**EXHIBIT13.01**

##  

 

FINANCIAL STATEMENTS

 

Global Macro Trust

 

Period from July 1, 2002(commencement of operations)

to December 31, 2002

with Report ofIndependent Auditors

 

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Global Macro Trust

 

FinancialStatements

 

 

Period from July1, 2002 (commencement of operations)

to December 31,2002

 

 

**Contents**

 

 
| Affirmation of Millburn Ridgefield Corporation |
|------------------------------------------------|
|                                           |
| Report of Independent Auditors                 |
|                                           |
| Financial Statements                           |
|                                           |
| Statement of Financial Condition               |
| Condensed Schedule of Investments              |
| Statement of Operations                        |
| Statement of Changes in Trust Capital          |
| Statement of Financial Highlights              |
| Notes to Financial Statements                  |

 

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Global Macro Trust

 

Affirmation of MillburnRidgefield Corporation

 

 

In compliance with theCommodity Futures Trading Commission’s regulations, I hereby affirm that to thebest of my knowledge and belief, the information contained in the statement offinancial condition of Global Macro Trust, at December 31, 2002, including thecondensed schedule of investments, and the related statements of operations,changes in trust capital and financial highlights for the period from July 1,2002 (commencement of operations) to December 31, 2002 are complete andaccurate.

 

 
| Harvey Beker, Co-Chief  Executive Officer |
|-------------------------------------------|
| Millburn Ridgefield  Corporation          |
| Managing Owner of  Global Macro Trust     |

 

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Report of IndependentAuditors

 

To the Unitholdersof

Global Macro Trust

 

We have audited theaccompanying statement of financial condition of Global Macro Trust (the “Trust”),as of December 31, 2002, including the condensed schedule of investments, andthe related statement of operations, changes in trust capital and financialhighlights for the period from July 1, 2002 (commencement of operations) toDecember 31, 2002. These financial statements are the responsibility of theManaging Owner. Our responsibility is to express an opinion on these financialstatements based on our audit.

 

We conducted our audit inaccordance with auditing standards generally accepted in the United States.Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements are free of materialmisstatement. An audit includes examining, on a test basis, evidence supportingthe amounts and disclosures in the financial statements. An audit also includesassessing the accounting principles used and significant estimates made bymanagement, as well as evaluating the overall financial statement presentation.We believe that our audit provides a reasonable basis for our opinion.

 

In our opinion, thefinancial statements and financial highlights referred to above present fairly,in all material respects, the financial position of Global Macro Trust atDecember 31, 2002, and the results of its operations, changes in trust capitaland financial highlights for the period from July 1, 2002 (commencement ofoperations) to December 31, 2002, in conformity with accounting principlesgenerally accepted in the United States.

 
| Ernst & Young LLP |
|-----------------------|
|                  |
| New York, New York    |
| February 21, 2003     |

 

1

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Global Macro Trust

###  

Statement of FinancialCondition

 

December 31, 2002

 
| **Assets**                                                                            |   |       |       |
|---------------------------------------------------------------------------------------|--------|------------|------------|
| Equity  in trading accounts:                                                          |   |       |       |
| Due  from brokers                                                                     |   | $          | 103,163    |   |
| Cash  denominated in foreign currencies (cost $15,089)                                |   | 14,578     |       |
| Investments  in U.S. Treasury notes—at market value (amortized cost $6,559,838)  |   | 6,563,623  |       |
| Net  unrealized appreciation on open contracts                                        |   | 1,456,794  |       |
| Total  equity in trading accounts                                                     |   | 8,138,158  |       |
|                                                                                  |   |       |       |
| Investments  in U.S. Treasury notes—at market value (amortized cost $14,734,405) |   | 14,742,908 |       |
| Cash  and cash equivalents                                                            |   | 4,302,660  |       |
| Accrued  interest receivable                                                          |   | 272,157    |       |
| Due  from Managing Owner                                                              |   | 5,037      |       |
| Total  assets                                                                         |   | $          | 27,460,920 |   |
|                                                                                  |   |       |       |
| **Liabilities and trust capital**                                                     |   |       |       |
| Due  to brokers                                                                       |   | $          | 98,042     |   |
| Subscriptions  from Unitholders received in advance                                   |   | 2,177,000  |       |
| Accrued  brokerage commissions                                                        |   | 118,363    |       |
| Redemptions  payable to Unitholders                                                   |   | 31,392     |       |
| Total  liabilities                                                                    |   | 2,424,797  |       |
|                                                                                  |   |       |       |
| **Trust  capital**                                                                    |   |       |       |
| Managing  Owner interest (2,156.443 Managing Owner units outstanding)                 |   | 2,221,645  |       |
| Unitholders  (22,144.905 units of beneficial interest outstanding)                    |   | 22,814,478 |       |
| Total  trust capital                                                                  |   | 25,036,123 |       |
| Total  liabilities and trust capital                                                  |   | $          | 27,460,920 |   |
|                                                                                  |   |       |       |
| Net  asset value per unit of beneficial interest                                      |   | $          | 1,030.24   |   |

 

*See accompanying notes.*

 

2

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Global Macro Trust

 

Condensed Schedule ofInvestments

 

December 31, 2002

 
| **Futures and Forward Contracts**                       |   | **Net Unrealized  Appreciation/  (Depreciation)  as a% of  Trust Capital** |   | **Net********Unrealized********Appreciation/********(Depreciation)** |       |
|---------------------------------------------------------|--------|----------------------------------------------------------------------------|--------|----------------------------------------------------------------------|------------|
|                                                    |   |                                                                       |   |                                                                 | ** ** |
| **Futures contracts purchased**                         |   |                                                                       |   |                                                                 |       |
| Energies                                                |   | 0.86                                                                       | %      | $                                                                    | 215,684    | ** ** |
| Interest rates                                          |   | 3.04                                                                       | %      | 761,553                                                              | ** ** |
| Metals                                                  |   | 0.58                                                                       | %      | 145,044                                                              | ** ** |
| Softs                                                   |   | 0.01                                                                       | %      | 1,035                                                                |       |
| Total  futures contracts purchased                      |   | 4.49                                                                       | %      | 1,123,316                                                            |       |
|                                                    |   |                                                                       |   |                                                                 |       |
| **Futures  contracts sold**                             |   |                                                                       |   |                                                                 |       |
| Grains                                                  |   | 0.16                                                                       | %      | 40,213                                                               |       |
| Metals                                                  |   | (0.12                                                                      | )%     | (29,044                                                              | )          |
| Softs                                                   |   | 0.03                                                                       | %      | 6,712                                                                |       |
| Stock  indices                                          |   | 0.31                                                                       | %      | 78,661                                                               |       |
| Total  futures contracts sold                           |   | 0.38                                                                       | %      | 96,542                                                               |       |
| **Total  investments in futures contracts**             |   | 4.87                                                                       | %      | 1,219,858                                                            |       |
|                                                    |   |                                                                       |   |                                                                 |       |
| Total  currency forward contracts purchased             |   | 1.42                                                                       | %      | 356,526                                                              |       |
| Total  currency forward contracts sold                  |   | (0.47                                                                      | )%     | (119,590                                                             | )          |
| **Total  investments in forward contracts**             |   | 0.95                                                                       | %      | 236,936                                                              |       |
|                                                    |   |                                                                       |   |                                                                 |       |
| **Total  investments in futures and forward contracts** |   | 5.82                                                                       | %      | $                                                                    | 1,456,794  |   |

* *

*See accompanying notes.*

 

3

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| **Face  Amount** |   | **Investments  in U.S. Treasury notes**                                      |   | **Value as a  %  of Trust  Capital** |   | **Value** |       |
|------------------|--------|------------------------------------------------------------------------------|--------|--------------------------------------|--------|-----------|------------|
|             |   |                                                                         |   |                                 |   |      |       |
|             |   | **Government**—**United States**                                        |   |                                 |   |      |       |
| $7,000,000       |   | U.S. Treasury notes,  4.625%, 02/28/2003                                     |   | 28.11                                | %      | $         | 7,037,187  |   |
|   7,100,000 |   | U.S. Treasury notes,  4.000%, 04/30/2003                                     |   | 28.61                                | %      | 7,164,344 |       |
|   7,000,000 |   | U.S. Treasury notes,  3.875%, 07/31/2003                                     |   | 28.38                                | %      | 7,105,000 |       |
|             |   | **Total investments in U.S. Treasury notes****(amortized cost $21,294,243)** |   | 85.10                                | %      | $         | 21,306,531 |   |

* *

*See accompanying notes.*

 

4

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Global Macro Trust

 

Statement of Operations

 

Period from July1, 2002 (commencement of operations)to December 31, 2002

 
| **Investment income**                                                            |   |      | ** ** |
|----------------------------------------------------------------------------------|--------|-----------|------------|
| Interest  income                                                                 |   | $         | 110,054    |   |
|                                                                             |   |      |       |
| **Expenses**                                                                     |   |      |       |
| Brokerage  commissions                                                           |   | 431,467   |       |
| Administrative  expenses                                                         |   | 83,736    |       |
| Total  expenses                                                                  |   | 515,203   |       |
| Administrative  expenses reimbursed by Managing Owner                            |   | (45,293   | )          |
| Net  expenses                                                                    |   | 469,910   |       |
|                                                                             |   |      |       |
| Net  investment loss                                                             |   | (359,856  | )          |
|                                                                             |   |      |       |
| **Net  realized and unrealized gains (losses)**                                  |   |      |       |
| Net  realized gains (losses) on closed positions:                                |   |      |       |
| Futures  and forward contracts                                                   |   | (508,799  | )          |
| Foreign  exchange transactions                                                   |   | (2,042    | )          |
| Net  change in unrealized appreciation (depreciation):                           |   |      |       |
| Futures  and forward contracts                                                   |   | 1,456,794 |       |
| Foreign  exchange translations                                                   |   | (4,520    | )          |
| Net  gains from U.S. Treasury notes:                                             |   |      |       |
| Net  change in unrealized appreciation                                           |   | 12,288    |       |
| Total  net realized and unrealized gains                                         |   | 953,721   |       |
|                                                                             |   |      |       |
| Net  income                                                                      |   | 593,865   |       |
| Less  profit share to Managing Owner                                             |   | 70,924    |       |
| Net  income after profit share to Managing Owner                                 |   | $         | 522,941    |   |
|                                                                             |   |      |       |
| Net  income after profit share to Managing Owner per unit of beneficial interest |   | $         | 30.24      |   |

* *

*See accompanying notes.*

 

5

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Global Macro Trust

 

Statement of Changes inTrust Capital

 

Period from July1, 2002 (commencement of operations)to December 31, 2002

 
|                                                                            |   | **Unitholders** |       | **New  Profit  Memo  Account** |   | **Managing  Owner** |   | **Total**  |      |
|---------------------------------------------------------------------------------|--------|-----------------|------------|--------------------------------|--------|---------------------|--------|------------|-----------|
| Opening  capital balance                                                        |   | $               | 1,858      |                           | $      | —              |   | $          | 404       |   | $ | 2,262 |   |
| Proceeds  from sale of 24,250.912 units of beneficial interest                  |   | 22,561,036      |       | —                         |   | 2,001,600           |   | 24,562,636 |      |
| Net  income (loss)                                                              |   | 372,546         |       | (14                            | )      | 150,409             |   | 522,941    |      |
| Redemptions  (123.426 units of beneficial interest)                             |   | (120,962        | )          | —                         |   | (1,678              | )      | (122,640   | )         |
| Units  of beneficial interest allocated 103.036                                 |   | —          |       | —                         |   | —              |   | —     |      |
|                                                                            |   |            |       |                           |   |                |   |       |      |
| Managing  Owner’s allocation—New Profit (68.826 Managing Owner units) |   | —          |       | 314                            |   | 70,610              |   | 70,924     |      |
| Transfer  of New Profit memo account to Managing Owner                          |   | —          |       | (300                           | )      | 300                 |   | —     |      |
| Trust  capital at December 31, 2002                                             |   | $               | 22,814,478 |                           | $      | —              |   | $          | 2,221,645 |   | $ | 25,036,123 |   |

* *

*See accompanying notes.*

 

6

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Global Macro Trust

 

Statement of FinancialHighlights

 

Period from July1, 2002 (commencement of operations)to December 31, 2002

 
| **Per  unit operating performance (for a unit of****beneficial interest outstanding throughout the  period)** |   |     | ** ** |
|---------------------------------------------------------------------------------------------------------------|--------|----------|------------|
| Net  income from operations:                                                                                  |   |     | ** ** |
| Net  investment loss                                                                                          |   | $        | (28.53     | ) |
| Net  realized and unrealized gains on trading of futures and forward contracts                                |   | 63.47    |       |
| Net  gains from U.S. Treasury notes                                                                           |   | 0.83     |       |
| Net  income from operations                                                                                   |   | 35.77    |       |
| Less  profit share allocated to Managing Owner                                                                |   | 5.53     |       |
| Net  income after profit share allocation                                                                     |   | 30.24    |       |
| Net  asset value, beginning of period                                                                         |   | 1,000.00 |       |
| Net  asset value, end of period                                                                               |   | $        | 1,030.24   |   |
|                                                                                                          |   |     |       |
| **Returns (not annualized)**                                                                                  |   |     |       |
| Total return before profit share allocation                                                                   |   | 3.57     | %          |
| Profit share allocation                                                                                       |   | (0.55    | )          |
| Total return after profit share allocation                                                                    |   | 3.02     | %          |
|                                                                                                          |   |     |       |
| **Ratios  to average trust capital (annualized)**                                                             |   |     |       |
| Net  investment loss*                                                                                         |   | (6.22    | )%         |
|                                                                                                          |   |     |       |
| Total  expenses*                                                                                              |   | 7.83     | %          |
| Profit  share allocation                                                                                      |   | 1.21     |       |
| Total expenses and profit share allocation*                                                                   |   | 9.04     | %          |

 

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*   Such percentages are after expensereimbursements. The Managing Owner voluntarily reimbursed the Trust for certainadministrative expenses (equal to 0.39% of average trust capital) in 2002.

 

*See accompanying notes.*

 

7

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Global Macro Trust

 

Notesto Financial Statments

 

December 31, 2002

**1. Organization**

 

Global Macro Trust (the“Trust”) was organized on July 23, 2001, under the Delaware Business Trust Act.At such time, original capital of $400 by the Millburn Ridgefield Corporation(the “Managing Owner”) and $1,600 by the Initial Unitholder, an affiliatedentity, was contributed to the Trust. The Trust commenced trading operations onJuly 1, 2002. The Trust engages in the speculative trading of futures andforward contracts. The instruments that are traded by the Trust are volatileand involve a high degree of market risk.

 

The Managing Ownermanages the business of the Trust and makes all trading decisions.

 

The Managing Owner hasagreed to make additional capital contributions, subject to certain possibleexceptions, in order to maintain its capital account at not less than 1% of thetotal outstanding capital contributions in the Trust (including the Managing Owner’scontributions) but in no event shall the Managing Owner invest less than$500,000 of the total capital contributions in the Trust. The Managing Ownerand the holders (the “Unitholders”) of the Units of Beneficial Interest(“Units”) issued by the Trust will share in any profits and losses of the Trustin proportion to the percentage interest owned by each, before brokeragecommissions and profit share allocations. As of February 11, 2003, there areapproximately $220 million of Units authorized for sale.

 

The Trust will terminateon December 31, 2031 or at an earlier date if certain conditions occur asdefined in the Declaration of Trust and the Trust Agreement (the “Agreement”).

 

**2. Summary of Significant Accounting Policies**

** **

**Investments**

 

The Trust records itstransactions in futures and forwards, including related income and expense, ona trade date basis.

 

Open futures contractsare valued at market value and open forward contracts are valued at fair valuewhich is based on pricing models that consider the time value of money and thecurrent market and contractual prices of the underlying financial instruments.Realized gains (losses) and changes in unrealized appreciation (depreciation)on futures and forward contracts are recognized in the periods in which thecontracts are closed or the changes occur, and are included in net realized andunrealized gains (losses).

 

8

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Investments in U.S.Treasury notes are valued at market value. The Trust amortizes premiums andaccretes discounts on U.S. Treasury notes using the straight-line method, whichapproximates the effective interest method. Such securities are normally ondeposit with financial institutions as collateral for performance of theTrust’s trading obligations or held for safekeeping in a custody account.

 

**ForeignCurrency Translation**

** **

Assets and liabilitiesdenominated in foreign currencies are translated at quoted prices of suchcurrencies. Purchases and sales of investments are translated at the exchangerate prevailing when such transactions occurred.

 

**IncomeTaxes**

** **

Income taxes have notbeen provided, as each Unitholder is individually liable for the taxes, if any,on their share of the Trust’s income and expenses.

 

**Fair Value of Financial Instruments**

** **

The fair value of theTrust’s assets and liabilities, which qualify as financial instruments underStatement of Financial Accounting Standards No. 107, “Disclosures about FairValue of Financial Instruments,” approximates the carrying amounts presented inthe statement of financial condition.

 

**Estimates******

 

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States requires management to make estimates andassumptions that affect the amounts and disclosures reported in the financialstatements. Actual results could differ from these estimates.

 

**Right ofOffset**

** **

The customer agreementsbetween the Trust and its brokers give the Trust the legal right to netunrealized gains and losses. Unrealized gains and losses related to offsettingtransactions with these brokers are reflected on a net basis in the equity intrading accounts in the statement of financial condition.

 

9

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**3. Trust Agreement**

 

The Trust pays brokeragefees to the Managing Owner at the annual rate of 7.0% of the Trust’s averagemonth-end Net Assets of Unitholders’ interests (prior to reduction for accruedbrokerage commissions or Profit Share). Unitholders who make net capital investmentsin the Trust of $100,000 or more or who invest through asset-based fee or fixedfee investment programs are charged less than the annual brokerage rate of 7.0%as follows:

 

| **Net Capital Investments**                   |   | **Brokerage Fee** |   |
|-----------------------------------------------|--------|-------------------|--------|
| $  100,000 to $499,999                        |   | 6.5               | %      |
| $  500,000 to $999,999                        |   | 6.0               | %      |
| Greater  than $1,000,000                      |   | 5.5               | %      |
| Asset-based  or fixed fee investment programs |   | 4.0               | %      |

 

Brokerage fees will notbe charged to capital accounts of the Managing Owner, its principals, theirrespective affiliates or the New Profit memo Account. In order to maintain auniform Net Asset Value per Unit, additional units are issued to Unitholderswho are charged less than a 7.0% brokerage fee.

 

The Managing Owner, notthe Trust, will pay all routine costs of executing and clearing the Trust’sfutures trades, including brokerage commissions payable to the clearingbrokers. The Managing Owner also pays, from its own funds, selling commissionson all sales of Units.

 

The Agreement providesthat the Managing Owner’s profit share, equal to 20% of New Trading Profits (asdefined in the Agreement) in excess of the highest cumulative level of TradingProfit as of any previous calendar year-end, is charged to the Unitholders’capital accounts. However, for Unitholders’ redemptions during the year, theprofit share calculation shall be computed as though the redemption date was atyear-end.

 

Any profit share chargedis added to the Managing Owner’s capital account to the extent net taxablecapital gains are allocated to the Managing Owner, and the remainder, if any,of such profit share is added to the New Profit memo account. The ManagingOwner may not make any withdrawal from the balance in the New Profit memoaccount. If, at the end of a subsequent year, net taxable gains are allocatedto the Managing Owner in excess of such year’s profit share, a correspondingamount is transferred from the New Profit memo account to the Managing Owner’scapital account.

 

10

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TheTrust will pay its legal, accounting, auditing, printing, postage and similaradministrative expenses (including the Trustee’s fees, the charges of anoutside accounting services agency and the expenses of updating theProspectus), as well as extraordinary costs. The Managing Owner, at its discretion,may reimburse certain expenses paid by the Trust. At December 31, 2002, theTrust is owed $5,037 from the Managing Owner related to this arrangement.

 

Unitsmay be redeemed, at the option of any Unitholder, at Net Asset Value (asdefined in the Agreement) as of the close of business on the last business dayof any calendar month on ten business days’ written notice to the ManagingOwner. Unitholders who redeem Units at or prior to the end of the first andsecond successive six-month periods after such Units are sold may be assessedredemption charges of their redeemed Units’ Net Asset Value as of thedate of redemption as follows:

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

 

All redemption chargeswill be paid to the Managing Owner.

 

**4. Due from/to Brokers**

 

At December 31, 2002, thedue from brokers and due to brokers balances in the statement of financialcondition include cash receivable from and payable to brokers.

 

**5. Trading Activities**

** **

The Trust conducts itstrading activities with various brokers acting either as a broker orcounterparty to various transactions. At December 31, 2002, net cash andtreasury notes aggregating $6,583,322, included in the Trust’s equity intrading accounts, were held by such brokers in segregated accounts ascollateral as required by U.S. Commodity Futures Trading Commission’sregulations or by the counterparty bank or broker. Such collateral can be soldor repledged by the counterparties.

 

11

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**6. Derivative Instruments**

** **

The Trust is party toderivative financial instruments in the normal course of its business. Thesefinancial instruments include futures and forward contracts which may be tradedon an exchange (“exchange-traded contracts”) or over-the-counter (“OTCcontracts”).

 

The Trust records itsderivative activities on a mark-to-market basis as described in Note 2.For OTC contracts, the Trust enters into master netting agreements with itscounterparties, therefore, assets represent the Trust’s unrealized gains, lessunrealized losses for OTC contracts in which the Trust has a master netting agreement.Similarly, liabilities represent net amounts owed to counterparties on OTCcontracts.  

 

Futures contracts areagreements to buy or sell an underlying asset or index for a set price in thefuture. Initial margin deposits are made upon entering into futures contractsand can be either in cash or treasury securities. Open futures contracts arerevalued on a daily basis to reflect the market value of the contracts at theend of each trading day. Variation margin payments are received or made,depending upon whether unrealized gains or losses are incurred. When thecontract is closed, the Trust records a realized gain or loss equal to thedifference between the value of the contract at the time it was opened and thetime it was closed. The Trust bears the market risk that arises from changes inthe value of these financial instruments.

 

Forward contracts enteredinto by the Trust represent a firm commitment to buy or sell an underlyingcurrency at a specified value and point in time based upon an agreed or contractedquantity. The ultimate gain or loss is equal to the difference between thevalue of the contract at the onset and the value of the contract at settlementdate and is included in the statement of operations.

 

Each of these financialinstruments is subject to various risks similar to those related to theunderlying financial instruments, including market risk, credit risk andsovereign risk.

 

Market risk is thepotential change in the value of the instruments traded by the Trust due tomarket changes, including interest and foreign exchange rate movements andfluctuations in futures or security prices. Market risk is directly impacted bythe volatility and liquidity in the markets in which the related underlyingassets are traded. The financial instruments traded by the Trust containvarying degrees of off-balance sheet risk whereby changes in the market valuesof the futures and forward contracts underlying the financial instruments orthe Trust’s satisfaction of the obligations may exceed the amount recognized inthe statement of financial condition.

 

12

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Creditrisk is the possibility that a loss may occur due to the failure of acounterparty to perform according to the terms of a contract. Credit risk isnormally reduced to the extent that an exchange or clearing organization actsas a counterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the financialintegrity of the exchange. In the case of OTC transactions, the Trust must relysolely on the credit of the individual counterparties. The contract amounts ofthe forward and futures contracts do not represent the Trust’s risk of loss dueto counterparty nonperformance. The Trust’s exposure to credit risk associatedwith counterparty nonperformance of these contracts is limited to theunrealized gains inherent in such contracts, which are recognized in thestatement of financial condition.

 

Derivativecontracts with a net unrealized gain (asset) of $236,936 are related to forwardcontracts with the remaining unrealized gains related to exchange-tradedfutures contracts. The primary difference in the risks associated with OTCcontracts and exchange-traded contracts is credit risk. The Trust views itscredit exposure to be $1,055,434, representing the fair value of OTC contractsin an unrealized gain position.

 

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

 

TheTrust is subject to sovereign risk such as the risk of restrictions beingimposed by foreign governments on the repatriation of cash and to political oreconomic uncertainties. Net unrealized appreciation (depreciation) onfutures and forward contracts are denominated in the functional currency. Cashsettlement of futures and forward contracts is made in the local currency(settlement currency) and then translated to the functional currency.

 

13

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Net unrealizedappreciation (depreciation) on futures and forward contracts by settlementcurrency type, denominated in the functional currency, at December 31, 2002 isdetailed below:

 
| **Currency Type —********Futures  and Forward Contracts** |   | **Percent of********Unrealized  to  Total Net  Unrealized** |   | **Total Net********Unrealized********Appreciation/********(Depreciation)** |          |
|----------------------------------------------------------------|--------|-------------------------------------------------------------|--------|----------------------------------------------------------------------------|---------------|
|                                                           |   |                                                        |   |                                                                       |          |
| British  pound                                                 |   | 3.01                                                        | %      | $                                                                          | 43,809        |   |
| Euro                                                           |   | 43.90                                                       |   | 639,511                                                                    |          |
| Hong  Kong dollar                                              |   | 2.41                                                        |   | 35,167                                                                     |          |
| Japanese  yen                                                  |   | (2.00                                                       | )      | (29,089                                                                    | )             |
| Norwegian  krona                                               |   | (1.01                                                       | )      | (14,716                                                                    | )             |
| U.S.  dollar                                                   |   | 53.69                                                       |   | 782,112                                                                    |          |
| **Total**                                                      |   | **100.00**                                                  | **%**  | **$**                                                                      | **1,456,794** | ** ** |

 

**7. Financial Highlights**

** **

Per unit operatingperformance is calculated based on Unitholders’ trust capital taken as a whole.An individual Unitholder’s per unit operating performance may vary from theseper unit values based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

The ratios are calculatedbased on Unitholders’ trust capital taken as a whole and are annualized. Thecomputation of such ratios based on the amount of net investment income (loss),total expenses and profit share allocation to an individual Unitholder’s trustcapital balance may vary from these ratios based on the timing of capitaltransactions and differences in individual Unitholder’s brokerage fee andprofit share allocation arrangements.

 

Returns are calculatedfor Unitholders taken as a whole and are not annualized. An individualUnitholder’s returns may vary from these returns based on the timing of capitaltransactions and differences in individual Unitholder’s brokerage fee andprofit share allocation arrangements.  

 

14

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**8. Financial Statement Information Prior to Commencement ofOperations**

 

Financial statements forthe period from July 23, 2001 (date of inception) to December 31, 2001 and forthe period from January 1, 2002 to June 30, 2002 are presented below:

 

***Statement of Financial Condition at December 31, 2001***

 
| **Assets**                                                        |   |   |       |
|-------------------------------------------------------------------|--------|--------|------------|
| Equity  in trading accounts:                                      |   |   |       |
| Due  from brokers                                                 |   | $      | 2,018      |   |
| Total  equity in trading accounts                                 |   | $      | 2,018      |   |
|                                                              |   |   |       |
| **Liabilities and trust capital**                                 |   |   | ** ** |
| Total  liabilities                                                |   | — |       |
|                                                              |   |   |       |
| **Trust  capital**                                                |   |   | ** ** |
| Managing  Owner interest (0.400 Managing Owner units outstanding) |   | 404    |       |
| Unitholders  (1.600 units of beneficial interest outstanding)     |   | 1,614  |       |
| Total  trust capital                                              |   | 2,018  |       |
| Total  liabilities and trust capital                              |   | $      | 2,018      |   |
|                                                              |   |   |       |
| Net  asset value per unit of beneficial interest                  |   | $      | 1,008.75   |   |

 

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***Statements of Operations for the period from July 23, 2001(date of inception) to December 31, 2001 and for the period from January 1,2002 to June 30, 2002:***

 
|                   |   | **Period  from  July 23, 2001  (date of  inception)  to December  31, 2001** |       | **Period  from  January 1,  2002  to June 30,  2002*** |       |
|------------------------|--------|------------------------------------------------------------------------------|------------|--------------------------------------------------------|------------|
| **Investment income**  |   |                                                                         | ** ** |                                                   | ** ** |
| Interest  income       |   | $                                                                            | 18         |                                                   | $          | 244 |   |
|                   |   |                                                                         |       |                                                   |       |
| **Expenses**           |   |                                                                         |       |                                                   |       |
| Total  expenses        |   | —                                                                       |       | —                                                 |       |
| Net  investment income |   | 18                                                                           |       | 244                                                    |       |
| Net  income            |   | $                                                                            | 18         |                                                   | $          | 244 |   |
|                   |   |                                                                         |       |                                                   |       |
| Net  income per unit   |   | $                                                                            | 8.75       |                                                   | $          | 152.50 |   |

 

***Statements of Changes in Trust Capital for the period fromJuly 23, 2001 (date of inception) to December 31, 2001 and for the period fromJanuary 1, 2002 to June 30, 2002:***

 
|                                                    |   | **Unitholder** |   | **New  Profit  Memo  Account** |   | **Managing  Owner** |   | **Total** |   |
|---------------------------------------------------------|--------|----------------|--------|--------------------------------|--------|---------------------|--------|-----------|--------|
| Proceeds  from sale of 2.0 units ofbeneficial  interest |   | $              | 1,600  |                           | $      | —              |   | $         | 400    |   | $ | 2,000 |   |
| Net  income                                             |   | 14             |   | —                         |   | 4                   |   | 18        |   |
| Trust  capital at December 31, 2001                     |   | 1,614          |   | —                         |   | 404                 |   | 2,018     |   |
| Net  income*                                            |   | 244            |   | —                         |   | —              |   | 244       |   |
| Trust  capital at June 30, 2002                         |   | $              | 1,858  |                           | $      | —              |   | $         | 404    |   | $ | 2,262 |   |

 

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***Financial Highlights for the period from July 23, 2001 (dateof inception) to December 31, 2001 and for the period from January 1, 2002 toJune 30, 2002:***

*** ***
|                                                                                     |   | **Period  from  July 23, 2001  (date of  inception) to  December  31, 2001** |   | **Period  from  January 1,  2002 to June  30, 2002*** |   |
|------------------------------------------------------------------------------------------|--------|------------------------------------------------------------------------------|--------|-------------------------------------------------------|--------|
| Total return (not annualized)                                                            |   | 0.88                                                                         | %      | 15.12                                                 | %      |
|                                                                                     |   |                                                                         |   |                                                  |   |
| Ratios  of net investment income to average Unitholder’s trust capital (annualized) |   | 1.98                                                                         | %      | 28.11                                                 | %      |

 

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* Interest income for theperiod from January 1, 2002 to June 30, 2002 reflects interest earned onsubscriptions received in advance from Unitholders in June 2002 which were noteffective until July 1, 2002, when the Trust commenced operations. Thisinterest income has been reallocated among all Unitholders effective July 1,2002. The net income allocated between the Unitholder and the Managing Ownerfor the period from January 1, 2002 to June 30, 2002 reflects actual allocationof this interest income.

 

**9. Subsequent Events**

 

As of February 21, 2003,Unitholders made subscriptions and redemptions of $6,451,479 and $21,702,respectively.

 

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