##### Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

(Mark One)



|x | ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ------------------------------------------------------------------------------------



|                          |  |                  
|------------------------- |  | -----------------
|For the fiscal year ended |  | December 31, 2010

OR



| ̈ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|- | ----------------------------------------------------------------------------------------



|                               |  |  |  |    |  | 
|------------------------------ |  |  |  | -- |  | 
|For the transition period from |  |  |  | to |  | 



|                       |  |          
|---------------------- |  | ---------
|Commission file number |  | 000-51651

WORLD MONITOR TRUST III  SERIES J



(Exact name of Registrant as specified in its charter)



|                                                             |  |                                     
|------------------------------------------------------------ |  | ------------------------------------
|Delaware                                                     |  | 20-2446281                          
|State or other jurisdiction of
incorporation or organization |  | (I.R.S. Employer Identification No.)



|                                                |  |           
|----------------------------------------------- |  | ----------
|900 King Street, Suite 100, Rye Brook, New York |  | 10573     
|(Address of principal executive offices)        |  | (Zip Code)



|                                                    |  |               
|--------------------------------------------------- |  | --------------
|                                                    | 
|Registrants telephone number, including area code: |  | (914) 307-7000

Securities registered pursuant to Section 12(b) of the Act:

None



Securities registered pursuant to
Section 12(g) of the Act:

Series J Units of Beneficial Interest, Class I



(Title of class)

Series J Units of Beneficial Interest, Class II



(Title of class)

Indicate by check mark if Registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.

Yes   ̈    No  
x

Indicate by check mark if Registrant is not required to file reports pursuant to
Section 13 or Section 15(d) of the Act.

Yes   ̈    No  
x

Indicate by check mark whether 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 Registrant was required to file such reports), and (2) has been subject to such filing
requirements for the past 90 days.

Yes  x    No  
 ̈



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Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was
required to submit and post such files).

Yes   ̈    No  
 ̈

Indicate by check mark if disclosure of delinquent filers pursuant to
Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of Registrants knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to
this Form 10-K  x

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



|                           |  |                             
|-------------------------- |  | ----------------------------
|Large accelerated filer   ̈ |  | Accelerated filer   ̈        
|Non-accelerated filer  x   |  | Smaller Reporting Company   ̈

Indicate by check mark whether Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes   ̈    No  x

The value of Unitholders Interests in the Registrant as of June 30, 2010 is $135,570,352.

As of March 1, 2011 there were 1,180,925.3521 Unitholders Interests outstanding.



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WORLD MONITOR TRUST III  SERIES J

(a Delaware Business Trust)





TABLE OF
CONTENTS







|           |  |                                                                                                              |    |      |    | 
|---------- |  | ------------------------------------------------------------------------------------------------------------ | -- | ---- | -- | 
|           |  |                                                                                                              |    | PAGE |   
|PART I     |  |                                                                                                              |    |     
|           |  |                                                                                                             
|Item 1.    |  | Business                                                                                                     |    |      | 4  | 
|           |  |                                                                                                             
|Item 1A.   |  | Risk Factors                                                                                                 |    |      | 6  | 
|           |  |                                                                                                             
|Item 1B.   |  | Unresolved Staff Comments                                                                                    |    |      | 26 | 
|           |  |                                                                                                             
|Item 2.    |  | Properties                                                                                                   |    |      | 27 | 
|           |  |                                                                                                             
|Item 3.    |  | Legal Proceedings                                                                                            |    |      | 27 | 
|           |  |                                                                                                             
|Item 4.    |  | Removed and Reserved                                                                                         |    |      | 27 | 
|           | 
|PART II    |  |                                                                                                              |    |     
|           |  |                                                                                                             
|Item 5.    |  | Market for Registrants Common Equity, Related Stockholders Mattersand Issuer Purchases of Equity Securities |    |      | 27 | 
|           |  |                                                                                                             
|Item 6.    |  | Selected Financial Data                                                                                      |    |      | 28 | 
|           |  |                                                                                                             
|Item 7.    |  | Managements Discussion and Analysis of Financial Conditionand Results of Operations                         |    |      | 29 | 
|           |  |                                                                                                             
|Item 7A.   |  | Quantitative and Qualitative Disclosures About Market Risk                                                   |    |      | 42 | 
|           |  |                                                                                                             
|Item 8.    |  | Financial Statements and Supplementary Data                                                                  |    |      | 45 | 
|           |  |                                                                                                             
|Item 9.    |  | Changes in and Disagreements with Accountants on Accountingand Financial Disclosure                          |    |      | 46 | 
|           |  |                                                                                                             
|Item 9A.   |  | Controls and Procedures                                                                                      |    |      | 46 | 
|           |  |                                                                                                             
|Item 9B.   |  | Other Information                                                                                            |    |      | 47 | 
|           | 
|PART III   |  |                                                                                                              |    |     
|           |  |                                                                                                             
|Item 10.   |  | Directors, Executive Officers and Corporate Governance                                                       |    |      | 47 | 
|           |  |                                                                                                             
|Item 11.   |  | Executive Compensation                                                                                       |    |      | 53 | 
|           |  |                                                                                                             
|Item 12.   |  | Security Ownership of Certain Beneficial Ownersand Management and Related Stockholder Matters                |    |      | 53 | 
|           |  |                                                                                                             
|Item 13.   |  | Certain Relationships and Related Transactions, and Director Independence                                    |    |      | 54 | 
|           |  |                                                                                                             
|Item 14.   |  | Principal Accounting Fees and Services                                                                       |    |      | 54 | 
|           | 
|PART IV    |  |                                                                                                              |    |     
|           |  |                                                                                                             
|Item 15.   |  | Exhibits, Financial Statement Schedules                                                                      |    |      | 55 | 
|           |  |                                                                                                             
|           |  | Financial Statements and Financial Statement Schedules                                                       |    |      | 55 | 
|           |  |                                                                                                             
|           |  | Exhibits                                                                                                     |    |      | 55 | 
|           | 
|SIGNATURES |  |                                                                                                              | 81 |     



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PART I



|Item 1. | Business
|------- | --------

General

World Monitor Trust III (the Trust) was formed as a Delaware Statutory Trust on September 28, 2004, with separate series (each, a Series) of units of beneficial
interest (Units or Interests). Its term will expire on December 31, 2054 (unless terminated earlier in certain circumstances). The trustee of the Trust is Wilmington Trust Company. The Trusts fiscal
year for book and tax purposes ends on December 31.

The Trusts Units were initially offered in
four (4) separate and distinct Series: Series G, Series H, Series I and Series J ( the Registrant). The Trust may issue additional Series of Units in the future. Each Series will continue to exist until terminated pursuant to
the provisions of Article XIII of the Third Amended and Restated Declaration of Trust and Trust Agreement (the Trust Agreement). Each Series offers Units in two classes (each, a Class)  Class I and Class
II. Class I Units pay a service fee. Class II Units may only be offered to investors who are represented by approved correspondent selling agents who are directly compensated by the investor for service rendered in connection with an investment in
the Trust (such arrangements commonly referred to as wrap-accounts) (see Note 5 of Registrants financial statements included in its annual report for the year ended December 31, 2010 (Registrants 2010 Annual
Report), which is filed as an exhibit herewith).

Series G, H, I and J commenced trading operations
on December 1, 2005.

Units are offered as of the beginning of each month, and Units will continue to be
offered in each Series until the maximum amount of each Series Units which are registered are sold. The Managing Owner may suspend or terminate the offering of Units of any Series at any time or extend the offering by registering additional
Units. The Managing Owner terminated the offering of Units of Series H and Series I effective March 31, 2007 and dissolved Series H and Series I effective close of business on April 30, 2007. The Managing Owner terminated the offering of
Units of Series G on December 31, 2007 and dissolved Series G effective close of business on December 31, 2007.

Managing Owner and its Affiliates

Effective
May 5, 2009, Preferred Investment Solutions Corp. changed its name to Kenmar Preferred Investments Corp. (Kenmar Preferred or the Managing Owner). Kenmar Preferred or Managing Owner refers to either
Preferred Investment Solutions Corp. or Kenmar Preferred Investments Corp., depending on the applicable period discussed. As Registrants Managing Owner, Kenmar Preferred conducts and manages the business of Registrant.

Kenmar Preferred has been the Managing Owner of Registrant since October 1, 2004. The Managing Owner may, but is not
required under the terms of the Trust Agreement to maintain an interest in Registrant.

Registrant reimburses
the Managing Owner for services it performs for Registrant, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor communications, printing, risk management and related services
with respect to monitoring the trading advisors, the Trust and other administrative services. Effective October 1, 2010 Registrant pays a monthly fee to ClariTy Managed Account & Analytics Platform LLC, an affiliate of the Managing
Owner, for risk management and related services with respect to monitoring the trading advisors.

The
Offering

Interests are being offered to investors who meet certain established suitability standards.
Prior to November 30, 2008, investments required a minimum aggregate initial subscription of $5,000 and $2,000 for certain Benefit Plan Investors (including IRAs), although the minimum purchase for any single series was $500. Effective
December 1, 2008, the minimum initial investment for new subscribers is $25,000 ($10,000 for benefit plan investors (including IRAs)) and the minimum additional subscription amount for current investors, who are accredited
investors, is $5,000.



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Effective November 30, 2008, the Board of Directors of the Managing
Owner of the Registrant determined that, Registrants Units of beneficial interest are no longer to be publicly offered and are only to be available on a private placement basis to accredited investors pursuant to Regulation D under
the Securities Act of 1933. This change in the manner in which the Registrants Units are offered has no material impact to current investors as there is no change in the fees and expenses and redemption terms of the Units or any change in the
management and investment strategy and reporting provided to investors of the Registrant. The only change is in the method by which the Registrants Units will be available, and the increased suitability standard of persons subscribing for
Units. New subscriptions must be made by persons that are accredited investors. Current investors that are not accredited investors are not required to redeem their current Units, but are not able to purchase additional
Units.

Initially, the Units for each Series were offered for a period ending November 30, 2005
(Initial Offering Period) at $100 per Interest. The subscription minimum of $30,000,000 for Registrant was reached during the Initial Offering Period permitting all of Series G, H, I and J to commence trading operations.
Registrant completed its initial offering on December 1, 2005 with gross proceeds of $31,024,443, which was fully allocated to the trading vehicles. Series H and I Units were fully redeemed as of April 30, 2007 and Series Gs
Units as of December 31, 2007. Until the Subscription Maximum for Registrant is reached, Registrants Units will continue to be offered on a monthly basis at the then current Net Asset Value per Unit.

The Trading Advisors and the Trading Vehicles

From January 1, 2008 through June 30, 2009, Registrant allocated its assets to the three managed accounts
separately managed by the following trading advisors: Eagle Trading Systems Inc. (Eagle) pursuant to its Momentum Program, Ortus Capital Management Limited (Ortus) pursuant to its Major Currency Program, and
Graham Capital Management, L.P. (Graham) pursuant to its K4D-15V Program. Effective July 1, 2009, Registrant entered into trading advisory agreements with GLC Ltd. (GLC) pursuant to both its Behavioral
Trend and Directional Programs, Krom River Investment Management (Cayman) Limited (Krom) pursuant to its Diversified Program and Crabel Capital Management, LLC (Crabel) pursuant to its Two Plus Program.
Effective March 31, 2010, the Managing Owner terminated the managed account agreement with GLC.

Beginning April 1, 2010, the Registrant allocated its assets substantially equally to each of Graham (pursuant to
its K4D-15Program), Eagle (pursuant to its Eagle Momentum Program), Ortus (pursuant to its Major Currency Program), Krom (pursuant to its Commodity Diversified Program), Crabel (pursuant to its Two Plus Program), Tudor Investment Corporation
(Tudor) (pursuant to its Tudor Mercis Program), and Paskewitz Asset Management, LLC (Paskewitz) (pursuant to its Contrarian Stock Index Program) (collectively with Graham, Eagle, Ortus, Krom, Crabel, Tudor, and
Paskewitz, the Trading Advisors). The Registrant allocated approximately one-seventh of its net assets to each Trading Advisors managed account (collectively the Managed Accounts), with such allocations to be
re-balanced quarterly. Effective December 31, 2010, the Managing Owner terminated the managed account agreement with Graham, See Notes 10 of Registrants 2010 Annual Report which is filed as an exhibit herewith.

Registrant pays Ortus, Eagle, Graham, GLC, Krom, Crabel, Tudor and Paskewitz monthly management fees at the annual rate
of 2.0%, 2.0%, 2.5%, 2.0%, 2.0%, 1.0%, 2.0% and 2.0% respectively, of their Managed Accounts allocated assets as defined in their respective Advisory Agreements. Additionally, Registrant pays Ortus, Eagle, Graham, GLC, Krom, Crabel, Tudor and
Paskewitz an incentive fee accrued monthly and paid quarterly of 20%, 20%, 20%, 20%, 20% , 25%, 20% and 20%, respectively, for achieving New High Net Trading Profits in their specific Managed Accounts as defined in their respective
Advisory Agreements.

Effective October 1, 2010, Registrant entered into an amendment to change the
management and incentive fee charged to some of its Trading Advisors. Registrant will pay Eagle, Graham, Krom, and Paskewitz monthly management fees at the annual rate of 1.5%, 2.0%, 1.5%, and 1.0% respectively, of their Managed Accounts
allocated assets as defined in the amendment to their respective Advisory Agreements. Additionally, effective October 1, 2010, Registrant will pay Eagle, Graham, Krom, and Paskewitz an incentive fee accrued monthly and paid quarterly of 25%,
20%, 25%, and 25% respectively, for achieving New High Net Trading Profits in their specific Managed Accounts as defined in the amendment to their respective Advisory Agreements. Effective January 1, 2011, Ortus management and
incentive fees shall be 1.0% and 25%.



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Competition

The Managing Owner and its affiliates have formed, and may continue to form, various entities to engage in the
speculative trading of futures, forward and options contracts which have certain of the same investment policies as Registrant.

Registrant is an open-end fund, which solicits the sale of additional Limited Interests on a monthly basis until the maximum amount of Limited Interests being offered by Registrant have been sold. As
such, Registrant may compete with other entities, whether or not formed by the Managing Owner, to attract new participants. In addition, to the extent that a Trading Advisor recommends similar or identical trades to Registrant and other accounts
that it manages, Registrant may compete with those accounts for the execution of the same or similar trades, as well as with other market participants.

The Administrator

Spectrum Global Fund
Administration, L.L.C., a Delaware limited liability company located at 33 West Monroe  Suite 1000, Chicago, IL, USA, 60603, and 8415 Pulsar Place Suite 400, Columbus, Ohio 43240. (the Administrator), is the administrator of
Registrant and provides certain administration and accounting services pursuant to the terms of a Services Agreement with Registrant dated as of May 23, 2007. The Administrator performs or supervises the performance of services necessary for
the operation and administration of Registrant (other than making investment decisions), including administrative and accounting services. Spectrum also calculates Registrants Net Asset Value. In addition, the Administrator maintains certain
books and records of Registrant, including certain books and records required by CFTC Rule 4.23(a), at its offices located as specified above.

On December 10, 2010, AlphaMetrix360, LLC purchased the assets of Spectrum Global Fund Administration, L.L.C. The Administrator now refers to either AlphaMetrix360, LLC or Spectrum Global Fund
Administration, L.L.C. depending on the applicable period discussed, See Note 10 of Registrants 2010 Annual Report which is filed as an exhibit herewith.

Employees

Registrant has no employees. Management
and administrative services for Registrant are performed by the Managing Owner or third parties pursuant to the Trust Agreement, as further discussed in Notes 3, 4, 5, 6, 7 and 8 of Registrants 2010 Annual Report which is filed as an exhibit
herewith.

Financial Information about Segments

Registrants business constitutes only one segment for financial reporting purposes. Registrant does not engage
in the production or sale of any goods or services. The objective of Registrants business is appreciation of its assets through speculative trading in such commodity interests. Financial information about Registrants business,
as of December 31, 2010, is set forth under Items 6, 7, and 8 herein.

Financial Information about Geographic Areas

Although Registrant trades in the global futures, forward and option markets, it does not have operations outside of the
United States.



|ITEM 1A. | RISK FACTORS
|-------- | ------------



| | (1) | Loss of Capital; No Guarantee of Profit
| | --- | ---------------------------------------

All investments risk the loss of capital. While the Managing Owner believes that Registrants investment program may
moderate this risk to some degree through a diversification of investment strategies and markets used by the Advisors to which Registrant will allocate assets, no guarantee or representation is made that Registrants program will be successful
or that Unitholders will not lose some or all of their investment in Registrant. The Trusts investment program includes the selection of Advisors who utilize such investment techniques as short sales, leverage, uncovered option transactions,
and limited diversification, which practices can, in certain circumstances, maximize the adverse impact on invested assets.



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| | (2) | Speculative and Volatile Market and Highly Leveraged Trading
| | --- | ------------------------------------------------------------

The markets in which Registrant trades are speculative, highly leveraged and involve a high degree of risk. Each
Advisors trading considered individually involves a significant risk of incurring large losses, and there can be no assurance that Registrant will not incur such losses.

Futures and forward prices are volatile. Volatility increases risk, particularly when trading with leverage.
Trading on a highly leveraged basis, even in stable markets involves risk; doing so in volatile markets necessarily involves a substantial risk of sudden, significant losses. Due to such leverage, even a small movement in price could cause large
losses for Registrant. Market volatility will increase the potential for large losses. Market volatility and leverage mean that Registrant could incur substantial losses, potentially impairing its equity base and ability to achieve its long-term
profit objectives even if favorable market conditions subsequently develop.

Supply and demand for
investments change rapidly and are affected by a variety of factors, including interest rates, rates of inflation and general trends in the overall economy or particular industrial or other economic sectors. Government actions, especially those of
the Federal Reserve Board and other central banks, have a profound effect on interest rates that, in turn, affect the price of investments. In addition, a variety of other factors that are inherently difficult to predict, such as domestic and
international political developments, governmental trade and fiscal policies, monetary and exchange control programs, currency devaluations and revaluations; and emotions of the marketplace, patterns of trade and war or other military conflict can
also have significant effects on the markets. None of these factors can be controlled by the Advisors. Advisors may have only limited ability to vary their portfolios in response to changing economic, financial and investment conditions. No
assurance can be given as to when or whether adverse events might occur which could cause significant and immediate loss in value of Registrant. Even in the absence of such events, trading investments can quickly lead to large losses. No assurance
can be given that the advice of the Advisors will result in profitable trades for Registrant or that Registrant will not incur substantial losses.

In addition to the leveraged trading described above, the Managing Owner has the ability to further increase the leverage of Registrant by allocating notional equity to one or more of its Advisors (in a
maximum amount of up to 20% of Net Asset Value), which would then permit such Advisor(s) to trade the account of Registrant as if more equity were committed to such accounts than is, in fact, the case. Although the Managing Owner has the option to
allocate additional notional equity to an Advisor, the Managing Owner has no current plans to do so.



| | (3) | Past Performance
| | --- | ----------------

Each Advisor selected by the Managing Owner to manage the assets of Registrant has a performance history through the date of its selection. You should not rely on the Advisors or the Managing
Owners performance record to date for predictive purposes. You should not assume that any Advisors future trading decisions will create profit, avoid substantial losses or result in performance for Registrant that is comparable to that
Advisors or to the Managing Owners past performance. In fact, as a significant amount of academic study has shown, futures funds more frequently than not under-perform the past performance records.

Because you and other investors will acquire and redeem Units at different times, you may experience a loss on your Units
even though the Series as a whole is profitable and even though other investors in the Series experience a profit. The past performance of the Series may not be representative of your investment experience in it.



| | (4) | Importance of General Market Conditions to Profitability
| | --- | --------------------------------------------------------

General economic and business conditions may affect an Advisors activities. The level and volatility of interest
rates, the prices of investments and the extent and timing of investor participation in the financial markets for both equities and interest-sensitive investments may affect the value of investments purchased by Registrant. Unexpected volatility or
illiquidity in the markets in which Registrant, directly or indirectly, holds positions could impair Registrants ability to carry out its business or cause it to incur losses. Moreover, although there can be no assurance that they will,
certain Advisors trade profitably during periods when major price movements occur. Such movements generally occur in any given market only infrequently, and during periods of static or whipsaw markets it is unlikely that those Advisors
will achieve profits for Registrant.



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| | (5) | Fees and Commissions are Charged Regardless of Profitability and May Result in Depletion of Trust Assets
| | --- | --------------------------------------------------------------------------------------------------------

The Trust is subject to the fees and expenses described herein which are payable irrespective of profitability in
addition to incentive fees which are payable to each Advisor based on such Advisors profitability and not on the profitability of Registrant as a whole. Such fees and expenses include asset-based fees of up to 5.50% per annum for Class I
Unitholders and up to 3.50% per annum for Class II Unitholders, which includes the Managing Owners Management Fee of 0.50%, the Advisors weighted average Base Fee of 1.50% (although the actual Base Fee for a particular Advisor may
be lower or higher than 1.50% per annum and may be as much as 2.00% per annum), the Selling Agents Sales Commission of 1.00%, Organization and Offering Expenses of up to 0.50% and, in the case of Class I, the Service Fee of 2.00%
(although the actual Service Fee may be higher or lower). In addition, Registrant is subject to incentive fees generally equal to 20% of net profits on a cumulative high water mark basis although he actual incentive fee for a particular Advisor may
be lower or higher than 20% and may be as much as 25%. The Advisors fees are based on a variety of factors, including the fees an Advisor charges to other clients.

The Trust is also subject to brokerage fees and administrative expenses. On Registrants forward trading,
bid-ask spreads are incorporated into the pricing of Registrants forward contracts by its counterparties in addition to the brokerage fees paid by Registrant. It is not possible to quantify the bid-ask spreads paid by
Registrant because Registrant cannot determine the profit its counterparty is making on the forward trades into which it enters. Consequently, the expenses of Registrant (including the higher Advisor base fee and incentive fee) could, over time,
result in significant losses to your investment therein. You may never achieve profits.



| | (6) | Trading Decisions Based on Technical Strategies
| | --- | -----------------------------------------------

The trading systems used by certain Advisors are based in large part on trading strategies that seek to take into
account certain technical factors in identifying price trends and price movements. The buy and sell signals generated by a technical trading system are not based on analysis of fundamental supply and demand factors, general economic
factors, or anticipated world events but generally upon a study of actual daily, weekly, and monthly price fluctuations. The profitability of any diversified technical trading strategy depends upon the occurrence in the future of major price moves
or trends in some futures and other investments. In the past there have been periods without discernible trends and presumably similar periods will occur in the future. The best trading strategy will not be profitable if there are no trends of the
kind it seeks to follow. Any factor that may lessen the prospect of major trends in the future (such as increased governmental control of, or participation in, the markets) may reduce the prospect that any trading strategy will be profitable in the
future. Any factor that would make it more difficult to execute trades at the systems signal prices, such as a significant lessening of liquidity in a particular market, also would be detrimental to profitability. The likelihood of the
Units being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods, Advisors historic price analysis could establish positions on the
wrong side of the price movements caused by such events.

Graham, Eagle, Crabel and Tudor employ technical
programs.



| | (7) | Possible Effects of Other Trend-Following Systems
| | --- | -------------------------------------------------

Trading strategies employing trend-following signals based on technical analysis are not new, and, if many traders in
addition to the Advisors follow very similar strategies, a bunching of buy and sell orders could occur. It is possible that there has been an increase in recent years in both the use of trend-following strategies and the overall volume of trading
and liquidity of the futures markets. Consequently, it is difficult to determine whether the total amount of funds traded on a trend-following basis, either for futures or securities as a whole or for a particular futures or security is greater in
proportion to the overall volume and liquidity of the futures or securities markets than in the past. The effect of the increase, if any, in the proportion of funds traded pursuant to trend-following strategies in recent years cannot be predicted.
Any such increase, however, could alter trading patterns or affect execution of trades to the detriment of Registrant.



| | (8) | Discretionary Trading Strategies May Incur Substantial Losses
| | --- | -------------------------------------------------------------

Discretionary traders, while they may utilize market charts, computer programs and compilations of quantifiable
fundamental information to assist them in making trading decisions, make such decisions on the basis of their own judgment and trading instinct, not on the basis of trading signals generated by any program or model. Such traders may be
more prone to subjective judgments that may have greater potentially adverse effects on their performance than systematic traders, which emphasize eliminating the effects of emotionalism on their trading. Reliance on trading



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judgment may, over time, produce less consistent trading results than implementing a systematic approach. Discretionary traders, like trend-following traders, are unlikely to be profitable unless
major price movements occur. Discretionary traders are highly unpredictable, and can incur substantial losses even in apparently favorable markets.

Krom employs a discretionary program. The other Advisors are not currently employing a discretionary strategy on behalf of Registrant, although each reserves the right to make discretionary decisions.



| | (9) | Systematic Trading Strategies May Incur Substantial Losses
| | --- | ----------------------------------------------------------

A systematic trader will generally rely to some degree on judgmental decisions concerning, for example, what markets to
follow and futures to trade, when to liquidate a position in a contract which is about to expire and how large a position to take in a particular futures. Although these judgmental decisions may have a substantial effect on a systematic
traders performance, such traders primary reliance is on trading programs or models that generate trading signals. The systems utilized to generate trading signals are changed from time to time (although generally infrequently), but the
trading instructions generated by the systems being used are followed without significant additional analysis or interpretation. Therefore, systematic trading may incur substantial losses by failing to capitalize on market trends that their systems
would otherwise have exploited by applying their generally mechanical trading systems by judgmental decisions of employees. Furthermore, any trading system or trader may suffer substantial losses by misjudging the market. Systematic traders tend to
rely on computerized programs, and some consider the prospect of disciplined trading, which largely removes the emotion of the individual trader from the trading process, advantageous. Due to their reliance upon computers, systematic traders are
generally able to incorporate a significant amount of data into a particular trading decision. However, when fundamental factors dominate the market, trading systems may suffer rapid and severe losses due to their inability to respond to such
factors until such factors have had a sufficient effect on the market to create a trend of enough magnitude to generate a reversal of trading signals, by which time a precipitous price change may already be in progress, preventing liquidation at
anything but substantial losses.

The programs utilized by Graham, Eagle, Ortus, Crabel, Tudor and Paskewitz
are systematic trading strategies.



| | (10) | Decisions Based Upon Fundamental Analysis May Not Result in Profitable Trading
| | ---- | ------------------------------------------------------------------------------

Traders that utilize fundamental trading strategies attempt to examine factors external to the trading market that affect
the supply and demand for a particular futures and forward contracts in order to predict future prices. Such analysis may not result in profitable trading because the analyst may not have knowledge of all factors affecting supply and demand, prices
may often be affected by unrelated factors, and purely fundamental analysis may not enable the trader to determine quickly that previous trading decisions were incorrect. In addition, because of the breadth of fundamental data that exists, a
fundamental trader may not be able to follow developments in all such data, but instead may specialize in analyzing a narrow set of data, requiring trading in fewer markets. Consequently, a fundamental trader may have less flexibility in adverse
markets to trade other futures and forward markets than traders that do not limit the number of markets traded as a result of a specialized focus.



| | (11) | Failure of Futures and Foreign Exchange Trading to be Non-Correlated to General Financial Markets Will Eliminate Benefits of Diversification
| | ---- | --------------------------------------------------------------------------------------------------------------------------------------------

Because futures, forwards and options have historically been non-correlated to the
performance of other asset classes such as stocks and bonds, the Managing Owner believes that managed futures funds like Registrant can diversify a traditional portfolio of equities and bonds. However, the Managing Owner cannot assure you that
Registrant will perform with a significant degree of non- or low-correlation to Unitholders other investments in the future.

Non-correlation means that there is no statistically valid relationship between the past performance of futures and forward contracts on the one hand and stocks or bonds on the other hand. Non-correlation
should not be confused with negative correlation, where the performance would be exactly opposite between two asset classes. Because of this non-correlation, Registrant can be expected to be profitable during unfavorable periods for the stock
market, or vice-versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain in futures and forward trading, there is an equal and offsetting loss. If Registrant does not perform in a
manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units and Registrant may have no gains to offset your losses from other investments.



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| | (12) | Broad Indices May Perform Quite Differently From Individual Investments
| | ---- | -----------------------------------------------------------------------

In the discussion under Investment Factors, the concepts of overall portfolio diversification and
non-correlation of asset classes are discussed and illustrated by the use of a generally accepted index that represents each asset category. Stocks are represented by the S&P 500 Index and MSCI EAFE Index; bonds are represented by the Lehman
Long-Term Government Bond Index; futures funds are represented by the Barclay CTA Index, and currencies are represented by the Barclay Currency Index. Because each index is a dollar-weighted average of the returns of multiple underlying investments,
the overall index return and risk may be quite different from the return of any individual investment. For example, the Barclay CTA Index is an unweighted index that attempts to measure the performance of the commodity trading advisor
industry. The Index measures the combined performance of all commodity trading advisors that have more than four years of past performance. For purposes of calculating the Index, the first four years of a commodity trading advisors performance
history is ignored. Accordingly, such index reflects the volatility and risk of loss characteristics of a very broadly diversified universe of advisors and not of a single fund or advisor. Therefore, the performance of Registrant will be different
than that of the Barclay CTA Index and the Barclay Currency Index.



| | (13) | Effectiveness of Risk Reduction Techniques
| | ---- | ------------------------------------------

Advisors may employ various risk reduction strategies designed to minimize the risk of their trading positions. A
substantial risk remains, nonetheless, that such strategies will not always be possible to implement and even when possible will not always be effective in limiting losses. If an Advisor analyzes market conditions incorrectly, or employs a risk
reduction strategy that does not correlate well with an Advisors investments, such risk reduction techniques could result in a loss, regardless of whether the intent was to reduce risk or increase return. These risk reduction techniques may
also increase the volatility of Registrant and/or result in a loss if the counterparty to the transaction does not perform as promised.



| | (14) | Volatility
| | ---- | ----------

Futures and forward contracts have a high degree of price variability and are subject to occasional rapid and substantial changes. Price movements of futures and forward contracts are influenced by, among
other things, changing supply and demand relationships, governmental, agricultural and trade programs and policies, and national and international political and economic events. Financial instrument and foreign currency futures prices are influenced
by, among other things, interest rates, changes in balances of payments and trade, domestic and international rates of inflation, international trade restrictions, and currency devaluations and revaluations. Consequently, you could lose all or
substantially all of your investment in Registrant.



| | (15) | Low Margin
| | ---- | ----------

Because low margin deposits are normally required, an extremely high degree of leverage is obtainable in futures trading. In addition, certain of the Advisors may trade using leverage through borrowing.
Consequently, a relatively small price movement in a futures contract may result in immediate and substantial losses. Thus, like other highly leveraged investments, any purchase or sale of a futures contract may result in losses that substantially
exceed the amount invested, although Unitholders will not be liable for losses that exceed their investment in Registrant.



| | (16) | Daily Price Fluctuation Limits
| | ---- | ------------------------------

Certain futures exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as daily price fluctuation limits or daily limits. During a
single trading day no trades may be executed at prices beyond the daily limit. Once the price of a contract for a particular futures contract has increased or decreased by an amount equal to the daily limit, positions in the futures contract cannot
be taken or liquidated unless both a buyer and seller are willing to effect trades at or within the limit. In the past, futures prices have moved the daily limit for several consecutive days with little or no trading. In addition, even if futures
prices have not moved the daily limit, the Advisors may not be able to execute futures trades at favorable prices if little trading in such contracts is taking place (a thin market). Similar occurrences, or regulatory intervention in the
futures markets, could prevent the Advisors from promptly liquidating unfavorable positions and adversely affect operations and profitability.



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| | (17) | Because Registrant Does Not Acquire Any Asset with Intrinsic Value, the Positive Performance of Your Investment Is Wholly Dependent Upon an Equal
and Offsetting Loss
| | ---- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------

Futures and forward trading is a risk transfer economic activity.
For every gain there is an equal and offsetting loss rather than an opportunity to participate over time in general economic growth. Unlike most alternative investments, an investment in Registrant does not involve acquiring any asset with intrinsic
value. Overall stock and bond prices could rise significantly and the economy as a whole prospers while Registrant trades unprofitably.



| | (18) | Trading on non-U.S. Exchanges and Currency Exchange Rate Fluctuations
| | ---- | ---------------------------------------------------------------------

Certain of the Advisors are expected to engage in some or all of its trading on non-U.S. exchanges and other markets
located outside of the United States (Foreign Markets). Trading in such Foreign Markets is not regulated by any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges.
There is no limit to the percentage of Trust assets that may be committed to trading on Foreign Markets. Neither CFTC regulations nor regulations of any other U.S. governmental agency apply to the actual execution of transactions on Foreign Markets.
Some Foreign Markets, in contrast to domestic exchanges, are principals markets in which performance is the responsibility only of the individual member with whom the trader has entered into a futures transaction and not of the
exchange or clearing corporation. Due to the absence of a clearing house system on certain Foreign Markets, such markets are significantly more susceptible to disruptions than are U.S. exchanges and, therefore, trading thereon potentially is subject
to greater risks than trading in the United States. In the case of trading on non-U.S. exchanges, Registrant will be subject to the risk of the bankruptcy or other inability of, or refusal by, such member or the counterparty to perform with respect
to such transactions. Any such failure could subject Registrant to substantial losses or substantial reductions of the profits they might otherwise have realized. The Trust also may not have the same access to certain trades as do various other
participants in non-U.S. markets.

Investors could incur substantial losses from trading in Foreign Markets
by Registrant to which such investors would not have been subject had the Advisors limited their trading to U.S. markets.

Furthermore, because Registrant will make Net Asset Value determinations in U.S. dollars, with respect to trading on Foreign Markets Registrant will be subject to the risk of fluctuation in the exchange
rate between the local currency and dollars and to the possibility of exchange controls. Unless Registrant hedges itself against fluctuations in exchange rates between the U.S. dollar and the currencies in which trading is done on such Foreign
Markets, any profits which Registrant might realize in such trading could be eliminated as a result of adverse changes in exchange rates and Registrant could even incur losses as a result of any such changes.

Although the CFTC is prohibited by statute from promulgating rules which govern in any respect any rule, contract term,
or action of any foreign futures exchange, the CFTC has adopted regulations to regulate the sale of foreign futures contracts and foreign options within the United States. These regulations may restrict Registrants access to Foreign Markets by
limiting the activities of certain participants in such markets with whom Registrant could otherwise have traded.

On an annual basis, each of the below programs traded approximately the following percentage of assets on foreign exchanges:



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|                                         |  |                            
|---------------------------------------- |  | ---------------------------
|Advisor/ Program                         |  | ApproximatePercentage/Range
|Graham K4D-15V Program                   |  | 30-40%*                    
|                                         | 
|Eagle Momentum Program                   |  | 30-40%                     
|                                         | 
|Ortus Currency Program                   |  | 0%                         
|                                         | 
|Krom Commodity
Diversified Program       |  | 30%                        
|                                         | 
|Crabel Two Plus Program                  |  | 40%                        
|                                         | 
|Tudor Quantitative
Commodities Strategy  |  | 40-50%                     
|                                         | 
|Paskewitz Contrarian
Stock Index Program |  | 0%                         

The
above ranges are only approximations with respect to each Program. Actual percentages may be either lesser or greater than above-listed. Past performance is not necessarily indicative of future results.

*Currently, in its allocation of maximum exposures to different markets and sectors, the exposure of Grahams
K4D-15V allocated to trades on foreign exchanges is set by its system at approximately 30-40%, meaning that if identifiable trends existed in all the markets Grahams K4D-15V trades over an entire year, the approximate percentage range of
assets of Grahams K4D-15V allocated for trading on foreign exchanges would be approximately 30-40%. The actual percentage of Grahams K4D-15V assets traded on foreign exchanges over any period of time, however, depends greatly on trading
conditions and can therefore vary widely. For example, to the extent there are no trends on domestic exchanges, Grahams K4D-15V would minimize its trading on them, thereby increasing the actual percentage of Grahams K4D-15V assets traded
on foreign exchanges. It is therefore quite possible that though the theoretical allocation to foreign markets is set at approximately 30-40% of its assets, Grahams K4D-15Vs actual percentage trading on foreign exchanges for a given
period may be much higher, in consequence of domestic markets offering fewer trading opportunities.



| | (19) | Failure or Lack of Segregation of Assets May Increase Losses
| | ---- | ------------------------------------------------------------

The CEA requires a futures commission merchant (FCM) or clearing broker, to segregate all funds
received from customers from such brokers proprietary assets. If the clearing brokers fail to do so, the assets of Registrant might not be fully protected in the event of their bankruptcy. Furthermore, in the event of a clearing brokers
bankruptcy, Registrant could be limited to recovering only a pro ratashare of all available funds segregated on behalf of such clearing brokers combined customer accounts, even though certain property specifically traceable to
Registrant (for example, Treasury bills deposited by Registrant with the clearing broker as margin) was held by such clearing broker. The clearing brokers have been the subject of certain regulatory and private causes of action.

In the event of an FCMs, bankruptcy, Registrant may recover a pro-rata share or none of its assets.



| | (20) | New Futures Contracts
| | ---- | ---------------------

As described above, only those futures designated by the CFTC may be traded on U.S. futures exchanges. Periodically, additional futures contracts may be designated as approved futures contracts by the
CFTC or other foreign regulatory authorities. The Advisors may determine that it is appropriate to trade in such new futures contracts on behalf of Registrant. Because such futures contracts will be new, there can be no assurance that the trading
strategies of the Advisors will be applicable to any new futures contracts in which such Advisors choose to trade. The markets in new futures contracts, moreover, have been historically both illiquid and highly volatile for some period of time after
the contract begins trading. This presents both significant profit potential and a corresponding high risk potential.



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| | (21) | Exchanges for Physicals
| | ---- | -----------------------

The Advisors may engage in exchanges for physicals. The CFTC and certain exchanges have from time to time examined the propriety under their regulations of transactions involving exchanges for physicals.
The Advisors in the future may be prevented from making use of this trading technique for Registrant.



| | (22) | Futures Risk Disclosure
| | ---- | -----------------------

Futures trading is speculative. Price movements of futures contracts are influenced by, among other things, changing supply and demand relationships, governmental, agricultural and trade programs and
policies, and national and international political and economic events. Changing crop prospects occasioned by unexpected weather or damages by insects and plant diseases make it difficult to forecast supplies of agricultural commodities. Similarly,
demand is also difficult to forecast due to such factors as variable world production patterns, unexpected purchases by foreign countries and continued changes in domestic needs. Financial instrument futures prices are influenced primarily by
changes in interest rates. Foreign currency futures prices are influenced by, among other things, changes in balances of payments and trade, domestic and international rates of inflation, international trade restrictions and currency devaluations
and revaluations. In addition, in the event that an Advisor with which Registrant invests trades on foreign exchanges, unless such entity hedges itself against fluctuations in the exchange rate between the United States dollar and the currencies in
which trading is done on some foreign exchanges, any profits which it might realize in trading on such exchanges could be eliminated by adverse changes in the exchange rate or it could incur losses as a result of any such fluctuations.



| | (23) | Forward Contracts, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC Regulation
| | ---- | ------------------------------------------------------------------------------------------

A forward contract is a contractual obligation to buy or sell a specified quantity of a currency or other futures at or
before a specified date in the future at a specified price and, therefore, is similar to a futures contract. However, because forward contracts are traded in unregulated markets between principals, Registrant also assumes the risk of loss from
counterparty nonperformance. In the future, Registrant may also trade swap agreements, hybrid instruments and other off-exchange contracts. Swap agreements involve trading income streams such as fixed rate or floating rate interest. Hybrids are
instruments that combine features of a security with those of a futures contract. The dealer market for off-exchange instruments is becoming more liquid. Because there is no exchange or clearing house for these contracts, Registrant will be subject
to the credit risk and nonperformance of the counterparty. Additionally, because these off-exchange contracts are not regulated by the CFTC, Registrant will not receive the protections that are provided by the CFTCs regulatory scheme.

There may be an additional risk due to the fact Registrant may trade foreign exchange contracts off-exchange
and, as such, does not have protection of an exchange. There is also the additional risk that the assets held with the clearing broker for trading off-exchange foreign currencies are not required to be segregated.

The Trust may also trade options on futures. Although successful options trading requires many of the same skills as
successful futures trading, the risks are different. Successful options trading requires a trader to assess accurately near-term market volatility because that volatility is immediately reflected in the price of outstanding options. Correct
assessment of market volatility can therefore be of much greater significance in trading options than it is in many long-term futures strategies where volatility does not have as great an effect on the price of a futures contract.



| | (24) | Foreign Exchange Currency Trading is Not Subject to CFTC Regulation
| | ---- | -------------------------------------------------------------------

Certain Advisors (Graham, Ortus and Crabel, in particular) will trade their programs by entering into spot and forward
transactions involving currencies with United States and foreign banks (referred to as the interbank market) and currency dealers. Certain other Advisors (Krom, for example) may enter into such transactions for hedging purposes. As with
the risks involved in forward contracts (see above), trading in spot and forward foreign exchange transactions is not regulated by the CFTC and such contracts are not traded on or guaranteed by an exchange or its clearing house.

Certain other Advisors (Eagle, in particular) may trade foreign exchange through futures and/or exchange for physicals.
Such transactions are regulated by the CFTC and are traded on and guaranteed by an exchange.



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| | (25) | Options Trading
| | ---- | ---------------

Certain of the Advisors trading will include the trading of options contracts, including the trading of options on futures contracts, physical commodities and securities (Underlying
Interests). Such options trading may take place on U.S. and foreign exchanges. An option on an investment gives the purchaser of the option the right but not the obligation to take a position at a specified price (the striking,
strike or exercise price) in an investment. A call option gives the purchaser the right (but not the obligation) to buy the Underlying Interest during a certain period of time for a fixed price. A put
option gives the purchaser the right (but not the obligation) to sell the Underlying Interest during a certain period of time for a fixed price. An option is purchased for its intrinsic value, if any, plus a premium, representing the time value of
that option. Unless the price of the Underlying Interest increases in the case of a call option (or decreases in the case of a put option) by at least the time value of that option, Registrant may lose the entire amount of such premium. (The more
out-of-the-money an option is, the greater the increase (decrease) would have to be before Registrant would recover the entire amount of such premium.) Conversely, if an Advisor sells an option (whether a call or a put), Registrant will be credited
with the sales price but will have to deposit margin due to its contingent liability to make or take delivery of the Underlying Interest in the event the option is assigned. The seller (or writer) of an option is obligated to take a
position at a specified price opposite to the option buyer if the option is exercised. Thus, in the case of a call option, the seller must be prepared to sell the underlying investment at the strike price if the buyer should exercise the option. A
seller of a put option, on the other hand, stands ready to buy the underlying investment at the strike price. A trader who sells options may be subject to loss in an amount equal to (or, on rare occasions, greater than) the entire price movement
that occurs in the Underlying Interest (less any premium received) from the date he/she sold the option until the date he liquidates such position.

Both the purchasing and selling of call and put options entail risks. For the purchaser of an option, unless the price of the underlying investment increases (in the case of a call option) or decreases
(in the case of a put option) by at least the time value of that option, Registrant may lose the entire amount of such premium. (The more out-of-the-money an option is, the greater the increase (decrease) would have to be before Registrant would
recover the entire amount of such premium.) If an Advisor sells an option (whether a call or a put), Registrant will be credited with the sales price but will have to deposit margin due to its contingent liability to make or take delivery of the
underlying investment in the event the option is assigned. Although an option buyers risk is limited to the amount of the original investment for the purchase of the option, an investment in an option may be subject to greater fluctuation than
is an investment in the underlying investments. In theory, an uncovered call writers loss is potentially unlimited, but in practice the loss is limited by the term of existence of the call. The risk for a writer of a put option is that the
price of the underlying investment may fall below the exercise price. Certain of the Advisors may engage in substantial option activities.

The ability to trade or exercise options may be restricted in the event that trading in the underlying investment becomes restricted. Options trading on U.S. futures exchanges is subject to regulation by
both the CFTC and such exchanges. Options trading on foreign exchanges is not regulated by the CFTC.



| | (26) | Derivative Instruments in General
| | ---- | ---------------------------------

The Advisors may use various derivative instruments, including futures, options, forward contracts, swaps (including asset swaps, total return swaps and credit default swaps) and other derivatives
(including credit derivatives and synthetic securities) that may be volatile and speculative. Certain positions may be subject to wide and sudden fluctuations in market-value, with a resulting fluctuation in the amount of profits and losses. Use of
derivative instruments presents various risks, including the following:

(i) Tracking  When used
for hedging purposes, an imperfect or variable degree of correlation between price movements of the derivative instrument and the underlying investment sought to be hedged may prevent the Advisor from achieving the intended hedging effect or expose
Registrant to the risk of loss.

(ii) Liquidity Derivative instruments, especially when traded
in large amounts, may not be liquid in all circumstances, so that in volatile markets the Advisor may not be able to close out a position without incurring a loss.

(iii) Leverage  Trading in derivative instruments can result in large amounts of leverage. Thus, the
leverage offered by trading in derivative instruments may magnify the gains and losses experienced by Registrant and could cause its Net Asset Value to be subject to wider fluctuations than would be the case if the Advisor did not use the leverage
feature in derivative instruments.



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There is no guarantee that the counterparty to a derivatives transaction
will perform, or that it has accurately represented its creditworthiness. Trading in derivatives may subject Registrant to additional legal risks, operations risks and valuation risks.



| | (27) | Over-the-Counter Trading
| | ---- | ------------------------

Investments to be purchased or sold by the Advisors will include investments not traded on an exchange, including, but not limited to, swap transactions and spot and forward foreign currency transactions.
OTC options, unlike exchange-traded options, are two-party contracts with price and other terms negotiated by the buyer and seller. The risk of nonperformance by the obligor on such an instrument may be greater and the ease with which Registrant can
dispose of or enter into closing transactions with respect to such an instrument may be less than in the case of an exchange-traded instrument. In addition, significant disparities may exist between bid and asked prices for
investments that are not traded on an exchange. Investments not traded on exchanges are also not subject to the same type of government regulation as exchange traded instruments, and many of the protections afforded to participants in a regulated
environment may not be available in connection with such transactions. To the extent that Registrant engages in these transactions, Registrant must rely on the creditworthiness of its counterparty. In certain instances, counterparty or credit risk
is affected by the lack of a central clearinghouse for foreign exchange trades. To reduce their credit risk exposure, Registrant may trade in the forward foreign currency market through money center banks and leading brokerage firms.

The recently passed Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act)
will affect the manner in which OTC swap transactions are traded and the credit risk associated with such trading. Depending upon actions taken by regulatory authorities, these changes may also affect the manner of trading of OTC foreign currency
transactions. The general effective date of the derivatives portion of the Dodd-Frank Act is one year following its enactment. Transactions that have been entered into prior to implementation of the provisions of the Dodd-Frank Act will remain in
effect. Accordingly, even after the new regulatory framework is fully implemented, the risks of OTC foreign exchange transactions will continue to be considerations with respect to transactions entered into prior to the implementation of the
provisions of the Dodd-Frank Act.

The percentage of Registrants positions that are expected to
constitute forward currency contracts can vary substantially from month to month.

Each of the programs trades
approximately the following percentages in the OTC trading:



| |  |  | Eagle has not historically allocated more than 10% of its assets under management in its Eagle Momentum Program to OTC instruments;
| | - |  | -----------------------------------------------------------------------------------------------------------------------------------



| |  |  | Graham allocate a large majority of its foreign exchange trading to OTC instruments;
| | - |  | ------------------------------------------------------------------------------------



| |  |  | Ortus expects to allocate 100% of the assets allocated to it to OTC instruments;
| | - |  | --------------------------------------------------------------------------------



| |  |  | Krom does not allocate any of its assets in its Commodity Diversified Program to OTC trading;
| | - |  | ---------------------------------------------------------------------------------------------



| |  |  | Crabel allocates approximately 15% of the volatility in the Two Plus Program to OTC trading;
| | - |  | --------------------------------------------------------------------------------------------



| |  |  | Tudor does not allocate any of its assets to OTC trading; and
| | - |  | -------------------------------------------------------------



| |  |  | Paskewitz does not allocate any of its assets to OTC trading.
| | - |  | -------------------------------------------------------------



| | (28) | Possible Illiquid Markets May Exacerbate Losses
| | ---- | -----------------------------------------------

Futures and forward positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a
specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption, such as when foreign governments may take or be subject to political actions which disrupt the markets in their currency or major
exports, can also make it difficult to liquidate a position. Periods of illiquidity have accrued from time-to-time in the past, such as in connection with Russias default on its sovereign debt in 1998. Such periods of illiquidity and the
events that trigger them are difficult to predict and there can be no assurance that any Advisor will be able to do so.



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There can be no assurance that market illiquidity will not cause losses for
Registrant. The large size of the positions which an Advisor is expected to acquire for Registrant increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.

The risk of loss due to potentially illiquid markets is more acute in respect of OTC instruments than in
respect of exchange-traded instruments because the performance of those contracts is not guaranteed by an exchange or clearinghouse and Registrant will be at risk to the ability of the counterparty to the instrument to perform its obligations
thereunder. Because these markets are not regulated, there are no specific standards or regulatory supervision of trade pricing and other trading activities that occur in those markets.



| | (29) | Default and Counterparty Risk
| | ---- | -----------------------------

Certain of the markets in which the Advisors will effect transactions are OTC or interdealer markets. Foreign exchange transactions, forward contracts, swaps, derivative or synthetic
instruments or other OTC transactions are not regulated by the CEA and dealer are not obligated to segregate customer assets. As a result, Unitholders do not have such basic protections with respect to the trading in such OTC investments by
Registrant. This lack of regulation in these markets could expose Registrant in certain circumstances to significant losses in the event of trading abuses or financial failure by the counterparties.

Such OTC trading may expose Registrant to credit risk with regard to parties with which it trades and the risk of
settlement default. Unlike exchange-traded transactions that generally are backed by clearing organization guarantees, daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries, the
participants in OTC transaction are typically not subject to credit evaluation and regulatory oversight as are Unitholders of exchange based markets. This exposes Registrant to the risk that a counterparty will not settle a transaction
in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing Registrant to suffer a loss. In addition, in the case of a default
of a counterparty, Registrant could become subject to adverse market movements while replacement transactions are executed. Such counterparty risk is accentuated for contracts with longer maturities where events may intervene to prevent
settlement, or where Registrant has concentrated its transactions with a single or small group of counterparties. The Trust may not have an internal credit function that evaluates the creditworthiness of their counterparties. The ability of
Registrant to transact business with any one or number of counterparties, the lack of any meaningful and independent evaluation of such counterparties financial capabilities and the absence of a regulated market to facilitate settlement may
increase the potential for losses by Registrant.

It is expected that all investments deposited with
custodians or Brokers will be clearly identified as being assets of Registrant and should not expose Registrant to a credit risk with regard to such parties. However, it may not always be possible to achieve this and there may be practical or time
problems associated with enforcing Registrants rights to its assets in the case of an insolvency of any such party.



| | (30) | Investment of Non-Margin Assets May Increase Risks to Registrant
| | ---- | ----------------------------------------------------------------

The Managing Owner may invest certain non-margin assets (directly or indirectly through investment funds) in certain
securities permitted by applicable rules and regulations. While such investments may increase interest income, and although the types of securities that may be invested in are limited by CFTC regulations, investment in such securities may be riskier
than having 100% of the proceeds of the offering of the Units deposited in cash in segregated accounts in the name of Registrant at the clearing brokers or another eligible financial institution. As a result, the returns on the investment of
non-margin assets may be lower than anticipated, which would cause the cost of investment in the Units to increase.



| | (31) | Losses by an Advisor Could Deplete All of the Assets of Registrant, Including Assets that Were Allocated for Management by Another Advisor
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------------

Because Registrant allocates its assets to managed accounts, it is theoretically possible
that catastrophic losses by a single Advisor to a managed account could deplete all the assets of Registrant, even those assets that were allocated for management to other Advisors. Catastrophic losses by an Advisor to a managed account in excess of
the amount of the assets allocated to such Advisor could occur as a result of the high degree of embedded leverage in the instruments being traded and the trading strategies being employed by each of the Advisors. If such losses were to occur, they
could be liabilities of Registrant generally and all of the assets of Registrant could be available to Registrants creditors to satisfy claims attributable to the Advisor whose strategies resulted in such catastrophic losses.



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| | (32) | Increased Costs of Frequent Trading
| | ---- | -----------------------------------

Many of the strategies employed by the Advisors may require the taking of frequent trading positions. Therefore,
portfolio turnover and brokerage commission expenses may significantly exceed those of other investment entities of comparable size, and affect Registrants earnings.



| | (33) | Brokerage
| | ---- | ---------

When an Advisor selects Brokers to execute transactions, it is not required to solicit competitive bids or seek the lowest available commission cost. When it negotiates commission rates, the Advisor may
also consider the financial stability and reputation of Brokers and the brokerage and research services provided by such Brokers; however, the Managing Owner does not and an Advisor may not necessarily directly or indirectly benefit from the
services provided. An Advisor may direct brokerage commissions on purchases or sales of investments to Brokers who assist in the raising of capital for such Advisor, consistent with best execution.



| | (34) | Suspensions of Trading
| | ---- | ----------------------

Exchanges typically have the right to suspend or limit trading in any instrument traded on the exchange. A suspension could render it impossible to liquidate positions and thereby expose Registrant to
losses.



| | (35) | Currency and Exchange Rate Risks
| | ---- | --------------------------------

Since certain of the Advisors may invest in investments denominated or quoted in currencies other than the U.S. Dollar, changes in currency exchange rates may affect the value of Registrants
investments and the unrealized appreciation or depreciation of such investments. Among the factors that may affect currency value are trade balances, the level of short-term interest rates, differences in relative values of similar assets in
different currencies, long-term opportunities for investment and capital appreciation and political developments. An Advisor may seek to protect the value of some portion or all of its portfolio holdings in Registrant against currency risks by
engaging in hedging transactions, if available, cost-effective and practicable. The Trust may enter into forward contracts on currencies, enter into swaps, purchase put and call options on currencies, or engage in any combination of the foregoing.
There is no certainty that such strategies will be effective. Moreover, there is no certainty that instruments suitable for hedging currency shifts will be available at the time when Registrant wishes to use them or that, even if available,
Registrant will elect to utilize a hedging strategy.

Since OTC instruments are not guaranteed by an exchange
or clearing house, a default on such an instrument would deprive an Advisor of unrealized profits or force an Advisor to cover its commitments for purchase or resale, if any, at the current market price. Lastly, Registrant is not responsible for the
effects that fluctuations in the value of currencies other than the dollar may have on subscription amounts to Registrant or redemption proceeds paid to a Unitholder that has requested the redemption of part or all of his, her or its Unit in
Registrant.



| | (36) | Valuation of Investments
| | ---- | ------------------------

While pricing information is generally available for investments in which Registrant may invest, there is currently no centralized source for pricing information for certain of non-exchanged-traded
investments and reliable pricing information may at times not be available from any source. Prices quoted by different sources are subject to material variation. For purposes of calculating Registrants net capital appreciation and net capital
depreciation and valuing investments, valuations of investments for which pricing information cannot be obtained will be made by Registrants administrator based upon such information as is available, including the advice of an Advisor.



| | (37) | Institutional Risk
| | ---- | ------------------

The institutions (such as brokerage and trading firms and banks) with which Registrant does business, or to which investments have been entrusted for custodial purposes, could encounter financial
difficulties. This could impair the operational capabilities or the capital position of Registrant, or create unanticipated trading risks. The Trust will attempt to limit its transactions to well-capitalized and established banks and brokerage firms
in an effort to mitigate such risks. Funds maintained at a Broker as margin to collateralize forward positions are not segregated and therefore are subject to the claims of the general creditors of the Broker in the event of its bankruptcy.



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| | (38) | Strategy-Specific Risks
| | ---- | -----------------------

Strategy risk may arise in the event of the failure or deterioration of an entire strategy such that one or more Advisors employing that strategy suffer significant losses. Losses may result from
excessive concentration by the Advisors in the same investment or broad events that adversely affect particular strategies and losses may arise if Advisors are unable to hedge such risks or respond to market conditions in a timely manner.



| | (39) | Trading Facilities and Electronic Trading
| | ---- | -----------------------------------------

Most open-outcry and electronic trading facilities are supported by computer-based component systems for the
order-routing, execution, matching, registration and clearing of trades. As with all facilities and systems, they are vulnerable to disruption or failure. The Trusts ability to recover losses may be subject to limits on liability imposed by
the system provider, the market, the clearing house and/or Unitholder firms.

Trading on an electronic system
may differ not only from trading in an open-outcry market but also from trading on other electronic systems. If an Advisor undertakes transactions on an electronic trading system on behalf of Registrant, Registrant will be exposed to risks
associated with the system including the failure of hardware and software. The result of any system failure may be that the Advisors order is either not executed according to its instructions or it is not executed at all.



| | (40) | Advisors Trading Independently of Each Other May Reduce Profit Potential and Insurance Risks through Offsetting Positions
| | ---- | -------------------------------------------------------------------------------------------------------------------------

The Advisors trade entirely independently of each other. Advisors may, from time to time,
take opposite positions, eliminating any possibility that an investor that holds Units may profit from these positions considered as a whole but incurring the usual expenses associated with taking such positions. The Advisors programs may, at
times, be similar to one another thereby negating the benefits of investing in more than one Advisor by purchasing Units, which may, in fact, increase risk. Two or more Advisors may compete with each other to acquire the same position, thereby
increasing the costs incurred by each of them to take such position. It is also possible that two or more Advisors, although trading independently, could experience drawdowns at the same time, thereby negating the potential benefit associated with
exposure to more than one Advisor and more than one program. The Trusts multi-advisor structure will not necessarily control the risk of speculative futures or forward trading. Multi-advisor funds may have significant volatility and risk
despite being relatively diversified among trading advisors.



| | (41) | Deleveraging of the Financial Markets
| | ---- | -------------------------------------

One of the primary consequences of the market disruptions of 2008 and 2009 has been the forced deleveraging of numerous
financial instruments, including private investment funds, in a process which is ongoing. Not only are substantial losses being incurred in the deleveraging process, but also the available opportunities in the markets in which Advisors trade may be
reduced on a long-term basis as a result of such deleveraging.



| | (42) | Disruptions in the Private Investment Fund Sector
| | ---- | -------------------------------------------------

2007, 2008 and 2009 witnessed an unprecedented level of losses as well as redemption suspensions and other
emergency investor liquidity adjustments among a large number of private investment funds. It is not possible to predict what, if any, structural changes may result from these events, but any such changes could be material and adverse
for Registrant.



| | (43) | Lehman Brothers Bankruptcies
| | ---- | ----------------------------

The Lehman Brothers bankruptcies in September 2008 led to widespread chaos in the global financial markets, as well as significant outright losses as numerous market participants found themselves in the
position of general creditors of Lehman Brothers even in respect of assets which they had deposited with Lehman Brothers. The effects of the Lehman Brothers bankruptcies, as well as the ensuing events - including Bank of Americas acquisition
of Merrill Lynch &, Co. Inc., Wells Fargos purchase of Wachovia, and Morgan Stanley & Co. Inc. and Goldman Sachs & Co., Inc. (as well as American Express Inc.) opting to become bank holding companies -
led to a dramatic contraction in credit (including even inter-bank lending) and steep monetary losses in the financial sector. The ramifications of the Lehman Brothers bankruptcies are unlikely to be resolved for a number of years, but could be
adverse to the prospects for Registrant and/or private investment funds in general. Moreover, the Lehman Brothers bankruptcies have demonstrated



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the systemic risks of any comparable failure. It is not possible to predict if or when one or more such failures might occur. Were this to happen, the results could be materially adverse to
Registrant.



| | (44) | Repurchase and Reverse Repurchase Agreements
| | ---- | --------------------------------------------

The Advisors may engage in repurchase and reverse repurchase agreements. In the case of default by the transferee of a
security in a reverse repurchase agreement, the transferor runs the risk that the transferee may not deliver the security when required. In the event of the bankruptcy or other default of a transferor of a security in a repurchase agreement, the
transferee could experience both delays in liquidating the underlying security and losses, including: (a) a possible decline in the value of the collateral during the period while the transferee seeks to enforce its rights thereto;
(b) possible subnormal levels of income and lack of access to income during this period; and (c) expenses of enforcing its rights.



| | (45) | Managing Owner
| | ---- | --------------

The Managing Owner has complete discretion in allocating Registrants assets to Advisors. The Trusts success depends in turn, to a great extent, on the Managing Owners ability and the
ability of its principals, specifically Messrs. Goodman and Shewer, to select Advisors and allocate assets. If Registrant lost the services of the Managing Owner or both of their principals, it might have to be terminated by way of compulsory
redemption of all issued and outstanding Units in Registrant.

In addition, the Managing Owner and its
principals and employees will devote such time as they deem necessary for the efficient investment activities of Registrant. However, the Managing Owner and its principals and employees will be involved, from time to time, with other investment
management activities and will not devote all of their time specifically to Registrants business. Potential investors should note, however, that the Managing Owner employs a broad group of investment and administrative professionals.



| | (46) | Reliance on the Advisors
| | ---- | ------------------------

To the exclusion of the Unitholders and the Managing Owner, each Advisor is responsible for making all futures, forwards, and options trading decisions on behalf of the assets allocated to it by
Registrant. The Managing Owner has no control over the specific trades the Advisors may make, leverage used, risks and/or concentrations assumed or whether the Advisors will act in accordance with the disclosure documents or descriptive materials
furnished by them to the Managing Owner. The Managing Owner can provide no assurance that the trading programs employed by the Advisors will be successful. Therefore, as an investor in Registrant, Unitholders will be relying almost exclusively on
the judgment and ability of the Advisors to invest Registrants assets.



| | (47) | Experience and Other Clients
| | ---- | ----------------------------

The Advisors and their principals have various levels of experience. Some Advisors may have little or no experience managing customer assets. Moreover, the Advisors may also manage other accounts
(including other funds and accounts in which the Advisors may have an interest) which may employ different or similar trading strategies, and which together with accounts already being managed could increase the level of competition for the same
trades the Advisors might otherwise make, including the priorities of order entry. This situation may increase the level of competition for the trades that might be suitable for Registrant. These factors could make it costly or impossible to take or
liquidate a position in a particular investment.



| | (48) | Limited Knowledge about Advisors
| | ---- | --------------------------------

Although the Managing Owner will investigate, or causes the investigation of, the Advisors with which Registrant will invest, in general however, due to the confidential and/or proprietary nature of most
of the information, such as trading methods and strategies and performance tables, the Managing Owner is relying on each Advisor for the accuracy thereof. Accordingly, neither Registrant nor the Managing Owner can make any representation regarding
the completeness, accuracy or adequacy of such information.



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| | (49) | Advisors Businesses Dependent on Key Individuals
| | ---- | -------------------------------------------------

Trading decisions made by each Advisor may be based on the judgment of one or a limited number of key individuals (each,
a Key Man). If any Key Man were to die or become incapacitated or otherwise terminate his relationship with an Advisor, such event could have a material adverse effect on Registrant and its performance.



| | (50) | New Advisors
| | ---- | ------------

The Managing Owner will actively manage Registrants investment portfolio, which may result in frequently changing either the composition of the portfolio or the allocation of Registrants
assets among the Advisors comprising Registrants investments. The Trust may select a new Advisor without prior notice to Unitholders (although the Managing Owner will provide notice, including a supplement to this Memorandum, within 21
calendar days of any such change to existing Unitholders and solicited prospective investors). In addition, it is possible that an Advisor that is retained by Registrant, following a decline in Registrants assets might receive an incentive fee
based on trading profits it earned, even though some or all of those trading profits were merely a recovery of losses incurred by the Advisor(s) that earlier managed Registrants assets.



| | (51) | Advisor Restrictions
| | ---- | --------------------

There are a number of Advisors whose services are not generally available to the investing public. These Advisors generally place stringent restrictions on the number of persons whose money they will
manage. As a result, certain Advisors to which the Managing Owner would like to allocate Trust assets may limit, or not be able to accept any, allocation of Trust assets. This could adversely affect Registrants investment strategy and,
consequently, its returns.

Moreover, there may be times when Registrant will allocate assets with respect to
a particular Advisor in a different manner than another fund or account managed by the Managing Owner or its affiliates. For instance, to satisfy redemption requests, the Managing Owner may withdraw Trust assets from one Advisor while a fund
operated by an affiliate of the Managing Owner may be allocating additional assets to that same Advisor. Consequently, Registrant could incur losses or lose out on certain gains from which other affiliated funds or accounts may benefit.

In addition, Advisors may have restrictions in their governing documents (e.g., articles of association or partnership
agreements) that limit Registrants ability to withdraw funds from or invest with the relevant Advisor, other than at specified times such as the end of the year. The Managing Owners ability to withdraw funds from or invest funds with a
particular Advisor with such restrictions will be limited and such restrictions will limit the Managing Owners flexibility to reallocate such assets among Advisors.



| | (52) | Trust Trading is Not Transparent
| | ---- | --------------------------------

The trading decisions in respect of Registrant are made by one or more Advisors. While the Managing Owner receives daily trade confirmations from the clearing broker and foreign exchange dealers, such
information is not provided to Unitholders and Registrants trading results are reported to the Unitholders monthly. Accordingly, an investment in Registrant does not offer you the same transparency, i.e., an ability to review all
investment positions daily, that a personal trading account offers. The Managing Owner may (but is under no obligation to) provide estimated daily or weekly values to Unitholders.



| | (53) | Incentive Fee Agreements with Advisors
| | ---- | --------------------------------------

The agreements with the Advisors provide for fees or a share of profits to such Advisors based upon appreciation,
including unrealized appreciation, in the value of Registrant managed by such Advisor, but without penalties for realized losses or decreases in value of Registrant. Generally, the Advisors compensation or profit share is determined separately
for each quarter or year, although agreements typically are obtained to carry forward losses to subsequent periods in determining the payment for such periods. Such arrangements may give the Advisors incentives to make investments for Registrant
that are unduly risky or speculative. Also, such incentive or performance based payments may be paid to Advisors who show net profits, even though Registrant, as a whole, incurs a net loss.



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| | (54) | Size of Advisors Accounts May Make Executions Difficult
| | ---- | --------------------------------------------------------

It may be difficult or impossible for an Advisor to take or liquidate a position in a particular investment in accordance
with its trading systems, methods or strategies at the then current market price due to the size of the accounts that are or may be managed by the Advisor.



| | (55) | Possible Adverse Effects of Increasing the Assets Managed by the Advisors
| | ---- | -------------------------------------------------------------------------

An Advisor may be limited in the amount of assets which it can successfully manage by both the difficulty of executing
substantially larger trades in order to reflect larger equity under management and the restrictive effects of legal position limits or restraints on disposition and possible market illiquidity. The rates of return recognized on the investment and/or
trading of a limited amount of assets may have little relationship to those an Advisor can reasonably expect to achieve trading larger amounts of funds. An Advisor may not have agreed to limit the amount of additional equity which it may manage and,
therefore, there can be no assurance that the Advisors strategies will not be adversely affected by the additional equity represented by additions to Registrants account or otherwise.

The Managing Owner may reallocate Registrants assets among the Advisors in such proportions and at such times as it
determines. The Trusts assets, therefore, may be allocated unequally among the Advisors, which may adversely affect the performance results of Registrant.



| | (56) | Multiple Advisors
| | ---- | -----------------

Each of the Advisors to which the Managing Owner allocates Registrants assets (either directly or indirectly) makes trading decisions independently of each other. It is possible that the Advisors
could hold opposite positions in the same or similar investment at or about the same time or during the same period of time. In that event, Registrant could incur multiple brokerage commissions and other trading-related expenses with no net change
in its holdings. It is also possible that the Advisors could enter identical orders for the same positions, thereby competing for the same trades. This competition could prevent orders for Registrant from being executed at desired prices.

The Managing Owner may reallocate Registrants assets among the Advisors in such proportions and at such
times as it determines. The Trusts assets, therefore, may be allocated unequally among the Advisors, which may adversely affect the performance results of Registrant.



| | (57) | No Assurance of any of the Advisors Continued Services to Registrant
| | ---- | ---------------------------------------------------------------------

You cannot be assured that any Advisor will be willing or able to continue to provide advisory services to Registrant for
any length of time. There is severe competition for the services of qualified trading advisors, and Registrant may not be able to retain satisfactory replacement or additional trading advisors on acceptable terms or a current Advisor may require
Registrant to pay higher fees in order to be able to retain such Advisor. The Managing Owner may either terminate an Advisor upon 30 days prior written notice, or upon shorter notice, if for cause. Each Advisor has the right to terminate the
Advisory Agreement in its discretion at any time for cause.



| | (58) | Competition
| | ---- | -----------

The investment management industry in general, and the investment markets in which Advisors will focus, are extremely competitive. In pursuing their investment and trading methods and strategies, the
Advisors will compete with futures and securities firms, including many of the larger investment advisory and private investment firms, as well as institutional and industry investors and, in certain circumstances, market-makers, banks and
broker-dealers. In relative terms, the Advisors may have little capital and may have difficulty in competing in markets in which its competitors have substantially greater financial resources, larger research staffs, and more investment
professionals than any Advisor has or expects to have in the future. In any given transaction, investment and trading activity by other firms will tend to narrow the spread between the price at which an investment may be purchased by Registrant and
the price it expects to receive upon consummation of the transaction.



| | (59) | Past Performance Not Indicative of Future Results
| | ---- | -------------------------------------------------

The Trusts results will depend on the availability of suitable investment opportunities for Registrant and the
performance of its investments. The Trusts past performance will not necessarily be indicative of its future results. You



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should not rely on the past performance of Registrant, the Managing Owner or any Advisor in deciding to invest in Registrant.



| | (60) | Limited Liquidity and Transferability of Units
| | ---- | ----------------------------------------------

An investment in Registrant involves limited liquidity and the Units are not freely transferable. There is no secondary
market for the Units and none is expected to develop. While the Units may be redeemed, there are restrictions, and fees may be assessed. For example, Units may be redeemed only as of the each Valuation Day provided a Request for Redemption is
received at least five business days prior to the end of such month excluding the last business day of the month.

Transfers of Units are subject to limitations, such as 30 days advance notice of any intent to transfer. Also, the Managing Owner may deny a request to transfer if it determines that the transfer
may result in adverse legal or tax consequences for Registrant.

Unitholders thus may not be able to liquidate
their investment in the event of an emergency or for any other reason, and Units may not be readily accepted as collateral for a loan.



| | (61) | Compulsory Redemption
| | ---- | ---------------------

The Managing Owner, in its sole discretion, upon 48 hours prior written notice to a Unitholder, may compel redemption of any or all of a Unitholders Units for any reason.



| | (62) | Substantial Charges
| | ---- | -------------------

The Units are subject to fees and expenses for, among other things, the Managing Owners Management Fee, and other Trust offering, administrative and operating expenses, among other expenses
(including AlphaMetrix360, LLCs fee), and their share of the fees and expenses of Registrants. With the exception of incentive fees payable to the Advisors, all of the fees and expenses of Registrant and the Advisors will be paid without
regard to the profitability of Registrants or the Advisors. Accordingly, it will be necessary for the Advisors to make substantial trading profits to avoid depletion of Registrants assets. The Trusts expenses thus may constitute a higher
percentage of net assets than expenses associated with other investment products and entities that do not use a multi-manager approach.

In addition, Registrant may pay an incentive fee to an Advisor even if Registrants assets as a whole were not to appreciate. First, incentive fees are paid on an Advisor-by-Advisor basis without
regard to the profitability of any other Advisor or Registrant as a whole. Second, incentive fees are not repaid to Registrant if an Advisor that was paid an incentive fee subsequently experiences losses. Third, incentive fees are paid on net
profits, including net unrealized trading profits, which may not be realized if an investment position with unrealized profits declines or becomes unprofitable before it is closed out.



| | (63) | Determination of Net Profit and Loss
| | ---- | ------------------------------------

In order to determine net profits and losses, the investment positions and other assets held by Registrant must be
valued. In valuing Registrants assets, AlphaMetrix360, LLC will receive input from third parties (including pricing services, data providers and Brokers) and generally will rely on such information in determining valuations. The Managing Owner
will review all valuations and calculations with AlphaMetrix360, LLC in accordance with Registrants valuation policies and procedures. Should these valuations prove to be incorrect, Registrant may experience losses.



| | (64) | Adjustments
| | ---- | -----------

The Trust will permit redemptions to be made and subscriptions to be accepted at times other than at the end of a Fiscal Year. At any such time, an interim closing effectively will occur on the basis of
unaudited financial statements. Because there may be a greater risk of error when unaudited financial statements are used, individual Unitholders may be adversely affected by errors, if any, in such unaudited financial statements. The Managing Owner
is authorized to make an adjustment in the determination of net profit or net loss if the Managing Owner, in good faith, considers such adjustment to be necessary and equitable to correct material errors in unaudited financial information. However,
the Managing Owner may not be aware of an error before a Unitholder redeems its Unit, and there may be other limitations on the Managing Owners ability to make any adjustment.



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| | (65) | Reserve for Contingent Liabilities
| | ---- | ----------------------------------

Under certain circumstances, Registrant may find it necessary to set up a reserve for contingent liabilities. If that
occurs, this may be taken into account in the calculation of Net Asset Value. Similar provisions may be contained in the governing instruments for Advisors. These provisions could be activated if Registrant or one of the Advisors were involved in
litigation or subject to an audit, any of which could create significant expenses to Registrant.



| | (66) | Various Actual and Potential Conflicts of Interest May Be Detrimental to Unitholders
| | ---- | ------------------------------------------------------------------------------------

The Trust is subject to actual and potential conflicts of interests involving the Managing Owner, the Advisors, various
brokers and selling agents. The Managing Owner, the Advisors, and their respective principals, all of which are engaged in other investment activities, are not required to devote substantially all of their time to Registrants business, which
also presents the potential for numerous conflicts of interest with Registrant. As a result of these and other relationships, parties involved with Registrant have a financial incentive to act in a manner other than in the best interests of
Registrant and its Unitholders. The Managing Owner has not established any formal procedure to resolve conflicts of interest. Consequently, investors will be dependent on the good faith of the respective parties subject to such conflicts to resolve
them equitably.

The Trust may be subject to certain conflicts with respect to its clearing brokers, its
futures brokers, and any executing broker including, but not limited to, conflicts that result from receiving greater amounts of compensation from other clients, purchasing opposite or competing positions on behalf of third party accounts traded
through the clearing broker, the futures broker and executing brokers.

The Selling Agent and the
Correspondent Selling Agents will be entitled to ongoing compensation as a result of their clients holding Units, so a conflict exists between their interest in maximizing compensation and in advising their clients to make investment decisions in
such clients best interests.

The Managing Owner and the Selling Agent are both owned by Kenmar Holdings
Inc. (KHI), which could give rise to conflicts of interest because their compensation in each role is based on the Net Asset Value of Units outstanding. Like the employees of the Correspondent Selling Agents, the employees of the
Selling Agent may have a conflict of interest between acting in the best interest of their clients and assuring continued compensation to their employer.



| | (67) | Cross Class Liabilities.
| | ---- | ------------------------

The Classes issued within Registrant are not separate legal entities. Each separate Class of Units will represent a separate account and will be maintained with separate accounting records. However,
Registrant will be treated as one entity. Thus all of the assets of Registrant will be available to meet all of the liabilities of Registrant, regardless of the separate Class of Units to which such assets or liabilities are attributable. If the
assets attributable to one Class of Units of Registrant were completely depleted by trading losses and a trading deficit remained, a creditor could enforce a claim against the other Classes of Registrant. In practice, cross series liability will
usually only arise where any Class becomes insolvent or exhausts it assets and is unable to meet all of the liabilities attributable to such Class. At the date of this Memorandum, the Managing Owner is not aware of any such existing or contingent
liability.



| | (68) | No Current Distributions
| | ---- | ------------------------

The Trust does not presently intend to make distributions other than in the form of payment of redemption proceeds. As a result, an investment in Registrant is not suitable for an investor seeking current
returns for financial or tax planning purposes.



| | (69) | Substantial Redemptions
| | ---- | -----------------------

In the event that there are substantial redemptions from Registrant, it may be more difficult for Registrant to generate the same level of profits operating on a smaller capital base. Under such
circumstances, in order to provide sufficient funds to pay redemptions, the Managing Owner might be required to cause the Advisors liquidate positions at an inappropriate time or on unfavorable terms.



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| | (70) | Possibility of Termination of Registrant Before Expiration of its Stated Term
| | ---- | -----------------------------------------------------------------------------

The Managing Owner may withdraw from Registrant upon 120 days notice, which would cause Registrant to terminate
unless a substitute managing owner were obtained. Other events, such as a long-term substantial loss suffered by Registrant, could also cause Registrant to terminate before the expiration of its stated term. This could cause you to liquidate your
investments and upset the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the NFA of the Managing Owner or the clearing broker were revoked or suspended, such entity would no longer be
able to provide services to Registrant.



| | (71) | Need for Risk Controls and Compliance Procedures
| | ---- | ------------------------------------------------

Events during the past years, including the bankruptcy and other adverse financial results of major financial
institutions, have focused attention upon the necessity for firms to maintain adequate risk controls and compliance procedures. There is no assurance that Registrants controls and procedures will be adequate. These events have also raised
concerns as to the manner in which certain exchanges monitor trading activities and implement regulations to protect customer funds.



| | (72) | No Representation or Other Independent Experts
| | ---- | ----------------------------------------------

The Managing Owner has consulted with counsel, accountants and other experts regarding the formation and operation of
Registrant and this offering. The Trusts legal counsel does not represent prospective investors in connection with this offering. Prospective investors are advised to consult their own independent counsel with respect to the legal and tax
implications of an investment in Units.



| | (73) | Regulatory Changes or Actions May Alter the Nature of an Investment in Registrant
| | ---- | ---------------------------------------------------------------------------------

Considerable regulatory attention has been focused on non-traditional investment pools, in particular commodity pools.
There has been significant international governmental concern expressed regarding, for example, (i) the disruptive effects of speculative trading on the central banks attempts to influence exchange rates and (ii) the need to regulate
the derivatives markets in general. There is a possibility of future regulatory changes altering, perhaps to a material extent, the nature of an investment in Registrant.

The futures markets are subject to comprehensive statutes, regulations, and margin requirements. In addition, the CFTC
and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price
limits and the suspension of trading. The regulation of futures and forward transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory
change on Registrant is impossible to predict, but could be substantial and adverse.



| | (74) | Government Regulation of Investments
| | ---- | ------------------------------------

The Trust may invest in instruments listed on both U.S. and non-U.S. exchanges, as well as in OTC instruments issued by
broker-dealers and other financial counterparties. Instruments listed on exchanges are generally subject to restrictions and regulation by government and/or self-regulatory organizations in the country in which such instruments are traded. OTC
transactions with broker-dealers and other financial counterparties may be entered into by Registrant with counterparties regulated by government regulatory bodies and/or self-regulatory organizations in the countries in which such counterparties
operate, but the specific instruments acquired pursuant to such transactions may not be registered or subject to specific regulation.



| | (75) | Recent Government Initiatives
| | ---- | -----------------------------

Regulations relating to the financial system and industry participants are being revised, both in the United States and around the world, and the extent of such measures, intended to stabilize the
financial markets, varies from country to country. Additional measures, legislation and regulation are widely anticipated around the world and could have a substantial adverse effect on Registrants investment strategy and business model and
may result in substantial costs associated with compliance with such measures.

The duration, severity, and
ultimate effect of recent market conditions and government actions cannot be predicted. These conditions could result in further declines in the market values of potential or actual Trust investments. Such



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conditions and/or any additional regulation of market participants may prove disruptive to Registrant, the industry or Registrants investment portfolio, and, consequently, may have a
material adverse effect on the performance of Registrant.



| | (76) | Market Disruptions; Governmental Intervention
| | ---- | ---------------------------------------------

The global financial markets are currently undergoing a period of unprecedented disruption which has led to extensive
governmental intervention. Such intervention has in certain cases been implemented on an emergency basis, suddenly and substantially eliminating market participants ability to continue to implement certain strategies or manage the
risk of their outstanding positions. In addition, these interventions have in some cases been difficult to interpret and fluid in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to
previously successful investment strategies.

The Troubled Asset Relief Program is one of the largest
governmental interventions in the history of the U.S. financial markets. Furthermore, the U.S. Congress appears likely to require that new restrictions be applied to the U.S. financial markets. Comparable actions have been taken and comparable
restrictions imposed by a number of other governments as well. Such new restrictions may have a material adverse impact on both the future competitiveness of certain markets as well as the profit potential of Registrant.

It is impossible to predict what additional interim or permanent governmental restrictions may be imposed on the markets
in the U.S. and elsewhere and/or the effect of such restrictions on the strategies the Advisors employ on behalf of Registrant. However, it is possible that further developments in the market and/or increased regulation could be materially
detrimental to Registrant.

Market disruptions caused by unexpected political, military and terrorist events
may from time to time cause dramatic losses for Registrant, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.



| | (77) | Possible Effects of Speculative Position Limits
| | ---- | -----------------------------------------------

The CFTC and certain U.S. and foreign exchanges have established limits referred to as speculative position
limits on the maximum net long or net short position which any person or group may hold or control in particular futures contracts. In general, all futures accounts controlled by an Advisor and its principals and affiliates will be combined
for position limit purposes. It is possible that trading decisions of the Advisors may have to be modified and that positions held by the Advisors in which Registrant has an interest could have to be liquidated to avoid exceeding such limits, which
could adversely affect the profitability of Registrant.



| | (78) | Compliance with ERISA Restrictions
| | ---- | ----------------------------------

The Managing Owner intends to use reasonable efforts to cause employee benefit plans subject to ERISA and/or plans
subject to Section 4975 of the Code and other benefit plan investors, as defined in the Plan Asset Regulation and modified by the Pension Protection Act of 2006, to hold in the aggregate less than 25% of the Units in Registrant and
of each other class of equity interests in Registrant. The Managing Owner shall use reasonable efforts to restrict transfers or purchases of any equity interest in Registrant so that ownership of each class of equity interests in Registrant by
benefit plan investors will remain below the 25% threshold contained in the Plan Asset Regulation. In this event, although there can be no assurance that such will be the case, the assets of Registrant should not constitute plan assets
for purposes of ERISA and Section 4975 of the Code.

If the assets of Registrant were to become
plan assets subject to ERISA and Section 4975 of the Code, certain investments made or to be made by Registrant in the normal course of its operations might result in non-exempt prohibited transactions and might have to be
rescinded. If at any time the Managing Owner determines that assets of Registrant may be deemed to be plan assets subject to ERISA and Section 4975 of the Code, the Managing Owner may take certain actions it may determine to be
necessary or appropriate, including requiring one or more Unitholders to redeem or otherwise dispose of all or part of their Unit in Registrant or terminating and liquidating Registrant.



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| | (79) | U.S. Regulation
| | ---- | ---------------

The offering of Units has not been registered under the Securities Act or the laws of any applicable jurisdiction. The Trust is not an investment company within the meaning of the Investment Company Act.
The Managing Owner is registered as an investment adviser with the SEC under the Advisers Act.



| | (80) | Unitholders Taxed Currently
| | ---- | ---------------------------

Unitholders are subject to tax each year on their allocable share of the income or gains (if any) of Registrant, whether or not they receive distributions. Moreover, the Managing Owner does not intend to
make any distributions to Unitholders. Consequently, Unitholders will be required either to redeem Units or to make use of other sources of funds to discharge their tax liabilities in respect of any taxable income or gains allocated to a Unitholder
from Registrant.

In comparing the profit objectives of Registrant with the performance of more familiar
securities in which one might invest, prospective investors must recognize that if they purchased equity, there typically would be no federal income tax due on the appreciation in the value of such holdings until disposition. In the case of
Registrant, on the other hand, a significant portion of any appreciation in the Net Asset Value per Unit must be paid in taxes by the Unitholders every year, resulting in a substantial cumulative reduction in their net after-tax returns. Because
Unitholders will be taxed currently on their allocable share of the income or gains of Registrant, if any, Registrant may trade successfully but investors nevertheless would have recognized significantly greater gains on an after-tax basis had they
invested in conventional stocks with comparable performance.



| | (81) | Limitation on Deductibility of Investment Advisory Fees
| | ---- | ---------------------------------------------------------

Non-corporate Unitholders may be required to treat the amount of incentive fees and other expenses of Registrant as
miscellaneous itemized deductions, which may be subject to substantial restrictions on deductibility for federal income tax purposes.



| | (82) | Taxation of Interest Income Irrespective of Trading Losses
| | ---- | ----------------------------------------------------------

The Net Asset Value per Unit reflects the trading profits and losses as well as the interest income earned and expenses
incurred by Registrant. However, losses on Registrants trading will be almost exclusively capital losses, and capital losses are deductible against ordinary income only to the extent of $3,000 per year in the case of non-corporate taxpayers.
Consequently, if a non-corporate Unitholder had, for example, an allocable trading (i.e., capital) loss of $10,000 in a given fiscal year and allocable interest (i.e., ordinary) income (after reduction for expenses) of $5,000, the
Unitholder would have incurred a net loss in the Net Asset Value of such Unitholders Units equal to $5,000 but would recognize taxable income of $2,000 (assuming a 40% tax rate). The limited deductibility of capital losses for non-corporate
Unitholders could result in such Unitholders having a tax liability in respect of their investment in Registrant despite incurring a financial loss on their Units.



| | (83) | Possibility of a Tax Audit of Both Registrant and the Unitholders
| | ---- | -----------------------------------------------------------------

The tax returns of Registrant may be audited by the IRS. If such an audit results in an adjustment, Unitholders could
themselves be audited as well as being required to pay additional taxes, interest and possibly penalties.

PROSPECTIVE INVESTORS ARE STRONGLY URGED TO CONSULT THEIR OWN INDEPENDENT TAX ADVISERS AND COUNSEL WITH RESPECT TO THE
POSSIBLE FEDERAL, STATE, LOCAL, FOREIGN AND OTHER TAX CONSEQUENCES TO THEM OF AN INVESTMENT IN REGISTRANT; SUCH TAX CONSEQUENCES MAY DIFFER IN RESPECT OF DIFFERENT INVESTORS.

THE FOREGOING RISK FACTORS DO NOT PURPORT TO BE A COMPLETE EXPLANATION OF THE RISKS INVOLVED IN THIS OFFERING.
PROSPECTIVE INVESTORS MUST READ THE ENTIRE MEMORANDUM INCLUDING ALL APPENDICES HERETO AND MUST CONSULT THEIR OWN PROFESSIONAL ADVISORS BEFORE DECIDING TO INVEST IN UNITS.



|Item 1B. | Unresolved Staff Comments
|-------- | -------------------------

None



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|Item 2. | Properties
|------- | ----------

Registrant does not own or lease any physical properties in the conduct of its business. Registrants only place of business is the place of business of the Managing Owner, located at 900 King
Street, Suite 100, Rye Brook, New York 10573.

Certain administrative services are provided by AlphaMetrix360,
LLC, Registrants administrator, which is located at 33 West Monroe, Suite 1000, Chicago, Illinois 60603, and 8415 Pulsar Place Suite 400, Columbus, Ohio 43240. In addition, the administrator maintains certain books and records of Registrant,
including certain books and records required by CFTC Rule 4.23(a), at its offices located as specified above.



|Item 3. | Legal Proceedings
|------- | -----------------

There are no material legal proceedings pending, on appeal, or concluded to which Registrant is a party or to which any of its assets are subject.



|Item 4. | Removed and Reserved
|------- | --------------------

None

PART II



|Item 5. | Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities
|------- | ------------------------------------------------------------------------------------------------------------

Information with respect to the offering of Interests and the use of proceeds is incorporated by reference from Note 1 of
Registrants 2010 Annual Report to this section, which is filed as an exhibit hereto.

(a)Market Information

A significant secondary market for the Limited Units has not developed, and is not expected to develop in the future.
There are also certain restrictions set forth in the Trust Agreement limiting the ability of a Unitholder to transfer Units to the different Classes. However, Limited Units may be redeemed on a monthly basis. Redemptions are calculated based on
Registrants then current Net Asset Value per Interest as of the close of business on the last business day of the month in which the redemption request is affected.

(b)Holders

As of
March 1, 2011, there were 2,488 holders of record owning 1,180,925 Interests, which include 2,363 General Units (Managing Owner Interests).

(c)Dividends

The
Managing Owner has sole discretion in determining what distributions, if any, Registrant will make to Unitholders. Registrant has never declared a dividend and does not intend to do so in the future.

(d)Securities Authorized for Issuance under Equity Compensation Plans

Not applicable.

(e)Performance Graph

Not applicable.

(f)Issuer Purchases of Equity Securities

Registrant did not repurchase any Interests registered pursuant to Section 12 of the Exchange Act during the period January 1, 2009 through December 31, 2010.



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|(g) | Unregistered Sales of Equity Securities and Use of Proceeds
|--- | -----------------------------------------------------------

The following table presents sales of unregistered interests (i.e., Managing Owner interests) exempt from registration
under Section 4(2) of the Securities Act of 1933 during the period from September 28, 2004 (inception) through November 30, 2008.



|                  |  |            |       |  |  |  |  |               |  |   |         | 
|----------------- |  | ---------- | ----- |  |  |  |  | ------------- |  | - | ------- | 
|                  |  | Amount of  |      
|Date of Sale      |  | Units Sold |       |  |  |  |  | Cash Received | 
|March 10, 2005    |  |            | 10    |  |  |  |  |               |  | $ | 1,000   | 
|December 1, 2005  |  |            | 3,080 |  |  |  |  |               |  | $ | 308,000 | 
|January 1, 2006   |  |            | 765   |  |  |  |  |               |  | $ | 74,535  | 
|February 1, 2006  |  |            | 416   |  |  |  |  |               |  | $ | 40,000  | 
|March 1, 2006     |  |            | 256   |  |  |  |  |               |  | $ | 24,489  | 
|April 1, 2006     |  |            | 223   |  |  |  |  |               |  | $ | 21,560  | 
|May 1, 2006       |  |            | 265   |  |  |  |  |               |  | $ | 27,537  | 
|June 1, 2006      |  |            | 454   |  |  |  |  |               |  | $ | 47,400  | 
|July 1, 2006      |  |            | 575   |  |  |  |  |               |  | $ | 59,000  | 
|August 1, 2006    |  |            | 530   |  |  |  |  |               |  | $ | 52,350  | 
|September 1, 2006 |  |            | 403   |  |  |  |  |               |  | $ | 39,200  | 
|October 1, 2006   |  |            | 374   |  |  |  |  |               |  | $ | 36,000  | 
|November 1, 2006  |  |            | 189   |  |  |  |  |               |  | $ | 18,000  | 
|December 1, 2006  |  |            | 11    |  |  |  |  |               |  | $ | 1,000   | 
|January 1, 2007   |  |            | 62    |  |  |  |  |               |  | $ | 6,000   | 
|February 1, 2007  |  |            | 217   |  |  |  |  |               |  | $ | 21,000  | 
|March 1, 2007     |  |            | 109   |  |  |  |  |               |  | $ | 10,000  | 
|August 1, 2007    |  |            | 30    |  |  |  |  |               |  | $ | 3,000   | 
|September 1, 2007 |  |            | 10    |  |  |  |  |               |  | $ | 1,000   | 
|October 1, 2007   |  |            | 49    |  |  |  |  |               |  | $ | 5,000   | 
|November 1, 2007  |  |            | 28    |  |  |  |  |               |  | $ | 3,000   | 
|December 1, 2007  |  |            | 19    |  |  |  |  |               |  | $ | 2,000   | 
|January 1, 2008   |  |            | 265   |  |  |  |  |               |  | $ | 29,000  | 
|March 1, 2008     |  |            | 113   |  |  |  |  |               |  | $ | 15,000  | 
|April 1, 2008     |  |            | 258   |  |  |  |  |               |  | $ | 40,000  | 
|May 1, 2008       |  |            | 419   |  |  |  |  |               |  | $ | 50,000  | 
|June 1, 2008      |  |            | 329   |  |  |  |  |               |  | $ | 40,000  | 
|July 1, 2008      |  |            | 497   |  |  |  |  |               |  | $ | 61,000  | 
|August 1, 2008    |  |            | 294   |  |  |  |  |               |  | $ | 5,000   | 
|September 1, 2008 |  |            | 347   |  |  |  |  |               |  | $ | 40,000  | 
|October 1, 2008   |  |            | 196   |  |  |  |  |               |  | $ | 22,000  | 

Prior
to December 1, 2008, Registrant was a publicly offered commodity pool and the Managing Owner was required to hold an interest in Registrant; therefore, sales of the Managing Owners interest qualified as unregistered sales of securities. From
December 1, 2008 through December 31, 2010 all sales of interest qualify as unregistered sales due to Registrant offered as a private placement. The aggregate sale of Units in this time period was approximately 439,508.65921 Units amounting to
approximately $54,228,405.



|Item 6. | Selected Financial Data
|------- | -----------------------

The following table presents selected financial data of Registrant for the years ended December 31, 2010 to December 31, 2006.
This data should be read in conjunction with the financial statements of Registrant and the notes thereto on pages 2 through 21 of Registrants 2010 Annual Report, which is filed as an exhibit hereto.



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|                                                           |  |                            |             |  |                            |   |             |                            |  |   |                            |  |  |                            |            |  |  |   |            |  
|---------------------------------------------------------- |  | -------------------------- | ----------- |  | -------------------------- | - | ----------- | -------------------------- |  | - | -------------------------- |  |  | -------------------------- | ---------- |  |  | - | ---------- | -
|                                                           |  | Year
EndedDecember 31,2010 |             |  | Year
EndedDecember 31,2009 |   |             | Year
EndedDecember 31,2008 |  |   | Year
EndedDecember 31,2007 |  |  | Year
EndedDecember 31,2006 |           
|                                                           |  |                            |             |  |                           
|Total revenues (including interest)                        |  | $                          | 16,276,475  |  |                            | $ | 15,624,205  |                            |  | $ | 25,625,045                 |  |  | $                          | 13,165,144 |  |  | $ | 4,882,356  |  
|                                                           |  |                            |             |  |                           
|Net income (loss)                                          |  | $                          | 4,609,288   |  |                            | $ | 4,392,395   |                            |  | $ | 12,929,558                 |  |  | $                          | 5,951,782  |  |  | $ | 120,705    |  
|                                                           |  |                            |             |  |                           
|Net income (loss)
per weighted average Interest  Class I  |  | $                          | 3.83        |  |                            | $ | 4.11        |                            |  | $ | 14.27                      |  |  | $                          | 7.98       |  |  | $ | 0.32       |  
|                                                           |  |                            |             |  |                           
|Net income (loss)
per weighted average Interest  Class II |  | $                          | 6.77        |  |                            | $ | 6.34        |                            |  | $ | 13.95                      |  |  | $                          | 10.46      |  |  | $ | (2.52      | )
|                                                           |  |                            |             |  |                           
|Total assets                                               |  | $                          | 154,366,907 |  |                            | $ | 131,456,001 |                            |  | $ | 132,391,342                |  |  | $                          | 83,444,314 |  |  | $ | 72,720,132 |  
|                                                           |  |                            |             |  |                           
|Net asset value per Interest- Class I                      |  | $                          | 127.97      |  |                            | $ | 124.69      |                            |  | $ | 120.57                     |  |  | $                          | 105.40     |  |  | $ | 98.20      |  
|                                                           |  |                            |             |  |                           
|Net asset value per Interest- Class II                     |  | $                          | 136.55      |  |                            | $ | 130.38      |                            |  | $ | 123.39                     |  |  | $                          | 105.76     |  |  | $ | 96.71      |  



|Item 7. | Managements Discussion and Analysis of Financial Condition and Results of Operations
|------- | -------------------------------------------------------------------------------------

Critical Accounting Policies

General

Preparation of the financial statements and
related disclosures in compliance with accounting principles generally accepted in the United States of America (US GAAP) requires the application of appropriate accounting rules and guidance. Applying these policies requires the
Managing Owner to make judgments, estimates and assumptions in connection with the preparation of Registrants financial statements. Actual results may differ from the estimates used.

The Managing Owner has evaluated Registrants financial statements and related disclosures and has determined that
the policies discussed below are critical accounting policies because they involve estimates, judgments and assumptions that are particularly complex, subjective or uncertain. For further discussion of Registrants significant accounting
policies, see Note 2 of Registrants 2010 Annual Report, attached hereto.

The valuation of
Registrants investments that are not traded on a United States (U.S.) or internationally recognized futures exchange is a critical accounting policy. The market values of futures (exchange traded) contracts is verified by
Registrants administrator, which obtains valuation data from independent third party data providers such as Bloomberg, Reuters and Super Derivatives and compares those prices with Registrants clearing broker. The market value of currency
swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 4 p.m. on the last business day of the reporting period. All values assigned by the administrator and confirmed by the Managing
Owner are final and conclusive as to all of Registrants Unitholders. As such, if actual results vary from estimates used, they are not anticipated to have a material impact on the financial statements and related disclosures.

Registrant records all investments at fair value in its financial statements, with changes in fair value reported as a
component of trading profits (losses) in the statements of operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the
absence of an active market closing price. Registrant considers prices for exchange traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps, and
certain option contracts for which market quotations are not readily available are priced independently by Super Derivatives, Bloomberg, Reuters and or other third party data providers who derive fair values for those assets from observable inputs
(Level 2). Level 3 inputs reflect Registrants assumptions that it believes market participants would use in pricing the asset or liability. Registrant develops Level 3 inputs based on the best information available in the circumstances, which
may include indirect correlation to a market value, combinations of market values or Registrants proprietary data. Level 3 inputs generally include information derived through extrapolation or interpolation of observable market data.
Registrant does not currently have any investments valued using Level 3 inputs.

Of the Registrants
Investments at December 31, 2010, $104,897,390 or 97.87% are classified as Level 1 and $2,284,411 or 2.13% as Level 2. Of the Registrants Investments at December 31, 2009, $1,378,396 or 48.36 % are



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classified as Level 1 and $1,472,117 or 51.64% as Level 2. There are no Level 3 investments at December 31, 2010 or December 31, 2009.

The Managing Owner has determined that it is in the best interest of the Registrant to invest a portion of non-margin
assets, either directly or indirectly through certain investment funds which invest primarily in (i) U.S. government securities (which include any security issued or guaranteed as to principal or interest by the United States), (ii) any
certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable
rules and regulations. At the end of each month, the Managing Owner will be paid 1/12 of 50% (a 50% annual rate) of the first 1% of the returns earned on its investment of non-margin assets. Registrant will be credited with all additional returns
earned on Registrants investment of non-margin assets.

In January 2010, the Financial Accounting
Standards Board amended the existing disclosure guidance on fair value measurements, which was effective for the Registrant on January 1, 2010, except for disclosures about purchases, sales, issuances, and settlements in the roll forward
of activity in Level 3 fair value measurements, which is effective for the Registrant on January 1, 2011. Among other things, the updated guidance requires additional disclosure for the amounts of significant transfers in and out of Level
1 and Level 2 measurements and requires certain Level 3 disclosures on a gross basis. Additionally, the updates amend existing guidance to require a greater level of disaggregated information and more robust disclosures about valuation techniques
and inputs to fair value measurements. Since the amended guidance requires only additional disclosures, the adoption of the provisions effective January 1, 2011 will not impact Registrants financial position or results of operations. The
implementation of this guidance, for the provisions effective January 1, 2010, did not have a material impact on Registrants financial statements.

Liquidity and Capital Resources

Registrant commenced
operations on December 1, 2005 with gross proceeds of $31,024,443 allocated to commodities trading. Additional contributions raised through the continuous offering of limited interests (Limited Interests) and general
interests (General Interests or Managing Owner Interests and, together with the Limited Interests, Interests) of beneficial ownership in Registrant for the period from December 1, 2005
(commencement of operations) to December 31, 2010 resulted in additional gross proceeds to Registrant of $164,788,920.

Limited Interests in Registrant may be subscribed or redeemed on a monthly basis.

Subscriptions and Redemptions

Year Ended December 31, 2010

Subscriptions of Limited Interests and General Interests for the year ended December 31, 2010 were $31,067,123 and
$0, respectively. Redemptions of Limited Interests and General Interests for the year ended December 31, 2010 were $12,443,511 and $1,100,000, respectively.

Year Ended December 31, 2009

Subscriptions of Limited Interests and General Interests for the year ended December 31, 2009 were $21,642,219 and
$0, respectively. Redemptions of Limited Interests and General Interests for the year ended December 31, 2009 were $22,940,539 and $0, respectively.

Year Ended December 31, 2008

Subscriptions of
Limited Interests and General Interests for the year ended December 31, 2008 were $43,297,135 and $333,039, respectively. Redemptions of Limited Interests and General Interests for the year ended December 31, 2008 were $11,468,605 and $0,
respectively.

Liquidity

At December 31, 2010, approximately 100% of Registrants net assets were allocated to commodities trading. A
portion of Registrants net assets was held in cash, which was used as margin for trading in commodities. In as much as the sole business of Registrant is to trade in commodities, Registrant continues to own such liquid assets to be used as



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margin. The clearing brokers and bank credit Registrant with interest income on 100% of its average daily equity maintained in its accounts with the clearing brokers and bank during each month at
competitive interest rates.

The commodities contracts may be subject to periods of illiquidity because of
market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as daily limits. During a
single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken
nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent
Registrant from promptly liquidating its commodity futures positions.

Since Registrants business is to
trade futures, forward and option contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Registrants exposure
to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The
inherent uncertainty of Registrants speculative trading as well as the development of drastic market occurrences could result in losses considerably beyond Registrants experience to date and could ultimately lead to a loss of all or
substantially all of investors capital. The Managing Owner attempts to minimize these risks by requiring Registrant and the Trading Advisors to abide by various trading limitations and policies, which include limiting margin amounts, trading
only in liquid markets and permitting the use of stop loss provisions. See Note 8 of Registrants 2010 Annual Report, attached hereto for further discussion on the credit and market risks associated with Registrants futures, forward and
option contracts.

Registrant does not have, nor does it expect to have, any capital assets.

Market Overview

Following is a market overview for the years ended December 31, 2010, 2009 and 2008:

Year Ended December 31, 2010

2010 ended the way it began, amid growing optimism that the expansion was gaining momentum. As the year progressed,
European sovereign debt became a pressing issue, the U.S. recovery weakened and the specter of double-dip recession raised concern. However, European policymakers succeeded in temporarily preventing an escalating crisis. Fear receded globally and
business and consumer spending rose, as seen with holiday season spending in the U.S. When the U.S. Federal Reserve (the Fed) broached another round of quantitative easing, it was enough to turbo-charge the global rally in risk
assets in the final four months of the year as the fear of double-dip recession evaporated. Following the expiration of the first quantitative easing (QE) program in March, the Fed announced reinvestment of proceeds from their
security holdings. Subsequently, in November, the Fed announced that it would purchase an additional $600 billion of longer-term Treasury securities over the next six months. The European Central Bank (ECB) did not undertake
explicit balance sheet expansion but had a far more active role to play in keeping a lid on the burgeoning eurozone sovereign debt problems. In order to stabilize the banking situation, the ECB reinstated its unlimited emergency lending for banks as
well as bought the sovereign debt of beleaguered eurozone members. Japan also announced a wide-ranging asset purchase program to help its economy.

While a double-dip recession was avoided, U.S. economic performance was mixed. Corporate profits and retail sales made a stellar recovery, however the economy only reinstated approximately 13% of the jobs
cut during the recession. GDP growth averaged a modest 2.7% during the first three quarters of 2010. Motor vehicle sales rose to 11.6 million but still remained below the high rates that prevailed prior to 2008. The failure of housing to
stabilize was disappointing. After the expiration of government incentives in June, home sales plummeted to new lows and home prices fell below their 2009 low.

While U.S. Treasuries continued to fluctuate in 2010, they did recover from their losses in 2009. The year began with Treasury yields rising as the expansion gained momentum. While the 10-year broke 4% in
April, the European crisis, the near stalling of the U.S. economy and lower core inflation rates all fueled a powerful rally sending the 10-year yield below 2.5%. The rally lost steam due to improving economic data and yields backed up significantly
toward the end of the year. Still, the 10-year returned 7.9% for year and the 30-year, 8.9%. Two-year and five-year notes posted returns of 1.8% and 5.2%, respectively. The Fed kept rates unchanged throughout the year due to high unemployment and
subdued inflation. The ECB, the Bank of England and the Bank of Japan remained stable throughout 2010. Australia and



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Canada hiked rates multiple times in the face of strengthening global demand for commodities and an improving labor market.

Currencies: The Dollar Index started off strong in 2010. The U.S. economy surged ahead of its developed market
counterparts. The dollar peaked as the European crisis erupted, denting the euros position as a reserve currency. However, financial conditions stabilized as European countries assembled a bailout package and the ECB reinstated emergency
lending facilities. Global risk aversion subsided, causing the dollar to weaken. The Dollar Index ended the year up 1.5%. The US dollar, as measured against the major currencies, was mixed. It rallied 6.6% against the euro and rose 3.6% versus the
British pound but declined 12.9% against the yen. The Australian dollar surged nearly 14% against the greenback and the Canadian dollar gained 5.9%. Emerging market currencies realized solid gains.

Energies: Crude oil was flat for most of the year, before rallying to end the year up 4.8%. U.S. demand and
emerging market demand continued to grow. However, production rose and stocks were above normal for much of the year. Reformulated gasoline outperformed crude, rising 20.6% as soaring exports and firming domestic demand helped U.S. refineries
achieve better spreads. Heating oil posted a solid gain of approximately 10.3%. Natural gas declined for the third consecutive year, amid rising production and surging inventories.

Indices: Global equity performance in 2010 was strong. Despite the S&P 500 fluctuating during the year due to
the European crisis and the softening of the US economy the powerful rally in the second half of the year helped the index to surge past 1250, recovering all losses post the Lehman failure. For the year as a whole, the S&P 500, the Dow Jones
Industrial Average and the NASDAQ gained approximately 12.8%, 16.9%, and 11%, respectively. In both Europe and the Asian markets, performance was mixed. Germanys strong economic performance helped the DAX return 16.1%. The CAC edged down 3.3%.
The FTSE gained a respectable 10.9%. The Nikkei lost 3% as Japan remained mired in deflation. The Kospi soared 21.9% and Hang Seng rose moderately, up 5.3%. Australian All Ordinaries Index edged down 0.7%.

Metals: Precious and base metals recorded solid gains in 2010. Silver rose 83.3% breaching the $30/oz. level for
the first time since 1980. Gold gained 29.4%, climbing above the $1400/oz. level. Among the base metals, nickel and copper both recorded returns of over 30%. Zinc was the only major metal to underperform.

Agriculturals: Agricultural commodities had a positive year, posting large gains across the board due to crop
shortfalls in various parts of the world and surging emerging market demand. Cotton rose 106.3% to a record high. The softs complex also had a tremendous year. The S&P GSCI Softs Index returned 44.6%, led by coffee and sugar. The grains complex
underperformed in the agricultural commodities space; the S&P GSCI Grains Index returned 29.4%. Corn, wheat and soybeans posted returns of 38.4%, 35%, and 27.2%, respectively.

Year Ended December 31, 2009

The year began amid a precipitous decline in global economic activity and a continued plunge in risk assets. However, an
unprecedented, massive, concerted effort by policymakers around the world eventually took effect. The U.S. Federal Reserve (the Fed) vastly expanded its lender of last resort operations by accepting a wide range of collateral
through its discount window as well as through a variety of programs designed at various secondary markets. Furthermore, the Fed embarked on a vast expansion of its balance sheet, also called quantitative easing, to pump excess reserves into the
system. Meanwhile, the U.S. Treasury bailed out General Motors after already having taken over Fannie Mae and Freddie Mac in late 2008. The U.S. was not the only government stepping on the policy gas. Others followed suit, with varying degrees of
stimuli. The UK was equally, if not more, aggressive than the U.S. The European Central Bank vastly expanded the scope of its operations. China launched a massive stimulus program consisting of a ramp up in infrastructure spending. Overall, the
global monetary and fiscal stimuli were unprecedented in scale and scope. Eventually, the markets began to recognize that policymakers were unlikely to countenance a complete collapse of economic activity. The realization that the Great Depression
Mark II would be avoided was enough to power the steepest rally since the 1930s.

While a catastrophe was
avoided, the U.S. economic performance nonetheless turned out to be the worst in the postwar era. The U.S. economy lost 4.2 million jobs and the unemployment rate skyrocketed to cross the 10% threshold. The first six months of the year
witnessed a massive 3.5 million in job losses. Motor vehicle sales plunged to their lowest level since 1981 and retail sales at one point during the year showed a 10% year-over-year decline. The household sector was in retrenchment mode,
consumer credit suffered its steepest decline since WWII and overall household debt experienced its first decline since the record began in 1952. However, by mid year, many of the indicators started to stabilize. Housing was the first to offer a
glimmer of hope. New and existing home sales and housing starts bottomed in the first quarter. More importantly, the Case-Shiller Index reported that home prices rose for five consecutive months



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after the trough in February. Auto sales, initially boosted by the U.S. governments cash-for-clunkers policy, settled at well above their lows. Toward year-end, even the employment
situation displayed slight improvement.

After a stellar 2008, U.S. Treasuries turned out mediocre performance
in 2009. While the two-year showed a small gain, Treasuries of maturities five years or greater gave up some ground. The losses in the five and ten-year were modest but the thirty-year lost approximately 14.9%. The Fed kept rates unchanged
throughout the year as subdued inflation and still-high unemployment gave the Fed enough reason not to take its foot off the monetary pedal. Central banks in much of the advanced world maintained the status quo throughout the year. Australia was a
notable exception, hiking rates three times late in the year in the face of strengthening demand for commodities, an improving labor market and a recovery in housing.

Currencies:The Dollar Index, which measures the U.S. dollar against a basket of currencies, started 2009 on a
high note as the global risk aversion bolstered the demand for the dollar as a safe haven. However, as financial conditions stabilized, the dollar began to lose ground and the slump continued as the rally in risk assets gathered steam and eventually
the economic recovery began to take hold. The dollar rallied smartly in December but still ended the year down approximately 5.2%. The greenback declined against all the major currencies, except the Japanese yen. The dollars largest declines
came against the Australian, Canadian and New Zealand dollars as the recovery in commodities and rising interest rates boosted those currencies. The euro recorded a solid gain against the dollar, rising approximately 3.0%. Emerging market currencies
by and large enjoyed solid gains.

Energies:Crude oil continued the downtrend early in year before
hitting a trough in February. Thereafter, the Organization of the Petroleum Exporting Countries production cuts and increasing evidence of Chinese-led Asian inventory restocking demand bolstered crude. As the year progressed, stabilization in
U.S. demand assisted in crudes overall positive performance as well and crude ended the year up nearly 77.9%. Reformulated gasoline outperformed crude, rising approximately 103.6% as U.S. transportation demand stabilized and then increased.
Heating oil posted a solid gain of approximately 50.7% as unusually cold weather toward year end helped boost gains. Cold weather helped natural gas as well, but not enough to prevent it from recording a loss for the year. In September, natural gas
had slumped to a seven-year low amid rising production and surging inventories.

Indices:Global equity
performance in 2009 was a welcome and stark contrast to that of 2008. The year started off poorly, with the S&P 500 hitting a twelve-year low. At that point, the forty-year total return on the index fell below that of the ten-year bond for the
first time. However, unnoticed by many, the dividend yield on the S&P 500 had edged up past the ten-year yield, something that had not occurred since the mid 1950s. From that trough, stocks staged their largest rally since the 1930s, led by
financials. For the year as a whole, the S&P 500, Dow Jones Industrial Average and the NASDAQ gained approximately 23.5%, 18.8% and 43.9%, respectively. In Europe, the DAX, CAC and FTSE experienced even larger rallies, posting gains of 23.9%,
22.3% and 25.0%, respectively. Of the three majors in Asia, the Kospi and the Hang Seng surged powerfully, rising 49.7% and 52.0%, respectively, while the Nikkei posted a respectable 19.0% gain. Australia and New Zealand witnessed sharp gains as
well. Emerging economy stocks as whole had a V-shaped recovery, the MSCI Emerging Market Index rose 66.2% for the year.

Metals:Precious and base metals recorded impressive performance in 2009. While gold made headlines, copper actually led the way, gaining 138.5%, followed by zinc, which rose 111.9%. In fact, the
entire base metals complex outperformed gold. Nickel and aluminum posted gains of 58.3% and 44.8%, respectively. Gold itself rose 24.0%, although a selloff in December took some shine off the yellow metal. Silver recorded a hefty 49.3% gain.

Agriculturals:Agricultural commodities had a mixed year and grains in general underperformed the rest
of the commodity complex. For 2009, the S&P GSCI Grains Index posted a 10.3% loss, compared with the 13.5% gain for S&P GSCI overall. Wheat was the worst performer, not only within the grains complex but among major commodities as well, as
it lost 11.3% for the year. Notwithstanding the gyrations caused by weather throughout the year, a wet spring delayed planting, a cool summer then slowed development of these crops, and finally a wet cold fall severely delayed harvesting. Ample
production and storage overhang from 2008 weighed on wheat and on the grain sector. Corn and soybeans gained modestly, rising 1.8% and 6.9%, respectively. The recovery in biofuel demand helped support corn and soybeans. Live cattle increased 1.8%
and hogs gained 7.8%.



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Softs:Sugar was the star performer in 2009, recording a 128.2% gain
and increasing to its highest level since 1980. Massive production shortfall in India, the worlds largest consumer of sugar and the second biggest producer, created the perfect condition for sugars meteoric rise. Coffee and cocoa
recorded strong performance as well, rising 21.3% and 23.1%, respectively, as the global economic recovery and favorable fundamentals were supportive.

Year Ended December 31, 2008

2008 was a watershed year for the world economy and the financial industry. It marked the end of an era for the world
economyan era of rising leverage, bloated balance sheets, inflated asset valuations, and above all, a dangerously unbalanced international economic and financial arrangement that was heavily reliant on the American consumer as the buyer of
last resort. The financial market upheavals of the past year, rivaled only by those of the Great Depression, smashed the aging edifice of the old era. The pain was all the more acute for the financial sector, where the yearlong nightmare was topped
off by the eruption of the Bernie Madoff scandal. Thanks to the dramatic monetary and fiscal policy moves worldwide, most notably by the US Federal Reserve, the US is unlikely to repeat the Depression of the 1930s. However, the liquidity
environment is likely to remain challenged and a sustainable economic recovery may well not begin until 2010.

The U.S. economic data reported throughout the year were horrendous. The U.S. economy lost 2.6 million jobs in 2008,
the most since 1945. Of these, 1.9 million jobs were lost in the last few months of the year. The unemployment rate jumped to over 7% to end the year, which is the highest it has been in sixteen years. The latest reported U.S. housing prices
showed a drop of over 15% from January 2008 through October 2008 and a 30% decline from January 2007 through October 2008 was reported. At year end, housing starts were at the lowest levels in 50-years and housing permits, one of the leading
economic indicators, were at 27-year lows. Retail sales struggled through 2008 and capped the year with one of the worst holiday seasons on record.

According to the Merrill Lynch Index, treasuries of all maturities combined returned almost 15% in 2008. The Federal Reserve added additional liquidity and slashed the Federal Discount Rate to a 0.0% -
0.25% range during December. For the first half of the year, the Federal Reserve Open Market Committee lowered rates in attempts to improve market conditions due to the sub-prime mortgage crisis. Additional rate reductions were geared to stimulate
the economy in the face of the global credit crisis as numerous financial institutions announced faltering operations during the last few months of 2008. As a result, the Discount Rate and Federal Funds Rate decreased over 4% throughout the year.

As the housing and credit markets around the globe crumbled, the worlds central banks worked
collaboratively and lowered key rates throughout 2008. The Bank of England, faced with a deepening banking crisis and recession, lowered their rate by approximately 3.5% throughout the year. Even the President of the ECB, Jean Claude Trichet, had to
abandon his long term hawkish stance as the ECB lowered rates to 2.0% by year end. The scene was all too familiar in Asia as the Peoples Bank of China and the Bank of Japan lowered rates in 2008.

Currencies:The Dollar Index, which measures the U.S. unit against a basket of other currencies, capped off the
year by gaining roughly 6%. The greenbacks most noteworthy gains were concentrated on the euro, pound and Australian and New Zealand dollars. The U.S. dollar continued to decline versus the Japanese yen in December and fell approximately 19%
for the year, the largest decline in more than twenty years. Japan appeared to be significantly less exposed to the credit crisis compared to the U.S., England, European Union, China and other nations as the yen witnessed gains across the board in
2008. Though the euro lost value versus the U.S. dollar in 2008, it ended the year with record performance versus the pound. The pound was the weakest among major currencies versus the US dollar with an approximate 27% slide during the year.

Energies:After crude reached a record high close of over $145 a barrel on July 3, the
deleveraging and a severe drop off in demand caused the price of crude to plummet. Within the Dow Jones AIG Commodity Index (DJAIG) crude was one of the worst performing sectors in 2008, posting losses in excess of 50% by closing
the year near $45 a barrel. Crude continued to slide despite significant OPEC (Organization of the Petroleum Exporting Countries) supply decreases in September, in October and again in December. Heating oil and reformulated gasoline had similar 2008
price trends. Reformulated gasoline posted the worst performance within the DJAIG with losses amounting to roughly 60% for the year. Natural gas witnessed handsome returns through July as the price of domestic natural gas surged from the first
quarter and rallied over 70% for the year. However, like other commodities, the global economic malaise caused demand to drop off considerably leading to dramatic price reductions throughout the second half of the year. The dispute between Russia
and the Ukraine, which disrupted the supply of natural gas to Central and Eastern Europe during December, had little impact on price. Within the DJAIG, natural gas realized a loss near 25% for the year, which was the best performance for all
energies within the Index.



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Agriculturals:Wheat, corn, soybeans and cotton ended the year with
strong overall returns for December but all suffered rather disappointing returns for the year. Overall for 2008, wheat, corn, soybeans and cotton ended the period down approximately 31%, 11%, 19% and 28%, respectively, within the DJAIG. Wheat
gained early in the year on fears of feed grain shortage but record annual harvest, followed by the wheat deleveraging that occurred in the second half of the year due to the global financial meltdown, led to increased supplies plaguing silos across
the globe. The ethanol story, the growing potential of an eventual global food shortage and capital flows into commodities, were all factors behind corns rally in the first half of 2008 that seemed to disappear in the third and fourth quarters
of the year. Despite excessive precipitation across the central bean belt and increased demand from China, which lent support for soybeans performance realized during the first and second quarters, all gains were erased in the third and fourth
quarters.

Indices:The global equity performance for 2008 in general can be described as dreadful. The
year started off poorly and the markets just got worse. Many market participants fell victim to forced selling as massive capital outflows continued through year end. The global credit crisis and the recession worsened, but a flake of relief emerged
as central banks worked collaboratively and lowered key rates, added substantial liquidity and enacted stimulus packages during the final months of the year with more promised for 2009. The result for the major U.S. indices was a modest advance in
December as the Dow Jones Industrial Average posted a slight gain; however, it ended the year down approximately 34%. The S&P 500 ended December with an advance but posted an approximate 37% loss for the year. For December, the NASDAQ recorded
positive overall performance but technology stocks were a major victim of the global economic collapse and realized an approximate 40% loss for the year. In Europe, the DAX and CAC witnessed positive performance in December; however, they posted
losses of approximately 40% and 43%, respectively, for the year. The London FTSE and Russian equities finished December and the year with negative returns. The three majors in Asia  the Nikkei, Hang Seng and Kospi  ended 2008 on a rally
but down considerably for the year. Australia and New Zealand witnessed steep losses in 2008 as well. The Latin American block was hit hard by the economic meltdown as the Mexican Bolsa Index and the Brazilian Bovespa Stock Index closed the year
down considerably.

Metals:Gold posted strong performance as the precious metal advanced approximately
8% in December and finished 2008 up almost 5%. Asian and geopolitical buying, flight-to-safety, strong European dealer demand and small losses in the US Dollar Index all factored into golds run in December. Silver, platinum and palladium all
recorded gains in December; however, silver posted large losses within the DJAIG on the year. Among base metals, 2008 was a terrible year across the board. The global housing and commercial real-estate market collapse and the looming economic
recession caused demand for these metals to grind to a halt. Also, large inventories of these metals drove the prices down further. Within the DJAIG, aluminum, zinc, copper and nickel wrapped up the year down approximately 36%, 49%, 54% and 55%,
respectively.

Softs and Livestock: Sugar featured a relatively quiet December and lost about 1%
overall for the month as abundant supply prevailed. However, sugar was the leading commodity in the DJAIG and witnessed an overall gain of over 9% for the year. Coffee and cocoa ended a miserable year with negative overall performance. As the global
economy worsened, beef demand continued to fall, resulting in cattle prices dropping by a disappointing 12% within the DJAIG for the year. Hogs were one of the few sectors within the DJAIG to cap the year with overall positive returns. Demand
increases, mainly in China, drove hog prices up over 5% in 2008 within the DJAIG.

Sector Performance

Due to the nature of Registrants trading activities, a period-to-period comparison of its trading
results is not meaningful. However, set forth below are the following:



| | (a) | the major sectors to which Registrants assets were allocated as of December 31, 2010, December 31, 2009 and December 31,
2008, measured as a percentage of the gross speculator margin (i.e., the minimum amount of cash or marginable securities a speculator must post when buying or selling futures assets); and
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (b) | a discussion of Registrants trading results for the major sectors in which Registrant traded for the year ended December 31, 2010, the
year ended December 31, 2009 and the year ended December 31, 2008.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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Year Ended December 31, 2010

As of December 31, 2010, the allocation of Registrants assets to major sectors was as follows:



|               |  |            |       |   |        |  
|-------------- |  | ---------- | ----- | - | ------ | -
|Sector         |  | Allocation |      
|Currencies     |  |            | 39.23 | %
|               | 
|Energies       |  |            | 6.48  | %
|               | 
|Grains         |  |            | 10.81 | %
|               | 
|Indices        |  |            | 26.28 | %
|               | 
|Interest Rates |  |            | 4.04  | %
|               | 
|Meats          |  |            | 0.26  | %
|               | 
|Metals         |  |            | 11.21 | %
|               |  |           
|Tropicals      |  |            |       |   | 1.69   | %
|               |  |            |       |   |        |  
|               |  |           
|TOTAL          |  |            |       |   | 100.00 | %

Trading results for the major sectors in which Registrant traded for the year ended December 31, 2010 were as
follows:

Currencies: (+)Registrant experienced a majority of its gains in the euro, Japanese
yen, Australian dollar and South African rand. The majority of its losses were incurred in the British pound and Canadian dollar.

Energies: (-)Registrant experienced a majority of its gains in natural gas. The majority of its losses were incurred in crude, gas oil, reformulated gasoline and heating oil.

Grains: (+)Registrant experienced gains in cotton, soybean meal, corn and soybeans. The majority of its
losses were incurred in wheat.

Indices: (+)Registrant experienced gains in the DAX, Dow Jones
Industrial Average and the Nasdaq. The majority of its losses were incurred in the CAC 40, DJ STOXX and Ibex Plus.

Interest Rates: (+)Registrant experienced a majority of its gains in U.S. Treasuries, German Bund and Eurodollar. The majority of its losses were incurred in Euroswiss, Australian Bonds and
Japanese Government Bonds.

Meats: (+)Registrant experienced gains in live hogs and cattle.

Metals: (+)Registrant experienced in gold, silver, copper and lead. Losses were realized in
aluminum and zinc.

Softs: (+)Registrant experienced gains in sugar and coffee. The majority of
its losses were incurred in cocoa.

[REMAINDER OF PAGE LEFT BLANK INTENTIONALLY]



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##### Table of Contents

Year Ended December 31, 2009

As of December 31, 2009, the allocation of Registrants assets to major sectors was as follows:



|               |  |            |       |   |        |  
|-------------- |  | ---------- | ----- | - | ------ | -
|Sector         |  | Allocation |      
|Currencies     |  |            | 40.27 | %
|               | 
|Energies       |  |            | 5.46  | %
|               | 
|Grains         |  |            | 5.36  | %
|               | 
|Indices        |  |            | 26.49 | %
|               | 
|Interest Rates |  |            | 11.58 | %
|               | 
|Meats          |  |            | 0.30  | %
|               | 
|Metals         |  |            | 7.04  | %
|               |  |           
|Tropicals      |  |            |       |   | 3.50   | %
|               |  |            |       |   |        |  
|               |  |           
|TOTAL          |  |            |       |   | 100.00 | %

Trading results for the major sectors in which Registrant traded for the year ended December 31, 2009 were as
follows:

Currencies: (+) Registrant experienced a majority of its gains in the Australian dollar,
British pound, Mexican peso, South African rand and the Swiss franc. The majority of losses were incurred in Canadian dollar, euro and Japanese yen.

Energies: (+)Registrant experienced gains in natural gas, reformulated gasoline and crude oil. Losses were incurred in brent crude, gas oil and heating oil.

Grains: (-)Registrant experienced gains in corn, cotton and soybean meal. Losses were realized in wheat and
soybeans.

Indices: (+)Registrant experienced a majority of its gains in the CAC, DAX, DJ Stoxx,
FTSE, Hang Seng, Nasdaq, Nikkei, S&P 500 and Taiwan Index. The majority of losses were experienced in the Russell 2000 and Tokyo Stock Index.

Interest Rates: (-)Registrant experienced a majority of its gains in Australian bonds, Short sterling and Japanese Government Bonds. The majority of losses were experienced in the German bund and
bobl, London Gilts and U.S. Treasury Notes.

Meats: (-)Registrant experienced gains in live hogs.
Losses were realized in live cattle.

Metals: (+)Registrant experienced a majority of its gains
in gold, aluminum, copper, zinc and silver. Losses were realized in lead, tin and nickel.

Softs:
(+) Registrant experienced gains in sugar and cocoa. Losses were realized in coffee.

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INTENTIONALLY]



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##### Table of Contents

Year Ended December 31, 2008

As of December 31, 2008, the allocation of Registrants assets to major sectors was as follows:



|               |  |            |       |   |        |  
|-------------- |  | ---------- | ----- | - | ------ | -
|Sector         |  | Allocation |      
|Currencies     |  |            | 78.99 | %
|               | 
|Energies       |  |            | 1.44  | %
|               | 
|Grains         |  |            | 9.71  | %
|               | 
|Indices        |  |            | 1.66  | %
|               | 
|Interest Rates |  |            | 6.59  | %
|               | 
|Metals         |  |            | 0.59  | %
|               |  |           
|Tropicals      |  |            |       |   | 1.02   | %
|               |  |            |       |   |        |  
|               |  |           
|TOTAL          |  |            |       |   | 100.00 | %

Trading results for the major sectors in which Registrant traded for the year ended December 31, 2008 were as
follows:

Currencies: (+) Registrant experienced a majority of its gains in the Canadian dollar,
Swiss franc, Japanese yen and Mexican peso. The majority of losses were incurred in the Australian dollar, British pound and euro.

Energies: (+)Registrant experienced gains in crude oil, brent crude, gas oil, natural gas and heating oil. Losses were incurred in reformulated gasoline.

Grains: (+)Registrant experienced gains in cotton, wheat and soybeans. Losses were realized in bean oil and
corn.

Indices: (+)Registrant experienced a majority of its gains in the Hang Seng, Nikkei, DAX,
CAC and Dow Jones STOXX 50 Euro indices. The majority of losses were experienced in the S&P 500.

Interest Rates: (+)Registrant experienced a majority of its gains in U.S. Treasury Notes and Australian
bonds. The majority of losses were experienced in London Gilts and Euroyen Tiffe.

Meats:
(+)Registrant experienced gains in live cattle.

Metals: (-)Registrant experienced a
majority of gains in aluminum, zinc and silver. Losses were realized in gold and copper.

Softs:
(+)Registrant experienced gains in coffee and sugar. Losses were realized in cocoa.

Results of Operations

Year Ended December 31, 2010

The Net Asset Value per Interest of Class I as of December 31, 2010 was $127.97, an increase of $3.28 from the
December 31, 2009 Net Asset Value of $124.69.

The Net Asset Value per Interest of Class II as of
December 31, 2010 was $136.55, an increase of $6.17 from the December 31, 2009 Net Asset Value of $130.38.

Registrants average net asset level for the year ended December 31, 2010 was approximately $137,238,000, an increase of approximately $13,518,000 as compared to the year ended December 31,
2009, primarily due to the effect of additional subscriptions and positive trading performance.



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##### Table of Contents

Registrants performance for Class I and Class II for the year ended
December 31, 2010 was 2.63% and 4.73%, respectively. Performance includes the percentage change in Registrants Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of trading gains
(losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

Registrants trading gains before commissions and related fees for the year ended December 31, 2010 were approximately $15,642,000.

Dividend income for the year ended December 31, 2010 was approximately $558,000, an increase of approximately
$558,000 as compared to the year ended December 31, 2009, as the Registrant started earning dividend income on the investment of non-margin assets in investment funds in 2010. For a further discussion of these investments, See Note 4 of
Registrants 2010 Annual Report, attached hereto.

Commissions and other transaction fees for the year
ended December 31, 2010 were approximately $781,000, an increase of approximately $75,000 as compared to the year ended December 31, 2009, primarily due to an increase in trading volumes and the increase in average net asset levels
discussed above.

Management fees to the Trading Advisors for the year ended December 31, 2010 were
approximately $2,588,000, a decrease of approximately $49,000 as compared to the year ended December 31, 2009, primarily due to changes in the management fee percentages charged by the Trading Advisors.

Management fees to the Managing Owner for the year ended December 31, 2010 were approximately $693,000 and increase
of approximately $67,000 as compared to the year ended December 31, 2009, primarily due to the increase in average net asset levels discussed above.

ClariTy Managed Account fees for the year ended December 31, 2010 were approximately $91,000, an increase of approximately $91,000 as compared to the year ended December 31, 2009, as the
Registrant started paying a fee to ClariTy in 2010. For a further discussion of this fee, See Note 4 of Registrants 2010 Annual Report, attached hereto.

Service Fees for the year ended December 31, 2010 were approximately $2,457,000, an increase of approximately $81,000 as compared to the year ended December 31, 2009, primarily due to an
increase in average net asset levels discussed above. Sales Commissions for the year ended December 31, 2010 were approximately $1,387,000, an increase of approximately $134,000 as compared to the year ended December 31, 2009, primarily
due to an increase in average net asset levels discussed above.

Incentive fees are based on the New
High Net Trading Profits generated by the Trading Advisors, as defined in the Trading Advisory Agreements between Registrant and the Trading Advisors. Incentive fees for the year ended December 31, 2010 were approximately $2,672,000.

Managing Owner fees earned on investment funds for the year ended December 31, 2010 were approximately
$43,000, an increase of approximately $43,000 as compared to the year ended December 31, 2009, as the Managing Owner started earning a fee on the return of the investment of non-margin assets in 2010. For a further discussion of this fee, See
Note 4 of Registrants 2010 Annual Report, attached hereto.

Operating expenses were approximately
$760,000 for the year ended December 31, 2010. These expenses include accounting, audit, registrar, and transfer agent, tax and legal fees as well as printing and postage costs related to reports sent to Limited Owners.

Offering costs were approximately $239,000 for the year ended December 31, 2010.

Year Ended December 31, 2009

The Net Asset Value per Interest of Class I as of December 31, 2009 was $124.69, an increase of $4.12 from the
December 31, 2008 Net Asset Value per Interest of $120.57.

The Net Asset Value per Interest of
Class II as of December 31, 2009 was $130.38, an increase of $6.99 from the December 31, 2008 Net Asset Value per Interest of $123.39.



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##### Table of Contents

Registrants average net asset level for the year ended
December 31, 2009 was approximately $123,720,000, an increase of approximately $17,836,000 as compared to the year ended December 31, 2008, primarily due to the effect of additional subscriptions and positive trading performance.

Registrants performance for Class I and Class II for the year ended December 31, 2009 was 3.42%
and 5.66%, respectively. Performance includes the percentage change in Registrants Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of trading gains (losses) less any commissions and
related fees and expenses. Past performance is not necessarily indicative of future results.

Registrants trading gains before commissions and related fees for the year ended December 31, 2009 were
approximately $15,588,000.

Interest income is earned on the average daily equity maintained with the clearing
broker or bank at competitive interest rates. Therefore, interest income varies monthly according to interest rates, trading performance, contributions and redemptions. Interest income for the year ended December 31, 2009 was approximately
$36,000, a decrease of approximately $1,306,000 as compared to the year ended December 31, 2008, primarily due to a decrease in interest rates which more than offset the increase in average net asset levels discussed above.

Commissions and other transaction fees are consist of National Futures Association, exchange and clearing fees as well as
floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisors execute, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees
for the year ended December 31, 2009 were approximately $706,000, an increase of approximately $417,000 as compared to the year ended December 31, 2008, primarily due to an increase in average net asset levels discussed above.

Management fees to the Trading Advisors are calculated on the net assets in the managed accounts at the end of each month
and, therefore, affected by monthly trading performance, contributions and redemptions. Management fees to the Trading Advisors for the year ended December 31, 2009 were approximately $2,637,000, an increase of approximately $238,000 as
compared to the year ended December 31, 2008, primarily due to an increase in average net asset levels discussed above.

Registrant pays the Managing Owner a management fee calculated on Registrants Net Asset Value at the beginning of each month, and therefore, such fee is affected by monthly trading performance,
contributions and redemptions. Management fees to the Managing Owner for the year ended December 31, 2009 were approximately $626,000, an increase of approximately $87,000 as compared to the year ended December 31, 2008, primarily due to
an increase in average net asset levels discussed above.

Through June 30, 2009,
Registrant paid a service fee (Service Fee) with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Unit of the outstanding Class I Units as of the beginning of the month.
The Service Fee was paid directly by Registrant to the selling agent, Kenmar Securities Inc. (Selling Agent), an affiliate of the Managing Owner. The Selling Agent was responsible for paying all service fees owed to the
correspondent selling agents, who were entitled to receive from the Selling Agent an initial service fee equal to 2% of the initial Net Asset Value per Unit of each Class I Unit sold by them, payable on the date such Class I Units are purchased and,
commencing with the 13th month after the purchase of a Class I Unit, an ongoing monthly service fee equal to 1/12th of 2% (2% per annum) of the Net Asset Value per Unit as of the beginning of the month of the Class I Units sold by them. Beginning
July 1, 2009, Registrant (rather than the Selling Agent) pays its Service Fee on Class I Units directly to the correspondent selling agents, who are entitled to receive from Registrant an initial commission equal to 2% of the initial Net Asset
Value per Unit of each Class I Unit sold by them, payable on the date such Class I Units are purchased. Commencing with the 13thmonth after the purchase of a Class I Unit, the correspondent selling agent will now receive directly from Registrant
(rather than the Selling Agent) an ongoing monthly commission equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Class I Unit as of the beginning of each month of the Class I Units sold by them. All Unitholders will also pay the Selling
Agent a monthly sales commission (Sales Commission) equal to 1/12 of 1% (1% annually) of the Net Asset Value of the outstanding Units as of the beginning of each month. Service Fees and Sales Commissions for the year ended
December 31, 2009 were approximately $2,376,000 and $1,253,000, respectively. The increase of Service Fees and Sales Commissions was approximately $485,000 and $174,000, respectively, during 2009 as compared to 2008 primarily due to an
increase in average net asset levels discussed above.

Incentive fees are based on the New High Net
Trading Profits generated by the Trading Advisors, as defined in the Trading Advisory Agreements between Registrant and the Trading Advisors. Incentive fees for the year ended December 31, 2009 were approximately $2,478,000.



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##### Table of Contents

Operating expenses were approximately $721,000 for the year ended
December 31, 2009. These expenses include accounting, audit, registrar, and transfer agent, tax and legal fees as well as printing and postage costs related to reports sent to Limited Owners.

Offering costs were approximately $431,000 for the year ended December 31, 2009, a decrease of approximately $95,000
as compared to the year ended December 31, 2008, primarily due to a onetime accounting adjustment in April 1, 2008 which more than offset the increase in average net asset levels discussed above. Offering costs are advanced by the Managing
Owner and subject to reimbursement by the Registrant, subject to certain limitations. For a further discussion of these payments, see Note 2 of Registrants 2010 Annual Report, attached hereto.

Year Ended December 31, 2008

The Net Asset Value per Interest of Class I as of December 31, 2008, was $120.57, an increase of $15.17 from the December 31, 2007 Net Asset Value per Interest of $105.40.

The Net Asset Value per Interest of Class II as of December 31, 2008, was $123.39, an increase of $17.63 from the
December 31, 2007 Net Asset Value per Interest of $105.76

Registrants average net asset level for
the year ended December 31, 2008 was approximately $105,884,000, an increase of approximately $33,187,000 as compared to the year ended December 31, 2007 primarily due to the effect of additional subscriptions and positive trading
performance.

Registrants performance for Class I and Class II for the year ended December 31, 2008
was 14.39% and 16.67%, respectively. Performance includes the percentage change in Registrants Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of trading gains/(losses) less any
commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

Registrants trading gains before commissions and related fees for the year ended December 31, 2008 were
approximately $24,283,000.

Interest income is earned on the average daily equity maintained with the clearing
broker or bank at competitive interest rates. Therefore, interest income varies monthly according to interest rates, trading performance, contributions and redemptions. Interest income for the year ended December 31, 2008 was approximately
$1,342,000, a decrease of approximately $1,711,000 as compared to the year ended December 31, 2007 primarily due to declining short-term interest rates which more than offset the increase in average net asset levels discussed above.

Commissions and other transaction fees consist of National Futures Association, exchange and clearing fees as well as
floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisors execute, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees
for the year ended December 31, 2008 were approximately $289,000, a decrease of approximately $29,000 as compared to the year ended December 31, 2007 primarily due to the replacement in May 2007 of a futures based trading advisor
(Bridgewater) with a foreign exchange based Trading Advisor (Ortus) that incurs lower trading costs.

Management fees to the Trading Advisors are calculated on the net assets in the managed accounts at the end of each month
and, therefore, affected by monthly trading performance, contributions and redemptions. Management fees to the Trading Advisors for the year ended December 31, 2008 were approximately $2,399,000, an increase of approximately $710,000 as
compared to the year ended December 31, 2007, primarily due to an increase in average net asset levels discussed above.

Registrant pays the Managing Owner a management fee calculated on Registrants Net Asset Value at the beginning of each month, and therefore, such fee is affected by monthly trading performance,
contributions and redemptions. Management fees to the Managing Owner for the year ended December 31, 2008 were approximately $539,000, an increase of approximately $171,000 as compared to the year ended December 31, 2007 primarily due to
an increase in average net asset levels discussed above.

For the year ended December 31, 2008 and 2007
Registrant paid a Service Fee with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Unit of the outstanding Class I Units as of the beginning of the month. The Service Fee was paid directly
by Registrant to the Selling Agent, an affiliate of the Managing Owner. The Selling Agent was responsible for paying all service fees owed to the correspondent selling agents, who were



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entitled to receive from the Selling Agent an initial service fee equal to 2% of the initial Net Asset Value per Unit of each Class I Unit sold by them, payable on the date such Class I Units are
purchased and, commencing with the 13th month after the purchase of a Class I Unit, an ongoing monthly service fee equal to 1/12th of 2% (2% per annum) of the Net Asset Value per Unit as of the beginning of the month of the Class I Units sold by
them. All Unitholders will also pay the Selling Agent a monthly Sales Commission equal to 1/12 of 1% (1% annually) of the Net Asset Value of the outstanding Units as of the beginning of each month. Service Fees and Sales Commissions for the year
ended December 31, 2008 were approximately $1,891,000 and $1,079,000, respectively. The increases of Service Fees and Sales Commissions were approximately $513,000 and $342,000 during 2008 as compared to 2007, primarily due to an increase in
average net asset levels discussed above.

Incentive fees are based on the New High Net Trading
Profits generated by the Trading Advisors, as defined in the Trading Advisory Agreements between Registrant and the Trading Advisors. Incentive fees for the year ended December 31, 2008 were approximately $5,318,000.

Operating expenses were approximately $763,000 for the year ended December 31, 2008. These expenses include
accounting, audit, registrar, and transfer agent, tax and legal fees as well as printing and postage costs related to reports sent to Limited Owners.

Offering costs were approximately $526,000 for the year ended December 31, 2008, an increase of approximately $158,000 as compared to the year ended December 31, 2007 primarily due to an
increase in average net asset levels discussed above. Offering costs are advanced by the Managing Owner and subject to reimbursement by the Registrants, subject to certain limitations.

Inflation

Inflation has had no material impact on
operations or on the financial condition of Registrant from inception through December 31, 2010.

Off-Balance Sheet Arrangements and
Contractual Obligations

Registrant does not have any off-balance-sheet arrangements (as defined in
Regulation S-K 303(a)(4)(ii)) that have or are reasonably likely to have a current or future effect on its financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital
resources that is material to investors.

Registrants contractual obligations are with the Managing
Owner, the Trading Advisors and its commodity broker. Management fees payable by Registrant to the Trading Advisors and the Managing Owner are calculated as a fixed percentage of Registrants Net Asset Value. Incentive fees payable by the
Registrant to the Trading Advisors are at a fixed rate, calculated as a percentage of Registrants New High Net Trading Profits (as defined in the Advisory Agreements). As such, the Managing Owner cannot anticipate the amounts to be
paid for future periods as Net Asset Values and New High Net Trading Profits are not known until a future date. Commissions payable to Registrants commodity broker are based on a cost per executed trade and, as such, the Managing
Owner cannot anticipate the amount that will be required under the brokerage agreement, as the level of executed trades are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional
one-year terms unless terminated. Additionally, These agreements may be terminated by either party thereto for various reasons. Additionally, Registrant does not enter into other long-term debt obligations, capital lease obligations, operating lease
obligations or other long-term liabilities that would otherwise be reflected on Registrants Statements of Financial Condition, therefore, a table of contractual obligations has not been presented. For a further discussion of Registrants
contractual obligations, see Notes 1, 3, 4, 5 and 7 of Registrants 2010 Annual Report, attached hereto.



|Item 7A. | Quantitative and Qualitative Disclosures About Market Risk
|-------- | ----------------------------------------------------------

Introduction

Past Results Not Necessarily Indicative of Future
Performance

Registrant is a speculative commodity pool. The market sensitive instruments held by it
are acquired for speculative trading purposes, and substantially all of Registrants assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to
Registrants main line of business.



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Market movements result in frequent changes in the fair market value of
Registrants open positions and, consequently, in its earnings and cash flow. Registrants market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels,
the market value of financial instruments and contracts, the diversification effects among Registrants open positions and the liquidity of the markets in which it trades.

Registrant rapidly acquires and liquidates both long and short positions in a wide range of different markets.
Consequently, it is not possible to predict how a particular futures market scenario will affect performance, and Registrants past performance is not necessarily indicative of its future results.

Value at Risk is a measure of the maximum amount which Registrant could reasonably be expected to lose
in a given market sector. However, the inherent uncertainty of Registrants speculative trading and the recurrence in the markets traded by Registrant of market movements far exceeding expectations could result in actual trading or non-trading
losses far beyond the indicated Value at Risk or Registrants experience to date (i.e., risk of ruin). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantification
included in this section should not be considered to constitute any assurance or representation that Registrants losses in any market sector will be limited to Value at Risk or by Registrants attempts to manage its market risk.

Standard of Materiality

Materiality as used in this section, Quantitative and Qualitative Disclosures About Market Risk, is based on
an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of Registrants market sensitive instruments.

Quantifying Registrants Trading Value at Risk

Quantitative Forward-Looking Statements

The
following quantitative disclosures regarding Registrants market risk exposures contain forward-looking statements within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the Securities Act) and Section 21E of the Securities Exchange Act of 1934. as amended (the Exchange
Act)).

Registrants risk exposure in the various market sectors traded by the Trading Advisors
is quantified below in terms of Value at Risk. Due to Registrants mark-to-market accounting, any loss in the fair value of Registrants open positions is directly reflected in Registrants earnings (realized or unrealized) and cash
flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by Registrant as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses
reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current
market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been
used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

In the case of market sensitive instruments that are not exchange-traded (almost exclusively currencies in the case of Registrant), the margin requirements for the approximate estimated equivalent futures
positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, estimated dealers margins have been used.

In quantifying Registrants Value at Risk, 100% positive correlation in the different positions held in each market
risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading categorys aggregate Value at Risk. The diversification effects resulting from the fact
that Registrants positions are rarely, if ever, 100% positively correlated have not been reflected.



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Registrants Trading Value at Risk in Different Market Sectors

The following table presents the trading value at risk associated with Registrants open
positions by market sector at December 31, 2010, and December 31, 2009. All open position trading risk exposures of Registrant have been included in calculating the figure set forth below. At December 31, 2010 and December 31,
2009, Registrant had total capitalizations of approximately $150 million, and $128 million, respectively.



|               |  |                   |            |  |                          |  |      |           |  |   |                          |  |  |  |       |  
|-------------- |  | ----------------- | ---------- |  | ------------------------ |  | ---- | --------- |  | - | ------------------------ |  |  |  | ----- | -
|               |  | December 31, 2010 |            |  | December 31, 2009        | 
|Market Sector  |  | ValueRisk         |            |  | % of TotalCapitalization |  |      | ValueRisk |  |   | % of TotalCapitalization | 
|               |  |                   |            | 
|Interest rates |  | $                 | 522,734    |  |                          |  | 0.35 | %         |  | $ | 1,914,256                |  |  |  | 1.50  | %
|               |  |                   |            | 
|Currencies     |  | $                 | 5,142,754  |  |                          |  | 3.43 | %         |  | $ | 6,656,831                |  |  |  | 5.22  | %
|               |  |                   |            | 
|Commodities    |  | $                 | 4,036,258  |  |                          |  | 2.69 | %         |  | $ | 3,580,470                |  |  |  | 2.81  | %
|               |  |                   |            | 
|Stock indices  |  | $                 | 3,341,705  |  |                          |  | 2.23 | %         |  | $ | 4,379,867                |  |  |  | 3.43  | %
|               |  |                   |            |  |                          |  |      |           |  |   |                          |  |  |  |       |  
|Total          |  | $                 | 13,043,451 |  |                          |  | 8.70 | %         |  | $ | 16,531,425               |  |  |  | 12.96 | %
|               |  |                   |            |  |                          |  |      |           |  |   |                          |  |  |  |       |  

Material Limitations on Value at Risk as an Assessment of Market Risk

The notional value of the market sector instruments held by Registrant is typically many times the applicable maintenance
margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of the face value) as well as many times the total capitalization of Registrant. The magnitude of Registrants open positions creates a
risk of ruin not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions, although unusual, but historically recurring from time to time, could cause Registrant to incur severe
losses over a short period of time. The foregoing Value at Risk table, as well as the past performance of Registrant give no indication of this risk of ruin.

Non-Trading Risk

Registrant has non-trading market
risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding Registrants market risk exposuresexcept for (i) those disclosures that are statements of historical fact and (ii) the descriptions
of how Registrant manages its primary market risk exposuresconstitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Registrants primary market risk
exposures as well as the strategies used and to be used by the Managing Owner and the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, one of which could cause the actual results of
Registrants risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid market, the emergence of dominant fundamental factors, political upheavals, changes in
historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Registrant.
There can be no assurance that Registrants current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose
all or substantially all of their investment in Registrant.

Based on trading value at risk during the
year ended December 31, 2010, Registrant experienced a decrease of 4.26% in its value at risk of 8.70%, relative to capitalization levels, as compared with the value at risk of 12.96% at



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December 31, 2009. The decrease was a portfolio-wide occurrence. The value at risk in the currency sector declined the most, followed by decreases in the stock indices, interest rates, and
commodities sectors.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Managing Owner and the Trading Advisors, severally, attempt to manage the risk of
Registrants open positions is essentially the same in all market categories traded.

The Trading Advisor
attempts to minimize market risk exposure by applying their own risk management trading policies that include the diversification of trading assets into various market sectors. Additionally, the Trading Advisors have an oversight committee broadly
responsible for evaluating and overseeing the Trading Advisors trading policies. The oversight committee meets periodically to discuss and analyze issues such as liquidity, position size, capacity, performance cycles, and new product and
market strategies.

The Managing Owner attempts to minimize market risk exposure by requiring the Trading
Advisors to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies which include, but are not limited to, limiting the amount of margin or premium required for any one
commodity or all commodities combined and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, the Managing Owner shall automatically terminate a Trading
Advisor if the Net Asset Value of Registrant declines by 40% during any year or since the commencement of trading activities. Furthermore, the Trust Agreement provides that Registrant will liquidate its positions, and eventually dissolve, if
Registrant experiences a decline in the net asset value of 50% in any year or since the commencement of trading activities. In each case, the decline in Net Asset Value is after giving effect for contributions, distributions and redemptions. The
Managing Owner may impose additional restrictions (through modifications of such trading limitations and policies) upon the trading activities of the Trading Advisors as it, in good faith, deems to be in the best interest of Registrant.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

As of December 31, 2010, Registrant has non-trading market risk on its foreign cash balances not needed for margin.
However, these balances (as well as any market risk they represent) are immaterial. Registrants primary exposure to non-trading market risk resulted from foreign currency balances held in the Euro, British pound, Swiss Franc, Hong Kong dollar,
Japanese yen, Australian dollars and Canadian dollar.



|Item 8. | Financial Statements and Supplementary Data
|------- | -------------------------------------------

The financial statements are incorporated by reference to pages 2 through 21 of Registrants 2010 Annual Report, which is filed as an exhibit herewith.

[REMAINDER OF PAGE LEFT BLANK INTENTIONALLY]



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Selected unaudited quarterly financial data for the years ended
December 31, 2010 and 2009 are summarized below:



|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|-------------------------------------------------------- |  | ------------ | ---------- | - | ------------- | - | ---------- | ------------ |  | - | ------------- |  |  | - | ---------- | -
|                                                         |  | FirstQuarter |            |   | SecondQuarter |   |            | ThirdQuarter |  |   | FourthQuarter | 
|2010:                                                    |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Total revenues (including interest)                      |  | $            | (205,247   | ) |               | $ | 2,504,150  |              |  | $ | 6,386,029     |  |  | $ | 7,591,543  |  
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Total revenues (including interest) less commissions     |  | $            | (438,960   | ) |               | $ | 2,331,994  |              |  | $ | 6,212,027     |  |  | $ | 7,390,823  |  
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss)                                        |  | $            | (2,717,255 | ) |               | $ | (148,901   | )            |  | $ | 3,387,785     |  |  | $ | 4,087,659  |  
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss) per weighted average Interest-Class I  |  | $            | (2.64      | ) |               | $ | (0.21      | )            |  | $ | 2.92          |  |  | $ | 3.49       |  
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss) per weighted average Interest-Class II |  | $            | (2.08      | ) |               | $ | 0.40       |              |  | $ | 3.60          |  |  | $ | 4.45       |  
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|                                                         |  | FirstQuarter |            |   | SecondQuarter |   |            | ThirdQuarter |  |   | FourthQuarter | 
|2009:                                                    |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Total revenues (including interest)                      |  | $            | (5,296,340 | ) |               | $ | 15,746,074 |              |  | $ | 7,543,376     |  |  | $ | (2,368,905 | )
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Total revenues (including interest) less commissions     |  | $            | (5,399,855 | ) |               | $ | 15,604,610 |              |  | $ | 7,331,303     |  |  | $ | (2,617,737 | )
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss)                                        |  | $            | (7,364,532 | ) |               | $ | 12,198,117 |              |  | $ | 4,251,566     |  |  | $ | (4,692,756 | )
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss) per weighted average Interest-Class I  |  | $            | (7.24      | ) |               | $ | 12.02      |              |  | $ | 4.18          |  |  | $ | (4.75      | )
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  
|                                                         |  |              |            |  
|Net income (loss) per weighted average Interest-Class II |  | $            | (6.81      | ) |               | $ | 12.90      |              |  | $ | 5.36          |  |  | $ | (4.10      | )
|                                                         |  |              |            |   |               |   |            |              |  |   |               |  |  |   |            |  

There were no extraordinary, unusual or infrequently occurring items recognized in any
quarter reported above, and the Trust has not disposed of any segments of its business. There have been no year-end adjustments that are material to the results of any fiscal quarter reported above.



|Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
|------- | ------------------------------------------------------------------------------------

None



|Item 9A. | Controls and Procedures
|-------- | -----------------------

Evaluation of Disclosure Controls and Procedures

Registrants disclosure controls and procedures (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the Exchange
Act)) are designed to ensure that information required to be disclosed by Registrant in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and
forms of the Securities and Exchange Commission (the SEC), and that such information is accumulated and communicated to Registrants management, including the Managing Owners Co-Chief Executive Officers and Director of
Fund Administration (who, in these capacities, function as the Principal Executive Officers and Principal Financial Accounting/Officer, respectively, of Registrant), as appropriate to allow for timely decisions regarding required disclosure.

In designing and evaluating Registrants disclosure controls and procedures, the Managing Owner
recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. In addition, the design of disclosure controls and procedures must reflect the



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fact that there are resource constraints and that management is required to apply its judgment in evaluating the benefits of possible controls and procedures relative to their costs. Because of
the inherent limitations in all control systems, no evaluation of the controls can prove absolute assurance that all control issues and instances of fraud, if any, within Registrant have been detected.

The Managing Owners management, under the supervision and with the participation of certain officers of the
Managing Owner (including the Managing Owners Co-Chief Executive Officers and Director of Fund Administration), has evaluated the effectiveness of Registrants disclosure controls and procedures as of December 31, 2010. Based upon
such evaluation, the Managing Owners Co-Chief Executive Officers and Director of Fund Administration have concluded that, as of December 31, 2010, Registrants disclosure controls and procedures were effective.

Managements Report on Internal Control Over Financial Reporting

Registrants management is responsible for establishing and maintaining adequate internal control over financial
reporting, as such term is defined in Exchange Act Rules 13a-15(f) and 15d-15(f). Under the supervision and with the participation of Registrants management, including the Managing Owners Co-Chief Executive Officers and Director of Fund
Administration, Registrant conducted an evaluation of the effectiveness of its internal control over financial reporting as of December 31, 2010 based on the framework in Internal Control - Integrated Framework issued by the
Committee of Sponsoring Organizations of the Treadway Commission (COSO). Based on the evaluation under the framework in Internal Control - Integrated Framework issued by COSO, the Managing Owner concluded that
Registrants internal controls over financial reporting were effective as of December 31, 2010.

There are inherent limitations in the effectiveness of any internal control system, including the possibility of human
error and the circumvention of overriding controls. Because of these inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Accordingly, even effective internal control over financial reporting can
provide only reasonable assurance with respect to financial statement preparation and presentation. Also, projections of any evaluation of the effectiveness of internal control over financial reporting to future periods are subject to the risk that
the controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Attestation Report of the Registered Public Accounting Firm

Registrants 2010 Annual Report does not include an attestation report of Registrants independent registered public accounting firm regarding the Registrants internal control over
financial reporting. Managements report was not subject to attestation by Registrants independent registered public accounting firm pursuant to rules of the SEC that permit Registrant to provide only managements report in
Registrants 2010 Annual Report.

Changes in Internal Control Over Financial Reporting

There have been no changes in Registrants internal control over financial reporting (as defined in Rules 13a 
15(f) and 15d  15(f) under the Exchange Act) during the fourth quarter of 2010 that have materially affected, or are reasonably likely to materially affect, Registrants internal control over financial reporting.



|Item 9B. | Other Information
|-------- | -----------------

None

Part III



|Item 10. | Directors, Executive Officers and Corporate Governance
|-------- | ------------------------------------------------------

Registrant had no directors or executive officers. Registrant is managed by the Managing Owner. The directors and executive officers of the Managing Owner are as follows:

Kenneth A. Shewer has been listed as a principal, registered as an associated person and has been an NFA associate
member of the Managing Owner since February 8, 1984, May 1, 1985 and August 1, 1985, respectively. He has been Chairman and Co-Chief Executive Officer of the Managing Owner since February 1984. Mr. Shewer has been Chairman
and Co-Chief Executive Officer of Kenmar Global Investment Management LLC (KGIM LLC), an investment management firm, since its inception in October 2005, and has been listed as a principal, registered as an associated person and
has been an NFA associate member since December 12, 2005. Mr. Shewer has been Chairman and Co-Chief Executive Officer of Signature Advisors Group LLC, an investment management firm, since its inception in



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October 2005. Mr. Shewer has been Chairman and Co-Chief Executive Officer of and ClariTy, an investment management firm, since its inception in May 2009, and has been listed as a principal,
registered as an associated person and has been an NFA associate member since June 9, 2009, June 10, 2009 and June 24, 2009, respectively. Mr. Shewer has been a director of Kenmar Securities Inc. (KSEC), a
broker-dealer, since December 1995, and has been listed as a principal since May 3, 2004. Mr. Shewer is Co-Chairman of the Managing Owners Investment Committee.

Mr. Shewer was listed as a principal, registered as an associated person and was an NFA associate member of Kenmar
GIM Inc., an investment management firm, from March 3, 1999 until February 24, 2007; listed as a principal, registered as an associated person and was an NFA associate member of Kenmar Global Strategies Inc., an investment management firm,
from October 12, 1993 until April 7, 2006; and listed as a principal and registered as an associated person of Kenmar IA Corp, an investment management firm, from August 5, 1991 until January 12, 2007, and was an NFA associate
member from May 5, 1992 until January 12, 2007.

Mr. Shewer graduated from Syracuse University
with a B.S. degree in 1975. Mr. Shewer sits on the Board of the Stacy Joy Goodman Memorial Foundation, a non-profit charity committed to finding a cure for Juvenile Diabetes. He is also a member of the Board of the Diabetes Research Institute
Foundation, a not-for-profit organization affiliated with the University of Miami School of Medicine. Mr. Shewer is a founding member and member of the Board of the Greenwich Roundtable.

Marc S. Goodman has been listed as a principal, registered as an associated person and has been an NFA associate
member of the Managing Owner since February 7, 1984, May 1, 1985 and August 1, 1985, respectively. He has been President and Co-Chief Executive Officer of the Managing Owner since February 1984. Mr. Goodman has been
President, Co-Chief Executive Officer and Treasurer of KGIM LLC, an investment management firm, since its inception in October 2005, and has been listed as a principal, registered as an associated person and has been an NFA associate member since
December 12, 2005. He has been President, Co-Chief Executive Officer and Treasurer of Signature, an investment management firm, since its inception in October 2005. Mr. Goodman has been President, Co-Chief Executive Officer and Treasurer
of ClariTy, an investment management firm, since its inception in May 2009, and has been listed as a principal, registered as an associated person and has been an NFA associate member since June 9, 2009, June 10, 2009 and
June 24, 2009, respectively. He has been a director of KSEC, a broker-dealer, since December 1995, and has been listed as a principal since May 3, 2004. Mr. Goodman is Co-Chairman of the Managing Owners Investment Committee.

Mr. Goodman was listed as a principal, registered as an associated person and was an NFA associate
member of Kenmar GIM Inc., an investment management firm, from March 3, 1999 until February 24, 2007; listed as a principal, registered as an associated person and was an NFA associate member of Kenmar Global Strategies Inc., an investment
management firm, from October 12, 1993 until April 7, 2006; and listed as a principal and registered as an associated person of Kenmar IA Corp, an investment management firm, from August 5, 1991 on January 12, 2007, and was an
NFA associate member from May 5, 1992 until January 12, 2007.

Mr. Goodman graduated from the
Bernard M. Baruch School of Business of the City University of New York with a B.B.A. in 1969 and an M.B.A. in 1971 in Finance and Investments, where he was awarded an Economics and Finance Department Fellowship from September 1969 through June
1971. Mr. Goodman is a member of the American Arbitration Association; while at Pasternak, Baum, he was a member of the National Institute of Oilseeds Products and the American Fats and Oils Association (including its Export Rules Committee).

Mr. Goodman is the Chairman of the Board of the Stacy Joy Goodman Memorial Foundation, a non-profit
charity committed to finding a cure for Juvenile Diabetes. He is also Chairman of the Board of the Diabetes Research Institute Foundation, a not-for-profit organization that is the principle source of funding for the Diabetes Research Institute, a
world renowned cure based research center affiliated with the University of Miami School of Medicine. Mr. Goodman is a founding member of the Greenwich Roundtable.

Esther Eckerling Goodman has been listed as a principal, registered as an associated person and has been an NFA
associate member of the Managing Owner since May 12, 1988, July 17, 1986 and July 17, 1986, respectively. She joined the Managing Owner in July 1986 and is its Senior Executive Vice President and Chief Operating Officer.
Ms. Goodman has been Senior Executive Vice President and Chief Operating Officer of KGIM LLC, an investment management firm since its inception in October 2005, and listed as a principal, registered as an associated person and has been an
NFA associate member since December 9, 2005, December 12, 2005 and December 12, 2005, respectively. She has been Senior Executive Vice President and Chief Operating Officer of Signature, an investment management firm, since
its inception in October 2005. She has been Senior Executive Vice President and Chief Operating Officer of ClariTy, an investment management firm, since its inception in May 2009, and has been listed as a principal, registered



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as an associated person and has been an NFA associate member since June 9, 2009, June 10, 2009 and June 24, 2009, respectively. Ms. Goodman has been a registered
representative with KSEC, a broker-dealer, since December 1995, Senior Executive Vice President and Chief Operating Officers since October 2010, and listed as a principal, registered as an associated person and has been an NFA associate member since
January 22, 2003, June 24, 2003 and June 24, 2003, respectively. She is a member of the Managing Owners Investment Committee.

Ms. Goodman was listed as a principal, registered as an associated person and was an NFA associate member of Kenmar GIM Inc., an investment management firm, from March 3, 1999 until
February 24, 2007; listed as a principal, registered as an associated person and was an NFA associate member of Kenmar Global Strategies Inc., an investment management firm, from October 12, 1993 until April 7, 2006; and listed as a
principal and registered as am associated person of Kenmar IA Corp, an investment management firm, from August 5, 1991 until January 12, 2007, and was an NFA associate member from May 5, 1992 until January 12, 2007.

Ms. Goodman was a Director of the Managed Futures Trade Association from 1987 to 1991 and a Director of its
successor organization, the Managed Futures Association, from 1991 to 1995 (now the Managed Funds Association). Ms. Goodman graduated from Stanford University with a B.A. degree in psychology in 1974.

Braxton Glasgow IIIhas been an Executive Vice President of the Managing Owner since joining the Managing Owner in
May 2001. He has been listed as a principal, registered as an associated person, approved as a branch manager and has been an NFA associate member of the Managing Owner since June 21, 2001, June 21, 2001, July 13, 2004 and
June 8, 2001, respectively. Mr. Glasgow has been Executive Vice President of KGIM LLC, an investment management firm, since its inception in October 2005, listed as a principal, registered as an associated person and has been an NFA
associate member since December 12, 2005, and has been a branch manager since December 21, 2006. Mr. Glasgow has been Chief Executive Officer of KSEC, a broker-dealer, since June 2001, and has been listed as a principal, registered as
an associated person, approved as a branch manager and has been an NFA associate member of KSEC since January 12, 2006. He is responsible for business development. Mr. Glasgow is a member of the Managing Owners Investment Committee.

Mr. Glasgow was listed as a principal, registered as an associated person and was an NFA associate
member of Kenmar GIM Inc., an investment management firm, from October 9, 2001 until February 24, 2007 and approved as a branch manager from July 13, 2004 until February 24, 2007; registered as an associated person and was
an NFA associate member of Kenmar Global Strategies Inc., an investment management firm, from August 9, 2001 until April 7, 2006 and listed as a principal of Kenmar Global Strategies Inc. from August 13, 2001 until April 7, 2006;
and listed as a principal of Kenmar IA Corp., an investment management firm, from May 4, 2004 until January 12, 2007, and registered as an associated person, was an NFA associate member and approved as a branch manager of Kenmar IA Corp.
from August 28, 2006 until January 12, 2007.

Mr. Glasgow received a B.S. in Accounting from
the University of North Carolina at Chapel Hill and is a Certified Public Accountant. He received a B.S. degree in accounting from the University of North Carolina in 1975.

Joanne D. Rosenthalhas been Senior Vice President and Director of Research of the Managing Owner since July 2009
and Senior Vice President and Director of Portfolio Management and Implementation from October 1999 through June 2009. Ms. Rosenthal has been listed as a principal, registered as an associated person and has been an NFA associate member of the
Managing Owner since February 29, 2000, February 29, 2000 and November 30, 1999, respectively. She has been Senior Vice President and Director of Research of KGIM LLC, an investment management firm, since July 2009, Senior Vice
President and Director of Portfolio Management and Implementation of KGIM LLC from its inception in October 2005 through June 2009, has been listed as a principal of KGIM LLC since December 12, 2005, and registered as an associated person and
has been an NFA associate member since October 10, 2006. Ms Rosenthal has been Senior Vice President and Director of Research of ClariTy, an investment management firm, since July 15, 2009 and has been listed as a principal since
July 15, 2009. She has been a registered representative of KSEC, a broker-dealer, since October 1999 and has been listed as a principal, registered as an associated person and has been an NFA associate member of KSEC since August 28, 2006.
Ms. Rosenthal is a member of the Managing Owners Investment Committee.

Ms. Rosenthal was
listed as a principal of Kenmar GIM Inc., an investment management firm, from February 29, 2000 until February 24, 2007, and registered as an associated person and was an NFA associate member from October 10, 2006 until
February 24, 2007; listed as a principal of Kenmar Global Strategies Inc., an investment management firm, from February 29, 2000 until April 7, 2006; and listed as a principal of Kenmar IA Corp., an investment management firm, from
February 29, 2000 until January 12, 2007.



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Ms. Rosenthal received a Masters of Business Administration with a
concentration in Finance from Cornell University and a Bachelor of Arts in Economics from Concordia University in Montreal, Canada.

Peter J. Fellhas been Senior Vice President, Director of Due Diligence since joining the Managing Owner in September 2004. He has been listed as a principal of the Managing Owner since
February 6, 2007. He Mr. Fell has been Senior Vice President and Director of Due Diligence of KGIM LLC, an investment management firm, since its inception in October 2005, and has been listed as a principal since February 6, 2007.
Mr. Fell has been Senior Vice President and Director of Due Diligence of ClariTy, an investment management firm, since its inception in May 2009, and has been listed as a principal since June 9, 2009. In his capacity of Director of Due
Diligence of the Managing Owner, KGIM LLC and ClariTy, he is responsible for identification and initial and ongoing due diligence of underlying trading advisors, including the Advisors. Mr. Fell is a member of the Managing Owners
Investment Committee.

Mr. Fell was listed as a principal of Kenmar GIM Inc., an investment management
firm, from February 6, 2007 until February 24, 2007.

Mr. Fell holds an A.B. cum laude in Music
Theory and History and an M.B.A. in Finance from Columbia University.

James E. Purnell joined the
Managing Owner in January 2010 and is currently Senior Vice President and Chief Risk Officer. He also serves as Senior Vice President and Chief Risk Officer of KGIM LLC and ClariTy. Mr. Purnell has been listed as a principal of the Managing
Owner, KGIM LLC and ClariTy since April 27, 2010. Mr. Purnell is a Member of the Managing Owners Investment Committee. In addition, Mr. Purnell is an adjunct professor in finance at Pace University.

From November to December 2009, Mr. Purnell was unemployed. From June 2008 to October 2009, he was the Head of Risk
Management at Tremont Capital Management, an investment management firm that was part of the Mass Mutual Group. From April 2001 until June 2008, Mr. Purnell was a Director at Dresdner Kleinwort Wasserstein Securities LLC which was the broker
dealer for Dresdner Bank, one of Europes largest banks, where he risk-managed and structured the US hedge fund linked structured products portfolio.

Mr. Purnell graduated with a B.A. and M.A. in History from Harvard in 1982 and 1983, respectively, and an M.A. in Economics and an M.B.A. in Finance from New York University in 1988.

Melissa Cohn has been Senior Vice President of Research of the Managing Owner since January 2010 and Vice
President, Managing Director and Senior Research Analyst since she joined the Managing Owner in July 1988. She has been registered as an associated person and has been an NFA associate member of the Managing Owner since October 20, 1988 and
November 9, 1988, respectively. Ms Cohn has been Senior Vice President of Research of KGIM LLC since January 2010 and Vice President, Managing Director and Senior Research Analyst since its inception in October 2005. Her responsibilities
include manager due diligence, manager analysis, and portfolio/risk management. Ms. Cohn is a member of the Managing Owners Investment Committee.

Ms. Cohn graduated from the University of Wisconsin Madison with a B.S. in Agriculture in 1982.

Gordon Nicholson joined the Managing Owner in June 2005 and currently serves as Vice President, Director and Senior Research Analyst for the Managing Owner and KGIM LLC, an investment management
firm. He is responsible for due diligence efforts on fixed income, credit, and arbitrage managers. Mr. Nicholson is also a member of the Managing Owners Investment Committee.

Prior to joining the Managing Owner, he was the Advisor  Credit and Pricing, at Bombardier, Inc., a manufacturer of
planes and trains, where he held positions of increasing responsibility from April 2003 to June 2005.

Mr. Nicholson graduated from John Abbott College in 1985 with a Diploma of Collegiate Studies - Pure and Applied
Sciences; from Bishops University in 1988 with a B.A. in Political Science and Economics and from Vermont Law School in 1993 with a J.D. Mr. Nicholson is also a Certified Financial Advisor and Chartered Alternative Investment Analyst.

Lawrence S. Block has been Executive Vice President and General Counsel of the Managing Owner since
January 2010, Senior Vice President and General Counsel of the Managing Owner from March 2005 to December 2009,



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and has been listed as a principal of the Managing Owner since March 17, 2005. Mr. Block has been Executive Vice President and General Counsel KGIM LLC, an investment management firm,
since January 2010, Senior Vice President and General Counsel from its inception in October 2005 through December 2009, and listed as a principal since December 12, 2005. He has been Executive Vice President and General Counsel of Signature, an
investment management firm, since January 2010, and Senior Vice President and General Counsel from its inception in October 2005 through December 2009. Mr. Block has been Executive Vice President and General Counsel of ClariTy, an investment
management firm, since January 2010, Senior Vice President and General Counsel from its inception in May 2009 through December 2009, and has been listed as a principal since June 9, 2009. He has been Executive Vice President and General Counsel
of KSEC, a broker-dealer, since January 2010, Senior Vice President and General Counsel since March 2005, and has been listed as a principal since March 17, 2005.

Mr. Block was Senior Vice President and General Counsel of Kenmar GIM Inc., an investment management firm, and was
listed as a principal from March 17, 2005 until February 24, 2007; Senior Vice President and General Counsel of Kenmar Global Strategies Inc., an investment management firm, and listed as a principal from March 17, 2005 until
April 7, 2006; and Senior Vice President and General Counsel of Kenmar IA Corp., an investment management firm, and listed as a principal from March 17, 2005 until January 12, 2007.

Prior to joining the Managing Owner, Mr. Block was a Managing Director and General Counsel of Lipper &
Company, L.P., a New York-based investment management firm, from January 1998 until March 2005. Mr. Block received a B.S. in Business Administration with a concentration in Accounting from the University of North Carolina at Chapel Hill in 1989
and a J.D. from the University of Pennsylvania School of Law in 1992.

Maureen D. Howley has been a
Senior Vice President and Chief Financial Officer of the Managing Owner since joining the Managing Owner in July 2003. She has been listed as a principal of the Managing Owner since August 11, 2003. Ms. Howley has been Senior Vice
President and Chief Financial Officer of KGIM LLC, an investment management firm, since its inception in October 2005, and has been listed as a principal since December 12, 2005. She has been Senior Vice President and Chief Financial Officer of
Signature, an investment management firm, since its inception in October 2005. Ms. Howley has been Senior Vice President and Chief Financial Officer of ClariTy, an investment management firm, since its inception in May 2009, and has been listed
as a principal since June 9, 2009. Ms. Howley has been Senior Vice President and Chief Financial Officer of KSEC, a broker-dealer, since August 2003, and has been listed as a principal since January 12, 2006. She is responsible for
corporate finance.

Ms. Howley was Senior Vice President and Chief Financial Officer of Kenmar GIM Inc.,
an investment management firm, and listed as a principal from August 11, 2003 until February 24, 2007, Senior Vice President and Chief Financial Officer of Kenmar Global Strategies Inc., an investment management firm, and listed as a
principal from August 11, 2003 until April 7, 2006; and Senior Vice President and Chief Financial Officer of Kenmar IA Corp., an investment management firm, and listed as a principal from August 11, 2003 until January 12, 2007.

Ms. Howley received a B.A. in Accounting from Muhlenberg College in 1989 and designation as a Certified
Public Accountant in 1990.

David K. Spohr has been Senior Vice President and Director of Fund
Administration of the Managing Owner since November 2006, Vice President and Director of Fund Administration of the Managing Owner from March 2005 to October 2006, and has been listed as a principal of the Managing Owner since May 7, 2007. He
has been Senior Vice President and Director of Fund Administration of KGIM LLC, an investment management firm, since November 2006, Vice President and Director of Fund Administration of KGIM LLC from March 2005 through October 2006, and has been
listed as a principal since May 7, 2007. Mr. Spohr has been Senior Vice President and Director of Fund Administration of Signature, an investment management firm, since November 2006, and Vice President and Director of Fund Administration
of Signature from March 2005 through October 2006. He has been Senior Vice President and Director of Fund Administration of ClariTy since its inception in May 2009, and has been listed as a principal since June 9, 2009. He is responsible for
the development and execution of the administration group support responsibilities.

From June 2002 to March
2005, Mr. Spohr was a Vice President at Safra Group, a firm engaged in banking, brokerage and asset management activities, where he was responsible for the Alternative Investment operations, tax reporting and pricing valuation.

Mr. Spohr received a B.S. in Business Economics from The State University of New York College at Oneonta in 1985 and
designation as a Chartered Financial Analyst in 1998.



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Jennifer S. Moros has been Senior Vice President and Director of
Marketing and Investor Services since she joined the Managing Owner in January 2007. She has been listed as a principal of the Managing Owner since January 24, 2007. Ms. Moros has been Senior Vice President and Director of Marketing and
Investor Services of KGIM LLC, an investment management firm, since January 2007, and has been listed as a principal since January 24, 2007. Ms. Moros has been a registered representative with KSEC, a broker-dealer, since January 2007, and
has been listed as a principal since January 24, 2007.

Ms. Moros was Senior Vice President and
Director of Marketing and Investor Services of KGIM Inc., an investment management firm, from January 2007 through February 2007, and listed as a principal from January 24, 2007 until February 24, 2007.

From October 2006 until December 2006, she was a Vice President at The Bank of New York, a commercial bank, responsible
for sales in the alternative investment administration department. From September 2005 to September 2006, Ms. Moros was unemployed. From November 2004 until September 2005, she was the Chief Operating Officer and Director of Marketing of
Coronat Capital Management, LLC, an investment management firm. Ms. Moros worked at Credit Suisse, an investment banking firm, from February 2000 through November 2004. She was registered as an associated person at Credit Suisse Securities USA
LLC, a brokerage firm, from July 28, 2004 until November 1, 2004, registered as an associated person at Credit Suisse Asset Management LLC, an investment management firm, from June 18, 2003 until June 8, 2004, and registered as
an associated person at Credit Suisse Alternative Capital Inc., an investment management firm, from June 7, 2004 until March 16, 2007.

Ms. Moros received an M.B.A in Finance from The Sloan School at the Massachusetts Institute of Technology in 1997 and a B.S. in Economics from The Wharton School of the University of Pennsylvania in
1992.

Frank Coloccia has been Senior Vice President and Chief Technology Officer of the Managing Owner
since December 2007. He has been the Senior Vice President and Chief Technology Officer of KGIM LLC, an investment management firm, since December 2007, and Senior Vice President and Chief Technology Officer of ClariTy, an investment management
firm, since its inception in May 2009.

Prior to joining Kenmar, he was a Managing Partner of JFA Group LLC, a
consulting firm he owned from September 2007 until December 2007, and from September 2006 until January 2007. From January 2007 until September 2007, Mr. Coloccia was the Chief Research Officer at The Info Pro, an independent market research
company for the Information Technology industry. Prior to that time, he was Senior Vice President of Xandros Inc., a provider of Linux-based server, desktop and Windows-Linux cross-platform systems management tools, from April 2006 until September
2006. From February 2006 through April 2006, he was doing consulting work for Xandros via the JFA Group. From November 1999 through February 2006, he was the President and Chief Technology Officer of Creative Technologies Group Inc., a consulting
company that specialized in networking and application support for the small-medium enterprises market.

Mr. Coloccia graduated from Manhattan College in 1987 and 1993 with a BS in Computer Information Systems and MBA in
Management Information Systems, respectively.

Section 16(a) Beneficial Ownership Reporting Compliance

Certain of the Managing Owners directors and officers and any persons holding more than ten percent of
Registrants Limited Interests (Ten Percent Owners) are required to report their initial ownership of Interests and any subsequent changes in that ownership to SEC on Forms 3, 4 or 5. Such directors and officers and Ten
Percent Owners are required by SEC regulations to furnish Registrant with copies of all Forms 3, 4 and 5 they file. There are no Ten Percent Owners of Registrants Limited Interests. All filing requirements of Section 16(a) of the Exchange
Act were timely complied with during the fiscal year. In making these disclosures, Registrant has relied solely on written representations of the Managing Owners directors and officers and Registrants Ten Percent Owners or copies of the
reports that they have filed with the SEC during and with respect to its most recent fiscal year.

Code of Ethics

The Managing Owner has adopted a Code of Ethics for its Co-Chief Executive Officers and Director of Fund Administration
(who, in these capacities, function as the Co-Chief Executive Officers and Principal Financial/Accounting Officer, respectively, of Registrant), accounting managers and persons performing similar functions. A copy of the Code of Ethics is attached
as an exhibit hereto.



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Audit Committee Financial Expert

Registrant itself does not have any employees. Kenmar Preferred Investments Corp. serves as Managing Owner of Registrant.
The Board of Directors of the Managing Owner has delegated audit committee responsibilities to the Internal Controls and Disclosure Committee. David K. Spohr is the Managing Owners Director of Fund Administration (and, in that capacity,
functions as Registrants Principal Financial/Accounting Officer), is a member of the Internal Controls and Disclosure Committee, and serves as the audit committee financial expert for Registrant. Mr. Spohr is not a member of
the Managing Owners Board of Directors and he is not independent of management.



|Item 11. | Executive Compensation
|-------- | ----------------------

Registrant does not itself have any officers, directors or employees. Registrant pays management fees to the Managing Owner. The managing officers of the Managing Owner are remunerated by the Managing
Owner in their respective positions.

The managing officers receive no other compensation from
Registrant. There are no compensation plans or arrangements relating to a change in control of either Registrant or the Managing Owner.



|Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters
|-------- | ----------------------------------------------------------------------------------------------

As of March 1, 2011, Kenmar Preferred owns 2,363 General Interests. As of March 1, 2011, all of Kenmar
Preferreds General Interests are owned indirectly and equally by Messrs. Goodman and Shewer, Kenmar Preferreds sole directors.

As of March 1, 2011, the following officers of the Managing Owner are deemed to own beneficially the following number of General Interests issued by Registrant:



Title of Class

Name and Addresses of
Beneficial Owner

Amount and Nature ofBeneficial Ownership

Percent ofClassGeneral Interests

Marc S. Goodman President
& Co-Chief Executive 900 King Street, Suite 100 Rye Brook, New York 10573

2,363 General Interests (*)


100
%General Interests

Kenneth A. Shewer
Chairman & Co-Chief Executive
900 King Street, Suite 100 Rye Brook, New York
10573

2,363 General Interests (*)


100
%General Interests

Esther E. Goodman Senior
Executive Vice President & Chief Operating Officer 900 King Street, Suite 100 Rye Brook, New York 10573

2,363 General Interests (**)


100
%




| | (*) | These Interests are held indirectly through Kenmar Preferred. The Beneficial Owner disclaims beneficial ownership over such securities for purposes
of Section 16 of the Securities Exchange Act of 1934, except to the extent of his pecuniary interest therein.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (**) | These Interests are held by the Beneficial Owners spouse indirectly through Kenmar Preferred. The Beneficial Owner disclaims beneficial
ownership over such securities for purposes of Section 16 of the Securities Exchange Act of 1934, except to the extent of her pecuniary interest therein.
| | ---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

As of March 1, 2011, no Unitholder beneficially owned more than five percent (5%) of the outstanding Limited
Interests of Series J, Class I issued by Registrant.

As of March 1, 2011, no Unitholder beneficially
owned more than five percent (5%) of the outstanding Limited Interests of Series J, Class II issued by Registrant.



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|Item 13. | Certain Relationships and Related Transactions, and Director Independence
|-------- | -------------------------------------------------------------------------

Registrant has and will continue to have certain relationships with the Managing Owner and its affiliates.

Kenmar Preferred Investments Corp. serves as Registrants Managing Owner. Registrant will pay to
the Managing Owner in advance a monthly management fee equal to 1/12thof 0.5% (0.5% per annum) of the Net Asset Value of Registrant as of the beginning of each month.

Registrant reimburses the Managing Owner on a quarterly basis for certain legal, accounting, and administrative and registrar and transfer agent work performed by certain of the Managing Owners
personnel for and on behalf of Registrant. The amount reimbursed is based on (i) the number of hours devoted by the Managing Owners personnel for and on behalf of Registrant and (ii) a commercially reasonable rate for such personnel.
For the years ended December 31, 2010, 2009 and 2008, Registrant reimbursed the Managing Owner $198,600, $161,378 and $117,665, respectively, for services provided by the Managing Owners personnel on behalf of the Registrant.

Director Independence

David K. Spohr is Kenmar Preferreds Director of Fund Administration (and, in that capacity, functions as Registrants Principal Financial/Accounting Officer), is a member of the Internal
Controls and Disclosure Committee, and serves as the audit committee financial expert for Registrant. Mr. Spohr is not a member of Kenmar Preferreds Board of Directors and he is not independent of management.



|Item 14. | Principal Accounting Fees and Services
|-------- | --------------------------------------

Registrants principal accountant since October 15, 2007 has been EisnerAmper LLP (EisnerAmper). We have been advised by EisnerAmper that neither the firm, nor any member of
the firm, has any financial interest, direct or indirect, in any capacity in Registrant or its affiliates.

(a) Audit Fees

Fees for audit services performed by EisnerAmper totaled approximately $151,000, $133,000 and $80,000 for
2010, 2009 and 2008, respectively, including fees associated with the annual audit and the reviews of Registrants quarterly reports on Form 10-Q.

(b) Audit-Related Fees

The audit-related fees billed to
Registrant by EisnerAmper for 2010 totaled $0. The audit-related fees billed to Registrant by EisnerAmper for 2009 totaled approximately $6,000. The audit-related fees billed to Registrant by EisnerAmper for 2008 totaled $0.

(c) Tax Fees

There were no fees for tax services performed by, or billed to the Registrant by EisnerAmper for 2010, 2009 or 2008.

(d) All Other Fees

The other fees billed to Registrant by
EisnerAmper for 2010, 2009 and 2008 totaled $0.



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PART IV



|         |  |                                         |  |                                                                                                                                                                                     |  |                      |        | 
|-------- |  | --------------------------------------- |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------------- | ------ | 
|         |  |                                         |  |                                                                                                                                                                                     |  | Page inAnnual Report |       
|Item 15. |  | Exhibits, Financial Statement Schedules |  |                                                                                                                                                                                     |  |                     
|         |  |                                         | 
|(a)      |  | 1.                                      |  | Financial Statements and Report of Independent Registered Public Accounting Firm  incorporated by reference to Registrants 2010 Annual Report which is filed as an
exhibit hereto |  |                      |        | 
|         |  |                                         | 
|         |  |                                         |  | Report of Independent Registered Public Accounting Firm EisnerAmper LLP                                                                                                            |  |                      | 1      | 
|         |  |                                         | 
|         |  |                                         |  | Financial Statements:                                                                                                                                                               |  |                      |        | 
|         |  |                                         | 
|         |  |                                         |  | Statements of Financial Condition  December 31, 2010 and 2009                                                                                                                      |  |                      | 2      | 
|         |  |                                         | 
|         |  |                                         |  | Condensed Schedules of Investments  December 31, 2010, 2009 and 2008                                                                                                               |  |                      | 3  4  | 
|         |  |                                         | 
|         |  |                                         |  | Statements of Operations  For the years ended December 31, 2010 and 2009                                                                                                           |  |                      | 5      | 
|         |  |                                         | 
|         |  |                                         |  | Statements of Changes in Unitholders Capital  For the years ended December 31, 2010,2009 and 2008                                                                                 |  |                      | 6      | 
|         |  |                                         | 
|         |  |                                         |  | Notes to Financial Statements                                                                                                                                                       |  |                      | 7  21 | 
|         |  |                                         | 
|         |  | 2.                                      |  | Financial Statement Schedules                                                                                                                                                       |  |                      |        | 
|         |  |                                        
|         |  |                                         |  | All schedules have been omitted because they are not applicable or the required information is included in the financial statements or the notes thereto                            | 
|         |  |                                         | 
|         |  | 3.                                      |  | Exhibits                                                                                                                                                                            |  |                      |        | 
|         |  |                                         | 
|         |  | (a)                                     |  | Description:                                                                                                                                                                        |  |                      |        | 



| |  |      |  |                                                                                                                                                                                                                                                                                                                         
| |  | ---- |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
| |  | 3.1  |  | Third Amended and Restated Declaration of Trust Agreement of World Monitor Trust III dated December 1, 2008 (incorporated by reference to Exhibit 13.1 to Registrants
Form 10-K for the year ended December 31, 2009)                                                                                                  
| |  |     
| |  | 4.2  |  | Subscription Requirements (annexed to the Prospectus as Exhibit B and incorporated by reference to Exhibit 4.2 to the Trusts Post-Effective Amendment No. 3 on S-1
Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2006)                                                           
| |  |     
| |  | 4.3  |  | Subscription instructions, Form of Subscription Agreement and Power of Attorney (annexed to the Prospectus as Exhibit C and incorporated by reference to Exhibit 4.3 to the
Trusts Post-Effective Amendment No. 3 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2006)     
| |  |     
| |  | 4.4  |  | Form of Privacy Notices of the Managing Owner dated December 2010 (filed herewith)                                                                                                                                                                                                                                      
| |  |     
| |  | 10.1 |  | Form of Subscription Escrow Agreement (incorporated by reference to Exhibit 10.1 to the Trusts Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No.
333-119612, filed with the Commission on March 14, 2005)                                                                                          
| |  |     
| |  | 10.2 |  | Form of Advisory Agreement among WMT III Series G/J Trading Vehicle LLC, the Managing Owner and Graham Capital Management, L.P. (incorporated by reference to Exhibit 10.2 to the
Trusts Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on March 14, 2005)



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|      |  |                                                                                                                                                                                                                                                                                                                                                                                                    
|----- |  | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|      | 
|10.3  |  | Form of Advisory Agreement among World Monitor Trust III  Series J, the Managing Owner and Eagle Trading Systems Inc. (incorporated by reference to Exhibit
10.3 to the Trusts Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)                                                                              
|      | 
|10.4  |  | Form of Advisory Agreement among World Monitor Trust III  Series J, the Managing Owner and Ortus Capital Management (Cayman) Limited (incorporated by
reference to Exhibit 10.4 to the Trusts Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)                                                               
|      | 
|10.5  |  | Form of Customer Agreement between the WMT III Series G/J Trading Vehicle LLC and UBS Securities LLC (incorporated by reference to Exhibit 10.5 to the
Trusts Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on March 14, 2005)                                                                                                      
|      | 
|10.6  |  | Form of Customer Agreement between the World Monitor Trust III  Series J and UBS Securities LLC (incorporated by reference to Exhibit 10.6 to the
Trusts Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)                                                                                                    
|      | 
|10.7  |  | Form of FX Prime Brokerage Agreement between UBS AG and WMT III Series G/J Trading Vehicle LLC (incorporated by reference to Exhibit 10.7 to the Trusts
Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)                                                                                                      
|      | 
|10.8  |  | Form of ISDA Master Agreement between UBS AG and WMT III Series G/J Trading Vehicle LLC, Schedule to ISDA Master Agreement and Credit Support Annex to Schedule
(incorporated by reference to Exhibit 10.8 to the Trusts Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)                                     
|      | 
|10.9  |  | Form of FX Prime Brokerage Agreement between UBS AG and World Monitor Trust III  Series J (incorporated by reference to Exhibit 10.9 to the Trusts
Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)                                                                                                          
|      | 
|10.10 |  | Form of ISDA Master Agreement between UBS AG and World Monitor Trust III  Series J, Schedule to ISDA Master Agreement and Credit Support Annex to Schedule
(incorporated by reference to Exhibit 10.10 to the Trusts Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)                                        
|      | 
|10.11 |  | WMT III Series G/J Trading Vehicle LLC Organization Agreement (incorporated by reference to Exhibit 1.1 to the Trusts Post-Effective Amendment No. 6 to
Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)                                                                                                                                        
|      | 
|10.12 |  | Form of Advisory Agreement among World Monitor Trust III  Series J, the Managing Owner and Graham Capital Management, L.P. (incorporated by reference to
Exhibit 10.12 to Registrants Annual Report on Form 10-K for the year ended December 31, 2007)                                                                                                                                           
|      | 
|10.13 |  | Form of Services Agreement among World Monitor Trust III  Series J, the Managing Owner and Spectrum Global Fund Administration, L.L.C. (incorporated by
reference to Exhibit 10.13 to Registrants Annual Report on Form 10-K for the year ended December 31, 2007)                                                                                                                               
|      | 
|10.14 |  | Advisory Agreement dated March 24, 2010 by and among, World Monitor Trust III  Series J, Kenmar Preferred Investments Corp. and Tudor Investment
Corporation (incorporated by reference to Exhibit 10.9 to Registrants Form 8-K, File No. 000-51651, filed with the Commission on March 26, 2010)                                                                                                
|      | 
|10.15 |  | Advisory Agreement dated March 24, 2010 by and among, World Monitor Trust III  Series J, Kenmar Preferred Investments Corp. and Paskewitz Asset Management,
LLC (incorporated by reference to Exhibit 10.10 to Registrants Form 8-K, File No. 000-51651, filed with the Commission on March 26, 2010)                                                                                            
|      | 
|10.16 |  | Amendment No. 1 dated September 29, 2010, with an effective date of October 1, 2010, to the Advisory Agreement dated November 28, 2008, by and among, World
Monitor Trust III  Series J, Kenmar Preferred Investments Corp. and Eagle Trading Systems Inc. (incorporated by reference to Exhibit 10.16 to Registrants Form 8-K, File No. 000-51651, filed with the Commission on October 1,
2010)



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|      |  |                                                                                                                                                                                                                                                                                                                                                                                                                                                
|----- |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|      | 
|10.17 |  | Amendment No. 1 dated September 29, 2010, with an effective date of October 1, 2010, to the Advisory Agreement dated November 28, 2008, by and among, World Monitor
Trust III  Series J, Kenmar Preferred Investments Corp. and Graham Capital Management, L.P. (incorporated by reference to Exhibit 10.17 to Registrants Form 8-K, File No. 000-51651, filed with the Commission on October 1,
2010)                                       
|      | 
|10.18 |  | Amendment No. 1 dated September 29, 2010, with an effective date of October 1, 2010, to the Advisory Agreement dated July 1, 2009, by and among, World Monitor Trust III 
Series J, Kenmar Preferred Investments Corp. and Krom River Investment Management (Cayman) Limited and Krom River Trading AG (incorporated by reference to Exhibit 10.18 to Registrants Form 8-K, File No. 000-51651, filed with the Commission on
October 1, 2010)
|      | 
|10.19 |  | Amendment No. 1 dated September 29, 2010, with an effective date of October 1, 2010, to the Advisory Agreement dated March 24, 2010 by and among, World Monitor Trust III 
Series J, Kenmar Preferred Investments Corp. and Paskewitz Asset Management, LLC (incorporated by reference to Exhibit 10.19 to Registrants Form 8-K, File No. 000-5161, filed with the Commission on October 1, 2010)                                            
|      | 
|10.20 |  | Amendment No. 1 dated September 29, 2010, with an effective date of January 1, 2011, to the Advisory Agreement dated May 28, 2009, by and among, World Monitor Trust III 
Series J, Kenmar Preferred Investments Corp. and Ortus Capital Management Limited (incorporated by reference to Exhibit 10.20 to Registrants Form 8-K, File No. 000-5161, filed with the Commission on October 1, 2010)                                            



|     |  |                                                                                                                                                                                                                                                                     
|---- |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|     | 
|14.1 |  | Kenmar Preferred Investments Corp. Code of Ethics (adopted pursuant to Section 406 of Sarbanes Oxley Act of 2002) as of November 9, 2009 (incorporated by reference to Exhibit
14.1 to Registrants Annual Report on Form 10-K for the year ended December 31, 2010)
|     | 
|31.1 |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                                                                                                                                                     
|     | 
|31.2 |  | Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)                                                                                                                                                                                     
|     | 
|32.1 |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)                                                                                                                          
|     | 
|32.2 |  | Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)                                                                                                                          



57



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##### Table of Contents



WORLD MONITOR TRUST
III  SERIES J

ANNUAL REPORT

December 31, 2010



58



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##### Table of Contents

WORLD MONITOR TRUST III  SERIES J





TABLE OF CONTENTS







|                                                                         |  |      
|------------------------------------------------------------------------ |  | -----
|                                                                         |  | PAGES
|                                                                         | 
|Report of Independent Registered Public Accounting Firm EisnerAmper LLP |  | 1    
|                                                                         | 
|Financial Statements                                                     |  |      
|                                                                         | 
|Statements of Financial Condition                                        |  | 2    
|                                                                         | 
|Condensed Schedules of Investments                                       |  | 3  4
|                                                                         | 
|Statements of Operations                                                 |  | 5    
|                                                                         | 
|Statements of Changes in Unitholders Capital                            |  | 6    
|                                                                         | 
|Notes to Financial Statements                                            |  | 7 21



59



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##### Table of Contents

REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM

To the Managing Owner and Unitholders of

World Monitor Trust III - Series J

We have audited the accompanying statements
of financial condition, including the condensed schedules of investments, of World Monitor Trust III - Series J (the Series) as of December 31, 2010 and 2009, and the related statements of operations and changes in
unitholders capital and the financial highlights for each of the three years in the period ended December 31, 2010. These financial statements and the financial highlights are the responsibility of the Series management. Our
responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We
conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements
and financial highlights are free of material misstatement. The Series is not required to have, nor were we engaged to perform, an audit of the Series internal control over financial reporting. Our audits included consideration of internal
control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Series internal control over financial
reporting. Accordingly, we express no such opinion. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the
financial position of World Monitor Trust III - Series J at December 31, 2010 and 2009, and the results of its operations and changes in its unitholders capital and the financial highlights for each of the three years in the
period ended December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.

EisnerAmper
LLP

New York, New York

March 18, 2011

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WORLD MONITOR TRUST III  SERIES
J

STATEMENTS OF FINANCIAL CONDITION

December 31, 2010 and 2009







|                                                                                                                           |  |      |             |  |      |   |             | 
|-------------------------------------------------------------------------------------------------------------------------- |  | ---- | ----------- |  | ---- | - | ----------- | 
|                                                                                                                           |  | 2010 |             |  | 2009 |  
|ASSETS                                                                                                                     |  |      |             |  |      |   |             | 
|Cash and cash equivalents (See Note 2)                                                                                     |  | $    | 47,172,056  |  |      | $ | 127,893,953 | 
|Net unrealized gain on open futures contracts                                                                              |  |      | 3,214,311   |  |      |   | 1,378,396   | 
|Commodity options owned, at fair value(premiums paid $652,215 and $2,111,559at December 31, 2010 and 2009,
respectively)   |  |      | 454,809     |  |      |   | 2,183,652   | 
|Net unrealized gain on open forward contracts                                                                              |  |      | 1,842,652   |  |      |   | 0           | 
|Investments in securities, at fair value(cost $103,338,919 and $0 at December 31 2010 and 2009,
respectively)              |  |      | 101,683,079 |  |      |   | 0           | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|Total assets                                                                                                               |  | $    | 154,366,907 |  |      | $ | 131,456,001 | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|LIABILITIES                                                                                                                |  |      |             |  |      |   |             | 
|Accrued expenses payable                                                                                                   |  | $    | 195,998     |  |      | $ | 146,256     | 
|Commissions payable                                                                                                        |  |      | 0           |  |      |   | 12,974      | 
|Interest payable                                                                                                           |  |      | 0           |  |      |   | 1,092       | 
|Management fees payable                                                                                                    |  |      | 31,846      |  |      |   | 0           | 
|Trading advisor incentive fees payable                                                                                     |  |      | 1,035,898   |  |      |   | 62,430      | 
|Trading advisor management fees payable                                                                                    |  |      | 201,680     |  |      |   | 214,539     | 
|Offering costs payable                                                                                                     |  |      | 52,859      |  |      |   | 12,990      | 
|Net unrealized loss on open forward contracts                                                                              |  |      | 0           |  |      |   | 701,135     | 
|Commodity options written, at fair value(premiums received $21,840 and $18,100at December 31, 2010 and 2009,
respectively) |  |      | 13,020      |  |      |   | 10,400      | 
|Service fees payable (See Note 5)                                                                                          |  |      | 201,001     |  |      |   | 209,582     | 
|Redemptions payable                                                                                                        |  |      | 898,839     |  |      |   | 735,148     | 
|Subscriptions received in advance                                                                                          |  |      | 2,046,733   |  |      |   | 1,793,322   | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|Total liabilities                                                                                                          |  |      | 4,677,874   |  |      |   | 3,899,868   | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|UNITHOLDERS CAPITAL (Net Asset Value)                                                                                     |  |      |             |  |      |   |             | 
|Class I Units:                                                                                                             |  |      |             |  |      |   |             | 
|Unitholders Units  1,033,469.123 and 895,406.461 Unitsoutstanding at December 31, 2010 and 2009,
respectively            |  |      | 132,255,516 |  |      |   | 111,649,834 | 
|Managing Owners Units  none and none Unitsoutstanding at December 31, 2010 and 2009,
respectively                        |  |      | 0           |  |      |   | 0           | 
|Class II Units:                                                                                                            |  |      |             |  |      |   |             | 
|Unitholders Units  125,308.427 and 111,441.024 Unitsoutstanding at December 31, 2010 and 2009,
respectively              |  |      | 17,110,868  |  |      |   | 14,529,426  | 
|Managing Owners Units  2,362.860 and 10,560.643 Unitsoutstanding at December 31, 2010 and 2009,
respectively             |  |      | 322,649     |  |      |   | 1,376,873   | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|Total unitholders capital (Net Asset Value)                                                                               |  |      | 149,689,033 |  |      |   | 127,556,133 | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|Total liabilities and unitholders capital                                                                                 |  | $    | 154,366,907 |  |      | $ | 131,456,001 | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|NET ASSET VALUE PER UNIT                                                                                                   |  |      |             |  |      |   |             | 
|Class I                                                                                                                    |  | $    | 127.97      |  |      | $ | 124.69      | 
|                                                                                                                           |  |      |             |  |      |   |             | 
|                                                                                                                           |  |     
|Class II                                                                                                                   |  | $    | 136.55      |  |      | $ | 130.38      | 
|                                                                                                                           |  |      |             |  |      |   |             | 

See accompanying notes.

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WORLD MONITOR TRUST III  SERIES
J

CONDENSED SCHEDULES OF INVESTMENTS

December 31, 2010 and 2009







|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|-------------------------------------------------------------------------------------------------------------------------------- |  | ----------------------------------------------------- | ----- | -- | ------------------------ | - | ---------- | ----------------------------------------------------- |  |  | ------------------------ | -- |  | - | ---------- | -
|                                                                                                                                 |  | 2010                                                  |       |    | 2009                     |  
|                                                                                                                                 |  | NetUnrealizedGain (Loss)as a % ofUnitholdersCapital  |       |    | NetUnrealizedGain (Loss) |   |            | NetUnrealizedGain (Loss)as a % ofUnitholdersCapital  |  |  | NetUnrealizedGain (Loss) |   
|Futures and Forward Contracts                                                                                                    |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Futures contracts purchased:                                                                                                     |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Commodities                                                                                                                      |  |                                                       | 1.15  | %  |                          | $ | 1,716,193  |                                                       |  |  | 0.23                     | %  |  | $ | 289,625    |  
|Currencies                                                                                                                       |  |                                                       | 0.35  | %  |                          |   | 521,182    |                                                       |  |  | 0.00                     | %  |  |   | 0          |  
|Energy                                                                                                                           |  |                                                       | 0.25  | %  |                          |   | 380,376    |                                                       |  |  | 0.18                     | %  |  |   | 228,104    |  
|Interest rates                                                                                                                   |  |                                                       | 0.08  | %  |                          |   | 121,121    |                                                       |  |  | (0.48                    | )% |  |   | (605,606   | )
|Metals                                                                                                                           |  |                                                       | 4.42  | %  |                          |   | 6,613,151  |                                                       |  |  | 4.68                     | %  |  |   | 5,966,762  |  
|Stock indices                                                                                                                    |  |                                                       | 0.11  | %  |                          |   | 161,174    |                                                       |  |  | 0.50                     | %  |  |   | 634,115    |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Net unrealized gain on futures contracts purchased                                                                               |  |                                                       | 6.36  | %  |                          |   | 9,513,197  |                                                       |  |  | 5.11                     | %  |  |   | 6,513,000  |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Futures contracts sold:                                                                                                          |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Commodities                                                                                                                      |  |                                                       | (0.21 | )% |                          |   | (320,244   | )                                                     |  |  | (0.07                    | )% |  |   | (90,706    | )
|Currencies                                                                                                                       |  |                                                       | 0.00  | %  |                          |   | 4,434      |                                                       |  |  | 0.18                     | %  |  |   | 232,889    |  
|Energy                                                                                                                           |  |                                                       | (0.10 | )% |                          |   | (145,739   | )                                                     |  |  | (0.31                    | )% |  |   | (392,930   | )
|Interest rates                                                                                                                   |  |                                                       | (0.06 | )% |                          |   | (92,295    | )                                                     |  |  | 0.14                     | %  |  |   | 179,376    |  
|Metals                                                                                                                           |  |                                                       | (3.81 | )% |                          |   | (5,698,325 | )                                                     |  |  | (3.92                    | )% |  |   | (5,002,295 | )
|Stock indices                                                                                                                    |  |                                                       | (0.03 | )% |                          |   | (46,717    | )                                                     |  |  | (0.05                    | )% |  |   | (60,938    | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Net unrealized loss on futures contracts sold                                                                                    |  |                                                       | (4.21 | )% |                          |   | (6,298,886 | )                                                     |  |  | (4.03                    | )% |  |   | (5,134,604 | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Net unrealized gain on open futures contracts                                                                                    |  |                                                       | 2.15  | %  |                          | $ | 3,214,311  |                                                       |  |  | 1.08                     | %  |  | $ | 1,378,396  |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Forward currency contracts purchased:                                                                                            |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Net unrealized gain on forward contracts purchased                                                                               |  |                                                       | 0.27  | %  |                          |   | 409,220    |                                                       |  |  | 0.03                     | %  |  | $ | 35,552     |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Forward currency contracts sold:                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Net unrealized gain (loss) on forward contracts sold                                                                             |  |                                                       | 0.96  | %  |                          |   | 1,433,432  |                                                       |  |  | (0.58                    | )% |  |   | (736,687   | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Net unrealized gain (loss) on open forward contracts                                                                             |  |                                                       | 1.23  | %  |                          | $ | 1,842,652  |                                                       |  |  | (0.55                    | )% |  | $ | (701,135   | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|                                                                                                                                 |  | NetUnrealizedGain (Loss)as a % 
ofUnitholdersCapital |       |    | NetUnrealizedGain (Loss) |   |            | NetUnrealizedGain (Loss)as a % 
ofUnitholdersCapital |  |  | NetUnrealizedGain (Loss) |   
|Purchased Options on Futures Contracts                                                                                           |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Fair value of options purchased:                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Commodities                                                                                                                      |  |                                                       | 0.21  | %  |                          | $ | 317,319    |                                                       |  |  | 0.33                     | %  |  | $ | 423,237    |  
|Energy                                                                                                                           |  |                                                       | 0.09  | %  |                          |   | 137,490    |                                                       |  |  | 1.36                     | %  |  |   | 1,738,150  |  
|Interest rates                                                                                                                   |  |                                                       | 0.00  | %  |                          |   | 0          |                                                       |  |  | 0.02                     | %  |  |   | 22,265     |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Total commodity options owned, at fair value(premiums paid $652,215 and $2,111,559at December 31, 2010 and 2009,
respectively)   |  |                                                       | 0.30  | %  |                          | $ | 454,809    |                                                       |  |  | 1.71                     | %  |  | $ | 2,183,652  |  
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Written Options on Futures Contracts                                                                                             |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Fair value of options written:                                                                                                   |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|Commodities                                                                                                                      |  |                                                       | 0.00  | %  |                          | $ | 0          |                                                       |  |  | 0.00                     | %  |  | $ | (1,120     | )
|Energy                                                                                                                           |  |                                                       | (0.01 | )% |                          |   | (13,020    | )                                                     |  |  | (0.01                    | )% |  |   | (9,280     | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  
|                                                                                                                                 |  |                                                       |       |   
|Total commodity options written, at fair value(premiums received $21,840 and $18,100at December 31, 2010 and
2009, respectively) |  |                                                       | (0.01 | )% |                          | $ | (13,020    | )                                                     |  |  | (0.01                    | )% |  | $ | (10,400    | )
|                                                                                                                                 |  |                                                       |       |    |                          |   |            |                                                       |  |  |                          |    |  |   |            |  

See accompanying notes.

-3-



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##### Table of Contents

WORLD MONITOR TRUST III  SERIES J

CONDENSED SCHEDULES OF INVESTMENTS (CONTINUED)

December 31, 2010 and 2009







|                                                                                                                    |  |                                    |       |   |           |   |             |                                   |  |  |           |   |  |   |   | 
|------------------------------------------------------------------------------------------------------------------- |  | ---------------------------------- | ----- | - | --------- | - | ----------- | --------------------------------- |  |  | --------- | - |  | - | - | 
|                                                                                                                    |  | 2010                               |       |   | 2009      |  
|Investment in Securities                                                                                            |  | FairValueas a %UnitholdersCapital |       |   | FairValue |   |             | FairValueas a%UnitholdersCapital |  |  | FairValue |  
|                                                                                                                    |  |                                    |       |  
|Fair value of investment in Mutual Funds:                                                                           |  |                                    |       |   |           |   |             |                                   |  |  |           |   |  |   |   | 
|JPMorgan Short Duration Bond (shares 3,711,465.20)                                                                  |  |                                    | 27.20 | % |           | $ | 40,714,773  |                                   |  |  | 0.00      | % |  | $ | 0 | 
|Pimco Low Duration Fund (shares 3,907,428.57)                                                                       |  |                                    | 27.12 | % |           |   | 40,598,183  |                                   |  |  | 0.00      | % |  |   | 0 | 
|Wells Fargo Adv Short-Term Bond (shares 2,336,023.26)                                                               |  |                                    | 13.61 | % |           |   | 20,370,123  |                                   |  |  | 0.00      | % |  |   | 0 | 
|                                                                                                                    |  |                                    |       |   |           |   |             |                                   |  |  |           |   |  |   |   | 
|                                                                                                                    |  |                                    |       |  
|Total investments in securities, at fair value(cost $103,338,919 and $0at December 31, 2010 and 2009,
respectively) |  |                                    | 67.93 | % |           | $ | 101,683,079 |                                   |  |  | 0.00      | % |  | $ | 0 | 
|                                                                                                                    |  |                                    |       |   |           |   |             |                                   |  |  |           |   |  |   |   | 

See accompanying notes.

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WORLD MONITOR TRUST III  SERIES
J

STATEMENTS OF OPERATIONS

For the Years Ended December 31, 2010, 2009 and 2008







|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|----------------------------------------------------------------- |  | ---- | ---------- |  | ---- | - | ---------- | ---- |  | - | ---------- | -
|                                                                  |  | 2010 |            |  | 2009 |   |            | 2008 | 
|REVENUES                                                          |  |      |            |  |      |   |            |      |  |   |            |  
|Realized                                                          |  | $    | 13,186,683 |  |      | $ | 13,754,032 |      |  | $ | 25,072,131 |  
|Change in unrealized                                              |  |      | 2,455,483  |  |      |   | 1,833,884  |      |  |   | (789,373   | )
|Dividend income                                                   |  |      | 557,782    |  |      |   | 0          |      |  |   | 0          |  
|Interest income                                                   |  |      | 76,527     |  |      |   | 36,289     |      |  |   | 1,342,287  |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|Total revenues                                                    |  |      | 16,276,475 |  |      |   | 15,624,205 |      |  |   | 25,625,045 |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|EXPENSES                                                          |  |      |            |  |      |   |            |      |  |   |            |  
|Brokerage commissions                                             |  |      | 780,591    |  |      |   | 705,884    |      |  |   | 288,767    |  
|Interest expense                                                  |  |      | 0          |  |      |   | 3,783      |      |  |   | 0          |  
|Management fees                                                   |  |      | 693,254    |  |      |   | 626,481    |      |  |   | 539,433    |  
|ClariTy Managed Account fees                                      |  |      | 90,875     |  |      |   | 0          |      |  |   | 0          |  
|Managing Owner fees earned on investment funds                    |  |      | 42,500     |  |      |   | 0          |      |  |   | 0          |  
|Trading advisor management fees                                   |  |      | 2,587,500  |  |      |   | 2,637,134  |      |  |   | 2,398,844  |  
|Trading advisor incentive fees                                    |  |      | 2,629,655  |  |      |   | 2,477,883  |      |  |   | 5,317,704  |  
|Service fee  Class I Units (See Note 5)                          |  |      | 2,456,823  |  |      |   | 2,376,335  |      |  |   | 1,891,394  |  
|Sales commission                                                  |  |      | 1,386,508  |  |      |   | 1,252,962  |      |  |   | 1,078,866  |  
|Offering costs                                                    |  |      | 239,437    |  |      |   | 430,727    |      |  |   | 417,411    |  
|Operating expenses                                                |  |      | 760,044    |  |      |   | 720,621    |      |  |   | 763,068    |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|Total expenses                                                    |  |      | 11,667,187 |  |      |   | 11,231,810 |      |  |   | 12,695,487 |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|NET INCOME                                                        |  | $    | 4,609,288  |  |      | $ | 4,392,395  |      |  | $ | 12,929,558 |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|NET INCOME PER WEIGHTED AVERAGEUNITHOLDER AND MANAGING OWNER UNIT |  |      |            |  |      |   |            |      |  |   |            |  
|Net income per weighted average Unitholder andManaging Owner Unit |  |      |            |  |      |   |            |      |  |   |            |  
|Class I                                                           |  | $    | 3.83       |  |      | $ | 4.11       |      |  | $ | 14.27      |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|Class II                                                          |  | $    | 6.77       |  |      | $ | 6.34       |      |  | $ | 13.95      |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|Weighted average number of Unitsoutstanding  Class I             |  |      | 973,800    |  |      |   | 883,415    |      |  |   | 800,954    |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  
|                                                                  |  |      |           
|Weighted average number of Unitsoutstanding  Class II            |  |      | 130,238    |  |      |   | 119,456    |      |  |   | 107,386    |  
|                                                                  |  |      |            |  |      |   |            |      |  |   |            |  

See accompanying notes.

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WORLD MONITOR TRUST III  SERIES
J

STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL

For the Years Ended December 31, 2010, 2009 and 2008







|                                         |  |             |               |   |                |   |             |             |  |  |                |   |  |       |            |   |        |  |             |       |  |   |            |   |  |       |            |   |        |   |            |   |  |   |               |   |  |   |             |  
|---------------------------------------- |  | ----------- | ------------- | - | -------------- | - | ----------- | ----------- |  |  | -------------- | - |  | ----- | ---------- | - | ------ |  | ----------- | ----- |  | - | ---------- | - |  | ----- | ---------- | - | ------ | - | ---------- | - |  | - | ------------- | - |  | - | ----------- | -
|                                         |  | Class I     |               |   | Class II       |   |             |             |  |  |                |  
|                                         |  | Unitholders |               |   | Managing Owner |   |             | Unitholders |  |  | Managing Owner |   |  | Total |           
|                                         |  | Units       |               |   | Amount         |   |             | Units       |  |  | Amount         |   |  | Units |            |   | Amount |  |             | Units |  |   | Amount     |   |  | Units |            |   | Amount |  
|Unitholders capital atDecember 31, 2007 |  |             | 688,045.259   |   |                | $ | 72,522,810  |             |  |  | 7,461.871      |   |  | $     | 786,512    |   |        |  | 57,736.703  |       |  | $ | 6,106,173  |   |  |       | 601.816    |   |        | $ | 63,647     |   |  | $ | 753,845.649   |   |  | $ | 79,479,142  |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Additions                                |  |             | 285,924.506   |   |                |   | 33,452,938  |             |  |  | 2,005.707      |   |  |       | 235,241    |   |        |  | 83,554.340  |       |  |   | 9,844,197  |   |  |       | 835.601    |   |        |   | 97,798     |   |  |   | 372,320.154   |   |  |   | 43,630,174  |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Offering costs                           |  |             |               |   |                |   | (97,255     | )           |  |  |                |   |  |       | (1,049     | ) |        |  |             |       |  |   | (9,800     | ) |  |       |            |   |        |   | (107       | ) |  |   |               |   |  |   | (108,211    | )
|                                         |  |             |               |   |                |   |             |             |  | 
|Redemptions                              |  |             | (76,546.275   | ) |                |   | (9,005,829  | )           |  |  | 0.000          |   |  |       | 0          |   |        |  | (20,309.335 | )     |  |   | (2,462,776 | ) |  |       | 0.000      |   |        |   | 0          |   |  |   | (96,855.610   | ) |  |   | (11,468,605 | )
|                                         |  |             |               |   |                |   |             |             |  | 
|Transfers                                |  |             | (4,356.348    | ) |                |   | (502,920    | )           |  |  | 0.000          |   |  |       | 0          |   |        |  | 4,331.644   |       |  |   | 502,920    |   |  |       | 0.000      |   |        |   | 0          |   |  |   | (24.704       | ) |  |   | 0           |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Net income                               |  |             |               |   |                |   | 11,310,453  |             |  |  |                |   |  |       | 120,834    |   |        |  |             |       |  |   | 1,482,240  |   |  |       |            |   |        |   | 16,031     |   |  |   |               |   |  |   | 12,929,558  |  
|                                         |  |             |               |   |                |   |             |             |  |  |                |   |  |       |            |   |        |  |             |       |  |   |            |   |  |       |            |   |        |   |            |   |  |   |               |   |  |   |             |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Unitholders capital atDecember 31, 2008 |  |             | 893,067.142   |   |                |   | 107,680,197 |             |  |  | 9,467.578      |   |  |       | 1,141,538  |   |        |  | 125,313.352 |       |  |   | 15,462,954 |   |  |       | 1,437.417  |   |        |   | 177,369    |   |  |   | 1,029,285.489 |   |  |   | 124,462,058 |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Additions                                |  |             | 160,931.493   |   |                |   | 19,717,335  |             |  |  | 0.000          |   |  |       | 0          |   |        |  | 14,869.308  |       |  |   | 1,924,884  |   |  |       | 0.000      |   |        |   | 0          |   |  |   | 175,800.801   |   |  |   | 21,642,219  |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Redemptions                              |  |             | (158,592.174  | ) |                |   | (19,333,355 | )           |  |  | 0.000          |   |  |       | 0          |   |        |  | (28,741.636 | )     |  |   | (3,607,184 | ) |  |       | 0.000      |   |        |   | 0          |   |  |   | (187,333.810  | ) |  |   | (22,940,539 | )
|                                         |  |             |               |   |                |   |             |             |  | 
|Transfers                                |  |             | 0.000         |   |                |   | 0           |             |  |  | (9,467.578     | ) |  |       | (1,190,639 | ) |        |  | 0.000       |       |  |   | 0          |   |  |       | 9,123.226  |   |        |   | 1,190,639  |   |  |   | (344.352      | ) |  |   | 0           |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Net income                               |  |             |               |   |                |   | 3,585,657   |             |  |  |                |   |  |       | 49,101     |   |        |  |             |       |  |   | 748,772    |   |  |       |            |   |        |   | 8,865      |   |  |   |               |   |  |   | 4,392,395   |  
|                                         |  |             |               |   |                |   |             |             |  |  |                |   |  |       |            |   |        |  |             |       |  |   |            |   |  |       |            |   |        |   |            |   |  |   |               |   |  |   |             |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Unitholders capital atDecember 31, 2009 |  |             | 895,406.461   |   |                |   | 111,649,834 |             |  |  | 0.000          |   |  |       | 0          |   |        |  | 111,441.024 |       |  |   | 14,529,426 |   |  |       | 10,560.643 |   |        |   | 1,376,873  |   |  |   | 1,017,408.128 |   |  | $ | 127,556,133 |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Additions                                |  |             | 226,517.853   |   |                |   | 27,798,132  |             |  |  | 0.000          |   |  |       | 0          |   |        |  | 25,378.854  |       |  |   | 3,268,991  |   |  |       | 0.000      |   |        |   | 0          |   |  |   | 251,896.707   |   |  |   | 31,067,123  |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Redemptions                              |  |             | (88,455.191   | ) |                |   | (10,919,735 | )           |  |  | 0.000          |   |  |       | 0          |   |        |  | (11,511.451 | )     |  |   | (1,523,776 | ) |  |       | (8,197.783 | ) |        |   | (1,100,000 | ) |  |   | (108,164.425  | ) |  |   | (13,543,511 | )
|                                         |  |             |               |   |                |   |             |             |  | 
|Net income                               |  |             |               |   |                |   | 3,727,285   |             |  |  |                |   |  |       | 0          |   |        |  |             |       |  |   | 836,227    |   |  |       |            |   |        |   | 45,776     |   |  |   |               |   |  |   | 4,609,288   |  
|                                         |  |             |               |   |                |   |             |             |  |  |                |   |  |       |            |   |        |  |             |       |  |   |            |   |  |       |            |   |        |   |            |   |  |   |               |   |  |   |             |  
|                                         |  |             |               |   |                |   |             |             |  | 
|Unitholders capital atDecember 31, 2010 |  |             | 1,033,469.123 |   |                | $ | 132,255,516 |             |  |  | 0.000          |   |  | $     | 0          |   |        |  | 125,308.427 |       |  | $ | 17,110,868 |   |  |       | 2,362.860  |   |        | $ | 322,649    |   |  |   | 1,161,140.410 |   |  | $ | 149,689,033 |  
|                                         |  |             |               |   |                |   |             |             |  |  |                |   |  |       |            |   |        |  |             |       |  |   |            |   |  |       |            |   |        |   |            |   |  |   |               |   |  |   |             |  

See accompanying notes.

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WORLD MONITOR TRUST III  SERIES
J

NOTES TO FINANCIAL STATEMENTS







|Note 1. | ORGANIZATION
|------- | ------------



| | A. | General Description of the Trust
| | -- | --------------------------------

World Monitor Trust III (the Trust) is a business trust organized under the laws of Delaware on September 28, 2004. The Trust consisted of four separate and distinct series
(Series): Series G, H, I and J. Series G, H, I and J commenced trading operations on December 1, 2005. As of December 31, 2007, Series G, H and I were no longer offered and had been dissolved. Series J will continue to
exist unless terminated pursuant to the provisions of Article XIII of the Trusts Third Amended and Restated Declaration of Trust and Trust Agreement (the Trust Agreement). The assets of each Series have been segregated from
those of the other Series, separately valued and independently managed, and separate financial statements have been prepared for each Series. Each Series was formed to engage in the speculative trading of a diversified portfolio of futures, forward
and options contracts and may, from time to time, engage in cash and spot transactions. The fiscal year end of Series J is December 31.

Effective May 5, 2009, Preferred Investment Solutions Corp. changed its name to Kenmar Preferred Investments Corp. (Kenmar Preferred or the Managing Owner). Each
of Kenmar Preferred or the Managing Owner refers to either Preferred Investment Solutions Corp. or Kenmar Preferred Investments Corp., depending on the applicable period discussed. As the Managing Owner of the Trust and of
each Series, Kenmar Preferred conducts and manages the business of the Trust and each Series.

From
January 1, 2008 through June 30, 2009, Series J allocated its assets to three managed accounts separately managed by the following trading advisors: Eagle Trading Systems Inc. (Eagle) pursuant to its Momentum Program,
Ortus Capital Management Limited (Ortus) pursuant to its Major Currency Program, and Graham Capital Management, L.P. (Graham) pursuant to its K4D-15V Program. Effective July 1, 2009, Series J entered into
trading agreements with an additional three trading advisors: GLC Ltd. (GLC) pursuant to both its Behavioral Trend and Directional Programs, Krom River Investment Management (Cayman) Limited (Krom) pursuant to
its Commodity Diversified Program and Crabel Capital Management, LLC (Crabel) pursuant to its Two Plus Program. Effective March 31, 2010, the Managing Owner terminated the managed account agreement with GLC. Effective
December 31, 2010, the Managing Owner terminated the managed account agreement with Graham (See Note 10).

Beginning April 1, 2010, Series J entered into trading advisory agreements with Tudor Investment Corporation
(Tudor),pursuant to its Tudor Quantitative Commodities Strategy, and Paskewitz Asset Management, LLC (Paskewitz),pursuant to its Contrarian Stock Index Program) Paskewitz, together with Graham, Eagle, Ortus,
Krom, Crabel and Tudor are each referred to herein as a Trading Advisor and collectively referred to herein as the Trading Advisors. Beginning April 1, 2010, Series J allocated approximately one-seventh of
its net assets to each Trading Advisors managed account (each a Managed Account and collectively, the Managed Accounts), with such allocations to be re-balanced quarterly.



| | B. | Regulation
| | -- | ----------

As a registrant with the Securities and Exchange Commission (SEC), the Trust and each Series are subject to the regulatory requirements under the Securities Act of 1933 and the
Securities Exchange Act of 1934.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 1. | ORGANIZATION (CONTINUED)
|------- | ------------------------



| | B. | Regulation (Continued)
| | -- | ----------------------



As a commodity pool, the Trust and each Series are subject to the
regulations of the Commodity Futures Trading Commission (CFTC), an independent agency of the U.S. government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry
self-regulatory organization; and the requirements of the various commodity exchanges where the Trust through the Managed Accounts executes transactions.



| | C. | The Offering
| | -- | ------------

Up to $281,250,000 Series J, Class I and $93,750,000 Series J, Class II Units (the Units) are being offered (totaling $375,000,000) (Subscription Maximum). Units are
being offered to investors who meet certain established suitability standards. Prior to November 30, 2008, investments required a minimum aggregate initial subscription of $5,000 and $2,000 for certain Benefit Plan Investors (including IRAs),
although the minimum purchase for any single series was $500.

Effective November 30, 2008, the Board of
Directors of the Managing Owner of Series J determined that the Units would no longer be publicly offered and would only be available on a private placement basis to accredited investors pursuant to Regulation D under the Securities Act
of 1933.

For new subscribers, the minimum initial investment is $25,000 ($10,000 for benefit plan investors
(including IRAs)). The minimum additional subscription amount for current investors is $5,000.

Initially,
the Units were offered for a period ending November 30, 2005 (Initial Offering Period) at $100 per Unit.

The subscription minimum of $30,000,000 for Series J was reached during the Initial Offering Period permitting all Series G, H, I and J to commence trading operations. Series J completed its initial
offering on December 1, 2005 with gross proceeds of $31,024,443. Until the Subscription Maximum for Series J is reached, Series Js Units will continue to be offered on a monthly basis at the then current net asset value per Unit.



| | D. | Exchanges, Redemptions and Termination
| | -- | --------------------------------------

Redemptions from Series J are permitted on a monthly basis. For Class I Units issued from July 1, 2008 through June 1, 2009, Kenmar Securities Inc. was entitled to a redemption charge for Class
I Units redeemed prior to the first anniversary of their purchase of up to 2% of the net asset value per Unit at which they were redeemed. Class I Units issued beginning July 1, 2009 were not subject to a redemption charge. There is no
redemption charge associated with the Class II Units.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 1. | ORGANIZATION (CONTINUED)
|------- | ------------------------



| | D. | Exchanges, Redemptions and Termination (Continued)
| | -- | --------------------------------------------------



In the event that the net asset value of a Series, after adjustments
for distributions, contributions and redemptions, declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate. Should the Managing Owner make a determination that
Series Js aggregate net assets in relation to its operating expenses make it unreasonable or imprudent to continue the business of Series J, or, in the exercise of its reasonable discretion, if the aggregate net asset value of Series J as of
the close of business on any business day declines below $10 million, the Managing Owner may dissolve Series J. In addition, in the event that the net asset value of the allocated assets, after adjustments for distributions, contributions and
redemptions, for the Managed Accounts traded by any of the Trading Advisors declines by 40% or more since the commencement of trading activities or the first day of a fiscal year, that Managed Account will automatically terminate.



| | E. | Foreign Currency Transactions
| | -- | -----------------------------

Series Js functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar
are translated into U.S. dollars at the rates in effect at the date of the statements of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect
during the period. Gains and losses resulting from the translation to U.S. dollars are reported in operations currently under the caption realized in the statements of operations.



|Note 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|------- | ------------------------------------------



| | A. | Basis of Accounting
| | -- | -------------------

The financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP). Such principles require the
Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.

Commodity futures, options
and foreign exchange forward contracts are reflected in the accompanying financial statements on the trade date basis. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) are offset when
reflected in the financial statements since the contracts are executed with the same counterparty under a master netting agreement (See Note 8). The market value of futures (exchange-traded) contracts is based upon the closing quotation on the
various futures exchanges on which the contract is traded. The values which will be used by Series J for open forward and option positions will be provided by its administrator, who obtains market quotes from independent data vendors and third
parties. Any change in net unrealized gain or loss during the current period is reported in the statements of operations. Realized gains and losses on transactions are recognized in the period in which the contracts are closed. Brokerage commissions
include other trading fees and are charged to expense when incurred.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|------- | ------------------------------------------------------



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------



The weighted average number of Units outstanding was computed for
purposes of disclosing net income (loss) per weighted average Unit. The weighted average number of Units is equal to the number of Units outstanding at year end, adjusted proportionately for Units subscribed and redeemed based on their respective
time outstanding during the year.

Investments in investment funds consist of publicly traded mutual
funds. Publicly traded mutual funds are valued using the net asset value on the last day of the period provided by a third party pricing service. Realized gains and losses from investment funds are determined using the identified cost method.
Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. Dividends are recorded on the ex-dividend date.

Series J has elected not to provide a statement of cash flows since substantially all of Series Js investments are highly liquid and carried at fair value, Series J has little or no debt and a
statement of changes in unitholders capital is provided.

Consistent with standard business practices
in the normal course of business, Series J has provided general indemnifications to the Managing Owner, and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential
amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote.

Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to
valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either
directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3).

Series J
considers prices for exchange traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps and certain options contracts for which market quotations are
not readily available are priced by Super Derivatives, Bloomberg, Reuters, and or other independent third party data vendors or pricing services who derive fair values for those assets from observable inputs (Level 2). There are no Level 3
investments on December 31, 2010 or 2009.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|------- | ------------------------------------------------------



| | A. | Basis of Accounting (Continued)
| | -- | -------------------------------



The following table summarizes the assets and liabilities measured at
fair value using the fair value hierarchy:



December 31, 2010

Level 1


Level 2


Level 3


TotalAssets:Net unrealized gain on open futures contracts

$
3,214,311


$
0


$
0


$
3,214,311Net unrealized gain on open forward contracts

$
0


$
1,842,652


$
0


$
1,842,652Commodity options owned, at fair value

$
0


$
454,809


$
0


$
454,809Investment in securities, at fair value

$
101,683,079


$
0


$
0


$
101,683,079Liabilities:Commodity options written, at fair value

$
0


$
(13,020
)

$
0


$
(13,020
)December 31, 2009

Level 1


Level 2


Level 3


TotalAssets:Net unrealized gain on open futures contracts

$
1,378,396


$
0


$
0


$
1,378,396Commodity options owned, at fair value

$
0


$
2,183,652


$
0


$
2,183,652Liabilities:Net unrealized loss on open forward contracts

$
0


$
(701,135
)

$
0


$
(701,135
)Commodity options written, at fair value

$
0


$
(10,400
)

$
0


$
(10,400
)




| | B. | Recent Accounting Pronouncement
| | -- | -------------------------------

In January 2010, the FASB amended the existing disclosure guidance on fair value measurements, which was effective January 1, 2010, except for disclosures about purchases, sales, issuances, and
settlements in the roll forward of activity in Level 3 fair value measurements, which is effective January 1, 2011. Among other things, the updated guidance requires additional disclosure for the amounts of significant transfers in and out of
Level 1 and Level 2 measurements and requires certain Level 3 disclosures on a gross basis. Additionally, the updates amend existing guidance to require a greater level of disaggregated information and more robust disclosures about valuation
techniques and inputs to fair value measurements. Since the amended guidance requires only additional disclosures, the adoption of the provisions effective January 1, 2011 will not impact Series Js financial position or results of
operations. The implementation of this guidance, for the provisions effective January 1, 2010, did not have a material impact on Series Js financial statements.



| | C. | Cash and Cash Equivalents
| | -- | -------------------------

Cash represents amounts deposited with clearing brokers and a bank, a portion of which is restricted for purposes of meeting margin requirements, which typically range from 0% to 35% of the notional
amounts of the derivatives traded. A substantial portion of the cash deposited with a bank is deposited in an off-shore sweep account facility daily. As of December 31, 2010 and 2009, restricted cash totaled $1,934,375 and $9,367,166,
respectively. Series J receives interest on all cash balances held by the clearing brokers and bank at prevailing rates. As of December 31, 2010 and 2009, ($263,234) and $858,933 are held in various foreign currencies, which are subject to
fluctuations based on changes in the foreign exchange rates as compared to the Companys functional currency.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|------- | ------------------------------------------------------



| | D. | Income Taxes
| | -- | ------------

Series J is treated as a partnership for U.S. federal income tax purposes. As such, Series J is not required to provide for, or pay, any U.S. federal or state income taxes. Income tax attributes that
arise from its operations are passed directly to the individual Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates.

Series J recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the
positions are more likely than not to be sustained assuming examination by tax authorities. The Managing Owner has reviewed Series Js tax positions for all open years (after December 31, 2006) and concluded that no provision
for unrecognized tax benefits or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2007 through 2010
tax years generally remain subject to examination by U.S. federal and most state tax authorities.



| | E. | Profit and Loss Allocations and Distributions
| | -- | ---------------------------------------------

Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated
pro rata to the Class I Units and Class II Units monthly based on the Units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such Units. Distributions (other than redemptions of
Units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions.



| | F. | Organization and Offering Costs
| | -- | -------------------------------

In accordance with the Trusts Agreement and Prospectus, organization and initial offering costs were paid by the Managing Owner, subject to reimbursement by the Trust, without interest, in up to 36
monthly payments during each of the first 36 months of Series Js operations, provided that the Managing Owner shall not be entitled to reimbursement for such expenses in an aggregated amount in excess of 2.5% of the aggregate amount of all
subscriptions accepted by Series J during the initial offering period and the first 36 months of Series Js operations.

In addition, Series J shall not reimburse the Managing Owner for organization and offering expenses (both initial and ongoing) in excess of 0.50% per annum of Series Js net asset value.
Organization and initial offering costs (exclusive of the initial selling fee), totaling $1,454,441 for all Series of the Trust were paid by the Managing Owner. Series Js allocable portion of such costs was $1,304,181 of which $1,120,668 was
reimbursed by Series J to the Managing Owner through December 31, 2008 and the balance will not be reimbursed.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
|------- | ------------------------------------------------------



| | F. | Organization and Offering Costs (Continued)
| | -- | -------------------------------------------



The Managing Owner is also responsible for the payment of all offering
expenses of Series J incurred after the Initial Offering Period (ongoing offering costs), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without
interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through December 31, 2010, the Managing Owner has paid $2,030,780 in ongoing offering costs,
of which $1,973,618 has been allocated to Series J. Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through December 31,
2010, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $1,394,161 and $1,374,555, respectively. Of the $1,374,555, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner.

Series J will only be liable for payment of ongoing offering costs on a monthly basis. If Series J
terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner.

During the years ended December 31, 2010 and 2009, Series Js allocable portion of organization and initial
and ongoing offering costs did not exceed 0.50% per annum of the net asset value of Series J.

At
December 31, 2010, of the $52,859 of offering cost payable listed on the statements of financial condition, $0 is initial offering costs and $52,859 represents ongoing offering cost.



| | G. | Interest Income and Dividend Income
| | -- | -----------------------------------

Interest income is recorded on an accrual basis. Dividend income and dividends on securities sold short are recorded on the ex-dividend date.



|Note 3. | RELATED PARTIES
|------- | ---------------

Series J reimburses the Managing Owner for services it performs for Series J, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor
communications, printing, risk management and related services with respect to monitoring the Trading Advisors and the Trust and other administrative services.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 3. | RELATED PARTIES (CONTINUED)
|------- | ---------------------------



The expenses incurred by Series J for services performed by the Managing
Owner for Series J were:



|                             |  |      |         |  |      |   |         |      |  |   |         | 
|---------------------------- |  | ---- | ------- |  | ---- | - | ------- | ---- |  | - | ------- | 
|                             |  | 2010 |         |  | 2009 |   |         | 2008 | 
|Management fees              |  | $    | 693,254 |  |      | $ | 626,481 |      |  | $ | 539,433 | 
|ClariTy Managed Account fees |  |      | 90,875  |  |      |   | 0       |      |  |   | 0       | 
|Operating expenses           |  |      | 198,600 |  |      |   | 161,378 |      |  |   | 117,665 | 
|                             |  |      |         |  |      |   |         |      |  |   |         | 
|Total                        |  | $    | 982,729 |  |      | $ | 787,859 |      |  | $ | 657,098 | 
|                             |  |      |         |  |      |   |         |      |  |   |         | 

Expenses payable to the Managing Owner and its affiliates as of December 31, 2010 and
2009 were $63,346 and $36,271, respectively. Such amounts are included in accrued expenses payable on the statements of financial condition.



|Note 4. | MANAGING OWNER
|------- | --------------

As of December 31, 2009, the Managing Owner and or its affiliates have purchased and maintained an interest in Series J in an amount less than 1% of the net asset value of Series J. The Managing
Owner is no longer required under the terms of the Trust Agreement to maintain a 1% interest.

The Managing
Owner is paid a monthly management fee of 1/12 of 0.5% (0.5% annually) of Series Js net asset value at the beginning of each month (See note 5).

Effective October 1, 2010, Series J is paying a monthly fee in the amount of 1/12 of 0.25% to be paid to ClariTy Managed Account & Analytics Platform LLC, an affiliate of the Managing Owner,
for risk management and related administrative services with respect to monitoring the Trading Advisors.

The
Managing Owner has determined that it is in the best interest of Series J to invest a portion of non-margin assets, either directly or indirectly through certain investment funds which invest primarily in (i) U.S. government securities (which
include any security issued or guaranteed as to principal or interest by the United States), (ii) any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the United
States government, (iii) corporate bonds or notes, or (iv) other instruments permitted by applicable rule and regulations. At the end of each month, the Managing Owner will be paid 1/12 of 50% of the first 1% of the returns earned on its
investment of non-margin assets. Series J will be credited with all additional returns earned on Series Js investment of non-margin assets.



|Note 5. | SERVICE FEES AND SALES COMMISSIONS
|------- | ----------------------------------

Through June 30, 2009, Series J paid a service fee with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the net asset value per Unit of the outstanding Class I
Units as of the beginning of the month. The service fee was paid directly by Series J to Kenmar Securities Inc. (Selling Agent), an affiliate of the Managing Owner. The Selling Agent was responsible for paying all commissions
owing to the Correspondent Selling Agents (each a CSA and collectively, the CSAs), who were entitled to receive from the Selling Agent an initial commission equal to 2% of the initial net asset value per Unit of
each Class I Unit sold by them, payable on the date such Class I Units are purchased.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 5. | SERVICE FEES AND SALES COMMISSIONS (CONTINUED)
|------- | ----------------------------------------------



Commencing with the 13thmonth after the purchase of a Class I Unit, the CSAs received an
ongoing monthly commission equal to 1/12thof 2% (2% per
annum) of the net asset value per Class I Unit as of the beginning of each month of the Class I Units sold by them. Beginning July 1, 2009, Series J (rather than the Selling Agent) pays its service fee on Class I Units directly to the
CSAs.

Starting July 1, 2009, Service Fee  Class I Units (as described below) disclosed on the
statements of operations represents the monthly 1/12 of 2% service fee calculated on all Class I Units, the initial upfront sales commission of 2% and a deduction for Series Js recapture of the 1/12 of 2% service fee on all Units owned for
less than 12 months that have received the 2% upfront sales commission, a recapture of the service fee on Units held with no CSA.

For the year ended December 31, 2010 and for the period July 1, 2009 to December 31, 2009, the Service Fee  Class I Units is composed of the following:



|                                                                                                                          |  |                            |           |   |                            |   |           |  
|------------------------------------------------------------------------------------------------------------------------- |  | -------------------------- | --------- | - | -------------------------- | - | --------- | -
|                                                                                                                          |  | Year EndedDecember 31,2010 |           |   | Year EndedDecember 31,2009 |  
|Monthly 1/12 of 2% service fee calculated on all Class I Units                                                            |  | $                          | 2,411,963 |   |                            | $ | 1,121,089 |  
|Initial upfront 2% sales commission                                                                                       |  |                            | 556,889   |   |                            |   | 258,838   |  
|Series Js recapture of 1/12 of 2% service fee on select Units and recapture of the service fee on Units held with no
CSA |  |                            | (512,029  | ) |                            |   | (80,735   | )
|                                                                                                                          |  |                            |           |   |                            |   |           |  
|Total                                                                                                                     |  | $                          | 2,456,823 |   |                            | $ | 1,299,192 |  
|                                                                                                                          |  |                            |           |   |                            |   |           |  

Series J will also pay the Selling Agent a monthly sales commission equal to 1/12th of 1%
(1% annually) of the net asset value of the outstanding units as of the beginning of each month.

Effective October 1, 2010, Series J has agreed to pay a monthly fee to Wells Fargo for providing continuing due diligence, training, operations, system support, and marketing. For Class I and II
Units purchased by clients of Wells Fargo on or prior to October 1, 2010, the fee is 1/12thof 0.10% (0.10% per annum) of the beginning of the month net asset value. For Class I and II Units purchased subsequent to October 1, 2010 the fee is 1/12thof 0.30% (0.30% per annum) of the beginning of the month net asset
value. These fees will be deducted from the management fee.

Class II Unitholders are only assessed the Wells
Fargo service fee mentioned above.



|Note 6. | TRUSTEE
|------- | -------

The trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The trustee has delegated to the
Managing Owner the power and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.



|Note 7. | COSTS, FEES AND EXPENSES
|------- | ------------------------



| | A. | Operating Expenses
| | -- | ------------------

Operating expenses of Series J are paid for by Series J.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 7. | COSTS, FEES AND EXPENSES (CONTINUED)
|------- | ------------------------------------



| | B. | Management and Incentive Fees
| | -- | -----------------------------

Series J pays Ortus, Eagle, Graham, GLC, Krom, Crabel, Tudor and Paskewitz monthly management fees at the annual rate of 2.0%, 2.0%, 2.5%, 2.0%, 2.0%, 1.0%, 2.0% and 2.0% respectively, of their Managed
Accounts allocated assets as defined in their respective advisory agreements. Additionally, Series J pays Ortus, Eagle, Graham, GLC, Krom, Crabel, Tudor and Paskewitz an incentive fee accrued monthly and paid quarterly of 20%, 20%, 20%, 20%,
20% , 25%, 20% and 20%, respectively, for achieving New High Net Trading Profits in their specific Managed Accounts as defined in their respective advisory agreements. For the years ended December 31, 2010, 2009 and 2008,
incentive fees earned by the Trading Advisors were $2,629,655, $2,477,883 and $5,317,704, respectively, of which $1,035,898 and $62,430, respectively, remains payable by Series J at December 31, 2010 and December 31, 2009.

Effective October 1, 2010 Series J entered into an amendment to change the management and incentive fee charged to
some of its Trading Advisors. Series J will pay Eagle, Graham, Krom, and Paskewitz monthly management fees at the annual rate of 1.5%, 2.0%, 1.5%, and 1.0% respectively, of their Managed Accounts allocated assets as defined in the amendment to
their respective advisory agreements. Additionally, effective October 1, 2010 Series J will pay Eagle, Graham, Krom, and Paskewitz an incentive fee accrued monthly and paid quarterly of 25%, 20%, 25%, and 25% respectively, for achieving
New High Net Trading Profits in their specific Managed Accounts as defined in the amendment to their respective advisory agreements. Effective January 1, 2011, Ortus management and incentive fees shall be 1.0% and 25%.

Effective March 31, 2010, the Managing Owner terminated the managed account agreement with GLC.
Effective December 31, 2010, the Managing Owner terminated the managed account agreement with Graham (See Note 10).



|Note 8. | MARKET AND CREDIT RISK
|------- | ----------------------

The fair value of Series Js derivatives by instrument type, as well as the location of those instruments on the statements of financial condition as of December 31, 2010 and 2009, are included
in the condensed schedule of investments, all of which are deemed derivatives not designated as hedging instruments.

The following presents the fair value of derivative contracts at December 31, 2010 and 2009. The fair value of derivative contracts is presented as an asset if in a gain position and a liability if
in a loss position. Fair value is presented on a gross basis in the table below even though the derivative contracts qualify for net presentation in the statement of financial condition.



|                                      |  |                   |            |  |             |   |            |     |  |   |           | 
|------------------------------------- |  | ----------------- | ---------- |  | ----------- | - | ---------- | --- |  | - | --------- | 
|                                      |  | December 31, 2010 |           
|Description                           |  | Assets            |            |  | Liabilities |   |            | Net | 
|Futures Contracts                     |  | $                 | 9,756,436  |  |             | $ | (6,542,125 | )   |  | $ | 3,214,311 | 
|Forward Contracts                     |  |                   | 3,480,323  |  |             |   | (1,637,671 | )   |  |   | 1,842,652 | 
|Option Contracts                      |  |                   | 454,809    |  |             |   | (13,020    | )   |  |   | 441,789   | 
|                                      |  |                   |            |  |             |   |            |     |  |   |           | 
|Total gross fair value of derivatives |  | $                 | 13,691,568 |  |             | $ | (8,192,816 | )   |  | $ | 5,498,752 | 
|                                      |  |                   |            |  |             |   |            |     |  |   |           | 

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 8. | MARKET AND CREDIT RISK (CONTINUED)
|------- | ----------------------------------



|                                      |  |                   |            |  |             |   |            |     |  |   |           |  
|------------------------------------- |  | ----------------- | ---------- |  | ----------- | - | ---------- | --- |  | - | --------- | -
|                                      |  | December 31, 2009 |           
|Description                           |  | Assets            |            |  | Liabilities |   |            | Net | 
|Futures Contracts                     |  | $                 | 8,024,162  |  |             | $ | (6,645,766 | )   |  | $ | 1,378,396 |  
|Forward Contracts                     |  |                   | 2,082,991  |  |             |   | (2,784,126 | )   |  |   | (701,135  | )
|Option Contracts                      |  |                   | 2,183,652  |  |             |   | (10,400    | )   |  |   | 2,173,252 |  
|                                      |  |                   |            |  |             |   |            |     |  |   |           |  
|Total gross fair value of derivatives |  | $                 | 12,290,805 |  |             | $ | (9,440,292 | )   |  | $ | 2,850,513 |  
|                                      |  |                   |            |  |             |   |            |     |  |   |           |  

The trading revenue of Series Js derivatives by instrument type, as well as the
location of those gains and losses on the statements of operations, for the years ended December 31, 2010 and 2009 is as follows:



|                                       |  |                                               |            |   |      |   |            |  
|-------------------------------------- |  | --------------------------------------------- | ---------- | - | ---- | - | ---------- | -
|                                       |  | Trading Revenue for years ending December 31, |           
|Type of Instrument                     |  | 2010*                                         |            |   | 2009 |  
|Commodities Contracts                  |  | $                                             | 3,746,354  |   |      | $ | 812,906    |  
|Currencies Contracts                   |  |                                               | 3,226,724  |   |      |   | 2,211,059  |  
|Energy Contracts                       |  |                                               | (3,442,787 | ) |      |   | 103,117    |  
|Interest Rate Contracts                |  |                                               | 4,890,455  |   |      |   | (3,337,376 | )
|Metals Contracts                       |  |                                               | 2,863,499  |   |      |   | 6,519,462  |  
|Stock Indices Contracts                |  |                                               | 540,255    |   |      |   | 7,537,070  |  
|Purchased Options on Futures Contracts |  |                                               | (2,324,584 | ) |      |   | (3,778,627 | )
|Written Options on Futures Contracts   |  |                                               | 301,245    |   |      |   | 45,626     |  
|Forward Currency Contracts             |  |                                               | 6,715,707  |   |      |   | 5,474,679  |  
|                                       |  |                                              
|Total                                  |  | $                                             | 16,516,868 |   |      | $ | 15,587,916 |  
|                                       |  |                                               |            |   |      |   |            |  
|                                       |  |                                              
|Line item in Statements of Operations  |  |                                               |            |   |      |  
|Realized                               |  | $                                             | 12,405,545 |   |      | $ | 13,754,032 |  
|Change in unrealized                   |  |                                               | 4,111,323  |   |      |   | 1,833,884  |  
|                                       |  |                                               |            |   |      |   |            |  
|Total                                  |  | $                                             | 16,516,868 |   |      | $ | 15,587,916 |  
|                                       |  |                                               |            |   |      |   |            |  



| | * | Excludes income from Investments in Securities
| | - | ----------------------------------------------

For the years ended December 31, 2010 and 2009, the total number of closed futures contracts was approximately
161,610 and 123,694 respectively, the total number of closed options contracts was approximately 6,841 and 6,284, respectively, and the average monthly notional value of forwards contracts closed was approximately $1,817,698,867 and $1,318,366,209,
respectively.

The average monthly notional value of contracts closed represents the average monthly U.S.
dollar notional value of future and options contracts closed and settled in cash during years ended December 31, 2010 and 2009.

Series Js investments in Managed Accounts are subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial
instruments held or sold short by them. Series J bears the risk of loss only to the extent of the market value of its investment and, in certain specific circumstances, distributions and redemptions received.

Series J has cash on deposit with financial institutions and in broker trading accounts. In the event of a financial
institutions insolvency, recovery of cash on deposit may be limited to account insurance or other protection afforded such deposits.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 8. | MARKET AND CREDIT RISK (CONTINUED)
|------- | ----------------------------------



Series J is exposed to various types of risks associated with the
derivative instruments and related markets in which it directly invests through its Managed Accounts. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the
inability of counterparties to perform under the terms of Series Js investment activities (credit risk).

The Managing Owner has established procedures to actively monitor market risk and minimize credit risk, although there
can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions
received.

Market Risk

Trading in futures and forward contracts (including foreign exchange) involves entering into contractual commitments to
purchase or sell a particular commodity at a specified date and price. The gross or face amount of the contracts, which is typically many times that of Series Js net assets being traded, significantly exceeds Series Js future cash
requirements since Series J intends to close out its open positions prior to settlement. As a result, Series J is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series J considers the fair
value of its derivative instruments to be the net unrealized gain or loss on the contracts. The market risk associated with Series Js commitments to purchase commodities is limited to the gross or face amount of the contracts held. However,
when Series J enters into a contractual commitment to sell commodities, it must make delivery of the underlying commodity at the contract price and then repurchase the contracts at prevailing market prices or settle in cash. Since the repurchase
price to which a commodity can rise is unlimited, entering into commitments to sell commodities exposes Series J to unlimited risk. In addition, as both a buyer and seller of options, Series J pays or receives a premium at the outset and then bears
the risk of unfavorable changes in the price of the contract underlying the option. Written options expose Series J to potentially unlimited liability, and purchased options expose Series J to a risk of loss limited to the premiums paid.

Market risk is influenced by a wide variety of factors, including government programs and policies, political and
economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effect among the derivative instruments Series J holds and the liquidity and inherent volatility of the markets in which Series J
trades.

Credit Risk

When entering into futures or forward contracts, Series J is exposed to credit risk that the counterparty to the contract
will not meet its obligations. The counterparty for futures contracts traded on U.S. and most foreign futures exchanges is the clearinghouse associated with the particular exchange. In general, clearinghouses are backed by their corporate members
who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some
foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, there is concentration risk on forward transactions entered into by Series J, as Series Js clearing broker is the sole
counterparty.

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WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 8. | MARKET AND CREDIT RISK (CONTINUED)
|------- | ----------------------------------

Credit Risk (Continued)



Series J has entered into a master netting agreement with UBS Securities
LLC, the clearing broker for Eagle, Ortus, Graham, and Krom. Series J has also entered into a master netting agreement with Newedge USA LLC, the clearing broker for Paskewitz, Crabel and Tudor. Series J does not have a master netting agreement
between UBS Securities LLC and Newedge USA LLC. As a result of the master netting agreements, when applicable, Series J presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition. The
amount at risk associated with counterparty non-performance of all of Series Js contracts is the net unrealized gain (loss) included in the statements of financial condition; however, counterparty non-performance on only certain of Series
Js contracts may result in greater loss than non-performance on all of Series Js contracts. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series J.

The Managing Owner attempts to minimize both credit and market risks by requiring Series J and its Trading Advisors to
abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies, which include, but are not limited to, executing and clearing all trades with creditworthy counterparties;
limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions.

Series Js futures commission merchants, in accepting orders for the purchase or sale of domestic
futures contracts, are required by CFTC regulations to separately account for and segregate as belonging to Series J all assets of Series J relating to domestic futures trading and are not allowed to commingle such assets with its other assets.

At December 31, 2010 and 2009, such segregated assets totaled $24,432,605 and $20,316,765, respectively,
which are included in cash and cash equivalents on the statements of financial condition. Part 30.7 of the CFTC regulations also requires Series Js futures commission merchants to secure assets of Series J related to foreign futures trading,
which totaled $3,399,129 and $3,135,943 at December 31, 2010 and 2009, respectively. There are no segregation requirements for assets related to forward trading.

As of December 31, 2010, all of Series Js open futures contracts mature within fifty one months.

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##### Table of Contents

WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 9. | FINANCIAL HIGHLIGHTS
|------- | --------------------

The following information presents per Unit operating performance data and other supplemental financial data for the years ended December 31, 2010, 2009 and 2008. This information has been derived
from information presented in the financial statements.



Class I


Class II2010


2009


2008


2010


2009


2008Per Unit Performance(for a Unit outstanding throughout the entire year)Net asset value per Unit atbeginning of period

$
124.69


$
120.57


$
105.40


$
130.38


$
123.39


$
105.76Income (loss) from operations:Net realized and change inunrealized gain(1)


13.52



15.56



28.06



14.36



16.03



28.19Interest income(1)


0.07



0.04



1.47



0.07



0.03



1.54Dividend income(1)


0.50



0.00



0.00



0.53



0.00



0.00Expenses(1)


(10.81
)


(11.48
)


(14.24
)


(8.79
)


(9.07
)


(12.01
)Total income (loss)from operations


3.28



4.12



15.29



6.17



6.99



17.72Offering costs(1),(2)


0.00



0.00



(0.12
)


0.00



0.00



(0.09
)Net increase for the year


3.28



4.12



15.17



6.17



6.99



17.63Net asset value per Unit atend of period

$
127.97


$
124.69


$
120.57


$
136.55


$
130.38


$
123.39Total ReturnTotal return before incentive fees


4.56
%


5.46
%


19.44
%


6.69
%


7.70
%


21.50
%Incentive fee


(1.93
)%


(2.04
)%


(5.05
)%


(1.96
)%


(2.04
)%


(4.83
)%Total return after incentive fees


2.63
%


3.42
%


14.39
%


4.73
%


5.66
%


16.67
%Supplemental DataRatios to average net asset value:Net investment loss beforeincentive fees(3)


(6.33
)%


(7.31
)%


(5.93
)%


(4.31
)%


(5.13
)%


(4.01
)%Incentive fee


(1.95
)%


(2.01
)%


(5.05
)%


(1.96
)%


(1.98
)%


(4.83
)%Net investment loss afterincentive fees


(8.28
)%


(9.32
)%


(10.98
)%


(6.27
)%


(7.11
)%


(8.84
)%Interest income


0.06
%


0.03
%


1.26
%


0.06
%


0.02
%


1.30
%Dividend income


0.41
%


0.00
%


0.00
%


0.41
%


0.00
%


0.00
%Incentive fees


1.95
%


2.01
%


5.05
%


1.96
%


1.98
%


4.83
%Other expenses(2)


6.80
%


7.34
%


7.19
%


4.78
%


5.15
%


5.31
%Total expenses


8.75
%


9.35
%


12.24
%


6.74
%


7.13
%


10.14
%


Total returns are calculated based on the change in value of a Unit during the
period. An individual unitholders total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.





| | (1) | Dividend and interest income per Unit, expenses per Unit and offering costs per Unit are calculated by dividing dividend and interest income,
expenses and offering costs applicable to each class by the weighted average number of Units of each class outstanding during the year. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in net asset
value per Unit of each class with the other per Unit information.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (2) | Offering costs were charged against capital through March 31, 2008. Beginning April 1, 2008, offering costs were expensed.
| | --- | --------------------------------------------------------------------------------------------------------------------------

| | (3) | Represents dividend and interest income less total expenses (exclusive of incentive fees).
| | --- | ------------------------------------------------------------------------------------------

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79



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##### Table of Contents

WORLD MONITOR TRUST III  SERIES J

NOTES TO FINANCIAL STATEMENTS (CONTINUED)







|Note 10. | SUBSEQUENT EVENTS
|-------- | -----------------

From January 1, 2011 through March 18, 2011, there were subscriptions and redemptions, inclusive of transfers, of $5,399,168 and $2,977,824, respectively.

Effective January 1, 2011, Series J allocated approximately one-seventh of its net assets to CTA Choice GRM
(GRM), a series of CTA Choice Fund LLC, a Delaware limited liability company organized in series. Graham is the Trading Advisor for GRM and will manage the assets pursuant to its K4D-15V Program. Series J will pay GRM, a monthly
management fee at the annual rate of 2.0%, of Series Js allocated assets. Additionally, Series J will pay GRM an incentive fee accrued monthly and paid quarterly of 20% for achieving New High Net Trading Profits as defined in
GRMs advisory agreement.

Series J has entered into an Administration Agreement and Middle/Back Office
Agreement with GlobeOp Financial Services LLC (GlobeOp) whereby GlobeOp will provide administration services to Series J.

AlphaMetrix360, LLC, formally known as Spectrum Global Fund Administration, L.L.C. (AlphaMetrix) currently provides Series J with administration services pursuant to a Services Agreement dated
May 23, 2007 between AlphaMetrix and Series J. Series J has notified AlphaMetrix that effective May 31, 2011, Series J intends to replace AlphaMetrix with GlobeOp as Administrator and that AlphaMetrixs Services Agreement with Series
J will be terminated effective close of business on May 31, 2011.

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80



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##### Table of Contents

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, Registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized, on the 18th day of March 2011.



|                                                                                                                                                                                                       |  |                                                           |  |                     
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ |  | --------------------------------------------------------- |  | --------------------
|                                                                                                                                                                                                       |  | WORLD MONITOR TRUST III  SERIES J                        |  |                     
|                                                                                                                                                                                                       |  |                                                          
|By:                                                                                                                                                                                                    |  | Kenmar Preferred Investments Corp.                        |  |                     
|                                                                                                                                                                                                       |  | Managing Owner                                            |  |                     
|                                                                                                                                                                                                       |  |                                                          
|                                                                                                                                                                                                       |  | By: /s/ David K. Spohr                                    |  | Date: March 18, 2011
|                                                                                                                                                                                                       |  | David K. Spohr                                            |  |                     
|                                                                                                                                                                                                       |  | Senior Vice President and Director of Fund Administration |  |                     
|                                                                                                                                                                                                      
|Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of
Registrant in the capacities indicated on March 18, 2011.
|                                                                                                                                                                                                       |  |                                                          
|                                                                                                                                                                                                       |  | WORLD MONITOR TRUST III  SERIES J                        |  |                     
|                                                                                                                                                                                                       |  |                                                          
|By:                                                                                                                                                                                                    |  | Kenmar Preferred Investments Corp.                        |  |                     
|                                                                                                                                                                                                       |  | Managing Owner                                            |  |                     
|                                                                                                                                                                                                       |  |                                                          
|                                                                                                                                                                                                       |  | By: /s/ Kenneth A. Shewer                                 |  | Date: March 18, 2011
|                                                                                                                                                                                                       |  | Kenneth A. Shewer                                         |  |                     
|                                                                                                                                                                                                       |  | Co-Chief Executive Officer                                |  |                     
|                                                                                                                                                                                                       |  | (Principal Executive Officer)                             |  |                     
|                                                                                                                                                                                                       |  |                                                          
|                                                                                                                                                                                                       |  | By: /s/ David K. Spohr                                    |  | Date: March 18, 2011
|                                                                                                                                                                                                       |  | David K. Spohr                                            |  |                     
|                                                                                                                                                                                                       |  | Senior Vice President and Director of Fund Administration |  |                     
|                                                                                                                                                                                                       |  | (Principal Financial/Accounting Officer)                  |  |                     



81