**UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-K**

** **

**ý****  Annual Report Pursuant to Section 13 or15(d)of the Securities Exchange Act of 1934**

 

**For the Fiscal Year Ended:  December 31, 2004**

 

**or**

 

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

 

**Commission File Number:  000-50102**

 

**GLOBALMACRO TRUST**

(Exact name of registrantas specified in its charter)

 
| **Delaware**                                                                                                             | ** ** | **36-7362830**                        |
|--------------------------------------------------------------------------------------------------------------------------|------------|---------------------------------------|
| (State or other jurisdiction of  incorporation or organization)                                                          |       | (I.R.S. Employer  Identification No.) |
|                                                                                                                     |       |                                  |
| **c/o  MILLBURN RIDGEFIELD CORPORATION  411 West Putnam Avenue  Greenwich, Connecticut  06830**                |
| (Address of principal  executive offices)                                                                                |
|                                                                                                                     |       |                                  |
| Registrant’s  telephone number, including area code:   **(203) 625-7554**                       |
|                                                                                                                     |       |                                  |
| Securities  registered pursuant to Section 12(b) of the Act:   **None**                         |
|                                                                                                                     |       |                                  |
| Securities registered  pursuant to Section 12(g) of the Act:   **Units of Beneficial Interest** |
| (Title  of Class)                                                                                                        |

 

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

 

Yes   ý                                 No   o

 

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulations S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part III of this Form 10-K or any amendment to this Form 10-K.    o

 

Indicate by check markwhether the registrant is an accelerated filer (defined in Rule 12b-2 ofthe Act).

 

Yes   o                                 No   ý

 

State the aggregatemarket value of the voting and non-voting common equity held by non-affiliatescomputed by reference to the price at which the common equity was last sold, orthe average bid and asked price of such common equity, as of the last businessday of the registrant's most recently completed second fiscal quarter.

 

Not applicable.

 

Documents Incorporated byReference

 

Registrant’sFinancial Statements for the years ended December 31, 2004 and 2003 andfor the Period from July 1, 2002 (commencement of operations) to December 31,2002 and Report of Independent Registered Public Accounting Firm, the annualreport to security holders for the fiscal year ended December 31, 2004, 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

 

GlobalMacro Trust (the “Trust”) is a Delaware statutory trust organized July 23,2001 pursuant to a Declaration of Trust and Trust Agreement (the “TrustAgreement”), under the Delaware Statutory Trust Act.  The Trust originally filed a registrationstatement, under the Securities Act of 1933, as amended, with the Securitiesand Exchange Commission to register $50 million of units of beneficial interest(the “Units”), which registration 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 filed additionalregistration statements with the Securities and Exchange Commission to bringthe total dollar amount of Units registered for sale to approximately $1,277,434,000,  and a total of $463,292,028 of Units havebeen sold to the public as of December 31, 2004.  The net asset value of a Unit originally soldfor $1,000 as of July 1, 2002, was $954.85 as of December 31,2004.  As of December 31, 2004,Units were being offered on a monthly basis at Net Asset Value per unit.  The Units are offered through a number ofselling agents, including UBS Financial Services Inc., on a best efforts basis.

 

TheTrust engages in speculative trading in the futures, options and forwardmarkets.  The amount of capital raisedfor the Trust should not have a significant impact on its operations, as theTrust has no significant capital expenditure or working capital requirementsother than to pay trading losses, brokerage fees and charges.

 

MillburnRidgefield Corporation (the “Managing Owner”), a Delaware corporation, is themanaging owner and the commodity trading advisor for the Trust.  The 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 $1,637,600and has redeemed $73,472 as of December 31, 2004.  After reflecting cumulative net gains of$385,460 and cumulative profit shares of $77,389, this investment totaled$4,027,377, as of December 31, 2004.

 

(b)   Financial information about industry segments

 

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

 

(c)   Narrative description of business

 

The Trust engages in the speculative trading offutures, options on futures and forward contracts.  The Trust’s sole trading advisor is theManaging Owner.  The Managing Ownertrades the Trust’s assets, pursuant to its Diversified Portfolio, in theagricultural, metals, energy, interest rate and stock indices futures and futuresoptions markets and in the currency markets, trading primarily forwardcontracts in the interbank market.  Theobjective of the Managing Owner’s trading method is to participate in all majorsustained price moves in the markets traded. The Managing Owner regards itsapproach as long-term in nature. The Managing Owner makes trading decisionspursuant to its trading method, which includes technical trend analysis,certain non-trend-following technical systems, and the money managementprinciples described below, which may be revised from time to time.

 

The first step in the trading methodology isdeveloping trading systems which generate buy or sell decisions in a particularmarket based on the direction of price trends occurring over differenttime-frames. Over the last 30 years, the Managing Owner has developed hundredsof trading systems. These “heritage” systems are augmented from time to timewith the results of research. The Managing Owner tests the full range of thesystems in each market against five, ten or fifteen years of historical data tosimulate the results the system would have achieved in the markets had thesystem been used to make trading decisions during the simulation period. Itthen 

 

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calculates (i) theprofitability of the systems and (ii) a number of statistics designed toidentify high quality profits such as (a) the percentage of profitabletrades, (b) the worst losses experienced, (c) the average giveback ofmaximum profits on profitable trades and (d) Sharpe ratio (risk-adjustedreturns).

 

TheManaging Owner selects multiple systems in each market after a review ofstatistical data for the heritage systems in an effort to diversify away fromreliance on a single system. The Managing Owner attempts to select systems withdifferent characteristics to smooth the return stream. The Managing Owner thenselects portfolio weightings taking into account statistical data on thesystems’ return, the relative volatility of the markets, liquidity constraintsand the Managing Owner’s judgment and experience.

 

Risk is a function of both price level and pricevolatility.  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.

 

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

 

Pursuantto the Trust Agreement, the Managing Owner receives a flat-rate monthlybrokerage fee equal to 0.58 of 1% of the month-end Net Assets (a 7.0% annualrate).  The Managing Owner charges lessthan the annual brokerage rate of 7% to those subscribers who either invest inamounts of $100,000 or more in the Units or subscribe without incurring theselling commission 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.

 

TheTrust’s organizational and initial offering costs were paid by the ManagingOwner without reimbursement from the Trust or its Unitholders.  The Trust pays its administrative expenses,including costs incurred in connection with the continuing offering of theTrust’s Units, and any extraordinary expenses which it may incur.  The Managing Owner pays all the routine costsof executing and clearing the Trust’s trades and all compensation due to theselling agents.

 

UBS FinancialServices Inc. (“UBS”) and Deutsche Bank Securities, Inc. (“Deutsche Bank”)act as the futures brokers for the Trust. The Trust executes currency forward trades with several brokers andbanks, including Morgan Stanley & Co. Incorporated and clears all suchtrades with Morgan Stanley & Co. Incorporated, serving as primebroker.  The Trust pays “bid asked”spreads on its forward trades, as such spreads are incorporated into thepricing of forward contracts.  TheManaging Owner monitors the Trust’s trades to ensure that the prices itreceives are competitive.

 

TheTrust is open-ended and may offer Units at net asset value as of the first dayof each month.  Unitholders may redeemany or all of their Units upon 10 business days’ written notice to the ManagingOwner at their net asset value as of the last day of any month.  Units redeemed on or prior to the end of thefirst six-month and second successive five-month periods after their sale willpay a redemption charge of 4% and 3%, respectively, of the net asset value atwhich they are redeemed.  Redemptioncharges are reduced, in the case of subscriptions in amounts of $100,000 ormore or if the subscriptions are through asset-based or fixed-fee investmentprograms or by selling agent employees who purchase Units through selling agentsponsored 401(k) and similar plans. These redemption 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.

 

TheTrust’s cash and Treasury instruments are used by the Trust to engage in itstrading activities and as reserves to support that trading.  The Trust’s assets deposited with the Trust’sfutures brokers as margin are maintained in “customer segregated funds accounts”or “foreign futures and foreign options secured amount 

 

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accounts” and are held incash, or U.S. Treasury instruments. Trust assets not deposited as margin are maintained in bank or brokerageaccounts and are held primarily in bank money market funds or U.S. Treasuryinstruments.

 

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

 

Regulation

 

Underthe Commodity Exchange Act, as amended (the “CEA”), commodity exchanges andfutures trading are subject to regulation by the Commodity Futures TradingCommission (the “CFTC”).  NationalFutures Association (“NFA”), a “registered futures association” under the CEA,is the only non-exchange self-regulatory organization for futures industryprofessionals.  The CFTC has delegated toNFA responsibility for the registration of “commodity trading advisors,” “commoditypool operators,” “futures commission merchants,” “introducing brokers” andtheir respective associated persons and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators andcommodity trading advisors, such as the Managing Owner, and commodity brokersor futures commission merchants, such as UBS and Deutsche Bank to be registeredand to comply with various reporting and record keeping requirements.  The CFTC may suspend a commodity pooloperator’s or trading advisor’s registration if it finds that its tradingpractices tend to disrupt orderly market conditions or in certain othersituations.  In the event that theregistration of the Managing Owner as a commodity pool operator or a commoditytrading advisor were terminated or suspended, the Managing Owner would beunable to continue to manage the business of the Trust.  Should the Managing Owner’s registration besuspended, termination of the Trust might result.

 

Inaddition to such registration requirements, the CFTC and certain commodityexchanges have established limits on the maximum net long or net short positionwhich any person may hold or control in particular commodities.  Most 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.

 

(d)   Financialinformation about geographic areas

 

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

 

(e)   Availableinformation

 

TheTrust files quarterly, annual and current reports with the Securities andExchange Commission (“SEC”).  Thesereports are available to read and copy at the SEC’s Public Reference Facilitiesin Washington, D.C. at 450 Fifth Street, N.W., Washington, D.C. 20549.  Please call the SEC’s toll free number, 1-800-SEC-0330,for further information.  The Trust doesnot maintain a website where these reports are posted.  However, the Trust’s filings are posted onthe SEC’s website at http://www.sec.gov.

 

Item 2.   Properties

 

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

 

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Item 3.   Legal Proceedings

 

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

 

Item 4.   Submissionof Matters to a Vote of Security Holders

 

None.

 

PART II

 

Item 5.   Market for the Registrant’s Common Equity and

         Related Stockholder Matters

 

(a)   Market Information.

 

Thereis no trading market 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 31,2004, there were 19,216 holders of Units.

 

(c)   Dividends.

 

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

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans.

 

None.

 

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

 

Therehave been no sales of unregistered securities of the Trust during 2002, 2003 or2004.

 

(f)   IssuerPurchases of Equity Securities.

 

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

 

Thefollowing table summarizes the redemptions by Unitholders during the fourthcalendar quarter of 2004:

 
| **Month**              | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|------------------------|------------|--------------------|------------|-----------------------------------|------------|
|                   |       |               |       |                              |       |
| October 31, 2004  |       | 5,420.512          |       | 865.12                            |       |
| November 30, 2004 |       | 3,234.414          |       | 947.82                            |       |
| December 31, 2004 |       | 2,281.178          |       | 954.85                            |       |
| Total                  |       | 10,936.104         |       |                              |       |

 

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Item 6.   Selected Financial Data

 

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

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

 

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

 

**includescustody fees for the years ended December 31, 2004 and 2003 and for theperiod ended December 31, 2002 and net of administrative expensesreimbursed by the Managing Owner for the period ended December 31, 2002

 

Item 7.   Management’s Discussion and Analysis of Financial

Condition and Results of Operations

 

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

 

Capital Resources

 

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

 

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

 

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

 

TheTrust trades futures, options and forward 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 

 

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inability ofcounterparties or brokers to perform under the terms of their contracts (creditrisk).  Market risk is generally to bemeasured by the face amount of the futures positions acquired and thevolatility of the markets traded.  Thecredit risk from counterparty non-performance associated with these instrumentsis the net unrealized gain, if any, on these positions plus the value of themargin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generallyperceived to be less than those associated with over-the-counter transactions,because exchanges typically (but not universally) provide clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity 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, and counterpartiesmay require margin or collateral in the over-the-counter markets.

 

TheManaging Owner has procedures in place to control market risk, although therecan be no assurance that they will, in fact, succeed in doing so.  These procedures primarily focus on (1) realtime monitoring of open positions; (2) diversifying positions amongvarious markets; (3) limiting the assets committed as margin, generallywithin a range of 15% to 35% of an account’s Net Assets at exchange minimummargins, (including imputed margins on forward positions) although the amountcommitted to margin at any time may be substantially higher; (4) prohibitingpyramiding (that is, using unrealized profits in a particular market as marginfor additional positions in the same market); and (5) changing the equityutilized for trading by an account solely on a controlled periodic basis ratherthan as an automatic consequence of an increase in equity resulting fromtrading profits.  The Trust controlscredit risk by dealing exclusively with large, well capitalized financialinstitutions as brokers and counterparties.

 

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

 

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

 

TheTrust’s futures contracts are settled by offset and are cleared by the exchangeclearinghouse function.  Open futurespositions are marked to market each trading day and the Trust’s tradingaccounts are debited or credited accordingly. Options on futures contracts are settled either by offset or byexercise.  If an option on a future isexercised, the Trust is assigned a position in the underlying future which isthen settled by offset.  The Trust’s spotand forward currency transactions conducted in the interbank market are settledby netting offsetting positions or payment obligations and by cash payments.

 

Thevalue of the Trust’s cash and financial instruments is not materially affectedby inflation.  Changes in interest rates,which are often associated with inflation, could cause the value of certain ofthe Trust’s debt securities 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.

 

Liquidity

 

TheTrust’s assets are generally held as cash or cash equivalents which are used tomargin the Trust’s futures 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 31,2004, the Trust experienced no meaningful periods of illiquidity in any of thenumerous markets traded by the Managing Owner.

 

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Critical Accounting Estimates

 

The Trust records its transactions in futures andforward currency contracts, including related income and expenses, on a tradedate basis.  Open futures contractstraded on an exchange are valued at market, which is based on the closingsettlement price on the exchange where the futures contract is traded by theTrust on the day with 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 timevalue of money (“Forward Points”) and contractual prices of the underlyingfinancial instruments.  The Spot Pricesand Forward Points for open forward currency contracts are generally based onthe 3:00 P.M. New York time prices provided by widely used quotationservice providers on the day with respect to which Net Assets are beingdetermined.  The Forward Points from thequotation service providers are generally in periods of one month, two months,three months and six months forward while the contractual forward deliverydates for the foreign currency contracts traded by the Trust may be in betweenthese periods.

 

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

 

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions, such as accrual ofexpenses, that affect the amounts and disclosures reported in the financialstatements.  Based on the nature of thebusiness and operations of the Trust, the Managing Owner believes that theestimates utilized in preparing the Trust’s financial statements areappropriate and reasonable, however actual results could differ from theseestimates.  The estimates used do notprovide a range of possible results that would require the exercise ofsubjective judgment.  The Managing Ownerfurther believes that, based on the nature of the business and operations ofthe Trust, no other reasonable assumptions relating to the application of theTrust’s critical accounting estimates other than those currently used wouldlikely result in materially different amounts from those reported.

 

Off-Balance SheetArrangements

 

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

 

ContractualObligations

 

TheTrust does not enter into any contractual obligations or commercial commitmentsto make future payments of a type that would be typical for an operatingcompany or that would affect its liquidity or capital resources.  The Trust’s sole business is trading futuresand forward currency contracts, both long (contracts to buy) and short(contracts to sell).  All such contractsare settled by offset, not delivery. Substantially all such contacts are for settlement within four months ofthe trade date and substantially all such contracts are held by the Trust forless than four months before being offset or rolled over into new contractswith similar maturities.   The Trust’sFinancial Statements, included as Exhibit 13.01 to this report, present aCondensed Schedule of Investments setting forth net unrealizedappreciation (depreciation) of the Trust’s open future and forward currencycontracts, both long and short, at December 31, 2004.

 

Results of Operations

 

*Performance Summary*

 

TheTrust’s success depends on the Managing Owner’s ability to recognize andcapitalize on trends and other profit opportunities in different sectors of theworld economy.  The Managing Owner’strading methods are confidential, so that substantially the only informationthat can be furnished regarding the Trust’s results of operations is itsperformance record.  Unlike mostoperating businesses, general economic or seasonal conditions have no directeffect on the profit potential of the Trust, while, at the same time, its pastperformance is not 

 

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necessarily indicative offuture results.  Because of thespeculative nature of its trading, operational or economic trends have littlerelevance to the Trust’s results.  TheManaging Owner believes, however, that there are certain market conditions —for example, markets with strong price trends — in which the Trust has a betteropportunity of being profitable than in others. The Trust commenced trading operations July 1, 2002.

 

*2004*

 

During2004, the Trust achieved net realized and unrealized gains of $5,648,733 fromits trading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$22,046, 061 were paid or accrued.  TheTrust allocated no profit share to the New Profits Memo Account for the benefitof the Managing Owner.  Interest incomeof $4,131,334 partially offset the Trust’s expenses resulting in a net loss(inclusive of administrative expenses) of $13,881,269 and a 5.33% decrease inthe Net Asset Value per Unit.  Ananalysis of the trading gain (loss) by sector is as follows:

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

 

The year 2004 was distinguished by dramatictransitions in the underlying character of market trading dynamics. Profitabletrends in January and February gave way to a six month period oftrendless, turbulent action across a broad swath of markets that producedsignificant losses. Beginning in September, trends reappeared and the Trustchalked up a sharp recovery in the year’s final four months.  Interest rate and energy trading were profitableand to a lesser extent so was trading of agricultural commodities.  These gains were partially offset by lossesfrom currency, stock index and metals trading. The Trust generated a smalltrading gain for the year.

 

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

 

From March through August, a number ofuncertainties plagued market participants including:  the June Iraqi elections, the U.S.Presidential elections in November, the strength of the American economy andthrust of Federal Reserve policy, and China’s foreign exchange, industrial andmonetary policy directions.  As a result,markets across the board displayed unprofitable, directionless priceaction.  Trading of currencies, interestrates, stock indices, metals and agricultural commodities produced losses.  Energy trading was the only profitable sectorfor this period.

 

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

 

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*2003*

 

During2003, the Trust suffered net realized and unrealized losses of $4,050,627 fromits trading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$8,331,480 were paid or accrued.  TheTrust allocated a profit share to the New Profits Memo Account for the benefitof the Managing Owner of $6,465. Interest income of $1,320,805 partially offset the Trust’s expensesresulting in a net loss (inclusive of administrative expenses) of $11,761,311and a 2.10% decrease in the Net Asset Value per Unit.  An analysis of the trading gain (loss) bysector is as follows:

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

 

----

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

 

TheTrust’s performance was quite volatile throughout the year 2003. Substantialgains registered in January and February were largely erased inMarch, when major long term price trends in currencies, energy and interestrates reversed abruptly as the Iraq invasion moved from rhetoric to reality,and as traders and investors rushed to square positions, moving to thesidelines at least temporarily. Then, in May, as the initial phase of the Iraqiconflict was reaching a quicker then expected resolution, concern about largeU.S. budget and trade deficits, unfavorable U.S. interest rate differentials,and Treasury Secretary Snow’s apparent acquiescence to a weaker dollar,reignited a dollar selloff. At the same time, fears of deflation, and the Fed’scontinued easy monetary policy, produced a renewed fall in interest rates.  These broad movements brought with them asizable profit for the portfolio. However, after slightly favorable summerresults, interest rate and energy markets succumbed to volatility withoutsustained trends. Therefore, losses in these two sectors outweighed gains fromcurrency, stock index, and metals trading over the second half of 2003.

 

On asector basis, currency trading was profitable for 2003. Long positions in theeuro and commodity currencies (South African rand, Australian and New Zealanddollars) were quite profitable as the U.S. currency fell. On the other hand,trading of Far Eastern currencies (yen, Korean won, and the Singapore dollar)produced losses, since heavy Central Bank intervention throughout the regioncounterbalanced much of the downward pressure on the U.S. unit and led toerratic rate fluctuations.

 

Stockfutures trading was profitable due to a general up move in equities worldwide.Long gold and copper positions were profitable, particularly later in the year,as flight to safety and a weak dollar boosted gold prices, and as a weak dollarand surging industrial demand pushed copper prices upward.

 

Energyprices were highly volatile during the year, particularly with the onset ofhostilities in Iraq in March, and, hence energy trading generated losses in2003.

 

Interestrate trading was very profitable during the first half of 2003 when ratesworldwide were continuing to trend downward. However, when that trend reversedabruptly in mid-June and was followed by erratic non-directional rangetrading, offsetting losses were experienced, especially during the September –December period. Lastly, trading of agricultural commodities producedlosses throughout the year.

 

9

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*2002*

 

During2002, the Trust achieved net realized and unrealized gains of $953,721 from itstrading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$431,467 were paid or accrued.  The Trustpaid a profit share to the Managing Owner of $70,924.  Interest income of $110,054 partially offsetthe Trust’s expenses resulting in a net gain (inclusive of administrativeexpenses) of $522,941 and a 3.02% increase in the Net Asset Value perUnit.  An analysis of  trading gain (loss) by sector is as follows:

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

 

Interestrate trading and, to a lesser extent, stock index trading were profitableduring the Trust’s first six months of operation.  On the other hand, the Trust’s currencytrading generated losses, and trading in the energy, metals and agriculturalsectors had only marginal impacts on performance.

 

Sluggishworldwide economic activity, the continuing plunge of stock prices and theflight to safety and quality prompted by geopolitical uncertainties triggeredlarge, persistent capital flows into government bills, notes and bondsworldwide.  Accordingly, the Trust’s longpositions in U.S., European, and Japanese interest rate futures generatedsizable gains while the Trust’s trading in Japanese, German and Hong Kong stockfutures was modestly profitable.  Astensions in the Middle East heightened at year-end, energy prices moved higherand the Trust’s long energy positions were very profitable, largely offsettinglosses suffered earlier in the year when energy prices were moving erraticallywithout a trend.  Similarly, a long goldposition was profitable in December as geopolitical tensions heated up,and this gain offset most of the losses from the Trust’s non-precious metalstrading where trends were absent.  TheTrust sustained losses on both long and short dollar positions as the Japaneseyen fluctuated erratically in the Y116-Y126 range during the later half of theyear.  These losses, and thoseexperienced from trading the Korean won, overwhelmed trading gains made on longpositions in the euro and South African rand. The Trust’s non-dollar cross rate trading was also fractionally negativefor the year.  In the agriculturalsector, profits from a long corn trade more than offset a loss from tradingcotton, producing a fractional profit for the sector overall by year-end.

 

Item 7A.  Quantitative and Qualitative DisclosuresAbout Market Risk

 

**Introduction**

 

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

 

TheTrust is a speculative commodity pool. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Trust’s main line of business.

 

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

 

10

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TheTrust can rapidly acquire and/or liquidate both long and short positions in awide range of different markets. Consequently, it is not possible to predict how a particular future marketscenario will affect performance, and the Trust’s past performance is notnecessarily indicative of its future results.

 

Valueat Risk is a measure of the maximum amount which the Trust could reasonably beexpected to lose in a given market sector.  However, the inherent uncertainty of the Trust’sspeculative trading and the recurrence in the markets traded by the Trust ofmarket movements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Trust’sexperience to date (*i.e.,* “risk ofruin”).  In light of the foregoing aswell as the risks and uncertainties intrinsic to all future projections, theinclusion of the quantification included in this section should not beconsidered to constitute any assurance or representation that the Trust’slosses in any market sector will be limited to Value at Risk or by the Trust’sattempts to manage its market risk.

 

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

 

Quantifying the Trust’sTrading Value at Risk

 

***Quantitative Forward-Looking Statements***

*** ***

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

 

TheTrust’s risk exposure in the various market sectors traded by the ManagingOwner is quantified below in terms of Value at Risk.  Due to the Trust’s mark-to-market accounting,any loss in the fair value of the Trust’s open positions is directly reflectedin the Trust’s earnings (realized or unrealized) and cash flow (at least in thecase of exchange-traded contracts in which profits and losses on open positionsare settled daily through variation margin).

 

Exchangemaintenance margin requirements have been used by the Trust as the measure ofits Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed 95-99% of the maximumone-day losses in the fair value of any given contract incurred during the timeperiod over which historical price fluctuations are researched for purposes ofestablishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical price studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

 

In thecase of market sensitive instruments which are not exchange traded (almostexclusively currencies in the case of the Trust), dealers’ margins have beenused as Value at Risk.

 

Thefair value of the Trust’s futures and forward positions does not have anyoptionality component.  However, theManaging Owner may also trade commodity options on behalf of the Trust.  The Value at Risk associated with optionswould be reflected in the margin requirement attributable to the instrumentunderlying each option.

 

Inquantifying the Trust’s Value at Risk, 100% positive correlation in thedifferent positions held in each market risk category has been assumed.  Consequently, the margin requirementsapplicable to the open contracts have simply been aggregated to determine eachtrading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Trust’spositions are rarely, if ever, 100% positively correlated have not beenreflected.

 

11

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

*** ***

Thefollowing tables indicate the average, highest and lowest amounts of tradingValue at Risk associated with the Trust’s open positions by market category forfiscal years 2004 and 2003.  Duringfiscal year 2004 and 2003, the Trust’s average total capitalization wasapproximately $322.9 million and $124.6 million respectively.  

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

 

Average,highest and lowest Value at Risk amounts relate to the quarter-end amounts forthe calendar quarter-ends during the fiscal year. Average Capitalization is theaverage of the Trust’s capitalization at the end of the calendar quarters offiscal year 2004. Dollar amounts represent millions of dollars.

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

 

Average,highest and lowest Value at Risk amounts relate to the quarter-end amountsduring the fiscal year.  AverageCapitalization is the average of the Trust’s capitalization at the end of eachmonth during the fiscal year 2003. Dollar amounts represent millions of dollars.

 

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

*** ***

Theface value of the market sector instruments held by the Trust is typically manytimes the applicable maintenance margin requirement (maintenance marginrequirements generally ranging between approximately 1% and 10% of contractface value) as well 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-Trading Risk***

*** ***

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

 

TheTrust also has non-trading cash flow risk as a result of holding a substantialportion (over 80%) of its assets in U.S. Treasury notes and other short-termdebt instruments (as well as any market risk they represent) for margin andcash management purposes.  Although theManaging Owner does not anticipate that, even in the case of major interestrate movements, the Trust would sustain a material mark-to-market loss on itssecurities positions, if short-term interest rates decline so will the Trust’scash management income.  The Trust alsomaintains a portion (over 10%) of its assets in cash in interest-bearing bankaccounts.  These cash balances are alsosubject (as well as any market risk they represent) to cash flow risk, which isnot material.

 

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

*** ***

*Thefollowing qualitative disclosures regarding the Trust’s market risk exposures —except for (i) those disclosures that are statements of historical 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 Securities Exchange Act.  The Trust’sprimary market risk exposures as well as the strategies used and to be used bythe Managing Owner*for*managing such exposuresare subject to numerous uncertainties, contingencies and risks, any one ofwhich could cause the actual results of the Trust’s risk controls to differmaterially 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.*

 

Thefollowing were the primary trading risk exposures of the Trust as of December 31,2004, by market sector.

 

FinancialInstruments.  Interestrate movements directly affect the price of the sovereign bond futurespositions held by the Trust and indirectly the value of its stock index andcurrency positions.  Interest ratemovements in one country as well as relative interest rate movements 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 smaller nations.  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.

 

Currencies.  Exchange rate risk is theprincipal market exposure of the Trust. The Trust’s currency exposure is toexchange rate fluctuations, primarily fluctuations which disrupt the historicalpricing relationships between different currencies and currency pairs. Thesefluctuations are influenced by interest rate changes as well as political andgeneral economic conditions. The Trust trades in a large number of currencies,including cross-rates — i.e., positions between two currencies other than the U.S. dollar. As of December 31, 2004, theTrust’s primary currency exposures were in the U.S. dollar versus the Euro,Yen, Swiss Franc, Czech Krone, Korean Won, Singapore Dollar, South AfricanRand, New Zealand Dollar and Australian Dollar. The primary exposures in thecurrency crosses were in the Yen versus the Canadian Dollar and in the Euroversus the Yen, British Pound and Norwegian Krone.

 

13

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StockIndices.  The Trust’sprimary equity exposure, through stock index futures, is to equity price riskin the G-7 countries.  As of December 31,2004, the Trust’s primary exposures were in the E Mini Nasdaq 100 (UnitedStates), Simex (Singapore), TOPIX (Japan), DAX (German) and Hang Seng (HongKong) stock indices.  The Trust isprimarily exposed to the risk of adverse price trends or static markets in themajor U.S., European and Asian indices. (Static markets would not cause major market changes but would make itdifficult for the Trust to avoid numerous small losses.)

 

Metals.  The Diversified Portfolio usedfor the Trust trades precious and base metals. The Trust’s metals marketexposure is in gold, silver, platinum, aluminum, copper, lead, nickel, tin andzinc.

 

Agricultural.  The Trust’s primary commodities exposure isto agricultural price movements, which are often directly affected by severe orunexpected weather conditions.  Grains,coffee and cotton accounted for the substantial bulk of the Trust’s commoditiesexposure as of December 31, 2004. The Trust also has market exposure to other agricultural commoditiesincluding live cattle, cocoa and the soybean complex.

 

Energy.  The Trust’s primary energy market exposure isto gas and oil price movements, often resulting from political developments inthe Middle East and economic conditions worldwide.  Energy prices are volatile and substantialprofits and losses have been and are expected to continue to be experienced inthis market.

 

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

*** ***

Thefollowing were the only non-trading risk exposures of the Trust as of December 31,2004.

 

ForeignCurrency Balances.  TheTrust’s primary foreign currency balances are in Japanese yen, euro, British poundsand Hong Kong dollars.  The Trustcontrols the non-trading risk of these balances by regularly converting thesebalances back into dollars (no less frequently than twice a month).

 

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

 

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

*** ***

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

 

The Managing Owner develops trading systems usingvarious quantitative models and data and tests those systems in numerousmarkets against historical data to simulate trading results. The Managing Ownerthen analyzes the profitability of the systems looking at such features as thepercentage of profitable trades, the worst losses experienced, the averagegiveback of maximum profits on profitable trades and risk adjusted returns. TheManaging Owner selects multiple systems in each market after a review ofstatistical data for the systems in an effort to diversify away from relianceon a single system.

 

TheManaging Owner also attempts to assess market volatility as a means ofmonitoring and evaluating risk.  In doingso, the Managing Owner uses a volatility overlay system which is designed tomeasure the risk in a 

 

14

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portfolio’s position in amarket and to signal a decrease in position size when risk increases and anincrease in position size when risk decreases. The Managing Owner’s volatility overlay maintains overall portfolio riskand distribution of risk across markets within designated ranges.

 

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

 

Anotherimportant risk management function is the careful control of leverage orportfolio size.  Leverage levels aredetermined by simulating the entire portfolio over the past five or ten yearsto determine the worst case experienced by the portfolio in the simulationperiod.  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.  If the Managing Owner considers the drawdowntoo severe, it reduces the leverage or portfolio size.

 

The Managing Owner determines asset allocation amongmarkets taking into account statistical data on the systems’ returns, therelative volatility of the markets, liquidity constraints and the Managing Owner’sjudgment and experience. From time to time the Managing Owner may adjust thesize of a position, long or short, in any given market. This exercise ofdiscretion generally occurs only in response to unusual market conditions thatmay not have been factored into the design of the portfolio and trading systemsand is generally intended to reduce risk exposure. Decisions to make suchadjustments require the exercise of judgment and may include consideration ofthe volatility of the particular market; the pattern of price movements, bothinter-day and intra-day; open interest; volume of trading; changes in spreadrelationships between various forward contracts; and overall portfolio balanceand risk exposure.

 

Item 8.   Financial Statements and Supplementary Data

 

Financialstatements required by this item, including the report of Deloitte &Touche LLP for the fiscal year ended December 31, 2004, are included as Exhibit 13.01to this report.  The report of Ernst &Young LLP for the fiscal year ended December 31, 2003 is filed as Exhibit 13.02hereto.

 

Thefollowing summarized quarterly financial information presents the results ofoperations for the three month periods ended March 31, June 30, September 30and December 31, 2003 and 2003. This information has not been audited.

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

 

15

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

 

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*  Expenses are exclusive of any realized and accruedprofit share to the Managing Owner.

 

Therewere no extraordinary, unusual or infrequently occurring items recognized inany quarter within the two most recent fiscal years, and the Trust has notdisposed of any segments of its business. There have been no year-end adjustments that are material to the resultsof any fiscal quarter reported above.

 

Item 9.   Changes in and Disagreements with Accountants

on Accounting and Financial Disclosure

 

On August 25,2004, Ernst & Young LLP notified the Board of Directors of theManaging Owner that it had resigned as the independent auditor for theTrust.  On August 26, 2004, theBoard of Directors of the Managing Owner approved the engagement of  Deloitte & Touche LLP as independentregistered public accounting firm for the Trust.

 

Disclosureregarding the change of the Trust’s auditors was previously reported on theTrust’s current report on Form 8-K filed August 26, 2004, as amendedby Amendment No. 1 thereto filed on September 2, 2004.  There were no disagreements with Ernst &Young LLP regarding accounting principles or practices, financial statementdisclosure or audit scope or procedure.

 

Item9A.   Controls and Procedures

 

TheManaging Owner, with the participation of the Managing Owner’s principalexecutive officers and principal financial officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Trust as of the end of the fiscal year for whichthis Annual Report on Form 10-K is being filed, and, based on theirevaluation, have concluded that these disclosure controls and procedures areeffective.  There were no significantchanges in the Managing Owner’s internal controls with respect to the Trust orin other factors applicable to the Trust that could significantly affect thesecontrols subsequent to the date of their evaluation.

 

PART III

 

Item10.   Directors and Executive Officers of the Registrant

 

(a,b)  Identification of Directors and ExecutiveOfficers

 

TheTrust has no directors or executive officers. The Trust is controlled and managed by the Managing Owner under adelegation of authority by the Trust’s Trustee, Wilmington Trust Company.

 

MillburnRidgefield Corporation,  the ManagingOwner, is a Delaware corporation organized in May 1982 to managediscretionary 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.

 

Theprincipals and senior officers of the Managing Owner as of December 31,2004 are as follows:

 

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***Harvey Beker, age 51.***   Mr. Beker is Co-Chief Executive Officerand Co-Chairman of the Managing Owner and The Millburn Corporation, and apartner of their affiliate, ShareInVest Research L.P.  He received a Bachelor of Arts degree ineconomics from New York University (“NYU”) in 1974 and a Master of BusinessAdministration degree in finance from NYU in 1975.  From June 1975 to July 1977, Mr. Bekerwas employed by Loeb Rhoades, Inc. where he developed and traded silverarbitrage strategies.  From July 1977to June 1978, Mr. Beker was a futures trader at Clayton Brokerage Co.of St. Louis.  Mr. Beker has beenemployed by The Millburn Corporation since June 1978 and initially servedas the Director of operations for its affiliate, Millburn Partners.  During his tenure at Millburn (including itsaffiliates, Millburn Partners and CommInVest Research Limited Partnership (“CommInVest”))he has 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 ShareInVest, thepredecessor of ShareInVest Research L.P. (“ShareInVest”), in April 1982.

 

***Gregg R. Buckbinder, age 46.***   Mr. Buckbinder is Senior Vice-Presidentand Chief Operating Officer of the Managing Owner and The Millburn Corporationand a partner, since January 2000, of ShareInVest.  He graduated cum laude from Pace University (“Pace”)in 1980 with a B.B.A. in accounting and received an M.S. in taxation from Pacein 1988.  He joined the Managing Ownerand The Millburn Corporation in January 1998 from Odyssey Partners, L.P.where he was responsible for the operation, administration and accounting ofthe 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.  He is a Certified PublicAccountant and a member of the American Institute of Certified PublicAccountants.

 

***George E. Crapple, age 60.***   Mr. Crapple is Co-Chief ExecutiveOfficer and Co-Chairman of the Managing Owner and The Millburn Corporation anda partner of ShareInVest.  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 joinedManaging 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 the Global Markets AdvisoryCommittee of the CFTC and a member of the board of directors of the FuturesIndustry Association (“FIA”).

 

***Steven M. Felsenthal, age 35.*** Mr. Felsenthal is General Counsel andChief Compliance Officer of the Managing Owner, The Millburn Corporation andShareInVest.  Prior to joining Millburnin January 2004, Mr. Felsenthal was a senior associate in theinvestment management group at Schulte Roth & Zabel LLP (September 1999-January 2004), where he represented and advised hedge funds, registeredinvestment companies, investment advisers, broker-dealers and banks inconnection with all facets of their asset management businesses, and a memberof the tax department of Kramer, Levin, Naftalis & Frankel LLP (October 1996-September 1999).  He graduated**cum laude** from Yeshiva Universityin 1991 with a bachelor of arts degree in political science, and **order of the coif** from FordhamUniversity School of Law in 1996, where he also served as an editor of theFordham Environmental Law Journal.  Mr. Felsenthalreceived an LL.M degree in taxation from NYU School of Law in 2001 and haswritten and been quoted in numerous published articles on various topicsrelated to investment management.  Mr. Felsenthalis a member of the New York State Bar.

 

***Mark B. Fitzsimmons, age 57.****** ***Mr. Fitzsimmons is aSenior Vice-President of the Managing Owner and The Millburn Corporation and apartner, since January 2000, of ShareInVest.  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 of institutionalforeign exchange sales and was involved in strategic trading for the firm from October 1987until January 1990.  From September 1977to October 1987 he was with Chemical Bank New York Corporation (“Chemical”),first as a Senior Economist 

 

17

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in Chemical’s ForeignExchange Advisory Service and later as a Vice-President and Manager of Chemical’sCorporate Trading Group.  While atChemical he also traded both foreign exchange and fixed income products.  From September 1973 to September 1977Mr. Fitzsimmons was employed by the Federal Reserve Bank of New York,dividing his time between the International Research Department and the ForeignExchange Department.  He graduated summacum laude from the University of Bridgeport, Connecticut in 1970 with a B.S. ineconomics.  His graduate work was done atthe University of Virginia, where he received a certificate of candidacy for aPh.D. in economics in 1973.

 

***Barry Goodman, age 47.***  Mr. Goodman is Executive Vice-President,Director of Trading and Co-Director of Research of the Managing Owner and TheMillburn Corporation and a partner of ShareInVest .  His responsibilities include overseeing thefirm’s trading operation and managing its trading relationships, as well as thedesign and implementation of trading systems. He graduated **magna cum laude**from Harpur College of the State University of New York in 1979 with a B.A. ineconomics.  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 andmaintained various technical indicators and coordinated research projectspertaining to the futures markets.  Hejoined the Managing Owner and The Millburn Corporation (including itsaffiliate, Millburn Partners) in November 1982 as Assistant Director ofTrading.  He became a partner inShareInVest in January 1984.

 

***Dennis B. Newton, age 53.*** Mr. Newton is a Senior Vice-President ofthe Managing Owner and The Millburn Corporation.  His primary responsibilities are inadministration and business development. Prior to joining the Managing Owner and The Millburn Corporation in September 1991,Mr. Newton was President of Phoenix Asset Management, Inc. (“Phoenix”),a registered commodity pool operator from April 1990 to August 1991and President of its affiliated introducing broker, Phoenix Futures Inc., from March 1990to June 1991.  Prior to hisemployment with Phoenix, Mr. Newton was a Director of Managed Futures withPrudential-Bache Securities Inc. (“Prudential-Bache”) from October 1987 toMarch 1990 and was associated with its affiliated futures commissionmerchant entity, Prudential Securities Futures Management, Inc.  Mr. Newton joined Prudential-Bache fromHeinold Asset Management, Inc.  (“Heinold”),and its affiliated futures commission merchant, Heinold Commodities Inc., wherehe was a member of the senior management team from October 1974 to October 1987.  Heinold was a pioneer and one of the largestsponsors of funds utilizing futures and currency forward trading.

 

***Grant N. Smith, age 53.***   Mr. Smith is Executive Vice-Presidentand Co-Director of Research of the Managing Owner and The Millburn Corporationand a partner of ShareInVest.  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 the Massachusetts Institute of Technology (“M.I.T.”)in 1974 and an M.S. degree from M.I.T. in 1975. While at M.I.T. he held several teaching and research positions in thecomputer science field and participated in various projects relating todatabase management.  He joined thepredecessor entity to The Millburn Corporation in June 1975, and has beencontinuously associated with the Managing Owner, The Millburn Corporation andtheir affiliates since that time.

 

***Tod A. Tanis, age 50.***  Mr. Tanis is a Vice President, PrincipalAccounting Officer and Director of Operations of the Managing Owner and TheMillburn Corporation.  He is responsiblefor overseeing operations and accounting for the firm’s commodity pools.  He graduated from Grove City College in May 1976with a B.A. in accounting and joined the Managing Owner and The MillburnCorporation in May of 1983.  Priorto joining Millburn, 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.

 

(c)   Identification of Certain SignificantEmployees

 

None.

 

(d)   FamilyRelationships

 

None.

 

18

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(e)   BusinessExperience

 

SeeItem 10 (a,b) above.

 

(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   Promotersand Control Persons

 

TheManaging Owner is the sole promoter and control person of the Trust.

 

(h)   AuditCommittee Financial Expert

 

Sincethe Trust has no employees, officers or directors, the Trust has no auditcommittee.  The Trust is managed by theManaging Owner.  Gregg Buckbinder servesas the Managing 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.

 

(i)   Section 16(a) BeneficialOwnership Reporting Compliance

 

Tod A.Tanis, the principal accounting officer of the Managing Owner, filed hisinitial report on Form 3 after the Trust became registered under Section 12of the Securities Exchange Act of 1934.  Mr. Tanis does not own andhas not owned any securities issued by the Trust, and, accordingly, the numberof transactions not reported on a timely basis by Mr. Tanis is zero.

 

(j)   Codeof Ethics

 

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

 

Item 11.  Executive Compensation

 

TheTrust has no directors or officers.  Noneof the directors or officers of the Managing Owner receive compensation fromthe Trust.  The Managing Owner makes alltrading decisions on behalf of the Trust. The Managing Owner receives monthly brokerage commissions of 0.583 of 1%of the Trust’s Net Assets (which is reduced to 0.541 of 1%, 0.5 of 1% or 0.458of 1% of Net Assets for Unitholders who invest amounts of $100,000, $500,000 or$1,000,000 or more, respectively, in the Trust and to 0.33 of 1% in forUnitholders who invest through selling agent fee-based accounts) and an annualprofit share of 20% of any new trading profit as defined.

 

Item12.   Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

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

 

(b)   Security Ownership of Management

 

Underthe terms of the Trust Agreement, the Trust’s affairs are managed by theManaging Owner, which has discretionary authority over the Trust’strading.  The Managing Owner’s managingowner interest was valued at $4,027,377 as of December 31, 2004, 1.014% ofthe Trusts’ total capital.

 

19

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(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item13.   Certain Relationships and Related Transactions

 

See “Item11.  Executive Compensation”and “Item 12.  Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $22,046,061 in brokerage feesand allocated $0 in profit share to the New Profits Memo Account for the yearended  December 31, 2004.  The Managing Owners’ managing owner interestshowed an allocation of income of $93,944 for the year ended December 31,2004.  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, 2004,the Trust owed the Managing Owner $92,014 in connection with expenses paid onthe Trust’s behalf.  The Trust isprohibited from making any loans.

 

Item14.   Principal Accountant Fees and Services

 

(1)                                  AuditFees

 

Theaggregate fees for professional services rendered by Deloitte & ToucheLLP in connection with their audit of the Trust’s financial statements andreviews of the financial statements included in the quarterly report on Form 10-Qfor the quarter ended September 30, 2004 and in connection with thestatutory and regulatory filings for the year ended December 31, 2004 andwere approximately $42,000.

 

Theaggregate fees for professional services rendered by Ernst & Young LLPin connection with their audit of the Trust’s financial statements and reviewsof the financial statements included in the quarterly reports on Form 10-Qand in connection with the statutory and regulatory filings for the years endedDecember 31, 2004 and December 31, 2003 were approximately $26,667and  $53,000, respectively.

 

(2)                                  Audit-RelatedFees

 

Therewere no fees for assurance and related services rendered by Deloitte &Touche LLP or Ernst & Young LLP for the years ended December 31,2004 and December 31, 2003.

 

(3)                                  TaxFees

 

Theaggregate fees for professional services rendered by Deloitte & ToucheLLP for tax compliance, advice or planning services rendered by Deloitte &Touche LLP for the benefit of the Trust the year ended December 31, 2004was approximately $35,468.  NeitherDeloitte & Touche LLP nor Ernst & Young LLP rendered taxcompliance, advice or planning services for the benefit of the Trust for theyear ended December 31, 2003.

 

(4)                                  AllOther Fees

 

None

 

(5)                                  Pre-ApprovalPolicies

 

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

 

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PART IV

 

Item15.   Exhibits and Financial Statement Schedules

 

(a)(1)   Financial Statements

 

The following areincluded with the 2004 Report of Independent Registered Public Accounting Firm,a copy of which is filed herewith as Exhibit 13.01.

 

Affirmationof Millburn Ridgefield Corporation

Reportof Independent Registered Public Accounting Firm

Statementsof Financial Condition

CondensedSchedules of Investments

Statementsof Operations

Statementsof Changes in Trust Capital

Statementsof Financial Highlights

Notesto Financial Statements

 

(a)(2)   Financial Statement Schedules

 

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

 

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

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description** |
|-----------------|------------|-----------------|
|            |       |            |
|            | 13.01      |            | 2004 Report of  Independent Registered Public Accounting Firm |
|            |       |            |   |
|            | 13.02      |            | 2003 Report of  Independent Auditors |
|            |       |            |   |
|            | 31.1       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |            |   |
|            | 31.2       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |            |   |
|            | 31.3       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
|            |       |            |   |
|            | 32.1       |            | Section 1350  Certification of Principal Executive Officer |
|            |       |            |   |
|            | 32.2       |            | Section 1350  Certification of Principal Executive Officer |
|            |       |            |   |
|            | 32.3       |            | Section 1350  Certification of Principal Financial Officer |

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Registration Statement (File No. 333-67072)filed on August 8, 2001 on Form S-1 under the Securities Act of 1933.

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

 

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

 

21

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

 

10.02                                                     Form ofCustomer Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc.Selling Agent in its capacity as a futures commission merchant.

 

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

 

10.01                                             Form ofSubscription Agreement and Power of Attorney

 

10.03                                             Form ofWholesaling Agreement

 

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

 

10.01                                             Form ofCustomer Agreement with Deutsche Bank Securities Inc.

 

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

 

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

 

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

 

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SIGNATURES

 

Pursuantto the requirements of Section 13 or 15(d) of the Securities ExchangeAct of 1934, the Registrant has duly caused this report to be signed on itsbehalf by the undersigned, thereunto duly authorized, on the 30thday of March, 2005.

 

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

 

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

 
| **Signature**            | ** ** | **Title with  General Partner** | ** **                             | **Date** |
|--------------------------|------------|--------------------------------------|----------------------------------------|----------|
|                     |       |                                 |                                   |     |
| /s/ Harvey Beker         |       |                                 | Co-Chief                               |     | March 30,  2005 |
|  Harvey Beker       |       | Executive  Officer and Director      |                                   |     |
|                     |       | (Principal  Executive Officer)       |                                   |     |
|                     |       |                                 |                                   |     |
| /s/ George E. Crapple    |       |                                 | Co-Chief Executive                     |     | March 30,  2005 |
|  George E.  Crapple |       | Officer and  Director                |                                   |     |
|                     |       | (Principal  Executive Officer)       |                                   |     |
|                     |       |                                 |                                   |     |
| /s/ Gregg  Buckbinder    |       |                                 | Chief Financial  and Operating Officer |     | March 30,  2005 |
|  Gregg  Buckbinder  |       | (Principal  Financial Officer)       |                                   |     |
|                     |       |                                 |                                   |     |
| /s/ Tod A. Tanis         |       |                                 | Vice President                         |     | March 30,  2005 |
|  Tod A. Tanis       |       | (Principal  Accounting Officer)      |                                   |     |

 

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

 

Millburn RidgefieldCorporationManaging Owner of Registrant

March 30, 2005

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

 

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EXHIBIT INDEX

 

Thefollowing exhibits are included herewith.

 
| **Designation** | ** ** | **Description** |
|-----------------|------------|-----------------|
| ** **      | ** ** | ** **      |
|            | 13.01      |            | 2004 Report of  Independent Registered Public Accounting Firm |
|            |       |            |   |
|            | 13.02      |            | 2003 Report of  Independent Auditors |
|            |       |            |   |
|            | 31.1       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |            |   |
|            | 31.2       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |            |   |
|            | 31.3       |            | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
|            |       |            |   |
|            | 32.1       |            | Section 1350  Certification of Principal Executive Officer |
|            |       |            |   |
|            | 32.2       |            | Section 1350  Certification of Principal Executive Officer |
|            |       |            |   |
|            | 32.3       |            | Section 1350  Certification of Principal Financial Officer |

 

Thefollowing exhibit is incorporated by reference from the exhibit of the samenumber and description filed with the Trust’s Registration Statement (File No. 333-67072)filed on August 8, 2001 on Form S-1 under the Securities Act of 1933.

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

 

Thefollowing exhibits are incorporated by reference from the exhibits of the samenumber and description filed with Amendment No. 1 to the Trust’sRegistration Statement (File No. 333-67072) filed on January 11, 2002on Form S-1 under the 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 following exhibits are incorporated by reference from the exhibitsof the same number and description filed with Post-Effective Amendment No. 1to the Trust’s Registration Statement (File No. 333-67072) filed December 16,2002 on 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                        |

 

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

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

 

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

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

 

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