UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549
                                    FORM 10-Q

[X]   Quarterly Report Pursuant to Section 13 or 15(d) of the Securities
      Exchange Act of 1934

                  For the Quarterly Period Ended: June 30, 2006
                                       or

[ ]   Transition Report Pursuant to Section 13 or 15(d) of the Securities
      Exchange Act of 1934

                         Commission File Number: 0-26932

                        THE MILLBURN WORLD RESOURCE TRUST
             (Exact name of registrant as specified in its charter)

                    Delaware                              06-6415583
        -------------------------------               -------------------
        (State or other jurisdiction of                (I.R.S. Employer
         incorporation or organization)               Identification No.)

                       c/o MILLBURN RIDGEFIELD CORPORATION
                             411 West Putnam Avenue
                          Greenwich, Connecticut 06830
                    (Address of principal executive offices)

Registrant's telephone number, including area code: (203) 625-7554

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

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

Large accelerated filer [ ] Accelerated filer [ ] Non-accelerated filer [X]

Indicate by check mark whether the registrant is a shell company (as defined in
Rule 12b-2 of the Exchange Act).
                                                                  Yes [ ] No [X]
<PAGE>

The Millburn World Resource Trust
Financial statements

For the three and six months ended June 30, 2006 and 2005 (unaudited)

Statements of Financial Condition (a)                             1
Condensed Schedules of Investments (a)                            2
Statements of Operations (b)                                      6
Statements of Changes in Trust Capital (c)                        8
Statements of Financial Highlights (b)                           10
Notes to the Financial Statements (unaudited)                    12

(a) At June 30, 2006 (unaudited) and December 31, 2005
(b) For the three and six months ended June 30, 2006 and 2005 (unaudited)
(c) For the six months ended June 30, 2006 and 2005 (unaudited)
<PAGE>

ITEM 1. FINANCIAL STATEMENTS

                  THE MILLBURN WORLD RESOURCE TRUST
                  Statements of Financial Condition

<TABLE>
<CAPTION>
                                                              UNAUDITED
                                                               JUNE 30        DECEMBER 31
                                                                 2006             2005
                                                             -----------------------------
<S>                                                          <C>              <C>
ASSETS
EQUITY IN TRADING ACCOUNTS:
  Investments in U.S. Treasury notes -- at market value
    (amortized cost $2,172,711 and $2,324,375)               $  2,166,003     $  2,320,797
  Net unrealized appreciation on open futures
    and forward currency contracts                                159,432           43,826
  Net unrealized depreciation on open futures contracts            (6,060)          (2,030)
  Due from brokers                                                438,718          332,333
  Cash denominated in foreign currencies (cost $0
    and $79,292)                                                       --           78,108
                                                             -----------------------------
      Total equity in trading accounts                          2,758,093        2,773,034

INVESTMENTS IN U.S. TREASURY NOTES -- at market value
    (amortized cost $2,436,777 and $2,893,757)                  2,430,769        2,886,966
CASH AND CASH EQUIVALENTS                                         209,706          720,792
ACCRUED INTEREST RECEIVABLE                                        28,390           22,777
                                                             -----------------------------
TOTAL                                                        $  5,426,958     $  6,403,569
                                                             =============================
LIABILITIES AND TRUST CAPITAL

LIABILITIES:
  Due to brokers                                             $     33,613     $     60,388
  Accrued expenses                                                  1,408           24,428
  Accrued brokerage fees                                           36,065           44,411
  Redemptions payable                                              94,554          260,359
                                                             -----------------------------
    Total liabilities                                             165,640          389,586
                                                             -----------------------------
TRUST CAPITAL:
  Managing Owner interest                                         220,630          203,136
  Unitholders (4,419.255 and 5,300.162 units outstanding)       5,040,688        5,810,847
                                                             -----------------------------
    Total trust capital                                         5,261,318        6,013,983
                                                             -----------------------------
TOTAL                                                        $  5,426,958     $  6,403,569
                                                             =============================
NET ASSET VALUE PER UNIT OUTSTANDING                         $   1,140.62     $   1,096.35
                                                             =============================
</TABLE>

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                        Condensed Schedule of Investments
                            June 30, 2006 (UNAUDITED)

                                                                  NET UNREALIZED
                                                     % OF TRUST    APPRECIATION
FUTURES AND FORWARD CURRENCY CONTRACTS                CAPITAL     (DEPRECIATION)
--------------------------------------------------------------------------------
FUTURES CONTRACTS
  Long futures contracts:
    Energies                                            0.48%     $     24,992
    Grains                                              0.43            22,400
    Metals                                             (0.03)           (1,818)
    Softs                                               0.01               638
    Stock indices                                       0.78            41,525
                                                     -------------------------
      Total long futures contracts                      1.67            87,737
                                                     -------------------------
  Short futures contracts:
    Energies                                            0.03             1,760
    Grains                                             (0.23)          (11,862)
    Interest rates                                      2.68           140,908
    Livestock                                          (0.16)           (8,520)
    Metals                                             (0.11)           (5,915)
    Softs                                               0.02               848
    Stock indices                                      (0.14)           (7,419)
                                                     -------------------------
      Total short futures contracts                     2.09           109,800
                                                     -------------------------
TOTAL INVESTMENTS IN FUTURES
  CONTRACTS-Net                                         3.76           197,537
                                                     -------------------------
FORWARD CURRENCY CONTRACTS
      Total long forward currency contracts            (0.80)          (42,242)
      Total short forward currency contracts           (0.04)           (1,923)
                                                     -------------------------
TOTAL INVESTMENTS IN FUTURES AND
  FORWARD CURRENCY CONTRACTS-Net                       (0.84)          (44,165)
                                                     -------------------------
TOTAL                                                   2.92%     $    153,372
                                                     =========================
                                                                   (Continued)
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                        Condensed Schedule of Investments
                            June 30, 2006 (UNAUDITED)

U.S. TREASURY NOTES

                                                         % OF TRUST
FACE AMOUNT     DESCRIPTION                                CAPITAL      VALUE
--------------------------------------------------------------------------------
$ 1,115,000   U.S. Treasury notes, 2.375%, 08/15/06         21.13%   $ 1,111,516
  1,300,000   U.S. Treasury notes, 2.875%, 11/30/06         24.46      1,287,000
  1,420,000   U.S. Treasury notes, 2.250%, 02/15/07         26.48      1,393,375
    820,000   U.S. Treasury notes, 3.125%, 05/15/07         15.30        804,881
                                                         -----------------------
              TOTAL INVESTMENTS IN U.S. TREASURY NOTES
                (AMORTIZED COST $4,609,488)                 87.37%   $ 4,596,772
                                                         =======================
                                                                     (Concluded)

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                        Condensed Schedule of Investments
                                December 31, 2005

                                                                  NET UNREALIZED
                                                    % OF TRUST     APPRECIATION
FUTURES AND FORWARD CURRENCY CONTRACTS               CAPITAL      (DEPRECIATION)
--------------------------------------------------------------------------------
FUTURES CONTRACTS
  Long futures contracts:
    Energies                                           0.12%        $   7,440
    Grains                                             0.37            22,408
    Interest rates                                     0.19            11,628
    Livestock                                         (0.06)           (4,000)
    Metals                                             1.84           110,272
    Softs                                              1.34            80,886
    Stock indices                                      0.50            29,984
                                                    -------------------------
      Total long futures contracts                     4.30           258,618
                                                    -------------------------
  Short futures contracts:
    Grains                                            (0.41)          (24,443)
    Interest rates                                     0.47            28,285
    Metals                                             0.04             2,480
    Softs                                             (0.36)          (22,230)
                                                    -------------------------
      Total short futures contracts                   (0.26)          (15,908)
                                                    -------------------------
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net             4.04           242,710
                                                    -------------------------
FORWARD CURRENCY CONTRACTS
      Total long forward currency contracts           (2.54)         (152,675)
      Total short forward currency contracts          (0.80)          (48,239)
                                                    -------------------------
TOTAL INVESTMENTS IN FORWARD CURRENCY
  CONTRACTS-Net                                       (3.34)         (200,914)
                                                    -------------------------
TOTAL                                                  0.70%        $  41,796
                                                    =========================
                                                                   (Continued)
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                        Condensed Schedule of Investments
                                December 31, 2005

U.S. TREASURY NOTES

                                                         % OF TRUST
FACE AMOUNT     DESCRIPTION                                CAPITAL      VALUE
--------------------------------------------------------------------------------
$ 1,460,000   U.S. Treasury notes, 1.625%, 02/28/06         24.19%   $1,454,525
  1,560,000   U.S. Treasury notes, 2.500%, 05/31/06         25.75     1,548,300
    875,000   U.S. Treasury notes, 2.375%, 08/15/06         14.37       864,063
  1,360,000   U.S. Treasury notes, 2.875%, 11/30/06         22.28     1,340,875
                                                         ----------------------
              TOTAL INVESTMENTS IN U.S. TREASURY NOTES
                (AMORTIZED COST $5,218,132)                 86.59%   $5,207,763
                                                         ======================
                                                                     (Concluded)

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                      Statements of Operations (UNAUDITED)

                                                      FOR THE THREE MONTHS ENDED
                                                        JUNE 30       JUNE 30
                                                          2006          2005
                                                      --------------------------
INVESTMENT INCOME:
  Interest income                                      $  64,591     $  43,981
                                                       -----------------------
EXPENSES:
  Brokerage fees                                         131,270       145,487
  Administrative expenses                                 15,137         5,487
  Custody fees                                               208           267
                                                       -----------------------
    Total expenses                                       146,615       151,241
                                                       -----------------------
NET INVESTMENT LOSS                                      (82,024)     (107,260)
                                                       -----------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
  Futures and forward currency contracts                  (8,457)     (393,843)
  Foreign exchange translation                            (6,992)       (2,280)
Net change in unrealized appreciation (depreciation):
  Futures and forward currency contracts                (183,290)      524,001
  Foreign exchange translation                              (453)        1,949
Net gains (losses) from U.S. Treasury notes:
  Net change in unrealized depreciation                     (709)        6,173
                                                       -----------------------
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)        (199,901)      136,000
                                                       -----------------------
NET INCOME (LOSS)                                      $(281,925)    $  28,740
                                                       =======================
NET INCOME (LOSS) PER UNIT                             $  (64.35)    $    6.78
                                                       =======================

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                      Statements of Operations (UNAUDITED)

                                                        FOR THE SIX MONTHS ENDED
                                                         JUNE 30       JUNE 30
                                                           2006          2005
                                                        ------------------------
INVESTMENT INCOME:
  Interest income                                       $ 125,308     $  86,040
                                                        -----------------------
EXPENSES:
  Brokerage fees                                          271,859       314,435
  Administrative expenses                                  31,300        10,975
  Custody fees                                                388           608
                                                        -----------------------
    Total expenses                                        303,547       326,018
                                                        -----------------------
NET INVESTMENT LOSS                                      (178,239)     (239,978)
                                                        -----------------------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
  Futures and forward currency contracts                  387,356      (350,221)
  Foreign exchange translation                             (6,974)       (2,522)
Net change in unrealized appreciation (depreciation):
  Futures and forward currency contracts                  111,576        26,970
  Foreign exchange translation                                815        (2,873)
Net losses from U.S. Treasury notes:
  Net change in unrealized depreciation                    (2,347)         (221)
                                                        -----------------------
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)          490,426      (328,867)
                                                        -----------------------
NET INCOME (LOSS)                                       $ 312,187     $(568,845)
                                                        =======================
NET INCOME (LOSS) PER UNIT                              $   44.27     $  (73.42)
                                                        =======================

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
               Statements of Changes in Trust Capital (UNAUDITED)

FOR THE SIX MONTHS ENDED JUNE 30, 2006:

<TABLE>
<CAPTION>
                                                 UNITHOLDERS                 MANAGING OWNER                    TOTAL
                                          --------------------------    -------------------------    --------------------------
                                             AMOUNT          UNITS        AMOUNT          UNITS         AMOUNT         UNITS
                                          -------------------------------------------------------------------------------------
<S>                                       <C>             <C>           <C>            <C>           <C>             <C>
TRUST CAPITAL-
  January 1, 2006                         $ 5,810,847      5,300.162    $  203,136             --    $ 6,013,983      5,300.162
Redemptions                                (1,064,852)      (880.907)           --                    (1,064,852)      (880.907)
Net income                                    294,693                       17,494                       312,187             --
                                          -------------------------------------------------------------------------------------
TRUST CAPITAL-
  June 30, 2006                           $ 5,040,688      4,419.255    $  220,630             --    $ 5,261,318      4,419.255
                                          =====================================================================================
NET ASSET VALUE PER UNIT OUTSTANDING
  AT JUNE 30, 2006:                       $  1,140.62
                                          -----------
</TABLE>

FOR THE SIX MONTHS ENDED JUNE 30, 2005:

<TABLE>
<CAPTION>
                                                 UNITHOLDERS                 MANAGING OWNER                    TOTAL
                                          --------------------------    -------------------------    --------------------------
                                             AMOUNT          UNITS        AMOUNT          UNITS         AMOUNT         UNITS
                                          -------------------------------------------------------------------------------------
<S>                                       <C>             <C>           <C>            <C>           <C>             <C>
TRUST CAPITAL-
  January 1, 2005                         $ 8,261,471      7,635.974    $  183,872             --    $ 8,445,343      7,635.974
Redemptions                                (1,392,676)    (1,384.126)           --             --     (1,392,676)    (1,384.126)
Net loss                                     (563,900)                      (4,945)                     (568,845)            --
                                          -------------------------------------------------------------------------------------
TRUST CAPITAL-
  June 30, 2005                           $ 6,304,895      6,251.848    $  178,927             --    $ 6,483,822      6,251.848
                                          =====================================================================================
NET ASSET VALUE PER UNIT OUTSTANDING
  AT JUNE 30, 2005:                       $  1,008.49
                                          -----------
</TABLE>

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                 Statements of Financial Highlights (UNAUDITED)

FOR THE THREE MONTHS ENDED JUNE 30                        2006          2005
------------------------------------------------------------------------------
Net income (loss) from operations:
  Net investment loss                                  $   (17.39)   $  (16.45)
  Net realized and unrealized gains (losses) on
    trading of futures and forward currency contracts      (46.82)       22.31
  Net gains (losses) from U.S. Treasury
    obligations                                             (0.14)        0.92
                                                       -----------------------
  Net income (loss) per unit                               (64.35)        6.78
Net asset value per unit,
  beginning of period                                    1,204.97     1,001.71
                                                       -----------------------
Net asset value per unit,
  end of period                                        $ 1,140.62    $1,008.49
                                                       =======================

TOTAL RETURN AND RATIOS FOR THE THREE MONTHS ENDED JUNE 30:

                                                          2006          2005
                                                       -----------------------
Total return:                                               (5.34)%       0.68%
Ratio of expenses to average net assets (a):                10.09%        9.42%
Ratio of net investment loss to average net assets (a):     (5.79)%      (6.74)%

(a) Annualized

See notes to financial statements
<PAGE>

                        THE MILLBURN WORLD RESOURCE TRUST
                 Statements of Financial Highlights (UNAUDITED)

<TABLE>
<CAPTION>
FOR THE SIX MONTHS ENDED JUNE 30:                              2006          2005
-----------------------------------------------------------------------------------
<S>                                                         <C>           <C>
Net income (loss) from operations:
  Net investment loss                                       $  (36.09)    $  (34.93)
  Net realized and unrealized gains (losses) on
    trading of futures and forward currency contracts           80.81        (38.46)
  Net losses from U.S. Treasury
    obligations                                                 (0.45)        (0.03)
                                                            -----------------------
  Net income (loss) per unit                                    44.27        (73.42)
Net asset value per unit,
  beginning of period                                        1,096.35      1,081.91
                                                            -----------------------
Net asset value per unit,
  end of period                                             $1,140.62     $1,008.49
                                                            =======================

TOTAL RETURN AND RATIOS FOR THE SIX MONTHS ENDED JUNE 30:
                                                                 2006          2005
                                                            -----------------------
Total return:                                                    4.04%        (6.79)%
Ratio of expenses to average net assets (a):                    10.09%         9.39%
Ratio of net investment loss to average net assets (a):         (6.05)%       (6.97)%
</TABLE>

(a) Annualized

See notes to financial statements
<PAGE>

NOTES TO FINANCIAL STATEMENTS (unaudited)

The accompanying financial statements are unaudited but, in the opinion of
management, include all adjustments (consisting only of normal recurring
adjustments) necessary for a fair presentation of The Millburn World Resource
Trust's (the "Trust") financial condition at June 30, 2006 (unaudited) and
December 31, 2005 and the unaudited results of its operations for the three and
six months ended June 30, 2006 and 2005. These financial statements present the
results of interim periods and do not include all disclosures normally provided
in annual financial statements. It is suggested that these financial statements
be read in conjunction with the financial statements and notes included in the
Trust's annual report on Form 10-K filed with the Securities and Exchange
Commission for the year ended December 31, 2005. The December 31, 2005
information has been derived from the audited financial statements as of
December 31, 2005.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS
OF OPERATIONS

Reference is made to Item 1, "Financial Statements". The information contained
therein is essential to, and should be read in connection with, the following
analysis.


OPERATIONAL OVERVIEW

Due to the nature of the Trust's business, its results of operations depend on
Millburn Ridgefield Corporation's (the "Managing Owner") ability to recognize
and capitalize on trends and other profit opportunities in different sectors of
the global capital and commodity markets. The Managing Owner's trading methods
are confidential, so that substantially the only information that can be
furnished regarding the Trust's results of operations is contained in the
performance record of its trading. Unlike operating businesses, general economic
or seasonal conditions do not directly affect the profit potential of the Trust,
and its past performance is not necessarily indicative of future results. The
Managing Owner believes, however, that there are certain market conditions, for
example, markets with strong price trends, in which the Trust has a better
likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

The Trust does not intend to raise any additional capital as it has not, and
does not intend to, register additional units for sale. The Trust does not
engage in borrowing.

The Trust trades futures and forward contracts on interest rates, commodities,
currencies, metals, energies, livestock and stock indices. Due to the nature of
the Trust's business, substantially all its assets are represented by cash and
United States government obligations, while the Trust maintains its market
exposure through open futures and forward contract positions.

The Trust's assets are generally held as cash, cash equivalents or U.S.
Government obligations which are used to margin or collateralize the Trust's
futures and forward currency positions and are withdrawn, as necessary, to pay
redemptions and expenses. Other than potential market-imposed limitations on
liquidity, due, for example, to daily price fluctuation limits, which are
inherent in the Trust's futures and forward trading, the Trust's assets are
highly liquid and are expected to remain so. There have been no material changes
with respect to the Trust's critical accounting policies, off-balance sheet
arrangements or disclosure of contractual obligations as reported in the Trust's
Annual Report on Form 10-K for fiscal year 2005.
<PAGE>

RESULTS OF OPERATIONS

During its operations for the three and six months ending June 30, 2006, the
Trust experienced no meaningful periods of illiquidity in any of the numerous
markets traded by the Managing Owner.

Due to the nature of the Trust's trading, the results of operations for the
interim period presented should not be considered indicative of the results that
may be expected for the entire year.

                              TOTAL TRUST
MONTH ENDING:                   CAPITAL
-----------------------------------------
June 30, 2006                 $ 5,261,318
March 31, 2006                  6,399,918
December 31, 2005               6,013,983

                   Periods ended June 30, 2006
                   ---------------------------
                              THREE MONTHS     SIX MONTHS
                              ---------------------------
Change in Trust Capital       $(1,138,600)     $(752,665)
Percent Change                     -17.79%        -12.52%

THREE MONTHS ENDED JUNE 30, 2006

The decrease in the Trust's net assets of $1,138,600 during the three months
ended June 30, 2006 was attributable to net loss of $281,925 and redemptions of
$856,675.

Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance and redemptions. Brokerage fees
for the three months ended June 30, 2006 decreased $14,217 relative to the
corresponding period in 2005.

Interest income is derived from cash and U.S. Treasury instruments held at the
Trust's brokers and custodian. Interest income for the three months ended June
30, 2006 increased $20,610 relative to the corresponding period in 2005. This
increase was mainly attributable to an increase in short-term Treasury yields,
which was partially offset by a reduction in the Trust's cash and U.S. Treasury
investments as a result of redemptions.

The Trust experienced net realized and unrealized losses of $199,901 from its
trading operations (including foreign exchange translations and Treasury
obligations). Brokerage fees of $131,270, administrative expenses of $15,137 and
custody fees of $208 were incurred. Interest income of $64,591 partially offset
the Trust's expenses, resulting in net loss of $281,925. An analysis of the
trading gain (loss) by sector is as follows:
<PAGE>

Currencies                     -3.04%
Energies                        0.08%
Grains                         -1.00%
Interest Rates                  2.91%
Livestock                      -1.40%
Metals                          3.81%
Softs                          -0.37%
Stock Indices                  -4.83%
                               -----
TRADING GAIN/(LOSS)            -3.84%

SIX MONTHS ENDED JUNE 30, 2006

The decrease in the Trust's net assets of $752,665 during the six months ended
June 30, 2006 was attributable to redemptions of $1,064,852 which was partially
offset by net income of $312,187.

Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance and redemptions. Brokerage fees
for the six months ended June 30, 2006 decreased $42,576 relative to the
corresponding period in 2005.

Interest income is derived from cash and U.S. Treasury instruments held at the
Trust's brokers and custodian. Interest income for the six months ended June 30,
2006 increased $39,268 relative to the corresponding period in 2005. This
increase was mainly attributable to an increase in short-term Treasury yields,
which was partially offset by a reduction in the Trust's cash and U.S. Treasury
investments as a result of redemptions.

The Trust experienced net realized and unrealized gains of $490,426 from its
trading operations (including foreign exchange translations and Treasury
obligations). Brokerage fees of $271,859, administrative expenses of $31,300 and
custody fees of $388 were incurred. Interest income of $125,308 partially offset
the Trust's expenses, resulting in net income of $312,187. An analysis of the
trading gain (loss) by sector is as follows:

Currencies                     -5.95%
Energies                        0.05%
Grains                         -1.60%
Interest Rates                  5.23%
Livestock                      -1.34%
Metals                          9.97%
Softs                           0.40%
Stock Indices                  -0.36%
                               -----
TRADING GAIN/(LOSS)             6.40%
<PAGE>

MANAGEMENT DISCUSSION - 2006

Three Months Ended June 30, 2006

The Trust's net asset value per unit declined 5.34% for the three months ended
June 30, 2006. Trading of equity futures and dollar foreign exchange positions
were particularly unprofitable, and to a lesser extent so was trading of
agricultural commodities. Gains from trading interest rate and metal futures
partially offset losses in these sectors.

Long positions in equity futures worldwide were profitable during April.
However, an abrupt change in market dynamics occurred in early May. Worries
about the impacts of Central Bank tightening around the globe and of high
commodity prices on global growth triggered a broad based equities sell off. As
a result 17 of the 19 equity futures traded in the portfolio generated losses
during the second quarter and the remaining two equity futures were essentially
flat. Equity futures for the U.S., Europe, and the Far East produced negative
results. The swift attitude reversal was aggravated by a generalized effort on
the part of investors and speculators to take profits and reduce risk positions
as Central Banks worldwide increasingly restricted liquidity. Hence, by the end
of the quarter most long equity positions had been closed, reduced significantly
or reversed to short positions.

Currency trading was unprofitable in the second quarter. Tightening of monetary
policies around the globe, uncertainty about growth prospects, especially for
the U.S., and China, the ebb and flow of worries about global inflation; and
escalating tensions in the Middle East and Korea kept market participants from
setting persistent trends for the major currencies. Non-dollar cross rates also
failed to display sustained trends. At the start of April, the Trust was
generally long the dollar versus Europe and Japan, and short the dollar against
a variety of high yielding developing country currencies. By the end of the
quarter, most of those positions had produced losses and had been reduced,
closed, or reversed.

The rising interest rate environment did produce gains from interest rate
futures trading. Short positions in long term and short term interest rate
futures for the U.S., Canada, Europe, the United Kingdom and Australia were
profitable.

For most of the quarter, industrial metals prices were underpinned by solid,
though perhaps slowing, worldwide growth. Moreover, tight supply situations were
highlighted by declining London Metal Exchange inventories and various
production disruptions. Precious metals prices gained as Middle Eastern and
Korean tensions encouraged safe haven buying. A weaker dollar and persistent
inflation worries also underpinned speculative buying of both precious and
industrial metals.

In the energy complex, prices of crude and products were volatile at high levels
and rose somewhat on balance, producing small gains from long positions. Trading
of natural gas, on the other hand, was somewhat unprofitable.

Prices of agricultural commodities were volatile, and fractional losses were
registered in trading of grains, and softs. Short livestock positions produced
losses when cattle and hog prices advanced, especially in the wake of news of a
planned reopening of the Japanese beef market which has been closed for some
time because of BSE-related concerns (mad cow disease).

<PAGE>

Three Months Ended March 31, 2006

The Trust's NAV per unit advanced 9.91% for the three months ended March 31,
2006. Strong economic conditions worldwide supported gains from trading futures
in stock indices, metals, and interest rates. Among soft commodities, trading of
sugar futures was profitable. On the other hand, currency and grain trading were
not profitable, while energy trading had no significant impact on NAV.

Long positions in U.S., European, Asian, and South African stock index futures
were profitable. Broad-based growth, encompassing the emerging markets--led by
China and India--the U.S., Europe, and even Japan encouraged investors
worldwide.

This buoyant economic environment was supportive of industrial and precious
metals prices also. Precious metals were underpinned as well by persistent and
widespread money supply growth, political uncertainties (for example, the
Iranian situation), reports that a silver exchange-traded fund was about to
begin trading, and rising demand from countries such as India and China where
wealth is often held via gold hoarding. As a result long positions in gold,
silver, platinum, copper, aluminum, lead and zinc registered profits.

Favorable economic reports from the U.S., Europe, and Asia, concerns about the
potential for an up tick in inflation and expectations that additional official
interest rate increases were still in the offing contributed to a global rise in
interest rates across the yield curve. Hence, profits were recorded on short
positions in U.S., German and Japanese notes and bonds. Short positions in
dollar, euro and sterling short-term interest rate futures were also profitable.

A long sugar position benefited from a strong sugar price gain early in the
quarter that resulted from weather related crop shortages in Brazil and Asia.

Currency trading was unprofitable as exchange rates displayed non-directional
volatility during the quarter. In general, long dollar positions lost money and
carry trades--borrowing and selling low interest rate currencies to buy and
invest in high interest rate currencies--which had been quite profitable, were
unwound suddenly and substantially, also producing losses.

Energy prices were volatile, with crude prices edging up somewhat on balance,
while product prices and natural gas declined. Losses from trading unleaded
gasoline and heating oil were offset by gains from a short natural gas position,
and long positions in crude oil and kerosene and gasoline traded on the Tokyo
Commodity Exchange.

Trading of grains was unprofitable, and trading of livestock was marginally
profitable.

                                TOTAL TRUST
MONTH ENDING:                      CAPITAL
-------------------------------------------
June 30, 2005                    $6,483,822
March 31, 2005                    6,996,465
December 31, 2004                 8,445,343
<PAGE>

                 Periods ended June 30, 2005
                 ---------------------------
                                   THREE             SIX
                                   MONTHS           MONTHS
                                 ---------------------------
Change in Trust Capital          $(512,643)      $(1,961,521)
Percent Change                       -7.33%           -23.23%

THREE MONTHS ENDED JUNE 30, 2005

The decrease in the Trust's net assets of $512,643 during the three months ended
June 30, 2005 was attributable to redemptions of $541,383 which was partially
offset by net income of $28,740.

Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance and redemptions. Brokerage fees
for the three months ended June 30, 2005 decreased $102,520 relative to the
corresponding period in 2004.

Interest income is derived from cash and U.S. Treasury instruments held at the
Trust's brokers and custodian. Interest income for the three months ended June
30, 2005 increased $12,107 relative to the corresponding period in 2004. This
increase was attributable to an increase in short-term Treasury yields, which
was partially offset by a reduction in the Trust's cash and U.S. Treasury
investments as a result of redemptions.

The Trust experienced net realized and unrealized gains of $136,000 from its
trading operations (including foreign exchange translations and Treasury
obligations). Brokerage fees of $145,487, administrative expenses of $5,487 and
custody fees of $267 were incurred. Interest income of $43,981 partially offset
the Trust's expenses, resulting in net income of $28,740. An analysis of the
trading gain (loss) by sector is as follows:

Sector            % Gain (Loss)
------            -------------
Currencies             (0.08)%
Energies               (0.85)%
Grains                 (1.00)%
Interest rates          6.85%
Livestock              (0.20)%
Metals                 (1.18)%
Softs                  (0.96)%
Stock indices          (0.27)%
                  -------------
Total                   2.31%

SIX MONTHS ENDED JUNE 30, 2005

The decrease in the Trust's net assets of $1,961,521 during the six months ended
June 30, 2005 was attributable to redemptions of $1,392,676 and a net loss of
$568,845.

Brokerage fees are calculated on the net asset value on the last day of each
month and are affected by trading performance and redemptions. Brokerage fees
for the six months ended June 30, 2005 decreased $313,442 relative to the
corresponding period in 2004.
<PAGE>

Interest income is derived from cash and U.S. Treasury instruments held at the
Trust's brokers and custodian. Interest income for the six months ended June 30,
2005 increased $11,360 relative to the corresponding period in 2004. This
increase was attributable to an increase in short-term Treasury yields, which
was partially offset by a reduction in the Trust's cash and U.S. Treasury
investments as a result of redemptions.

The Trust experienced net realized and unrealized losses of $328,867 from its
trading operations (including foreign exchange translations and U.S. Treasury
notes). Brokerage fees of $314,435, administrative expenses of $10,975 and
custody fees of $608 were incurred. Interest income of $86,040 partially offset
the Trust's expenses, resulting in a net loss of $568,845. An analysis of the
trading gain (loss) by sector is as follows:

Sector            % Gain (Loss)
------            -------------
Currencies             (5.63)%
Energies                0.95%
Grains                 (2.75)%
Interest rates          7.52%
Livestock              (0.41)%
Metals                 (1.06)%
Softs                  (0.98)%
Stock indices          (1.09)%
                  -------------
Total                  (3.45)%

MANAGEMENT DISCUSSION - 2005

Three months ended June 30, 2005

The Trust's net asset value per unit registered a 0.68% gain during the three
months ended June 30, 2005. Interest rate trading was highly profitable.
Currency and stock index futures trading were essentially flat for the period,
but did produced good gains in May and June. On the other hand, trading of
non-financial markets--energy, metals, and soft and agricultural commodities
resulted in quarterly losses.

Long positions in European, British, Japanese, and Canadian note and bond
futures, were broadly profitable. Continuing sluggish growth on the Continent,
signs of slowing growth in the U.K., and even some reduction in China's still
strong expansion encouraged purchasers of fixed income futures. Moreover,
inflation worldwide, both actual and expected, appears well contained due in
large part to the seemingly endless supply of cheap productive labor available
in China, India, Eastern Europe and other emerging nations.

Long worldwide equity futures positions were maintained throughout the quarter.
Initially these positions generated losses, but in May and June widespread gains
brought the sector's performance back to unchanged. For the quarter overall,
long positions in European and South African stock index futures were quite
profitable, while trading of U.S. and Asian equity futures generated offsetting
losses.
<PAGE>

Currency trading also produced mixed results. Non-dollar trading was
fractionally profitable, while dollar trading was similarly negative. Short euro
positions relative to the currencies of Canada, Sweden and Poland were
profitable. Unfavorable short-term interest rate differentials and increasing
concerns about Continental Europe's tepid growth prospects undermined the euro.
In addition, a long euro/short Swedish krona trade produced a gain as the
Swedish Riksbank cut its official interest rate below the European Central Bank
rate. Short Japanese yen positions against the Australian and Canadian
currencies were also quite profitable. Here too it appears that interest rate
differentials and relative growth contributed to the yen's weakness. Meanwhile,
trading of dollar positions was unprofitable. Short dollar positions relative to
the Korean, Australian and New Zealand units, and long dollar positions versus
the South African rand, euro, pound sterling and Japanese yen were not
profitable. On the other hand, short dollar positions against the Brazilian real
and Canadian dollar did produce gains.

Energy prices retreated in April and May, and losses on long positions in crude
and products were widespread, although prices recovered late in the quarter and
trimmed the losses noticeably.

Metals prices were volatile, and worries about slowing growth seemed to weigh on
the markets. Long positions in zinc, nickel, lead, copper, silver and gold
produced losses that outweighed slight gains from long platinum and short tin
trades. A short aluminum trade also lost money.

In agricultural trading, prices were volatile. Long positions throughout the soy
complex resulted in losses when improved weather news generated price declines.
Short corn and wheat trades also resulted in losses. Finally, short sugar, cocoa
and cotton positions were slightly unprofitable, as was a long coffee trade.

Three months ended March 31, 2005

The Trust's net asset value (NAV) per unit declined 7.41% for the three months
ended March 31, 2005. The period was characterized by significant price
volatility in most markets, including trend reversals in a number of currency
and equity futures.

After declining for several months, the dollar staged a significant rally and
losses were sustained on short dollar positions against the yen, South African
rand, Singapore dollar, euro and a number of other European currencies. Tepid
growth in the 12-nation euro zone, dovish comments from the European Central
Bank, and further rate increases from the Federal Reserve seemed to outweigh, at
least temporarily, the dollar depressing effect of concerns about central banks'
sales of dollars to diversify reserve holdings.

Equity markets were also volatile during the quarter due to concerns about
higher interest rates in the U.S., sluggish economic activity in "Old Europe"
and the possibility of slower growth in Asia. Losses on long positions in U.S.
and Hong Kong index futures outweighed small gains from long positions in
European and Japanese indices.

A multi-year downtrend in grain prices reversed abruptly, and short positions in
corn, wheat, soybeans and soybean meal sustained large losses. Trading of other
agricultural commodities was also somewhat unprofitable.
<PAGE>

In the interest rate sector, higher short-term rates in the U.S. produced a
sizable gain on a short Eurodollar futures trade. Meanwhile, global long-term
interest rates declined but with a good deal of volatility. Hence, positions in
notes and bonds had little net impact on NAV.

Energy prices were quite volatile but maintained an upward momentum during the
quarter. Consequently, long crude, heating oil, kerosene, and London gasoil
positions were profitable. Natural gas trading, on the other hand, produced a
small loss.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not applicable. The Trust is a small business issuer.

ITEM 4. CONTROLS AND PROCEDURES

Millburn Ridgefield Corporation, the Managing Owner of the Trust, with the
participation of the Managing Owner's Co-Chief Executive Officers and Chief
Financial Officer, has evaluated the effectiveness of the design and operation
of its disclosure controls and procedures with respect to the Trust as of the
end of this period covered by this quarterly report, and, based on their
evaluation, have concluded that these disclosure controls and procedures are
effective. There were no significant changes in the Managing Owner's internal
controls with respect to the Trust or in other factors applicable to the Trust
that could materially affect these controls subsequent to the date of their
evaluation.

PART II. OTHER INFORMATION

ITEM I. Legal Proceedings - None

ITEM 1A. Risk Factors.

There are no material changes from risk factors as previously disclosed in Form
10-K, filed March 31,2006.

ITEM 2. Unregistered Sales of Equity Securities and Use of Proceeds

(e) Pursuant to the Trust's Declaration of Trust and Trust Agreement,
Unitholders may redeem their Units at the end of each calendar month at the then
current month-end Net Asset Value per Unit. The redemption of Units has no
impact on the value of Units that remain outstanding, and Units are not reissued
once redeemed.

The following table summarizes the redemptions by Unitholders
during the three months ended June 30, 2006:

DATE OF
REDEMPTION                    UNITS REDEEMED     NAV PER UNIT
-------------------------------------------------------------
April 30, 2006                       321.031      $1,269.37
May 31, 2006                         298.765       1,186.94
June 30, 2006                         82.896       1,140.62
                              --------------
TOTAL                                702.692
                              ==============

ITEM 3. Defaults Upon Senior Securities - None

ITEM 4. Submission of Matters to a Vote of Security Holders - None
<PAGE>

ITEM 5. Other Information - None

ITEM 6. (a) Exhibits -

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

3.02 Certificate of Trust of the Trust.

10.01 Form of Subscription Agreement and Power of Attorney.

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

Designation Description

10.02 Selling Agreement among the Trust, the Managing Owner and the Principal
Selling Agents (includes a form of Additional Selling Agent and Correspondent
Selling Agent Agreement).

10.03(a) Customer Agreement among the Trust, the Managing Owner and a Principal
Selling Agent in its capacity as a futures commission merchant.

10.03(b) Customer Agreement among the Trust, the Managing Owner and a Principal
Selling Agent in its capacity as a futures commission merchant.

10.04 Escrow Agreement between the Trust and Chemical Bank, N.A.

The following exhibits are included herewith:

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

                                   SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.

By: Millburn Ridgefield Corporation,
Managing Owner

Date: August 14, 2006

                               /s/ Tod A. Tanis
                               ----------------
                               Tod A. Tanis
                               Vice-President
                               (principal accounting officer)