## **Exhibit 13.01**

## FINANCIAL STATEMENTS

##  

# The Millburn World Resource Trust

#  

# Years ended December 31, 2003, 2002 and 2001with Report of Independent Auditors

 

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The Millburn WorldResource Trust

 

# Financial Statements

 

 

Years ended December 31,2003, 2002 and 2001

 

 

### **Contents**

 
| Affirmation  of Millburn Ridgefield Corporation                                               |   |   |
|-----------------------------------------------------------------------------------------------|--------|--------|
|                                                                                          |   |   |
| Report of Independent Auditors                                                                |   |   |
|                                                                                          |   |   |
| Financial Statements                                                                          |   |   |
|                                                                                          |   |   |
| Statements of  Financial Condition at December 31, 2003 and 2002                              |   |   |
| Condensed Schedules  of Investments at December 31, 2003 and 2002                             |   |   |
| Statements of Operations for  the Years ended December 31, 2003, 2002 and 2001                |   |   |
| Statements of  Changes in Trust Capital for the Years ended  December 31, 2003, 2002 and 2001 |   |   |
| Statements of  Financial Highlights for the Years ended  December 31, 2003, 2002 and 2001     |   |   |
| Notes to Financial  Statements                                                                |   |   |

 

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The Millburn WorldResource Trust

 

Affirmation of MillburnRidgefield Corporation

 

 

In compliance with the Commodity Futures Trading Commission’sregulations, I hereby affirm that to the best of my knowledge and belief, theinformation contained in the statements of financial condition of The MillburnWorld Resource Trust, at December 31, 2003 and 2002, including the condensedschedules of investments, and the related statements of operations, changes intrust capital and financial highlights for the years ended December 31, 2003,2002 and 2001 are complete and accurate.

 

 

George E. Crapple, Co-Chief Executive Officer

Millburn Ridgefield Corporation

Managing Owner of The Millburn World Resource Trust

 

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Report of Independent Auditors

 

To the Unitholders of

The Millburn WorldResource Trust

 

We have audited the accompanying statements of financial condition ofThe Millburn World Resource Trust (the “Trust”), as of December 31, 2003 and2002, including the condensed schedules of investments, and the relatedstatements of operations, changes in trust capital and financial highlights forthe years then ended. These financial statements and financial highlights arethe responsibility of the Trust’s management. Our responsibility is to expressan opinion on these financial statements and financial highlights based on ouraudits. The financial statements for the year ended December 31, 2001 wereaudited by other auditors whose report dated February 21, 2002 expressedan unqualified opinion on those statements.

 

We conducted our audits in accordance with auditing standards generallyaccepted in the United States. Those standards require that we plan and performthe audit to obtain reasonable assurance about whether the financial statementsand financial highlights are free of material misstatement. An audit includesexamining, on a test basis, evidence supporting the amounts and disclosures inthe financial statements and financial highlights. An audit also includesassessing the accounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statement presentation.We believe that our audit provides a reasonable basis for our opinion.

 

In our opinion, the financial statements and financial highlightsreferred to above present fairly, in all material respects, the financialposition of The Millburn World Resource Trust at December 31, 2003 and 2002,and the results of its operations, changes in trust capital and financialhighlights for the years then ended in conformity with accounting principlesgenerally accepted in the United States.

 

Ernst & Young LLP

New York, New York

 

February 17, 2004

 

F-1

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### TheMillburn World Resource Trust

###  

Statements of Financial Condition

 
|                                                                                                       |   | **December 31** |           |
|------------------------------------------------------------------------------------------------------------|--------|-----------------|----------------|
|                                                                                                       |   | **2003**        |           | **2002** |   |
| **Assets**                                                                                                 |   |            |           |   |   |
| Equity in  trading accounts:                                                                               |   |            |           |   |   |
| Investments in  U.S. Treasury notes—at market value  (amortized  cost $8,181,547 and $4,036,134) |   | **$**           | **8,181,553**  |   | $ | 4,039,643 |   |
| Net unrealized  appreciation on open futures and forward currency contracts                                |   | **997,282**     |           | 1,348,461 |   |
| Due from brokers                                                                                           |   | **402,071**     |           | 460,554 |   |
| Cash denominated  in foreign currencies (cost $64,388 and $17,237)                                         |   | **66,861**      |           | 17,325 |   |
| Total equity in  trading accounts                                                                          |   | **9,647,767**   |           | 5,865,983 |   |
|                                                                                                       |   |            |           |   |   |
| Investments in  U.S. Treasury notes—at market value (amortized cost $7,511,928 and  $14,873,155)      |   | **7,514,531**   |           | 14,886,085 |   |
| Cash and cash  equivalents                                                                                 |   | **1,043,177**   |           | 364,855 |   |
| Accrued interest  receivable                                                                               |   | **172,809**     |           | 240,922 |   |
| Due from  unitholder                                                                                       |   | —          |           | 23,383 |   |
| Total assets                                                                                               |   | **$**           | **18,378,284** |   | $ | 21,381,228 |   |
|                                                                                                       |   |            |           |   |   |
| **Liabilities  and trust capital**                                                                         |   |            |           |   |   |
| **Liabilities**                                                                                            |   |            |           |   |   |
| Due to brokers                                                                                             |   | **$**           | **28,463**     |   | $ | 77,011 |   |
| Accrued expenses                                                                                           |   | **10,854**      |           | 46,000 |   |
| Accrued  brokerage fees                                                                                    |   | **121,941**     |           | 138,756 |   |
| Redemptions  payable to unitholders                                                                        |   | **222,571**     |           | 239,250 |   |
| Total  liabilities                                                                                         |   | **383,829**     |           | 501,017 |   |
|                                                                                                       |   |            |           |   |   |
| **Trust  Capital:**                                                                                        |   |            |           |   |   |
| Managing Owner  interest                                                                                   |   | **605,521**     |           | 576,320 |   |
| Unitholders  (15,451.569 and 17,431.417 units outstanding)                                                 |   | **17,388,934**  |           | 20,303,891 |   |
| Total trust  capital                                                                                       |   | **17,994,455**  |           | 20,880,211 |   |
| Total  liabilities and trust capital                                                                       |   | **$**           | **18,378,284** |   | $ | 21,381,228 |   |
|                                                                                                       |   |            |           |   |   |
| Net asset value  per unit outstanding                                                                      |   | **$**           | **1,125.38**   |   | $ | 1,164.79 |   |

 

*Seeaccompanying notes.*

 

F-2

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### TheMillburn 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)** |       |
|-----------------------------------------------------------------|--------|-----------------------------------------------------------------------------|------------|----------------------------------------------------|------------|
|                                                            |   |                                                                        |       |                                               |       |
| **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 investment in Futures and  Forward Currency Contracts** |   | 5.54                                                                        | %          | $                                                  | 997,282    |   |

 

*Seeaccompanying notes.*

 

F-3

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| **Face  Amount** |      | **Description**                                                             |                                    | **Value as a  % of Trust  Capital** |   | **Value** |       |
|------------------|-----------|-----------------------------------------------------------------------------|-----------------------------------------|-------------------------------------|--------|-----------|------------|
|             |      |                                                                        |                                    |                                |   |      |       |
|             |      | **Investments  in U.S. Treasury notes**                                     |                                    |                                |   |      |       |
| $                | 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 |   |
|                  |           |                                                                             |                                         |                                     |        |           |            |  |  |

 

*Seeaccompanying notes.*

 

F-4

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### TheMillburn World Resource Trust

###  

Condensed Schedule ofInvestments

 

December 31, 2002

 
| **Futures and Forward Currency  Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a % of  Trust Capital** |       | **Net  Unrealized  Appreciation/  (Depreciation)** |       |
|------------------------------------------------------------------|--------|------------------------------------------------------------------------------|------------|----------------------------------------------------|------------|
|                                                             |   |                                                                         |       |                                               |       |
| **Long Futures Contracts**                                       |   |                                                                         | ** ** |                                               | ** ** |
| Energies                                                         |   | 1.49                                                                         | %          | $                                                  | 308,829    |   |
| Interest rates                                                   |   | 3.24                                                                         | %          | 676,119                                            |       |
| Metals                                                           |   | 0.70                                                                         | %          | 146,860                                            |       |
| Softs                                                            |   | (0.01                                                                        | )%         | (1,175                                             | )          |
| Total long  futures contracts                                    |   | 5.42                                                                         | %          | 1,130,633                                          |       |
|                                                             |   |                                                                         |       |                                               |       |
| **Short Futures Contracts**                                      |   |                                                                         |       |                                               |       |
| Grains                                                           |   | 0.27                                                                         | %          | 56,875                                             |       |
| Metals                                                           |   | (0.26                                                                        | )%         | (53,469                                            | )          |
| Softs                                                            |   | 0.06                                                                         | %          | 12,488                                             |       |
| Stock indices                                                    |   | 0.30                                                                         | %          | 62,417                                             |       |
| Total short  futures contracts                                   |   | 0.37                                                                         | %          | 78,311                                             |       |
| **Total investments in Futures Contracts  (net)**                |   | 5.79                                                                         | %          | 1,208,944                                          |       |
|                                                             |   |                                                                         |       |                                               |       |
| Total long  forward currency contracts                           |   | 1.26                                                                         | %          | 261,953                                            |       |
| Total short  forward currency contracts                          |   | (0.59                                                                        | )%         | (122,436                                           | )          |
| **Total investments in Forward  Currency Contracts (net)**       |   | 0.67                                                                         | %          | 139,517                                            |       |
|                                                             |   |                                                                         |       |                                               |       |
| **Total investments in Futures and  Forward Currency contracts** |   | 6.46                                                                         | %          | $                                                  | 1,348,461  |   |

 
| **Face  Amount** |      | **Description**                                                                |                                    | **Value as a  %  of Trust  Capital** |   | **Value** |       |
|------------------|-----------|--------------------------------------------------------------------------------|-----------------------------------------|--------------------------------------|--------|-----------|------------|
|             |      |                                                                           |                                    |                                 |   |      |       |
|             |      | **Investments  in U.S. Treasury notes**                                        |                                    |                                 |   |      |       |
| $                | 5,910,000 |                                                                           | U.S. Treasury notes, 4.625%, 02/28/2003 |                                 | 28.45  | %         | $          | 5,941,397 |   |
| 6,420,000        |      | U.S. Treasury notes, 4.000%, 04/30/2003                                        |                                    | 31.03                                | %      | 6,478,181 |       |
| 6,410,000        |      | U.S. Treasury notes, 3.875%, 07/31/2003                                        |                                    | 31.16                                | %      | 6,506,150 |       |
|             |      | **Total investments in U.S. Treasury  notes****(amortized  cost $18,909,289)** |                                    | 90.64                                | %      | $         | 18,925,728 |   |
|                  |           |                                                                                |                                         |                                      |        |           |            |  |  |

 

*Seeaccompanying notes.*

 

F-5

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### TheMillburn World Resource Trust

###  

Statements of Operations

 
|                                                   |   | **Years  ended December 31** |
|--------------------------------------------------------|--------|------------------------------|
|                                                   |   | **2003**                     |   | **2002** |   | **2001** |   |
| **Investment  income**                                 |   |                         | ** ** |   |   |   |   |
| Interest income                                        |   | **$**                        | **253,838** | ** ** | $ | 469,289 |   | $ | 1,467,711 |   |
|                                                   |   |                         | ** ** |   |   |   |   |
| **Expenses**                                           |   |                         | ** ** |   |   |   |   |
| Brokerage fees                                         |   | **1,774,676**                | ** ** | 2,041,313 |   | 2,629,963 |   |
| Administrative  expenses                               |   | **102,856**                  | ** ** | 106,135 |   | 265,562 |   |
| Total expenses                                         |   | **1,877,532**                | ** ** | 2,147,448 |   | 2,895,525 |   |
| Net investment  loss                                   |   | **(1,623,694**               | **)** | (1,678,159 | ) | (1,427,814 | ) |
|                                                   |   |                         | ** ** |   |   |   |   |
| **Net realized and unrealized gains  (losses)**        |   |                         | ** ** |   |   |   |   |
| Net realized  gains (losses) on closed positions:      |   |                         | ** ** |   |   |   |   |
| Futures and  forward currency contracts                |   | **1,570,413**                | ** ** | 4,970,123 |   | 2,976,868 |   |
| Foreign exchange  translation                          |   | **(12,625**                  | **)** | 14,048 |   | 7,631 |   |
| Net change in  unrealized appreciation (depreciation): |   |                         | ** ** |   |   |   |   |
| Futures and  forward currency contracts                |   | **(351,179**                 | **)** | 404,363 |   | (5,097,889 | ) |
| Foreign exchange  translation                          |   | **9,776**                    | ** ** | (7,369 | ) | 1,295 |   |
| Net losses from  U.S. Treasury notes:                  |   |                         | ** ** |   |   |   |   |
| Net change in  unrealized appreciation                 |   | **(13,830**                  | **)** | (72,134 | ) | (26,025 | ) |
| Total net  realized and unrealized gains (losses)      |   | **1,202,555**                | ** ** | 5,309,031 |   | (2,138,120 | ) |
|                                                   |   |                         | ** ** |   |   |   |   |
| Net income  (loss)                                     |   | **$**                        | **(421,139** | **)** | $ | 3,630,872 |   | $ | (3,565,934 | ) |
|                                                   |   |                         | ** ** |   |   |   |   |
| Net income  (loss) per unit                            |   | **$**                        | **(39.41** | **)** | $ | 166.57 |   | $ | (137.46 | ) |

 

See accompanying notes.

 

F-6

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The Millburn WorldResource Trust

 

### Statements of Changes inTrust Capital

###  

Years ended December 31,2003, 2002 and 2001

 
|                               |   | **Unitholders** |       | **New Profit  Memo  Account** |       | **Managing  Owner** |   | **Total** |   |
|------------------------------------|--------|-----------------|------------|-------------------------------|------------|---------------------|--------|-----------|--------|
|                               |   | **Amount**      |       | **Units**                     |       | **Amount**          |   | **Units** |   | **Amount** |   | **Units** |   | **Amount** |   | **Units** |   |
|                               |   |            |       |                          |       |                |   |      |   |   |   |   |   |   |   |   |   |
| Trust capital at January 1, 2001   |   | $               | 33,288,797 |                          | 29,311.653 |                | $      | —    |   | — |   | $ | 942,196 |   | — |   | $ | 34,230,993 |   | 29,311.653 |   |
| Additions                          |   | 1,156,868       |       | 1,069.849                     |       | —              |   | —    |   | — |   | — |   | 1,156,868 |   | 1,069.849 |   |
| Redemptions                        |   | (6,098,870      | )          | (5,554.030                    | )          | —              |   | —    |   | — |   | — |   | (6,098,870 | ) | (5,554.030 | ) |
| Additional units allocated *       |   | —          |       | 39.381                        |       | —              |   | —    |   | — |   | — |   | — |   | 39.381 |   |
| Net loss                           |   | (3,524,254      | )          | —                        |       | —              |   | —    |   | (41,680 | ) | — |   | (3,565,934 | ) | — |   |
| Trust capital at December 31, 2001 |   | 24,822,541      |       | 24,866.853                    |       | —              |   | —    |   | 900,516 |   | — |   | 25,723,057 |   | 24,866.853 |   |
| Additions                          |   | 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 at 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 at December 31, 2003 |   | $               | 17,388,934 |                          | 15,451.569 |                | $      | —    |   | — |   | $ | 605,521 |   | — |   | $ | 17,994,455 |   | 15,451.569 |   |

 

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

 

*Seeaccompanying notes.*

 

F-7

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The Millburn WorldResource Trust

 

### Statements of Financial Highlights

###  

|                                                                                                    |   | **Years ended December 31** |         |
|---------------------------------------------------------------------------------------------------------|--------|-----------------------------|--------------|
|                                                                                                    |   | **2003**                    |         | **2002** |   | **2001** |   |
|                                                                                                    |   |                        |         |   |   |   |   |
| **Per unit operating performance (for  a unit of beneficial interest outstanding throughout the year)** |   |                        |         |   |   |   |   |
| Net income  (loss) from operations:                                                                     |   |                        |         |   |   |   |   |
| Net investment  loss                                                                                    |   | **$**                       | **(98.85**   | **)(a)** | $ | (79.26 | ) | $ | (56.81 | ) |
| Net realized and  unrealized gains (losses) on trading of futures and forward currency contracts        |   | **60.26**                   |         | 248.55 |   | (79.69 | ) |
| Net losses from  U.S. Treasury notes                                                                    |   | **(0.82**                   | **)(a)**     | (2.72 | ) | (0.96 | ) |
| Total income  (loss) from operations                                                                    |   | **(39.41**                  | **)**        | 166.57 |   | (137.46 | ) |
| Net asset value,  beginning of year                                                                     |   | **1,164.79**                | ** **   | 998.22 |   | 1,135.68 |   |
| Net asset value,  end of year                                                                           |   | **$**                       | **1,125.38** | ** ** | $ | 1,164.79 |   | $ | 998.22 |   |
|                                                                                                    |   |                        | ** **   |   |   |   |   |
| **Total return (%)**                                                                                    |   | **(3.38**                   | **)**        | 16.69 |   | (12.10 | ) |
|                                                                                                    |   |                        | ** **   |   |   |   |   |
| **Ratios to average trust capital (%)**                                                                 |   |                        | ** **   |   |   |   |   |
| Net investment  loss (%)                                                                                |   | **(8.16**                   | **)**        | (7.37 | ) | (4.91 | ) |
| Total expenses  (%)                                                                                     |   | **9.39**                    | ** **   | 9.36 |   | 9.70 |   |

 

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(a)          Calculated based onweighted average number of shares during the year.

 

*Seeaccompanying notes.*

 

F-8

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The Millburn WorldResource Trust

 

Notes to Financial Statements

 

December 31, 2003

 

 

**1.Organization**

 

The Millburn World Resource Trust (the “Trust”) was organized on June7, 1995 under the Delaware Business Trust Act. The Trust commenced tradingoperations on September 13, 1995. The Trust engages in the speculative tradingof futures and forward currency contracts. The instruments that are traded bythe Trust are volatile and involve a high degree of market risk.

 

The managing owner of the Trust is Millburn Ridgefield Corporation (the“Managing Owner”). The Managing Owner manages the business of the Trust andmakes all trading decisions.

 

The Managing Owner has agreed to make additional capital contributions,subject to certain possible exceptions in order to maintain its capital accountat not less than 1% of the total capital of the Trust. The Managing Owner andthe holders of the Units of Beneficial Interest (“Units”) issued by the Trustwill share in any profits and losses of the Trust in proportion to thepercentage interest owned by each, before brokerage fees and profit shareallocations.

 

The Trust 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.Summary of Significant Accounting Policies**

 

##### **Investments**

##### ** **

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

 

Open futures contracts are valued at market value and open forwardcurrency contracts are valued at fair value which is based on pricing modelsthat consider the time value of money and the current market and contractualprices of the underlying financial instruments. Realized gains (losses) andchanges 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.

 

F-9

----

 

Investments in U.S. Treasury notes are valued at market value based onbid quotations reported daily in The Wall Street Journal. The Trust amortizespremiums and accretes discounts on U.S. Treasury notes using the effectiveinterest method. Such securities are normally on deposit with financialinstitutions as collateral for performance of the Trust’s trading obligationswith respect to derivative contracts and are held for safekeeping in a custodyaccount.

 

###### **Fair Value of Financial Instruments**

######  

The fair value of the Trust’s assets and liabilities, which qualify asfinancial instruments under Statement of Financial Accounting Standards No.107, “Disclosures about Fair Value of Financial Instruments,” approximates thecarrying amounts presented in the statements of financial condition.

 

##### **Foreign Currency Translation**

##### ** **

Assets and liabilities denominated in foreign currencies are translatedat quoted prices of such currencies. Purchases and sales of investments aretranslated at the exchange rate prevailing when such transactions occurred.

 

##### **Income Taxes**

##### ** **

Income taxes have not been provided, as each Unitholder is individuallyliable for the taxes, if any, on their share of the Trust’s income andexpenses.

 

##### **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.

 

F-10

----

 

##### **Right of Offset**

##### ** **

The customer agreements between the Trust and some of its brokers givethe Trust the legal right to net unrealized gains and losses. Unrealized gainsand losses related to offsetting transactions with these brokers are reflectedon a net basis in the equity in trading accounts in the statements of financialcondition.

 

**3. TrustAgreement**

 

The Trust pays brokerage fees to the Managing Owner at the annual rateof 9.0% of the Trust’s average month-end Net Assets of Unitholders’ interests(prior to reduction for accrued brokerage fees or Profit Share). The ManagingOwner retains the right to charge less than the annual brokerage rate of 9.0%to those subscribers who either invest $1,000,000 or more in the Units or subscribewithout incurring the selling commission paid by the Managing Owner. Brokeragefees will not be charged to capital accounts of the Managing Owner, itsprincipals, their respective affiliates or the New Profit Memo Account. 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.

 

The Managing Owner, not the Trust, will pay all routine costs ofexecuting and clearing the Trust’s futures trades, including brokerage feespayable to the clearing brokers. The Managing Owner also pays, from its ownfunds, selling commissions on all sales of Units.

 

The Agreement provides that the Managing Owner’s profit share equal to17.5% of New Trading Profits (as defined in the Agreement) in excess of thehighest cumulative level of Trading Profit as of any previous calendarquarter-end is charged to the Unitholders’ capital accounts. However, forUnitholders’ redemptions during the quarter, the profit share calculation shallbe computed as though the redemption date was at quarter end.

 

Any profit share charged is added to the Managing Owner’s capitalaccount to the extent that net taxable capital gains are allocated to theManaging Owner. The remainder of such profit share, if any, is added to the NewProfit Memo Account. The Managing Owner may not make any withdrawal from thebalance in the New Profit Memo Account. If, at the end of a subsequent year,net taxable gains are allocated to the Managing Owner in excess of such year’sprofit share, a corresponding amount is transferred from the New Profit MemoAccount to the Managing Owner’s capital account.

 

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The Trust pays its legal, accounting, auditing, printing, postage andsimilar administrative expenses (including the Trustee’s fees, the charges ofan outside accounting services agency and the expenses of updating theProspectus), as well as extraordinary costs.

 

Units may be redeemed, at the option of any Unitholder, at Net AssetValue (as defined in the Agreement) as of the close of business on the lastbusiness day of any calendar month on ten business days’ written notice to theManaging Owner. Persons who redeem Units at or prior to the end of the firstand second successive six-month periods after such Units are sold will beassessed redemption charges of 4% and 3%, respectively (3% and 2%,respectively, in the case of subscriptions of $1,000,000 or more), of theirredeemed Units’ Net Asset Value as of the date of redemption. All redemptioncharges will be paid to the Managing Owner.

 

**4. Duefrom/to Brokers**

 

At December 31, 2003 and 2002, the due from brokers and due to brokersbalances in the statements of financial condition include cash receivable fromand payable to brokers.

 

**5.Trading Activities**

 

The Trust conducts its trading activities with various brokers actingeither as a broker or counterparty to various transactions. At December 31,2003 and 2002, net cash and treasury notes aggregating $8,650,485 and$4,517,522, respectively, included in the Trust’s equity in trading accountswere held by such brokers in segregated accounts as collateral as required byU.S. Commodity Futures Trading Commission’s regulations or by the counterpartybank or broker. Such collateral can be sold or repledged by the counterparties,at their discretion.

 

The Trust enters into contracts with various service providers (i.e.,financial institutions, 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.Derivative Instruments**

 

The Trust is party to derivative financial instruments in the normalcourse of its business. These financial instruments include futures and forwardcurrency contracts which may be traded on an exchange (“exchange-tradedcontracts”) or over-the-counter (“OTC contracts”).

 

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The Trust records its derivative activities on a mark-to-market basisas described in Note 2. For OTC contracts, the Trust enters into masternetting agreements with most of its counterparties. Therefore, assets representthe Trust’s unrealized gains, less unrealized losses for OTC contracts in whichthe Trust has a master netting agreement. Similarly, liabilities represent netamounts owed to counterparties on OTC contracts.

 

Futures contracts are agreements to buy or sell an underlying asset orindex for a set price in the future. Initial margin deposits are made uponentering into futures contracts and can be either in cash or treasurysecurities. Open futures contracts are revalued on a daily basis to reflect themarket value of the contracts at the end of each trading day. Variation marginpayments are received or made, depending upon whether unrealized gains orlosses are incurred. When the contract is closed, the Trust records a realizedgain or loss equal to the difference between the value of the contract at thetime it was opened and the time it was closed. The Trust bears the market riskthat arises from changes in the value of these financial instruments.

 

Forward currency contracts entered into by the Trust represent a firmcommitment to buy or sell an underlying currency at a specified value and pointin time based upon an agreed or contracted quantity. The ultimate gain or lossis equal to the difference between the value of the contract at the onset andthe value of the contract at settlement date.

 

Each of these financial instruments is subject to various risks similarto those related to the underlying financial instruments, including marketrisk, credit risk and sovereign risk.

 

Market risk is the potential change in the value of the instrumentstraded by the Trust due to market changes, including interest and foreignexchange rate movements and fluctuations in futures or security prices. Marketrisk is directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded. The financial instrumentstraded by the Trust contain varying degrees of off-balance sheet risk wherebychanges in the market values of the futures and forward currency contractsunderlying the financial instruments or the Trust’s satisfaction of theobligations may exceed the amount recognized in the statements of financialcondition.

 

Credit risk is the possibility that a lossmay occur due to the failure of a counterparty to perform according to theterms of a contract. Credit risk is normally reduced to the extent that anexchange or clearing organization acts as a counterparty to futurestransactions, since typically the collective credit of the members of theexchange is pledged to support the

 

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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.

 

Derivative contracts with a net unrealizedgain (asset) of $777,887 and $139,517 at December 31, 2003 and 2002,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 $1,101,253and $785,172 at December 31, 2003 and 2002, respectively, representing the fairvalue of OTC contracts in an unrealized gain position.

 

The Trust’s trading activities are primarily with brokers and otherfinancial institutions located in North America, Europe and Asia. All futuresand forward currency transactions of the Trust are cleared by major securitiesfirms pursuant to customer agreements. The Trust limits its concentration riskby executing trades and maintaining accounts with several brokers.

 

The Trust is subject to sovereign risk such as the risk of restrictionsbeing imposed by foreign governments on the repatriation of cash and topolitical 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).

 

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Net unrealized appreciation (depreciation) on futures and forwardcurrency contracts by settlement currency type denominated in the functionalcurrency at December 31, 2003 and 2002 is detailed below:

 
|              |   | **December  31,**                                        |        |
|-------------------|--------|----------------------------------------------------------|-------------|
|              |   | **2003**                                                 |        | **2002** |   |
| **Currency Type** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |        | **Percent of  Total** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |   | **Percent of  Total** |   |
|              |   |                                                     |        |   | ** ** |   |   |   |   |
| British pound     |   | **$**                                                    | **1,767**   | ** ** | **0.18** | **%** | $ | 30,715 |   | 2.28 | % |
| Euro              |   | **71,631**                                               | ** **  | **7.18** | ** ** | 572,349 |   | 42.44 |   |
| Hong Kong dollar  |   | **5,873**                                                | ** **  | **0.59** | ** ** | 30,692 |   | 2.28 |   |
| Japanese yen      |   | **(19,903**                                              | **)**       | **(2.00** | **)** | (56,294 | ) | (4.17 | ) |
| Norwegian krona   |   | **(65,619**                                              | **)**       | **(6.58** | **)** | (12,906 | ) | (0.96 | ) |
| U.S. dollar       |   | **1,003,533**                                            | ** **  | **100.63** | ** ** | 783,905 |   | 58.13 |   |
| **Total**         |   | **$**                                                    | **997,282** | ** ** | **100.00** | **%** | $ | 1,348,461 |   | 100.00 | % |

 

**7.Financial Highlights**

 

Per unit operating performance is calculated based on Unitholders’capital taken as a whole. An individual Unitholder’s per unit operatingperformance may vary from these per unit values based on the timing of capitaltransactions.

 

The ratios are calculated based on Unitholders’ capital taken as awhole. The computation of such ratios based on the amount of net investmentloss, total expenses and profit share allocation to an individual Unitholder’scapital balance may vary from these ratios based on the timing of capitaltransactions and differences in individual investor’s brokerage fee and profitshare allocation arrangements.

 

Total return is calculated for Unitholders taken as a whole. Anindividual Unitholder’s total return may vary from the stated total returnbased on the timing of capital transactions and differences in individualUnitholders’ brokerage fee and profit share allocation arrangements.

 

**8.Subsequent Events**

 

As of February 17, 2004, Unitholders made withdrawals of approximately$456,102.

 

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