**Exhibit13.01**

 

FINANCIAL STATEMENTS

 

The Millburn World Resource Trust

 

Years ended December 31, 2002, 2001 and 2000

with Report of Independent Auditors

 

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The Millburn WorldResource Trust

 

Financial Statements

 

Years ended December 31,2002, 2001 and 2000

 

**Contents**

 
| Affirmation of Millburn Ridgefield Corporation                                               |
|----------------------------------------------------------------------------------------------|
|                                                                                         |
| Report of Independent Auditors                                                               |
|                                                                                         |
| Financial Statements                                                                         |
|                                                                                         |
| Statements of Financial Condition at December  31, 2002 and 2001                             |
| Condensed Schedules of Investments at December  31, 2002 and 2001                            |
| Statements of Operations for the Years ended December 31, 2002, 2001  and 2000               |
| Statements of Changes in Trust Capital for the  Years ended December 31, 2002, 2001 and 2000 |
| Statements of Financial Highlights for the Years  ended December 31, 2002, 2001 and 2000     |
| Notes to Financial Statements                                                                |

 

 

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The Millburn WorldResource Trust

 

Affirmation of MillburnRidgefield Corporation

 

In compliance with the Commodity Futures Trading Commission’s regulations,I hereby 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, 2002 and 2001, including the condensedschedules of investments, and the related statements of operations, changes intrust capital and financial highlights for the years ended December 31, 2002,2001 and 2000 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 statement offinancial condition of The Millburn World Resource Trust (the “Trust”), as of December 31, 2002, includingthe condensed schedule of investments, and the related statements ofoperations, changes in trust capital and financial highlights for the year thenended. These financial statements are the responsibility of the Trust’smanagement. Our responsibility is to express an opinion on these financialstatements based on our audit.

 

We conducted our audit in accordance with auditingstandards generally accepted in the United States. Those standards require thatwe plan and perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An audit includesexamining, on a test basis, evidence supporting the amounts and disclosures inthe financial statements. An audit also includes 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 our opinion, the financial statements andfinancial highlights referred to above present fairly, in all materialrespects, the financial position of The Millburn World Resource Trust at December 31, 2002, 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.

 

Ernst & Young LLP

 

New York, New York

February 21, 2003

 

1

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The Millburn WorldResource Trust

 

Statements of Financial Condition

 
|                                                                                                                                                |   | **December 31** |           |
|-----------------------------------------------------------------------------------------------------------------------------------------------------|--------|-----------------|----------------|
|                                                                                                                                                |   | **2002**        |           | **2001** |   |
| **Assets**                                                                                                                                          |   |            | ** **     |   |   |
| Equity in  trading accounts:                                                                                                                        |   |            | ** **     |   |   |
| Due from brokers                                                                                                                                    |   | **$**           | **460,554**    | ** ** | $ | 713,134 |   |
| Cash denominated  in foreign currencies (cost $17,237 and $99,762 at December 31, 2002 and  2001)                                                   |   | **17,325**      | ** **     | 99,737 |   |
| Investments in  U.S. Treasury notes—at market value  (amortized cost $4,036,134 and $9,881,177at December 31, 2002 and 2001,  respectively)    |   | **4,039,643**   | ** **     | 9,893,306 |   |
| Unrealized  appreciation on open contracts                                                                                                          |   | **1,948,618**   | ** **     | 1,253,312 |   |
| Unrealized  depreciation on open contracts                                                                                                          |   | **(600,157**    | **)**          | (309,214 | ) |
| Total equity in  trading accounts                                                                                                                   |   | **5,865,983**   | ** **     | 11,650,275 |   |
|                                                                                                                                                |   |            | ** **     |   |   |
| Investments in  U.S. Treasury notes—at market value  (amortized cost $14,873,155 and $12,963,306 at December 31, 2002 and 2001,  respectively) |   | **14,886,085**  | ** **     | 13,039,750 |   |
| Cash and cash  equivalents                                                                                                                          |   | **364,855**     | ** **     | 1,530,026 |   |
| Due from  unitholder                                                                                                                                |   | **23,383**      | ** **     | — |   |
| Accrued interest  receivable                                                                                                                        |   | **240,922**     | ** **     | 372,187 |   |
| Total assets                                                                                                                                        |   | **$**           | **21,381,228** | ** ** | $ | 26,592,238 |   |
|                                                                                                                                                |   |            | ** **     |   |   |
| **Liabilities  and trust capita**l                                                                                                                  |   |            | ** **     |   |   |
| Due to brokers                                                                                                                                      |   | **$**           | **77,011**     | ** ** | $ | — |   |
| Accrued expenses                                                                                                                                    |   | **46,000**      | ** **     | 85,883 |   |
| Accrued  brokerage commissions                                                                                                                      |   | **138,756**     | ** **     | 173,329 |   |
| Redemptions  payable to unitholders                                                                                                                 |   | **239,250**     | ** **     | 609,969 |   |
| Total  liabilities                                                                                                                                  |   | **501,017**     | ** **     | 869,181 |   |
|                                                                                                                                                |   |            | ** **     |   |   |
| Trust capital:                                                                                                                                      |   |            | ** **     |   |   |
| Managing owner  interest                                                                                                                            |   | **576,320**     | ** **     | 900,516 |   |
| Unitholders  (17,431.417 and 24,866.853 units ofbeneficial interest outstanding at December 31, 2002 and 2001,  respectively)                       |   | **20,303,891**  | ** **     | 24,822,541 |   |
| Total trust  capital                                                                                                                                |   | **20,880,211**  | ** **     | 25,723,057 |   |
| Total  liabilities and trust capital                                                                                                                |   | **$**           | **21,381,228** | ** ** | $ | 26,592,238 |   |
|                                                                                                                                                |   |            | ** **     |   |   |
| Net asset value  per unit of beneficial interest                                                                                                    |   | **$**           | **1,164.79**   | ** ** | $ | 998.22 |   |

 

*Seeaccompanying notes.*

 

2

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The Millburn WorldResource Trust

 

Condensed Schedule of Investments

 

December 31, 2002

 
| **Futures and Forward Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a% of  Trust Capital** |       | **Net  Unrealized  Appreciation/  (Depreciation)** |       |
|--------------------------------------------------------|--------|-----------------------------------------------------------------------------|------------|----------------------------------------------------|------------|
|                                                   |   |                                                                        |       |                                               |       |
| **Futures contracts purchased**                        |   |                                                                        | ** ** |                                               | ** ** |
| Energies                                               |   | 1.48                                                                        | %          | $                                                  | 308,829    |   |
| Interest rates                                         |   | 3.24                                                                        | %          | 676,119                                            |       |
| Metals                                                 |   | 0.70                                                                        | %          | 146,860                                            |       |
| Softs                                                  |   | (0.01                                                                       | )%         | (1,175                                             | )          |
| Total futures  contracts purchased                     |   | 5.42                                                                        | %          | 1,130,633                                          |       |
|                                                   |   |                                                                        |       |                                               |       |
| **Futures contracts sold**                             |   |                                                                        |       |                                               |       |
| Grains                                                 |   | 0.27                                                                        | %          | 56,875                                             |       |
| Metals                                                 |   | (0.26                                                                       | )%         | (53,469                                            | )          |
| Softs                                                  |   | 0.06                                                                        | %          | 12,488                                             |       |
| Stock indices                                          |   | 0.30                                                                        | %          | 62,417                                             |       |
| Total futures  contracts sold                          |   | 0.37                                                                        | %          | 78,311                                             |       |
| **Total investment in futures  contracts**             |   | 5.79                                                                        | %          | 1,208,944                                          |       |
|                                                   |   |                                                                        |       |                                               |       |
| Total currency  forward contracts purchased            |   | 1.26                                                                        | %          | 261,953                                            |       |
| Total currency  forward contracts sold                 |   | (0.59                                                                       | )%         | (122,436                                           | )          |
| **Total investment in forward  contracts**             |   | 0.67                                                                        | %          | 139,517                                            |       |
|                                                   |   |                                                                        |       |                                               |       |
| **Total investment in futures and  forward contracts** |   | 6.46                                                                        | %          | $                                                  | 1,348,461  |   |

 

*Seeaccompanying notes.*

 

3

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The Millburn WorldResource Trust

 

CondensedSchedule of Investments (continued)

 

December 31, 2002

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

 

4

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The Millburn WorldResource Trust

 

Condensed Schedule ofInvestments

 

December 31, 2001

 
| **Currency  Amount** |            | **Futures  and Forward Contracts**                     |                               | **Net  Unrealized  Appreciation/  (Depreciation)  as a% of  Trust Capital** |   | **Net  Unrealized  Appreciation/  (Depreciation)** |      |
|----------------------|-----------------|--------------------------------------------------------|------------------------------------|-----------------------------------------------------------------------------|--------|----------------------------------------------------|-----------|
|                 |            |                                                   |                               |                                                                        |   |                                               |      |
|                 |            | **Futures contracts purchased**                        |                               |                                                                        |   |                                               |      |
|                 |            | Energies                                               |                               | (0.05                                                                       | )%     | $                                                  | (13,379   | ) |
|                 |            | Interest rates                                         |                               | (0.08                                                                       | )%     | (19,235                                            | )         |
|                 |            | Metals                                                 |                               | (0.25                                                                       | )%     | (63,308                                            | )         |
|                 |            | Stock indices                                          |                               | (0.00                                                                       | )%     | (1,137                                             | )         |
|                 |            | Total futures  contracts purchased                     |                               | (0.38                                                                       | )%     | (97,059                                            | )         |
|                 |            |                                                   |                               |                                                                        |   |                                               |      |
|                 |            | **Futures contracts sold**                             |                               |                                                                        |   |                                               |      |
|                 |            | Energies                                               |                               | 0.50                                                                        | %      | 128,010                                            |      |
|                 |            | Interest rates                                         |                               | 0.70                                                                        | %      | 179,622                                            |      |
|                 |            | Metals                                                 |                               | (2.11                                                                       | )%     | (542,114                                           | )         |
|                 |            | Softs                                                  |                               | (0.08                                                                       | )%     | (21,462                                            | )         |
|                 |            | Stock indices                                          |                               | 0.01                                                                        | %      | 3,307                                              |      |
|                 |            | Total futures  contracts sold                          |                               | (0.98                                                                       | )%     | (252,637                                           | )         |
|                 |            | **Total investment in futures  contracts**             |                               | (1.36                                                                       | )%     | (349,696                                           | )         |
|                 |            |                                                   |                               |                                                                        |   |                                               |      |
|                 |            | Total currency  forward contracts purchased            |                               | 1.41                                                                        | %      | 362,983                                            |      |
|                 |            |                                                   |                               |                                                                        |   |                                               |      |
|                 |            | Forward  contracts sold                                |                               |                                                                        |   |                                               |      |
| ¥               | (2,991,000,000) |                                                   | Japanese yen/U.S. dollar, 03/20/02 |                                                                        | 5.07   | %                                                  | 1,304,930 |   |
|                 |            | Other                                                  |                               | (1.45                                                                       | )%     | (374,119                                           | )         |
|                 |            | Total currency  forward contracts sold                 |                               | 3.62                                                                        | %      | 930,811                                            |      |
|                 |            | **Total investment in forward contracts**              |                               | 5.03                                                                        | %      | 1,293,794                                          |      |
|                 |            |                                                   |                               |                                                                        |   |                                               |      |
|                 |            | **Total investment in futures and  forward contracts** |                               | 3.67                                                                        | %      | $                                                  | 944,098   |   |
|                      |                 |                                                        |                                    |                                                                             |        |                                                    |           |  |  |

 

*Seeaccompanying notes.*

 

5

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The Millburn WorldResource Trust

 

Condensed Schedule ofInvestments (continued)

 

December 31, 2001

 
| **Face  Amount** |      | **Investments  in U.S. Treasury notes**                                        |                                   | **Value as a  % of Trust  Capital** |   | **Value** |       |
|------------------|-----------|--------------------------------------------------------------------------------|----------------------------------------|-------------------------------------|--------|-----------|------------|
|             |      |                                                                           |                                   |                                |   |      |       |
|             |      | **Government—United States**                                              |                                   |                                |   |      |       |
| $                | 6,400,000 |                                                                           | U.S. Treasury notes, 6.50%, 05/31/2002 |                                | 25.38  | %         | $          | 6,528,000 |   |
| 5,100,000        |      | U.S. Treasury notes, 6.375%, 08/15/2002                                        |                                   | 20.38                               | %      | 5,243,438 |       |
| 9,140,000        |      | U.S. Treasury notes, 6.25%, 02/28/2002                                         |                                   | 35.78                               | %      | 9,202,838 |       |
| 1,900,000        |      | U.S. Treasury notes, 5.75%, 10/31/2002                                         |                                   | 7.61                                | %      | 1,958,780 |       |
|             |      | **Total investments in U.S. Treasury  notes****(amortized  cost $22,844,483)** |                                   | 89.15                               | %      | $         | 22,933,056 |   |
|                  |           |                                                                                |                                        |                                     |        |           |            |  |  |

 

*Seeaccompanying notes.*

 

6

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The Millburn WorldResource Trust

 

Statements of Operations

 
|                                                   |   | **Years  ended December 31** |          |
|--------------------------------------------------------|--------|------------------------------|---------------|
|                                                   |   | **2002**                     |          | **2001** |   | **2000** |   |
| **Investment  income**                                 |   |                         | ** **    |   |   |   |   |
| Interest income                                        |   | **$**                        | **469,289**   | ** ** | $ | 1,467,711 |   | $ | 2,037,153 |   |
|                                                   |   |                         | ** **    |   |   |   |   |
| **Expenses**                                           |   |                         | ** **    |   |   |   |   |
| Administrative  expenses                               |   | **106,135**                  | ** **    | 265,562 |   | 297,751 |   |
| Brokerage  commissions                                 |   | **2,041,313**                | ** **    | 2,629,963 |   | 3,298,836 |   |
| Total expenses                                         |   | **2,147,448**                | ** **    | 2,895,525 |   | 3,596,587 |   |
| Net investment  loss                                   |   | **(1,678,159**               | **)**         | (1,427,814 | ) | (1,559,434 | ) |
|                                                   |   |                         | ** **    |   |   |   |   |
| **Net realized and unrealized gains  (losses)**        |   |                         | ** **    |   |   |   |   |
| Net realized  gains (losses) on closed positions:      |   |                         | ** **    |   |   |   |   |
| Futures and  forward contracts                         |   | **4,970,123**                | ** **    | 2,976,868 |   | (2,166,473 | ) |
| Foreign exchange  transactions                         |   | **14,048**                   | ** **    | 7,631 |   | (1,090 | ) |
| Net change in  unrealized appreciation (depreciation): |   |                         | ** **    |   |   |   |   |
| Futures and  forward contracts                         |   | **404,363**                  | ** **    | (5,097,889 | ) | 3,061,488 |   |
| Foreign exchange  translations                         |   | **(7,369**                   | **)**         | 1,295 |   | (4,293 | ) |
| Net gains  (losses) from U.S. Treasury notes:          |   |                         | ** **    |   |   |   |   |
| Net realized  gains                                    |   | **—**                   | ** **    | — |   | 17,189 |   |
| Net change in  unrealized appreciation (depreciation)  |   | **(72,134**                  | **)**         | (26,025 | ) | 114,598 |   |
| Total net  realized and unrealized gains (losses)      |   | **5,309,031**                | ** **    | (2,138,120 | ) | 1,021,419 |   |
|                                                   |   |                         | ** **    |   |   |   |   |
| Net income  (loss)                                     |   | **$**                        | **3,630,872** | ** ** | $ | (3,565,934 | ) | $ | (538,015 | ) |
|                                                   |   |                         | ** **    |   |   |   |   |
| Net income  (loss) per unit of beneficial interest     |   | **$**                        | **166.57**    | ** ** | $ | (137.46 | ) | $ | 25.80 | * |

 

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*                 The amount shownper unit in 2000 does not correspond with the net loss as shown on thestatements of operations for the year ended December 31, 2000 because of thetiming of redemptions of the Trust’s units in relation to the fluctuatingvalues of the Trust’s investments.

 

See accompanying notes.

 

7

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The Millburn WorldResource Trust

###  

### Statements ofChanges in Trust Capital

 
|                                                          |   | **Unitholders** |           | **New Profit  Memo  Account** |       | **Managing  Owner** |       | **Total**      |        |
|---------------------------------------------------------------|--------|-----------------|----------------|-------------------------------|------------|---------------------|------------|----------------|-------------|
|                                                          |   |            |           |                          |       |                |       |           |        |
| Trust capital at  December 31, 1999                           |   | $               | 49,635,958     |                          | $          | —              |       | $              | 848,658     |   | $ | 50,484,616 |   |
| Proceeds from  sale of 645.250 units of beneficial interest   |   | 682,041         |           | —                        |       | —              |       | 682,041        |        |
| Net income  (loss)                                            |   | (631,553        | )              | —                        |       | 93,538              |       | (538,015       | )           |
| Redemptions  (16,112.349 units of beneficial interest)        |   | (16,397,649     | )              | —                        |       | —              |       | (16,397,649    | )           |
| Units of beneficial  interest allocated—56.700           |   | —          |           | —                        |       | —              |       | —         |        |
| Trust capital at  December 31, 2000                           |   | 33,288,797      |           | —                        |       | 942,196             |       | 34,230,993     |        |
| Proceeds from  sale of 1,069.849 units ofbeneficial  interest |   | 1,156,868       |           | —                        |       | —              |       | 1,156,868      |        |
| Net loss                                                      |   | (3,524,254      | )              | —                        |       | (41,680             | )          | (3,565,934     | )           |
| Redemptions  (5,554.030 units of beneficial interest)         |   | (6,098,870      | )              | —                        |       | —              |       | (6,098,870     | )           |
| Units of  beneficial interest allocated—39.381           |   | —          |           | —                        |       | —              |       | —         |        |
| Trust capital at  December 31, 2001                           |   | 24,822,541      |           | —                        |       | 900,516             |       | 25,723,057     |        |
| Proceeds from  sale of 282.151 units of beneficial interest   |   | **279,804**     | ** **     | **—**                    | ** ** | **—**          | ** ** | **279,804**    | ** **  |
| Net income                                                    |   | **3,455,068**   | ** **     | **—**                    | ** ** | **175,804**         | ** ** | **3,630,872**  | ** **  |
| Redemptions  (7,749.040 units of beneficial interest)         |   | **(8,253,522**  | **)**          | **—**                    | ** ** | **(500,000**        | **)**      | **(8,753,522** | **)**       |
| Units of  beneficial interest allocated—31.453           |   | **—**      | ** **     | **—**                    | ** ** | **—**          | ** ** | **—**     | ** **  |
| Trust capital at  December 31, 2002                           |   | **$**           | **20,303,891** | ** **                    | **$**      | **—**          | ** ** | **$**          | **576,320** | ** ** | **$** | **20,880,211** | ** ** |

 

*Seeaccompanying notes.*

 

8

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The Millburn WorldResource Trust

 

### Statements ofFinancial Highlights

 
|                                                                                                    |   | **Years ended December 31** |         |
|---------------------------------------------------------------------------------------------------------|--------|-----------------------------|--------------|
|                                                                                                    |   | **2002**                    |         | **2001** |   | **2000** |   |
|                                                                                                    |   |                        | ** **   |   |   |   |   |
| **Per unit operating performance (for  a unit of beneficial interest outstanding throughout the year)** |   |                        | ** **   |   |   |   |   |
| Net income  (loss) from operations:                                                                     |   |                        | ** **   |   |   |   |   |
| Net investment  loss                                                                                    |   | **$**                       | **(79.26**   | **)** | $ | (56.81 | ) | $ | (43.94 | ) |
| Net realized and  unrealized gains (losses) on trading of futures and forward contracts                 |   | **248.55**                  | ** **   | (79.69 | ) | 66.14 |   |
| Net gains  (losses) from U.S. Treasury notes                                                            |   | **(2.72**                   | **)**        | (0.96 | ) | 3.60 |   |
| Total income  (loss) from operations                                                                    |   | **166.57**                  | ** **   | (137.46 | ) | 25.80 |   |
| Net asset value,  beginning of year                                                                     |   | **998.22**                  | ** **   | 1,135.68 |   | 1,109.88 |   |
| Net asset value,  end of year                                                                           |   | **$**                       | **1,164.79** | ** ** | $ | 998.22 |   | $ | 1,135.68 |   |
|                                                                                                    |   |                        | ** **   |   |   |   |   |
| **Total return**                                                                                        |   | **16.69**                   | **%**        | (12.10 | )% |   |   |
|                                                                                                    |   |                        | ** **   |   |   |   |   |
| **Ratios to average trust capital**                                                                     |   |                        | ** **   |   |   |   |   |
| Net investment  loss                                                                                    |   | **(7.37**                   | **)%**       | (4.91 | )% |   |   |
| Total expenses                                                                                          |   | **9.36**                    | **%**        | 9.70 | % |   |   |

 

*Seeaccompanying notes.*

 

9

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The Millburn WorldResource Trust

 

Notes to Financial Statements

 

December 31, 2001

 

**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 contracts. The instruments that are traded by the Trustare 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 commissions and profitshare allocations.

 

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 forwards, includingrelated income and expense, on a trade date basis.

 

Open futures contracts are valued at market value and open forwardcontracts are valued at fair value which is based on pricing models thatconsider the time value of money and the current market and contractual pricesof the underlying financial instruments. Realized gains (losses) and changes inunrealized appreciation (depreciation) on futures and forward contracts arerecognized in the periods in which the contracts are closed or the changesoccur, and are included in net realized and unrealized gains (losses).

 

10

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Investments in U.S. Treasury notes are valued at market value. TheTrust amortizes premiums and accretes discounts on U.S. Treasury notes usingthe straight-line method, which approximates the effective interest method.Such securities are normally on deposit with financial institutions ascollateral for performance of the Trust’s trading obligations or held forsafekeeping in a custody account.

 

**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.

 

**FairValue 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.

 

**Estimates**

 

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

 

**Right of Offset**

 

The customer agreements between the Trust and some 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.

 

11

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**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 commissions or Profit Share). TheManaging Owner retains the right to charge less than the annual brokerage rateof 9.0% to those subscribers who either invest $1,000,000 or more in the Unitsor subscribe without incurring the selling commission paid by the ManagingOwner. In order to maintain a uniform Net Asset Value per Unit, additionalunits are issued 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 brokeragecommissions payable to the clearing brokers. The Managing Owner also pays, fromits own funds, 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 net taxable capital gains are allocated to the ManagingOwner, and the remainder, if any, of such profit share 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.

 

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.

 

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**4. Duefrom/to Brokers**

 

At December 31, 2002 and 2001, 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 31,2002 and 2001, net cash and treasury notes aggregating $4,440,511 and$10,706,177, respectively, included in the Trust’s equity in trading accountswere held in segregated accounts as collateral as required by U.S. CommodityFutures Trading Commission’s regulations or by the counterparty bank or broker.Such collateral can be sold or repledged by the counterparties.

 

**6.Derivative Instruments**

 

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

 

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 its counterparties, therefore, assets represent theTrust’s unrealized gains, less unrealized losses for OTC contracts in which theTrust has a master netting agreement. Similarly, liabilities represent netamounts owed to counterparties on OTC contracts.

 

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.

 

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Forward contracts entered into by the Trust represent a firm commitmentto buy or sell an underlying currency at a specified value and point in timebased upon an agreed or contracted quantity. The ultimate gain or loss is equalto the difference between the value of the contract at the onset and the valueof the contract at settlement date and is included in the statements ofoperations.

 

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 contracts underlyingthe financial instruments or the Trust’s satisfaction of the obligations mayexceed the amount recognized in the statements of financial condition.

 

Credit risk is the possibility that a loss may occur due to the failureof a counterparty to perform according to the terms of a contract. Credit riskis normally reduced to the extent that an exchange or clearing organizationacts as a counterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the 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.

 

At December 31, 2002 and 2001 derivative contracts with a netunrealized gain (asset) of $139,517 and $1,293,794, respectively, are relatedto forward contracts with the remaining unrealized gains related toexchange-traded futures contracts. The primary difference in the risksassociated with OTC contracts and exchange-traded contracts is credit risk. TheTrust views its credit exposure to be $785,172 and $1,738,491 at December 31,2002 and 2001, respectively, representing the fair value of OTC contracts in anunrealized gain position.

 

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The Trust’s trading activities are primarily withbrokers and other financial institutions located in North America, Europe andAsia. All futures and forward transactions of the Trust are cleared by majorsecurities firms pursuant to customer agreements. The Trust has limitedconcentration risk as it executes trades and maintains accounts with severalbrokers.

 

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 forwardcontracts are denominated in the functional currency. Cash settlement offutures and forward contracts is made in the local currency (settlementcurrency) and then translated to the functional currency.

 

Net unrealized appreciation (depreciation) on futures and forwardcontracts by settlement currency type denominated in the functional currency atDecember 31, 2002 and 2001 is detailed below:

 
|                                                    |   | **2002**                                             |       | **2001**                                                 |          |
|---------------------------------------------------------|--------|------------------------------------------------------|------------|----------------------------------------------------------|---------------|
| **Currency Type —  Futures and Forward Contracts** |   | **Percent of  Unrealized  to Total Net  Unrealized** |       | **Total Net  Unrealized  Appreciation/  (Depreciation)** |          | **Percent of  Unrealized  to Total Net  Unrealized** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |   |   |
|                                                    |   |                                                 |       |                                                     | ** **    |   |   |   |   |   |
| British pound                                           |   | **2.28**                                             | **%**      | **$**                                                    | **30,715**    | ** ** | 10.44 | % | $ | 98,582 |   |   |
| Euro                                                    |   | **42.44**                                            | ** ** | **572,349**                                              | ** **    | 24.47 |   | 230,991 |   |   |
| Hong Kong dollar                                        |   | **2.28**                                             | ** ** | **30,692**                                               | ** **    | (1.58 | ) | (14,934 | ) |   |
| Japanese yen                                            |   | **(4.17**                                            | **)**      | **(56,294**                                              | **)**         | 27.88 |   | 263,180 |   |   |
| Norwegian krona                                         |   | **(0.96**                                            | **)**      | **(12,906**                                              | **)**         | **—** | ** ** | **—** | ** ** |   |
| U.S. dollar                                             |   | **58.13**                                            | ** ** | **783,905**                                              | ** **    | 38.79 |   | 366,279 |   |   |
| **Total**                                               |   | **100.00**                                           | **%**      | **$**                                                    | **1,348,461** | ** ** | 100.00 | % | $ | 944,098 |   |   |
|                                                         |        |                                                      |            |                                                          |               |  |  |  |  |  |  |  |  |

 

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**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 21, 2003, Unitholders made withdrawals of approximately$170,100.

 

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