratios are calculated based on Unitholders’capital taken as a whole. The computation of such ratios based on the amount ofnet investment loss, total expenses and profit share allocation to anindividual Unitholder’s capital balance may vary from these ratios based on thetiming of capital transactions and differences in individual investor’sbrokerage fee and profit share allocation arrangements.

 

Total return is calculated for Unitholders taken as awhole. An individual Unitholder’s total return may vary from the stated totalreturn based on the timing of capital transactions and differences inindividual Unitholders’ brokerage fee and profit share allocation arrangements.

 

******

 

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