----

| GLOBAL MACRO TRUST |
|--------------------|
|               |
| TABLE OF CONTENTS  |

|                                                                             |   | Page        |
|----------------------------------------------------------------------------------|--------|-------------|
|                                                                             |   |        |
| AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION                                   |   |        |
|                                                                             |   |        |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM                          |   | 1           |
|                                                                             |   |        |
| FINANCIAL STATEMENTS FOR THE YEARS ENDED DECEMBER 31, 2010, 2009, and 2008: |   |        |
|                                                                             |   |        |
| Statements of Financial Condition                                                |   | 2           |
|                                                                             |   |        |
| Condensed Schedules of Investments                                               |   | 3–6   |
|                                                                             |   |        |
| Statements of Operations                                                         |   | 7           |
|                                                                             |   |        |
| Statements of Changes in Trust Capital                                           |   | 8           |
|                                                                             |   |        |
| Statements of Financial Highlights                                               |   | 9-12        |
|                                                                             |   |        |
| Notes to Financial Statements                                                    |   | 13–24 |

----

----

----

| GLOBAL MACRO TRUST                                           |
|--------------------------------------------------------------|
|                                                         |
| STATEMENTS OF FINANCIAL CONDITION                            |
| AS OF DECEMBER 31, 2010 AND 2009         |

|                                                                                                               |   | 2010   |        |   | 2009   |   |
|--------------------------------------------------------------------------------------------------------------------|--------|--------|-------------|--------|--------|--------|
| ASSETS                                                                                                             |   |   |        |   |   |   |
|                                                                                                               |   |   |        |   |   |   |
| EQUITY IN TRADING ACCOUNTS:                                                                                        |   |   |        |   |   |   |
| Investments in U.S. Treasury notes — at fair value (amortized cost $146,977,164 and $183,990,192)            |   | $      | 147,055,005 |   |   | $      | 184,131,564 |   |
| Net unrealized appreciation on open futures and forward currency contracts                                         |   |   | 37,402,229  |   |   |   | 8,149,438 |   |
| Due from brokers                                                                                                   |   |   | 14,425,007  |   |   |   | 8,226,920 |   |
| Cash denominated in foreign currencies (cost $8,260,299 and $10,850,532)                                           |   |   | 8,404,398   |   |   |   | 11,295,744 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| Total equity in trading accounts                                                                                   |   |   | 207,286,639 |   |   |   | 211,803,666 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost  $654,167,743 and $637,400,369) |   |   | 654,498,603 |   |   |   | 637,870,733 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| CASH AND CASH EQUIVALENTS                                                                                          |   |   | 47,954,734  |   |   |   | 62,306,227 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| ACCRUED INTEREST RECEIVABLE                                                                                        |   |   | 1,421,896   |   |   |   | 7,477,239 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| TOTAL                                                                                                              |   | $      | 911,161,872 |   |   | $      | 919,457,865 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| LIABILITIES AND TRUST CAPITAL                                                                                      |   |   |        |   |   |   |   |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| LIABILITIES:                                                                                                       |   |   |        |   |   |   |   |   |
| Subscriptions by Unitholders received in advance                                                                   |   | $      | 6,440,530   |   |   | $      | 850,000 |   |
| Net unrealized depreciation on open futures and forward currency contracts                                         |   |   | -           |   |   |   | 13,006,623 |   |
| Due to Managing Owner                                                                                              |   |   | 1,276       |   |   |   | 5,492 |   |
| Accrued brokerage fees                                                                                             |   |   | 4,843,008   |   |   |   | 4,831,803 |   |
| Accrued management fees                                                                                            |   |   | 24,278      |   |   |   | 3,753 |   |
| Redemptions payable to Unitholders                                                                                 |   |   | 5,953,490   |   |   |   | 10,404,572 |   |
| Redemption payable to Managing Owner                                                                               |   |   | 262,829     |   |   |   | 40,426 |   |
| Accrued expenses                                                                                                   |   |   | 239,340     |   |   |   | 132,135 |   |
| Cash denominated in foreign currencies (cost $-469,938 and $-69,497)                                               |   |   | 471,510     |   |   |   | 69,509 |   |
| Due to brokers                                                                                                     |   |   | -           |   |   |   | 10,958,940 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| Total liabilities                                                                                                  |   |   | 18,236,261  |   |   |   | 40,303,253 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| TRUST CAPITAL:                                                                                                     |   |   |        |   |   |   |   |   |
| Managing Owner interest (8,311.477 and 9,024.593 units outstanding)                                                |   |   | 10,922,729  |   |   |   | 10,937,574 |   |
| Series 1 Unitholders (660,222.516 and 714,519.974 units outstanding)                                               |   |   | 867,646,692 |   |   |   | 865,980,227 |   |
| Series 2 Unitholders (75.492 and 0 units outstanding)                                                              |   |   | 101,957     |   |   |   | - |   |
| Series 3 Unitholders (10,481.102 and 1,831.292 units outstanding)                                                  |   |   | 14,178,784  |   |   |   | 2,236,811 |   |
| Series 4 Unitholders (55.233 and 0 units outstanding)                                                              |   |   | 75,449      |   |   |   | - |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| Total trust capital                                                                                                |   |   | 892,925,611 |   |   |   | 879,154,612 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| TOTAL                                                                                                              |   | $      | 911,161,872 |   |   | $      | 919,457,865 |   |
|                                                                                                               |   |   |        |   |   |   |   |   |
| NET ASSET VALUE PER UNIT OUTSTANDING:                                                                              |   |   |        |   |   |   |   |   |
| Series 1 Unitholders                                                                                               |   | $      | 1,314.17    |   |   | $      | 1,211.97 |   |
| Series 2 Unitholders                                                                                               |   | $      | 1,350.56    |   |   | $      | - |   |
| Series 3 Unitholders                                                                                               |   | $      | 1,352.80    |   |   | $      | 1,221.44 |   |
| Series 4 Unitholders                                                                                               |   | $      | 1,366.01    |   |   | $      | - |   |

----

| GLOBAL MACRO TRUST                                  |
|-----------------------------------------------------|
|                                                |
| CONDENSED SCHEDULE OF INVESTMENTS                   |
| AS OF DECEMBER 31, 2010         |

|                                                                    |   | Net Unrealized      |   |   |                |        |
|-------------------------------------------------------------------------|--------|--------------------------|--------|--------|---------------------|-------------|
|                                                                    |   | Appreciation             |   |   |                |        |
|                                                                    |   | (Depreciation)           |   |   | Net Unrealized |        |
|                                                                    |   | as a % of |   |   | Appreciation        |        |
|                                                                    |   | Trust Capital       |   |   | (Depreciation)      |        |
| FUTURES AND FORWARD CURRENCY CONTRACTS                                  |   |                     |   |   |                |        |
|                                                                    |   |                     |   |   |                |        |
| FUTURES CONTRACTS                                                       |   |                     |   |   |                |        |
| Long futures contracts:                                                 |   |                     |   |   |                |        |
| Energies                                                                |   |                     | 0.33   | %      |                | $           | 2,974,672 |   |
| Grains                                                                  |   |                     | 0.72   |   |                |        | 6,435,870 |   |
| Interest rates:                                                         |   |                     |   |   |                |        |   |   |
| 2 Year U.S. Treasury Note (1,725 contracts, settlement date 03/31/2011) |   |                     | (0.04  | )      |                |        | (332,016 | ) |
| Other interest rates                                                    |   |                     | 0.20   |   |                |        | 1,791,919 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total interest rates                                                    |   |                     | 0.16   |   |                |        | 1,459,903 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Livestock                                                               |   |                     | 0.07   |   |                |        | 578,540 |   |
| Metals                                                                  |   |                     | 1.18   |   |                |        | 10,487,557 |   |
| Softs                                                                   |   |                     | 0.32   |   |                |        | 2,892,994 |   |
| Stock indices                                                           |   |                     | 0.57   |   |                |        | 5,040,779 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total long futures contracts                                            |   |                     | 3.35   |   |                |        | 29,870,315 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Short futures contracts:                                                |   |                     |   |   |                |        |   |   |
| Energies                                                                |   |                     | (0.15  | )      |                |        | (1,326,800 | ) |
| Grains                                                                  |   |                     | (0.08  | )      |                |        | (707,463 | ) |
| Interest rates                                                          |   |                     | (0.01  | )      |                |        | (132,113 | ) |
| Livestock                                                               |   |                     | (0.03  | )      |                |        | (295,000 | ) |
| Metals                                                                  |   |                     | (0.13  | )      |                |        | (1,179,968 | ) |
| Softs                                                                   |   |                     | (0.03  | )      |                |        | (262,312 | ) |
| Stock indices                                                           |   |                     | 0.05   |   |                |        | 498,176 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total short futures contracts                                           |   |                     | (0.38  | )      |                |        | (3,405,480 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net                      |   |                     | 2.97   |   |                |        | 26,464,835 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| FORWARD CURRENCY CONTRACTS                                              |   |                     |   |   |                |        |   |   |
| Total long forward currency contracts                                   |   |                     | 1.60   |   |                |        | 14,278,410 |   |
| Total short forward currency contracts                                  |   |                     | (0.38  | )      |                |        | (3,341,016 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net             |   |                     | 1.22   |   |                |        | 10,937,394 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL                                                                   |   |                     | 4.19   | %      |                | $           | 37,402,229 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
|                                                                    |   |                     |   |   |                | (Continued) |   |

----

| GLOBAL MACRO TRUST                |
|-----------------------------------|
|                              |
| CONDENSED SCHEDULE OF INVESTMENTS |
| AS OF DECEMBER 31, 2010           |

|   |        |        |                                    | Fair Value          |   |   |   |   |
|--------|-------------|-------------|-----------------------------------------|--------------------------|--------|--------|--------|--------|
| Face   |        |        |                                    | as a % of |   |   | Fair   |   |
| Amount |        | Description |                                    | Trust Capital       |   |   | Value  |   |
|   |        |        |                                    |                     |   |   |   |   |
| $      | 174,000,000 |        | U.S. Treasury notes, 0.875%, 03/31/2011 |                     |   | 19.52  | %      |   | $ | 174,299,063 |   |
|   | 185,700,000 |        | U.S. Treasury notes, 0.875%, 05/31/2011 |                     |   | 20.86  |   |   |   | 186,251,297 |   |
|   | 219,330,000 |        | U.S. Treasury notes, 1.000%, 08/31/2011 |                     |   | 24.69  |   |   |   | 220,460,920 |   |
|   | 219,650,000 |        | U.S. Treasury notes, 0.750%, 11/30/2011 |                     |   | 24.70  |   |   |   | 220,542,328 |   |
|   |        |        |                                    |                     |   |   |   |   |   |   |   |
|   |        |        | TOTAL INVESTMENTS IN U.S. TREASURY      |                     |   |   |   |   |   |   |   |
|   |        |        | NOTES (amortized cost $801,144,907)     |                     |   | 89.77  | %      |   | $ | 801,553,608 |   |

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

----

| GLOBAL MACRO TRUST                |
|-----------------------------------|
|                              |
| CONDENSED SCHEDULE OF INVESTMENTS |
| AS OF DECEMBER 31, 2009           |

|                                                                    |   | Net Unrealized      |   |   |                |        |
|-------------------------------------------------------------------------|--------|--------------------------|--------|--------|---------------------|-------------|
|                                                                    |   | Appreciation             |   |   |                |        |
|                                                                    |   | (Depreciation)           |   |   | Net Unrealized |        |
|                                                                    |   | as a % of |   |   | Appreciation        |        |
|                                                                    |   | Trust Capital       |   |   | (Depreciation)      |        |
| FUTURES AND FORWARD CURRENCY CONTRACTS                                  |   |                     |   |   |                |        |
|                                                                    |   |                     |   |   |                |        |
| FUTURES CONTRACTS                                                       |   |                     |   |   |                |        |
| Long futures contracts:                                                 |   |                     |   |   |                |        |
| Energies                                                                |   |                     | 1.37   | %      |                | $           | 12,086,666 |   |
| Grains                                                                  |   |                     | 0.05   |   |                |        | 471,763 |   |
| Interest rates:                                                         |   |                     |   |   |                |        |   |   |
| 2 Year U.S. Treasury Note (1,190 contracts, settlement date 03/31/2010) |   |                     | (0.15  | )      |                |        | (1,356,983 | ) |
| 5 Year U.S. Treasury Note (714 contracts, settlement date 03/31/2010)   |   |                     | (0.19  | )      |                |        | (1,625,882 | ) |
| 10 Year U.S. Treasury Note (404 contracts, settlement date 03/31/2010)  |   |                     | (0.07  | )      |                |        | (606,828 | ) |
| 30 Year U.S. Treasury Bond (11 contracts, settlement date 03/31/2010)   |   |                     | (0.00  | )      |                |        | (36,000 | ) |
| Other interest rates                                                    |   |                     | (0.85  | )      |                |        | (7,412,093 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total interest rates                                                    |   |                     | (1.26  | )      |                |        | (11,037,786 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| Metals                                                                  |   |                     | 0.34   |   |                |        | 2,993,788 |   |
| Softs                                                                   |   |                     | 0.35   |   |                |        | 3,088,661 |   |
| Stock indices                                                           |   |                     | 1.31   |   |                |        | 11,402,780 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total long futures contracts                                            |   |                     | 2.16   |   |                |        | 19,005,872 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| Short futures contracts:                                                |   |                     |   |   |                |        |   |   |
| Energies                                                                |   |                     | (1.17  | )      |                |        | (10,330,324 | ) |
| Grains                                                                  |   |                     | (0.05  | )      |                |        | (478,937 | ) |
| Interest rates                                                          |   |                     | 0.00   |   |                |        | 37,750 |   |
| Livestock                                                               |   |                     | (0.03  | )      |                |        | (271,610 | ) |
| Metals                                                                  |   |                     | (0.20  | )      |                |        | (1,755,899 | ) |
| Softs                                                                   |   |                     | (0.02  | )      |                |        | (142,102 | ) |
| Stock indices                                                           |   |                     | (0.03  | )      |                |        | (266,008 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| Total short futures contracts                                           |   |                     | (1.50  | )      |                |        | (13,207,130 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS ― Net                      |   |                     | 0.66   |   |                |        | 5,798,742 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| FORWARD CURRENCY CONTRACTS                                              |   |                     |   |   |                |        |   |   |
| Total long forward currency contracts                                   |   |                     | (1.72  | )      |                |        | (15,178,661 | ) |
| Total short forward currency contracts                                  |   |                     | 0.51   |   |                |        | 4,522,734 |   |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS ― Net             |   |                     | (1.21  | )      |                |        | (10,655,927 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
| TOTAL                                                                   |   |                     | (0.55  | )%     |                | $           | (4,857,185 | ) |
|                                                                    |   |                     |   |   |                |        |   |   |
|                                                                    |   |                     |   |   |                | (Continued) |   |

----

| GLOBAL MACRO TRUST                |
|-----------------------------------|
|                              |
| CONDENSED SCHEDULE OF INVESTMENTS |
| AS OF DECEMBER 31, 2009           |

| U.S. TREASURY NOTES     |        |                           |                                    |                     |   |        |
|-----------------------------------|-------------|--------------------------------|-----------------------------------------|--------------------------|--------|-------------|
|                              |        |                           |                                    | Fair Value          |   |        |   |   |
| Face                              |        |                           |                                    | as a % of |   |        | Fair |   |
| Amount                            |        | Description                    |                                    | Trust Capital       |   |        | Value |   |
|                              |        |                           |                                    |                     |   |        |   |   |
| $                            | 99,500,000  |                           | U.S. Treasury notes, 1.750%, 03/31/2010 |                     |   | 11.37       | % |   | $ | 99,904,219 |   |
|                              | 230,000,000 |                           | U.S. Treasury notes, 2.625%, 05/31/2010 |                     |   | 26.42       |   |   |   | 232,300,000 |   |
|                              | 244,330,000 |       | U.S. Treasury notes, 3.875%, 07/15/2010 |                     |   | 28.33       |   |   |   | 249,102,070 |   |
|                              | 233,650,000 |                           | U.S. Treasury notes, 4.250%, 10/15/2010 |                     |   | 27.38       |   |   |   | 240,696,008 |   |
|                              |        |                           |                                    |                     |   |        |   |   |   |   |   |
|                              |        |                           | TOTAL INVESTMENTS IN U.S. TREASURY      |                     |   |        |   |   |   |   |   |
|                              |        |                           | NOTES (amortized cost $821,390,561)     |                     |   | 93.50       | % |   | $ | 822,002,297 |   |
|                              |        |                           |                                    |                     |   |        |   |   |   |   |   |
| See notes to financial statements |        |                           |                                    |                     |   | (Concluded) |   |

----

| GLOBAL MACRO TRUST                            |
|-----------------------------------------------|
|                                          |
| STATEMENTS OF OPERATIONS                      |
| YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 |

|                                                                                      |   | 2010   |        |   | 2009   |   |         | 2008   |   |
|-------------------------------------------------------------------------------------------|--------|--------|-------------|--------|--------|--------|--------------|--------|--------|
|                                                                                      |   |   |        |   |   |   |         |   |   |
| INVESTMENT INCOME — Interest income                                                 |   | $      | 3,235,502   |   |   | $      | 9,966,151    |   |   | $ | 21,273,709 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| EXPENSES:                                                                                 |   |   |        |   |   |   |         |   |   |   |   |   |
| Brokerage fees                                                                            |   |   | 57,320,175  |   |   |   | 63,566,376   |   |   |   | 54,511,974 |   |
| Administrative expenses                                                                   |   |   | 2,233,354   |   |   |   | 2,670,335    |   |   |   | 2,590,867 |   |
| Custody fees                                                                              |   |   | 160,011     |   |   |   | 193,127      |   |   |   | 160,055 |   |
| Management fees                                                                           |   |   | 143,533     |   |   |   | 10,864       |   |   |   | - |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| Total expenses                                                                            |   |   | 59,857,073  |   |   |   | 66,440,702   |   |   |   | 57,262,896 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| NET INVESTMENT LOSS                                                                       |   |   | (56,621,571 | )      |   |   | (56,474,551  | )      |   |   | (35,989,187 | ) |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| NET REALIZED AND UNREALIZED GAINS (LOSSES):                                               |   |   |        |   |   |   |         |   |   |   |   |   |
| Net realized gains (losses) on closed positions:                                          |   |   |        |   |   |   |         |   |   |   |   |   |
| Futures and forward currency contracts                                                    |   |   | 87,904,542  |   |   |   | (49,280,152  | )      |   |   | 214,035,345 |   |
| Foreign exchange translation                                                              |   |   | 352,202     |   |   |   | 126,508      |   |   |   | (848,741 | ) |
| Net change in unrealized:                                                                 |   |   |        |   |   |   |         |   |   |   |   |   |
| Futures and forward currency contracts                                                    |   |   | 42,259,414  |   |   |   | (9,457,839   | )      |   |   | (8,084,164 | ) |
| Foreign exchange translation                                                              |   |   | (302,673    | )      |   |   | 352,661      |   |   |   | 135,285 |   |
| Net gains (losses) from U.S. Treasury notes:                                              |   |   |        |   |   |   |         |   |   |   |   |   |
| Realized                                                                                  |   |   | 16,976      |   |   |   | 526,749      |   |   |   | - |   |
| Net change in unrealized                                                                  |   |   | (203,035    | )      |   |   | (6,705,006   | )      |   |   | 4,991,515 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| Total net realized and unrealized gains (losses)                                          |   |   | 130,027,426 |   |   |   | (64,437,079  | )      |   |   | 210,229,240 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| NET INCOME (LOSS)                                                                         |   |   | 73,405,855  |   |   |   | (120,911,630 | )      |   |   | 174,240,053 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| LESS PROFIT SHARE TO MANAGING OWNER                                                       |   |   | 262,695     |   |   |   | 43,187       |   |   |   | 30,185,853 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER                                    |   | $      | 73,143,160  |   |   | $      | (120,954,817 | )      |   |   | 144,054,200 |   |
|                                                                                      |   |   |        |   |   |   |         |   |   |   |   |   |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING (see Note 7): |   |   |        |   |   |   |         |   |   |   |   |   |
| Series 1 Unitholders                                                                      |   | $      | 102.20      |   |   | $      | (159.03      | )      |   | $ | 213.83 |   |
| Series 2 Unitholders                                                                      |   | $      | 72.46       |   |   | $      | -            |   |   | $ | - |   |
| Series 3 Unitholders                                                                      |   | $      | 131.36      |   |   | $      | 40.53        |   |   | $ | - |   |
| Series 4 Unitholders                                                                      |   | $      | 50.68       |   |   | $      | -            |   |   | $ | - |   |

----

| GLOBAL MACRO TRUST                            |
|-----------------------------------------------|
|                                          |
| STATEMENTS OF CHANGES IN TRUST CAPITAL        |
| YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 |

|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   | New Profit Memo |   |   |   |   |   |   |   |   |        |   |   |   |        |
|--------------------------------------------------------|--------|--------------------------------|---------------|--------|--------------------------------|--------|-------------|--------------------------------|--------|--------|--------------------------------|--------|--------|---------|--------|--------|---------------------|--------|------------|--------|--------|--------|------------|--------|--------|---------------------------|--------|--------|--------|--------|--------|--------|--------|--------|-------------|--------|--------|--------|-------------|
|                                                   |   | Series 1 Unitholders |          |   | Series 2 Unitholders |   |        | Series 3 Unitholders |   |   | Series 4 Unitholders |   |   | Account |   |   | Managing Owner |   |       | Total  |   |
|                                                   |   | Amount                         |          |   | Units                          |   |        | Amount                         |   |   | Units                          |   |   | Amount  |   |   | Units               |   |       | Amount |   |   | Units      |   |   | Amount                    |   |   | Units  |   |   | Amount |   |   | Units       |   |   | Amount |        |   | Units |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |
| TRUST CAPITAL — January 1, 2008                  |   | $                              | 618,384,029   |   |                           |   | 534,394.969 |                           |   | $      | -                              |   |   |    | -      |   |                | $      | -          |   |   |   | -          |   |   | $                         | -      |   |   |   | -      |   |   | $      | -           |   |   |   | -           |   |   | $ | 6,373,279 |   |   |   | 5,507.640 |   |   | $ | 624,757,308 |   |   |   | 539,902.609 |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                          |   |                           | 341,517,412   |   |                           |   | 272,963.809 |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | 1,900,000 |   |   |   | 1,461.442 |   |   |   | 343,417,412 |   |   |   | 274,425.251 |   |
| Redemptions                                            |   |                           | (82,882,368   | )      |                           |   | (65,542.043 | )                              |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | (29,151,044 | ) |   |   | (21,262.614 | ) |   |   | (112,033,412 | ) |   |   | (86,804.657 | ) |
| Additional units allocated*                            |   |                           | -             |   |                           |   | 1,306.023   |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | 28.600      |   |   |   | - |   |   |   | 635.432 |   |   |   | - |   |   |   | 1,970.055 |   |
| Net income after profit share to Managing Owner        |   |                           | 141,801,778   |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | 99,892      |   |   |   | -           |   |   |   | 2,152,530 |   |   |   | - |   |   |   | 144,054,200 |   |   |   | - |   |
| Managing Owner’s profit share                    |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | 30,185,853  |   |   |   | 22,061.677  |   |   |   | - |   |   |   | - |   |   |   | 30,185,853 |   |   |   | 22,061.677 |   |
| Transfer of New Profit Memo Account to Managing Owner  |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | (30,285,745 | )      |   |   | (22,090.277 | ) |   |   | 30,285,745 |   |   |   | 22,090.277 |   |   |   | - |   |   |   | - |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL — December 31, 2008                |   |                           | 1,018,820,851 |   |                           |   | 743,122.758 |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | 11,560,510 |   |   |   | 8,432.177 |   |   |   | 1,030,381,361 |   |   |   | 751,554.935 |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                          |   |                           | 78,304,008    |   |                           |   | 59,130.010  |                           |   |   | -                              |   |   |    | -      |   |                |   | 1,727,114  |   |   |   | 1,444.668  |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | - |   |   |   | - |   |   |   | 80,031,122 |   |   |   | 60,574.678 |   |
| Redemptions                                            |   |                           | (110,305,815  | )      |                           |   | (89,327.054 | )                              |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | (40,426 | ) |   |   | (33.356 | ) |   |   | (110,346,241 | ) |   |   | (89,360.410 | ) |
| Transfers                                              |   |                           | (461,258      | )      |                           |   | (388.822    | )                              |   |   | -                              |   |   |    | -      |   |                |   | 461,258    |   |   |   | 386.624    |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | (2.198 | ) |
| Additional units allocated*                            |   |                           | -             |   |                           |   | 1,983.082   |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | 1.214       |   |   |   | - |   |   |   | 592.416 |   |   |   | - |   |   |   | 2,576.712 |   |
| Net income (loss) after profit share to Managing Owner |   |                           | (120,377,559  | )      |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | 48,439     |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | (2,761      | )      |   |   | -           |   |   |   | (622,936 | ) |   |   | - |   |   |   | (120,954,817 | ) |   |   | - |   |
| Managing Owner’s profit share                    |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | 43,187      |   |   |   | 32.142      |   |   |   | - |   |   |   | - |   |   |   | 43,187 |   |   |   | 32.142 |   |
| Transfer of New Profit Memo Account to Managing Owner  |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | (40,426     | )      |   |   | (33.356     | ) |   |   | 40,426 |   |   |   | 33.356 |   |   |   | - |   |   |   | - |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL — December 31, 2009                |   |                           | 865,980,227   |   |                           |   | 714,519.974 |                           |   |   | -                              |   |   |    | -      |   |                |   | 2,236,811  |   |   |   | 1,831.292  |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | 10,937,574 |   |   |   | 9,024.593 |   |   |   | 879,154,612 |   |   |   | 725,375.859 |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Subscriptions                                          |   |                           | 31,438,164    |   |                           |   | 25,234.721  |                           |   |   | 95,530                         |   |   |    | 75.492 |   |                |   | 11,260,170 |   |   |   | 8,961.540  |   |   |                      | 71,041 |   |   |   | 55.233 |   |   |   | -           |   |   |   | -           |   |   |   | - |   |   |   | - |   |   |   | 42,864,905 |   |   |   | 34,326.986 |   |
| Redemptions                                            |   |                           | (100,149,285  | )      |                           |   | (81,345.253 | )                              |   |   | -                              |   |   |    | -      |   |                |   | (387,647   | )      |   |   | (311.730   | )      |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | -           |   |   |   | (1,962,829 | ) |   |   | (1,528.360 | ) |   |   | (102,499,761 | ) |   |   | (83,185.343 | ) |
| Additional units allocated*                            |   |                           | -             |   |                           |   | 1,813.074   |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | -           |   |   |   | 0.022       |   |   |   | - |   |   |   | 615.248 |   |   |   | - |   |   |   | 2,428.344 |   |
| Net income after profit share to Managing Owner        |   |                           | 70,377,586    |   |                           |   | -           |                           |   |   | 6,427                          |   |   |    | -      |   |                |   | 1,069,450  |   |   |   | -          |   |   |                      | 4,408  |   |   |   | -      |   |   |   | 134         |   |   |   |        |   |   |   | 1,685,155 |   |   |   | - |   |   |   | 73,143,160 |   |   |   | - |   |
| Managing Owner’s profit share                    |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | 262,695     |   |   |   | 199.974     |   |   |   | - |   |   |   | - |   |   |   | 262,695 |   |   |   | 199.974 |   |
| Transfer of New Profit Memo Account to Managing Owner  |   |                           | -             |   |                           |   | -           |                           |   |   | -                              |   |   |    | -      |   |                |   | -          |   |   |   | -          |   |   |                      | -      |   |   |   | -      |   |   |   | (262,829    | )      |   |   | (199.996    | ) |   |   | 262,829 |   |   |   | 199.996 |   |   |   | - |   |   |   | - |   |
|                                                   |   |                           |          |   |                           |   |        |                           |   |   |                           |   |   |    |   |   |                |   |       |   |   |   |       |   |   |                      |   |   |   |   |   |   |   |   |        |   |   |   |        |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| TRUST CAPITAL — December 31, 2010                |   | $                              | 867,646,692   |   |                           |   | 660,222.516 |                           |   | $      | 101,957                        |   |   |    | 75.492 |   |                | $      | 14,178,784 |   |   |   | 10,481.102 |   |   | $                         | 75,449 |   |   |   | 55.233 |   |   | $      | -           |   |   |   | -           |   |   | $ | 10,922,729 |   |   |   | 8,311.477 |   |   | $ | 892,925,611 |   |   |   | 679,145.820 |   |

----

| GLOBAL MACRO TRUST                                  |
|-----------------------------------------------------|
|                                                |
| STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 1 |
| YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008       |

|                                                                                            |   | 2010   |     |   | 2009   |   |     | 2008   |   |
|-------------------------------------------------------------------------------------------------|--------|--------|----------|--------|--------|--------|----------|--------|--------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):                    |   |   |     |   |   |   |     |   |   |
| Net income (loss) from operations:                                                              |   |   |     |   |   |   |     |   |   |
| Net investment loss (a)                                                                         |   | $      | (82.06   | )      |   | $      | (75.05   | )      |   | $ | (57.47 | ) |
| Net realized and unrealized gains (losses) on trading of futures and forward currency contracts |   |   | 184.52   |   |   |   | (75.84   | )      |   |   | 311.42 |   |
| Net gains (losses) from U.S. Treasury notes (a)                                                 |   |   | (0.26    | )      |   |   | (8.10    | )      |   |   | 7.85 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Net income (loss) from operations                                                               |   |   | 102.20   |   |   |   | (158.99  | )      |   |   | 261.80 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Less profit share allocated to Managing Owner                                                   |   |   | -        |   |   |   | 0.04     |   |   |   | 47.97 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Net income (loss) after profit allocation                                                       |   |   | 102.20   |   |   |   | (159.03  | )      |   |   | 213.83 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| NET ASSET VALUE — Beginning of year                                                       |   |   | 1,211.97 |   |   |   | 1,371.00 |   |   |   | 1,157.17 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| NET ASSET VALUE — End of year                                                             |   | $      | 1,314.17 |   |   | $      | 1,211.97 |   |   | $ | 1,371.00 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| RETURNS:                                                                                        |   |   |     |   |   |   |     |   |   |   |   |   |
| Total return before profit share allocation                                                     |   |   | 8.43     | %      |   |   | (11.60   | )%     |   |   | 22.62 | % |
| Profit share allocation                                                                         |   |   | -        |   |   |   | -        |   |   |   | (4.14 | ) |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION                                                      |   |   | 8.43     | %      |   |   | (11.60   | )%     |   |   | 18.48 | % |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                                |   |   |     |   |   |   |     |   |   |   |   |   |
| Net investment loss                                                                             |   |   | (6.66    | )%     |   |   | (6.00    | )%     |   |   | (4.55 | )% |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Total expenses                                                                                  |   |   | 7.03     |   |   |   | 7.05     |   |   |   | 7.21 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Profit share allocation                                                                         |   |   | -        |   |   |   | -        |   |   |   | 3.80 |   |
|                                                                                            |   |   |     |   |   |   |     |   |   |   |   |   |
| Total expenses and profit share allocation                                                      |   |   | 7.03     | %      |   |   | 7.05     | %      |   |   | 11.01 | % |

|   | (Continued) |
|--------|-------------|

----

| GLOBAL MACRO TRUST                                 |
|----------------------------------------------------|
|                                               |
| STATEMENT OF FINANCIAL HIGHLIGHTS ― SERIES 2 |
| PERIOD ENDED DECEMBER 31, 2010*                    |

|                                                                                   |   | 2010          |     |
|----------------------------------------------------------------------------------------|--------|---------------|----------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):         |   |          |     |
| Net income (loss) from operations:                                                     |   |          |     |
| Net investment loss (a)                                                                |   | $             | (23.37   | ) |
| Net realized and unrealized gains on trading of futures and forward currency contracts |   |          | 124.78   |   |
| Net losses from U.S. Treasury notes (a)                                                |   |          | (0.10    | ) |
|                                                                                   |   |          |     |   |
| Net income from operations                                                             |   |          | 101.31   |   |
|                                                                                   |   |          |     |   |
| Less profit share allocated to Managing Owner                                          |   |          | 28.85    |   |
|                                                                                   |   |          |     |   |
| Net income after profit allocation                                                     |   |          | 72.46    |   |
|                                                                                   |   |          |     |   |
| NET ASSET VALUE — Beginning of period                                            |   |          | 1,278.10 |   |
|                                                                                   |   |          |     |   |
| NET ASSET VALUE — End of period                                                  |   | $   | 1,350.56 |   |
|                                                                                   |   |          |     |   |
| RETURNS:                                                                               |   |          |     |   |
| Total return before profit share allocation                                            |   |          | 7.20     | % |
| Profit share allocation                                                                |   |          | (1.53    | ) |
|                                                                                   |   |          |     |   |
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION                                             |   |          | 5.67     | % |
|                                                                                   |   |          |     |   |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                       |   |          |     |   |
| Net investment loss                                                                    |   |          | (2.45    | )% |
|                                                                                   |   |          |     |   |
| Total expenses                                                                         |   |          | 2.80     |   |
|                                                                                   |   |          |     |   |
| Profit share allocation                                                                |   |          | 2.27     |   |
|                                                                                   |   |          |     |   |
| Total expenses and profit share allocation                                             |   |          | 5.07     | % |

----

| GLOBAL MACRO TRUST                                               |
|------------------------------------------------------------------|
|                                                             |
| STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 3              |
| YEAR ENDED DECEMBER 31, 2010 AND PERIOD ENDED DECEMBER 31, 2009* |

|                                                                                   |   | 2010   |     |   | 2009   |   |
|----------------------------------------------------------------------------------------|--------|--------|----------|--------|--------|--------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR/PERIOD):    |   |   |     |   |   |   |
| Net income (loss) from operations:                                                     |   |   |     |   |   |   |
| Net investment loss (a)                                                                |   | $      | (27.90   | )      |   | $      | (8.71 | ) |
| Net realized and unrealized gains on trading of futures and forward currency contracts |   |   | 206.79   |   |   |   | 58.50 |   |
| Net losses from U.S. Treasury notes (a)                                                |   |   | (0.41    | )      |   |   | (0.59 | ) |
|                                                                                   |   |   |     |   |   |   |   |   |
| Net income from operations                                                             |   |   | 178.48   |   |   |   | 49.20 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| Less profit share allocated to Managing Owner                                          |   |   | 47.12    |   |   |   | 8.67 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| Net income after profit allocation                                                     |   |   | 131.36   |   |   |   | 40.53 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| NET ASSET VALUE — Beginning of year/period                                       |   |   | 1,221.44 |   |   |   | 1,180.91 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| NET ASSET VALUE — End of year/period                                             |   | $      | 1,352.80 |   |   | $      | 1,221.44 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| RETURNS:                                                                               |   |   |     |   |   |   |   |   |
| Total return before profit share allocation                                            |   |   | 13.71    | %      |   |   | 4.17 | % |
| Profit share allocation                                                                |   |   | (2.96    | )      |   |   | (0.74 | ) |
|                                                                                   |   |   |     |   |   |   |   |   |
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION                                             |   |   | 10.75    | %      |   |   | 3.43 | % |
|                                                                                   |   |   |     |   |   |   |   |   |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                       |   |   |     |   |   |   |   |   |
| Net investment loss                                                                    |   |   | (2.19    | )%     |   |   | (2.14 | )% |
|                                                                                   |   |   |     |   |   |   |   |   |
| Total expenses                                                                         |   |   | 2.55     |   |   |   | 2.61 | % |
|                                                                                   |   |   |     |   |   |   |   |   |
| Profit share allocation                                                                |   |   | 3.70     |   |   |   | 0.71 |   |
|                                                                                   |   |   |     |   |   |   |   |   |
| Total expenses and profit share allocation                                             |   |   | 6.25     | %      |   |   | 3.32 | % |

----

| GLOBAL MACRO TRUST                                  |
|-----------------------------------------------------|
|                                                |
| STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 4 |
| PERIOD ENDED DECEMBER 31, 2010*                     |

|                                                                                   |   | 2010          |     |
|----------------------------------------------------------------------------------------|--------|---------------|----------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):         |   |          |     |
| Net income (loss) from operations:                                                     |   |          |     |
| Net investment loss (a)                                                                |   | $             | (0.38    | ) |
| Net realized and unrealized gains on trading of futures and forward currency contracts |   |          | 51.13    |   |
| Net losses from U.S. Treasury notes (a)                                                |   |          | (0.07    | ) |
|                                                                                   |   |          |     |   |
| Net income from operations                                                             |   |          | 50.68    |   |
|                                                                                   |   |          |     |   |
| NET ASSET VALUE — Beginning of period                                            |   |          | 1,315.33 |   |
|                                                                                   |   |          |     |   |
| NET ASSET VALUE — End of period                                                  |   | $   | 1,366.01 |   |
|                                                                                   |   |          |     |   |
| TOTAL RETURN                                                                           |   |          | 3.85     | % |
|                                                                                   |   |          |     |   |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                       |   |          |     |   |
| Net investment loss                                                                    |   |          | (0.17    | )% |
|                                                                                   |   |          |     |   |
| Total expenses                                                                         |   |          | 0.47     | % |

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

----

| GLOBAL MACRO TRUST                            |
|-----------------------------------------------|
|                                          |
| NOTES TO FINANCIAL STATEMENTS                 |
| YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008 |

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

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

----

----

----

|                                        |   | Level 1 |        |   | Level 2 |   |       | Total  |   |
|---------------------------------------------|--------|--------------|-------------|--------|--------------|--------|------------|--------|--------|
|                                        |   |         |        |   |         |   |       |   |   |
| U.S. Treasury notes                         |   | $            | 801,553,608 |   |         | $      | -          |   |   | $ | 801,553,608 |   |
| Short-term money market fund                |   |         | 47,651,151  |   |         |   | -          |   |   |   | 47,651,151 |   |
| Exchange-traded futures contracts           |   |         |        |   |         |   |       |   |   |   |   |   |
| Energies                                    |   |         | 1,647,872   |   |         |   | -          |   |   |   | 1,647,872 |   |
| Grains                                      |   |         | 5,728,407   |   |         |   | -          |   |   |   | 5,728,407 |   |
| Interest rates                              |   |         | 1,327,790   |   |         |   | -          |   |   |   | 1,327,790 |   |
| Livestock                                   |   |         | 283,540     |   |         |   | -          |   |   |   | 283,540 |   |
| Metals                                      |   |         | 9,307,589   |   |         |   | -          |   |   |   | 9,307,589 |   |
| Softs                                       |   |         | 2,630,682   |   |         |   | -          |   |   |   | 2,630,682 |   |
| Stock indices                               |   |         | 5,538,955   |   |         |   | -          |   |   |   | 5,538,955 |   |
|                                        |   |         |        |   |         |   |       |   |   |   |   |   |
| Total exchange-traded futures contracts     |   |         | 26,464,835  |   |         |   | -          |   |   |   | 26,464,835 |   |
|                                        |   |         |        |   |         |   |       |   |   |   |   |   |
| Over-the-counter forward currency contracts |   |         | -           |   |         |   | 10,937,394 |   |   |   | 10,937,394 |   |
|                                        |   |         |        |   |         |   |       |   |   |   |   |   |
| Total financial assets at fair value        |   | $            | 875,669,594 |   |         | $      | 10,937,394 |   |   | $ | 886,606,988 |   |

|                                        |   | Level 1 |        |   | Level 2 |   |        | Total  |   |
|---------------------------------------------|--------|--------------|-------------|--------|--------------|--------|-------------|--------|--------|
|                                        |   |         |        |   |         |   |        |   |   |
| U.S. Treasury notes                         |   | $            | 822,002,297 |   |         | $      | -           |   |   | $ | 822,002,297 |   |
| Short-term money market fund                |   |         | 61,919,651  |   |         |   | -           |   |   |   | 61,919,651 |   |
| Exchange-traded futures contracts           |   |         | 5,798,742   |   |         |   | -           |   |   |   | 5,798,742 |   |
| Over-the-counter forward currency contracts |   |         | -           |   |         |   | (10,655,927 | )      |   |   | (10,655,927 | ) |
|                                        |   |         |        |   |         |   |        |   |   |   |   |   |
| Total financial assets at fair value        |   | $            | 889,720,690 |   |         | $      | (10,655,927 | )      |   | $ | 879,064,763 |   |

| 3. | TRUST AGREEMENT |
|----|-----------------|

----

| Net Capital Investments            |   | Brokerage Fee |   |
|----------------------------------------------|--------|--------------------|--------|
|                                         |   |               |   |
| $100,000–$499,999                      |   |               | 6.50   | % |
| $500,000–$999,999                      |   |               | 6.00   |   |
| Greater than $1,000,000                      |   |               | 5.50   |   |
| Asset-based or fixed fee investment programs |   |               | 4.00   |   |

----

|                    |   | Redemption Charge   |   |
|-------------------------|--------|--------------------------|--------|
| Subscriptions           |   | First 6 Months |   |   | Second 5 Months |   |
|                    |   |                     |   |   |   |   |
| Less than $100,000      |   |                     | 4.0    | % |   |   | 3.0 | % |
| $100,000–$499,999 |   |                     | 3.5    |   |   |   | 2.5 |   |
| $500,000–$999,999 |   |                     | 3.0    |   |   |   | 2.0 |   |
| Greater than $1,000,000 |   |                     | 2.5    |   |   |   | 1.5 |   |

| 4. | DUE FROM/TO BROKERS |
|----|---------------------|

| 5. | TRADING ACTIVITIES |
|----|--------------------|

| 6. | DERIVATIVE INSTRUMENTS |
|----|------------------------|

----

----

|               |   | December 31, |       |
|--------------------|--------|-------------------|------------|
|               |   | 2010              |       |   | 2009 |   |
|               |   | Total Net    |       |   |   |   |   | Total Net |   |   |   |   |
|               |   | Unrealized        |       |   |   |   |   | Unrealized |   |   |   |   |
|               |   | Appreciation      |       |   | Percent |   |   | Appreciation |   |   | Percent |   |
| Currency Type |   | (Depreciation)    |       |   | of Total |   |   | (Depreciation) |   |   | of Total |   |
|               |   |              |       |   |   |   |   |   |   |   |   |   |
| Australian dollar  |   | $                 | 1,643,420  |   |   |   | 4.39 | % |   | $ | 1,470,216 |   |   |   | (30.27 | )% |
| British pound      |   |              | 954,935    |   |   |   | 2.55 |   |   |   | (700,215 | ) |   |   | 14.42 |   |
| Canadian dollar    |   |              | 1,325,243  |   |   |   | 3.54 |   |   |   | (2,581,263 | ) |   |   | 53.14 |   |
| Czech koruna       |   |              | (35,527    | ) |   |   | (0.09 | ) |   |   | - |   |   |   | - |   |
| Euro               |   |              | 675,680    |   |   |   | 1.81 |   |   |   | (241,793 | ) |   |   | 4.98 |   |
| Hong Kong dollar   |   |              | 301,679    |   |   |   | 0.81 |   |   |   | 836,967 |   |   |   | (17.23 | ) |
| Hungarian forint   |   |              | (47,422    | ) |   |   | (0.13 | ) |   |   | (121,301 | ) |   |   | 2.50 |   |
| Japanese yen       |   |              | (1,118,237 | ) |   |   | (2.99 | ) |   |   | (458,971 | ) |   |   | 9.45 |   |
| Korean won         |   |              | 1,926,819  |   |   |   | 5.15 |   |   |   | 776,517 |   |   |   | (15.99 | ) |
| Mexican peso       |   |              | 48,949     |   |   |   | 0.13 |   |   |   | 21,471 |   |   |   | (0.44 | ) |
| New Zealand dollar |   |              | (479,061   | ) |   |   | (1.28 | ) |   |   | 805,302 |   |   |   | (16.58 | ) |
| Norwegian krone    |   |              | 1,572,029  |   |   |   | 4.20 |   |   |   | 607,864 |   |   |   | (12.51 | ) |
| Polish zloty       |   |              | 181,184    |   |   |   | 0.49 |   |   |   | (501,739 | ) |   |   | 10.33 |   |
| Romanian leu       |   |              | 5,336      |   |   |   | 0.02 |   |   |   | - |   |   |   | - |   |
| Singapore dollar   |   |              | 173,541    |   |   |   | 0.46 |   |   |   | 505,929 |   |   |   | (10.42 | ) |
| South African rand |   |              | 384,474    |   |   |   | 1.03 |   |   |   | 803,346 |   |   |   | (16.54 | ) |
| Swedish krona      |   |              | 776,341    |   |   |   | 2.08 |   |   |   | 1,608,660 |   |   |   | (33.12 | ) |
| Swiss franc        |   |              | (533,492   | ) |   |   | (1.43 | ) |   |   | 397,192 |   |   |   | (8.18 | ) |
| Taiwan dollar      |   |              | 685,814    |   |   |   | 1.83 |   |   |   | 1,085,814 |   |   |   | (22.35 | ) |
| Thai baht          |   |              | 16,258     |   |   |   | 0.04 |   |   |   | 2,533 |   |   |   | (0.05 | ) |
| Turkish lira       |   |              | (1,344,384 | ) |   |   | (3.59 | ) |   |   | 266,494 |   |   |   | (5.49 | ) |
| U.S. dollar        |   |              | 30,288,650 |   |   |   | 80.98 |   |   |   | (9,440,208 | ) |   |   | 194.35 |   |
|               |   |              |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total              |   | $                 | 37,402,229 |   |   |   | 100.00 | % |   | $ | (4,857,185 | ) |   |   | 100.00 | % |

----

----

|                                         |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   | Net Unrealized |        |
|----------------------------------------------|--------|-------------------------------------------------|------------|--------|--------------------------------------------------|--------|------------|--------------------------|--------|--------|-----------|--------|--------|---------------------|-------------|
|                                         |   | Fair Value - Long Positions |       |   | Fair Value - Short Positions |   |       | Gain (Loss) on |   |
| Sector                                       |   | Gains                                           |       |   | Losses                                           |   |       | Gains                    |   |   | Losses    |   |   | Open Positions |        |
|                                         |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   |                |        |
| Futures contracts:                           |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   |                |        |
| Energies                                     |   | $                                               | 3,578,697  |   |                                             | $      | (604,025   | )                        |   | $      | -         |   |   | $                   | (1,326,800  | ) |   | $ | 1,647,872 |   |
| Grains                                       |   |                                            | 6,435,870  |   |                                             |   | -          |                     |   |   | -         |   |   |                | (707,463    | ) |   |   | 5,728,407 |   |
| Interest rates                               |   |                                            | 1,906,539  |   |                                             |   | (446,636   | )                        |   |   | 93,822    |   |   |                | (225,935    | ) |   |   | 1,327,790 |   |
| Livestock                                    |   |                                            | 578,540    |   |                                             |   | -          |                     |   |   | -         |   |   |                | (295,000    | ) |   |   | 283,540 |   |
| Metals                                       |   |                                            | 10,487,557 |   |                                             |   | -          |                     |   |   | -         |   |   |                | (1,179,968  | ) |   |   | 9,307,589 |   |
| Softs                                        |   |                                            | 2,899,490  |   |                                             |   | (6,496     | )                        |   |   | 17,158    |   |   |                | (279,470    | ) |   |   | 2,630,682 |   |
| Stock indices                                |   |                                            | 6,102,368  |   |                                             |   | (1,061,589 | )                        |   |   | 504,746   |   |   |                | (6,570      | ) |   |   | 5,538,955 |   |
|                                         |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Total futures contracts                      |   |                                            | 31,989,061 |   |                                             |   | (2,118,746 | )                        |   |   | 615,726   |   |   |                | (4,021,206  | ) |   |   | 26,464,835 |   |
|                                         |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Forward currency contracts                   |   |                                            | 17,229,470 |   |                                             |   | (2,951,060 | )                        |   |   | 4,884,986 |   |   |                | (8,226,002  | ) |   |   | 10,937,394 |   |
|                                         |   |                                            |       |   |                                             |   |       |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Total futures and forward currency contracts |   | $                                               | 49,218,531 |   |                                             | $      | (5,069,806 | )                        |   | $      | 5,500,712 |   |   | $                   | (12,247,208 | ) |   | $ | 37,402,229 |   |

|                                         |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   | Net Unrealized |        |
|----------------------------------------------|--------|-------------------------------------------------|------------|--------|--------------------------------------------------|--------|-------------|--------------------------|--------|--------|-----------|--------|--------|---------------------|-------------|
|                                         |   | Fair Value - Long Positions |       |   | Fair Value - Short Positions |   |        | Gain (Loss) on |   |
| Sector                                       |   | Gains                                           |       |   | Losses                                           |   |        | Gains                    |   |   | Losses    |   |   | Open Positions |        |
|                                         |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   |                |        |
| Futures contracts:                           |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   |                |        |
| Energies                                     |   | $                                               | 12,486,086 |   |                                             | $      | (399,420    | )                        |   | $      | 226,800   |   |   | $                   | (10,557,124 | ) |   | $ | 1,756,342 |   |
| Grains                                       |   |                                            | 471,763    |   |                                             |   | -           |                     |   |   | 106,963   |   |   |                | (585,900    | ) |   |   | (7,174 | ) |
| Interest rates                               |   |                                            | 99,709     |   |                                             |   | (11,137,495 | )                        |   |   | 96,694    |   |   |                | (58,944     | ) |   |   | (11,000,036 | ) |
| Livestock                                    |   |                                            | -          |   |                                             |   | -           |                     |   |   | -         |   |   |                | (271,610    | ) |   |   | (271,610 | ) |
| Metals                                       |   |                                            | 4,051,013  |   |                                             |   | (1,057,225  | )                        |   |   | 45,513    |   |   |                | (1,801,412  | ) |   |   | 1,237,889 |   |
| Softs                                        |   |                                            | 3,088,661  |   |                                             |   | -           |                     |   |   | 5,100     |   |   |                | (147,202    | ) |   |   | 2,946,559 |   |
| Stock indices                                |   |                                            | 11,867,210 |   |                                             |   | (464,430    | )                        |   |   | -         |   |   |                | (266,008    | ) |   |   | 11,136,772 |   |
|                                         |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Total futures contracts                      |   |                                            | 32,064,442 |   |                                             |   | (13,058,570 | )                        |   |   | 481,070   |   |   |                | (13,688,200 | ) |   |   | 5,798,742 |   |
|                                         |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Forward currency contracts                   |   |                                            | 4,572,427  |   |                                             |   | (19,751,088 | )                        |   |   | 7,406,520 |   |   |                | (2,883,786  | ) |   |   | (10,655,927 | ) |
|                                         |   |                                            |       |   |                                             |   |        |                     |   |   |      |   |   |                |        |   |   |   |   |   |
| Total futures and forward currency contracts |   | $                                               | 36,636,869 |   |                                             | $      | (32,809,658 | )                        |   | $      | 7,887,590 |   |   | $                   | (16,571,986 | ) |   | $ | (4,857,185 | ) |

----

| Sector                                       |   | 2010   |        |   | 2009   |   |
|----------------------------------------------|--------|--------|-------------|--------|--------|--------|
|                                         |   |   |        |   |   |   |
| Futures contracts:                           |   |   |        |   |   |   |
| Currencies                                   |   | $      | -           |   |   | $      | 12,863 |   |
| Energies                                     |   |   | (6,296,617  | )      |   |   | (20,943,376 | ) |
| Grains                                       |   |   | 14,680,492  |   |   |   | (6,699,369 | ) |
| Interest rates                               |   |   | 78,525,936  |   |   |   | (19,513,721 | ) |
| Livestock                                    |   |   | (531,000    | )      |   |   | 2,065,620 |   |
| Metals                                       |   |   | 12,922,817  |   |   |   | (11,958,920 | ) |
| Softs                                        |   |   | 7,618,692   |   |   |   | (218,950 | ) |
| Stock indices                                |   |   | (2,020,460  | )      |   |   | 7,916,951 |   |
|                                         |   |   |        |   |   |   |   |   |
| Total futures contracts                      |   |   | 104,899,860 |   |   |   | (49,338,902 | ) |
|                                         |   |   |        |   |   |   |   |   |
| Forward currency contracts                   |   |   | 25,264,096  |   |   |   | (9,399,089 | ) |
|                                         |   |   |        |   |   |   |   |   |
| Total futures and forward currency contracts |   | $      | 130,163,956 |   |   | $      | (58,737,991 | ) |

|                       |   | 2010                |          |   | 2009                 |   |
|----------------------------|--------|---------------------|---------------|--------|----------------------|--------|
| Sector                     |   | Long Positions |          |   | Short Positions |   |   | Long Positions |   |   | Short Positions |   |
|                       |   |                |          |   |                 |   |   |   |   |   |   |   |
| Futures contracts:         |   |                |          |   |                 |   |   |   |   |   |   |   |
| Currencies                 |   | $                   | -             |   |                 | $      | - |   |   | $ | - |   |   | $ | 3,320,750 |   |
| Energies                   |   |                | 183,992,274   |   |                 |   | 116,768,010 |   |   |   | 109,535,870 |   |   |   | 113,200,422 |   |
| Grains                     |   |                | 57,678,838    |   |                 |   | 40,281,856 |   |   |   | 22,378,090 |   |   |   | 53,157,025 |   |
| Interest rates             |   |                | 1,274,911,920 |   |                 |   | 47,891,170 |   |   |   | 936,859,841 |   |   |   | 38,825,820 |   |
| Livestock                  |   |                | 16,433,746    |   |                 |   | 5,323,786 |   |   |   | - |   |   |   | 26,230,698 |   |
| Metals                     |   |                | 115,309,169   |   |                 |   | 11,071,090 |   |   |   | 52,829,526 |   |   |   | 39,335,538 |   |
| Softs                      |   |                | 29,206,211    |   |                 |   | 7,135,608 |   |   |   | 20,257,081 |   |   |   | 13,534,675 |   |
| Stock indices              |   |                | 478,292,206   |   |                 |   | 14,482,348 |   |   |   | 344,334,006 |   |   |   | 85,714,579 |   |
|                       |   |                |          |   |                 |   |   |   |   |   |   |   |   |   |   |   |
| Total futures contracts    |   |                | 2,155,824,364 |   |                 |   | 242,953,868 |   |   |   | 1,486,194,414 |   |   |   | 373,319,507 |   |
|                       |   |                |          |   |                 |   |   |   |   |   |   |   |   |   |   |   |
| Forward currency contracts |   |                | 876,153,841   |   |                 |   | 358,871,897 |   |   |   | 473,904,261 |   |   |   | 200,256,650 |   |
|                       |   |                |          |   |                 |   |   |   |   |   |   |   |   |   |   |   |
| Total average notional     |   | $                   | 3,031,978,205 |   |                 | $      | 601,825,765 |   |   | $ | 1,960,098,675 |   |   | $ | 573,576,157 |   |

----

| 7. | FINANCIAL HIGHLIGHTS |
|----|----------------------|

|     |   | Years ended December 31, |        |   |
|----------|--------|-----------------------------------------|-------------|--------|
|     |   | 2010                                    |        |   | 2009 |   |   | 2008 |   | Date of issuance |
|     |   |                                    |        |   |   |   |   |   |   |   |
| Series 1 |   |                                    | 687,898.790 | (1)    |   |   | 753,054.008 | (1) |   |   | 629,237.394 | (1) | July 23, 2001 |
| Series 2 |   |                                    | 64.584      | (2)    |   |   | n/a |   |   |   | n/a |   | April 1, 2010 |
| Series 3 |   |                                    | 5,536.921   | (1)    |   |   | 1,322.314 | (3) |   |   | n/a |   | September 1, 2009 |
| Series 4 |   |                                    | 34.462      | (4)    |   |   | n/a |   |   |   | n/a |   | November 1, 2010 |

| 8. | REDEMPTION PAYABLE TO MANAGING OWNER |
|----|--------------------------------------|

| 9. | SUBSEQUENT EVENTS |
|----|-------------------|

----