**UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION**

 

**Washington, D.C. 20549**

 

**FORM 10-K**

** **

**ý****  Annual Report Pursuant toSection 13 or 15(d)**

**of theSecurities Exchange Act of 1934**

**For the Fiscal Year Ended:  December 31, 2003**

 

**or**

 

**o****  Transition Report Pursuant toSection 13 or 15(d)**

**of theSecurities 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 ofBeneficial Interest**

(Titleof Class)

 

Indicate by check mark whether the registrant(1) filed all reports required to be filed by Section 13 or 15(d) ofthe Securities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2)has been subject to such filing requirements for the past 90 days.

 

| Yes  ý |   | No  o |
|------------------|--------|------------|

 

Indicate by check mark if disclosure of delinquentfilers pursuant to Item 405 of Regulations S-K is not contained herein, andwill not be contained, to the best of registrant’s knowledge, in definitiveproxy or information statements incorporated by reference in Part III of thisForm 10-K or any amendment to this Form 10-K. ý

 

Indicate by check mark whether the registrant is anaccelerated filer (defined in Rule 12b-2 of the Act).

 

| Yes  o |   | No  ý |
|-------------|--------|-----------------|

 

Registrant’s Units of Beneficial Interest are nottraded on any market and, accordingly, have no aggregate market value.  The net asset value of the Units ofBeneficial Interest as of June 30, 2003 held by non-affiliates was$105,442,659.

 

Documents Incorporated by Reference

 

Registrant’s FinancialStatements for the year ended December 31, 2003 and for the Period from July 1,2002 (commencement of operations) to December 31, 2002 with Report ofIndependent Auditors, the annual report to security holders for the fiscal yearended December 31, 2003, is incorporated by reference into Part II Item 8 andPart IV hereof and filed as an exhibit herewith.

 

 

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PART I

 

Item 1.   Business

 

(a)   General development of business

 

Global Macro Trust (the“Trust”) is a Delaware statutory trust organized July 23, 2001 pursuant to aDeclaration of Trust and Trust Agreement (the “Trust Agreement”), under theDelaware Statutory Trust Act.  The Trustoriginally filed a registration statement, under the Securities Act of 1933, asamended, with the Securities and Exchange Commission to register $50 million ofunits of beneficial interest (the “Units”), which registration statement becameeffective March 26, 2002.  Between April1, 2002 and June 30, 2002 (the “Initial Offering”), the Units were publiclyoffered at an initial price of $1,000 per Unit.  The proceeds of the Initial Offering and interest thereon wereheld in an account in the name of the Trust at FBR National Bank & Trust,Bethesda, Maryland, until July 1, 2002 at which time an aggregate of $1,290,457was turned over to the Trust and the Trust commenced operations.  The Trust has subsequently filed additionalregistration statements with the Securities and Exchange Commission to bringthe total dollar amount of Units registered for sale to approximately$1,277,434,000,  and a total of$242,535,355 of Units have been sold to the public as of December 31,2003.  The net asset value of a Unitoriginally sold for $1,000 as of July 1, 2002, was $1,008.56 as of December 31,2003.  As of December 31, 2003, Unitswere being offered on a monthly basis at Net Asset Value per unit.  The Units are offered through a number ofselling agents, including UBS Financial Services Inc. (formerly known as UBSPaineWebber Inc.), on a best efforts basis.

 

The Trust engages inspeculative trading in the futures, options and forward markets.  The amount of capital raised for the Trustshould not have a significant impact on its operations, as the Trust has nosignificant capital expenditure or working capital requirements other than topay trading losses, brokerage fees and charges.

 

Millburn RidgefieldCorporation (the “Managing Owner”), a Delaware corporation, is the managingowner and the commodity trading advisor for the Trust.  The Managing Owner invested $400 in theTrust as an initial capital contribution to the Trust and $2,000,000 in theTrust at the outset of trading and subsequently contributed an additional$1,600 as of December 31, 2002.  Afterreflecting a net gain of $150,399 and profit share of $70,924, this investmenttotaled (after deductions for redemptions of $1,678) $2,221,645, as ofDecember 31, 2002.  The ManagingOwner contributed an additional $450,000 to the Trust during 2003.  After reflecting a net gain of $141,117 anda profit share allocation to the New Profits Memo Account for the benefit ofthe Managing Owner of $6,465, the Managing Owner’s investment in the Trusttotaled (after deductions for redemptions of $71,794) $2,747,433 as of December31, 2003.

 

(b)   Financial information about industry segments

 

The Trust’s businessconstitutes only one segment, i.e., a speculative commodity pool.  The Trust does not engage in sales of goodsand services.  Financial informationregarding the Trust’s business is set forth in Item 6 “Selected Financial Data”and in the Trust’s Financial Statements included as Exhibit 13.01 to thisreport.

 

(c)   Narrative description of business

 

The Trust engages in thespeculative trading of futures, options on futures and forward contracts.  The Trust’s sole trading advisor is theManaging Owner.  The Managing Ownertrades the Trust’s assets, pursuant to its Diversified Portfolio, in theagricultural, metals, energy, interest rate and stock indices futures andfutures options markets and in the currency markets, trading primarily forwardcontracts 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 regards its approach as 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 the money managementprinciples described below, which may be revised from time to time.

 

The first step in thetrading methodology is developing intermediate- to long-term trading systemswhich generate buy or sell decisions in a particular market based on thedirection of the price trend in the market. Over the

 

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last 30 years, theManaging Owner has developed hundreds of trading systems.  These ‘heritage’ systems are augmented fromtime to time with the results of research. The Managing Owner tests the full range of the systems in each marketagainst five, ten or fifteen years of historical data to simulate the resultsthe system would have achieved in the markets had the system been used to maketrading decisions during the simulation period.  It then calculates (i) the profitability of the systems and (ii)a number of statistics designed to identify high quality profits such as (a)the percentage of profitable trades, (b) the worst losses experienced, (c) theaverage giveback of maximum profits on profitable trades and (d) Sharpe ratio(risk-adjusted returns).

 

Because there arehundreds of systems in the Managing Owner’s heritage universe, there arebillions of potential combinations of systems for each market.  The Managing Owner’s System SelectionAlgorithm simulates these potential combinations and searches for both anoptimal number and combination of systems in each market.  The number of systems ranges from 5 to 8,and the combination selected will maximize Sharpe ratio, a risk-adjustedmeasure of returns, subject to minimum levels of diversification among systemsin the group.

 

The Managing Owner’sPortfolio Allocation Algorithm was designed to select a portfolio with what theManaging Owner believes to be ‘optimal’ risk/reward statistics — Sharpe ratio,volatility and drawdown.  It is designedto dynamically shift the portfolio risk allocations into the markets andsectors which offer the best potential for profit.  There are currently over 30 markets included in the PortfolioAllocation Algorithm universe for potential allocation — markets deemed‘tradable’.  Using return streams foreach market (generated by the system combination selected by the SystemSelection Algorithm), the Portfolio Allocation Algorithm simulatesapproximately 1 billion potential combinations of risk allocations.  Each market and sector in the universe isconstrained to a maximum allocation based on real-world considerations.  In any single market, the constraints arebased primarily on liquidity and market access.  Sectors are constrained largely by externally imposed portfolioconsiderations, such as would occur in a ‘financial only’, a ‘currency only’ ora ‘commodity oriented’ portfolio.  Nominimum allocation is specified, so markets can (and do) have allocations ofzero.  The Portfolio AllocationAlgorithm reallocates the portfolio when called-for changes exceed certainthresholds.  Its proposed allocationsare reviewed by the Managing Owner’s Asset Allocation Committee and theCommittee may make adjustments in such allocations using its judgment andexperience.

 

Risk is a function of bothprice level and price volatility.  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 isdesigned to measure the risk in the portfolio’s position in a market andsignals a decrease in position size when risk increases and an increase inposition size when risk decreases.  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, and control of leverage and portfoliosize.  There are, however, norestrictions on the amount of leverage the Managing Owner may use at any giventime.

 

Pursuant to the Trust'sDeclaration of Trust and Trust Agreement (the "Trust Agreement"), theManaging Owner receives a flat-rate monthly brokerage fee equal to 0.58 of 1%of the month-end Net Assets (a 7.0% annual rate).  The Managing Owner charges less than the annual brokerage rate of7% to those subscribers who either invest in amounts of $100,000 or more in theUnits or subscribe without incurring the selling commission paid by theManaging Owner.  These reductions in theTrust Agreement have no effect on other investors.  The Managing Owner also receives a profit share equal to 20% ofany new trading profit as defined in the Trust Agreement, determined as of theend of each calendar year.  The annualprofit share is calculated net of brokerage fees and administrative expensesand excluding interest income.

 

The Trust’sorganizational and initial offering costs were paid by the Managing Ownerwithout reimbursement from the Trust or its Unitholders.  The Trust pays its administrative expenses,including costs incurred in connection with the continuing offering of theTrust’s Units, and any extraordinary expenses which it may incur.  The Managing Owner pays all the routinecosts of executing and clearing the Trust’s trades and all compensation due tothe selling agents.

 

UBS Financial ServicesInc. acts as the primary futures broker for the Trust.  The Trust also executes futures trades withDeutsche Bank Securities, Inc.  TheTrust executes currency forward trades with Morgan Stanley & Co.Incorporated, Deutsche Bank AG and Merrill Lynch, Pierce, Fenner & SmithInc.  The Trust pays “bid ask” spreadson its forward trades, as such spreads are incorporated into the pricing offorward contracts.  The Managing Ownermonitors the Trust’s trades to ensure that the prices it receives arecompetitive.

 

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The Trust is open-endedand may offer Units at net asset value as of the first day of each month.  Unitholders may redeem any or all of theirUnits upon 10 business days’ written notice to the Managing Owner at theirnet asset value as of the last day of any month.  Units redeemed on or prior to the end of the first six-month andsecond successive five-month periods after their sale will pay a redemptioncharge of 4% and 3%, respectively, of the net asset value at which they areredeemed.  Redemption charges arereduced, 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.  Theseredemption charges are paid to the Managing Owner.  Requests for redemption will be honored and payment will be made,except in the event of highly unusual market disruptions, within 15 businessdays of the effective date of redemption.

 

The Trust’s cash andTreasury instruments are used by the Trust to engage in its trading activitiesand as reserves to support that trading. The Trust’s assets deposited with the Trust’s futures brokers as marginare maintained in “customer segregated funds accounts” or “foreign futures andforeign options secured amount accounts” and are held in cash, or U.S. Treasuryinstruments.  Trust assets not depositedas margin are maintained in bank or brokerage accounts and are held primarilyin bank money market funds or U.S. Treasury instruments.

 

The Trust does not engagein lending (other than through permitted securities investments).  The Managing Owner does not anticipate makingany distributions of Trust profits, if any.

 

Regulation

 

Under the CommodityExchange Act, as amended (the “CEA”), commodity exchanges and futures tradingare subject to regulation by the Commodity Futures Trading Commission (the“CFTC”).  National Futures Association(“NFA”), a “registered futures association” under the CEA, is the onlynon-exchange self-regulatory organization for futures industryprofessionals.  The CFTC has delegatedto NFA responsibility for the registration of “commodity trading advisors,”“commodity pool operators,” “futures commission merchants,” “introducingbrokers” and their respective associated persons and “floor brokers” and “floortraders.”  The CEA requires commoditypool operators and commodity trading advisors, such as the Managing Owner, andcommodity brokers or futures commission merchants, such as the UBS FinancialServices Inc. and Deutsche Bank A.G., to be registered and to comply withvarious reporting and record keeping requirements.  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 the registration of theManaging Owner as a commodity pool operator or a commodity trading advisor wereterminated or suspended, the Managing Owner would be unable to continue tomanage the business of the Trust. Should the Managing Owner’s registration be suspended, termination of theTrust might result.

 

As members of NFA, theManaging Owner and the Trust’s futures brokers are subject to NFA standardsrelating to fair trade practices, financial condition and customerprotection.  As the self-regulatory bodyof the futures industry, NFA promulgates rules governing the conduct of futuresindustry professionals and disciplines those professionals which do not complywith such standards.

 

In addition to suchregistration requirements, the CFTC and certain commodity exchanges haveestablished limits on the maximum net long or net short position which anyperson may hold or control in particular commodities.  Most exchanges also limit the changes in futures contract pricesthat may occur during a single trading day.  Currency forward contracts are not subject to regulation by any UnitedStates Government agency.

 

(i)   through(xii) - not applicable.

 

(xiii)   theTrust has no employees.

 

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(d)   Financialinformation about geographic areas

 

The Trust does not engagein material operations in foreign countries (although it does trade from theUnited States in foreign currency forward contracts and on foreign futuresexchanges), nor is a material portion of its revenues derived from foreigncustomers.

 

(e)   Availableinformation

 

The Trust filesquarterly, annual and current reports with the Securities and ExchangeCommission (“SEC”).  These reports areavailable to read and copy at the SEC’s Public Reference Facilities inWashington, 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 website where these reports are posted.  However, the Trust’s filings are posted onthe SEC’s website at http://www.sec.gov.

 

Item 2.   Properties

 

The Trust does not own oruse any physical properties in the conduct of its business.  The Managing Owner or an affiliate performadministrative services for the Trust from their offices.

 

Item 3.   Legal Proceedings

 

The Managing Owner is notaware of any pending legal proceedings to which either the Trust is a party orto which any of its assets are subject. In addition there are no pending material legal proceedings involvingthe 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.

 

There is no tradingmarket for the Units, and none is likely to develop.  Units may be redeemed upon 10 business days’ written noticeto the Managing Owner at their net asset value as of the last day of any month,subject to certain early redemption charges.

 

(b)   Holders.

 

As of December 31, 2003,there were 12,799 holders of Units.

 

(c)   Dividends.

 

No distributions ordividends have been made on the Units, and the Managing Owner has no presentintention to make any.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans.

 

None.

 

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

 

On July 23, 2001, theTrust sold $1,600 of units of beneficial interest to an initial unitholder andthe Managing Owner contributed $400 to permit the formation of the Trust inpreparation for the filing of the Trust initial Registration Statement on FormS-1.  The sale of the units was made toan investment fund for which the Managing Owner serves as general partner, andwas exempt from registration under the Securities Act of 1933 pursuant toSection 4(2) thereof.  No discounts orcommissions were paid in connection with the sale and no other offeree orpurchaser was solicited.  There havebeen no other sales of unregistered securities of the Trust.

 

Item 6.   Selected Financial Data

 

The following is asummary of operations for the fiscal years 2003 and 2002 and total assets ofthe Trust at December 31, 2003 and 2002. The Trust commenced trading operations on July 1, 2002.

 
|                                                          |   | **For the  Year Ended  December 31, 2003** |        | **For the  Period Ended  December 31, 2002** |   |
|---------------------------------------------------------------|--------|--------------------------------------------|-------------|----------------------------------------------|--------|
| Revenue:                                                      |   |                                       |        |                                         |   |
| Total net  realized and unrealized gains  (losses)* |   | $                                          | (4,050,627  | )                                            | $      | 953,721 |   |
| Interest income                                               |   | 1,320,805                                  |        | 110,054                                      |   |
|                                                          |   |                                       |        |                                         |   |
| Expenses:                                                     |   |                                       |        |                                         |   |
| Profit share                                                  |   | 6,465                                      |        | 70,924                                       |   |
| Administrative  expenses                                      |   | 693,544                                    |        | 38,443                                       |   |
| Brokerage  Commissions                                        |   | 8,331,480                                  |        | 431,467                                      |   |
|                                                          |   |                                       |        |                                         |   |
| Net Income  (loss)                                            |   | $                                          | (11,761,311 | )                                            | $      | 522,941 |   |
|                                                          |   |                                       |        |                                         |   |
| Total assets                                                  |   | $                                          | 248,208,066 |                                         | $      | 27,460,920 |   |
| Total  Unitholders’ capital                              |   | $                                          | 226,192,543 |                                         | $      | 22,814,478 |   |
| Net asset value  per Unit                                     |   | $                                          | 1,008.56    |                                         | $      | 1,030.24 |   |
| Increase  (decrease) in net asset value per   Unit  |   | $                                          | (21.68      | )                                            | $      | 30.24 |   |

 

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*From trading of futuresand forward contracts, foreign exchange transactions and U.S. Treasuryobligations

 

Item 7.   Management’s Discussion and Analysis of FinancialCondition and Results of Operations

 

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

 

 

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Capital Resources

 

Units may be offered forsale as of the beginning, and may be redeemed as of the end, of each month.

 

The amount of capitalraised for the Trust should not have a significant impact on its operations, asthe Trust has no significant capital expenditure or working capitalrequirements other than for monies to pay trading losses, brokerage commissionsand charges.  Within broad ranges ofcapitalization, the Managing Owner’s trading positions should increase ordecrease in approximate proportion to the size of the Trust.

 

The Trust raisesadditional capital only through the sale of Units and capital is increasedthrough trading profits (if any).  TheTrust does not engage in borrowing.

 

The Trust trades futures,options and forward contracts on interest rates, commodities, currencies,metals, energy and stock indices.  Riskarises from changes 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 isgenerally to be measured by the face amount of the futures positions acquiredand 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.  The risks associated with exchange-tradedcontracts are generally perceived to be less than those associated withover-the-counter transactions, because exchanges typically (but notuniversally) provide clearinghouse arrangements in which the collective credit(in some cases limited in amount, in some cases not) of the members of theexchange is pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Marginswhich may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may require margin in theover-the-counter markets.

 

The Managing Owner hasprocedures in place to control market risk, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring of openpositions; (2) diversifying positions among various markets;(3) limiting the assets committed as margin, generally within a range of15% to 35% of an account’s Net Assets at exchange minimum margins, (includingimputed margins on forward positions) although the amount committed to marginat any time may be substantially higher; (4) prohibiting pyramiding (thatis, using unrealized profits in a particular market as margin for additionalpositions in the same market); and (5) changing the equity utilized for tradingby an account solely on a controlled periodic basis rather than as an automaticconsequence of an increase in equity resulting from trading profits.  The Trust controls credit risk by dealingexclusively with large, well capitalized financial institutions as brokers andcounterparties.

 

The financial instrumentstraded by the Trust contain varying degrees of off-balance sheet risk wherebychanges in the market values of the futures and forward contracts underlyingthe financial instruments or the Trust’s satisfaction of the obligations mayexceed the amount recognized in the statement of financial condition of theTrust.

 

Due to the nature of theTrust’s business, substantially all its assets are represented by cash andUnited States government obligations, while the Trust maintains its marketexposure through open futures and forward contract positions.

 

The Trust’s futurescontracts are settled by offset and are cleared by the exchange clearinghousefunction.  Open futures positions aremarked to market each trading day and the Trust’s trading accounts are debitedor credited accordingly.  Options onfutures contracts are settled either by offset or by exercise.  If an option on a future is exercised, theTrust is assigned a position in the underlying future which is then settled byoffset.  The Trust’s spot and forwardcurrency transactions conducted in the interbank market are settled by nettingoffsetting positions held with the same counterparty; net positions are thensettled by entering into offsetting positions and by cash payments.

 

Liquidity

 

The Trust’s assets aregenerally held as cash or cash equivalents which are used to margin the Trust’sfutures positions and withdrawn, as necessary, to pay redemptions andexpenses.  Other than potentialmarket-imposed limitations on liquidity, due, for example, to daily pricefluctuation limits, which are inherent in the Trust’s futures and forwardtrading, the Trust’s assets are highly liquid and are expected to remainso.  During its operations throughDecember 31, 2003, the Trust experienced no meaningful periods of illiquidityin any of the numerous markets traded by the Managing Owner.

 

The Trust records itstransactions in futures and forward currency contracts, including relatedincome and expenses, on a trade date basis. Open futures contracts are valued at market value and open forwardcurrency contracts are valued at fair value, which is based on pricing modelsthat consider the time value of money and the current market and contractualprices of the underlying financial instruments.  Realized gains and losses and changes

 

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in unrealized appreciation and depreciation on futures and forwardcurrency contracts are recognized in the periods in which the contracts areclosed or the changes occur.  Based onthe nature of the business and operations of the Trust, the Managing Ownerbelieves that no assumptions relating to the application of critical accountingpolicies other than those currently used could reasonably affect reportedamounts.

 

The Trust has nooff-balance sheet arrangements that have or are reasonably likely to have acurrent or future effect on its financial condition, changes in financialcondition, revenues or expenses, results of operations, liquidity, capitalexpenditures or capital resources that is material to investors.

 

The Trust does not enterinto any contractual obligations or commercial commitments to make futurepayments that would affect its liquidity or capital resources.  The Trust’s sole business is trading futuresand forward currency contracts, both long (contracts to buy) and short(contracts to sell).  All such contractsare settled by offset, not delivery. Substantially all such contacts are for settlement within one year ofthe trade date and substantially all such contracts are held by the Trust forless than one year before being offset. The Trust’s Financial Statements, included as Exhibit 13.01 to thisreport, present a Condensed Schedule of investments setting forth netunrealized appreciation (depreciation) of the Trust’s open future and forwardcurrency contracts, both long and short, at December 31, 2003.

 

Results of Operations

 

*Performance Summary*

 

The Trust’s successdepends on the Managing Owner’s ability to recognize and capitalize on trendsand other profit opportunities in different sectors of the world economy.  The Managing Owner’s trading methods areconfidential, so that substantially the only information that can be furnishedregarding the Trust’s results of operations is its performance record.  Unlike most operating businesses, generaleconomic or seasonal conditions have no direct effect on the profit potentialof the Trust, while, at the same time, its past performance is not necessarilyindicative of future results.  Becauseof the speculative nature of its trading, operational or economic trends havelittle relevance to the Trust’s results. The Managing Owner believes, however, that there are certain marketconditions — for example, markets with strong price trends — in which the Trusthas a better opportunity of being profitable than in others.  The Trust commenced trading operations July1, 2002.

 

*2003*

 

During 2003, the Trust suffered net losses of $4,050,627from its trading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$8,331,480 were paid or accrued.  TheTrust allocated a profit share to the New Profits Memo Account for the benefitof the Managing Owner of $6,465. Interest income of $1,320,805 partially offset the Trust’s expensesresulting in a net loss (inclusive of administrative expenses) of $11,761,311and a 2.10% decrease in the Net Asset Value per Unit.  An analysis of the trading gain (loss) by sector is as follows:

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

 

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*While the Trust sufferednet dollar trading losses during 2003, there was a percentage trading gain inthe aggregate sectors due to the timing of additional capital contributions andmonthly volatility.

 

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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.  Thesebroad movements brought with them a sizable profit for the portfolio. However,after slightly favorable summer results, interest rate and energy marketssuccumbed to volatility without sustained trends. Therefore, losses in thesetwo sectors outweighed gains from currency, stock index, and metals tradingover 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 — Decemberperiod.  Lastly, trading of agriculturalcommodities produced losses throughout the year.

 

*2002*

 

During 2002, the Trustachieved net gains of $953,721 from its trading operations (including foreignexchange transactions and translations). Brokerage fees of $431,467 were paid or accrued.  The Trust paid a profit share to theManaging Owner of $70,924.  Interestincome of $110,054 partially offset the Trust’s expenses resulting in a netgain (inclusive of administrative expenses) of $522,941 and a 3.02% increase inthe Net Asset Value per Unit.  Ananalysis of trading gain (loss) by sector is as follows:

 
| **Sector**    |   | **% Gain  (Loss)** |   |
|---------------|--------|--------------------|--------|
|          |   |               |   |
| Interest Rate |   | 8.31               | %      |
| Currencies    |   | (3.58              | )%     |
| Stock Indices |   | 1.05               | %      |
| Metals        |   | (0.15              | )%     |
| Energy        |   | (0.33              | )%     |
| Grains        |   | 0.36               | %      |
| Softs         |   | (0.10              | )%     |
|          |   |               |   |
| Total         |   | 5.56               | %      |

 

Interest rate tradingand, to a lesser extent, stock index trading were profitable during the Trust’sfirst six months of operation.  On theother hand, the Trust’s currency trading generated losses, and trading in theenergy, metals and agricultural sectors had only marginal impacts onperformance.

 

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Sluggish worldwideeconomic activity, the continuing plunge of stock prices and the flight tosafety and quality prompted by geopolitical uncertainties triggered large,persistent capital flows into government bills, notes and bonds worldwide.  Accordingly, the Trust’s long positions inU.S., European, and Japanese interest rate futures generated sizable gainswhile the Trust’s trading in Japanese, German and Hong Kong stock futures wasmodestly profitable.  As tensions in theMiddle East heightened at year-end, energy prices moved higher and the Trust’slong energy positions were very profitable, largely offsetting losses sufferedearlier in the year when energy prices were moving erratically without atrend.  Similarly, a long gold positionwas profitable in December as geopolitical tensions heated up, and this gainoffset most of the losses from the Trust’s non-precious metals trading wheretrends were absent.  The Trust sustainedlosses on both long and short dollar positions as the Japanese yen fluctuatederratically in the Y116-Y126 range during the later half of the year.  These losses, and those experienced fromtrading the Korean won, overwhelmed trading gains made on long positions in theeuro and South African rand.  TheTrust’s non-dollar cross rate trading was also fractionally negative for theyear.  In the agricultural sector,profits from a long corn trade more than offset a loss from trading cotton,producing a fractional profit for the sector overall by year-end.

 

Item 7A.  Quantitative and Qualitative DisclosuresAbout Market Risk

 

**Introduction**

 

***Past Results Are Not Necessarily Indicative of FuturePerformance***

 

The Trust is aspeculative commodity pool.  Unlike anoperating company, the risk of market sensitive instruments is integral, notincidental, to the Trust’s main line of business.

 

Market movements resultin frequent changes in the fair market value of the Trust’s open positions and,consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors,including the level and volatility of interest rates, exchange rates, equityprice levels, the market value of financial instruments and contracts, thediversification effects among the Trust’s open positions and the liquidity ofthe markets in which it trades.

 

The Trust can rapidlyacquire and/or liquidate both long and short positions in a wide range ofdifferent markets.  Consequently, it isnot possible to predict how a particular future market scenario will affect performance,and the Trust’s past performance is not necessarily indicative of its futureresults.

 

Value at Risk is ameasure of the maximum amount which the Trust could reasonably be expected tolose in a given market sector.  However,the inherent uncertainty of the Trust’s speculative trading and the recurrencein the markets traded by the Trust of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Trust’s experience to date (*i.e.,*“risk of ruin”).  In light of theforegoing as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification included in this sectionshould not be considered to constitute any assurance or representation that theTrust’s losses in any market sector will be limited to Value at Risk or by theTrust’s attempts to manage its market risk.

 

Materiality, as used inthis section “Quantitative and Qualitative Disclosures About Market Risk,” isbased on an assessment of reasonably possible market movements and thepotential losses caused by such movements, taking into account the leverage,optionality and multiplier features of the Trust’s market sensitiveinstruments.

 

Quantifying the Trust’s Trading Value at Risk

 

***Quantitative Forward-Looking Statements***

 

*The following quantitativedisclosures regarding the Trust’s market risk exposures contain“forward-looking statements” within the meaning of the safe harbor from civilliability provided for such statements by the Private Securities LitigationReform Act of 1995 (set forth in Section 27A of the Securities Act and Section21E of*

 

9

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*theSecurities Exchange Act of 1934).  Allquantitative disclosures in this section are deemed to be forward-lookingstatements for purposes of the safe harbor, except for statements of historicalfact.*

 

The Trust’s risk exposurein the various market sectors traded by the Managing Owner is quantified belowin terms of Value at Risk.  Due to theTrust’s mark-to-market accounting, any loss in the fair value of the Trust’sopen positions 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).

 

Exchange maintenancemargin requirements have been used by the Trust as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed 95-99% of the maximum one-day losses inthe fair value 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 dealers and exchanges using historical price studiesas well as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one-day price fluctuation.

 

In the case of marketsensitive instruments which are not exchange traded (almost exclusivelycurrencies in the case of the Trust), dealers’ margins have been used as Valueat Risk.

 

The fair value of theTrust’s futures and forward positions does not have any optionalitycomponent.  However, the Managing Ownermay also trade commodity options on behalf of the Trust.  The Value at Risk associated with optionswould be reflected in the margin requirement attributable to the instrument underlyingeach option.

 

In quantifying theTrust’s Value at Risk, 100% positive correlation in the different positionsheld in each market risk category has been assumed.  Consequently, the margin requirements applicable to the opencontracts have simply been aggregated to determine each trading category’saggregate Value at Risk.  Thediversification effects resulting from the fact that the Trust’s positions arerarely, if ever, 100% positively correlated have not been reflected.

 

***The Trust’s Trading Value at Risk in Different MarketSectors***

 

The following tablesindicate the average, highest and lowest amounts of trading Value at Riskassociated with the Trust’s open positions by market category for fiscal years2003 and 2002.  During fiscal year 2003and 2002, the Trust’s average total capitalization was approximately$124,568,851 and 15,101,275, respectively. The Trust commenced operations July 1, 2002.

 
| **Fiscal  Year 2002** |   |
|-----------------------|--------|
| **Market Sector**     |   | **Average  Value at Risk** |   | **% of  Average  Capitalization** |   | **Highest  Value At Risk** |   | **Lowest  Value At Risk** |   |
|                  |   |   |   |   |   |   |   |   |   |
| Interest Rates        |   | $ | 1.1 |   | 7.0 | % | $ | 1.4 |   | $ | 0.7 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Currencies            |   | $ | 3.3 |   | 21.0 | % | $ | 4.8 |   | $ | 1.8 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Stock Indices         |   | $ | 0.6 |   | 4.0 | % | $ | 0.6 |   | $ | 0.5 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Metals                |   | $ | 0.2 |   | 1.3 | % | $ | 0.2 |   | $ | 0.1 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Commodities           |   | $ | 0.1 |   | 0.3 | % | $ | 0.1 |   | $ | 0 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Energy                |   | $ | 0.6 |   | 4.3 | % | $ | 0.6 |   | $ | 0.5 |   |
|                  |   |   |   |   |   |   |   |   |   |
| Total                 |   | $ | 5.9 |   | 37.9 | % |   |   |   |   |

 

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Average, highest andlowest Value at Risk amounts relate to the quarter-end amounts for the thirdand fourth calendar quarter-ends during the fiscal year.  Average Capitalization is the average of theTrust’s capitalization at the end of the third and fourth calendar quarters of fiscalyear 2002.  Dollar amounts representmillions of dollars.

 
| **Fiscal  Year 2003** |   |
|-----------------------|--------|
| **Market Sector**     |   | **Average  Value at Risk** |   | **% of  Average  Capitalization** |   | **Highest  Value At Risk** |   | **Lowest  Value At Risk** |   |
|                  |   |   |   |   |   |   |   |   |   |
| Interest Rates        |   | $ | 3.9 |   | 3.4 | % | $ | 7.3 |   | $ | 1.6 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Currencies            |   | $ | 32.8 |   | 25.2 | % | $ | 54.2 |   | $ | 8.1 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Stock Indices         |   | $ | 4.2 |   | 3.5 | % | $ | 7.8 |   | $ | 1.6 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Metals                |   | $ | 0.7 |   | 0.7 | % | $ | 1.2 |   | $ | 0.1 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Softs                 |   | $ | 0.3 |   | 0.4 | % | $ | 0.4 |   | $ | 0.1 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Energy                |   | $ | 1.9 |   | 1.5 | % | $ | 3.5 |   | $ | 0.6 |   |
|                  |   |   |   |   |   |   |   |   |   |   |   |   |
| Total                 |   | $ | 43.8 |   | 34.7 | % |   |   |   |   |

 

Average, highest andlowest Value at Risk amounts relate to the quarter-end amounts during thefiscal year.  Average Capitalization isthe average of the Trust’s capitalization at the end of each month during thefiscal year 2003.  Dollar amountsrepresent millions of dollars.

 

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

*** ***

The face value of themarket sector instruments held by the Trust is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Trust.  The magnitude of the Trust’s open positions creates a “risk ofruin” not typically found in most other investment vehicles.  Because of the size of its positions,certain market conditions — unusual, but historically recurring from time totime — could cause the Trust to incur severe losses over a short period oftime.  The foregoing Value at Risk table— as well as the past performance of the Trust — give no indication of this“risk of ruin.”

 

***Non-Trading Risk***

*** ***

The Trust has non-tradingmarket risk on its foreign cash balances not needed for margin.  However, these balances (as well as anymarket risk they represent) are immaterial.

 

The Trust also hasnon-trading cash flow risk as a result of holding a substantial portion (over80%) of its assets in U.S. Treasury notes and other short-term debt instruments(as well as any market risk they represent) for margin and cash managementpurposes.  Although the Managing Ownerdoes not anticipate that, even in the case of major interest rate movements,the Trust would sustain a material mark-to-market loss on its securitiespositions, if short-term interest rates decline so will the Trust’s cashmanagement income.  The Trust alsomaintains a portion (over 10%) of its assets in cash in interest-bearing bankaccounts.  These cash balances are alsosubject (as well as any market risk they represent) to cash flow risk, which isnot material.

 

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

 

*The following qualitativedisclosures regarding the Trust’s market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) the descriptions ofhow the Managing Owner manages the Trust’s primary market risk exposures —constitute forward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act.  The Trust’s primary market risk exposures aswell as the strategies used and to be used by the Managing Owner*for*managingsuch exposures are subject to numerous uncertainties, contingencies and risks,any one of which could cause the actual results of the Trust’s risk controls todiffer materially from the objectives of such strategies.  Government interventions, defaults andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the Trust.  There can be no assurance that the Trust’scurrent market exposure and/or risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term.  Investors must beprepared to lose all or substantially all of their investment in the Trust.*

 

The following were theprimary trading risk exposures of the Trust as of December 31, 2003, by marketsector.

 

FinancialInstruments.  Interestrate movements directly affect the price of the sovereign bond futurespositions held by the Trust and indirectly the value of its stock index andcurrency positions.  Interest ratemovements in one country as well as relative interest rate movements between countriesmay materially impact the Trust’s profitability.  The Trust’s primary interest rate exposure is to interest ratefluctuations in the United States and other major industrialized, or G-7,countries.  However, the Trust also maytake positions in futures contracts on the government debt of smallernations.  The Managing Owner anticipatesthat G-7 interest rates, both long-term and short-term, will remain the primarymarket exposure of the Trust for the foreseeable future.

 

Currencies.  Exchange rate risk is the principal marketexposure of the Trust.  The Trust’scurrency exposure is to exchange rate fluctuations, primarily fluctuationswhich disrupt the historical pricing relationships between different currenciesand currency pairs.  These fluctuationsare influenced by interest rate changes as well as political and generaleconomic conditions.  The Trust tradesin a large number of currencies, including cross-rates — i.e., positionsbetween two currencies other than the U.S. dollar.  However, the Trust’s major exposures have typically been in thedollar/yen, dollar/euro and dollar/Swiss positions.  The Managing Owner does not anticipate that the risk profile ofthe Trust’s currency sector will change significantly in the future.

 

Stock Indices.  The Trust’s primary equity exposure, throughstock index futures, is to equity price risk in the G-7 countries.  As of December 31, 2003, the Trust’s primaryexposures were in the E Mini Nasdaq 100 (United States), Simex (Singapore),TOPIX (Japan), DAX (German) and Hang Seng (Hong Kong) stock indices.  The Trust is primarily exposed to the riskof adverse price trends or static markets in the major U.S., European and Asianindices.  (Static markets would notcause major market changes but would make it difficult for the Trust to avoidnumerous small losses.)

 

Metals. The Diversified Portfolio used for the Trust trades precious and basemetals.  The Trust’s primary metalsmarket exposure is to fluctuations in the price of gold, aluminum, copper andzinc.

 

Agricultural.  The Trust’s primary commodities exposure isto agricultural price movements, which are often directly affected by severe orunexpected weather conditions.  Grains,coffee and cotton accounted for the substantial bulk of the Trust’s commoditiesexposure as of December 31, 2003.  TheTrust may, in the future, have material market exposure to live cattle, cocoa,orange juice and the soybean complex. However, the Trust will generally maintain an emphasis on grains,coffee, sugar and cotton.

 

Energy. The Trust’s primary energy market exposure is to gas and oil pricemovements, often resulting from political developments in the Middle East andeconomic conditions worldwide.  Energyprices are volatile and substantial profits and losses have been and are expectedto continue to be experienced in this market.

 

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

 

The following were theonly non-trading risk exposures of the Trust as of December 31, 2003.

 

Foreign CurrencyBalances.  The Trust’sprimary foreign currency balances are in Japanese yen, euro, British pounds andHong Kong dollars.  The Trust controlsthe non-trading risk of these balances by regularly converting these balancesback into dollars (no less frequently than twice a month).

 

SecuritiesPositions.  TheTrust’s only market exposure in instruments held other than for trading is inits securities portfolio.  The Trustholds only cash or interest-bearing, credit risk-free, short-term paper —typically U.S. Treasury instruments with durations no longer than 1 year.  Violent fluctuations in prevailing interestrates could cause immaterial mark-to-market losses on the Trust’s securities,although substantially all of these short-term instruments are held tomaturity.

 

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

 

The Managing Ownerattempts to control risk through the systematic application of its tradingmethod, which includes a multi-system approach to price trend recognition, ananalysis of market volatility, the application of certain money managementprinciples, which may be revised from time to time, and adjusting leverage orportfolio size.  In addition, theManaging Owner limits its trading to markets which it believes are sufficientlyliquid in respect of the amount of trading it contemplates conducting.

 

The Managing Ownerdevelops trading systems using various quantitative models and data and teststhose systems in numerous markets against historical data to simulate tradingresults.  The Managing Owner thenanalyzes the profitability of the systems looking at such features as thepercentage of profitable trades, the worst losses experienced, the averagegiveback of maximum profits on profitable trades and risk adjusted returns.  The performance of all systems in the marketare then ranked, and a number of systems (typically, five to eight) areselected which make decisions in different ways at different times.  This multi-system approach ensures that thetotal risk intended to be taken in a market is spread over several differentstrategies.

 

The Managing Owner alsoattempts to assess market volatility as a means of monitoring and evaluatingrisk.  In doing so, the Managing Owneruses a volatility overlay system which is designed to measure the risk in aportfolio’s position in a market and to signal a decrease in position size whenrisk increases and an increase in position size when risk decreases.  The Managing Owner’s volatility overlaymaintains overall portfolio risk and distribution of risk across markets withindesignated ranges.

 

The Managing Owner’s riskmanagement also focuses on money management principles applicable to aportfolio as a whole rather than to individual markets.  The first principle is reducing overallportfolio volatility through diversification among markets.  The Managing Owner seeks a portfolio inwhich returns from trading in different markets are not highly correlated, thatis, in which returns are not all positive or negative at the same time.  Additional money management principlesinclude limiting the assets committed as margin or collateral, generally withina range of 15% to 35% of an account’s net assets; avoiding the use ofunrealized profits in a particular market as margin for additional positions inthe same market; and changing the equity used for trading an account solely ona controlled periodic basis, not automatically due to an increase in equityfrom trading profits.

 

Another important riskmanagement function is the careful control of leverage or portfolio size.  Leverage levels are determined by simulatingthe entire portfolio over the past five or ten years to determine the worstcase experienced by the portfolio in the simulation period.  The worst case or peak-to-trough drawdown,is measured from a daily high in portfolio assets to the subsequent daily lowwhether that occurs days, weeks or months after the daily high.  If the Managing Owner considers the drawdowntoo severe, it reduces the leverage or portfolio size.

 

The Managing Ownerdetermines asset allocation among markets on the basis of a systematicportfolio allocation algorithm.  Fromtime to time the Managing Owner may adjust the size of a position, long orshort, in any given market.  Thisexercise of discretion generally occurs only in response to unusual marketconditions that may not have been factored into the design of the tradingsystems and is generally intended to reduce risk exposure.

 

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Decisions to make such adjustments require the exercise of judgment andmay include consideration of the volatility of the particular market; thepattern of price movements, both inter-day and intra-day; open interest; volumeof trading; changes in spread relationships between various forward contracts; andoverall portfolio balance and risk exposure.

 

Item 8.   Financial Statements and Supplementary Data

 

Financial statementsrequired by this item, including the report of Ernst & Young LLP, areincluded as Exhibit 13.01 to this report.

 

The following summarizedquarterly financial information presents the results of operations for thethree month periods ended March 31, June 30, September 30 and December 31, 2003and September 30 and December 31, 2002. The Trust commenced operations on July 1, 2002.  This information has not been audited.

 
|                                         |   | **4th  Quarter  2003** |    | **3rd  Quarter  2003** |   | **Second  Quarter  2003** |   | **First  Quarter  2003** |    |
|----------------------------------------------|--------|------------------------|---------|------------------------|--------|---------------------------|--------|--------------------------|---------|
| Income:                                      |   | $                      | 536,226 |                   | $      | 405,643                   |   | $                        | 262,222 |   | $ | 116,714 |   |
| Net Realized and  Unrealized Gains (Losses): |   | (14,263,411            | )       | 5,816,588              |   | 5,431,563                 |   | (1,035,367               | )       |
| Expenses:                                    |   | 3,817,948              |    | 2,995,704              |   | 1,609,241                 |   | 602,131                  |    |
| Net Income  (Loss):                          |   | (16,606,232            | )       | 2,680,497              |   | 3,685,720                 |   | (1,521,296               | )       |
| Net Income  (Loss) per Unit                  |   | (90.59                 | )       | 21.23                  |   | 51.33                     |   | (3.65                    | )       |
|                                              |        |                        |         |                        |        |                           |        |                          |         |  |  |  |  |

 
|                                         |   | **Fourth  Quarter  2002** |   | **Third  Quarter  2002** |   |
|----------------------------------------------|--------|---------------------------|--------|--------------------------|--------|
| Income:                                      |   | $                         | 73,119 |                     | $      | 36,935 |   |
| Net Realized and  Unrealized Gains (Losses): |   | (384,118                  | )      | 1,337,839                |   |
| Expenses:                                    |   | 327,432                   |   | 142,478                  |   |
| Net Income  (Loss):                          |   | (520,253                  | )      | 1,043,194                |   |
| Net Income  (Loss) per Unit                  |   | (41.06                    | )      | 71.30                    |   |
|                                              |        |                           |        |                          |        |  |  |

 

There were noextraordinary, unusual or infrequently occurring items recognized in anyquarter within the two most recent fiscal years, and the Trust has not disposedof any segments of its business.  Therehave been no year-end adjustments that are material to the results of anyfiscal quarter reported above.

 

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

 

On November 27, 2002, theBoard of Directors of the Managing Owner dismissed PricewaterhouseCoopers LLPas its independent auditor for the Trust and approved the engagement of Ernst& Young LLP as independent auditors for the Trust.

 

Disclosure regarding thechange of the Trust’s auditors was previously reported on the Trust’s currentreport on From 8-K filed December 3, 2002. There were no disagreements with PricewaterhouseCoopers LLP regardingaccounting principles or practices, financial statement disclosure or auditscope or procedure.

 

Item9A.   Controls and Procedures

 

The Managing Owner, with the participation of theManaging Owner’s principal executive officers and principal financial officer,has evaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Trust within 90 days of the filingdate of this annual report, and, based on their evaluation, have concluded thatthese disclosure controls and procedures are effective.  There were no significant

 

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changes in the Managing Owner’s internal controls with respect to theTrust or in other factors applicable to the Trust that could significantlyaffect these controls subsequent to the date of their evaluation.

 

PART III

 

Item10.   Directors and Executive Officers of the Registrant

 

(a,b)  Identification of Directors and ExecutiveOfficers

 

The Trust has nodirectors or executive officers.  TheTrust is controlled and managed by the Managing Owner under a delegation ofauthority by the Trust’s Trustee, Wilmington Trust Company.

 

Millburn RidgefieldCorporation,  the Managing Owner, is aDelaware corporation organized in May 1982 to manage discretionary accounts infutures and forward markets.  It is thecorporate successor to a futures trading and advisory organization which hasbeen continuously managing assets in the currency and futures markets usingquantitative, systematic techniques since 1971.

 

The principals and seniorofficers of Millburn Ridgefield Corporation as of December 31, 2003 are asfollows:

 

Harvey Beker, age50.  Mr. Beker is Co-Chief Executive Officer and Co-Chairman of theManaging Owner and The Millburn Corporation, and a partner of ShareInVestResearch L.P.  He received a Bachelor ofArts degree in economics from New York University in 1974 and a Master ofBusiness Administration degree in finance from NYU in 1975.  From June 1975 to July 1977, Mr. Beker wasemployed by Loeb Rhoades, Inc. where he developed and traded silver arbitragestrategies.  From July 1977 to June1978, Mr. Beker was a futures trader at Clayton Brokerage Co. of St.Louis.  Mr. Beker has been employed byThe Millburn Corporation since June 1978. During his tenure at the Managing Owner, he has been instrumental in thedevelopment of the research, trading and operations areas.  Mr. Beker became a principal of the firm in1982.

 

George E. Crapple, age59.  Mr. Crapple is Co-Chief Executive Officer and Co-Chairman of theManaging Owner and The Millburn Corporation and a partner of ShareInVestResearch L.P.  In 1966 he graduated withhonors from the University of Wisconsin where his field of concentration waseconomics and he was elected to Phi Beta Kappa.  In 1969 he graduated from Harvard Law School, magna cum laude,where he was a member of the Harvard Law Review.  He was a lawyer with Sidley & Austin, Chicago, Illinois, from1969 until April 1, 1983, as a partner since 1975, specializing incommodities, securities, corporate and tax law.  He was first associated with the Managing Owner in 1976 andjoined the Managing Owner on April 1, 1983 on a full-time basis.  Mr. Crapple is a Director, Member of theExecutive Committee, Chairman of the Appeals Committee and a former Chairman ofthe Eastern Regional Business Conduct Committee of the NFA, past Chairman ofthe Managed Funds Association and a member of the Technology Advisory Committeeof the CFTC.

 

Gregg Buckbinder, age45.  Mr. Buckbinder is SeniorVice-President and Chief Operating Officer of the Managing Owner and TheMillburn Corporation and a partner of ShareInVest Research L.P.  He graduated cum laude from Pace Universityin 1980 with a B.B.A. in accounting and received an M.S. in taxation from Pacein 1988.  He joined the Managing Ownerin January 1998 from Odyssey Partners, L.P. where he was responsible for theoperation, administration and accounting of the firm’s merchant banking and managedaccount businesses from mid-1990 through December 1997.  Mr. Buckbinder was employed by TuckerAnthony, a securities broker and dealer, from 1985 to 1990 where he was FirstVice President and Controller, and from 1983 to 1984 where he designed and implementedvarious operations and accounting systems. He was with the public accounting firm of Ernst & Whinney from 1984to 1985 as a manager in the tax department and from 1980 to 1983 as a seniorauditor, with an emphasis on clients in the financial services business.  He is a Certified Public Accountant and amember of the American Institute of Certified Public Accountants.

 

Mark B. Fitzsimmons, age56.  Mr. Fitzsimmons is a Senior Vice-President of the Managing Ownerand The Millburn Corporation and a partner of ShareInVest Research L.P.  His responsibilities include both marketingand investment strategy.  He graduatedsumma cum laude from the University of Bridgeport, Connecticut in 1970

 

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with a B.S. in economics.  Hisgraduate work was done at the University of Virginia, where he received acertificate of candidacy for a Ph.D. in economics in 1973.  He joined the Managing Owner in January 1990from Morgan Stanley & Co. Incorporated where he was a Principal and Managerof institutional foreign exchange sales and was involved in strategic tradingfor the firm.  From 1977 to 1987 he waswith Chemical Bank New York Corporation, first as a Senior Economist in Chemical’sForeign Exchange Advisory Service and later as a Vice-President and Manager ofChemical’s Corporate Trading Group. While at Chemical he also traded both foreign exchange and fixed incomeproducts.  From 1973 to 1977 Mr.Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing histime between the International Research Department and the Foreign ExchangeDepartment.

 

Barry Goodman, age46.  Mr. Goodman is ExecutiveVice-President, Director of Trading and Co-Director of Research of the ManagingOwner and The Millburn Corporation and a partner of ShareInVest ResearchL.P.  His responsibilities includeoverseeing the firm’s trading operation and managing its trading relationships,as well as the design and implementation of trading systems.  He graduated magna cum laude from HarpurCollege of the State University of New York in 1979 with a B.A. ineconomics.  From 1980 through late 1982he was a commodity trader for E. F. Hutton & Co., Inc.  At Hutton he also designed and maintainedvarious technical indicators and coordinated research projects pertaining tothe futures markets.  He joined theManaging Owner in 1982 as Assistant Director of Trading.

 

Dennis B. Newton, age52.  Mr. Newton is a SeniorVice-President of the Managing Owner and the Millburn Corporation.  His primary responsibilities are inadministration and marketing.  Prior tojoining the Managing Owner in September 1991, Mr. Newton was President ofPhoenix Asset Management, Inc., a registered commodity pool operator from April1990 to August 1991.  Prior to his employmentwith Phoenix, Mr. Newton was a Director of Managed Futures withPrudential-Bache Securities Inc. from September 1987 to March 1990.  Mr. Newton joined Prudential-Bache fromHeinold Asset Management, Inc. where he was a member of the senior managementteam.  Heinold was a pioneer and one ofthe largest sponsors of funds utilizing futures and currency forward trading.

 

Grant N. Smith, age52.  Mr. Smith is Executive Vice-President and Co-Director ofResearch of the Managing Owner and The Millburn Corporation and a partner ofShareInVest Research L.P.  He isresponsible for the design, testing and implementation of quantitative tradingstrategies, as well as for planning and overseeing the computerized decision-supportsystems of the firm.  He received a B.S.degree from the Massachusetts Institute of Technology in 1974 and an M.S.degree from M.I.T. in 1975.  While atM.I.T. he held several teaching and research positions in the computer sciencefield and participated in various projects relating to databasemanagement.  He joined the ManagingOwner in 1975.

 

(c)   Identification of Certain SignificantEmployees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

See Item 10 (a,b) above.

 

(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   Promotersand Control Persons

 

The Managing Owner is thesole promoter and control person of the Trust.

 

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(h)   AuditCommittee Financial Expert

 

The Trust has noemployees, officers or directors.  TheTrust is managed by the Managing Owner. Gregg Buckbinder serves as the Managing Owner’s “audit committeefinancial expert.”  Mr. Buckbinder isnot independent of the management of the Managing Owner.  The Managing Owner is a privately owned corporationmanaged by its shareholders.  It has noindependent directors.

 

(j)   Codeof Ethics

 

The Trust has noemployees, officers or directors and is managed by the Managing Owner.  The Managing Owner has adopted an ExecutiveCode of Ethics that applies to its principal executive officers, principalfinancial officer and principal accounting officer.  A copy of this Executive Code of Ethics may be obtained at nocharge by written request to Millburn Ridgefield Corporation, 411 West PutnamAvenue, Greenwich, Connecticut 06830 or by calling 203-625-7554 (ask for ClientServices).

 

Item 11.  Executive Compensation

 

The Trust has nodirectors or officers.  None of thedirectors or officers of the Managing Owner receive compensation from theTrust.  The Managing Owner makes alltrading decisions on behalf of the Trust. The Managing Owner receives monthly brokerage commissions of 0.583 of 1%of the Trust’s Net Assets (which is reduced to 0.541 of 1%, 0.5 of 1% or 0.458of 1% of Net Assets for Unitholders who invest amounts of $100,000, $500,000 or$1,000,000 or more, respectively, in the Trust and to 0.33 of 1% in forUnitholders who invest through selling agent fee-based accounts) and an annualprofit share of 20% of any new trading profit as defined.

 

Item 12.   Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

The Trust knows of noperson who owns beneficially more than 5% of the Units.  All of the Trust’s managing owner interestis held by the Managing Owner.

 

(b)   Security Ownership of Management

 

Under the terms of theTrust Agreement, the Trust’s affairs are managed by the Managing Owner, whichhas discretionary authority over the Trust’s trading.  The Managing Owner’s managing owner interest was valued at$2,747,433 as of December 31, 2003, 1.20% of the Trusts’ total equity.

 

(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item13.   Certain Relationships and Related Transactions

 

See “Item 11.  Executive Compensation” and“Item 12.  Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $8,331,480 in brokerage feesand allocated $6,465 in profit share to the New Profits Memo Account for theyear ended December 31, 2003.  TheManaging Owners’ managing owner interest showed an allocation of income of$141,117 for the year ended December 31, 2003. The Managing Owner has paid certain administrative expenses tothird-parties on behalf of the Trust, related to legal, accounting, auditing,printing, postage and similar administrative expenses, and has been or will bereimbursed without interest by the Trust. At December 31, 2003, the Trust owed the Managing Owner $10,240 in connectionwith expenses paid on the Trust’s behalf. The Trust is prohibited from making any loans.

 

17

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Item14.   Principal Accountant Fees and Services

 

(1)           Audit Fees

 

The aggregate fees forprofessional services rendered by Ernst & Young LLP in connection withtheir audit of the Trust’s financial statements and reviews of the financialstatements included in the quarterly reports on Form 10-Q and in connectionwith the statutory and regulatory filings for the years ended December 31, 2003and December 31, 2002 were approximately $62,000 and $33,000, respectively

 

(2)           Audit-Related Fees

 

There were no fees forassurance and related services rendered by Ernst & Young LLP for the yearsended December 31, 2003 and December 31, 2002.

 

(3)           Tax Fees

 

There were no fees fortax compliance, advice or planning services rendered by Ernst & Young LLPfor the years ended December 31, 2003 and December 31, 2002.

 

(4)           All Other Fees

 

None

 

(5)           Pre-ApprovalPolicies

 

The board of directors ofthe Managing Owner pre-approves the engagement of the Trust’s auditor for allservices to be provided by the auditor.

 

PART IV

 

Item15.   Exhibits, Financial Statement Schedules andReports on Form 8-K

 

(a)(1)   Financial Statements

 

The following areincluded with the 2003 Report of Independent Auditors, a copy of which is filedherewith as Exhibit 13.01.

 
| Affirmation of Millburn  Ridgefield Corporation |   |
|-------------------------------------------------|--------|
| Report of Independent  Auditors                 |   |
| 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                  |   |

 

(a)(2)   Financial Statement Schedules

 

All Schedules are omittedfor the reason that they are not required or are not applicable becauseequivalent information has been included in the financial statements or thenotes thereto.

 

18

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

 

The following exhibitsare included herewith.

 
| **Designation** |   | **Description**                                                        |
|-----------------|--------|------------------------------------------------------------------------|
|            |   |                                                                   |
| 13.01           |   | 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             |

 

The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with the Trust’s Registration Statement (File No. 333-67072) filed onAugust 8, 2001 on Form S-1 under the Securities Act of 1933.

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

 

The following exhibitsare incorporated by reference from the exhibits of the same number anddescription filed with Amendment No. 1 to the Trust’s Registration Statement(File No. 333-67072) filed on January 11, 2002 on Form S-1 under the SecuritiesAct of 1933.

 
| 1.01   |   | Form of Selling  Agreement among the Trust, the Managing Owner and the Amended Selling Agent  (including the form of Additional Selling Agent Agreement). |
|--------|--------|-----------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                      |
| 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 following exhibitsare incorporated by reference from the exhibits of the same number and descriptionfiled with Post-Effective Amendment No. 1 to the Trust’s Registration Statement(File No. 333-67072) filed December 16, 2002 on Form S-1 under the SecuritiesAct of 1933.

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

 

The following exhibitsare incorporated by reference from the exhibit of the same number anddescription filed with the Trust’s Annual Report on March 31, 2003 on Form 10-Kunder 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). |

 

19

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The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with Registrant’s Registration Statement (File No. 333-109122) filedSeptember 25, 2003 on Form S-1 under the Securities Act of 1933.

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

 

(b)   Reports on Form 8-K

 

None.

 

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SIGNATURES

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, the Registrant has duly caused this report to be signed on its behalf bythe undersigned, thereunto duly authorized, on the 26th day ofMarch, 2004.

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

 

Pursuant to therequirements of the Securities Exchange Act of 1934, this report has beensigned below by the following persons on behalf of the Managing Owner of theRegistrant in the capacities and on the date indicated.

 
|          |                    |                                 |
|---------------|-------------------------|--------------------------------------|
| **Signature** |                    | **Title with  General Partner** |   | **Date** |   |
|          |                    |                                 |   |
| /s/           | Harvey Beker            |                                 | Co-Chief | March 26, 2004 |
|          |  Harvey  Beker     |                                 | Executive Officer and  Director |   |
|          |                    |                                 | (Principal Executive  Officer) |   |
|          |                    |                                 |   |   |
| /s/           | George E. Crapple       |                                 | Co-Chief Executive | March 26, 2004 |
|          |  George E. Crapple |                                 | Officer and Director |   |
|          |                    |                                 | (Principal Executive  Officer) |   |
|          |                    |                                 |   |   |
| /s/           | Gregg Buckbinder        |                                 | Senior Vice President | March 26, 2004 |
|          |  Gregg Buckbinder  |                                 | (Principal Financial  Officer) |   |
|          |                    |                                 |   |   |
| /s/           | Tod A. Tanis            |                                 | Vice President | March 26, 2004 |
|          |  Tod A. Tanis      |                                 | (Principal Accounting  Officer) |   |
|               |                         |                                      |  |  |  |  |  |

 

(Being theprincipal executive officers, the principal financial officer and principalaccounting officer, and a majority of the directors of Millburn Ridgefield Corporation)

 

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March 26, 2004

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

 

21

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EXHIBIT INDEX

 

The following exhibitsare included herewith.

 
| **Designation** |   | **Description**                                                        |
|-----------------|--------|------------------------------------------------------------------------|
|            |   |                                                                   |
| 13.01           |   | 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             |

 

The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with the Trust’s Registration Statement (File No. 333-67072) filed onAugust 8, 2001 on Form S-1 under the Securities Act of 1933.

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

 

The following exhibitsare incorporated by reference from the exhibits of the same number anddescription filed with Amendment No. 1 to the Trust’s Registration Statement(File No. 333-67072) filed on January 11, 2002 on Form S-1 under the SecuritiesAct of 1933.

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

 

The following exhibitsare incorporated by reference from the exhibit of the same number anddescription filed with the Trust’s Annual Report on March 31, 2003 on Form 10-Kunder 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) |

 

The following exhibit isincorporated by reference from the exhibit of the same number and descriptionfiled with Registrant’s Registration Statement (File No. 333-109122) filedSeptember 25, 2003 on Form S-1 under the Securities Act of 1933.

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

 

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