** **

**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-K**

** **

**x**** Annual Report Pursuant to Section 13 or 15(d) of the SecuritiesExchange Act of 1934**

**For the Fiscal Year Ended:  December 31, 2008**

** **

**or**

** **

**o**** Transition Report Pursuant to Section 13 or 15(d) of the SecuritiesExchange Act of 1934**

** **

**Commission File Number:  000-50102**

 

**GLOBAL MACRO TRUST**

(Exact name of registrantas specified in its charter)

 

 

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

 

**c/o MILLBURN RIDGEFIELDCORPORATION**

**411 West Putnam Avenue**

**Greenwich,Connecticut  06830**

(Address of principalexecutive offices)  (Zip Code)

 

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) ofthe Act:   **Units of BeneficialInterest**

(Titleof Class)

 

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

Indicate by check mark if the registrant is notrequired to file reports pursuant to Section 13 or Section 15(d) ofthe Act.    Yes o   No x

 

Indicateby check mark whether the registrant (1) has filed all reports required tobe filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject tosuch filing requirements for the past 90 days.  Yes x  No o

 

Indicateby check mark if disclosure of delinquent filers pursuant to Item 405 ofRegulation S-K (§229.405 of this chapter) is not contained herein, and will notbe contained, to the best of registrant’s knowledge, in definitive proxy orinformation statements incorporation by reference in Part III of this Form 10-Kor any amendment to this Form 10-K.  x

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, a non-accelerated filer or a smaller reporting company.  See the definitions of “large acceleratedfiler,” “accelerated filer” and “smaller reporting company” in Rule 12b-2of the Exchange Act.

 

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

 

Indicateby check mark whether the registrant is a shell company (as defined in Rule 12b-2of the Act).   Yes o   No x

 

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

 

Not applicable.

 

Documents Incorporated byReference

 

Registrant’sFinancial Statements for the years ended December 31, 2008, 2007 and 2006and Report of Independent Registered Public Accounting Firm, the annual reportto security holders for the fiscal year ended December 31, 2008, isincorporated by reference into Part II Item 8 and Part IV hereof andfiled 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 (the “Securities Act”), with the Securities and Exchange Commission (“SEC”)to register $50 million of units of beneficial interest (the “Units”), whichregistration statement became effective March 26, 2002.  Between April 1, 2002 and June 30,2002 (the “Initial Offering”), the Units were publicly offered at an initialprice of $1,000 per Unit.  The proceedsof the Initial Offering and interest thereon were held in an account in thename of the Trust at FBR National Bank & Trust, Bethesda, Maryland,until July 1, 2002 at which time an aggregate of $1,290,457 was turnedover to the Trust and the Trust commenced operations.  The Trust has subsequently registeredadditional Units with the SEC to bring the total dollar amount of Unitsregistered for sale to approximately $1,250,000,000, and a total of$1,169,783,165 of Units have been sold to the public as of December 31,2008.  The Net Asset Value of a Unitoriginally sold for $1,000 as of July 1, 2002 was $1,371.00 as of December 31,2008.  As of December 31, 2008,Units were being offered on a monthly basis at Net Asset Value per unit.  The Units are offered through a number ofregistered broker-dealer selling agents 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 no significantcapital expenditure or working capital requirements other than to pay tradinglosses, brokerage fees and charges.

 

MillburnRidgefield Corporation (the “Managing Owner”), a Delaware corporation, is themanaging owner and the commodity trading advisor for the Trust.  The Managing Owner invested $400 in the Trustas an initial capital contribution to the Trust and $2,000,000 in the Trust atthe outset of trading and subsequently has contributed an additional $3,812,100and has redeemed $35,867,140 as of December 31, 2008.  After reflecting a net gain of $4,777,908 andprofit share of $36,837,242 from inception up to and including December 31,2008, this investment totaled $11,560,510, as of December 31, 2008.

 

(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 the speculative trading of futures, options onfutures, and forward contracts.  TheTrust’s sole trading advisor is the Managing Owner.  The Managing Owner trades the Trust’s assetsin the agricultural, metals, energy, interest rate and stock indices futuresand futures options markets and in the currency markets, trading primarilyforward contracts in the interbank market. The objective of the Managing Owner’strading method is to participate in all major sustained price moves in themarkets traded. The Managing Owner’s approach is medium-term to long-term innature. The Managing Owner makes trading decisions pursuant to its tradingmethod, which includes technical trend analysis, certain non-trend-followingtechnical systems, and money management principles, which may be revised fromtime to time.

 

The Managing Owner is engaged in an ongoing research effort to improveits trading methods and to apply its quantitative analytic expertise to newfinancial products.

 

Successful systematic futures trading depends on two factors: 1)development and selection of the trading systems used in each market and 2)allocation of portfolio risk among the markets available for trading.

 

 

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Market environments change over time, and particular systems mayperform well in one environment but poorly in another.  Likewise, portfolio sectors and individualmarkets go through periods where systematic trading is very profitable andother periods where no system makes any money.

 

The goal of the Managing Owner’s research has been to develop andselect a mix of systems in each market and to allocate risk across a wide arrayof markets, so as to contain overall portfolio risk within a targeted range,while allowing exposure to profitable trend opportunities.  Over more than 30 years, the Managing Ownerhas developed hundreds of trading systems. These trading systems generate buyor sell decisions in a particular market based on the direction of pricemovements in the market.

 

Of course, systems can be materially different — better in some periodsand worse in others.  The maindistinguishing features are time-frame over which systems work (intra-day tolong-term), the type of data fed into them (granularity [ticks toweeks/months], type [market or economic statistics], source [cash, futures oroptions markets]), and the objective of the system (profiting from trends,trading-ranges or volatility).  No singleapproach will work all the time. Therefore, the Managing Owner’s objective is to have several approachesoperating at all times.  Since the early1980’s, the Managing Owner has selected multiple systems for each market.

 

When arriving at the portfolio allocation, the Managing Owner seeksmaximum diversification subject to liquidity constraints.  The markets traded and allocations arereviewed monthly, although changes may occur less frequently.  The following factors are considered inconstructing a universe of markets to trade for each portfolio:  profitability, correlation of marketperformance, liquidity of markets, professional judgment, desireddiversification and transaction costs. Once the universe of markets is established, the Managing Owner’ssimulation and optimization techniques help determine which markets to includein the portfolio.  The current allocationto any market in the portfolio does not exceed 2.0%.

 

Risk is a function of both price level and price volatility.  In attempting to assess market volatility asa means of monitoring and evaluating risk, the Managing Owner uses itsvolatility overlay as a part of individual market risk management. This systemis designed to measure the risk in the portfolio’s position in each market andsignals a decrease in position size when risk increases and an increase inposition size when risk decreases. The Managing Owner’s volatility overlaymaintains overall portfolio risk and distribution of risk across markets withindesignated ranges.  It is applied to thesystematic strategies described above.  Asecondary benefit of the volatility overlay can be timely profit taking.  Because markets tend to become more volatileafter a profitable trend has been long underway, the volatility overlay oftensignals position reductions before trend reversals.

 

In addition to the volatility overlay, the Managing Owner’s riskmanagement focuses on money management principles applicable to the portfolioas a whole such as portfolio diversification and control of leverage andportfolio size.  There are, however, norestrictions on the amount of leverage the Managing Owner may use at any time.

 

Pursuant to the TrustAgreement, the Managing Owner receives a flat-rate monthly brokerage fee equalto 0.58 of 1% of the month-end Net Assets (a 7.0% annual rate).  The Managing Owner charges less than theannual brokerage rate of 7% to those subscribers who either invest in amountsof $100,000 or more in the Units or subscribe without incurring the sellingcommission paid by the Managing Owner. These reductions have no effect on other investors.  The Managing Owner also receives a profitshare equal to 20% of any new trading profit as defined, 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 “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 routine costsof executing and clearing the Trust’s trades and all compensation due to theselling agents.

 

Deutsche Bank SecuritiesInc. (“Deutsche Bank”), Merrill Lynch, Pierce, Fenner & SmithIncorporated (“Merrill Lynch”) and Newedge USA, LLC ( “Newedge”) act as thefutures brokers for the Trust.  The Trustexecutes currency forward trades with several brokers and banks, includingMorgan Stanley & Co. Incorporated and 

 

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Deutsche Bank AG, andprimarily clears all such trades with Morgan Stanley & Co.Incorporated and Deutsche Bank AG, serving as prime brokers.  The Trust pays “bid asked” spreads on itsforward trades, as such spreads are incorporated into the pricing of forwardcontracts.  The Managing Owner monitorsthe Trust’s trades to ensure that the prices it receives are competitive.

 

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 thefirst six-month period after their sale will pay a redemption charge of 4% ofthe Net Asset Value at which such Units are redeemed.  Units redeemed on or prior to the end of thefirst eleven months but after the end of the first six-month period after theirsale will pay a redemption charge of 3% of the Net Asset Value at which suchUnits are redeemed.  Redemption chargesare reduced, in the case of subscriptions in amounts of $100,000 or more or ifthe subscriptions are through asset-based or fixed-fee investment programs orby selling 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 andpayment will be made, except in the event of highly unusual market disruptions,within 15 business days of the effective date of redemption.

 

The Trust’s cash and U.S.Treasury 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 “registeredfutures association” under the CEA, is the only non-exchange self-regulatoryorganization for futures industry professionals.  The CFTC has delegated to NFA responsibilityfor the registration of “commodity trading advisors,” “commodity pooloperators,” “futures commission merchants,” “introducing brokers” and theirrespective associated persons and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators andcommodity trading advisors, such as the Managing Owner, and commodity brokersor futures commission merchants (“FCMs”), such as Deutsche Bank, Merrill Lynchand Newedge to be registered and to comply with various reporting and recordkeeping requirements.  The CFTC maysuspend a commodity pool operator’s or commodity trading advisor’s registrationif it finds that its trading practices tend to disrupt orderly marketconditions or in certain other situations. In the event that the registration of the Managing Owner as a commoditypool operator or a commodity trading advisor were terminated or suspended, theManaging Owner would be unable to continue to manage the business of theTrust.  Should the Managing Owner’sregistration be suspended, termination of the Trust might result.

 

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 infutures contract prices that may occur during a single trading day.   Currency forward contracts are not subjectto regulation by any United States 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.

 

Item1A.   Risk Factors

 

**You Could Lose Your Entire Investment in the Trust**

 

An investment in the Trust is a speculative investment. You will berelying on the Managing Owner to trade profitably for the Trust and profitabilityis not assured. You could lose all or substantially all of your investment inthe Trust.

 

**The Trust has a Limited Performance History**

 

The Trust began trading July 1, 2002 and has a limited performancehistory. **The past performance of theTrust is not necessarily indicative of the Trust’s future results.**

 

**The Trust is a Highly Leveraged Investment**

 

The Trust generally holds positions with an aggregate face value of asmuch as eight, and possibly as much as ten or more, times its total equity. Consequently,small adverse movements in the prices of the Trust’s open positions can causesignificant losses.

 

**The Performance of the Trust Will be Volatile**

 

The Managing Owner expects that the performance of the Trust will bevolatile. The Trust may suffer sudden and substantial losses from time to timeand the day-to-day value of the Units will be variable and uncertain. The NetAsset Value per Unit may change materially between the date on which yousubscribe for Units and the date the Units are issued or the date you request aredemption and the month-end redemption date. Since it began trading in July 2002, monthly returns for the Trusthave ranged from up 9.56% to down 10.33%.

 

**The Trust’s Expenses Will Cause Losses Unless Offsetby Profits and Interest Income**

 

                The Trust paysannual expenses of up to approximately 7.5% of its average month-end NetAssets. The Trust must earn trading profits and interest income at least equalto these expenses to avoid losses.

 

**An Investment in the Trust is not Liquid**

 

There is no secondary market for the Units. You may redeem your Unitsonly as of the close of business on the last day of a calendar month, and youmust give the Trust at least 10 days’ prior written notice of your intent toredeem. Early redemption charges apply if you redeem Units through the end ofthe first eleven months you own them.

 

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

 

Units redeemed on or prior to the end of the first six-month periodafter their sale will pay a redemption charge of 4% of the Net Asset Value atwhich such Units are redeemed.  Unitsredeemed on or prior to the end of the first eleven months but after the end ofthe first six-month period after their sale will pay a redemption charge of 3%of the Net Asset Value at which such Units are redeemed.

 

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**The Timing of Your Investment and Redemption DecisionsWill Affect the Profitability of Your Investment**

 

The Managing Owner expects that a majority of the Trust’s trades willresult in small profits only or in losses. The majority of any profits earnedby the Trust will most likely come from a small number of trades each year.Accordingly, you will not know when is a good time to invest in the Trust or toredeem your Units, and the timing of your investment and redemption decisionswill affect the amount of profit or loss you experience as an investor in theTrust.

 

**The Managing Owner Alone Directs the Trust’s Trading**

 

The Trust is a single-advisor fund. The use of a single advisor tradingone program involves a greater risk of loss than the diversified, multi-advisorapproach employed by many futures funds. In addition, if the managementservices of the Managing Owner were to become unavailable for any reason, theTrust would terminate. Furthermore, were the Managing Owner to lose theservices of its key principals, the Managing Owner could decide to dissolve theTrust, possibly causing it to realize losses.

 

**The Managing Owner is a Technical Trader and Does notAnalyze Economic Factors External to Market Price**

 

The Managing Owner’s systematic strategies are developed on the basisof a statistical analysis of market prices. Consequently, any factor externalto the market itself that dominates prices may cause major losses. For example,a pending political or economic event may be very likely to cause a major pricemovement, but the Managing Owner would continue to maintain positions indicatedby its trading method that would incur major losses if the event proved to beadverse.

 

The Managing Owner’s systematic strategies retain certain discretionaryaspects. Decisions, for example, to adjust the size of the positions indicatedby the systematic strategies, which contracts to trade and method of orderentry require judgmental input from the Managing Owner’s principals.Additionally, the Managing Owner may determine not to enter a new positionindicated by its strategies if the Managing Owner determines prevailing marketconditions to be unusual, for example, significantly more volatile than theexpected volatility factored into the design of the strategies. The ManagingOwner does, however, exit positions when its trading strategies indicate thatit should do so. Discretionary decision-making may result in the Managing Ownermaking unprofitable trades when a more wholly systematic approach would nothave done so.

 

**Lack of Price Trends WillCause Losses; There Have Been Sustained Periods With Insufficient Price Trendsfor the Trust to Trade Profitably. The Managing Owner Expects That There Willbe Similar Periods in the Future**

 

The Trust cannot trade profitably unless there are major price trendsin at least some of the markets it trades. Moreover, the price trends must beof a type the Managing Owner’s systems are designed to identify. In the pastthere have been sustained periods with few trending markets where gains fromtrading those markets were insufficient to offset losses from trades innon-trending markets.  For example, theTrust incurred a loss for the year in 2003 and 2004.  The Managing Owner expects that there will besimilar periods in the future.

 

Markets in which prices move rapidly and then reverse and then do soagain may cause losses. In such “whipsaw” market conditions, the Managing Ownermay establish positions for the Trust on the basis of incorrectly identifyingthe rapid movement or the reversal as a trend.

 

**Lack of Market Liquidity Could Make it Impossible forthe Trust to Realize Profits or Limit Losses**

 

In illiquid markets, the Trust could be unable to close out positionsto limit losses or to take positions in order to follow trends. There are toomany different factors that can contribute to market illiquidity to predictwhen or where illiquid markets may occur.

 

 

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Unexpected market illiquidity has caused major losses for some tradersin recent years in such market sectors as emerging markets and mortgage-backedsecurities. There can be no assurance that the same will not happen in themarkets traded by the Trust. In addition, the large size of the positions theTrust may take increases the risk of illiquidity by both making its positionsmore difficult to liquidate and increasing the losses incurred while trying todo so.

 

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

 

**The Managing Owner’s Trading Systems Have BeenDeveloped Over Time and are Subject to Change**

 

In executing its trading method, the Managing Owner uses combinationsof trading systems to generate buy and sell signals in the various marketstraded. The Managing Owner has developed, modified, retained and discardednumerous systems over more than 30 years. Consequently, some of the tradingsystems and combinations of systems currently being used to trade accountstraded pursuant to the Diversified Portfolio, as the Trust is so traded, arenot identical to those used 5, 10, 15 or 20 years ago.

 

**Trading on Foreign Exchanges Presents Greater RiskThan Trading on U.S. Exchanges**

 

The Trust will trade on commodity exchanges outside the United States.Trading on foreign exchanges is not regulated by any United States governmentalagency and may involve certain risks that do not arise when trading on UnitedStates exchanges. For example, some foreign exchanges are “principals’ markets”in which performance is the responsibility only of the individual member withwhom the Trust has traded, not of the exchange or a clearing facility.  In such cases, the Trust will be subject to arisk that the member with whom the Trust has traded is unable or unwilling toperform its obligations under the transaction. Additionally, an adverse change in the exchange rate between the UnitedStates dollar and the currency in which a non-U.S. futures contract isdenominated would reduce the profit or increase the loss on a trade in thatcontract.

 

Trading on foreign exchanges also presents risks of loss due to (1) thepossible imposition of exchange controls, which could make it difficult orimpossible for the Trust to repatriate some or all of its assets held bynon-U.S. counterparties; (2) possible government confiscation of assets; (3) taxation;(4) possible government disruptions, which could result in market closuresand thus an inability to exit positions and repatriate Trust assets forsustained periods of time, or even permanently; and (5) limited rights inthe event of the bankruptcy or insolvency of a foreign broker or exchangeresulting in a different and possibly less favorable distribution of thebankrupt’s assets than would occur in the United States.

 

**The Managing Owner Anticipates the Trust’s Performanceto be Non-Correlated to Stocks and Bonds, not Negatively Correlated**

 

The performance of the Trust has been generally non-correlated to theperformance of the stock and bond markets, as represented by the S&P 500Stock Index and the Barclays U.S. Long Treasury Bond Index. Non-correlationmeans that there is no statistically valid relationship between two assetclasses and should not be confused with negative correlation, where theperformance of two asset classes would be opposite. Because of thisnon-correlation, you should not expect the Trust to be automatically profitableduring unfavorable periods for the stock and/or bond markets, or **vice versa**.

 

If the Trust does not perform in a manner non-correlated with thegeneral financial markets or does not perform successfully, you will obtain nodiversification benefits by investing in the Units and the Trust may have nogains to offset your losses from other investments.

 

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**The Trust May be Subject to Profit Shares DespiteCertain Units Having Declined in Value**

 

Investors will purchase Units at different times and will, accordingly,recognize different amounts of profit and loss on their investments. ProfitShares are accrued, or the accruals are reversed to reflect losses, on amonthly basis so that Units are not sold with an embedded Profit Shareliability. However, Profit Shares are ultimately calculated on the basis of thecumulative net trading profits recognized by the Trust as a whole, not on theprofits recognized by any particular Unit or Units. Consequently, the ManagingOwner may still be allocated a Profit Share even though certain Units have lostvalue since the date they were purchased.

 

Conversely, Units purchased at a Net Asset Value reduced by accruedProfit Shares will benefit from any reversal of such accruals, and the benefitof such reversals to Units outstanding at the time of such purchase will bediluted.

 

Similarly, Units may incur losses generating a loss carryforward forpurposes of calculating subsequent Profit Shares. The benefit of any such losscarryforward will be diluted by the admission of new Unitholders.

 

**The Managing Owner’s Increased Equity Under ManagementCould Lead to Lower Returns for Investors**

 

The Managing Owner has not agreed to limit the amount of money it maymanage and is actively seeking additional accounts. The more money the ManagingOwner manages, the more difficult it may become for the Managing Owner to tradeprofitably for the Trust because of the difficulty of trading larger positionswithout negatively affecting prices and performance.

 

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

 

A substantial number of commodity trading advisors use technicaltrading systems, particularly trend-following systems, like the Managing Owner’ssystems. As the amount of money under the management of such systems increases,competition for the same positions increases, making the positions more costlyand more difficult to acquire.

 

**The Trust is Subject to Conflicts of Interest**

 

The Trust is subject to numerous actual and potential conflicts ofinterest, including: (1) the compensation that the Trust’s selling agentsreceive gives them an incentive to promote the sale of Units as well as todiscourage redemptions; (2) the brokerage commissions that Deutsche Bank,Merrill Lynch and Newedge receive as clearing brokers for the Trust gives anadditional incentive to promote the sale of Units as well as to discourageredemptions; (3) the Managing Owner has significant financial incentivesboth to promote the sale of the Units and to discourage their redemption; and (4) theManaging Owner of the Trust will not select any other trading advisor even ifdoing so would be in the best interests of the Trust.

 

**The Managing Owner has not Established FormalProcedures to Resolve Conflicts of Interest**

 

Because the Managing Owner has not established any formal proceduresfor resolving conflicts of interest, you will be dependent on the good faith ofthe parties with conflicts to resolve the conflicts equitably. The ManagingOwner cannot assure that conflicts of interest will not result in losses forthe Trust.

 

**You Will be Taxed Each Year on Your Share of TrustProfits**

 

If you are an individual or entity subject to U.S. taxes (e.g., not a tax-exemptentity such as an IRA or pension plan), you will be taxed on your share ofTrust income or gain each year, whether or not you redeem Units or receivedistributions from the Trust.

 

Because a substantial portion of the Trust’s open positions are “marked-to-market”at the end of each year, some of your tax liability will be based on unrealizedgains which the Trust may, in fact, never realize.

 

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40% of any trading profits on certain U.S. exchange-traded futurescontracts and certain foreign currency forward contracts are taxed asshort-term capital gains at ordinary income rates (unless offset by capitallosses), while 60% of any such trading profits are taxed as long-term capitalgains at a lower maximum rate for individuals (15% for most gains recognized intaxable years beginning on or before December 31, 2010). 100% of anytrading profits from non-U.S. exchange traded interest rate futures contractsand certain forward currency contracts that do not have an equivalent U.S.exchange traded futures contract are “marked-to-market” at the end of each yearand taxed as short-term capital gains at ordinary income tax rates (unlessoffset by capital losses). These rates apply regardless of how long the Trustholds a contract, or an investor his or her Units.

 

Due to the different tax rates for long-term and short-term capitalgains and losses, and depending on the tax character of income and loss youreceive on other investments in your portfolio, it is possible for you to havea pre-tax economic gain on your investment in the Trust but an after-tax loss.

 

All performance information included in this report is presented on apre-tax basis; the investors who experienced such performance had to pay therelated taxes from other sources.

 

Over time, the compounding effects of the annual taxation of the Trust’sincome are material to the economic consequences of investing in the Trust. Forexample, a 10% compound annual rate of return over five years would result inan initial $10,000 investment compounding to $16,105. However, if one factorsin a 30% tax rate each year, the result would be $14,025.

 

**You Will be Taxed on the Trust’s Interest Income Evenif the Trust Suffers Trading Losses**

 

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

 

**Limitations on the Deductibility of “InvestmentAdvisory Fees”**

 

Noncorporate investors may be required to treat the amount of anyincentive profit shares as well as a portion of the brokerage commissions andother ordinary expenses of the Trust, as “investment advisory fees” which maybe subject to substantial restrictions on deductibility for federal income taxpurposes.  Any such classification ofthese amounts could substantially increase the amount of the Trust’s profits(if any) subject to tax.

 

**“Passive” Losses**

 

                Any income derived from the Trust’s trading activitieswill constitute “Portfolio Income” or other income not from a passive activity,which means that losses resulting from an investor’s other passive activitiescannot be offset against such income.

 

**The IRS Could Audit Both the Trust and IndividualUnitholders**

 

The IRS could audit the Trust’s tax returns and require the Trust toadjust such returns. If an audit results in an adjustment, you could be auditedand required to pay additional taxes, plus interest and possibly penalties.

 

**The Bankruptcy of a Clearing Broker or Currency DealerCould Cause Losses**

 

The Managing Owner must assess the credit-worthiness of the clearingbrokers and foreign currency counterparties it selects for the Trust. If one ofthe Trust’s clearing brokers or foreign currency counterparties becomesbankrupt, the Trust will be limited to recovering only its **pro rata** share of all availablecustomer funds segregated by the clearing broker or counterparty. The ManagingOwner attempts to mitigate this risk by selecting only well capitalized, majorfinancial institutions as Clearing Brokers and foreign currency counterparties,but there can be no assurance that even a well capitalized, major institutionwill not become bankrupt, and recent events have 

 

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demonstrated that even major financial institutions ofthe type with which the Trust may deal in the financial markets can and dofail.

 

**The Trust is Not Regulated as anInvestment Company or Mutual Fund**

 

Although the Managing Owner is subject to regulation by the CFTC andthe Trust itself is subject to reporting requirements and other regulationapplicable to public companies in the United States, the Trust is notregistered under the Investment Company Act of 1940.  Accordingly, investors in the Trust are notaccorded the protections of such legislation.

 

**The Trust Trades in Unregulated Markets**

 

The Trust will conduct all or substantially all of its currency forwardand related options trading in unregulated markets. There is no way to determinefair pricing or prevent trading abuses in such markets. The absence ofregulation in such markets could expose the Trust to significant losses.

 

Various national governments have expressed concern regarding thedisruptive effects of speculative trading in the currency markets and the needto regulate the “derivatives” markets in general. Future regulatory changes maylimit the Trust’s ability to trade in certain markets.

 

**Swap Trading isUnregulated and Involves Counterparty Risk**

 

TheTrust may engage in trading commodity swaps.  Swaps involve many of thesame risks as those described above with respect to forward contracts. Swap contracts are not traded on exchanges; rather, banks and dealers act asprincipals in the swap market.  As a result, the Trust will be subject tothe risk of the inability or refusal to perform with respect to such contractson the part of the counterparties with which the Trust trades.  TheManaging Owner intends to enter into swaps on behalf of the Trust only withhighly creditworthy banks and dealers, but there can be no assurance that evenhighly creditworthy banks and dealers will have the ability to, or will notrefuse to, perform with respect to such contracts.  The swap market is generally not regulated byany United States or foreign governmental authority.  Speculative positionlimits are not applicable to swap transactions, although the counterpartieswith which the Trust will deal may limit the size or duration of positionsavailable to the Trust as a consequence of credit considerations. Finally, swaps may be illiquid and participants in the swap market are notrequired to make continuous markets in the swap contracts they trade.

 

## **Tradingin Options Requires an Assessment of Market Volatility as Well asDirection**

##  

The Managing Owner may trade futures and forward options on behalf ofthe Trust.  Although successful options trading requires many of the sameskills as successful futures and forward trading, the risks involved aresomewhat different.  For example, the assessment of near-term marketvolatility - which is directly reflected in the price of outstanding options -can be of much greater significance in trading options than it is in manylong-term futures strategies.  The use of options can be extremely expensiveif market volatility is incorrectly predicted.

 

**The Failure of Computer Systems Could Result inLosses for the Trust**

 

                TheManaging Owner relies heavily on computer hardware and software, onlineservices and other computer-related or electronic technology and equipment tofacilitate the Trust’s investment activities and may trade financialinstruments through electronic trading or order routing systems.  Electronic trading exposes the Trust to therisk of system or component failure. Should events beyond the Managing Owner’s control cause a disruption inthe operation of any technology or equipment, the Trust’s investment programmay be severely impaired, causing it to experience substantial losses or otheradverse effects.

 

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.

 

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Item3.   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 involving theManaging 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 notice to theManaging 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 31,2008, there were 24,696 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.

 

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

 

There have been no salesof unregistered securities of the Trust during 2006, 2007 or 2008.

 

(f)   IssuerPurchases of Equity Securities.

 

Pursuant to the TrustAgreement, Unitholders may redeem their Units at the end of each calendar monthat the then current month-end Net Asset Value per Unit.  The redemption of Units has no impact on thevalue of Units that remain outstanding, and Units are not reissued onceredeemed.

 

The following tablesummarizes the redemptions by Unitholders during the fourth calendar quarter of2008:

 

| **Month**               | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|-------------------------|------------|--------------------|------------|-----------------------------------|------------|
| October 31,  2008  |       | 11,786.070         |       | 1,335.34                          |       |
| November 30,  2008 |       | 4,574.958          |       | 1,358.87                          |       |
| December 31,  2008 |       | 5,878.376          |       | 1,371.00                          |       |
| Total                   |       | 22,239.404         |       |                              |       |

 

 

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Item 6.   Selected Financial Data

 

The following is asummary of operations for the fiscal years 2008, 2007, 2006, 2005 and 2004 andtotal assets of the Trust at December 31, 2008, 2007, 2006, 2005 and 2004.

 

| ** **                                                             | ** ** | **For the Year Ended**

**December 31, 2008** | ** **    | **For the Year Ended**

**December 31, 2007** | ** ** | **For the Year Ended**

**December 31, 2006** | ** ** | **For the Year Ended**

**December 31, 2005** | ** **  | **For the Year Ended**

**December 31, 2004** | ** ** |
|------------------------------------------------------------------------|------------|----------------------------------------------------|---------------|----------------------------------------------------|------------|----------------------------------------------------|------------|----------------------------------------------------|-------------|----------------------------------------------------|------------|
| Revenue: Total  net realized and unrealized gains  (losses)* |       | $                                                  | 210,229,240   |                                               | $          | 78,261,449                                         |       | $                                                  | 40,749,020  |                                               | $          | 27,495,406 |   | $ | 5,648,733 |   |
| Interest income                                                        |       | 21,273,709                                         |          | 26,686,249                                         |       | 20,667,947                                         |       | 11,150,930                                         |        | 4,131,334                                          |       |
|                                                                   |       |                                               |          |                                               |       |                                               |       |                                               |        |                                               |       |
| Expenses:                                                              |       |                                               |          |                                               |       |                                               |       |                                               |        |                                               |       |
| Profit share                                                           |       | 30,185,853                                         |          | 6,459,328                                          |       | 114,672                                            |       | 0                                                  |        | 0                                                  |       |
| Administrative  expenses**                                             |       | 2,750,922                                          |          | 1,963,847                                          |       | 1,664,204                                          |       | 1,477,105                                          |        | 1,615,275                                          |       |
| Brokerage  Commissions                                                 |       | 54,511,974                                         |          | 38,279,891                                         |       | 30,857,253                                         |       | 26,641,625                                         |        | 22,046,061                                         |       |
|                                                                   |       |                                               |          |                                               |       |                                               |       |                                               |        |                                               |       |
| Net Income  (loss)                                                     |       | $                                                  | 144,054,200   |                                               | $          | 58,244,632                                         |       | $                                                  | 28,780,838  |                                               | $          | 10,527,606 |   | $ | (13,881,269 | ) |
|                                                                   |       |                                               |          |                                               |       |                                               |       |                                               |        |                                               |       |
| Total assets                                                           |       | $                                                  | 1,094,632,891 |                                               | $          | 659,394,985                                        |       | $                                                  | 507,126,392 |                                               | $          | 423,902,367 |   | $ | 414,316,836 |   |
| Total Trust  capital                                                   |       | $                                                  | 1,030,381,361 |                                               | $          | 624,757,308                                        |       | $                                                  | 485,823,359 |                                               | $          | 405,903,522 |   | $ | 397,086,152 |   |
| Net Asset Value  per Unit                                              |       | $                                                  | 1,371.00      |                                               | $          | 1,157.17                                           |       | $                                                  | 1,040.10    |                                               | $          | 978.08 |   | $ | 954.85 |   |
| Increase (decrease)  in Net Asset Value per Unit                       |       | $                                                  | 213.83        |                                               | $          | 117.07                                             |       | $                                                  | 62.02       |                                               | $          | 23.23 |   | $ | (53.71 | ) |

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

 

** Includes custody fees.

 

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

 

Reference is made to “Item6.  Selected Financial Data” and “Item8.  Financial Statements andSupplementary Data.”  The informationcontained therein is essential to, and should be read in conjunction with, thefollowing analysis.

 

Liquidity

 

The Trust’s assets aregenerally held as cash or cash equivalents which are used to margin the Trust’sfutures and forward currency positions and withdrawn, as necessary, to payredemptions and expenses.  Other thanpotential market-imposed limitations on liquidity, due, for example, to limitedopen interest in certain futures markets or to daily price fluctuation limits,which are inherent in the Trust’s futures and forward trading, the Trust’sassets are highly liquid and are expected to remain so.  During its operations through December 31,2008, the Trust experienced no meaningful periods of illiquidity in any of thenumerous markets traded by the Managing Owner.

 

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 capital requirementsother than for monies to pay trading losses, brokerage commissions andcharges.  Within broad ranges ofcapitalization, the Managing Owner’s trading positions should increase ordecrease in approximate proportion to the size of the Trust.

 

 

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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, and may trade swap contracts, on interest rates,commodities, currencies, metals, energy and stock indices.  Risk arises from changes in the value ofthese contracts (market risk) and the potential inability of counterparties orbrokers to perform under the terms of their contracts (credit risk).  Market risk is generally to be measured bythe face amount of the futures positions acquired and the volatility of themarkets traded.  The credit risk fromcounterparty non-performance associated with these instruments is the netunrealized gain, if any, on these positions plus the value of the margin orcollateral held by the counterparty.  Therisks associated with exchange-traded contracts are generally perceived to beless than those associated with over-the-counter transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may require margin or collateral in the over-the-countermarkets.

 

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 ofopen positions; (2) diversifying positions among various markets; (3) limitingthe assets committed as margin, generally within a range of 5% to 35% of anaccount’s Net Assets at exchange minimum margins, (including imputed margins onforward positions) although the amount committed to margin at any time may besubstantially higher; (4) prohibiting pyramiding (that is, usingunrealized profits in a particular market as margin for additional positions inthe same market); and (5) changing the equity utilized for trading by anaccount solely on a controlled periodic basis rather than as an automaticconsequence of an increase in equity resulting from trading profits.  The Trust controls credit risk by dealingexclusively with large, well capitalized financial institutions as brokers andcounterparties.  Although, as evidencedby recent market events, there can be no assurances that such large, wellcapitalized financial institutions will not fail.

 

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 or the Trust’ssatisfaction of the obligations may exceed the amount recognized in thestatement of financial condition of the Trust.

 

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 or payment obligations and by cash payments.

 

The value of the Trust’scash and financial instruments is not materially affected by inflation.  Changes in interest rates, which are oftenassociated with inflation, could cause the value of certain of the Trust’s debtsecurities to decline, but only to a limited extent.  More important, changes in interest ratescould cause periods of strong up or down market price trends, during which theTrust’s profit potential generally increases. However, inflation can also give rise to markets which have numerousshort price trends followed by rapid reversals, markets in which the Trust islikely to suffer losses.

 

Critical Accounting Estimates

 

The Trust records its transactions in futures and forward currencycontracts, including related income and expenses, on a trade date basis.  Open futures contracts traded on an exchangeare valued at market, which is based on the closing settlement price on theexchange where the futures contract is traded by the Trust on the day with 

 

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respect to which Net Assets are being determined.  Open forward currency contracts are recordedat fair value, based on pricing models that consider the current market prices(“Spot Prices”) plus the time value of money (“Forward Points”) and contractualprices of the underlying financial instruments. The Spot Prices and Forward Points for open forward currency contractsare generally based on the 3:00 P.M. New York time prices provided bywidely used quotation service providers on the day with respect to which NetAssets are being determined.  The ForwardPoints from the quotation service providers are generally in periods of onemonth, two months, three months and six months forward while the contractualforward delivery dates for the foreign currency contracts traded by the Trustmay be in between these periods.

 

The Managing Owner’s policy is to calculate the Forward Points for eachcontract being valued by determining the number of days from the date theforward currency contract is being valued to its maturity date and then usingstraight-line interpolation to calculate the valuation of Forward Points forthe applicable forward currency contract. The Managing Owner will also compare the calculated price to the forwardcurrency prices provided by dealers to determine whether the calculated priceis fair and reasonable.

 

The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America (“GAAP”) requiresmanagement to make estimates and assumptions, such as accrual of expenses, thataffect the amounts and disclosures reported in the financial statements.  Based on the nature of the business andoperations of the Trust, the Managing Owner believes that the estimatesutilized in preparing the Trust’s financial statements are appropriate andreasonable, however actual results could differ from these estimates.  The estimates used do not provide a range ofpossible results that would require the exercise of subjective judgment.  The Managing Owner further believes that,based on the nature of the business and operations of the Trust, no otherreasonable assumptions relating to the application of the Trust’s criticalaccounting estimates other than those currently used would likely result inmaterially different amounts from those reported.

 

Results of Operations

 

*PerformanceSummary*

 

The Trust’s success depends on the Managing Owner’s ability torecognize and capitalize on trends and other profit opportunities in differentsectors of the global capital and commodity markets. The Managing Owner’strading methods do not predict price movements, nor do they rely on fundamentaleconomic supply or demand analysis or on macroeconomic assessments of therelative strengths of different national economies or economic sectors.Instead, the systems apply proprietary computer models to analyzing past marketdata, and from this data alone attempt to determine whether market prices aretrending. Technical traders such as the Managing Owner base their strategies onthe theory that market prices reflect the collective judgment of numerousdifferent traders and are, accordingly, the best and most efficient indicationof market movements.  However, there arefrequent periods during which fundamental factors external to the marketdominate prices.

 

If the Managing Owner’s models identify a trend, they signal positionswhich follow it. When these models identify the trend as having ended orreversed, these positions are either closed out or reversed. Due to theirtrend-following character, the Managing Owner’s systems do not predict eitherthe commencement or the end of a price movement. Rather, their objective is toidentify a trend early enough to profit from it and to detect its end orreversal in time to close out the Trust’s positions while retaining most of theprofits made from following the trend.

 

In analyzing the performance of the Managing Owner’s trend-followingsystems, economic conditions, political events, weather factors, etc., are notdirectly relevant because the Managing Owner uses only market data indeveloping its systems.  Additionally, ingeneral there is no direct connection between particular market conditions andprice trends. There are so many influences on the markets that the same generaltype of economic event may lead to a price trend in some cases but not inothers.  Further, even if significantprice trends do occur, if these trends are not comprised of the type of pricemovements which the systems are designed to identify, the Managing Owner maynot position the Trust to profit from or avoid losses due to the trend.  Moreover, there have been prolonged periodsin the futures markets without significant price movements, as well as markets,in which prices appear to be moving in one direction but then quickly reverse.Such periods may recur with considerable frequency, and the Managing Ownerwould expect it to be very difficult to achieve profitability in such markets.

 

 

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The performance summary set forth below is an outline description ofhow the Trust performed in the past trading in a wide variety of markets.  The Trust’s futures and currency forwardcontract prices are marked-to-market every trading day, and the Trust’s tradingaccounts are credited or debited with its daily gains or losses. Accordingly,there is no material economic distinction between realized gains or losses onclosed positions and unrealized gains or losses on open positions.  The Trust’s past performance is notnecessarily indicative of how it will perform in the future.

 

*2008*

 

During 2008, the Trustachieved net realized and unrealized gains of $210,229,240 from its tradingoperations (including foreign exchange transactions and translations).  Brokerage fees of $54,511,974, administrativeexpenses of  $2,590,867 and custody feesof $160,055 were paid or accrued.  TheTrust allocated $30,185,853 in profit share to the New Profits Memo Account forthe benefit of the Managing Owner. Interest income of $21,273,709 partially offset the Trust’s expensesresulting in a net gain of $144,054,200 and a 18.48% increase in the Net AssetValue per Unit.  An analysis of thetrading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain** | ** ** |
|----------------|------------|------------|------------|
| Currencies     |       | 4.34       | %          |
| Energies       |       | 6.43       | %          |
| Grains         |       | 2.64       | %          |
| Interest Rates |       | 3.43       | %          |
| Livestock      |       | 0.96       | %          |
| Metals         |       | 2.92       | %          |
| Softs          |       | 0.61       | %          |
| Stock Indices  |       | 6.44       | %          |
|           |       |       |       |
| Total          |       | 27.77      | %          |

 

The Trust registered astrong gain during 2008.  All majorsectors—stock indices, currencies, interest rates, energy, metals andagricultural commodities—contributed profits.

 

The ongoing financial andeconomic turmoil triggered by the U.S. housing and mortgage crises andsubsequent credit crunch exploded with international ramifications throughoutthe year.  Central banks in the developedcountries made more money available against a broader range of collateral to awider group of financial firms than ever before.  In the U.S., increasing evidence of problemsfor the real economy deriving from the financial market freeze-up prompted theFederal Reserve to announce dramatic cuts in the federal funds and discountrates, and to initiate a series of liquidity enhancing programs.  Extraordinary events during the yearincluded  the U.S. Government’s seizuresof  Fannie Mae and Freddie Mac andbailout and substantial takeover of AIG Insurance, the bankruptcy of LehmanBrothers, “breaking the buck” by a major institutional money market fund, therescues and sales of Bear Stearns, Washington Mutual, Wachovia and MerrillLynch in the U.S. and several major financial institutions in Europe, theprovision of preferred equity by the Treasury to troubled U.S. financialinstitutions and the Treasury’s U.S. auto industry bailout.

 

In this environment,worldwide inflation and growth dynamics changed markedly during the year.  Concerns about stagflation with the worstgrowth slowdown in the U.S. characterized the first half of 2008, but werereplaced during the second half by worries about global deflation, recessionand perhaps even depression as the world’s financial system seized up andnearly ground to a halt.  In response tomargin calls, the loss of credit facilities, and to avoid insolvency, marketparticipants unwound risky trades, reduced leverage massively, and soughtliquidity and safety.  Against thisbackground, price trends in some sectors—equities and interest rates— thoughvolatile, were sustained for much of the year. In other sectors—currencies and commodities—trends reversed abruptly.

 

 

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Short stock index futurespositions throughout most of Europe, the U.S., Japan and non-Japan Asiaproduced gains, particularly during the second half of 2008.

 

Long positions in U.S.,Australian, and Canadian long term and short term interest rate futures wereprofitable, while trading of European futures was somewhat unprofitable.

 

Foreign exchange rateswere volatile.  Early in the year theU.S. dollar was under persistent pressure and short dollar trades wereprofitable.  Over the summer, as theflight to safety commenced, these short trades lost money and dollar positionswere reversed to long trades.  These longdollar positions produced gains over the last several months of 2008.  During the first half of the year, carrytrades—being long high interest rate currencies—were profitable.  Later, however, as risky trades were unwound,these carry trades produced losses and were reversed.  Near year-end these short positions in highyield currencies were profitable.

 

Commodity prices overallexhibited broad swings.  Energy pricesexperienced a strong upward thrust with crude oil hitting successive new alltime highs into early July.  Thereafter,energy prices collapsed.  As a result,long energy positions were very profitable in the January-June period,produced losses and were reversed to short positions over the summer, and shortenergy positions were profitable in the fourth quarter.  Returns from metals trading were alsovolatile: strong gains from generally long positions in the January-June periodwere offset by losses over the summer, which were followed by strong gains fromshort industrial metals positions during the fourth quarter.  Trading of agricultural commodities followeda similar pattern.  Long positions atfirst produced profits, but then generated losses as they were reversed toshort positions which subsequently produced profits.

 

*2007*

 

During 2007, the Trustachieved net realized and unrealized gains of $78,261,449 from its tradingoperations (including foreign exchange transactions and translations).  Brokerage fees of $38,279,891, administrativeexpenses of  $1,878,041 and custody feesof $85,806 were paid or accrued.  TheTrust allocated $6,459,328 in profit share to the New Profits Memo Account forthe benefit of the Managing Owner. Interest income of $26,686,249 partially offset the Trust’s expensesresulting in a net gain of $58,244,632 and a 11.26% increase in the Net AssetValue per Unit.  An analysis of thetrading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| Currencies     |       | 4.17              | %          |
| Energies       |       | 1.56              | %          |
| Grains         |       | 3.90              | %          |
| Interest Rates |       | 2.18              | %          |
| Livestock      |       | 0.31              | %          |
| Metals         |       | 1.89              | %          |
| Softs          |       | (0.99             | )%         |
| Stock Indices  |       | 1.69              | %          |
|           |       |              |       |
| Total          |       | 14.71             | %          |

 

The Trust produced a gainin 2007.  Strong returns were obtainedfrom trading currency forwards and grain futures.  Solid profits were also attributable tointerest rate, metal, energy and stock index futures trading.  The only sector to register a loss for theyear was soft commodities.

 

During the first half of2007, the Trust’s positions, which are all driven by our technical models,reflected several themes: solid global growth, high worldwide liquidity, agradual tightening of monetary policies worldwide, and a diminution of thedollar’s role in worldwide trade and reserve management.  As a result, the Trust, in terms of its broad structure, took short positions in interestrates, U.S. dollar trading, except against low interest rate currencies such asthe Japanese yen and Swiss franc, cross currency trading of lower interest ratecurrencies and 

 

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natural gas futures; mixed positions in softs andlivestock; moderately long positions in crude oil and petroleum productsfutures; and long positions in high interest rate currencies, equity indexfutures, grain futures and precious and industrial metal futures.

 

The positions in financialsand metals were highly profitable, while energy, grain and livestock tradingwere unprofitable during the January-June period.

 

During the summer, thespreading impact of the sub-prime problem triggered a sharp and widespreaddrying up of liquidity, a broad based contraction of “risk-oriented” trades,and a flight to quality. In particular, equities were sold, government andshort-term interest rate instruments were bought, the dollar was in demand, andcarry trades were unwound. As the financial market turmoil spread, concernabout slowing growth caused metals and energy futures to be sold. All theseactions occurred simultaneously and produced trend reversals in virtually allof the positions held in the portfolio. Hence, while our portfolio is diversified across over 100 positions in 8sectors, diversification was ineffective and markets became almost universallycorrelated.  In response to these losses,our directional and volatility models substantially lowered our position sizes,reducing exposures by almost two-thirds.

 

During the final fourmonths of 2007, many of the trends which had been disrupted by the marketdislocations of August reasserted themselves. In particular, short dollarpositions, long energy positions and long precious metal positions were allprofitable.  Interest rate trading wasprofitable largely because a flight to quality and safety produced gains on newlong positions, particularly in US Treasury and short-term futures.  In addition, a profitable bull market ingrains, which had arisen over the summer, continued and accelerated. On theother hand, the expanding turmoil in financial markets proved impervious to theefforts of Central Banks, leading to a sell-off in equities that generatedlosses as the Trust’s long stock index positions were being reduced andreversed.  Also, a continued unwinding ofcarry trades lead to losses in cross currency trading.

 

**2006**

 

During 2006, the Trustachieved net realized and unrealized gains of $40,749,020 from its tradingoperations (including foreign exchange transactions and translations).  Brokerage fees of $30,857,253, administrativeexpenses of $1,592,624 and custody fees of $71,580 were paid or accrued.  The Trust allocated $114,672 in profit shareto the New Profits Memo Account for the benefit of the Managing Owner.  Interest income of $20,667,947 partiallyoffset the Trust’s expenses resulting in a net gain of $28,780,838 and a 6.34%increase in the Net Asset Value per Unit. An analysis of the trading gain (loss) by sector is as follows:

 

| **Sector**     | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
| Currencies     |       | (5.87             | )%         |
| Energies       |       | 0.28              | %          |
| Grains         |       | (2.02             | )%         |
| Interest Rates |       | 1.21              | %          |
| Livestock      |       | (0.62             | )%         |
| Metals         |       | 8.81              | %          |
| Softs          |       | (0.33             | )%         |
| Stock Indices  |       | 8.00              | %          |
|           |       |              |       |
| Total          |       | 9.46              | %          |

 

The Trust generated amoderate gain for the year.  Trading ofmetals and stock index futures produced significant profits, and trading ofinterest rate and energy futures added small gains.  On the other hand, currency trading resultedin a sizable loss, and trading activity in grains, livestock and softs wassomewhat negative.

 

Strong economicconditions worldwide underpinned industrial and precious metal prices.  Periodic fears of shortages also buoyed theprices of industrial metals.  Concernabout inflation, a weaker U.S. dollar, and reserve diversification out ofdollars provided an added boost to precious metal prices.  In addition, introduction of a silver 

 

16

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ETF alongside theexisting gold ETFs increased the demand for precious metals.  Consequently, long positions in copper, zinc,nickel, tin, aluminum, lead, gold, silver, and platinum were profitable.

 

Broad based growth,encompassing the emerging markets—led by China and India—the U.S., Europe, andby year-end even Japan encouraged investors worldwide.  Hence, long positions in European, Chinese,Hong Kong, and U.S. stock index futures were profitable.

 

During the first half of2006, short positions in short-term and long-term interest rate futures werewidely profitable as interest rates rose on the back of strong growth,inflation worries, and Fed Funds rate increases.  By July, however, there was growing concernthat tighter Central Bank monetary policies throughout the world might induce agrowth slowdown.  As a result, interestrates, particularly long-term interest rates, came down and losses on shortpositions offset most of the earlier gains. The downward pressure on long-term interest rates was augmented by OPECand Bank of China purchases of longer term government bonds for reservemanagement purposes.  On balance, therewas still a modest profit for the year from interest rate trading.

 

Currency trading wasunprofitable throughout the year. Significant volatility without sustained trends characterized mostcurrency markets.  Market participantscontinued to discuss the likelihood of a weaker U.S. dollar, but with the Bankof China tightly controlling the movements of the Yuan, fluctuations in mostmajor currencies were restrained and no sustained U.S. dollar move occurred.

 

Elsewhere, trading ofgrains, softs and livestock was somewhat unprofitable, while energy tradingproduced a fractional gain.

 

Off-Balance SheetArrangements

 

The Trust does not engage in off-balance sheet arrangements with otherentities.

 

Contractual Obligations

 

The Trust does not enterinto any contractual obligations or commercial commitments to make futurepayments of a type that would be typical for an operating company or that wouldaffect its liquidity or capital resources. The Trust’s sole business is trading futures and forward currencycontracts, both long (contracts to buy) and short (contracts to sell).  All such contracts are settled by offset, notdelivery.  Substantially all suchcontacts are for settlement within four months of the trade date andsubstantially all such contracts are held by the Trust for less than fourmonths before being offset or rolled over into new contracts with similarmaturities.   The Trust’s FinancialStatements, included as Exhibit 13.01 to this report, present a CondensedSchedule of Investments setting forth net unrealized appreciation(depreciation) of the Trust’s open future and forward currency contracts, bothlong and short, at December 31, 2008.

 

Item 7A.  Quantitativeand Qualitative Disclosures About Market Risk

 

**Introduction**

 

***Past Results Are Not NecessarilyIndicative of Future Performance***

 

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

 

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.

 

 

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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 affectperformance, and the Trust’s past performance is not necessarily indicative ofits future results.

 

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 the foregoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of the quantificationincluded in this section should not be considered to constitute any assuranceor representation that the Trust’s losses in any market sector will be limitedto Value at Risk or by the Trust’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.

 

Quantifyingthe Trust’s Trading Value at Risk

 

***QuantitativeForward-Looking Statements***

*** ***

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

 

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 variation margin).

 

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 exchanges using historical price studies as well asan assessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one day pricefluctuation.

 

The Trust calculates Valueat Risk for forward currency contracts that are not exchange traded usingexchange maintenance margin requirements for equivalent or similar futurespositions as the measure of Value at Risk.

 

In quantifying the Trust’sValue at Risk, 100% positive correlation in the different positions held ineach market risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave simply been aggregated to determine each trading category’s aggregateValue at Risk.  The diversificationeffects resulting from the fact that the Trust’s positions are rarely, if ever,100% positively correlated have not been reflected.

 

*The Trust’s Trading Value at Riskin Different Market Sectors*

 

The following tablesindicate the average, highest and lowest amounts of trading Value at Riskassociated with the Trust’s open positions by market category for the fiscalyears ended December 31, 2008 and 2007. During 

 

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fiscal year 2008 and 2007,the Trust’s average total capitalization was approximately $802.4 million and$561.6 million, respectively.

 

| **Fiscal Year 2008** | ** ** |
|----------------------|------------|
| **Market Sector**    | ** ** | **Average**

**Value at Risk** | ** ** | **% of Average**

**Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
|                 |       |   |   |   |   |   |   |   |   |
| Currencies           |       | $ | 11.0 |   | 1.4 | % | $ | 18.3 |   | $ | 5.3 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Energies             |       | $ | 6.7 |   | 0.8 | % | $ | 9.8 |   | $ | 1.2 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Grains               |       | $ | 1.5 |   | 0.2 | % | $ | 3.0 |   | $ | 0.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Interest Rates       |       | $ | 6.4 |   | 0.8 | % | $ | 7.6 |   | $ | 4.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Livestock            |       | $ | 1.1 |   | 0.1 | % | $ | 1.4 |   | $ | 0.9 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Metals               |       | $ | 10.0 |   | 1.2 | % | $ | 11.8 |   | $ | 7.9 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Softs                |       | $ | 3.7 |   | 0.5 | % | $ | 6.4 |   | $ | 2.1 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Stock Indices        |       | $ | 12.8 |   | 1.6 | % | $ | 25.9 |   | $ | 6.4 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Total                |       | $ | 53.2 |   | 6.6 | % |   |   |   |   |
|                 |       |   |   |   |   |   |   |   |   |
|                 |       |   |   |   |   |   |   |   |   |
| **Fiscal Year 2007** | ** ** |
| **Market  Sector**   | ** ** | **Average**

**Value at Risk** | ** ** | **% of Average**

**Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** |   |
| ** **           | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |   |   |   |
| Currencies           |       | $ | 19.2 |   | 3.3 | % | $ | 26.8 |   | $ | 14.7 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Energies             |       | $ | 5.4 |   | 0.9 | % | $ | 7.0 |   | $ | 3.5 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Grains               |       | $ | 2.1 |   | 0.4 | % | $ | 2.6 |   | $ | 1.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Interest Rates       |       | $ | 12.5 |   | 2.3 | % | $ | 21.5 |   | $ | 7.3 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Livestock            |       | $ | 0.7 |   | 0.1 | % | $ | 1.3 |   | $ | 0.3 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Metals               |       | $ | 8.1 |   | 1.4 | % | $ | 10.0 |   | $ | 5.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Softs                |       | $ | 3.0 |   | 0.6 | % | $ | 3.8 |   | $ | 1.9 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Stock Indices        |       | $ | 17.6 |   | 3.2 | % | $ | 26.4 |   | $ | 10.4 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Total                |       | $ | 68.6 |   | 12.2 | % |   |   |   |   |

 

Average, highest and lowest Value at Risk amounts relate to thequarter-end amounts during the fiscal year. Average Capitalization is the average of the Trust’s capitalization atthe end of each month during the fiscal years 2008 and 2007.  Dollar amounts represent millions of dollars.

 

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***MaterialLimitations on Value at Risk as an Assessment of Market Risk***

*** ***

The face value of themarket sector instruments held by the Trust is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally range 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 positionscreates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Trust to incur severe losses over a short periodof time.  The foregoing Value at Risktable — as well as the past performance of the Trust — give no indication ofthis “risk of ruin.”

 

***Non-TradingRisk***

*** ***

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 (over90%) 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 5%) 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.

 

***QualitativeDisclosures Regarding Primary Trading Risk Exposures***

*** ***

*Thefollowing qualitative disclosures regarding the Trust’s market risk exposures —except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Managing Owner manages the Trust’sprimary market risk exposures — constitute forward-looking statements withinthe meaning of Section 27A of the Securities Act and Section 21E ofthe Exchange Act.  The Trust’s primarymarket risk exposures as well as the strategies used and to be used by theManaging 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 be preparedto 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, 2008, bymarket sector.

 

Financial Instruments. Interest rate movements directly affect the price of the sovereign bondfutures positions held by the Trust and indirectly the value of its stock indexand currency positions.  Interest ratemovements in one country as well as relative interest rate movements betweencountries may materially impact the Trust’s profitability.  The Trust’s primary interest rate exposure isto interest rate fluctuations in the United States and other majorindustrialized, or Group of Seven (Canada, France, Germany, Italy, Japan,United Kingdom and United States, collectively, “G-7”) countries.  However, the Trust also may take positions infutures contracts on the government debt of other nations.  As of December 31, 2008, the Trust hadexposure to Australian Treasury 3 and 10 year Bonds, Aussie Bank Bills, CanadaBankers Acceptance, Canadian Government Bonds, Euribor, Euro Bobl, Euro Bund,Euro Dollar, Euro Schatz, Euro Buxl, Euro Yen, Euro Swiss, Gilts, JapaneseGovernment Bonds, Sterling Rates, US Treasury 2 year Notes, US Treasury 5 yearNotes, US Treasury 10 year Notes and US Treasury 30 year Bonds.  The Managing Owner anticipates that G-7interest rates, both long-term and short-term, will remain the primary marketexposure of the Trust for the foreseeable future.

 

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Currencies. Exchange rate risk is a principal market exposure of the Trust.  The Trust’s currency exposure is to exchangerate fluctuations, primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs.  The fluctuations are influenced by interestrate changes as well as political and general economic conditions.  The Trust trades in a large number ofcurrencies, including cross-rates—e.g., positions between two currencies otherthan the U.S. dollar.  As of December 31,2008, the Trust’s currency exposures were in the U.S. dollar versus the Euro,Swiss Franc, Czech Koruna, Polish Zloty, Norwegian Krone, Swedish Krona,Canadian Dollar, South African Rand, New Zealand Dollar, Australian Dollar,Japanese Yen, Korean Won, Singapore Dollar, Mexican Peso, Turkish Lira, IndianRupee, Brazilian Real, Chilean Peso, Colombian Peso, Israeli Shekel, RussianRuble and British Pound.  The primaryexposures in the currency crosses were in the Japanese Yen versus the BritishPound and Euro; in the Euro versus the Polish Zloty, Swedish Krona, TurkishLira, Czech Koruna, New Zealand Dollar, Swiss Franc and Norwegian Krone; in theCanadian Dollar versus the Norwegian Krone; in the New Zealand Dollar versusthe Canadian Dollar and the Swiss Franc; in the Swiss Franc versus theNorwegian Krone; and in the Norwegian Krone versus the Swedish Krona.

 

Stock Indices. The Trust’s equity exposure, through stock index futures, is to equityprice risk in the G-7 countries as well as other countries.  As of December 31, 2008, the Trust’sexposures in the G-7 countries were in the: E-Mini NASDAQ 100, E-Mini S&P500, Mini Russell 2000 and E-Mini Dow (United States); FTSE (United Kingdom);TOPIX and Nikkei (Japan); TSE 60 (Canada); DAX (Germany); MIB 30 (Italy); andCAC-40 (France).  The Trust’s exposure tostock index futures of other countries at December 31, 2008 were in theSimex Taiwan (Taiwan), Simex (Singapore), All Shares (South Africa), SPI 200(Australia), IBEX 35 (Spain), Hang Seng and H-Shares (Hong Kong), AmsterdamIndex (Netherlands), OMX (Sweden), Nifty Index (India) and the DJ Euro Stoxx 50(Euro Zone) stock indices.

 

Metals.  The Trusttrades precious and base metals.  As of December 31,2008, the Trust’s metals market exposure was in gold, gold (TOCOM), silver,platinum (TOCOM), London aluminum, copper, London copper, London lead, Londonnickel, London tin and London zinc.

 

Agricultural. The Trust’s primary commodities exposure is to agricultural pricemovements, which are often directly affected by severe or unexpected weatherconditions.  As of December 31,2008, the Trust had exposure to agricultural commodities including coffee,sugar, cocoa, cotton, wheat, Kansas City wheat, corn, soybean, soy meal, beanoil, live cattle, hogs and rubber (TOCOM).

 

Energy.  The Trust’sprimary energy market exposure is to gas and oil price movements, oftenresulting from political developments in the Middle East and economicconditions worldwide.  Energy prices arevolatile and substantial profits and losses have been and are expected tocontinue to be experienced in this market. As of December 31, 2008, the Trust had exposure to energycommodities including brent crude oil, crude oil, gasoline RBOB, gasoline(TOCOM), heating oil, kerosene (TOCOM), London gas oil and natural gas.

 

***QualitativeDisclosures Regarding Non-Trading Risk Exposure***

*** ***

The following were theonly non-trading risk exposures of the Trust as of December 31, 2008.

 

Foreign Currency Balances. The Trust’s primary foreign currency balances are in Japanese Yen,Euros, British Pounds, Australian Dollars, Canadian Dollars, Swiss Francs,Swedish Krona, South African Rand, Singapore Dollar and Hong Kong Dollars.  The Trust controls the non-trading risk ofthese balances by regularly converting these balances back into U.S. dollars(no less frequently than twice a month).

 

Securities Positions. The Trust’s only market exposure in instruments held other than fortrading is in its securities portfolio. The Trust holds only cash or a cash equivalent short-term U.S.government money market fund or interest-bearing, credit risk-free, short-termpaper — typically U.S. Treasury instruments with durations no longer than 1year.  Violent fluctuations in prevailinginterest rates could cause immaterial mark-to-market losses on the Trust’ssecurities, although substantially all of these short-term instruments are heldto maturity.

 

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***QualitativeDisclosures Regarding Means of Managing Risk Exposure***

*** ***

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 goal of the ManagingOwner’s research has been to develop and select a mix of systems in each marketand to allocate risk across a wide array of markets, so as to contain overallportfolio risk within a targeted range while allowing exposure to profitabletrend opportunities.  Over more than 30years, the Managing Owner has developed hundreds of trading systems. Thesetrading systems generate buy or sell decisions in a particular market based onthe direction of price movements in the market.

 

Of course, systems can bematerially different — better in some periods and worse in others.  The main distinguishing features aretime-frame over which systems work (intra-day to long-term), the type of datafed into them (granularity [ticks to weeks/months], type [market or economicstatistics], source [cash, futures or options markets]), and the objective ofthe system (profiting from trends, trading-ranges or volatility).  No single approach will work all the time.  Therefore, the Managing Owner’s objective isto have several approaches operating at all times.  Since the early 1980’s, the Managing Ownerhas selected multiple systems for each market.

 

When arriving at theportfolio allocation, the Managing Owner seeks maximum diversification subjectto liquidity constraints.  The marketstraded and allocations are reviewed monthly, although changes may occur lessfrequently.  The following factors areconsidered in constructing a universe of markets to trade for each portfolio:  profitability, correlation of marketperformance, liquidity of markets, professional judgment, desireddiversification and transaction costs. Once the universe of markets is established, the Managing Owner’ssimulation and optimization techniques help determine which markets to includein the portfolio.  The current allocationto any market in the portfolio does not exceed 2.0%.

 

In attempting to assessmarket volatility as a means of monitoring and evaluating risk, the ManagingOwner uses its volatility overlay as a part of individual market riskmanagement. This system is designed to measure the risk in the portfolio’sposition in each market and signals a decrease in position size when riskincreases and an increase in position size when risk decreases. The ManagingOwner’s volatility overlay maintains overall portfolio risk and distribution ofrisk across markets within designated ranges. It is applied to the systematic strategies described above.  A secondary benefit of the volatility overlaycan be timely profit taking.  Becausemarkets tend to become more volatile after a profitable trend has been longunderway, the volatility overlay often signals position reductions before trendreversals.

 

In addition to thevolatility overlay, the Managing Owner’s risk management focuses on moneymanagement principles applicable to the portfolio as a whole rather than toindividual markets.  One such principleis portfolio diversification, which attempts to improve the quality of profitsby reducing volatility.

 

Additional moneymanagement principles applicable to the portfolio as a whole include: (1) limitingthe assets committed as margin or collateral, generally within a range of 5% to35% of an account’s net assets, though the amount may at any time besubstantially higher; (2) prohibiting pyramiding - that is, usingunrealized profits in a particular market as margin for additional positionssolely in the same market; and (3) changing the equity used for trading byan account solely on a controlled periodic basis, not automatically due to anincrease in equity from trading profits.

 

Another important riskmanagement function is the careful control of leverage or portfolio size.Leverage levels are determined by simulating the entire portfolio—all markets,all systems, all risk control overlays, the exact weightings of the markets inthe portfolio and the proposed level of leverage—over the past five or tenyears to determine the worst case experienced by the portfolio in thesimulation period.

 

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The worst case or peak-to-troughdrawdown is measured from a daily high in portfolio assets to the subsequentdaily low whether that occurs days, weeks or months after the daily high. Ifthe Managing Owner considers the drawdown too severe, it reduces the leverageor portfolio size. There are, however, no restrictions on the amount ofleverage the Managing Owner may use at any given time.

 

Item 8.   Financial Statements and Supplementary Data

 

Financial statementsrequired by this item, including the report of Deloitte & Touche LLPfor the fiscal years ended December 31, 2008, 2007 and 2006, are includedas 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 31,2008 and 2007.  This information has notbeen audited.

 
| ** **                                       | ** ** | **Fourth Quarter  2008**  | ** ** | **Third Quarter  2008**  | ** ** | **Second Quarter   2008** | ** ** | **First Quarter  2008**  | ** ** |
|--------------------------------------------------|------------|---------------------------|------------|--------------------------|------------|---------------------------|------------|--------------------------|------------|
| Interest Income:                                 |       | $                         | 4,124,569  |                     | $          | 5,038,733                 |       | $                        | 5,527,002  |   | $ | 6,583,405 |   |
| Net Realized and  Unrealized Gains (Losses):     |       | 138,723,118               |       | (37,772,182              | )          | 63,890,524                |       | 45,387,780               |       |
| Expenses*:                                       |       | 41,849,399                |       | 3,778,427                |       | 23,121,441                |       | 18,699,482               |       |
| Net Income  (Loss):                              |       | 100,998,288               |       | (36,511,876              | )          | 46,296,085                |       | 33,271,703               |       |
| Increase  (Decrease) in Net Asset Value per Unit |       | 140.45                    |       | (60.25                   | )          | 74.86                     |       | 58.77                    |       |
|                                             |       |                      |       |                     |       |                      |       |                     |       |
| ** **                                       | ** ** | **Fourth  Quarter  2007** | ** ** | **Third  Quarter  2007** | ** ** | **Second  Quarter  2007** | ** ** | **First  Quarter  2007** | ** ** |
| Interest Income:                                 |       | $                         | 6,924,900  |                     | $          | 7,322,519                 |       | $                        | 6,536,211  |   | $ | 5,902,619 |   |
| Net Realized and  Unrealized Gains (Losses) :    |       | 31,837,419                |       | (67,788,260              | )          | 106,756,612               |       | 7,455,678                |       |
| Expenses*:                                       |       | 15,220,255                |       | (5,255,944               | )          | 28,003,232                |       | 8,735,523                |       |
| Net Income  (Loss):                              |       | 23,542,064                |       | (55,209,797              | )          | 85,289,591                |       | 4,622,774                |       |
| Increase  (Decrease) in Net Asset Value per Unit |       | 43.14                     |       | (111.34                  | )          | 176.39                    |       | 8.88                     |       |

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*  Expenses are inclusive of accruals andreversals of accruals of profit share to the Managing Owner.  In the 3rd Quarter of 2007 reversal of the Managing Owner’srealized and accrued profit share resulted in negative Expenses.

 

There were no extraordinary,unusual or infrequently occurring items recognized in any quarter within thetwo most recent fiscal years, and the Trust has not disposed of any segments ofits business.  There have been noyear-end adjustments that are material to the results of any fiscal quarterreported above.

 

Item9.   Changes in and Disagreements with Accountantson Accounting and Financial Disclosure

 

None.

 

Item9A.   Controls and Procedures

 

The Managing Owner, withthe participation of the Managing Owner’s principal executive officers andprincipal financial officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Trustas of the end of the fiscal year for which this Annual Report on Form 10-Kis being filed, and, based on their evaluation, have concluded that thesedisclosure controls and procedures are effective.  There were no significant changes in theManaging Owner’s internal controls with respect to the Trust or 

 

23

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in other factorsapplicable to the Trust that could significantly affect these controlssubsequent to the date of their evaluation.

 

*Changesin Internal Control over Financial Reporting*

 

*               *Section 404 of the Sarbanes-Oxley Act of 2002requires the Managing Owner to evaluate annually the effectiveness of itsinternal controls over financial reporting as of the end of each fiscal year,and to include a management report assessing the effectiveness of its internalcontrol over financial reporting in all annual reports. There were no changesin the Trust’s internal control over financial reporting during the quarterended December 31, 2008 that have materially affected, or are reasonablylikely to materially affect, our internal control over financial reporting.

 

*Management’sAnnual Report on Internal Control over Financial Reporting*

 

                The Managing Owner is responsible for establishingand maintaining adequate internal control over the Trust’s financial reporting.Internal control over financial reporting is defined in Rules 13a-15(f) and15d-15(f) under the Exchange Act as a process designed by, or under thesupervision of, a company’s principal executive and principal financialofficers and effected by a company’s board of directors, management and otherpersonnel to provide reasonable assurance regarding the reliability offinancial reporting and the preparation of financial statements for externalpurposes in accordance with GAAP. The Managing Owner’s internal control overfinancial reporting includes those policies and procedures that:

 

 ·   pertain to the maintenanceof records that, in reasonable detail, accurately and fairly reflect thetransactions and dispositions of the Trust’s assets;

 

 ·   provide reasonable assurancethat transactions are recorded as necessary to permit preparation of the Trust’sfinancial statements in accordance with GAAP, and that the Trust’s receipts andexpenditures are being made only in accordance with authorizations of theManaging Owner’s management and directors; and

 

 ·   provide reasonable assuranceregarding prevention or timely detection of unauthorized acquisition, use ordisposition of the Trust’s assets that could have a material effect on theTrust’s financial statements.

 

                Because of its inherent limitations, internal controlover financial reporting may not prevent or detect misstatements. Projectionsof any evaluation of effectiveness to future periods are subject to the riskthat controls may become inadequate because of changes in conditions, or thatthe degree of compliance with the policies or procedures may deteriorate.

 

                The Managing Owner assessed the effectiveness of itsinternal control over financial reporting with respect to the Trust as of December 31,2008.  In making this assessment,management used the criteria set forth by the Committee of SponsoringOrganizations of the Treadway Commission (COSO) in Internal Control —Integrated Framework.  Based on its assessment, management has concludedthat, as of December 31, 2008, the Managing Owner’s internal control overfinancial reporting with respect to the Trust is effective based on thosecriteria.

 

                This annual report does not include an attestationreport of the Trust’s independent registered public accounting firm regardingcontrol over financial reporting.  The Managing Owner’s report was notsubject to attestation by the Trust’s registered public accounting firmpursuant to rules of the SEC that temporarily permit the Trust to onlyprovide the Managing Owner’s report in this Annual Report on Form 10-K.

 

Item 9B.  Other Information

 

None.

 

24

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PART III

 

Item10.   Directors, Executive Officers and CorporateGovernance

 

(a,b)  Identification of Directors andExecutive Officers

 

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 a Delaware corporation organized in May 1982to manage discretionary accounts in futures and forward markets.  It is the corporate successor to a futurestrading and advisory organization which has been continuously managing assetsin the currency and futures markets using quantitative, systematic techniquessince 1971.

 

The principals and seniorofficers of the Managing Owner as of December 31, 2008 are as follows:

 

***Harvey Beker, age 55.***   Mr. Bekeris Co-Chief Executive Officer and Co-Chairman of the Managing Owner and TheMillburn Corporation.  He received aBachelor of Arts degree in economics from New York University (“NYU”) in 1974and a Master of Business Administration degree in finance from NYU in1975.  From June 1975 to July 1977,Mr. Beker was employed by Loeb Rhoades, Inc. where he developed andtraded silver arbitrage strategies.  FromJuly 1977 to June 1978, Mr. Beker was a futures trader atClayton Brokerage Co. of St. Louis.  Mr. Bekerhas been employed by The Millburn Corporation since June 1978 andinitially served as the Director of Operations for its affiliate, MillburnPartners.  During his tenure at theManaging Owner (including its affiliates, Millburn Partners and CommInVest) hehas been instrumental in the development of the research, trading andoperations areas.  Mr. Beker becamea principal of the firm in June 1982, and a partner in the predecessor toShareInVest in April 1982.  Mr. Bekerbecame registered as an Associated Person of the Managing Owner effective November 25,1986.  Additionally, he became listed asa principal and registered as an associated person of The Millburn Corporationeffective February 8, 1984 and May 23, 1989, respectively.  Mr. Beker was an associated person andlisted principal of ShareInVest from February 20, 1986 until February 25,2007.

 

***Gregg R. Buckbinder, age 50.***   Mr. Buckbinderis Senior Vice-President and Chief Operating Officer of the Managing Owner andThe Millburn Corporation.  He joined theManaging Owner and The Millburn Corporation in January 1998 from OdysseyPartners, L.P. where he was responsible for the operation, administration andaccounting of the firm’s merchant banking and managed account businesses from July 1990through December 1997.  Mr. Buckbinderwas employed by Tucker Anthony, a securities broker and dealer, from June 1985to July 1990 where he was First Vice President and Controller, and from August 1983to June 1984 where he designed and implemented various operations andaccounting systems.  He was with thepublic accounting firm of Ernst & Whinney from June 1984 to June 1985as a manager in the tax department and from September 1980 to August 1983as a senior auditor, with an emphasis on clients in the financial servicesbusiness.  Mr. Buckbinder graduated *cum laude* from Pace University (“Pace”) in 1980 with aB.B.A. in accounting and received an M.S. in taxation from Pace in 1988.  He is a Certified Public Accountant and amember of the American Institute of Certified Public Accountants.  Mr. Buckbinder became listed as aprincipal of the Managing Owner effective February 5, 1999.  He became listed as a principal of TheMillburn Corporation effective March 23, 1998.  Mr. Buckbinder also became a partner inShareInVest in January 2000.  Mr. Buckbinderwas a listed principal of ShareInVest from February 28, 2001 until February 25,2007.

 

***George E. Crapple, age 64.***   Mr. Crappleis Co-Chief Executive Officer and Co-Chairman of the Managing Owner and TheMillburn Corporation.  In 1966 hegraduated with honors from the University of Wisconsin where his field ofconcentration was economics and he was elected to Phi Beta Kappa.  In 1969 he graduated from Harvard Law School,**magna cum laude**, where hewas 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 and joined theManaging Owner and The Millburn Corporation (including its affiliates, MillburnPartners and CommInVest) on April 1, 1983 on a full-time basis.  He became a partner in ShareInVest in April 1984.  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, a member of 

 

25

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the Global MarketsAdvisory Committee of the CFTC and a member of the board of directors of theFutures Industry Association (“FIA”).  Mr. Crapplebecame listed as a principal and registered as an associated person of theManaging Owner effective September 13, 1984 and April 2, 1988,respectively.  Additionally, he becamelisted as a principal and registered as an associated person of The MillburnCorporation effective April 9, 1981 and May 23, 1989,respectively.  He was also an associatedperson and listed principal of ShareInVest from February 20, 1986 until February 25,2007.

 

***Steven M. Felsenthal, age 39.********* Mr. Felsenthalis General Counsel and Chief Compliance Officer of the Managing Owner and TheMillburn Corporation.  Prior to joiningthe Managing Owner and its affiliates in January 2004, Mr. Felsenthalwas a senior associate in the investment management group at Schulte Roth &Zabel LLP (September 1999-January 2004), where he represented and advisedhedge funds, registered investment companies, investment advisers,broker-dealers and banks in connection with all facets of their assetmanagement businesses, and was a member of the tax department of Kramer, Levin,Naftalis & Frankel LLP (October 1996-September 1999).  He graduated**cum laude** from Yeshiva University in 1991 with a B.A. degreein political science, and **order ofthe coif** from Fordham University School of Law in 1996, where he alsoserved as an editor of the Fordham Environmental Law Journal.  Mr. Felsenthal received an LL.M degreein taxation from NYU School of Law in 2001 and has written and been quoted innumerous published articles, and frequently speaks at conferences, on varioustopics related to investment management. Mr. Felsenthal is a member of the New York State Bar, Chairman ofthe Managed Funds Association CPO/CTA Advisory Committee and a member of theEditorial Board of the Journal of Securities Law, Regulation and Finance.  Mr. Felsenthal became listed as aprincipal of the Managing Owner and The Millburn Corporation effective June 24,2004.  Mr. Felsenthal also served asGeneral Counsel and Chief Compliance Officer of ShareInVest.

 

Edward Ferara, age31.  Mr. Ferara is a Vice Presidentand the Associate Director of Research of The Millburn Corporation.  He joined The Millburn Corporation in August 2003and is responsible for the design and implementation of the Managing Owner’squantitative trading strategies.  Hegraduated *summa cum laude* from The Cooper Unionfor the Advancement of Science and Art in 1999 with a B.E. in mechanicalengineering and received an S.M. degree from the Massachusetts Institute ofTechnology (“M.I.T.”) in 2001.  Mr. Ferarawas employed as an associate analyst by Moody’s Investor Services from February 2002to July 2003.

 

***Mark B. Fitzsimmons, age 61.****** ***Mr. Fitzsimmons is a SeniorVice-President of the Managing Owner and The Millburn Corporation.  His responsibilities include both businessdevelopment and investment strategy.  Hejoined the Managing Owner and its affiliates in January 1990 from MorganStanley & Co. Incorporated where he was a Principal and Manager ofinstitutional foreign exchange sales and was involved in strategic trading forthe firm from October 1987 until January 1990.  From September 1977 to October 1987he was with Chemical Bank New York Corporation (“Chemical”), first as a SeniorEconomist in Chemical’s Foreign Exchange Advisory Service and later as aVice-President and Manager of Chemical’s Corporate Trading Group.  While at Chemical he also traded both foreignexchange and fixed income products.  FromSeptember 1973 to September 1977 Mr. Fitzsimmons was employed bythe Federal Reserve Bank of New York, dividing his time between theInternational Research Department and the Foreign Exchange Department.  He graduated *summa cumlaude* from the University of Bridgeport, Connecticut in 1970 with aB.S. degree in economics.  His graduatework was done at the University of Virginia, where he received a certificate ofcandidacy for a Ph.D. in economics in 1973. Mr. Fitzsimmons became listed as a principal of the Managing Ownereffective July 2, 1993.  He becamelisted as a principal and registered as an associated person of The MillburnCorporation effective June 20, 1995 and October 12, 1992,respectively.  Mr. Fitzsimmons wasalso a partner in ShareInVest beginning in January 2000.  Mr. Fitzsimmons was a listed principalof ShareInVest from May 19, 1999 until February 25, 2007.

 

***Barry Goodman, age 51.*********  Mr. Goodmanis Executive Vice-President, Director of Trading and a member of the ResearchCommittee of the Managing Owner and The Millburn Corporation.  Mr. Goodman joined the Managing Ownerand The Millburn Corporation (including its affiliate, Millburn Partners) in November 1982as Assistant Director of Trading.  Hisresponsibilities include overseeing the firm’s trading operations and managingits trading relationships, as well as the design and implementation of tradingsystems.  From September 1980through October 1982 he was a commodity trader for E. F. Hutton &Co., Inc. (“E.F. Hutton”).  At E.F.Hutton, he also designed and maintained various technical indicators andcoordinated research projects pertaining to futures markets.  Mr. Goodman graduated **magna cum laude** from Harpur Collegeof the State University of New York in 1979 with a B.A. in economics.  Mr. Goodman became listed as a principaland registered as an associated person of 

 

26

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the Managing Ownereffective December 19, 1991 and May 23, 1989, respectively.  He also became listed as a principal andregistered as an associated person of The Millburn Corporation effective June 20,1995 and April 5, 1989, respectively. He became a partner in ShareInVest in January 1994. Mr. Goodmanwas a listed principal of ShareInVest from May 19, 1999 until February 25,2007.

 

***Dennis B. Newton, age 57.********* Mr. Newtonis a Senior Vice-President of the Managing Owner and The MillburnCorporation.  His primaryresponsibilities are in administration and business development.  Prior to joining the Managing Owner and TheMillburn Corporation in September 1991, Mr. Newton was President ofPhoenix Asset Management, Inc., a registered commodity pool operator from April 1990to August 1991 and President of its affiliated introducing broker, PhoenixFutures Inc. (“Phoenix”), from March 1990 to June 1991.  Prior to his employment with Phoenix, Mr. Newtonwas a Director of Managed Futures with Prudential-Bache Securities Inc. (“Prudential-Bache”)from October 1987 to March 1990 and was associated with itsaffiliated FCM entity, Prudential Securities Futures Management, Inc.  Mr. Newton joined Prudential-Bache fromHeinold Asset Management, Inc.  (“Heinold”),and its affiliated FCM, Heinold Commodities Inc., where he was a member of thesenior management team from October 1974 to October 1987.  Heinold was a pioneer and one of the largestsponsors of funds utilizing futures and currency forward trading.  Mr. Newton became listed as a principaland registered as an associated person and branch office manager of theManaging Owner effective May 14, 1997, May 30, 1991 and December 16,1991, respectively.  He also becamelisted as a principal of The Millburn Corporation effective May 5, 2004.

 

***Grant N. Smith, age 57.***   Mr. Smithis Executive Vice-President and Co-Director of Research of the Managing Ownerand The Millburn Corporation.  He isresponsible for the design, testing and implementation of quantitative tradingstrategies, as well as for planning and overseeing the computerizeddecision-support systems of the firm.  Hereceived a B.S. degree from M.I.T. in 1974 and an M.S. degree from M.I.T. in1975.  While at M.I.T., he held several teachingand research positions in the computer science field and participated invarious projects relating to database management.  He joined the predecessor entity to TheMillburn Corporation in June 1975, and has been continuously associatedwith the Managing Owner, The Millburn Corporation and their affiliates sincethat time.  Mr. Smith became listedas a principal of the Managing Owner effective December 19, 1991.  He became listed as a principal andregistered as an associated person of The Millburn Corporation effective June 20,1995 and May 21, 1992, respectively. Mr. Smith also became a partner in ShareInVest in January 1994.  Mr. Smith was a listed principal ofShareInVest from May 19, 1999 until February 25, 2007.

 

***Tod A. Tanis, age 54.***  Mr. Tanisis a Vice President, Principal Accounting Officer and Director of Operations ofthe Managing Owner and The Millburn Corporation.  He is responsible for overseeing operationsand accounting for the firm’s commodity pools. He graduated from Grove City College in May 1976 with a B.A. inaccounting and joined the Managing Owner and The Millburn Corporation in May of1983.  Prior to joining the ManagingOwner and its affiliates, he was with E.F. Hutton, where he was a Manager from December 1982to April 1983; a Supervisor from August 1982 to December 1982;an International Accountant from April 1979 to August 1982; and astaff accountant from June 1978 to April 1979.  As a Manager at E.F. Hutton, he wasresponsible for all internal and external commodity reporting.  Mr. Tanis also served as a JuniorAccountant and then International Staff Accountant with Merrill Lynch &Company from September 1976 to May 1978.  Mr. Tanis became listed as a principalof the Managing Owner and The Millburn Corporation effective July 14,2004.

 

(c)   Identification of Certain SignificantEmployees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

See Item 10 (a, b) above.

 

27

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(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   Codeof Ethics

 

The Trust has noemployees, officers or directors and is managed by the Managing Owner. The Managing Owner has adopted an Executive Code of Ethics that applies to itsprincipal executive officers, principal financial officer and principalaccounting officer.  A copy of this Executive Code of Ethics may beobtained at no charge by written request to Millburn Ridgefield Corporation,411 West Putnam Avenue, Greenwich, Connecticut 06830 or by calling 203-625-7554(ask for Client Services).

 

(h)   AuditCommittee Financial Expert

 

Because the Trust has noemployees, officers or directors, the Trust has no audit committee.  The Trust is managed by the ManagingOwner.  Gregg Buckbinder serves as theManaging Owner’s “audit committee financial expert.”  Mr. Buckbinder is not independent of themanagement of the Managing Owner.  TheManaging Owner is a privately owned corporation managed by itsshareholders.  It has no independentdirectors.

 

Item 11.  Executive Compensation

 

The Trust has nodirectors, officers or employees.  Noneof the directors, officers or employees of the Managing Owner receivecompensation from the Trust.  TheManaging Owner makes all trading decisions on behalf of the Trust.  The Managing Owner receives monthly brokeragecommissions of 0.583 of 1% of the Trust’s Net Assets (which is reduced to 0.541of 1%, 0.5 of 1% or 0.458 of 1% of Net Assets for Unitholders who investamounts of $100,000, $500,000 or $1,000,000 or more, respectively, in the Trustand to 0.33 of 1% for Unitholders who invest through selling agent fee-basedaccounts) and an annual profit share of 20% of any new trading profit asdefined.

 

Item 12.   Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

The Trust knows of no person who owns beneficiallymore than 5% of the Units.  All of theTrust’s managing owner interest is 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 interestwas valued at $11,560,510 as of December 31, 2008, 1.12% of the Trusts’total capital.

 

(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 “Item12.  Security Ownership of CertainBeneficial Owners and Management.” The Trust allocated to the Managing Owner $54,511,974 in brokerage feesand allocated $30,185,853 in profit share to the New Profits Memo Account forthe year ended  December 31,2008.  The 

 

28

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Managing Owner’s interestshowed an allocation of income of $2,252,422 for the year ended December 31,2008.  The Managing Owner has paidcertain administrative expenses to third-parties on behalf of the Trust,related to legal, accounting, auditing, printing, postage and similaradministrative expenses, and has been or will be reimbursed without interest bythe Trust.  At December 31, 2008,the Trust owed the Managing Owner redemption penalty payable of $22,611.  The Trust is prohibited from making anyloans.

 

Item14.   Principal Accountant Fees and Services

 

(1)           Audit Fees

 

The aggregate fees forprofessional services rendered by Deloitte & Touche LLP in connectionwith their audit of the Trust’s financial statements and reviews of thefinancial statements included in the quarterly reports on Form 10-Q and inconnection with the statutory and regulatory filings for the years ended December 31,2008 and 2007 were approximately $140,000 and $125,000, respectively.

 

(2)           Audit-Related Fees

 

There were no fees forassurance and related services rendered by Deloitte & Touche LLP forthe years ended December 31, 2008 and 2007.

 

(3)           Tax Fees

 

The aggregate fees forprofessional services rendered by Deloitte & Touche LLP for taxcompliance, advice or planning services for the benefit of the Trust for theyears ended December 31, 2008 and 2007 was approximately $92,100 and$46,100, respectively.

 

(4)           All Other Fees

 

None

 

(5)           Pre-Approval Policies

 

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.   Exhibitsand Financial Statement Schedules

 

(a)(1)   Financial Statements

 

The following areincluded with the 2008 Report of Independent Registered Public Accounting Firm,a copy of which is filed herewith as Exhibit 13.01.

 

Affirmation of MillburnRidgefield Corporation

Report of IndependentRegistered Public Accounting Firm

Statements of FinancialCondition

Condensed Schedules ofInvestments

Statements of Operations

Statements of Changes inTrust Capital

Statements of FinancialHighlights

Notes to FinancialStatements

 

 

29

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(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.

 

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

 

The following exhibitsare included herewith.

 

| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2008 Report of Independent Registered Public  Accounting Firm                    |
|            |       |                                                                             |
| 31.1            |       | Rule 13a-14(a)/15d-14(a) Certification of  Principal Execuive Officert |
|            |       |                                                                             |
| 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) filedon August 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 RegistrationStatement (File No. 333-67072) filed on January 11, 2002 on Form S-1under the Securities Act 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 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, 2002on Form S-1 under the Securities Act of 1933.

 

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

 

The followingexhibits are 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. |
|-------|--------|---------------------------------------------------------------------|

 

30

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| 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. |
|------|--------|--------------------------------------------------------------------------------------------|

 

31

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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 30th day of March, 2009.

 
|   | 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.

 
| ** **            | ** ** | **Title with**                         | ** ** | ** **          |
|-----------------------|------------|----------------------------------------|------------|---------------------|
| **Signature**         | ** ** | **Managing Owner**                     | ** ** | **Date**            |
|                  |       |                                   |       |                |
| /s/ Harvey Beker      |       | Co-Chief                               |       | March 30, 2009 |
| Harvey Beker          |       | Executive Officer and  Director        |       |                |
|                  |       | (Principal Executive  Officer)         |       |                |
|                  |       |                                   |       |                |
| /s/ George E. Crapple |       | Co-Chief Executive                     |       | March 30, 2009 |
| George E. Crapple     |       | Officer and Director                   |       |                |
|                  |       | (Principal Executive  Officer)         |       |                |
|                  |       |                                   |       |                |
| /s/ Gregg Buckbinder  |       | Chief Financial and  Operating Officer |       | March 30, 2009 |
| Gregg Buckbinder      |       | (Principal Financial  Officer)         |       |                |
|                  |       |                                   |       |                |
| /s/ Tod A. Tanis      |       | Vice President                         |       | March 30, 2009 |
| Tod A. Tanis          |       | (Principal Accounting  Officer)        |       |                |

 

(Being the principalexecutive officers, the principal financial officer and principal accountingofficer, and a majority of the directors of Millburn Ridgefield Corporation)

 

32

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EXHIBIT INDEX

 

The following exhibits areincluded herewith.

 

| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2008 Report of  Independent Registered Public Accounting Firm                    |
|            |       |                                                                             |
| 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) filedon August 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 underthe Securities Act 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, 2002on Form S-1 under 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 is incorporatedby reference from the exhibit of the same number and description filed withRegistrant’s Registration Statement (File No. 333-109122) filed September 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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