**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

 

**Washington, D.C. 20549**

 

**FORM 10-K**

 

**ý****  Annual Report Pursuant toSection 13 or 15(d)of the Securities Exchange Act of 1934For the Fiscal Year Ended:** **December 31, 2005**

 

**or**

 

**o****  Transition Report Pursuant toSection 13 or 15(d)of the Securities Exchange Act of 1934**

 

**Commission File Number:  000-50102**

 

**GLOBAL MACRO TRUST**

(Exact name of registrant as specified in its charter)

 

| **Delaware**                                                    | ** ** | **36-7362830**                        |
|-----------------------------------------------------------------|------------|---------------------------------------|
| (State or other jurisdiction of  incorporation or organization) |       | (I.R.S. Employer  Identification No.) |

 

**c/o MILLBURN RIDGEFIELD CORPORATION**

**411 West Putnam Avenue**

**Greenwich, Connecticut  06830**

(Address of principal executive offices)

 

Registrant’s telephonenumber, including area code:   **(203) 625-7554**

 

Securities registeredpursuant to Section 12(b) of the Act:   **None**

 

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

(Title of Class)

 

Indicateby check mark if the registrant is a well-known seasoned issuer, as defined inRule 405 of the Securities Act. Yes o  No ý

 

Indicate by check mark if the registrant is notrequired to file reports pursuant to Section 13 or Section 15(d) of the Act. Yeso   No ý

 

Indicateby check mark whether the registrant (1) has filed all reports required to befiled by Section 13 or 15(d) of the Securities Exchange Act of 1934 during thepreceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days. Yes ý   No o

 

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K is not contained herein, and will not be contained, to the bestof registrant’s knowledge, in definitive proxy or information statementsincorporation by reference in Part III of this Form 10-K or any amendment tothis Form 10-K. ý

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “acceleratedfiler and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Checkone):
| Large accelerated filer  o | Accelerated Filer o | Non-accelerated filer ý |
|----------------------------|---------------------|------------------------------|

 

Indicateby check mark whether the registrant is a shell company (as defined in Rule12b-2 of the Act). Yes o  No ý

 

State the aggregate market value of the voting andnon-voting common equity held by non-affiliates computed by reference to theprice at which the common equity was last sold, or the average bid and askedprice of such common equity, as of the last business day of the registrant’smost recently completed second fiscal quarter.

 

Not applicable.

 

Documents Incorporated by Reference

 

Registrant’s FinancialStatements for the years ended December 31, 2005, 2004 and 2003 and Report ofIndependent Registered Public Accounting Firm, the annual report to securityholders for the fiscal year ended December 31, 2005, is incorporated byreference into Part II Item 8 and Part IV hereof and filed as an exhibitherewith.

 

 

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PART I

 

Item 1.   Business

 

(a)   General development of business

 

GlobalMacro Trust (the “Trust”) is a Delaware statutory trust organized July 23, 2001pursuant to a Declaration of Trust and Trust Agreement (the “Trust Agreement”),under the Delaware Statutory Trust Act. The Trust originally filed aregistration statement, under the Securities Act of 1933, as amended, with theSecurities and Exchange Commission to register $50 million of units ofbeneficial interest (the “Units”), which registration statement becameeffective March 26, 2002. Between April 1, 2002 and June 30, 2002 (the “InitialOffering”), the Units were publicly offered at an initial price of $1,000 perUnit. The proceeds of the Initial Offering and interest thereon were held in anaccount in the name of the Trust at FBR National Bank & Trust, Bethesda,Maryland, until July 1, 2002 at which time an aggregate of $1,290,457 wasturned over to the Trust and the Trust commenced operations. The Trust hassubsequently filed additional registration statements with the Securities andExchange Commission to bring the total dollar amount of Units registered forsale to approximately $1,277,434,000, and a total of $541,680,200 of Units havebeen sold to the public as of December 31, 2005. The net asset value of a Unitoriginally sold for $1,000 as of July 1, 2002 was $978.08 as of December 31,2005. As of December 31, 2005, Units were being offered on a monthly basis atNet Asset Value per unit. The Units are offered through a number of registeredbroker-dealer selling agents on a best efforts basis.

 

TheTrust engages in speculative trading in the futures, options and forwardmarkets. The amount of capital raised for the Trust should not have asignificant impact on its operations, as the Trust has no significant capitalexpenditure or working capital requirements other than to pay trading losses,brokerage fees and charges.

 

MillburnRidgefield Corporation (the “Managing Owner”), a Delaware corporation, is themanaging owner and the commodity trading advisor for the Trust. The ManagingOwner invested $400 in the Trust as an initial capital contribution to theTrust and $2,000,000 in the Trust at the outset of trading and subsequently hascontributed an additional $1,853,600 and has redeemed $80,153 as of December31, 2005. After reflecting a net gain of $795,627 and profit share of $77,389as of December 31, 2005, this investment totaled $4,646,863, as ofDecember 31, 2005.

 

(b)   Financial information about industry segments

 

TheTrust’s business constitutes only one segment, i.e., a speculative commoditypool. The Trust does not engage in sales of goods and services. Financialinformation regarding the Trust’s business is set forth in Item 6 “SelectedFinancial Data” and in the Trust’s Financial Statements included as Exhibit 13.01to this report.

 

(c)   Narrative description of business

 

The Trust engages in the speculative trading offutures, options on futures, and forward contracts. The Trust’s sole tradingadvisor is the Managing Owner. The Managing Owner trades the Trust’s assets,pursuant to its Diversified Portfolio, in the agricultural, metals, energy,interest rate and stock indices futures and futures options markets and in thecurrency markets, trading primarily forward contracts in the interbank market. Theobjective of the Managing Owner’s trading method is to participate in all majorsustained price moves in the markets traded. The Managing Owner’s approach ismedium-term to long-term in nature. The Managing Owner makes trading decisionspursuant to its trading method, which includes technical trend analysis,certain non-trend-following technical systems, and money management principles,which may be revised from time to time.

 

The Managing Owner is engaged in an ongoing researcheffort to improve its trading methods and to apply its quantitative analyticexpertise to new financial products.

 

Successful systematic futures trading depends on twofactors; development and selection of the trading systems used in each market,and allocation of portfolio risk among the markets available for trading.

 

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Market environments change over time, and particularsystems may perform well in one environment but poorly in another. Likewise,portfolio sectors and individual markets go through periods where systematictrading is very profitable and other periods where no system makes any money.

 

The goal of the Managing Owner’s research has been todevelop and select a mix of systems in each market and allocate risk across awide array of markets, so as to contain overall portfolio risk in the targetedrange, while allowing exposure to profitable trend opportunities. Over the last30 years, the Managing Owner has developed hundreds of trading systems. Theseintermediate- to long-term trading systems generate buy or sell decisions in aparticular market based on the direction of price movements in the market.

 

Systems can be materially different – better in someperiods and worse in others. The main distinguishing features are time-frameover which systems work (intra-day to long-term), the type of data fed intothem (granularity [ticks to weeks/months], type [market or economicstatistics], source [cash, futures or options markets]), and the objective ofthe system (profiting from trends, trading-ranges or volatility). No singleapproach will work all the time. Therefore, the Managing Owner’s objective isto have several approaches operating at all times. Since the early 1980’s, theManaging Owner has selected multiple systems for each market.

 

When arriving at the portfolio allocation, theManaging Owner seeks maximum diversification subject to liquidity constraints. Themarkets traded and allocations are reviewed monthly, although changes may occurless frequently. The following factors are considered in constructing auniverse of markets to trade for each portfolio:  profitability, correlation of marketperformance, liquidity of markets, depth of markets, breadth of markets,professional judgment, desired diversification and transaction costs. Once theuniverse of markets is established, the Managing Owner’s simulation andoptimization techniques help determine which markets to include in theportfolio. The current allocation to any market in the portfolio does notexceed 3%.

 

Risk is a function of both price level and pricevolatility. In attempting to assess market volatility as a means of monitoringand evaluating risk, the Managing Owner uses its volatility overlay as a partof individual market risk management. This system is designed to measure therisk in the portfolio’s position in each market and signals a decrease inposition size when risk increases and an increase in position size when riskdecreases. The Managing Owner’s volatility overlay maintains overall portfoliorisk and distribution of risk across markets within designated ranges. It isapplied to the systematic strategies described above. A secondary benefit ofthe volatility overlay can be timely profit taking. Because markets tend tobecome more volatile after a profitable trend has been long underway, thevolatility overlay often signals position reductions before trend reversals.

 

In addition to the volatility overlay, the ManagingOwner’s risk management focuses on money management principles applicable tothe portfolio as a whole rather than to individual markets and control ofleverage and portfolio size. There are, however, no restrictions on the amountof leverage the Managing Owner may use at any time.

 

Pursuantto the Trust Agreement, the Managing Owner receives a flat-rate monthlybrokerage fee equal to 0.58 of 1% of the month-end Net Assets (a 7.0% annualrate). The Managing Owner charges less than the annual brokerage rate of 7% tothose subscribers who either invest in amounts of $100,000 or more in the Unitsor subscribe without incurring the selling commission paid by the ManagingOwner. These reductions have no effect on other investors. The Managing Owneralso receives a profit share equal to 20% of any new trading profit as defined,determined as of the end of each calendar year. The annual profit share iscalculated net of brokerage fees and administrative expenses and excludinginterest income.

 

TheTrust’s organizational and initial offering costs were paid by the ManagingOwner without reimbursement from the Trust or its Unitholders. The Trust paysits administrative expenses, including costs incurred in connection with thecontinuing offering of the Trust’s Units, and any extraordinary expenses whichit may incur. The Managing Owner pays all the routine costs of executing andclearing the Trust’s trades and all compensation due to the selling agents.

 

UBSFinancial Services Inc. (“UBS”) Merrill Lynch, Pierce, Fenner & SmithIncorporated (“Merrill Lynch”) and Deutsche Bank Securities, Inc. (“DeutscheBank”) act as the futures brokers for the Trust. The Trust executes currencyforward trades with several brokers and banks, including Morgan Stanley &Co. Incorporated and clears all such trades with Morgan Stanley & Co.Incorporated, serving as prime broker. The Trust pays “bid asked”

 

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spreads on its forward trades, as such spreads are incorporated intothe pricing of forward contracts. The Managing Owner monitors the Trust’strades to ensure that the prices it receives are competitive.

 

TheTrust is open-ended and may offer Units at net asset value as of the first dayof each month. Unitholders may redeem any or all of their Units upon10 business days’ written notice to the Managing Owner at their net assetvalue as of the last day of any month. Units redeemed on or prior to the end ofthe first six-month period after their sale will pay a redemption charge of 4%of the net asset value at which such Units are redeemed. Units redeemed on orprior to the end of the first eleven months but after the end of the firstsix-month period after their sale will pay a redemption charge of 3% of the netasset value at which such Units are redeemed. Redemption charges are reduced,in the case of subscriptions in amounts of $100,000 or more or if thesubscriptions are through asset-based or fixed-fee investment programs or byselling agent employees who purchase Units through selling agent sponsored401(k) and similar plans. These redemption charges are paid to the ManagingOwner. Requests for redemption will be honored and payment will be made, exceptin the event of highly unusual market disruptions, within 15 business days ofthe effective date of redemption.

 

TheTrust’s cash and Treasury instruments are used by the Trust to engage in itstrading activities and as reserves to support that trading. The Trust’s assetsdeposited with the Trust’s futures brokers as margin are maintained in “customersegregated funds accounts” or “foreign futures and foreign options securedamount accounts” and are held in cash, or U.S. Treasury instruments. Trustassets not deposited as margin are maintained in bank or brokerage accounts andare held primarily in bank money market funds or U.S. Treasury instruments.

 

TheTrust does not engage in lending (other than through permitted securitiesinvestments). The Managing Owner does not anticipate making any distributionsof Trust profits, if any.

 

Regulation

 

Underthe Commodity Exchange Act, as amended (the “CEA”), commodity exchanges andfutures trading are subject to regulation by the Commodity Futures TradingCommission (the “CFTC”). National Futures Association (“NFA”), a “registeredfutures association” under the CEA, is the only non-exchange self-regulatoryorganization for futures industry professionals. The CFTC has delegated to NFAresponsibility for the registration of “commodity trading advisors,” “commoditypool operators,” “futures commission merchants,” “introducing brokers” andtheir respective associated persons and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators andcommodity trading advisors, such as the Managing Owner, and commodity brokersor futures commission merchants, such as UBS, Merrill Lynch and Deutsche Bankto be registered and to comply with various reporting and record keepingrequirements. The CFTC may suspend a commodity pool operator’s or tradingadvisor’s registration if it finds that its trading practices tend to disruptorderly market conditions or in certain other situations. In the event that theregistration of the Managing Owner as a commodity pool operator or a commoditytrading advisor were terminated or suspended, the Managing Owner would beunable to continue to manage the business of the Trust. Should the ManagingOwner’s registration be suspended, termination of the Trust might result.

 

Inaddition to such registration requirements, the CFTC and certain commodityexchanges have established limits on the maximum net long or net short positionwhich any person may hold or control in particular commodities. Most exchangesalso limit the changes in futures contract prices that may occur during asingle trading day. Currency forward contracts are not subject to regulation byany United States Government agency.

 

(i)   through(xii) - not applicable.

 

(xiii)   theTrust has no employees.

 

(d)   Financialinformation about geographic areas

 

TheTrust does not engage in material operations in foreign countries (although itdoes trade from the United States in foreign currency forward contracts and onforeign futures exchanges), nor is a material portion of its revenues derivedfrom foreign customers.

 

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(e)   Availableinformation

 

TheTrust files quarterly, annual and current reports with the Securities andExchange Commission (“SEC”). These reports are available to read and copy atthe SEC’s Public Reference Facilities in Washington, D.C. at 450 Fifth Street,N.W., Washington, D.C. 20549. Please call the SEC’s toll free number,1-800-SEC-0330, for further information. The Trust does not maintain a websitewhere these reports are posted. However, the Trust’s filings are posted on theSEC’s website at http://www.sec.gov.

 

Item1A.   Risk Factors

 

**You Could LoseYour Entire Investment in the Trust**

 

An investment in the Trust is a speculativeinvestment. You will be relying on the Managing Owner to trade profitably forthe Trust and profitability is not assured. You could lose all or substantiallyall of your investment in the Trust.

 

**The Trust has aLimited Performance History**

 

The Trust began trading July 1, 2002 and has a limitedperformance history. **The pastperformance of the Trust and Managing Owner’s Diversified Portfolio are notnecessarily indicative of the Trust’s future results.**

 

**The Trust is aHighly Leveraged Investment**

 

The Trust generally holds positions with a face valueof as much as eight, and possibly as much as ten or more, times its totalequity. Consequently, small adverse movements in the prices of the Trust’s openpositions can cause significant losses.

 

**The Performance ofthe Trust Will be Volatile**

 

The Managing Owner expects that the performance of theTrust will be volatile. The Trust may suffer sudden and substantial losses fromtime to time and the day-to-day value of the Units will be variable anduncertain. The Net Asset Value per Unit may change materially between the dateon which you subscribe for Units and the date the Units are issued or the dateyou request a redemption and the month-end redemption date. In the last fiveyears, monthly returns in the Managing Owner’s Diversified Portfolio haveranged from up 13.44% to down 10.53%. Since it began trading in July 2002,monthly returns for the Trust have ranged from up 9.56% to down 10.29%.

 

**The Trust’sExpenses Will Cause Losses Unless Offset by Profits and Interest Income**

 

The Trust pays annual expenses of up to approximately7.5% of its average month-end Net Assets. The Trust must earn trading profitsand interest income at least equal to these expenses to avoid losses.

 

**An Investment inthe Trust is not Liquid**

 

There is no secondary market for the Units. You mayredeem your Units only as of the close of business on the last day of acalendar month, and you must give the Trust at least 10 days’ prior writtennotice of your intent to redeem. Early redemption charges apply if you redeemUnits through the end of the first eleven months you own them.

 

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**Units Redeemed onor Before the End of the First Eleven Months after Purchase will be Assessed aRedemption Charge**

 

Units redeemed on or prior to the end of the first six-month periodafter their sale will pay a redemption charge of 4% of the net asset value atwhich such Units are redeemed. Units redeemed on or prior to the end of thefirst eleven months but after the end of the first six-month period after theirsale will pay a redemption charge of 3% of the net asset value at which suchUnits are redeemed.

 

**The Timing of YourInvestment and Redemption Decisions Will Affect the Profitability of YourInvestment**

 

The Managing Owner expects that a majority of theTrust’s trades will result in small profits only or in losses. The majority ofany profits earned by the Trust will most likely come from a small number oftrades each year. Accordingly, you will not know when is a good time to investin the Trust or to redeem your Units, and the timing of your investment andredemption decisions will affect the amount of profit or loss you experience asan investor in the Trust.

 

**The Managing OwnerAlone Directs the Trust’s Trading**

 

The Trust is a single-advisor fund. The use of asingle advisor trading one program involves a greater risk of loss than thediversified, multi-advisor approach employed by many futures funds. Inaddition, if the management services of the Managing Owner were to becomeunavailable for any reason, the Trust would terminate. Furthermore, were theManaging Owner to lose the services of its key principals, the Managing Ownercould decide to dissolve the Trust, possibly causing it to realize losses.

 

**The Managing Owneris a Technical Trader and Does not Analyze Economic Factors External to MarketPrice**

 

The Managing Owner’s systematic strategies aredeveloped on the basis of a statistical analysis of market prices. Consequently,any factor external to the market itself that dominates prices may cause majorlosses. For example, a pending political or economic event may be very likelyto cause a major price movement, but the Managing Owner would continue tomaintain positions indicated by its trading method that would incur majorlosses if the event proved to be adverse.

 

The Managing Owner’s systematic strategies retaincertain discretionary aspects. Decisions, for example, to adjust the size ofthe positions indicated by the systematic strategies, which contracts to tradeand method of order entry require judgmental input from the Managing Owner’sprincipals. Additionally, the Managing Owner may determine not to enter a newposition indicated by its strategies if the Managing Owner determinesprevailing market conditions to be unusual, for example, significantly morevolatile than the expected volatility factored into the design of thestrategies. The Managing Owner does, however, exit positions when its tradingstrategies indicate that it should do so. Discretionary decision-making mayresult in the Managing Owner making unprofitable trades when a more whollysystematic approach would not have done so.

 

**Lackof Price Trends Will Cause Losses; There Have Been Sustained Periods WithInsufficient Price Trends for the Diversified Portfolio to Trade Profitably.The Managing Owner Expects That There Will be Similar Periods in the Future**

 

The Trust cannot trade profitably unless there aremajor price trends in at least some of the markets it trades. Moreover, theprice trends must be of a type the Managing Owner’s systems are designed toidentify. In the past there have been sustained periods with few trendingmarkets where gains from trading those markets were insufficient to offsetlosses from trades in non-trending markets. For example, the Managing Owner’sDiversified Portfolio incurred a loss for the year in 1983, 1986, 1989, 1999,2001 and, as adjusted to reflect the charges applicable to the Trust, 2003 and2004. The Managing Owner expects that there will be similar periods in thefuture.

 

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Markets in which prices move rapidly and then reverseand then do so again may cause losses. In such “whipsaw” market conditions, theManaging Owner may establish positions for the Trust on the basis ofincorrectly identifying the rapid movement or the reversal as a trend.

 

**Lack of MarketLiquidity Could Make it Impossible for the Trust to Realize Profits or LimitLosses**

 

In illiquid markets, the Trust could be unable toclose out positions to limit losses or to take positions in order to followtrends. There are too many different factors that can contribute to marketilliquidity to predict when or where illiquid markets may occur.

 

Unexpected market illiquidity has caused major lossesfor some traders in recent years in such market sectors as emerging markets andmortgage-backed securities. There can be no assurance that the same will nothappen in the markets traded by the Trust. In addition, the large size of thepositions the Trust may take increases the risk of illiquidity by both makingits positions more difficult to liquidate and increasing the losses incurredwhile trying to do so.

 

United States commodity exchanges impose limits on theamount the price of some, but not all, futures contracts may change on a singleday. Once a futures contract has reached its daily limit, it may be impossiblefor the Trust to liquidate a position in that contract, if the market has movedadversely to the Trust, until the limit is either raised by the exchange or thecontract begins to trade away from the limit price.

 

**The Managing Owner’sTrading Systems Have Been Developed Over Time and are Subject to Change**

 

In executing its trading method, the Managing Owneruses combinations of trading systems to generate buy and sell signals in thevarious markets traded. The Managing Owner has developed, modified, retainedand discarded numerous systems over more than 30 years. Consequently, some ofthe trading systems and combinations of systems currently being used to tradeaccounts traded pursuant to the Diversified Portfolio, as the Trust is sotraded, are not identical to those used 5, 10, 15 or 20 years ago.

 

**Trading on ForeignExchanges Presents Greater Risk Than Trading on U.S. Exchanges**

 

The Trust will trade on commodity exchanges outsidethe United States. Trading on foreign exchanges is not regulated by any UnitedStates governmental agency and may involve certain risks that do not arise whentrading on United States exchanges. For example, some foreign exchanges are “principals’markets” in which performance is the responsibility only of the individualmember with whom the Trust has traded, not of the exchange or a clearingfacility. In such cases, the Trust will be subject to a risk that the memberwith whom the Trust has traded is unable or unwilling to perform itsobligations under the transaction. Additionally, an adverse change in theexchange rate between the United States dollar and the currency in which anon-U.S. futures contract is denominated would reduce the profit or increasethe loss on a trade in that contract.

 

Trading on foreign exchanges also presents risks ofloss due to (1) the possible imposition of exchange controls, which could makeit difficult or impossible for the Trust to repatriate some or all of itsassets held by non-U.S. counterparties; (2) possible government confiscation ofassets; (3) taxation; (4) possible government disruptions, which could resultin market closures and thus an inability to exit positions and repatriate Trustassets for sustained periods of time, or even permanently; and (5) limitedrights in the event of the bankruptcy or insolvency of a foreign broker orexchange resulting in a different and possibly less favorable distribution ofthe bankrupt’s assets than would occur in the United States.

 

**The Managing OwnerAnticipates the Trust’s Performance to be*****Non*****-Correlatedto Stocks and Bonds, not*****Negatively*****Correlated**

 

The performance of the Managing Owner’s DiversifiedPortfolio has been generally non-correlated to the performance of the stock andbond markets, as represented by the S&P 500 Stock Index and the LehmanBrothers U.S. Long Treasury Bond Index. Non-correlation means that there is nostatistically valid relationship between two asset classes and should not beconfused with negative correlation, where the performance of two asset classes 

 

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would be opposite. Because of this non-correlation, you should notexpect the Trust to be automatically profitable during unfavorable periods forthe stock and /or bond markets, or **viceversa**.

 

If the Trust does not perform in a mannernon-correlated with the general financial markets or does not performsuccessfully, you will obtain no diversification benefits by investing in theUnits and the Trust may have no gains to offset your losses from otherinvestments.

 

**The Trust May beSubject to Profit Shares Despite Certain Units Having Declined in Value**

 

Investors will purchase Units at different times andwill, accordingly, recognize different amounts of profit and loss on theirinvestments. Profit Shares are accrued, or the accruals are reversed to reflectlosses, on a monthly basis so that Units are not sold with an embedded ProfitShare liability. However, Profit Shares are ultimately calculated on the basisof the cumulative net trading profits recognized by the Trust as a whole, noton the profits recognized by any particular Unit or Units. Consequently, theManaging Owner may still be allocated a Profit Share even though certain Unitshave lost value since the date they were purchased.

 

Conversely, Units purchased at a Net Asset Valuereduced by accrued Profit Shares will benefit from any reversal of suchaccruals, and the benefit of such reversals to Units outstanding at the time ofsuch purchase will be diluted.

 

Similarly, Units may incur losses generating a losscarryforward for purposes of calculating subsequent Profit Shares. The benefitof any such loss carryforward will be diluted by the admission of newUnitholders.

 

**The Managing Owner’sIncreased Equity Under Management Could Lead to Lower Returns for Investors**

 

The Managing Owner has not agreed to limit the amountof money it may manage and is actively seeking additional accounts. The moremoney the Managing Owner manages, the more difficult it may become for theManaging Owner to trade profitably for the Trust because of the difficulty oftrading larger positions without negatively affecting prices and performance.

 

**Increased Competition Among Trend-FollowingTraders Could Reduce the Managing Owner’s Profitability**

 

A substantial number of commodity trading advisors usetechnical trading systems, particularly trend-following systems, like theManaging Owner’s systems. As the amount of money under the management of suchsystems increases, competition for the same positions increases, making thepositions more costly and more difficult to acquire.

 

**The Trust isSubject to Conflicts of Interest**

 

The Trust is subject to numerous actual and potentialconflicts of interest, including: (1) the compensation that the Selling Agentsreceive gives them an incentive to promote the sale of Units as well as todiscourage redemptions; (2) the brokerage commissions that UBS FinancialServices Inc., Merrill Lynch, Pierce, Fenner & Smith Incorporated andDeutsche Bank Securities Inc. receive as Clearing Brokers for the Trust givesan additional incentive to promote the sale of Units as well as to discourageredemptions; (3) the Managing Owner has significant financial incentives bothto promote the sale of the Units and to discourage their redemption; and (4)the Managing Owner of the Trust will not select any other trading advisor evenif doing so would be in the best interests of the Trust.

 

**The Managing Ownerhas not Established Formal Procedures to Resolve Conflicts of Interest**

 

Because the Managing Owner has not established anyformal procedures for resolving conflicts of interest, you will be dependent onthe good faith of the parties with conflicts to resolve the conflictsequitably. The Managing Owner cannot assure that conflicts of interest will notresult in losses for the Trust.

 

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**You Will be TaxedEach Year on Your Share of Trust Profits**

 

If you are an individual or entity subject to U.S.taxes (e.g., not a tax-exempt entity such as an IRA or pension plan), you willbe taxed on your share of Trust income or gain each year, whether or not youredeem Units or receive distributions from the Trust.

 

Because a substantial portion of the Trust’s openpositions are “marked-to-market” at the end of each year, some of your taxliability will be based on unrealized gains which the Trust may, in fact, neverrealize.

 

40% of any trading profits on certain U.S.exchange-traded futures contracts and certain foreign currency forwardcontracts are taxed as short-term capital gains at ordinary income rates(unless offset by capital losses), while 60% of any such trading profits aretaxed as long-term capital gains at a lower maximum rate for individuals (15%for most gains recognized in taxable years beginning on or before December 31,2008). 100% of any trading profits from non-U.S. exchange traded interest ratefutures contracts and certain forward currency contracts that do not have anequivalent U.S. exchange traded futures contract are “marked-to-market” at theend of each year and taxed as short-term capital gains at ordinary income taxrates (unless offset by capital losses). These rates apply regardless of howlong the Trust holds a contract, or an investor his or her Units.

 

Due to the different tax rates for long-term andshort-term capital gains and losses, and depending on the tax character ofincome and loss you receive on other investments in your portfolio, it ispossible for you to have a pre-tax economic gain on your investment in theTrust but an after tax loss.

 

All performance information included in this Report ispresented on a pre-tax basis; the investors who experienced such performancehad to pay the related taxes from other sources.

 

Over time, the compounding effects of the annualtaxation of the Trust’s income are material to the economic consequences ofinvesting in the Trust. For example, a 10% compound annual rate of return overfive years would result in an initial $10,000 investment compounding to$16,105. However, if one factors in a 30% tax rate each year, the result wouldbe $14,025.

 

**You Will be Taxedon the Trust’s Interest Income Even if the Trust Suffers Trading Losses**

 

Losses on the Trust’s trading are almost exclusivelycapital losses. Non-corporate investors may use net capital losses to offset upto $3,000 of ordinary income each year. So, for example, if your share of theTrust’s trading (**i.e.**,capital) loss was $10,000 in a given fiscal year and your share of interestincome was $5,000, you would incur a net loss in the Net Asset Value of yourUnits equal to $5,000, but would nevertheless recognize taxable income of$2,000.

 

**Limitations on theDeductibility of “Investment Advisory Fees”**

 

The Managing Owner does not intend to treat theordinary expenses of the Trust as “investment advisory fees” for federal incometax purposes. The Managing Owner believes that this is the position adopted byvirtually all United States futures fund sponsors. However, were the ordinaryexpenses of the Trust characterized as “investment advisory fees,”non-corporate taxpayers would be subject to substantial restrictions on thedeductibility of those expenses, would pay increased taxes in respect of aninvestment in the Trust and could actually recognize taxable income despitehaving incurred a financial loss.

 

**The IRS CouldAudit Both the Trust and Individual Unitholders**

 

The IRS could audit the Trust’s tax returns andrequire the Trust to adjust such returns. If an audit results in an adjustment,you could be audited and required to pay additional taxes, plus interest andpossibly penalties.

 

**The Bankruptcy ofa Clearing Broker or Currency Dealer Could Cause Losses**

 

The Managing Owner must assess the credit-worthinessof the Clearing Brokers and foreign currency counterparties it selects for theTrust. If one of the Trust’s Clearing Brokers or foreign currencycounterparties becomes bankrupt, the Trust will be limited to recovering onlyits **pro rata** share of allavailable customer funds segregated by the Clearing Broker or counterparty. TheManaging Owner attempts to mitigate this risk by selecting only wellcapitalized, major financial institutions as Clearing Brokers and foreign currencycounterparties.

 

**The Trust is Not Regulated as an InvestmentCompany or Mutual Fund**

 

Although the Managing Owner is subject to regulationby the CFTC and the Trust itself is subject reporting requirements and otherregulation applicable to public companies in the United States, the Trust isnot registered

 

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under the Investment Company Act of 1940. Accordingly, investors in theTrust are not accorded the protections of such legislation.

 

**The Trust Tradesin Unregulated Markets**

 

The Trust will conduct all or substantially all of itscurrency forward and related options trading in unregulated markets. There isno way to determine fair pricing or prevent trading abuses in such markets. Theabsence of regulation in such markets could expose the Trust to significantlosses.

 

Various national governments have expressed concernregarding the disruptive effects of speculative trading in the currency marketsand the need to regulate the “derivatives” markets in general. Futureregulatory changes may limit the Trust’s ability to trade in certain markets.

 

Item 2.   Properties

 

TheTrust does not own or use any physical properties in the conduct of itsbusiness. The Managing Owner or an affiliate perform administrative servicesfor the Trust from their offices.

 

Item 3.   Legal Proceedings

 

TheManaging Owner is not aware of any pending legal proceedings to which eitherthe Trust is a party or to which any of its assets are subject. In additionthere are no pending material legal proceedings involving the Managing Owner.

 

Item 4.   Submissionof Matters to a Vote of Security Holders

 

None.

 

PART II

 

Item 5.   Market for the Registrant’s Common Equity andRelated Stockholder Matters

 

(a)   Market Information.

 

Thereis no trading market for the Units, and none is likely to develop. Units may beredeemed upon  10 business days’written notice to the Managing Owner at their net asset value as of the lastday of any month, subject to certain early redemption charges.

 

(b)   Holders.

 

As ofDecember 31, 2005, there were 18,711 holders of Units.

 

(c)   Dividends.

 

Nodistributions or dividends have been made on the Units, and the Managing Ownerhas no present intention to make any.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans.

 

None.

 

(e)   RecentSales of Unregistered Securities; Use of Proceeds from Registered Securities.

 

9

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Therehave been no sales of unregistered securities of the Trust during 2003, 2004 or2005.

 

(f)   IssuerPurchases of Equity Securities.

 

Pursuantto the Trust’s Declaration of Trust and Trust Agreement, Unitholders may redeemtheir Units at the end of each calendar month at the then current month-end NetAsset Value per Unit. The redemption of Units has no impact on the value ofUnits that remain outstanding, and Units are not reissued once redeemed.

 

Thefollowing table summarizes the redemptions by Unitholders during the fourthcalendar quarter of 2005:

 
| **Month**         | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|-------------------|------------|--------------------|------------|-----------------------------------|------------|
| ** **        | ** ** | ** **         | ** ** | ** **                        | ** ** |
| October 31, 2005  |       | 7,061.143          |       | 915.04                            |       |
| November 30, 2005 |       | 8,402.409          |       | 981.56                            |       |
| December 31, 2005 |       | 8,117.050          |       | 978.08                            |       |
| Total             |       | 23,580.602         |       |                              |       |

 

Item 6.   Selected Financial Data

 

Thefollowing is a summary of operations for the fiscal years 2005, 2004, 2003 and2002 and total assets of the Trust at December 31, 2005, 2004, 2003 and 2002. TheTrust commenced trading operations on July 1, 2002.

 
| ** **                                                             | ** ** | **For the Year Ended  December 31, 2005** | ** **  | **For the Year Ended  December 31, 2004** | ** ** | **For the Year Ended  December 31, 2003** | ** ** | **For the Period  Ended  December 31, 2002** | ** **  |
|------------------------------------------------------------------------|------------|-------------------------------------------|-------------|-------------------------------------------|------------|-------------------------------------------|------------|----------------------------------------------|-------------|
| Revenue:  Total net realized and unrealized gains  (losses)* |       | $                                         | 27,495,406  |                                      | $          | 5,648,733                                 |       | $                                            | (4,050,627  | ) | $ | 953,721 |   |
| Interest income                                                        |       | 11,150,930                                |        | 4,131,334                                 |       | 1,320,805                                 |       | 110,054                                      |        |
|                                                                   |       |                                      |        |                                      |       |                                      |       |                                         |        |
| Expenses:                                                              |       |                                      |        |                                      |       |                                      |       |                                         |        |
| Profit share                                                           |       | 0                                         |        | 0                                         |       | 6,465                                     |       | 70,924                                       |        |
| Administrative  expenses**                                             |       | 1,477,105                                 |        | 1,615,275                                 |       | 693,544                                   |       | 38,443                                       |        |
| Brokerage  Commissions                                                 |       | 26,641,625                                |        | 22,046,061                                |       | 8,331,480                                 |       | 431,467                                      |        |
|                                                                   |       |                                      |        |                                      |       |                                      |       |                                         |        |
| Net Income  (loss)                                                     |       | $                                         | 10,527,606  |                                      | $          | (13,881,269                               | )          | $                                            | (11,761,311 | ) | $ | 522,941 |   |
|                                                                   |       |                                      |        |                                      |       |                                      |       |                                         |        |
| Total assets                                                           |       | $                                         | 423,902,367 |                                      | $          | 414,316,836                               |       | $                                            | 248,208,066 |   | $ | 27,460,920 |   |
| Total Trust  capital                                                   |       | $                                         | 405,903,522 |                                      | $          | 397,086,152                               |       | $                                            | 228,939,976 |   | $ | 25,036,123 |   |
| Net asset value  per Unit                                              |       | $                                         | 978.08      |                                      | $          | 954.85                                    |       | $                                            | 1,008.56    |   | $ | 1,030.24 |   |
| Increase  (decrease) in net asset value per Unit                       |       | $                                         | 23.23       |                                      | $          | (53.71                                    | )          | $                                            | (21.68      | ) | $ | 30.24 |   |
|                                                                        |            |                                           |             |                                           |            |                                           |            |                                              |             |  |  |  |  |  |  |

 

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*Fromtrading of futures and forward contracts, foreign exchange transactions andU.S. Treasury obligations

 

**includescustody fees for the years ended December 31, 2005, 2004 and 2003 and for theperiod ended December 31, 2002 and net of administrative expenses reimbursed bythe Managing Owner for the period ended December 31, 2002

 

10

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Item 7.   Management’s Discussion and Analysis of Financial

Condition and Results of Operations

 

Referenceis made to “Item 6. Selected Financial Data” and “Item 8. FinancialStatements and Supplementary Data.”  Theinformation contained therein is essential to, and should be read inconjunction with, the following analysis.

 

Capital Resources

 

Unitsmay be offered for sale as of the beginning, and may be redeemed as of the end,of each month.

 

Theamount of capital raised for the Trust should not have a significant impact onits operations, as the Trust has no significant capital expenditure or workingcapital requirements other than for monies to pay trading losses, brokeragecommissions and charges. Within broad ranges of capitalization, the ManagingOwner’s trading positions should increase or decrease in approximate proportionto the size of the Trust.

 

TheTrust raises additional capital only through the sale of Units and capital isincreased through trading profits (if any). The Trust does not engage inborrowing.

 

TheTrust trades futures, options and forward contracts on interest rates,commodities, currencies, metals, energy and stock indices. Risk arises fromchanges in the value of these contracts (market risk) and the potentialinability of counterparties or brokers to perform under the terms of theircontracts (credit risk). Market risk is generally to be measured by the faceamount of the futures positions acquired and the volatility of the markets traded.The credit risk from counterparty non-performance associated with theseinstruments is the net unrealized gain, if any, on these positions plus thevalue of the margin or collateral held by the counterparty. The risksassociated with exchange-traded contracts are generally perceived to be lessthan those associated with over-the-counter transactions, because exchangestypically (but not universally) provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange. In over-the-counter transactions, on the other hand, traders mustrely solely on the credit of their respective individual counterparties. Marginswhich may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may require margin or collateral in theover-the-counter markets.

 

TheManaging Owner has procedures in place to control market risk, although therecan be no assurance that they will, in fact, succeed in doing so. Theseprocedures primarily focus on (1) real time monitoring of open positions;(2) diversifying positions among various markets; (3) limiting theassets committed as margin, generally within a range of 15% to 35% of anaccount’s Net Assets at exchange minimum margins, (including imputed margins onforward positions) although the amount committed to margin at any time may besubstantially higher; (4) prohibiting pyramiding (that is, usingunrealized profits in a particular market as margin for additional positions inthe same market); and (5) changing the equity utilized for trading by anaccount solely on a controlled periodic basis rather than as an automaticconsequence of an increase in equity resulting from trading profits. The Trustcontrols credit risk by dealing exclusively with large, well capitalizedfinancial institutions as brokers and counterparties.

 

Thefinancial instruments traded by the Trust contain varying degrees ofoff-balance sheet risk whereby changes in the market values of the futures andforward contracts or the Trust’s satisfaction of the obligations may exceed theamount recognized in the statement of financial condition of the Trust.

 

Due tothe nature of the Trust’s business, substantially all its assets arerepresented by cash and United States government obligations, while the Trustmaintains its market exposure through open futures and forward contractpositions.

 

TheTrust’s futures contracts are settled by offset and are cleared by the exchangeclearinghouse function. Open futures positions are marked to market eachtrading day and the Trust’s trading accounts are debited or creditedaccordingly. Options on futures contracts are settled either by offset or byexercise. If an option on a future is exercised, the Trust is assigned aposition in the underlying future which is then settled by offset. The Trust’sspot

 

11

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and forward currency transactions conducted in the interbank market aresettled by netting offsetting positions or payment obligations and by cashpayments.

 

Thevalue of the Trust’s cash and financial instruments is not materially affectedby inflation. Changes in interest rates, which are often associated withinflation, could cause the value of certain of the Trust’s debt securities todecline, but only to a limited extent. More important, changes in interestrates could cause periods of strong up or down market price trends, duringwhich the Trust’s profit potential generally increases. However, inflation canalso give rise to markets which have numerous short price trends followed byrapid reversals, markets in which the Trust is likely to suffer losses.

 

Liquidity

 

TheTrust’s assets are generally held as cash or cash equivalents which are used tomargin the Trust’s futures and forward currency positions and withdrawn, asnecessary, to pay redemptions and expenses. Other than potential market-imposedlimitations on liquidity, due, for example, to limited open interest in certainfutures markets or to daily price fluctuation limits, which are inherent in theTrust’s futures and forward trading, the Trust’s assets are highly liquid andare expected to remain so. During its operations through December 31, 2005, theTrust experienced no meaningful periods of illiquidity in any of the numerousmarkets traded by the Managing Owner.

 

Critical Accounting Estimates

 

The Trust records its transactions in futures andforward currency contracts, including related income and expenses, on a tradedate basis. Open futures contracts traded on an exchange are valued at market,which is based on the closing settlement price on the exchange where thefutures contract is traded by the Trust on the day with respect to which NetAssets are being determined. Open forward currency contracts are recorded atfair value, based on pricing models that consider the current market prices (“SpotPrices”) plus the time value of money (“Forward Points”) and contractual pricesof the underlying financial instruments. The Spot Prices and Forward Points foropen forward currency contracts are generally based on the 3:00 P.M. New Yorktime prices provided by widely used quotation service providers on the day withrespect to which Net Assets are being determined. The Forward Points from thequotation service providers are generally in periods of one month, two months,three months and six months forward while the contractual forward deliverydates for the foreign currency contracts traded by the Trust may be in betweenthese periods.

 

The Managing Owner’s policy is to calculate theForward Points for each contract being valued by determining the number of daysfrom the date the forward currency contract is being valued to its maturity dateand then using straight-line interpolation to calculate the valuation ofForward Points for the applicable forward currency contract. The Managing Ownerwill also compare the calculated price to the forward currency prices providedby dealers to determine whether the calculated price is fair and reasonable.

 

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions, such as accrual ofexpenses, that affect the amounts and disclosures reported in the financialstatements. Based on the nature of the business and operations of the Trust,the Managing Owner believes that the estimates utilized in preparing the Trust’sfinancial statements are appropriate and reasonable, however actual resultscould differ from these estimates. The estimates used do not provide a range ofpossible results that would require the exercise of subjective judgment. TheManaging Owner further believes that, based on the nature of the business andoperations of the Trust, no other reasonable assumptions relating to theapplication of the Trust’s critical accounting estimates other than thosecurrently used would likely result in materially different amounts from thosereported.

 

Off-Balance SheetArrangements

 

The Trust does not engage in off-balance sheetarrangements with other entities.

 

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Contractual Obligations

 

TheTrust does not enter into any contractual obligations or commercial commitmentsto make future payments of a type that would be typical for an operatingcompany or that would affect its liquidity or capital resources. The Trust’ssole business is trading futures and forward currency contracts, both long(contracts to buy) and short (contracts to sell). All such contracts aresettled by offset, not delivery. Substantially all such contacts are forsettlement within four months of the trade date and substantially all suchcontracts are held by the Trust for less than four months before being offsetor rolled over into new contracts with similar maturities. The Trust’sFinancial Statements, included as Exhibit 13.01 to this report, present aCondensed Schedule of Investments setting forth net unrealized appreciation(depreciation) of the Trust’s open future and forward currency contracts, bothlong and short, at December 31, 2005.

 

Resultsof Operations

 

*Performance Summary*

 

TheTrust’s success depends on the Managing Owner’s ability to recognize andcapitalize on trends and other profit opportunities in different sectors of theworld economy. The Managing Owner’s trading methods are confidential, so thatsubstantially the only information that can be furnished regarding the Trust’sresults of operations is its performance record. Unlike most operatingbusinesses, general economic or seasonal conditions have no direct effect onthe profit potential of the Trust, while, at the same time, its pastperformance is not necessarily indicative of future results. Because of thespeculative nature of its trading, operational or economic trends have littlerelevance to the Trust’s results. The Managing Owner believes, however, thatthere are certain market conditions — for example, markets with strong pricetrends — in which the Trust has a better opportunity of being profitable thanin others. The Trust commenced trading operations July 1, 2002.

 

*2005*

 

During2005, the Trust achieved net realized and unrealized gains of $27,495,406 fromits trading operations (including foreign exchange transactions andtranslations). Brokerage fees of $26,641,625 were paid or accrued. The Trustallocated no profit share to the New Profits Memo Account for the benefit ofthe Managing Owner. Interest income of $11,150,930 partially offset the Trust’sexpenses resulting in a net gain (inclusive of administrative expenses) of$10,527,606 and a 2.43% increase in the Net Asset Value per Unit. An analysisof the trading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
|           |       |              |       |
| Interest Rates |       | 2.28              | %          |
| Currencies     |       | (3.34             | )%         |
| Stock Indices  |       | 7.92              | %          |
| Metals         |       | 3.12              | %          |
| Energies       |       | 1.15              | %          |
| Grains         |       | (2.81             | )%         |
| Softs          |       | (0.28             | )%         |
| Livestock      |       | (0.59             | )%         |
|           |       |              |       |
| Total          |       | 7.45              | %          |

 

The Trust produced amodest gain for the year. Equity indices were strongly profitable, and to alesser extent so were cross rate currency positions, metals, energy andinterest rates. On the other hand, sizable losses resulted from trading dollarcurrency positions, and lesser shortfalls came from trading grains, softs, andlivestock.

 

International equityindices were highly profitable in 2005. Following some consolidation early inthe year, non-U.S. equity indexes moved broadly higher through year end. Therewere gains from long positions in Asian,

 

13

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European, and South African equity indices. Solid growth worldwidepropelled equities forward despite the headwinds that came from high energyprices and rising interest rates. Trading of U.S. stock indexes, which wererange-bound for most of 2005, was not profitable, however.

 

Strong growth ofindustrial production, especially in China, underpinned demand for metals, andlong positions in copper, zinc and platinum generated gains. Continuingexpansion of money supply worldwide fueled demand for precious metals, and longgold and silver positions were also profitable.

 

Energy prices werevolatile, but still moved somewhat higher on balance for the year, and longpositions in crude, heating oil, London gas oil, unleaded gasoline, and kerosenewere slightly profitable. By the end of 2005, however, position sizes had beenreduced significantly.

 

Interest rates were quitevolatile during 2005. Early in the year, markets expected continuing declinesin non-U.S. interest rates, and further advances in short term U.S. rates. Lateron, however, interest rates rose rather broadly as the European Central Bankjoined the Federal Reserve in raising official rates, as growth in emergingeconomies remained strong, as Japan showed evidence of exiting from itsprotracted slump, and as high prices for energy and other commodities inducedinflation fears that periodically roiled markets. In this environment, profitsfrom long non-U.S. interest rate positions during the first half of 2005 werelargely offset by losses from these positions in the second half. Indeed, byyear end, the portfolio’s interest rate positions had been reduced or reversedfrom long to short, anticipating higher interest rates.

 

Turning to currencies,cross rate trades based on selling low yield currencies and buying highinterest rate currencies were profitable. In particular, selling yen and buyingthe Australian dollar, Canadian dollar and British pound was profitable, as wasselling the euro and buying Polish zlotys and Canadian dollars.

 

Dollar trading, however,was unprofitable throughout the year. The U.S. currency was not able to sustaina trend and exhibited significant volatility, especially during the second halfof 2005. As a result, 14 of the 17 currencies traded versus the dollarregistered losses or no appreciable gain for the year.

 

Tradingof agricultural commodities and livestock generated losses. Prices of corn,wheat and elements of the soybean complex experienced wide swings in 2005, andmodest losses were sustained across the grain sector of the portfolio. A longsugar position was quite profitable as weather related crop shortages in Braziland Asia increased demand for the commodity and prompted short covering as well.However, losses from trading coffee, cotton, and cocoa were more thanoffsetting. Livestock trading was marginally unprofitable.

 

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*2004*

 

During2004, the Trust achieved net realized and unrealized gains of $5,648,733 fromits trading operations (including foreign exchange transactions and translations).Brokerage fees of $22,046,061 were paid or accrued. The Trust allocated noprofit share to the New Profits Memo Account for the benefit of the ManagingOwner. Interest income of $4,131,334 partially offset the Trust’s expensesresulting in a net loss (inclusive of administrative expenses) of $13,881,269and a 5.33% decrease in the Net Asset Value per Unit. An analysis of thetrading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
|           |       |              |       |
| Interest Rates |       | 3.11              | %          |
| Currencies     |       | (3.21             | )%         |
| Stock Indices  |       | (2.44             | )%         |
| Metals         |       | (0.21             | )%         |
| Energies       |       | 2.49              | %          |
| Grains         |       | 0.44              | %          |
| Softs          |       | 0.19              | %          |
| Livestock      |       | 0.14              | %          |
|           |       |              |       |
| Total          |       | 0.51              | %          |

 

The year 2004 was distinguished by dramatictransitions in the underlying character of market trading dynamics. Profitabletrends in January and February gave way to a six month period of trendless,turbulent action across a broad swath of markets that produced significantlosses. Beginning in September, trends reappeared and the Trust chalked up asharp recovery in the year’s final four months. Interest rate and energytrading were profitable and to a lesser extent so was trading of agriculturalcommodities. These gains were partially offset by losses from currency, stockindex and metals trading. The Trust generated a small trading gain for theyear.

 

At the start of the year, long positions in note andbond futures, particularly for the U.S. and Europe, were quite profitable assluggish European growth, concerns about a “jobless” U.S. recovery and centralbank buying of treasuries drove interest rates down. Rising energy pricesbenefited long energy positions, and equity and metals trading were profitable.Currency trading was very unprofitable, however, as a dollar decline halted andreversed during the quarter.

 

From March through August, a number of uncertaintiesplagued market participants including: the June Iraqi elections, the U.S. Presidential elections in November,the strength of the American economy and thrust of Federal Reserve policy, andChina’s foreign exchange, industrial and monetary policy directions. As aresult, markets across the board displayed unprofitable, directionless priceaction. Trading of currencies, interest rates, stock indices, metals andagricultural commodities produced losses. Energy trading was the onlyprofitable sector for this period.

 

As the aforementioned uncertainties began to clarify,market participants became more confident of their opinions and a number ofprofitable trend opportunities emerged. In particular, a sharp dollar declineled to profits from a series of short dollar positions, particularly versus theeuro and Korean won. This dollar sell off was prompted by worries aboutpersistent U. S. current account and budget deficits, as well as the risingprobability that foreign central banks would begin to diversify theirinternational reserve holdings away from the American currency. Trading ofinterest rate, stock index, and metal futures was also profitable over the lastfour months of the year.

 

*2003*

 

During2003, the Trust suffered net realized and unrealized losses of $4,050,627 fromits trading operations (including foreign exchange transactions andtranslations). Brokerage fees of $8,331,480 were paid or accrued. The

 

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Trust allocated a profit share to the New Profits Memo Account for thebenefit of the Managing Owner of $6,465. Interest income of $1,320,805partially offset the Trust’s expenses resulting in a net loss (inclusive ofadministrative expenses) of $11,761,311 and a 2.10% decrease in the Net AssetValue per Unit. An analysis of the trading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| ** **     | ** ** | ** **        | ** ** |
| Interest Rates |       | 0.09              | %          |
| Currencies     |       | 2.86              | %          |
| Stock Indices  |       | 1.93              | %          |
| Metals         |       | 1.10              | %          |
| Energies       |       | (1.14             | )%         |
| Grains         |       | (0.95             | )%         |
| Softs          |       | (0.21             | )%         |
|           |       |              |       |
| Total          |       | 3.68              | %*         |

 

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*Whilethe Trust suffered net dollar trading losses during 2003, there was apercentage trading gain in the aggregate sectors due to the timing ofadditional capital contributions and monthly volatility.

 

The Trust’s performancewas quite volatile throughout the year 2003. Substantial gains registered inJanuary and February were largely erased in March, when major long term pricetrends in currencies, energy and interest rates reversed abruptly as the Iraqinvasion moved from rhetoric to reality, and as traders and investors rushed tosquare positions, moving to the sidelines at least temporarily. Then, in May,as the initial phase of the Iraqi conflict was reaching a quicker then expectedresolution, concern about large U.S. budget and trade deficits, unfavorableU.S. interest rate differentials, and Treasury Secretary Snow’s apparentacquiescence to a weaker dollar, reignited a dollar selloff. At the same time,fears of deflation, and the Fed’s continued easy monetary policy, produced arenewed fall in interest rates. These broad movements brought with them asizable profit for the portfolio. However, after slightly favorable summerresults, interest rate and energy markets succumbed to volatility withoutsustained trends. Therefore, losses in these two sectors outweighed gains fromcurrency, stock index, and metals trading over the second half of 2003.

 

On a sector basis,currency trading was profitable for 2003. Long positions in the euro andcommodity currencies (South African rand, Australian and New Zealand dollars)were quite profitable as the U.S. currency fell. On the other hand, trading ofFar Eastern currencies (yen, Korean won, and the Singapore dollar) producedlosses, since heavy Central Bank intervention throughout the regioncounterbalanced much of the downward pressure on the U.S. unit and led toerratic rate fluctuations.

 

Stock futures trading wasprofitable due to a general up move in equities worldwide. Long gold and copperpositions were profitable, particularly later in the year, as flight to safetyand a weak dollar boosted gold prices, and as a weak dollar and surgingindustrial demand pushed copper prices upward.

 

Energy prices were highlyvolatile during the year, particularly with the onset of hostilities in Iraq inMarch, and, hence energy trading generated losses in 2003.

 

Interest rate trading wasvery profitable during the first half of 2003 when rates worldwide werecontinuing to trend downward. However, when that trend reversed abruptly inmid-June and was followed by erratic non-directional range trading, offsettinglosses were experienced, especially during the September – December period. Lastly,trading of agricultural commodities produced losses throughout the year.

 

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Item 7A. Quantitativeand Qualitative Disclosures About Market Risk

 

**Introduction**

 

***PastResults Are Not Necessarily Indicative of Future Performance***

 

TheTrust is a speculative commodity pool. Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Trust’s mainline of business.

 

Marketmovements result in frequent changes in the fair market value of the Trust’sopen positions and, consequently, in its earnings and cash flow. The Trust’smarket risk is influenced by a wide variety of factors, including the level andvolatility of interest rates, exchange rates, equity price levels, the marketvalue of financial instruments and contracts, the diversification effects amongthe Trust’s open positions and the liquidity of the markets in which it trades.

 

TheTrust can rapidly acquire and/or liquidate both long and short positions in awide range of different markets. Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the Trust’spast performance is not necessarily indicative of its future results.

 

Valueat Risk is a measure of the maximum amount which the Trust could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty ofthe Trust’s speculative trading and the recurrence in the markets traded by theTrust of market movements far exceeding expectations could result in actualtrading or non-trading losses far beyond the indicated Value at Risk or theTrust’s experience to date (*i.e.,* “risk ofruin”). In light of the foregoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of the quantification includedin this section should not be considered to constitute any assurance orrepresentation that the Trust’s losses in any market sector will be limited toValue at Risk or by the Trust’s attempts to manage its market risk.

 

Materiality,as used in this section “Quantitative and Qualitative Disclosures About MarketRisk,” is based on an assessment of reasonably possible market movements andthe potential losses caused by such movements, taking into account theleverage, optionality and multiplier features of the Trust’s market sensitiveinstruments.

 

Quantifying the Trust’s Trading Value at Risk

 

*Quantitative Forward-Looking Statements*

 

*Thefollowing quantitative disclosures regarding the Trust’s market risk exposurescontain “forward-looking statements” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the Securities Actand Section 21E of the Securities Exchange Act of 1934). All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.*

 

TheTrust’s risk exposure in the various market sectors traded by the ManagingOwner is quantified below in terms of Value at Risk. Due to the Trust’smark-to-market accounting, any loss in the fair value of the Trust’s openpositions is directly reflected in the Trust’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

 

In 2005, exchange maintenance margin requirements havebeen used by the Trust as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed 95-99% of the maximum one day losses in the fairvalue of any given contract incurred during the time period over whichhistorical price fluctuations are researched for purposes of establishingmargin levels.  The maintenance marginlevels are established by exchanges using historical price studies as well asan assessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one day pricefluctuation.

 

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In 2005, the Trust changed its method of calculatingValue at Risk for forward currency contracts that are not exchange traded and began to use exchange maintenance marginrequirements for equivalent or similar futures positions as the measure ofValue at Risk.  The Trust previously used dealers’ margin as themeasure of Value at Risk forforward currency contracts.  Dealers’ margin rates reflect factors otherthan volatility such as credit and administrative considerations which are notrelevant to Value at Risk.  Accordingly, the Trust believes that, for the Trust’s forward currency contracts,equivalent exchange maintenance margin requirements are a more appropriate indicator of Valueat Risk.

 

In quantifying the Trust’s Value at Risk, 100%positive correlation in the different positions held in each market riskcategory has been assumed.  Consequently,the margin requirements applicable to the open contracts have simply beenaggregated to determine each trading category’s aggregate Value at Risk.  The diversification effects resulting fromthe fact that the Trust’s positions are rarely, if ever, 100% positivelycorrelated have not been reflected.

 

*The Trust’s Trading Value at Risk in DifferentMarket Sectors*

 

The following table indicates the average, highest andlowest amounts of trading Value at Risk associated with the Trust’s openpositions by market category for the fiscal year ended December 31, 2005,calculated using the new method described above.  During fiscal year 2005 and 2004, the Trust’saverage total capitalization was approximately $389.1 million and $322.9million, respectively.

 
| **Fiscal Year 2005** | ** ** |
|----------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
| ** **           | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| Interest Rates       |       | $ | 12.1 |   | 3.1 | % | $ | 15.3 |   | $ | 9.0 |   |
| Currencies           |       | $ | 21.1 |   | 5.4 | % | $ | 30.6 |   | $ | 17.3 |   |
| Stock Indices        |       | $ | 20.3 |   | 5.2 | % | $ | 22.3 |   | $ | 18.3 |   |
| Metals               |       | $ | 3.9 |   | 1.0 | % | $ | 4.5 |   | $ | 3.5 |   |
| Softs                |       | $ | 2.1 |   | 0.6 | % | $ | 3.3 |   | $ | 1.1 |   |
| Grains               |       | $ | 1.0 |   | 0.3 | % | $ | 1.3 |   | $ | 0.4 |   |
| Energies             |       | $ | 3.0 |   | 0.8 | % | $ | 3.9 |   | $ | 1.2 |   |
| Livestock            |       | $ | 0.3 |   | 0.1 | % | $ | 0.4 |   | $ | 0.1 |   |
| Total                |       | $ | 63.8 |   | 16.5 | % |   |   |   |   |

 

The following tables indicates the average, highestand lowest amounts of trading Value at Risk associated with the Trust’s openpositions by market category for the fiscal years ended December 31, 2005 and2004.  The calculations have beenprepared under the method used by the Trust in prior years which considereddealer’s margin for forward currency contracts instead of exchange maintenancemargin requirements.

 
| **Fiscal Year 2005** | ** ** |
|----------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
|                 |       |   |   |   |   |   |   |   |   |
| Interest Rates       |       | $ | 12.1 |   | 3.1 | % | $ | 15.3 |   | $ | 9.0 |   |
| Currencies           |       | $ | 52.7 |   | 13.5 | % | $ | 73.7 |   | $ | 43.4 |   |
| Stock Indices        |       | $ | 20.3 |   | 5.2 | % | $ | 22.3 |   | $ | 18.3 |   |
| Metals               |       | $ | 3.9 |   | 1.0 | % | $ | 4.5 |   | $ | 3.5 |   |
| Softs                |       | $ | 2.1 |   | 0.6 | % | $ | 3.3 |   | $ | 1.1 |   |
| Grains               |       | $ | 1.0 |   | 0.3 | % | $ | 1.3 |   | $ | 0.4 |   |
| Energies             |       | $ | 3.0 |   | 0.8 | % | $ | 3.9 |   | $ | 1.2 |   |
| Livestock            |       | $ | 0.3 |   | 0.1 | % | $ | 0.4 |   | $ | 0.1 |   |
| Total                |       | $ | 95.4 |   | 24.6 | % |   |   |   |   |

 

Average, highest andlowest Value at Risk amounts relate to the quarter-end amounts during thefiscal year. Average Capitalization is the average of the Trust’scapitalization at the end of each month during the fiscal year 2005. Dollaramounts represent millions of dollars.

 
| **Fiscal Year 2004** | ** ** |
|----------------------|------------|
| **Market Sector**    | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
|                 |       |   |   |   |   |   |   |   |   |
| Interest Rates       |       | $ | 11.5 |   | 3.6 | % | $ | 12.8 |   | $ | 9.2 |   |
| Currencies           |       | $ | 51.6 |   | 16.2 | % | $ | 56.1 |   | $ | 43.7 |   |
| Stock Indices        |       | $ | 10.4 |   | 3.2 | % | $ | 19.1 |   | $ | 4.4 |   |
| Metals               |       | $ | 2.0 |   | 0.6 | % | $ | 2.9 |   | $ | 1.5 |   |
| Softs                |       | $ | 1.1 |   | 0.3 | % | $ | 1.6 |   | $ | 0.5 |   |
| Grains               |       | $ | 1.1 |   | 0.3 | % | $ | 1.1 |   | $ | 1.1 |   |
| Energies             |       | $ | 2.5 |   | 0.8 | % | $ | 3.8 |   | $ | 1.5 |   |
| Livestock            |       | $ | 0.4 |   | 0.1 | % | $ | 0.4 |   | $ | 0.4 |   |
| Total                |       | $ | 80.6 |   | 25.1 | % |   |   |   |   |

 

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Average, highest and lowest Value at Risk amountsrelate to the quarter-end amounts for the calendar quarter-ends during thefiscal year. Average Capitalization is the average of the Trust’scapitalization at the end of the calendar quarters of fiscal year 2004. Dollaramounts represent millions of dollars.

 

***Material Limitations on Value at Risk as an Assessment ofMarket Risk***

 

The face value of the market sector instruments heldby the Trust is typically many times the applicable maintenance marginrequirement (maintenance margin requirements generally ranging betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Trust. The magnitude of the Trust’s open positionscreates a “risk of ruin” not typically found in most other investment vehicles.Because of the size of its positions, certain market conditions — unusual, buthistorically recurring from time to time — could cause the Trust to incursevere losses over a short period of time. The foregoing Value at Risk table —as well as the past performance of the Trust — give no indication of this “riskof ruin.”

 

***Non-Trading Risk***

 

TheTrust has non-trading market risk on its foreign cash balances not needed formargin. However, these balances (as well as any market risk they represent) areimmaterial.

 

TheTrust also has non-trading cash flow risk as a result of holding a substantialportion (over 80%) of its assets in U.S. Treasury notes and other short-termdebt instruments (as well as any market risk they represent) for margin andcash management purposes. Although the Managing Owner does not anticipate that,even in the case of major interest rate movements, the Trust would sustain amaterial mark-to-market loss on its securities positions, if short-terminterest rates decline so will the Trust’s cash management income. The Trustalso maintains a portion (over 10%) of its assets in cash in interest-bearingbank accounts. These cash balances are also subject (as well as any market riskthey represent) to cash flow risk, which is not material.

 

***Qualitative Disclosures Regarding Primary Trading RiskExposures***

 

*Thefollowing qualitative disclosures regarding the Trust’s market risk exposures —except for (i) those disclosures that are statements of historical fact and(ii) the descriptions of how the Managing Owner manages the Trust’s primarymarket risk exposures — constitute forward-looking statements within themeaning of Section 27A of the Securities Act and Section 21E of the SecuritiesExchange Act. The Trust’s primary market risk exposures as well as thestrategies used and to be used by the Managing Owner*for*managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of theTrust’s risk controls to differ materially from the objectives of suchstrategies. Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new market participants,increased regulation and many other factors could result in material losses aswell as in material changes to the risk exposures and the risk management*

 

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*strategies of the Trust. There can be no assurancethat the Trust’s current market exposure and/or risk management strategies willnot change materially or that any such strategies will be effective in eitherthe short- or long-term. Investors must be prepared to lose all orsubstantially all of their investment in the Trust.*

 

Thefollowing were the primary trading risk exposures of the Trust as of December31, 2005, by market sector.

 

FinancialInstruments. Interest rate movements directly affect theprice of the sovereign bond futures positions held by the Trust and indirectlythe value of its stock index and currency positions. Interest rate movements inone country as well as relative interest rate movements between countries maymaterially impact the Trust’s profitability. The Trust’s primary interest rateexposure is to interest rate fluctuations in the United States and other majorindustrialized, or Group of Seven (Canada, France, Germany, Italy, Japan,United Kingdom and United States, collectively, “G-7”) countries. However, theTrust also may take positions in futures contracts on the government debt ofsmaller nations. The Managing Owner anticipates that G-7 interest rates, bothlong-term and short-term, will remain the primary market exposure of the Trustfor the foreseeable future.

 

Currencies.Exchange rate risk is a principal market exposure of the Trust. The Trust’scurrency exposure is to exchange rate fluctuations, primarily fluctuationswhich disrupt the historical pricing relationships between different currenciesand currency pairs. The fluctuations are influenced by interest rate changes aswell as political and general economic conditions. The Trust trades in a largenumber of currencies, including cross-rates—e.g., positions between twocurrencies other than the U.S. dollar. As of December 31, 2005, the Trust’scurrency exposures were in the U.S. dollar versus the Euro, Swiss Franc, CzechKrone, Polish Zloty, Norwegian Krone, Hungarian Forint, Swedish Krona, CanadianDollar, South African Rand, New Zealand Dollar, Australian Dollar, Yen, KoreanWon, Singapore Dollar, Mexican Peso and Brazilian Real. The exposure incurrency crosses were in the Yen versus the Canadian Dollar, Australian Dollar,Swiss Franc and British Pound and in the Euro versus the Yen, British Pound,Swiss Franc, Polish Zloty, Norwegian Krone, and Canadian Dollar.

 

StockIndices. The Trust’s equity exposure, through stock indexfutures, is to equity price risk in the G-7 countries as well as othercountries. As of December 31, 2005, the Trust’s exposures in the G-7 countrieswere in the: E-Mini Nasdaq 100, E- Mini S&P 500, E-Mini Russell 2000 andE-Mini Dow (United States); FTSE 100 (United Kingdom); TOPIX and Nikkei(Japan); DAX (Germany); and CAC-40 (France) stock indices. The Trust’s exposureto stock index futures of other countries at December 31, 2005 were in the:Simex Taiwan Index (Taiwan), Simex (Singapore) ALL Shares (South Africa), SPI200 (Australia), IBEX 35 (Spain), Hang Seng (Hong Kong), and the DJ Euro Stoxx50 (Euro Zone) stock indices.

 

Metals. The DiversifiedPortfolio used for the Trust trades precious and base metals. The Trust’smetals market exposure is in gold, silver, platinum, aluminum, copper, lead,nickel, tin and zinc.

 

Agricultural.The Trust’s primary commodities exposure is to agricultural price movements,which are often directly affected by severe or unexpected weather conditions.As of December 31, 2005, the Trust had exposure to agricultural commoditiesincluding coffee, sugar, cocoa, cotton, wheat, corn, the soybean complex aswell as live cattle and hogs.

 

Energy. The Trust’s primaryenergy market exposure is to gas and oil price movements, often resulting frompolitical developments in the Middle East and economic conditions worldwide. Energyprices are volatile and substantial profits and losses have been and areexpected to continue to be experienced in this market.

 

***Qualitative Disclosures Regarding Non-Trading Risk Exposure***

*** ***

Thefollowing were the only non-trading risk exposures of the Trust as of December31, 2005.

 

ForeignCurrency Balances. The Trust’s primary foreign currencybalances are in Japanese yen, euro, British pounds and Hong Kong dollars. TheTrust controls the non-trading risk of these balances by regularly convertingthese balances back into dollars (no less frequently than twice a month).

 

SecuritiesPositions. The Trust’s only market exposure in instrumentsheld other than for trading is in its securities portfolio. The Trust holdsonly cash or interest-bearing, credit risk-free, short-term paper — typically

 

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U.S. Treasury instruments with durations no longer than 1 year. Violentfluctuations in prevailing interest rates could cause immaterial mark-to-marketlosses on the Trust’s securities, although substantially all of theseshort-term instruments are held to maturity.

 

***Qualitative Disclosures Regarding Means of Managing RiskExposure***

 

TheManaging Owner attempts to control risk through the systematic application ofits trading method, which includes a multi-system approach to price trendrecognition, an analysis of market volatility, the application of certain moneymanagement principles, which may be revised from time to time, and adjustingleverage or portfolio size. In addition, the Managing Owner limits its tradingto markets which it believes are sufficiently liquid in respect of the amountof trading it contemplates conducting.

 

Thegoal of the Managing Owner’s research has been to develop and select a mix ofsystems in each market and allocate risk across a wide array of markets, so asto contain overall portfolio risk in the targeted range, while allowingexposure to profitable trend opportunities. Over the last 30 years, theManaging Owner has developed hundreds of trading systems. These intermediate-to long-term trading systems generate buy or sell decisions in a particularmarket based on the direction of price movements in the market.

 

Systemscan be materially different – better in some periods and worse in others. Themain distinguishing features are time-frame over which systems work (intra-dayto long-term), the type of data fed into them (granularity [ticks toweeks/months], type [market or economic statistics], source [cash, futures oroptions markets]), and the objective of the system (profiting from trends,trading-ranges or volatility). No single approach will work all the time. Therefore,the Managing Owner’s objective is to have several approaches operating at alltimes. Since the early 1980’s, the Managing Owner has selected multiple systemsfor each market.

 

Whenarriving at the portfolio allocation, the Managing Owner seeks maximumdiversification subject to liquidity constraints. The markets traded andallocations are reviewed monthly, although changes may occur less frequently. Thefollowing factors are considered in constructing a universe of markets to tradefor each portfolio:  profitability,correlation of market performance, liquidity of markets, depth of markets,breadth of markets, professional judgment, desired diversification and transactioncosts. Once the universe of markets is established, the Managing Owner’ssimulation and optimization techniques help determine which markets to includein the portfolio. The current allocation to any market in the portfolio doesnot exceed 3%.

 

Inattempting to assess market volatility as a means of monitoring and evaluatingrisk, the Managing Owner uses its volatility overlay as a part of individualmarket risk management. This system is designed to measure the risk in theportfolio’s position in each market and signals a decrease in position sizewhen risk increases and an increase in position size when risk decreases. TheManaging Owner’s volatility overlay maintains overall portfolio risk anddistribution of risk across markets within designated ranges. It is applied tothe systematic strategies described above. A secondary benefit of thevolatility overlay can be timely profit taking. Because markets tend to becomemore volatile after a profitable trend has been long underway, the volatilityoverlay often signals position reductions before trend reversals.

 

Inaddition to the volatility overlay, the Managing Owner’s risk managementfocuses on money management principles applicable to the portfolio as a wholerather than to individual markets. One such principle is portfoliodiversification, which attempts to improve the quality of profits by reducingvolatility.

 

Additionalmoney management principles applicable to the portfolio as a wholeinclude:  (1) limiting the assetscommitted as margin or collateral, generally within a range of 15% to 35% of anaccount’s net assets, though the amount may at any time be substantiallyhigher; (2) prohibiting pyramiding - that is, using unrealized profits in aparticular market as margin for additional positions solely in the same market;and (3) changing the equity used for trading by an account solely on acontrolled periodic basis, not automatically due to an increase in equity fromtrading profits.

 

Anotherimportant risk management function is the careful control of leverage orportfolio size. Leverage levels are determined by simulating the entireportfolio—all markets, all systems, all risk control overlays, the exact

 

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weightings of the markets in the portfolio and the proposed level ofleverage—over the past five or ten years to determine the worst caseexperienced by the portfolio in the simulation period.

 

Theworst case or peak-to-trough drawdown is measured from a daily high inportfolio assets to the subsequent daily low whether that occurs days, weeks ormonths after the daily high. If the Managing Owner considers the drawdown toosevere, it reduces the leverage or portfolio size. There are, however, norestrictions on the amount of leverage the Managing Owner may use at any giventime.

 

Item 8.   Financial Statements and Supplementary Data

 

Financialstatements required by this item, including the report of Deloitte & ToucheLLP for the fiscal years ended December 31, 2005 and 2004, are included as Exhibit13.01 to this report. The report of Ernst & Young LLP for the fiscal yearended December 31, 2003 is filed as Exhibit 13.02 hereto.

 

Thefollowing summarized quarterly financial information presents the results ofoperations for the three month periods ended March 31, June 30, September 30and December 31, 2005 and 2004. This information has not been audited.

 
| ** **                                   | ** ** | **Fourth Quarter  2005** | ** ** | **Third Quarter  2005** | ** ** | **Second Quarter  2005** | ** ** | **First Quarter  2005** | ** ** |
|----------------------------------------------|------------|--------------------------|------------|-------------------------|------------|--------------------------|------------|-------------------------|------------|
| Interest Income:                             |       | $                        | 3,352,002  |                    | $          | 2,967,215                |       | $                       | 2,575,322  |   | $ | 2,256,391 |   |
| Net Realized and  Unrealized Gains (Losses): |       | 15,951,092               |       | 27,528,003              |       | 9,843,378                |       | (25,827,067             | )          |
| Expenses*:                                   |       | 7,203,631                |       | 7,023,242               |       | 6,845,779                |       | 7,046,078               |       |
| Net Income  (Loss):                          |       | 12,099,463               |       | 23,471,976              |       | 5,572,921                |       | (30,616,754             | )          |
| Net Income  (Loss) per Unit:                 |       | 27.81                    |       | 54.33                   |       | 12.24                    |       | (71.15                  | )          |
|                                              |            |                          |            |                         |            |                          |            |                         |            |  |  |  |  |

 

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*  Expenses are exclusive of any realized andaccrued profit share to the Managing Owner.

 
| ** **                                  | ** ** | **Fourth Quarter  2004** | ** ** | **Third Quarter  2004** | ** ** | **Second Quarter  2004** | ** ** | **First Quarter  2004** | ** ** |
|---------------------------------------------|------------|--------------------------|------------|-------------------------|------------|--------------------------|------------|-------------------------|------------|
| Interest Income:                            |       | $                        | 1,447,725  |                    | $          | 1,076,406                |       | $                       | 932,703    |   | $ | 674,500 |   |
| Net Realized and Unrealized Gains (Losses): |       | 65,297,961               |       | (17,326,669             | )          | (54,071,271              | )          | 11,748,712              |       |
| Expenses:                                   |       | 6,876,088                |       | 5,937,632               |       | 5,803,547                |       | 5,044,069               |       |
| Net Income (Loss):                          |       | 59,869,598               |       | (22,187,895             | )          | (58,942,115              | )          | 7,379,143               |       |
| Net Income (Loss) per Unit:                 |       | 144.69                   |       | (56.38                  | )          | (171.99                  | )          | 29.97                   |       |
|                                             |            |                          |            |                         |            |                          |            |                         |            |  |  |  |  |

 

Therewere no extraordinary, unusual or infrequently occurring items recognized inany quarter within the two most recent fiscal years, and the Trust has not disposedof any segments of its business. There have been no year-end adjustments thatare material to the results of any fiscal quarter reported above.

 

Item 9.   Changes in and Disagreements with Accountantson Accounting and Financial Disclosure

 

None

 

Item9A.   Controls and Procedures

 

TheManaging Owner, with the participation of the Managing Owner’s principalexecutive officers and principal financial officer, has evaluated theeffectiveness of the design and operation of its disclosure controls and procedureswith respect to the Trust as of the end of the fiscal year for which thisAnnual Report on Form 10-K is being filed, and, based on their evaluation, haveconcluded that these disclosure controls and procedures are effective. Therewere no significant changes in the Managing Owner’s internal controls withrespect to the Trust or

 

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in other factors applicable to the Trust that could significantlyaffect these controls subsequent to the date of their evaluation.

 

Item 9B. OtherInformation

 

None.

 

PART III

 

Item10.   Directors and Executive Officers of the Registrant

 

(a,b)  Identification of Directors and ExecutiveOfficers

 

TheTrust has no directors or executive officers. The Trust is controlled andmanaged by the Managing Owner under a delegation of authority by the Trust’sTrustee, Wilmington Trust Company.

 

MillburnRidgefield Corporation, the Managing Owner, is a Delaware corporation organizedin May 1982 to manage discretionary accounts in futures and forward markets. Itis the corporate successor to a futures trading and advisory organization whichhas been continuously managing assets in the currency and futures markets usingquantitative, systematic techniques since 1971.

 

Theprincipals and senior officers of the Managing Owner as of December 31, 2005are as follows:

 

***Harvey Beker, age 52.***Mr. Bekeris Co-Chief Executive Officer and Co-Chairman of the Managing Owner and TheMillburn Corporation, and a partner of their affiliate, ShareInVest ResearchL.P. He received a Bachelor of Arts degree in economics from New YorkUniversity (“NYU”) in 1974 and a Master of Business Administration degree infinance from NYU in 1975. From June 1975 to July 1977, Mr. Beker was employedby Loeb Rhoades, Inc. where he developed and traded silver arbitrage strategies.From July 1977 to June 1978, Mr. Beker was a futures trader at ClaytonBrokerage Co. of St. Louis. Mr. Beker has been employed by The MillburnCorporation since June 1978 and initially served as the Director of operationsfor its affiliate, Millburn Partners. During his tenure at Millburn (includingits affiliates, Millburn Partners and CommInVest Research Limited Partnership (“CommInVest”))he has been instrumental in the development of the research, trading andoperations areas. Mr. Beker became a principal of the firm in June 1982, and apartner in ShareInVest, the predecessor of ShareInVest Research L.P. (“ShareInVest”),in April 1982.

 

***Gregg R. Buckbinder, age 47.***Mr.Buckbinder is Senior Vice-President and Chief Operating Officer of the ManagingOwner and The Millburn Corporation and a partner, since January 2000, ofShareInVest. He graduated cum laude from Pace University (“Pace”) in 1980 witha B.B.A. in accounting and received an M.S. in taxation from Pace in 1988. Hejoined the Managing Owner and The Millburn Corporation in January 1998 fromOdyssey Partners, L.P. where he was responsible for the operation,administration and accounting of the firm’s merchant banking and managedaccount businesses from July 1990 through December 1997. Mr. Buckbinder wasemployed by Tucker Anthony, a securities broker and dealer, from June 1985 toJuly 1990 where he was First Vice President and Controller, and from August1983 to June 1984 where he designed and implemented various operations andaccounting systems. He was with the public accounting firm of Ernst &Whinney from June 1984 to June 1985 as a manager in the tax department and fromSeptember 1980 to August 1983 as a senior auditor, with an emphasis on clientsin the financial services business. He is a Certified Public Accountant and amember of the American Institute of Certified Public Accountants.

 

***George E. Crapple, age 61.***Mr.Crapple is Co-Chief Executive Officer and Co-Chairman of the Managing Owner andThe Millburn Corporation and a partner of ShareInVest. In 1966 he graduatedwith honors from the University of Wisconsin where his field of concentrationwas economics and he was elected to Phi Beta Kappa. In 1969 he graduated fromHarvard Law School, **magna cum laude**,where he was a member of the Harvard Law Review. He was a lawyer with Sidley& Austin, Chicago, Illinois, from 1969 until April 1, 1983, as a partnersince 1975, specializing in commodities, securities, corporate and tax law. Hewas first associated with the Managing Owner in 1976 and joined Managing Ownerand The Millburn Corporation (including its affiliates, Millburn

 

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Partners and CommInVest) on April 1, 1983 on a full-time basis. Hebecame a partner in ShareInVest in April 1984. Mr. Crapple is a Director,Member of the Executive Committee, Chairman of the Appeals Committee and aformer Chairman of the Eastern Regional Business Conduct Committee of the NFA,past Chairman of the Managed Funds Association, a member of the Global MarketsAdvisory Committee of the CFTC and a member of the board of directors of theFutures Industry Association (“FIA”).

 

***Steven M. Felsenthal, age 36.***Mr.Felsenthal is General Counsel and Chief Compliance Officer of the ManagingOwner, The Millburn Corporation and ShareInVest. Prior to joining Millburn inJanuary 2004, Mr. Felsenthal was a senior associate in the investmentmanagement group at Schulte Roth & Zabel LLP (September 1999- January2004), where he represented and advised hedge funds, registered investmentcompanies, investment advisers, broker-dealers and banks in connection with allfacets of their asset management businesses, and a member of the tax departmentof Kramer, Levin, Naftalis & Frankel LLP (October 1996- September 1999). Hegraduated**cum laude** fromYeshiva University in 1991 with a bachelor of arts degree in political science,and **order of the coif** fromFordham University School of Law in 1996, where he also served as an editor ofthe Fordham Environmental Law Journal. Mr. Felsenthal received an LL.M degreein taxation from NYU School of Law in 2001 and has written and been quoted innumerous published articles on various topics related to investment management.Mr. Felsenthal is a member of the New York State Bar.

 

***Mark B. Fitzsimmons, age 58.****** ***Mr. Fitzsimmons is aSenior Vice-President of the Managing Owner and The Millburn Corporation and apartner, since January 2000, of ShareInVest. His responsibilities include bothbusiness development and investment strategy. He joined the Managing Owner andits affiliates in January 1990 from Morgan Stanley & Co. Incorporated wherehe was a Principal and Manager of institutional foreign exchange sales and wasinvolved in strategic trading for the firm from October 1987 until January 1990.From September 1977 to October 1987 he was with Chemical Bank New YorkCorporation (“Chemical”), first as a Senior Economist in Chemical’s ForeignExchange Advisory Service and later as a Vice-President and Manager of Chemical’sCorporate Trading Group. While at Chemical he also traded both foreign exchangeand fixed income products. From September 1973 to September 1977 Mr.Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing histime between the International Research Department and the Foreign ExchangeDepartment. He graduated summa cum laude from the University of Bridgeport,Connecticut in 1970 with a B.S. in economics. His graduate work was done at theUniversity of Virginia, where he received a certificate of candidacy for aPh.D. in economics in 1973.

 

***Barry Goodman, age 48.***Mr.Goodman is Executive Vice-President, Director of Trading and Co-Director ofResearch of the Managing Owner and The Millburn Corporation and a partner ofShareInVest. His responsibilities include overseeing the firm’s tradingoperation and managing its trading relationships, as well as the design andimplementation of trading systems. He graduated **magna cum laude** from Harpur College of the State University ofNew York in 1979 with a B.A. in economics. From September 1980 through October1982 he was a commodity trader for E. F. Hutton & Co., Inc. (“E.F. Hutton”).At E.F. Hutton, he also designed and maintained various technical indicatorsand coordinated research projects pertaining to the futures markets. He joinedthe Managing Owner and The Millburn Corporation (including its affiliate,Millburn Partners) in November 1982 as Assistant Director of Trading. He becamea partner in ShareInVest in January 1984.

 

***Dennis B. Newton, age 54.***Mr.Newton is a Senior Vice-President of the Managing Owner and The MillburnCorporation. His primary responsibilities are in administration and businessdevelopment. Prior to joining the Managing Owner and The Millburn Corporationin September 1991, Mr. Newton was President of Phoenix Asset Management, Inc. (“Phoenix”),a registered commodity pool operator from April 1990 to August 1991 andPresident of its affiliated introducing broker, Phoenix Futures Inc., fromMarch 1990 to June 1991. Prior to his employment with Phoenix, Mr. Newton was aDirector of Managed Futures with Prudential-Bache Securities Inc. (“Prudential-Bache”)from October 1987 to March 1990 and was associated with its affiliated futurescommission merchant entity, Prudential Securities Futures Management, Inc. Mr.Newton joined Prudential-Bache from Heinold Asset Management, Inc. (“Heinold”),and its affiliated futures commission merchant, Heinold Commodities Inc., wherehe was a member of the senior management team from October 1974 to October 1987.Heinold was a pioneer and one of the largest sponsors of funds utilizingfutures and currency forward trading.

 

***Grant N. Smith, age 54.***Mr.Smith is Executive Vice-President and Co-Director of Research of the ManagingOwner and The Millburn Corporation and a partner of ShareInVest. He isresponsible for the design,

 

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testing and implementation of quantitative trading strategies, as wellas for planning and overseeing the computerized decision-support systems of thefirm. He received a B.S. degree from the Massachusetts Institute of Technology(“M.I.T.”) in 1974 and an M.S. degree from M.I.T. in 1975. While at M.I.T. heheld several teaching and research positions in the computer science field andparticipated in various projects relating to database management. He joined thepredecessor entity to The Millburn Corporation in June 1975, and has beencontinuously associated with the Managing Owner, The Millburn Corporation andtheir affiliates since that time.

 

***Tod A. Tanis, age 51.***Mr. Tanisis a Vice President, Principal Accounting Officer and Director of Operations ofthe Managing Owner and The Millburn Corporation. He is responsible foroverseeing operations and accounting for the firm’s commodity pools. Hegraduated from Grove City College in May 1976 with a B.A. in accounting andjoined the Managing Owner and The Millburn Corporation in May of 1983. Prior tojoining Millburn, he was with E.F. Hutton, where he was a Manager from December1982 to April 1983; a Supervisor from August 1982 to December 1982; anInternational Accountant from April 1979 to August 1982; and a staff accountantfrom June 1978 to April 1979. As a Manager at E.F. Hutton, he was responsiblefor all internal and external commodity reporting. Mr. Tanis also served as aJunior Accountant and then International Staff Accountant with Merrill Lynch& Company from September 1976 to May 1978.

 

(c)   Identification of Certain SignificantEmployees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

SeeItem 10 (a,b) above.

 

(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   AuditCommittee Financial Expert

 

Becausethe Trust has no employees, officers or directors, the Trust has no audit committee.The Trust is managed by the Managing Owner. Gregg Buckbinder serves as theManaging Owner’s “audit committee financial expert.”  Mr. Buckbinder is not independent of themanagement of the Managing Owner. The Managing Owner is a privately ownedcorporation managed by its shareholders. It has no independent directors.

 

(h)   Codeof Ethics

 

TheTrust has no employees, officers or directors and is managed by the ManagingOwner.  The Managing Owner has adopted an Executive Code of Ethics thatapplies to its principal executive officers, principal financial officer andprincipal accounting officer.  A copy of this Executive Code of Ethics maybe obtained at no charge by written request to Millburn Ridgefield Corporation,411 West Putnam Avenue, Greenwich, Connecticut 06830 or by calling 203-625-7554(ask for Client Services).

 

Item 11. Executive Compensation

 

TheTrust has no directors or officers. None of the directors or officers of theManaging Owner receive compensation from the Trust. The Managing Owner makesall trading decisions on behalf of the Trust. The Managing Owner receivesmonthly brokerage commissions of 0.583 of 1% of the Trust’s Net Assets (whichis reduced to 0.541 of 1%, 0.5 of 1% or 0.458 of 1% of Net Assets forUnitholders who invest amounts of $100,000,

 

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$500,000 or $1,000,000 or more, respectively, in the Trust and to 0.33of 1% in for Unitholders who invest through selling agent fee-based accounts)and an annual profit share of 20% of any new trading profit as defined.

 

Item12.   Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

TheTrust knows of no person who owns beneficially more than 5% of the Units. Allof the Trust’s managing owner interest is held by the Managing Owner.

 

(b)   Security Ownership of Management

 

Underthe terms of the Trust Agreement, the Trust’s affairs are managed by theManaging Owner, which has discretionary authority over the Trust’s trading. TheManaging Owner’s managing owner interest was valued at $4,646,863 as ofDecember 31, 2005, 1.145% of the Trusts’ total capital.

 

(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item 13.   Certain Relationships and Related Transactions

 

See “Item11. Executive Compensation” and “Item 12. Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $26,641,625 in brokerage feesand allocated $0 in profit share to the New Profits Memo Account for the yearended December 31, 2005. The Managing Owners’ managing owner interest showed anallocation of income of $410,167 for the year ended December 31, 2005. TheManaging Owner has paid certain administrative expenses to third-parties onbehalf of the Trust, related to legal, accounting, auditing, printing, postageand similar administrative expenses, and has been or will be reimbursed withoutinterest by the Trust. At December 31, 2005, the Trust owed the Managing Owner$88,928 in connection with expenses paid on the Trust’s behalf. The Trust isprohibited from making any loans.

 

Item14.   Principal Accountant Fees and Services

 

(1)           AuditFees

 

Theaggregate fees for professional services rendered by Deloitte & Touche LLPin connection with their audit of the Trust’s financial statements and reviewsof the financial statements included in the quarterly reports on Form 10-Q andin connection with the statutory and regulatory filings for the years endedDecember 31, 2005 and 2004 were approximately $52,200 and $42,000, respectively.

 

Theaggregate fees for professional services rendered by Ernst & Young LLP inconnection with their reviews of the financial statements included in thequarterly reports on Form 10-Q and in connection with the statutory andregulatory filings for the year ended December 31, 2004 were approximately$26,667.

 

(2)           Audit-RelatedFees

 

Therewere no fees for assurance and related services rendered by Deloitte &Touche LLP or Ernst & Young LLP for the year ended December 31, 2005 andDecember 31, 2004.

 

26

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(3)           TaxFees

 

Theaggregate fees for professional services rendered by Deloitte & Touche LLPfor tax compliance, advice or planning services rendered by Deloitte &Touche LLP for the benefit of the Trust for the years ended December 31, 2005and 2004 was approximately $45,000 and $35,468, respectively.

 

(4)           AllOther Fees

 

None

 

(5)           Pre-ApprovalPolicies

 

Theboard of directors of the Managing Owner pre-approves the engagement of theTrust’s auditor for all services to be provided by the auditor.

 

PART IV

 

Item15.   Exhibitsand Financial Statement Schedules 

 

(a)(1)   Financial Statements

 

The following areincluded with the 2005 Report of Independent Registered Public Accounting Firm,a copy of which is filed herewith as Exhibit 13.01.

 

Affirmationof Millburn Ridgefield Corporation

Reportof Independent Registered Public Accounting Firm

Statementsof Financial Condition

CondensedSchedules of Investments

Statementsof Operations

Statementsof Changes in Trust Capital

Statementsof Financial Highlights

Notesto Financial Statements

 

(a)(2)   Financial Statement Schedules

 

AllSchedules are omitted for the reason that they are not required or are notapplicable because equivalent information has been included in the financialstatements or the notes thereto.

 

(a)(3)   Exhibits as required by Item 601 of Regulation S-K

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description**                                                        |
|-----------------|------------|------------------------------------------------------------------------|
|            |       |                                                                   |
| 13.01           |       | 2005 Report of  Independent Registered Public Accounting Firm          |
|            |       |                                                                   |
| 13.02           |       | 2003 Report of  Independent Auditors                                   |
|            |       |                                                                   |
| 31.1            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
|            |       |                                                                   |
| 31.2            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
|            |       |                                                                   |
| 31.3            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Financial Officer |

 

27

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|   |   |                                                       |
|--------|--------|------------------------------------------------------------|
| 32.1   |   | Section 1350  Certification of Principal Executive Officer |
|   |   |                                                       |
| 32.2   |   | Section 1350  Certification of Principal Executive Officer |
|   |   |                                                       |
| 32.3   |   | Section 1350  Certification of Principal Financial Officer |

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Registration Statement (File No.333-67072) filed on August 8, 2001 on Form S-1 under the Securities Act of1933.

 

3.01           Certificateof Trust of Registrant.

 

Thefollowing exhibits are incorporated by reference from the exhibits of the samenumber and description filed with Amendment No. 1 to the Trust’s RegistrationStatement (File No. 333-67072) filed on January 11, 2002 on Form S-1 under theSecurities Act of 1933.

 

1.01           Form ofSelling Agreement among the Trust, the Managing Owner and the Amended SellingAgent (including the form of Additional Selling Agent Agreement).

 

10.02         Formof Customer Agreement among the Trust, the Managing Owner and UBS PaineWebberInc. Selling Agent in its capacity as a futures commission merchant.

 

The followingexhibits are incorporated by reference from the exhibits of the same number anddescription filed with Post-Effective Amendment No. 1 to the Trust’sRegistration Statement (File No. 333-67072) filed December 16, 2002 on Form S-1under the Securities Act of 1933.

 

10.01         Formof Subscription Agreement and Power of Attorney

 

10.03         Formof Wholesaling Agreement

 

Thefollowing exhibits are incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Annual Report on March 31, 2003on Form 10-K under the Securities Exchange Act of 1934.

 

10.01         Formof Customer Agreement with Deutsche Bank Securities Inc.

 

10.02         Formof Foreign Exchange and Options Master Agreements with Morgan Stanley & Co.Incorporated and Morgan Stanley Capital Group Inc. (with schedules).

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with Registrant’s Registration Statement (File No.333-109122) filed September 25, 2003 on Form S-1 under the Securities Act of1933.

 

3.03           Form ofThird Amended and Restated Declaration and Agreement of Trust of Registrant.

 

28

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SIGNATURES

 

Pursuantto the requirements of Section 13 or 15(d) of the Securities Exchange Actof 1934, the Registrant has duly caused this report to be signed on its behalfby the undersigned, thereunto duly authorized, on the 30th day ofMarch, 2006.

 

 
|   | GLOBAL MACRO  TRUST |
|--------|---------------------|
|   |                |
|   | By:                 | Millburn  Ridgefield Corporation, |
|   |                | Managing Owner |
|   |                |
|   | By:                 | /s/ Harvey Beker |   |
|   |                | Harvey Beker |   |
|   |                | Co-Chief  Executive Officer |   |
|        |                     |  |  |  |

 

Pursuantto the requirements of the Securities Exchange Act of 1934, this report hasbeen signed below by the following persons on behalf of the Managing Owner ofthe Registrant in the capacities and on the date indicated.

 
| **Signature**           | ** ** | **Title with  Managing Owner**  | ** **                             | **Date** |
|-------------------------|------------|---------------------------------|----------------------------------------|----------|
|                    |       |                            |                                   |     |
| /s/ Harvey Beker        |       |                            | Co-Chief                               |     | March 30,  2006 |
|  Harvey Beker      |       | Executive  Officer and Director |                                   |     |
|                    |       | (Principal  Executive Officer)  |                                   |     |
|                    |       |                            |                                   |     |
| /s/ George E. Crapple   |       |                            | Co-Chief Executive                     |     | March 30, 2006 |
|  George E. Crapple |       | Officer and  Director           |                                   |     |
|                    |       | (Principal  Executive Officer)  |                                   |     |
|                    |       |                            |                                   |     |
| /s/ Gregg  Buckbinder   |       |                            | Chief Financial  and Operating Officer |     | March 30,  2006 |
|  Gregg Buckbinder  |       | (Principal  Financial Officer)  |                                   |     |
|                    |       |                            |                                   |     |
| /s/ Tod A. Tanis        |       |                            | Vice President                         |     | March 30, 2006 |
|  Tod A. Tanis      |       | (Principal  Accounting Officer) |                                   |     |
|                         |            |                                 |                                        |          |  |  |

 

(Beingthe principal executive officers, the principal financial officer and principalaccounting officer, and a majority of the directors of Millburn RidgefieldCorporation)

 

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March 30, 2006

 
| By     | /s/ Harvey Beker            |   |
|--------|-----------------------------|--------|
|   | Harvey Beker                |   |
|   | Co-Chief  Executive Officer |   |
|        |                             |        |  |

 

29

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EXHIBIT INDEX

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description**                                                        |
|-----------------|------------|------------------------------------------------------------------------|
|            |       |                                                                   |
| 13.01           |       | 2005 Report of  Independent Registered Public Accounting Firm          |
|            |       |                                                                   |
| 13.02           |       | 2003 Report of  Independent Auditors                                   |
|            |       |                                                                   |
| 31.1            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
|            |       |                                                                   |
| 31.2            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Executive Officer |
|            |       |                                                                   |
| 31.3            |       | Rule  13a-14(a)/15d-14(a) Certification of Principal Financial Officer |
|            |       |                                                                   |
| 32.1            |       | Section 1350  Certification of Principal Executive Officer             |
|            |       |                                                                   |
| 32.2            |       | Section 1350  Certification of Principal Executive Officer             |
|            |       |                                                                   |
| 32.3            |       | Section 1350  Certification of Principal Financial Officer             |

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Registration Statement (File No.333-67072) filed on August 8, 2001 on Form S-1 under the Securities Act of1933.

 
| 3.01 | Certificate of  Trust of Registrant. |
|------|--------------------------------------|

 

Thefollowing exhibits are incorporated by reference from the exhibits of the samenumber and description filed with Amendment No. 1 to the Trust’s RegistrationStatement (File No. 333-67072) filed on January 11, 2002 on Form S-1 under theSecurities Act of 1933.

 
| 1.01    | Form of Selling  Agreement among the Trust, the Managing Owner and the Selling Agent  (including the form of Additional Selling Agent Agreement).         |
|---------|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
| Amended |
|    |                                                                                                                                                      |
| 10.02   | Form of Customer  Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc.  Selling Agent in its capacity as a futures commission merchant. |

 

The followingexhibits are incorporated by reference from the exhibits of the same number anddescription filed with Post-Effective Amendment No. 1 to the Trust’sRegistration Statement (File No. 333-67072) filed December 16, 2002 on Form S-1under the Securities Act of 1933.

 
| 10.01  | Form of  Subscription Agreement and Power of Attorney |
|--------|-------------------------------------------------------|
|   |                                                  |
| 10.03  | Form of  Wholesaling Agreement                        |

 

Thefollowing exhibits are incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Annual Report on March 31, 2003on Form 10-K under the Securities Exchange Act of 1934.

 
| 10.01  | Form of Customer  Agreement with Deutsche Bank Securities Inc.                                                                                             |
|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |                                                                                                                                                       |
| 10.02  | Form of Foreign  Exchange and Options Master Agreements with Morgan Stanley & Co.  Incorporated and Morgan Stanley Capital Group Inc. (with schedules) |

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with Registrant’s Registration Statement (File No.333-109122) filed September 25, 2003 on Form S-1 under the Securities Act of1933.

 
| 3.03 | Form of Third  Amended and Restated Declaration and Agreement of Trust of Registrant. |
|------|---------------------------------------------------------------------------------------|

 

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