**Exhibit 13.01**

 

***GlobalMacro Trust***

 

*FinancialStatements for theYears Ended December 31, 2004 and 2003 and for thePeriod from July 1, 2002 (Commencement of Operations)to December 31, 2002 and Report of Independent Registered Public Accounting Firm*

 

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**GLOBALMACRO TRUST**

 

**TABLE OFCONTENTS**

 
| AFFIRMATION  OF MILBURN RIDGEFIELD CORPORATION                                                                                                                                                 |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                           |   |
| REPORT  OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM                                                                                                                                       |   |
|                                                                                                                                                                                           |   |
| FINANCIAL STATEMENTS:                                                                                                                                                                          |   |
|                                                                                                                                                                                           |   |
| Statements  of Financial Condition at December 31, 2004 and 2003                                                                                                                          |   |
|                                                                                                                                                                                           |   |
| Condensed  Schedules of Investments at December 31, 2004 and 2003                                                                                                                         |   |
|                                                                                                                                                                                           |   |
| Statements of Operations for  the Years Ended December 31, 2004 and 2003 and for the Period from July 1,  2002 (commencement of operations) to December 31, 2002                |   |
|                                                                                                                                                                                           |   |
| Statements of  Changes in Trust Capital for the Years Ended December 31, 2004 and 2003  and for the Period from July 1, 2002 (commencement of operations) to December 31,  2002 |   |
|                                                                                                                                                                                           |   |
| Statements of  Financial Highlights for the Years ended December 31, 2004 and 2003 and  for the Period from July 1, 2002 (commencement of operations) to December 31,  2002     |   |
|                                                                                                                                                                                           |   |
| Notes to Financial  Statements                                                                                                                                                                 |   |

 

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**AFFIRMATION OF MILLBURNRIDGEFIELD CORPORATION**

 

Incompliance with the Commodity Futures Trading Commission’s regulations, Ihereby affirm that to the best of my knowledge and belief, the informationcontained in the statements of financial condition of Global Macro Trust at December 31,2004 and 2003, including the condensed schedules of investments, and therelated statements of operations, changes in trust capital and financialhighlights for the years ended December 31, 2004 and 2003 and period from July 1,2002 (commencement of operations) to December 31, 2002 are complete andaccurate.

 

 

Harvey Beker, Co-ChiefExecutive OfficerMillburn Ridgefield CorporationManaging Owner of Global Macro Trust

 

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**REPORT OF INDEPENDENT REGISTEREDPUBLIC ACCOUNTING FIRM**

 

To the UnitholdersofGlobal Macro Trust

 

We have audited the accompanying statement offinancial condition of Global Macro Trust (the “Trust”) as of December 31,2004, including the condensed schedule of investments, and the relatedstatements of operations, changes in trust capital and financial highlights forthe year then ended. These financial statements and financial highlights arethe responsibility of the Managing Owner. Our responsibility is to express anopinion on these financial statements and financial highlights based on ouraudit.  The financial statements andfinancial highlights for the year ended December 31, 2003 and for theperiod from July 1, 2002 (commencement of operations) to December 31,2002, including the condensed schedule of investments for 2003, wereaudited by other auditors whose report dated February 17, 2004, expressedan unqualified opinion on those statements.

 

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial highlights arefree of material misstatement. An audit includes consideration of internalcontrol over financial reporting as a basis for designing audit procedures thatare appropriate in the circumstances, but not for the purpose of expressing anopinion on the effectiveness of the Trust’s internal control over financialreporting.  Accordingly, we express nosuch opinion. An audit also includes examining, on a test basis, evidencesupporting the amounts and disclosures in the financial statements andfinancial highlights, assessing the accounting principles used and significantestimates made by management, as well as evaluating the overall financialstatement presentation. We believe that our audit provides a reasonable basisfor our opinion.

 

In our opinion, the financial statements and financialhighlights referred to above present fairly, in all material respects, thefinancial position of Global Macro Trust at December 31, 2004, and theresults of its operations, changes in trust capital and financial highlightsfor the year then ended in conformity with accounting principles generallyaccepted in the United States of America.

 

Deloitte &Touche LLPNew York, New York

February 25,2005

 

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**GLOBALMACRO TRUST**

 

**STATEMENTS OF FINANCIAL CONDITIONDECEMBER 31, 2004 AND 2003**

 
| ** **                                                                                              | ** ** | **2004**    | ** **  | **2003**    | ** ** |
|---------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
|                                                                                                    |       |        |        |        |       |
| **ASSETS**                                                                                              |       |        |        |        |       |
|                                                                                                    |       |        |        |        |       |
| EQUITY IN TRADING ACCOUNTS:                                                                             |       |        |        |        |       |
| Investments in U.S. Treasury notes—at market value  (amortized cost $93,673,900 and $71,655,967)   |       | $           | 93,585,656  |        | $          | 71,665,738 |   |
| Net unrealized appreciation on open futures and  forward currency  contracts                       |       | 8,976,242   |        | 10,338,345  |       |
| Due from brokers                                                                                        |       | 14,586,101  |        | 1,567,007   |       |
| Cash denominated in foreign currencies (cost  $3,973,168 and $1,222,354)                                |       | 4,047,040   |        | 1,206,430   |       |
|                                                                                                    |       |        |        |        |       |
| Total equity in trading accounts                                                                        |       | 121,195,039 |        | 84,777,520  |       |
|                                                                                                    |       |        |        |        |       |
| INVESTMENTS IN U.S. TREASURY NOTES—at market value  (amortized cost $259,131,416 and $131,251,914) |       | 258,828,719 |        | 131,275,363 |       |
|                                                                                                    |       |        |        |        |       |
| CASH AND CASH EQUIVALENTS                                                                               |       | 33,354,499  |        | 30,078,366  |       |
|                                                                                                    |       |        |        |        |       |
| ACCRUED INTEREST RECEIVABLE                                                                             |       | 925,585     |        | 2,076,817   |       |
|                                                                                                    |       |        |        |        |       |
| OTHER ASSETS                                                                                            |       | 12,994      |        | —      |       |
|                                                                                                    |       |        |        |        |       |
| TOTAL                                                                                                   |       | $           | 414,316,836 |        | $          | 248,208,066 |   |
|                                                                                                    |       |        |        |        |       |
| **LIABILITIES AND TRUST CAPITAL**                                                                       |       |        |        |        |       |
|                                                                                                    |       |        |        |        |       |
| LIABILITIES:                                                                                            |       |        |        |        |       |
| Subscriptions from Unitholders received in advance                                                      |       | $           | 12,831,913  |        | $          | 17,044,763 |   |
| Due to Managing Owner                                                                                   |       | 105,884     |        | 22,189      |       |
| Accrued brokerage fees                                                                                  |       | 2,115,155   |        | 1,200,189   |       |
| Redemptions payable                                                                                     |       | 2,177,732   |        | 1,000,949   |       |
|                                                                                                    |       |        |        |        |       |
| Total liabilities                                                                                       |       | 17,230,684  |        | 19,268,090  |       |
|                                                                                                    |       |        |        |        |       |
| TRUST CAPITAL:                                                                                          |       |        |        |        |       |
| Managing Owner interest (4,217.782 and 2,724.138  units outstanding)                                    |       | 4,027,377   |        | 2,747,433   |       |
| Unitholders (411,644.991 and 224,273.549 units  outstanding)                                            |       | 393,058,775 |        | 226,192,543 |       |
|                                                                                                    |       |        |        |        |       |
| Total trust capital                                                                                     |       | 397,086,152 |        | 228,939,976 |       |
|                                                                                                    |       |        |        |        |       |
| TOTAL                                                                                                   |       | $           | 414,316,836 |        | $          | 248,208,066 |   |
|                                                                                                    |       |        |        |        |       |
| Net asset value per unit outstanding                                                                    |       | $           | 954.85      |        | $          | 1,008.56 |   |

 

See notes to financial statements.

 

2

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**GLOBALMACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTSYEAR ENDED DECEMBER 31, 2004**

 
| **Futures and Forward Currency Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
|                                                     |       |                                                                       |       |                                              |       |
| FUTURES CONTRACTS:                                       |       |                                                                       |       |                                              |       |
| LONG FUTURES CONTRACTS:                                  |       |                                                                       |       |                                              |       |
| Energies                                                 |       | (0.23                                                                      | )%         | $                                                 | (893,110   | ) |
| Interest rates                                           |       | 0.03                                                                       |       | 139,714                                           |       |
| Livestock                                                |       | 0.02                                                                       |       | 69,770                                            |       |
| Metals                                                   |       | 0.06                                                                       |       | 233,838                                           |       |
| Softs                                                    |       | 0.07                                                                       |       | 276,097                                           |       |
| Stock indices                                            |       | 0.79                                                                       |       | 3,128,785                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| Total long futures contracts                             |       | 0.74                                                                       |       | 2,955,094                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| SHORT FUTURES CONTRACTS:                                 |       |                                                                       |       |                                              |       |
| Energies                                                 |       | 0.19                                                                       |       | 744,052                                           |       |
| Grains                                                   |       | 0.15                                                                       |       | 580,497                                           |       |
| Interest rates                                           |       | 0.01                                                                       |       | 47,560                                            |       |
| Metals                                                   |       | 0.03                                                                       |       | 115,995                                           |       |
| Softs                                                    |       | (0.03                                                                      | )          | (129,175                                          | )          |
|                                                     |       |                                                                       |       |                                              |       |
| Total short futures contracts                            |       | 0.35                                                                       |       | 1,358,929                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 1.09                                                                       |       | 4,314,023                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| FORWARD CURRENCY CONTRACTS:                              |       |                                                                       |       |                                              |       |
| TOTAL LONG FORWARD CURRENCY CONTRACTS                    |       | 3.36                                                                       |       | 13,347,920                                        |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL SHORT FORWARD CURRENCY CONTRACTS                   |       | (2.19                                                                      | )          | (8,685,701                                        | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | 1.17                                                                       |       | 4,662,219                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL                                                    |       | 2.26                                                                       | %          | $                                                 | 8,976,242  |   |

 

(Continued)

 

3

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**GLOBALMACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTSYEAR ENDED DECEMBER 31, 2004**

 

**U.S. Treasury Notes**

 
| **Face  Amount** | ** **  | **Description**                                                         | ** **                             | **Value as a %  of Trust  Capital** | ** ** | **Value**   | ** **  |
|------------------|-------------|-------------------------------------------------------------------------|----------------------------------------|-------------------------------------|------------|-------------|-------------|
| ** **       | ** **  | ** **                                                              | ** **                             | ** **                          | ** ** | ** **  | ** **  |
| $                | 118,000,000 |                                                                    | U.S. Treasury  notes, 1.500%, 02/28/05 |                                | 29.70      | %           | $           | 117,926,250 |   |
| 118,000,000      |        | U.S. Treasury  notes, 1.250%, 05/31/05                                  |                                   | 29.57                               |       | 117,410,000 |        |
| 118,000,000      |        | U.S. Treasury  notes, 1.875%, 11/30/05                                  |                                   | 29.48                               |       | 117,078,125 |        |
|             |        |                                                                    |                                   |                                |       |        |        |
|             |        | Total investments in U.S. Treasury notes  (amortized cost $352,805,316) |                                   | 88.75                               | %          | $           | 352,414,375 |   |
|                  |             |                                                                         |                                        |                                     |            |             |             |  |  |

 

(Concluded)

 

See notes to financialstatements.

 

4

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**GLOBALMACRO TRUST**

 

**CONDENSED SCHEDULE OFINVESTMENTS**

**YEAR ENDED DECEMBER 31,2003**

 
| **Futures and Forward Currency Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
| ** **                                               | ** ** | ** **                                                                 | ** ** | ** **                                        | ** ** |
| FUTURES CONTRACTS:                                       |       |                                                                       |       |                                              |       |
| LONG FUTURES CONTRACTS:                                  |       |                                                                       |       |                                              |       |
| Energies                                                 |       | (0.75                                                                      | )%         | $                                                 | (1,722,556 | ) |
| Interest rates                                           |       | 0.04                                                                       |       | 100,472                                           |       |
| Metals                                                   |       | 0.94                                                                       |       | 2,156,857                                         |       |
| Softs                                                    |       | (0.05                                                                      | )          | (121,385                                          | )          |
| Stock indices                                            |       | 0.48                                                                       |       | 1,107,995                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| Total long futures contracts                             |       | 0.66                                                                       |       | 1,521,383                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| SHORT FUTURES CONTRACTS:                                 |       |                                                                       |       |                                              |       |
| Grains                                                   |       | 0.00                                                                       |       | (1,725                                            | )          |
| Interest rates                                           |       | (0.02                                                                      | )          | (62,975                                           | )          |
|                                                     |       |                                                                       |       |                                              |       |
| Total short futures contracts                            |       | (0.02                                                                      | )          | (64,700                                           | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 0.64                                                                       |       | 1,456,683                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| FORWARD CURRENCY CONTRACTS:                              |       |                                                                       |       |                                              |       |
| LONG FORWARD CURRENCY CONTRACTS:                         |       |                                                                       |       |                                              |       |
| Euro/U.S. Dollars, March 2004                       |       | 3.25                                                                       |       | 7,439,737                                         |       |
| Other long forward currency contracts                    |       | 2.35                                                                       |       | 5,386,670                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| Total long forward currency contracts                    |       | 5.60                                                                       |       | 12,826,407                                        |       |
|                                                     |       |                                                                       |       |                                              |       |
| SHORT FORWARD CURRENCY CONTRACTS:                        |       |                                                                       |       |                                              |       |
| Korean Won/U.S. Dollars, March 2004                 |       | (1.36                                                                      | )          | (3,111,002                                        | )          |
| Other short forward currency contracts                   |       | (0.36                                                                      | )          | (833,743                                          | )          |
|                                                     |       |                                                                       |       |                                              |       |
| Total short forward currency contracts                   |       | (1.72                                                                      | )          | (3,944,745                                        | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | 3.88                                                                       |       | 8,881,662                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL                                                    |       | 4.52                                                                       | %          | $                                                 | 10,338,345 |   |

 

(Continued)

 

5

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**GLOBALMACRO TRUST**

 

**CONDENSEDSCHEDULE OF INVESTMENTS**

**YEAR ENDED DECEMBER 31, 2003**

 

**U.S. Treasury Notes**

 
| **Face  Amount** | ** ** | **Description**                                                         | ** **                               | **Value as a %  of Trust  Capital** | ** ** | **Value**  | ** **  |
|------------------|------------|-------------------------------------------------------------------------|------------------------------------------|-------------------------------------|------------|------------|-------------|
| ** **       | ** ** | ** **                                                              | ** **                               | ** **                          | ** ** | ** ** | ** **  |
| $                | 67,400,000 |                                                                    | U.S. Treasury  notes, 4.750%, 02/15/2004 |                                | 29.57      | %          | $           | 67,694,875 |   |
| 67,400,000       |       | U.S. Treasury  notes, 3.375%, 04/30/2004                                |                                     | 29.67                               |       | 67,926,563 |        |
| 66,860,000       |       | U.S. Treasury  notes, 2.125%, 08/31/2004                                |                                     | 29.41                               |       | 67,319,663 |        |
|             |       |                                                                    |                                     |                                |       |       |        |
|             |       | Total investments in U.S. Treasury notes  (amortized cost $202,907,881) |                                     | 88.65                               | %          | $          | 202,941,101 |   |
|                  |            |                                                                         |                                          |                                     |            |            |             |  |  |

 

(Concluded)

 

 

See notes to financialstatements.

 

6

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**GLOBALMACRO TRUST**

 

**STATEMENTSOF OPERATIONS****YEARS ENDED DECEMBER 31, 2004 AND 2003 AND FOR THE PERIOD FROM JULY 1,2002**  **(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2002**

 
| ** **                                                                   | ** ** | **2004**    | ** **  | **2003**    | ** ** | **2002**    | ** ** |
|------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|
|                                                                         |       |        |        |        |       |        |       |
| INVESTMENT INCOME:                                                           |       |        |        |        |       |        |       |
| Interest income                                                              |       | $           | 4,131,334   |        | $          | 1,320,805   |       | $ | 110,054 |   |
|                                                                         |       |        |        |        |       |        |       |
| EXPENSES:                                                                    |       |        |        |        |       |        |       |
| Brokerage fees                                                               |       | 22,046,061  |        | 8,331,480   |       | 431,467     |       |
| Administrative expenses                                                      |       | 1,565,227   |        | 679,615     |       | 83,736      |       |
| Custody fees                                                                 |       | 50,048      |        | 13,929      |       | —      |       |
| Total expenses                                                               |       | 23,661,336  |        | 9,025,024   |       | 515,203     |       |
| Administrative expenses reimbursed by Managing Owner                         |       | —      |        | —      |       | (45,293     | )          |
| Net expenses                                                                 |       | 23,661,336  |        | 9,025,024   |       | 469,910     |       |
|                                                                         |       |        |        |        |       |        |       |
| NET INVESTMENT LOSS                                                          |       | (19,530,002 | )           | (7,704,219  | )          | (359,856    | )          |
|                                                                         |       |        |        |        |       |        |       |
| NET REALIZED AND UNREALIZED GAINS (LOSSES):                                  |       |        |        |        |       |        |       |
| Net realized gains (losses) on closed positions:                             |       |        |        |        |       |        |       |
| Futures and forward currency contracts                                       |       | 6,905,418   |        | (13,268,783 | )          | (508,799    | )          |
| Foreign exchange translation                                                 |       | 439,783     |        | 327,078     |       | (2,042      | )          |
| Net change in unrealized appreciation  (depreciation):                       |       |        |        |        |       |        |       |
| Futures and forward currency contracts                                       |       | (1,362,103  | )           | 8,881,551   |       | 1,456,794   |       |
| Foreign exchange translation                                                 |       | 89,796      |        | (11,405     | )          | (4,520      | )          |
| Net gains (losses) from U.S. Treasury notes:                                 |       |        |        |        |       |        |       |
| Net change in unrealized appreciation (depreciation)                         |       | (424,161    | )           | 20,932      |       | 12,288      |       |
|                                                                         |       |        |        |        |       |        |       |
| Total net realized and unrealized gains (losses)                             |       | 5,648,733   |        | (4,050,627  | )          | 953,721     |       |
|                                                                         |       |        |        |        |       |        |       |
| NET INCOME (LOSS)                                                            |       | (13,881,269 | )           | (11,754,846 | )          | 593,865     |       |
|                                                                         |       |        |        |        |       |        |       |
| LESS PROFIT SHARE TO MANAGING OWNER                                          |       | —      |        | 6,465       |       | 70,924      |       |
|                                                                         |       |        |        |        |       |        |       |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING  OWNER                      |       | $           | (13,881,269 | )           | $          | (11,761,311 | )          | $ | 522,941 |   |
|                                                                         |       |        |        |        |       |        |       |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING  OWNER PER UNIT OUTSTANDING |       | $           | (53.71      | )           | $          | (21.68      | )          | $ | 30.24 |   |

 

See notes to financialstatements.

 

7

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**GLOBALMACRO TRUST**

 

**STATEMENTS OF CHANGES IN TRUST CAPITAL****YEARS ENDED DECEMBER 31, 2004 AND 2003 AND FOR THE PERIOD FROM JULY 1,2002 (COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2002**

 
| ** **                                              | ** ** | **Unitholders** | ** **  | **New Profit Memo  Account** | ** **  | **Managing Owner** | ** ** | **Total** | ** ** |
|---------------------------------------------------------|------------|-----------------|-------------|------------------------------|-------------|--------------------|------------|-----------|------------|
| ** **                                              | ** ** | **Amount**      | ** **  | **Units**                    | ** **  | **Amount**         | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** |
| TRUST CAPITAL—July 1, 2002*:                  |       | $               | 1,858       |                         | 1.600       |               | $          | —    |       | — |   | $ | 404 |   | 0.400 |   | $ | 2,262 |   | 2.000 |   |
| Subscriptions                                           |       | 22,561,036      |        | 22,249.312                   |        | —             |       | —    |       | 2,001,600 |   | 2,001.600 |   | 24,562,636 |   | 24,250.912 |   |
| Redemptions                                             |       | (120,962        | )           | (121.797                     | )           | —             |       | —    |       | (1,678 | ) | (1.629 | ) | (122,640 | ) | (123.426 | ) |
| Additional units allocated**                            |       | —          |        | 15.790                       |        | —             |       | 0.002     |       | — |   | 87.244 |   | — |   | 103.036 |   |
| Net income (loss) after profit share to Managing Owner  |       | 372,546         |        | —                       |        | (14                | )          | —    |       | 150,409 |   | — |   | 522,941 |   | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | 314                |       | 0.289     |       | 70,610 |   | 68.537 |   | 70,924 |   | 68.826 |   |
| Transfer of New Profit Memo Account to Managing Owner   |       | —          |        | —                       |        | (300               | )          | (0.291    | )          | 300 |   | 0.291 |   | — |   | — |   |
|                                                    |
|                                                    |       |            |        |                         |        |               |       |      |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2002:              |       | 22,814,478      |        | 22,144.905                   |        | —             |       | —    |       | 2,221,645 |   | 2,156.443 |   | 25,036,123 |   | 24,301.348 |   |
| Subscriptions                                           |       | 219,974,319     |        | 206,500.699                  |        | —             |       | —    |       | 450,000 |   | 460.310 |   | 220,424,319 |   | 206,961.009 |   |
| Redemptions                                             |       | (4,693,826      | )           | (4,676.011                   | )           | —             |       | —    |       | (71,794 | ) | (68.826 | ) | (4,765,620 | ) | (4,744.837 | ) |
| Additional units allocated**                            |       | —          |        | 303.956                      |        | —             |       | 0.122     |       | — |   | 170.233 |   | — |   | 474.311 |   |
| Net income (loss) after profit share to Managing  Owner |       | (11,902,428     | )           | —                       |        | (436               | )          | —    |       | 141,553 |   | — |   | (11,761,311 | ) | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | 6,465              |       | 5.856     |       | — |   | — |   | 6,465 |   | 5.856 |   |
|                                                    |       |            |        |                         |        |               |       |      |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL— December 31, 2003:             |       | 226,192,543     |        | 224,273.549                  |        | 6,029              |       | 5.978     |       | 2,741,404 |   | 2,718.160 |   | 228,939,976 |   | 226,997.687 |   |
| Subscriptions                                           |       | 220,756,673     |        | 231,901.490                  |        | —             |       | —    |       | 1,186,000 |   | 1,249.523 |   | 221,942,673 |   | 233,151.013 |   |
| Redemptions                                             |       | (39,915,228     | )           | (45,296.507                  | )           | —             |       | —    |       | — |   | — |   | (39,915,228 | ) | (45,296.507 | ) |
| Additional units allocated**                            |       | —          |        | 766.459                      |        | —             |       | 0.409     |       | — |   | 243.712 |   | — |   | 1,010.580 |   |
| Net income (loss) after profit share to Managing  Owner |       | (13,975,213     | )           | —                       |        | 70                 |       | —    |       | 93,874 |   | — |   | (13,881,269 | ) | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | —             |       | —    |       | — |   | — |   | — |   | — |   |
|                                                    |       |            |        |                         |        |               |       |      |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2004               |       | $               | 393,058,775 |                         | 411,644.991 |               | $          | 6,099     |       | 6.387 |   | $ | 4,021,278 |   | 4,211.395 |   | $ | 397,086,152 |   | 415,862.773 |   |

 

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*    Commencement of operations

** Additionalunits are issued to Unitholders who are charged less than a 7.0% brokerage fee.

 

See notes tofinancial statements.

 

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**GLOBALMACRO TRUST**

 

**STATEMENTS OF FINANCIAL HIGHLIGHTS**

 
| ** **                                                                                  | ** ** | **Year Ended  December 31,  2004** | ** ** | **Year Ended  December 31,  2003** | ** ** | **Period from  July 1, 2002 * to  December 31,  2002** | ** ** |
|---------------------------------------------------------------------------------------------|------------|-----------------------------------------|------------|-----------------------------------------|------------|------------------------------------------------------------------|------------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT  OUTSTANDING THROUGHOUT THE PERIOD):        | ** ** | ** **                              | ** ** | ** **                              | ** ** | ** **                                                       | ** ** |
| Net income (loss) from operations:                                                          |       |                                    |       |                                    |       |                                                             |       |
| Net investment loss                                                                         |       | $                                       | (54.92     | )(a)                                    | $          | (65.85                                                           | )(a)       | $ | (28.53 | )(a) |
| Net realized and unrealized gains on trading of  futures and forward currency contracts (b) |       | 2.39                                    |       | 44.05                                   |       | 63.47                                                            |       |
| Net gains (losses) from U.S. Treasury notes                                                 |       | (1.18                                   | )(a)       | 0.18                                    | (a)        | 0.83                                                             | (a)        |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Net income (loss) from operations                                                           |       | (53.71                                  | )          | (21.62                                  | )          | 35.77                                                            |       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Less profit share allocated to Managing Owner                                               |       | —                                  |       | 0.06                                    |       | 5.53                                                             |       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Net income (loss) after profit share allocation                                             |       | (53.71                                  | )          | (21.68                                  | )          | 30.24                                                            |       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| NET ASSET VALUE—Beginning of period                                                    |       | 1,008.56                                |       | 1,030.24                                |       | 1,000.00                                                         |       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| NET ASSET VALUE—End of period                                                          |       | $                                       | 954.85     |                                    | $          | 1,008.56                                                         |       | $ | 1,030.24 |   |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| RETURNS:                                                                                    |       |                                    |       |                                    |       |                                                             |       |
| Total return before profit share allocation                                                 |       | (5.33                                   | )%         | (2.10                                   | )%         | 3.57                                                             | %          |
| Profit share allocation                                                                     |       | —                                  |       | 0.00                                    |       | (0.55                                                            | )          |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION                                                  |       | (5.33                                   | )          | (2.10                                   | )          | 3.02                                                             |       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                            |       |                                    |       |                                    |       |                                                             |       |
| Net investment loss (c)                                                                     |       | (6.05                                   | )          | (6.29                                   | )          | (6.22                                                            | )(d)       |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Total expenses (c)                                                                          |       | 7.32                                    |       | 7.34                                    |       | 7.83                                                             | (d)        |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Profit share allocation                                                                     |       | —                                  |       | 0.01                                    |       | 1.21                                                             | (d)        |
|                                                                                        |       |                                    |       |                                    |       |                                                             |       |
| Total expenses and profit share allocation (c)                                              |       | 7.32                                    | %          | 7.35                                    | %          | 9.04                                                             | %(d)       |
|                                                                                             |            |                                         |            |                                         |            |                                                                  |            |  |  |  |  |

 

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*                       Commencementof operations

(a)                Calculatedbased on weighted average number of units during the year.

(b)               Realizedand unrealized gains and losses per unit are balancing amounts necessary toreconcile the change in net asset value per unit with the other per unitinformation presented. It is not proportionate to the net realized andunrealized loss on the statements of operations because of the timing of salesand redemption of the Trust’s units and the timing of the realized andunrealized gains (losses) during the year.

(c)                Suchpercentages are after expense reimbursements. The Managing Owner voluntarilyreimbursed the Trust for certain administrative expenses (equal to 0.39% ofaverage trust capital) in 2002. There were no expense reimbursements on behalfof the Trust for the years ended December 31, 2004 and 2003.

(d)               Annualized

 

See notes to financialstatements.

 

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**GLOBALMACRO TRUST**

 

**NOTES TO FINANCIALSTATEMENTS**

**YEARSENDED DECEMBER 31, 2004 AND 2003 AND FOR THE PERIOD FROM JULY 1, 2002(COMMENCEMENT OF OPERATIONS) TO DECEMBER 31, 2002**

 

**1.****                      ORGANIZATION**

 

Global Macro Trust (the “Trust”) was organized on July 23,2001 under the Delaware Business Trust Act. At such time, original capital of$400 by the Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600by the Initial Unitholder, an affiliated entity, was contributed to the Trust.The Trust commenced trading operations on July 1, 2002. The Trust engagesin the speculative trading of futures and forward currency contracts. Theinstruments that are traded by the Trust are volatile and involve a high degreeof market risk.

 

The Managing Owner manages the business of the Trustand makes all trading decisions.

 

The Managing Owner has agreed to make additionalcapital contributions, subject to certain possible exceptions, in order tomaintain its capital account at not less than 1% of the total outstandingcapital contributions in the Trust (including the Managing Owner’scontributions) but in no event shall the Managing Owner invest less than$500,000 of the total capital contributions in the Trust. The Managing Ownerand the holders (the “Unitholders”) of the Units of Beneficial Interest (“Units”)issued by the Trust will share in any profits and losses of the Trust inproportion to the percentage interest owned by each, before brokeragecommissions and profit share allocations.

 

The Trust will terminate on December 31, 2031 orat an earlier date if certain conditions occur as defined in the Declaration ofTrust and the Trust Agreement (the “Agreement”).

 

**2.****                      SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES**

 

***Investments—***The Trust records its transactions infutures and forward currency contracts, including related income and expenses,on a trade date basis.

 

Open futures contracts are valued at market value andopen forward currency contracts are valued at fair value which is based onpricing models that consider the time value of money and the current market andcontractual prices of the underlying financial instruments. Realized gains(losses) and changes in unrealized appreciation (depreciation) on futures andforward currency contracts are recognized in the periods in which the contractsare closed or the changes occur, and are included in net realized andunrealized gains (losses) in the statements of operations.

 

Investments in U.S. Treasury notes are valued at themarket value based on bid quotations reported daily in The Wall Street Journal.The Trust amortizes premiums and accretes discounts on U.S. Treasury notesusing the effective interest method. Such securities are normally on depositwith financial institutions as collateral for performance 

 

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of the Trust’s trading obligations withrespect to derivative contracts or are held for safekeeping in a custodyaccount.

 

***Fair Value of FinancialInstruments—***Thefair value of the Trust’s assets and liabilities, which qualify as financialinstruments under Statement of Financial Accounting Standards No. 107, *Disclosures about Fair Value of Financial Instruments,*approximates the carrying amounts presented in the statements of financialcondition.

 

***Foreign Currency Translation—***Assets and liabilities denominated inforeign currencies are translated at quoted prices of such currencies.Purchases and sales of investments are translated at the exchange rateprevailing when such transactions occurred.

 

***Income Taxes—***Income taxes have not been provided, aseach Unitholder is individually liable for the taxes,if any, on his/her share of the Trust’s income and expenses.

 

***Estimates—***The preparation of financial statements inconformity with accounting principles generally accepted in the United Statesof America requires management to make estimates and assumptions that affectthe amounts and disclosures reported in the financial statements. Actualresults could differ from these estimates.

 

***Right of Offset—***The customer agreements between the Trustand each of its brokers give the Trust the legal right to net unrealized gainsand losses. Unrealized gains and losses related to offsetting transactions withthese brokers are reflected on a net basis in the equity in trading accounts inthe statements of financial condition.

 

***Reclassification*****s—**Certain reclassifications have been made to theprior years’ financial statements to conform to the current year presentation.Such reclassifications have no impact on the previously reported net income(loss) after profit share to Managing Owner.

 

**3.****                      TRUSTAGREEMENT**

 

The Trust pays brokerage fees to the Managing Owner atthe annual rate up to 7.0% of the Trust’s average month-end Net Assets ofUnitholders’ interests (prior to reduction for accrued brokerage commissions orProfit Share). Unitholders who make net capital investments in the Trust of$100,000 or more or who invest through asset-based fee or fixed fee investmentprograms are charged less than the annual brokerage rate of 7.0% as follows:

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

 

Brokerage fees will be charged to capital accounts ofthe Managing Owner, its principals, their respective affiliates or the NewProfit Memo Account only to the extent of charges 

 

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paid to third party executing and clearingbrokers. In order to maintain a uniform Net Asset Value per Unit, additionalunits are issued to Unitholders who are charged less than a 7.0% brokerage fee.

 

The Managing Owner, not the Trust, will pay allroutine costs of executing and clearing the Trust’s futures trades, includingbrokerage commissions payable to the clearing brokers. The Managing Owner alsopays, from its own funds, selling commissions on all sales of Units.

 

The Agreement provides that the Managing Owner’sprofit share, equal to 20% of New Trading Profits (as defined in the Agreement)in excess of the highest cumulative level of Trading Profit as of any previouscalendar year-end, is charged to the Unitholders’ capital accounts. However,for Unitholders’ redemptions during the year, the profit share calculationshall be computed as though the redemption occurred at year-end. Any profitshare charged is added to the Managing Owner’s capital account to the extentthat net taxable capital gains are allocated to the Managing Owner. Theremainder of such profit share, if any, is added to the New Profit MemoAccount. The Managing Owner may not make any withdrawal from the balance in theNew Profit Memo Account. If, at the end of a subsequent year, net taxable gainsare allocated to the Managing Owner in excess of such year’s profit share, acorresponding amount is transferred from the New Profit Memo Account to theManaging Owner’s capital account.

 

The Trust will pay its legal, accounting, auditing,printing, postage and similar administrative expenses (including Trustees’fees, accounting services fees and the expenses of updating the Prospectus), aswell as extraordinary costs. At December 31, 2004 and 2003, the ManagingOwner was owed $92,014 and $10,240, respectively, from the Trust in connectionwith such expenses it has paid on the Trust’s behalf. Such amounts are includedin “Due to Managing Owner” in the statements of financial condition. TheManaging Owner, at its discretion, may reimburse certain expenses paid by theTrust.

 

Units may be redeemed, at the option of anyUnitholder, at Net Asset Value (as defined in the Agreement) as of the close ofbusiness on the last business day of any calendar month on ten business days’written notice to the Managing Owner. Unitholders who redeem Units at or priorto the end of the first consecutive six-month and five-month periods after suchUnits are sold shall be assessed redemption charges calculated based on theirredeemed Units’ Net Asset Value as of the date of redemption as follows:

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

 

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All redemption charges will be paid to the ManagingOwner. At December 31, 2004 and 2003, $13,870 and $11,949, respectively,of redemption charges were owed to the Managing Owner. Such amounts areincluded in “Due to Managing Owner” in the statements of financial condition.The aggregate amount of redemption charges paid to the Managing Owner for theyears ended December 31, 2004, 2003, and for the period July 1, 2002(commencement of operations) to December 31, 2002 were $211,547, $19,392and $3,157, respectively.

 

**4.****                      DUEFROM/TO BROKERS**

 

At December 31, 2004 and 2003, the due frombrokers in the statements of financial condition includes cash receivable frombrokers.

 

**5.****                      TRADINGACTIVITIES**

 

The Trust conducts its trading activities with variousbrokers acting either as a broker or counterparty to various transactions. At December 31,2004 and 2003, cash and treasury notes aggregating $112,218,797 and$74,439,175, respectively, included in the Trust’s equity in trading accounts,were held by such brokers in segregated accounts as collateral as required byU.S. Commodity Futures Trading Commission’s regulations or by the counterpartybank or broker. Such collateral can be sold or repledged by the counterparties,at their discretion.

 

The Trust enters into contracts with various financialinstitutions that contain a variety of indemnifications. The Trust’s maximumexposure under these arrangements is unknown. However, the Trust has not hadprior claims or losses pursuant to these contracts and expects the risk of lossto be remote.

 

**6.****                      DERIVATIVEINSTRUMENTS**

 

The Trust is party to derivative financial instrumentsin the normal course of its business. These financial instruments includefutures and forward currency contracts which may be traded on an exchange (“exchange-tradedcontracts”) or over-the-counter (“OTC contracts”).

 

The Trust records its derivative activities on amark-to-market basis as described in Note 2. For OTC contracts, the Trustenters into master netting agreements with its counterparties. Therefore,assets represent the Trust’s unrealized gains, less unrealized losses for OTCcontracts in which the Trust has a master netting agreement. Similarly,liabilities represent net amounts owed to counterparties on OTC contracts.

 

Futures contracts are agreements to buy or sell anunderlying asset or index for a set price in the future. Initial margindeposits are made upon entering into futures contracts and can be either incash or treasury securities. Open futures contracts are revalued on a dailybasis to reflect the market value of the contracts at the end of each trading day.Variation margin payments are received or made, depending upon whetherunrealized gains or losses are incurred. When a contract is closed, the Trustrecords a realized gain or loss equal to the difference between the value ofthe contract at the time it was opened and the 

 

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time it was closed. The Trust bears themarket risk that arises from changes in the value of these financialinstruments.

 

Forward currency contracts entered into by the Trustrepresent a firm commitment to buy or sell an underlying currency at aspecified value and point in time based upon an agreed or contracted quantity.The ultimate gain or loss is equal to the difference between the value of thecontract at the onset and the value of the contract at settlement date.

 

Each of these financial instruments is subject tovarious risks similar to those related to the underlying financial instruments,including market risk, credit risk and sovereign risk.

 

Market risk is the potential change in the value ofthe instruments traded by the Trust due to market changes, including interestand foreign exchange rate movements and fluctuations in futures or securityprices. Market risk is directly impacted by the volatility and liquidity in themarkets in which the related underlying assets are traded. The financialinstruments traded by the Trust contain varying degrees of off-balance sheetrisk whereby changes in the market values of the futures and forward currencycontracts and the Trust’s satisfaction of its obligations related to suchmarket value changes may exceed the amount recognized in the statements offinancial condition.

 

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

 

Derivative contracts with a net unrealized gain(asset) of $4,662,219 and $8,881,662 at December 31, 2004 and 2003, respectively are related to forward currency contractswith the remaining unrealized gains related to exchange-traded futurescontracts. The primary difference in the risks associated with OTC contractsand exchange-traded contracts is credit risk. The Trust views its creditexposure to be $15,509,416 and $15,266,756 at December 31, 2004 and 2003,respectively, representing the fair value of OTC contracts in an unrealizedgain position.

 

The Managing Owner has established procedures toactively monitor market risk and minimize credit risk, although there can be noassurance that it will, in fact succeed in doing so. The Managing Owner’smarket risk control procedures includesdiversification of the Trust’s portfolio and continuously monitoring theportfolio’s open positions, historical volatility and maximum historical loss.The Managing Owner seeks to minimize credit risk primarily by depositing andmaintaining the Trust’s assets at financial institutions and brokers which theManaging Owner believes to be creditworthy. The Trust’s trading activities areprimarily with brokers and other financial institutions 

 

14

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located in North America, Europe and Asia. Allfutures transactions of the Trust are cleared by major securities firmspursuant to customer agreements. For all forward currency transactions, theTrust utilizes a single clearing broker which is a major financial institution.

 

The Trust is subject to sovereign risk such as therisk of restrictions being imposed by foreign governments on the repatriationof cash and the effect of political or economic uncertainties. Net unrealizedappreciation (depreciation) on futures and forward currency contracts aredenominated in the functional currency. Cash settlement of futures and forwardcurrency contracts is made in the local currency (settlement currency) and thentranslated to the functional currency (U.S. Dollar).

 

Net unrealized appreciation (depreciation) on futuresand forward currency contracts by settlement currency type, denominated in thefunctional currency, is detailed below:

 
| ** **         | ** ** | **December 31,**                                   | ** ** |
|--------------------|------------|---------------------------------------------------------|------------|
| ** **         | ** ** | **2004**                                                | ** ** | **2003** | ** ** |
| **Currency Type**  | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** |
|               |       |                                                    |       |   |   |   |   |   |   |
| Aussie dollar      |       | $                                                       | 519,566    |   | 5.79 | % | $ | — |   | — | % |
| British pound      |       | 19,235                                                  |       | 0.21 |   | 28,283 |   | 0.27 |   |
| Canadian dollar    |       | 179,354                                                 |       | 2.00 |   | — |   | — |   |
| Euro               |       | 75,557                                                  |       | 0.84 |   | 944,315 |   | 9.13 |   |
| Hong Kong dollar   |       | (43,924                                                 | )          | (0.49 | ) | 70,159 |   | 0.68 |   |
| Japanese yen       |       | 659,528                                                 |       | 7.35 |   | (451,483 | ) | (4.36 | ) |
| Norwegian krone    |       | (1,471,241                                              | )          | (16.39 | ) | (1,487,372 | ) | (14.39 | ) |
| Polish zloty       |       | 561,972                                                 |       | 6.26 |   | — |   | — |   |
| South African rand |       | 296,101                                                 |       | 3.30 |   | — |   | — |   |
| Swedish krone      |       | (278,216                                                | )          | (3.10 | ) | — |   | — |   |
| U.S. dollar        |       | 8,458,310                                               |       | 94.23 |   | 11,234,443 |   | 108.67 |   |
|               |       |                                                    |       |   |   |   |   |   |   |
| Total              |       | $                                                       | 8,976,242  |   | 100.00 | % | $ | 10,338,345 |   | 100.00 | % |

 

**7.****                      FINANCIALHIGHLIGHTS**

 

Per unit operating performance is calculated based onUnitholders’ trust capital taken as a whole. An individual Unitholder’s perunit operating performance may vary from these per unit values based on thetiming of capital transactions and differences in individual Unitholder’sbrokerage fee and profit share allocation arrangements.

 

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

 

15

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Returns are calculated for Unitholders taken as awhole and are not annualized. An individual Unitholder’s returns may vary fromthese returns based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

******

 

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