**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

**FORM10-K**

**x**** ****Annual Report Pursuant to Section13 or 15(d)**

**or of the Securities Exchange Act of 1934**

**For the Fiscal Year Ended:  December 31, 2006**

**or**

**o****  Transition Report Pursuant to Section13 or 15(d)**

**of theSecurities Exchange Act of 1934**

Commission FileNumber:  **000-50102**

**               **GLOBAL MACROTRUST          

(Exact name ofregistrant as specified in its charter)

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

**c/o MILLBURN RIDGEFIELD CORPORATION**

**411 WestPutnam Avenue**

**Greenwich,Connecticut  06830**

(Address ofprincipal 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 checkmark if the registrant is a well-known seasoned issuer, as defined in Rule 405of the Securities Act.

Yes o   No x

Indicate by checkmark if the registrant is not required to file reports pursuant to Section 13or Section 15(d) of the Act.

Yes o   No x

Indicate by check markwhether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.   Yes x   No o

Indicate by check mark if disclosure of delinquentfilers pursuant to Item 405 of Regulation S-K is not contained herein, and willnot be contained, to the best of registrant’s knowledge, in definitive proxy orinformation statements incorporation by reference in Part III of this Form 10-Kor any amendment to this Form 10-K.   x

Indicate by checkmark whether the registrant is a large accelerated filer, an accelerated filer,or a non-accelerated filer.  Seedefinition of “accelerated filer and large accelerated filer” in Rule 12b-2 ofthe Exchange Act.  (Check one):

Large accelerated filer o          Accelerated Filer o                            Non-accelerated filer x

Indicate by checkmark whether the registrant is a shell company (as defined in Rule 12b-2 of theAct)

Yes o   Nox

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

Not applicable.

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DocumentsIncorporated by Reference

Registrant’s Financial Statements for the years endedDecember 31, 2006, 2005 and 2004 and Report of Independent Registered PublicAccounting Firm, the annual report to security holders for the fiscal yearended December 31, 2006, is incorporated by reference into Part II Item 8 andPart IV hereof and filed as an exhibit herewith.

 

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PART I

Item 1.    Business

(a)          General development of business

Global Macro Trust (the “Trust”) is a Delawarestatutory trust organized July 23, 2001 pursuant to a Declaration of Trust andTrust Agreement (the “Trust Agreement”), under the Delaware Statutory TrustAct.  The Trust originally filed aregistration statement, under the Securities Act of 1933, as amended, with theSecurities and Exchange Commission to register $50 million of units ofbeneficial interest (the “Units”), which registration statement becameeffective March 26, 2002.  Between April1, 2002 and June 30, 2002 (the “Initial Offering”), the Units were publiclyoffered at an initial price of $1,000 per Unit. The proceeds of the Initial Offering and interest thereon were held inan account in the name of the Trust at FBR National Bank & Trust, Bethesda,Maryland, until July 1, 2002 at which time an aggregate of $1,290,457 wasturned over to the Trust and the Trust commenced operations.  The Trust has subsequently filed additionalregistration statements with the Securities and Exchange Commission to bringthe total dollar amount of Units registered for sale to approximately$1,277,434,000, and a total of $675,727,934 of Units have been sold to thepublic as of December 31, 2006.  The netasset value of a Unit originally sold for $1,000 as of July 1, 2002 was$1,040.10 as of December 31, 2006.  As ofDecember 31, 2006, Units were being offered on a monthly basis at Net AssetValue per unit.  The Units are offeredthrough a number of registered broker-dealer selling agents on a best effortsbasis.

The Trust engages in speculative trading in thefutures, options and forward markets. The amount of capital raised for the Trust should not have a significantimpact on its operations, as the Trust has no significant capital expenditureor working capital requirements other than to pay trading losses, brokeragefees and charges.

Millburn Ridgefield Corporation (the “Managing Owner”),a Delaware corporation, is the managing owner and the commodity trading advisorfor the Trust.  The Managing Ownerinvested $400 in the Trust as an initial capital contribution to the Trust and$2,000,000 in the Trust at the outset of trading and subsequently hascontributed an additional $1,912,100 and has redeemed $253,569 as of December31, 2006.  After reflecting a net gain of$1,439,397 and profit share of $192,061 as of December 31, 2006, thisinvestment totaled $5,290,389, as of December 31, 2006.

(b)          Financial information about industry segments

The Trust’s business constitutes only one segment,i.e., a speculative commodity pool.  TheTrust does not engage in sales of goods and services.  Financial information regarding the Trust’sbusiness is set forth in Item 6 “Selected Financial Data” and in the Trust’sFinancial Statements included as Exhibit 13.01 to this report.

(c)          Narrative description of business

The Trust engages in thespeculative trading of futures, options on futures, and forward contracts.  The Trust’s sole trading advisor is theManaging Owner.  The Managing Ownertrades the Trust’s assets, pursuant to its Diversified Portfolio, in theagricultural, metals, energy, interest rate and stock indices futures andfutures options markets and in the currency markets, trading primarily forwardcontracts in the interbank market. The objective of the Managing Owner’strading method is to participate in all major sustained price moves in themarkets traded. The Managing Owner’s approach is medium-term to long-term innature. The Managing Owner makes trading decisions pursuant to its tradingmethod, which includes technical trend analysis, certain non-trend-followingtechnical systems, and money management principles, which may be revised fromtime to time.

The Managing Owner isengaged in an ongoing research effort to improve its trading methods and toapply its quantitative analytic expertise to new financial products.

Successful systematicfutures trading depends on two factors; development and selection of thetrading systems used in each market, and allocation of portfolio risk among themarkets available for trading.

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Market environmentschange over time, and particular systems may perform well in one environmentbut poorly in another.  Likewise,portfolio sectors and individual markets go through periods where systematictrading is very profitable and other periods where no system makes any money.

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

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

When arriving at theportfolio allocation, the Managing Owner seeks maximum diversification subjectto liquidity constraints.  The marketstraded and allocations are reviewed monthly, although changes may occur lessfrequently.  The following factors areconsidered in constructing a universe of markets to trade for eachportfolio:  profitability, correlation ofmarket performance, liquidity of markets, professional judgment, desireddiversification and transaction costs. Once the universe of markets is established, the Managing Owner’ssimulation and optimization techniques help determine which markets to includein the portfolio.  The current allocationto any market in the portfolio does not exceed 4.5%.

Risk is a function ofboth price level and price volatility. In attempting to assess market volatility as a means of monitoring andevaluating risk, the Managing Owner uses its volatility overlay as a part ofindividual market risk management. This system is designed to measure the riskin the portfolio’s position in each market and signals a decrease in positionsize when risk increases and an increase in position size when risk decreases.The Managing Owner’s volatility overlay maintains overall portfolio risk anddistribution of risk across markets within designated ranges.  It is applied to the systematic strategiesdescribed above.  A secondary benefit ofthe volatility overlay can be timely profit taking.  Because markets tend to become more volatileafter a profitable trend has been long underway, the volatility overlay often signalsposition reductions before trend reversals.

In addition to thevolatility overlay, the Managing Owner’s risk management focuses on moneymanagement principles applicable to the portfolio as a whole such as portfoliodiversification and control of leverage and portfolio size.  There are, however, no restrictions on theamount of leverage the Managing Owner may use at any time.

Pursuant to the Trust Agreement, the Managing Ownerreceives a flat-rate monthly brokerage fee equal to 0.58 of 1% of the month-endNet Assets (a 7.0% annual rate).  TheManaging Owner charges less than the annual brokerage rate of 7% to thosesubscribers who either invest in amounts of $100,000 or more in the Units orsubscribe without incurring the selling commission paid by the ManagingOwner.  These reductions have no effecton other investors.  The Managing Owneralso receives a profit share equal to 20% of any new trading profit as defined,determined as of the end of each calendar year. The annual profit share is calculated net of brokerage fees andadministrative expenses and excluding interest income.

The Trust’s organizational and initial offering costswere paid by the Managing Owner without reimbursement from the Trust or itsUnitholders.  The Trust pays itsadministrative expenses, including costs incurred in connection with thecontinuing offering of the Trust’s Units, and any extraordinary expenses whichit may incur.  The Managing Owner paysall the routine costs of executing and clearing the Trust’s trades and all compensationdue to the selling agents.

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UBS Financial Services Inc. (“UBS”), Deutsche BankSecurities Inc. (“Deutsche Bank”), Merrill Lynch, Pierce, Fenner & SmithIncorporated (“Merrill Lynch”), Credit Suisse Securities (USA) LLC (“CreditSuisse”) and First International Banque SA (UK Branch) (“Fimat”) act as thefutures brokers for the Trust.  The Trustexecutes currency forward trades with several brokers and banks, includingMorgan Stanley & Co. Incorporated and clears all such trades with MorganStanley & Co. Incorporated, serving as prime broker.  The Trust pays “bid asked” spreads on itsforward trades, as such spreads are incorporated into the pricing of forwardcontracts.  The Managing Owner monitorsthe Trust’s trades to ensure that the prices it receives are competitive.

The Trust is open-ended and may offer Units at netasset value as of the first day of each month. Unitholders may redeem any or all of their Units upon 10 businessdays’ written notice to the Managing Owner at their net asset value as of thelast day of any month.  Units redeemed onor prior to the end of the first six-month period after their sale will pay aredemption charge of 4% of the net asset value at which such Units areredeemed.  Units redeemed on or prior tothe end of the first eleven months but after the end of the first six-monthperiod after their sale will pay a redemption charge of 3% of the net assetvalue at which such Units are redeemed. Redemption charges are reduced, in the case of subscriptions in amountsof $100,000 or more or if the subscriptions are through asset-based orfixed-fee investment programs or by selling agent employees who purchase Unitsthrough selling agent sponsored 401(k) and similar plans.  These redemption charges are paid to theManaging Owner.  Requests for redemptionwill be honored and payment will be made, except in the event of highly unusualmarket disruptions, within 15 business days of the effective date ofredemption.

The Trust’s cash and U.S. Treasury instruments areused by the Trust to engage in its trading activities and as reserves tosupport that trading.  The Trust’s assetsdeposited with the Trust’s futures brokers as margin are maintained in “customersegregated funds accounts” or “foreign futures and foreign options securedamount accounts” and are held in cash, or U.S. Treasury instruments.  Trust assets not deposited as margin aremaintained in bank or brokerage accounts and are held primarily in bank moneymarket funds or U.S. Treasury instruments.

The Trust does not engage in lending (other thanthrough permitted securities investments). The Managing Owner does not anticipate making any distributions of Trustprofits, if any.

Regulation

Under the Commodity Exchange Act, as amended (the “CEA”),commodity exchanges and futures trading are subject to regulation by theCommodity Futures Trading Commission (the “CFTC”).  National Futures Association (“NFA”), a “registeredfutures association” under the CEA, is the only non-exchange self-regulatoryorganization for futures industry professionals.  The CFTC has delegated to NFA responsibilityfor the registration of “commodity trading advisors,” “commodity pooloperators,” “futures commission merchants,” “introducing brokers” and theirrespective associated persons and “floor brokers” and “floor traders.”  The CEA requires commodity pool operators andcommodity trading advisors, such as the Managing Owner, and commodity brokersor futures commission merchants, such as UBS, Deutsche Bank, Merrill Lynch,Credit Suisse and Fimat to be registered and to comply with various reportingand record keeping requirements.  TheCFTC may suspend a commodity pool operator’s or trading advisor’s registrationif it finds that its trading practices tend to disrupt orderly marketconditions or in certain other situations. In the event that the registration of the Managing Owner as a commoditypool operator or a commodity trading advisor were terminated or suspended, theManaging Owner would be unable to continue to manage the business of the Trust.  Should the Managing Owner’s registration besuspended, termination of the Trust might result.

In addition to such registration requirements, theCFTC and certain commodity exchanges have established limits on the maximum netlong or net short position which any person may hold or control in particularcommodities.  Most exchanges also limitthe changes in futures contract prices that may occur during a single tradingday.   Currency forward contracts are notsubject to regulation by any United States Government agency.

(i)            through(xii) - not applicable.

(xiii)         theTrust has no employees.

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(d)           Financialinformation about geographic areas

The Trust does not engage in material operations inforeign countries (although it does trade from the United States in foreigncurrency forward contracts and on foreign futures exchanges), nor is a materialportion of its revenues derived from foreign customers.

Item1A.   Risk Factors

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

An investment in theTrust is a speculative investment. You will be relying on the Managing Owner totrade profitably for the Trust and profitability is not assured. You could loseall or substantially all of your investment in the Trust.

**The Trust has a Limited Performance History**

The Trust began tradingJuly 1, 2002 and has a limited performance history. **The past performance of the Trust and Managing Owner’s DiversifiedPortfolio are not necessarily indicative of the Trust’s future results.**

**The Trust is a Highly Leveraged Investment**

The Trust generally holdspositions with an aggregate face value of as much as eight, and possibly asmuch as ten or more, times its total equity. Consequently, small adversemovements in the prices of the Trust’s open positions can cause significantlosses.

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

The Managing Ownerexpects that the performance of the Trust will be volatile. The Trust maysuffer sudden and substantial losses from time to time and the day-to-day valueof the Units will be variable and uncertain. The Net Asset Value per Unit maychange materially between the date on which you subscribe for Units and thedate the Units are issued or the date you request a redemption and themonth-end redemption date. In the last five years, monthly returns in theManaging Owner’s Diversified Portfolio have ranged from up 13.44% to down10.53%. Since it began trading in July 2002, monthly returns for the Trust haveranged from up 9.56% to down 10.29%.

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

The Trust pays annualexpenses of up to approximately 7.5% of its average month-end Net Assets. TheTrust must earn trading profits and interest income at least equal to theseexpenses to avoid losses.

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

There is no secondarymarket for the Units. You may redeem your Units only as of the close ofbusiness on the last day of a calendar month, and you must give the Trust atleast 10 days’ prior written notice of your intent to redeem. Early redemptioncharges apply if you redeem Units through the end of the first eleven monthsyou own them.

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

Units redeemed on or prior to the end of the firstsix-month period after their sale will pay a redemption charge of 4% of the netasset value at which such Units are redeemed. Units redeemed on or prior to the end of the first eleven months butafter the end of the first six-month period after their sale will pay aredemption charge of 3% of the net asset value at which such Units areredeemed.

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

The Managing Ownerexpects that a majority of the Trust’s trades will result in small profits onlyor in losses. The majority of any profits earned by the Trust will most likelycome from a small number of trades each year. Accordingly, you will not knowwhen is a good time to invest in the Trust or to redeem your Units, and thetiming of your investment and redemption decisions will affect the amount ofprofit or loss you experience as an investor in the Trust.

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

The Trust is asingle-advisor fund. The use of a single advisor trading one program involves agreater risk of loss than the diversified, multi-advisor approach employed bymany futures funds. In addition, if the management services of the ManagingOwner were to become unavailable for any reason, the Trust would terminate.Furthermore, were the Managing Owner to lose the services of its keyprincipals, the Managing Owner could decide to dissolve the Trust, possiblycausing it to realize losses.

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

The Managing Owner’ssystematic strategies are developed on the basis of a statistical analysis ofmarket prices. Consequently, any factor external to the market itself thatdominates prices may cause major losses. For example, a pending political oreconomic event may be very likely to cause a major price movement, but theManaging Owner would continue to maintain positions indicated by its tradingmethod that would incur major losses if the event proved to be adverse.

The Managing Owner’ssystematic strategies retain certain discretionary aspects. Decisions, forexample, to adjust the size of the positions indicated by the systematicstrategies, which contracts to trade and method of order entry require judgmentalinput from the Managing Owner’s principals. Additionally, the Managing Ownermay determine not to enter a new position indicated by its strategies if theManaging Owner determines prevailing market conditions to be unusual, forexample, significantly more volatile than the expected volatility factored intothe design of the strategies. The Managing Owner does, however, exit positionswhen its trading strategies indicate that it should do so. Discretionarydecision-making may result in the Managing Owner making unprofitable tradeswhen a more wholly systematic approach would not have done so.

**Lack of Price Trends WillCause Losses; There Have Been Sustained Periods With Insufficient Price Trendsfor the Diversified Portfolio to Trade Profitably. The Managing Owner ExpectsThat There Will be Similar Periods in the Future**

The Trust cannot tradeprofitably unless there are major price trends in at least some of the marketsit trades. Moreover, the price trends must be of a type the Managing Owner’ssystems are designed to identify. In the past there have been sustained periodswith few trending markets where gains from trading those markets wereinsufficient to offset losses from trades in non-trending markets.  For example, the Managing Owner’s DiversifiedPortfolio incurred a loss for the year in 1983, 1986, 1989, 1999, 2001 and, asadjusted to reflect the charges applicable to the Trust, 2003 and 2004.  The Managing Owner expects that there will besimilar periods in the future.

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Markets in which pricesmove rapidly and then reverse and then do so again may cause losses. In such “whipsaw”market conditions, the Managing Owner may establish positions for the Trust onthe basis of incorrectly identifying the rapid movement or the reversal as atrend.

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

In illiquid markets, theTrust could be unable to close out positions to limit losses or to takepositions in order to follow trends. There are too many different factors thatcan contribute to market illiquidity to predict when or where illiquid marketsmay occur.

Unexpected marketilliquidity has caused major losses for some traders in recent years in suchmarket sectors as emerging markets and mortgage-backed securities. There can beno assurance that the same will not happen in the markets traded by the Trust.In addition, the large size of the positions the Trust may take increases therisk of illiquidity by both making its positions more difficult to liquidate andincreasing the losses incurred while trying to do so.

United States commodityexchanges impose limits on the amount the price of some, but not all, futurescontracts may change on a single day. Once a futures contract has reached itsdaily limit, it may be impossible for the Trust to liquidate a position in thatcontract, if the market has moved adversely to the Trust, until the limit iseither raised by the exchange or the contract begins to trade away from thelimit price.

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

In executing its tradingmethod, the Managing Owner uses combinations of trading systems to generate buyand sell signals in the various markets traded. The Managing Owner hasdeveloped, modified, retained and discarded numerous systems over more than 30years. Consequently, some of the trading systems and combinations of systemscurrently being used to trade accounts traded pursuant to the DiversifiedPortfolio, as the Trust is so traded, are not identical to those used 5, 10, 15or 20 years ago.

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

The Trust will trade oncommodity exchanges outside the United States. Trading on foreign exchanges isnot regulated by any United States governmental agency and may involve certainrisks that do not arise when trading on United States exchanges. For example,some foreign exchanges are “principals’ markets” in which performance is theresponsibility only of the individual member with whom the Trust has traded,not of the exchange or a clearing facility. In such cases, the Trust will be subject to a risk that the member withwhom the Trust has traded is unable or unwilling to perform its obligationsunder the transaction.  Additionally, anadverse change in the exchange rate between the United States dollar and thecurrency in which a non-U.S. futures contract is denominated would reduce theprofit or increase the loss on a trade in that contract.

Trading on foreignexchanges also presents risks of loss due to (1) the possible imposition ofexchange controls, which could make it difficult or impossible for the Trust torepatriate some or all of its assets held by non-U.S. counterparties; (2)possible government confiscation of assets; (3) taxation; (4) possiblegovernment disruptions, which could result in market closures and thus aninability to exit positions and repatriate Trust assets for sustained periodsof time, or even permanently; and (5) limited rights in the event of thebankruptcy or insolvency of a foreign broker or exchange resulting in adifferent and possibly less favorable distribution of the bankrupt’s assetsthan would occur in the United States.

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

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

If the Trust does notperform in a manner non-correlated with the general financial markets or doesnot perform successfully, you will obtain no diversification benefits byinvesting in the Units and the Trust may have no gains to offset your lossesfrom other investments.

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

Investors will purchaseUnits at different times and will, accordingly, recognize different amounts ofprofit and loss on their investments. Profit Shares are accrued, or theaccruals are reversed to reflect losses, on a monthly basis so that Units arenot sold with an embedded Profit Share liability. However, Profit Shares areultimately calculated on the basis of the cumulative net trading profitsrecognized by the Trust as a whole, not on the profits recognized by anyparticular Unit or Units. Consequently, the Managing Owner may still beallocated a Profit Share even though certain Units have lost value since thedate they were purchased.

Conversely, Unitspurchased at a Net Asset Value reduced by accrued Profit Shares will benefitfrom any reversal of such accruals, and the benefit of such reversals to Unitsoutstanding at the time of such purchase will be diluted.

Similarly, Units mayincur losses generating a loss carryforward for purposes of calculatingsubsequent Profit Shares. The benefit of any such loss carryforward will bediluted by the admission of new Unitholders.

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

The Managing Owner hasnot agreed to limit the amount of money it may manage and is actively seekingadditional accounts. The more money the Managing Owner manages, the moredifficult it may become for the Managing Owner to trade profitably for theTrust because of the difficulty of trading larger positions without negativelyaffecting prices and performance.

**Increased Competition AmongTrend-Following Traders Could Reduce the Managing Owner’s Profitability**

A substantial number ofcommodity trading advisors use technical trading systems, particularlytrend-following systems, like the Managing Owner’s systems. As the amount ofmoney under the management of such systems increases, competition for the samepositions increases, making the positions more costly and more difficult toacquire.

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

The Trust is subject tonumerous actual and potential conflicts of interest, including: (1) thecompensation that the Trust’s selling agents receive gives them an incentive topromote the sale of Units as well as to discourage redemptions; (2) thebrokerage commissions that UBS, Deutsche Bank, Merrill Lynch, Credit Suisse andFimat receive as clearing brokers for the Trust gives an additional incentiveto promote the sale of Units as well as to discourage redemptions; (3) theManaging Owner has significant financial incentives both to promote the sale ofthe Units and to discourage their redemption; and (4) the Managing Owner of theTrust will not select any other trading advisor even if doing so would be inthe best interests of the Trust.

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

Because the ManagingOwner has not established any formal procedures for resolving conflicts ofinterest, you will be dependent on the good faith of the parties with conflictsto resolve the conflicts equitably. The Managing Owner cannot assure thatconflicts of interest will not result in losses for the Trust.

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**You Will be Taxed EachYear on Your Share of Trust Profits**

If you are an individualor entity subject to U.S. taxes (e.g., not a tax-exempt entity such as an IRAor pension plan), you will be taxed on your share of Trust income or gain eachyear, whether or not you redeem Units or receive distributions from the Trust.

Because a substantialportion of the Trust’s open positions are “marked-to-market” at the end of eachyear, some of your tax liability will be based on unrealized gains which theTrust may, in fact, never realize.

40% of any tradingprofits on certain U.S. exchange-traded futures contracts and certain foreigncurrency forward contracts are taxed as short-term capital gains at ordinaryincome rates (unless offset by capital losses), while 60% of any such tradingprofits are taxed as long-term capital gains at a lower maximum rate forindividuals (15% for most gains recognized in taxable years beginning on orbefore December 31, 2010). 100% of any trading profits from non-U.S. exchangetraded interest rate futures contracts and certain forward currency contractsthat do not have an equivalent U.S. exchange traded futures contract are “marked-to-market”at the end of each year and taxed as short-term capital gains at ordinaryincome tax rates (unless offset by capital losses). These rates applyregardless of how long the Trust holds a contract, or an investor his or herUnits.

Due to the different taxrates for long-term and short-term capital gains and losses, and depending onthe tax character of income and loss you receive on other investments in yourportfolio, it is possible for you to have a pre-tax economic gain on yourinvestment in the Trust but an after-tax loss.

All performanceinformation included in this report is presented on a pre-tax basis; theinvestors who experienced such performance had to pay the related taxes fromother sources.

Over time, thecompounding effects of the annual taxation of the Trust’s income are materialto the economic consequences of investing in the Trust. For example, a 10%compound annual rate of return over five years would result in an initial$10,000 investment compounding to $16,105. However, if one factors in a 30% taxrate each year, the result would be $14,025.

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

Losses on the Trust’strading are almost exclusively capital losses. Non-corporate investors may usenet capital losses to offset up to $3,000 of ordinary income each year. So, forexample, if your share of the Trust’s trading (**i.e.**, capital) loss was $10,000 in a given fiscal year andyour share of interest income was $5,000, you would incur a net loss in the NetAsset Value of your Units equal to $5,000, but would nevertheless recognizetaxable income of $2,000.

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

The Managing Owner doesnot intend to treat the ordinary expenses of the Trust as “investment advisoryfees” for federal income tax purposes. The Managing Owner believes that this isthe position adopted by virtually all United States futures fund sponsors.However, were the ordinary expenses of the Trust characterized as “investmentadvisory fees,” non-corporate taxpayers would be subject to substantialrestrictions on the deductibility of those expenses, would pay increased taxesin respect of an investment in the Trust and could actually recognize taxableincome despite having incurred a financial loss.

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

The IRS could audit theTrust’s tax returns and require the Trust to adjust such returns. If an auditresults in an adjustment, you could be audited and required to pay additionaltaxes, plus interest and possibly penalties.

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

The Managing Owner mustassess the credit-worthiness of the clearing brokers and foreign currencycounterparties it selects for the Trust. If one of the Trust’s clearing brokersor foreign currency counterparties becomes bankrupt, the Trust will be limitedto recovering only its **pro rata**share of all available customer funds segregated by the clearing broker orcounterparty. The Managing Owner attempts to mitigate this risk by selectingonly well capitalized, major financial institutions as Clearing Brokers andforeign currency counterparties.

**The Trustis Not Regulated as an Investment Company or Mutual Fund**

Although the ManagingOwner is subject to regulation by the CFTC and the Trust itself is subjectreporting requirements and other regulation applicable to public companies inthe United States, the Trust is not registered under the Investment Company Actof 1940.  Accordingly, investors in theTrust are not accorded the protections of such legislation.

**The Trust Trades in Unregulated Markets**

The Trust will conductall or substantially all of its currency forward and related options trading inunregulated markets. There is no way to determine fair pricing or preventtrading abuses in such markets. The absence of regulation in such markets couldexpose the Trust to significant losses.

Various nationalgovernments have expressed concern regarding the disruptive effects ofspeculative trading in the currency markets and the need to regulate the “derivatives”markets in general. Future regulatory changes may limit the Trust’s ability totrade in certain markets.

Item2.    Properties

The Trust does not own or use any physical propertiesin the conduct of its business.  TheManaging Owner or an affiliate perform administrative services for the Trustfrom their offices.

Item 3.    Legal Proceedings

The Managing Owner is not aware of any pending legalproceedings to which either the Trust is a party or to which any of its assetsare subject.  In addition there are nopending material legal proceedings involving the Managing Owner.

Item4.    Submission of Matters to a Voteof Security Holders

None.

PART II

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

Related Stockholder Matters

(a)           Market Information.

There is no trading market for the Units, and none islikely to develop.  Units may be redeemedupon  10 business days’ writtennotice to the Managing Owner at their net asset value as of the last day of anymonth, subject to certain early redemption charges.

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(b)           Holders.

As of December 31, 2006, there were 19,182 holders ofUnits.

(c)           Dividends.

No distributions or dividends have been made on theUnits, and the Managing Owner has 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.

There have been no sales of unregistered securities ofthe Trust during 2004, 2005 or 2006.

(f)            IssuerPurchases of Equity Securities.

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

The following table summarizes the redemptions byUnitholders during the fourth calendar quarter of 2006:

| Month             | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|-------------------|------------|--------------------|------------|-----------------------------------|------------|
| October 31, 2006  |       | 11,735.384         |       | $                                 | 976.32     |   |
| November 30, 2006 |       | 10,162.088         |       | $                                 | 978.86     |   |
| December 31, 2006 |       | 13,355.792         |       | $                                 | 1,040.10   |   |
| Total             |       | 35,253.264         |       |                              |       |

 

Item 6.    Selected Financial Data

The following is asummary of operations for the fiscal years 2006, 2005, 2004, 2003 and 2002 andtotal assets of the Trust at December 31, 2006, 2005, 2004, 2003 and 2002.  The Trust commenced trading operations onJuly 1, 2002.

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| ** **                                         | ** ** | **For the   Year Ended   December 31,   2006** | ** **  | **For the   Year Ended   December 31,   2005** | ** ** | **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)* |       | $                                                                            | 40,749,020  |                                                                         | $          | 27,495,406                                                       |       | $                                                                      | 5,648,733   |                                                                           | ($4,050,627 | ) | $ | 953,721 |   |
| Interest income                                    |       | 20,667,947                                                                   |        | 11,150,930                                                                   |       | 4,131,334                                                        |       | 1,320,805                                                              |        | 110,054                                                                        |        |
|                                               |       |                                                                         |        |                                                                         |       |                                                             |       |                                                                   |        |                                                                           |        |
| Expenses:                                          |       |                                                                         |        |                                                                         |       |                                                             |       |                                                                   |        |                                                                           |        |
| Profit share                                       |       | 114,672                                                                      |        | 0                                                                            |       | 0                                                                |       | 6,465                                                                  |        | 70,924                                                                         |        |
| Administrative  expenses**                         |       | 1,664,204                                                                    |        | 1,477,105                                                                    |       | 1,615,275                                                        |       | 693,544                                                                |        | 38,443                                                                         |        |
| Brokerage commissions                              |       | 30,857,253                                                                   |        | 26,641,625                                                                   |       | 22,046,061                                                       |       | 8,331,480                                                              |        | 431,467                                                                        |        |
|                                               |       |                                                                         |        |                                                                         |       |                                                             |       |                                                                   |        |                                                                           |        |
| Net Income  (loss)                                 |       | $                                                                            | 28,780,838  |                                                                         | $          | 10,527,606                                                       |       | ($13,881,269                                                           | )           | ($11,761,311                                                                   | )           | $ | 522,941 |   |
|                                               |       |                                                                         |        |                                                                         |       |                                                             |       |                                                                   |        |                                                                           |        |
| Total assets                                       |       | $                                                                            | 507,126,392 |                                                                         | $          | 423,902,367                                                      |       | $                                                                      | 414,316,836 |                                                                           | $           | 248,208,066 |   | $ | 27,460,920 |   |
| Total Trust  capital                               |       | $                                                                            | 485,823,359 |                                                                         | $          | 405,903,522                                                      |       | $                                                                      | 397,086,152 |                                                                           | $           | 228,939,976 |   | $ | 25,036,123 |   |
| Net asset value  per Unit                          |       | $                                                                            | 1,040.10    |                                                                         | $          | 978.08                                                           |       | $                                                                      | 954.85      |                                                                           | $           | 1,008.56 |   | $ | 1,030.24 |   |
| Increase (decrease) in  net asset value per Unit   |       | $                                                                            | 62.02       |                                                                         | $          | 23.23                                                            |       | ($53.71                                                                | )           | ($21.68                                                                        | )           | $ | 30.24 |   |

 

*From trading of futures and forward contracts,foreign exchange transactions and U.S. Treasury obligations.

** Includes custody fees for the years ended December31, 2006, 2005, 2004 and 2003 and for the period ended December 31, 2002 andnet of administrative expenses reimbursed by the Managing Owner for the periodended December 31, 2002.

Item 7.    Management’s Discussion and Analysis of Financial

Condition and Results of Operations

Reference is made to “Item 6.  Selected Financial Data” and “Item8.  Financial Statements andSupplementary Data.”  The informationcontained therein is essential to, and should be read in conjunction with, thefollowing analysis.

Capital Resources

Units may be offered for sale as of the beginning, andmay be redeemed as of the end, of each month.

The amount of capital raised for the Trust should nothave a significant impact on its operations, as the Trust has no significantcapital expenditure or working capital requirements other than for monies topay trading losses, brokerage commissions and charges.  Within broad ranges of capitalization, theManaging Owner’s trading positions should increase or decrease in approximateproportion to the size of the Trust.

The Trust raises additional capital only through thesale of Units and capital is increased 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 inability of counterparties orbrokers to perform under the terms of their contracts (credit risk).  Market risk is generally to be measured bythe face amount of the futures positions acquired and the volatility of themarkets traded.  The credit risk fromcounterparty non-performance associated with these instruments is the netunrealized gain, if any, on these positions plus the value of the margin orcollateral held by the counterparty.  Therisks associated with exchange-traded contracts are generally perceived to beless than those associated with over-the-counter transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely on thecredit of their respective individual counterparties.  Margins which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may require margin or collateral in the over-the-countermarkets.

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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 12% 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) prohibiting pyramiding (that is, using unrealized profits in aparticular market as margin for additional positions in the same market); and(5) changing the equity utilized for trading by an account solely on a controlledperiodic basis rather than as an automatic consequence of an increase in equityresulting from trading profits.  TheTrust controls credit risk by dealing exclusively with large, well capitalizedfinancial institutions as brokers and counterparties.

 

The financial instruments traded by the Trust containvarying degrees of off-balance sheet risk whereby changes in the market valuesof the futures and forward contracts or the Trust’s satisfaction of theobligations may exceed the amount recognized in the statement of financialcondition of the Trust.

Due to the nature of the Trust’s business,substantially all its assets are represented by cash and United Statesgovernment obligations, while the Trust maintains its market exposure throughopen futures and forward contract positions.

The Trust’s futures contracts are settled by offsetand are cleared by the exchange clearinghouse function.  Open futures positions are marked to marketeach trading day and the Trust’s trading accounts are debited or credited accordingly.  Options on futures contracts are settledeither by offset or by exercise.  If anoption on a future is exercised, the Trust is assigned a position in theunderlying future which is then settled by offset.  The Trust’s spot and forward currencytransactions conducted in the interbank market are settled by nettingoffsetting positions or payment obligations and by cash payments.

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

Liquidity

The Trust’s assets are generally held as cash or cashequivalents which are used to margin the Trust’s futures and forward currencypositions and withdrawn, as necessary, to pay redemptions and expenses.  Other than potential market-imposedlimitations on liquidity, due, for example, to limited open interest in certainfutures markets or to daily price fluctuation limits, which are inherent in theTrust’s futures and forward trading, the Trust’s assets are highly liquid andare expected to remain so.  During itsoperations through December 31, 2006, the Trust experienced no meaningfulperiods of illiquidity in any of the numerous markets traded by the ManagingOwner.

CriticalAccounting Estimates

The Trust recordsits transactions in futures and forward currency contracts, including relatedincome and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at market, whichis based on the closing settlement price on the exchange where the futurescontract is traded by the Trust on the day with respect to which Net Assets arebeing determined.  Open forward currencycontracts are recorded at fair value, based on pricing models  that consider the current market prices (“SpotPrices”) plus the time value of money (“Forward Points”) and contractual pricesof the underlying financial instruments. The Spot Prices and Forward Points for open forward currency contractsare generally based on the 3:00 P.M. New York time prices provided by widelyused quotation service providers on the day with respect to which Net Assetsare being determined.  The Forward Pointsfrom the quotation service providers are generally in periods of one month, twomonths, three months and six months forward while the contractual forwarddelivery dates for the foreign currency contracts traded by the Trust may be inbetween these periods.

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The Managing Owner’spolicy is to calculate the Forward Points for each contract being valued bydetermining the number of days from the date the forward currency contract isbeing valued to its maturity date and then using straight-line interpolation tocalculate the valuation of Forward Points for the applicable forward currencycontract.  The Managing Owner will alsocompare the calculated price to the forward currency prices provided by dealersto determine whether the calculated price is fair and reasonable.

The preparation offinancial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to make estimatesand assumptions, such as accrual of expenses, that affect the amounts anddisclosures reported in the financial statements.  Based on the nature of the business andoperations of the Trust, the Managing Owner believes that the estimatesutilized in preparing the Trust’s financial statements are appropriate andreasonable, however actual results could differ from these estimates.  The estimates used do not provide a range ofpossible results that would require the exercise of subjective judgment.  The Managing Owner further believes that,based on the nature of the business and operations of the Trust, no otherreasonable assumptions relating to the application of the Trust’s criticalaccounting estimates other than those currently used would likely result in materiallydifferent amounts from those reported.

Off-Balance SheetArrangements

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

ContractualObligations

The Trust does not enter into any contractualobligations or commercial commitments to make future payments of a type thatwould be typical for an operating company or that would affect its liquidity orcapital resources.  The Trust’s solebusiness is trading futures and forward currency contracts, both long(contracts to buy) and short (contracts to sell).  All such contracts are settled by offset, notdelivery.  Substantially all suchcontacts are for settlement within four months of the trade date andsubstantially all such contracts are held by the Trust for less than four monthsbefore being offset or rolled over into new contracts with similarmaturities.   The Trust’s FinancialStatements, included as Exhibit 13.01 to this report, present a CondensedSchedule of Investments setting forth net unrealized appreciation (depreciation)of the Trust’s open future and forward currency contracts, both long and short,at December 31, 2006.

Results of Operations

*Performance Summary*

The Trust was organizedon July 23, 2001 under the Delaware Statutory Trust Act and commenced trading operationsJuly 1, 2002.

The Trust’s successdepends on the Managing Owner’s ability to recognize and capitalize on trendsand other profit opportunities in different sectors of the global capital andcommodity markets. The Managing Owner’s trading methods do not predict pricemovements, nor do they rely on fundamental economic supply or demand analysisor on macroeconomic assessments of the relative strengths of different nationaleconomies or economic sectors. Instead, the systems apply proprietary computermodels to analyzing past market data, and from this data alone attempt todetermine whether market prices are trending. Technical traders such as theManaging Owner base their strategies on the theory that market prices reflectthe collective judgment of numerous different traders and are, accordingly, thebest and most efficient indication of market movements.  However, there are frequent periods duringwhich fundamental factors external to the market dominate prices.

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If the Managing Owner’s models identify a trend, theysignal positions which follow it. When these models identify the trend ashaving ended or reversed, these positions are either closed out or reversed.Due to their trend-following character, the Managing Owner’s systems do notpredict either the commencement or the end of a price movement. Rather, theirobjective is to identify a trend early enough to profit from it and to detectits end or reversal in time to close out the Trust’s positions while retainingmost of the profits made from following the trend.

In analyzing the performance of the Managing Owner’strend-following systems, economic conditions, political events, weatherfactors, etc., are not directly relevant because the Managing Owner uses onlymarket data in developing its systems. Additionally, in general there is no direct connection betweenparticular market conditions and price trends. There are so many influences onthe markets that the same general type of economic event may lead to a pricetrend in some cases but not in others. Further, even if significant price trends do occur, if these trends arenot comprised of the type of price movements which the systems are designed toidentify, the Managing Owner may not position the Trust to profit from or avoidlosses due to the trend.  Moreover, therehave been prolonged periods in the futures markets without significant pricemovements, as well as markets, in which prices appear to be moving in one directionbut then quickly reverse. Such periods may recur with considerable frequency,and the Managing Owner would expect it to be very difficult to achieveprofitability in such markets.

The performance summary set forth below is an outlinedescription of how the Trust performed in the past trading in a wide variety ofmarkets.  The Trust’s futures andcurrency forward contract prices are marked-to-market every trading day, andthe Trust’s trading accounts are credited or debited with its daily gains orlosses. Accordingly, there is no material economic distinction between realizedgains or losses on closed positions and unrealized gains or losses on openpositions. The Trust’s past performance is not necessarily indicative of how itwill perform in the future.

**2006**

During2006, the Trust achieved net realized and unrealized gains of $40,749,020 fromits trading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$30,857,253, administrative expenses of $1,592,624 and custody fees of $71,580were paid or accrued.  The Trustallocated $114,672 in profit share to the New Profits Memo Account for thebenefit of the Managing Owner.  Interestincome of $20,667,947 partially offset the Trust’s expenses resulting in a netgain of $28,780,838 and a 6.34% increase in the Net Asset Value per Unit.  An analysis of the trading gain (loss) bysector is as follows:

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

 

TheTrust generated a moderate gain for the year. Trading of metals and stock index futures produced significant profits,and trading of interest rate and energy futures added small gains.  On the other hand, currency trading resultedin a sizable loss, and trading activity in grains, livestock and softs wassomewhat negative.

Strongeconomic conditions worldwide underpinned industrial and precious metalprices.  Periodic fears of shortages alsobuoyed the prices of industrial metals. Concern about inflation, a weaker U.S. dollar, and reservediversification out of dollars provided an added boost to precious metalprices.  In addition, introduction of asilver ETF alongside the existing gold ETFs increased the demand for preciousmetals.  Consequently, long positions incopper, zinc, nickel, tin, aluminum, lead, gold, silver, and platinum wereprofitable.

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

Duringthe first half of 2006, short positions in short-term and long-term interestrate futures were widely profitable as interest rates rose on the back ofstrong growth, inflation worries, and Fed Funds rate increases.  By July, however, there was growing concernthat tighter Central Bank monetary policies throughout the world might induce agrowth slowdown.  As a result, interestrates, particularly long-term interest rates, came down and losses on shortpositions offset most of the earlier gains. The downward pressure on long-term interest rates was augmented by OPECand Bank of China purchases of longer term government bonds for reservemanagement purposes.  On balance, therewas still a modest profit for the year from interest rate trading.

Currencytrading was unprofitable throughout the year. Significant volatility without sustained trends characterized mostcurrency markets.  Market participantscontinued to discuss the likelihood of a weaker dollar, but with the Bank ofChina tightly controlling the movements of the Yuan, fluctuations in most majorcurrencies were restrained and no sustained dollar move occurred.

Elsewhere,trading of grains, softs, and livestock was somewhat unprofitable, while energytrading produced a fractional gain.

*2005*

During2005, the Trust achieved net realized and unrealized gains of $27,495,406 fromits trading operations (including foreign exchange transactions andtranslations).  Brokerage fees of$26,641,625, administrative expenses of $1,417,680 and custody fees of $59,425were paid or accrued.  The Trustallocated no profit share to the New Profits Memo Account for the benefit ofthe Managing Owner.  Interest income of$11,150,930 partially offset the Trust’s expenses resulting in a net gain of$10,527,606 and a 2.43% increase in the Net Asset Value per Unit.  An analysis of the trading gain (loss) bysector is as follows:

| Sector         | ** ** | **% Gain (Loss)** | ** ** |
|----------------|------------|-------------------|------------|
|           |       |              |       |
| Currencies     |       | (3.34             | )%         |
| Energies       |       | 1.15              | %          |
| Grains         |       | (2.81             | )%         |
| Interest Rates |       | 2.28              | %          |
| Livestock      |       | (0.59             | )%         |
| Metals         |       | 3.12              | %          |
| Softs          |       | (0.28             | )%         |
| Stock Indices  |       | 7.92              | %          |
|           |       |              |       |
| Total          |       | 7.45              | %          |

 

The Trust produceda modest gain for the year.  Stockindices were strongly profitable, and to a lesser extent so were cross ratecurrency positions, metals, energy and interest rates.  On the other hand, sizable losses resultedfrom trading dollar currency positions, and lesser shortfalls came from tradinggrains, softs, and livestock.

Internationalstock indices were highly profitable in 2005. Following some consolidation early in the year, non-U.S. equity indexesmoved broadly higher through year end. There were gains from long positions in Asian, European, and SouthAfrican equity indices.  Solid growthworldwide propelled equities forward despite the headwinds that came from highenergy prices and rising interest rates. Trading of U.S. stock indices, whichwere range-bound for most of 2005, was not profitable, however.

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Strong growth ofindustrial production, especially in China, underpinned demand for metals, andlong positions in copper, zinc and platinum generated gains.   Continuing expansion of money supplyworldwide fueled demand for precious metals, and long gold and silver positionswere also profitable.

Energy prices werevolatile, but still moved somewhat higher on balance for the year, and longpositions in crude, heating oil, London gas oil, unleaded gasoline, andkerosene were slightly profitable.  Bythe end of 2005, however, position sizes had been reduced significantly.

Interest rateswere quite volatile during 2005.  Earlyin the year, markets expected continuing declines in non-U.S. interest rates,and further advances in short term U.S. rates. Later on, however, interest rates rose rather broadly as the EuropeanCentral Bank joined the Federal Reserve in raising official rates, as growth inemerging economies remained strong, as Japan showed evidence of exiting fromits protracted slump, and as high prices for energy and other commoditiesinduced inflation fears that periodically roiled markets. In this environment,profits from long non-U.S. interest rate positions during the first half of2005 were largely offset by losses from these positions in the secondhalf.  Indeed, by year end, the portfolio’sinterest rate positions had been reduced or reversed from long to short,anticipating higher interest rates.

Turning tocurrencies, cross rate trades based on selling low yield currencies and buyinghigh interest rate currencies were profitable. In particular, selling Yen and buying the Australian Dollar, CanadianDollar and British Pound was profitable, as was selling the Euro and buyingPolish Zlotys and Canadian Dollars.

Dollar trading,however, was unprofitable throughout the year. The U.S. currency was not able to sustain a trend and exhibitedsignificant volatility, especially during the second half of 2005. As a result,14 of the 17 currencies traded versus the dollar registered losses or noappreciable gain for the year.

Trading of agricultural commodities and livestockgenerated losses.  Prices of corn, wheatand elements of the soybean complex experienced wide swings in 2005, and modestlosses were sustained across the grain sector of the portfolio.  A long sugar position was quite profitable asweather related crop shortages in Brazil and Asia increased demand for thecommodity and prompted short covering as well. However, losses from trading coffee, cotton, and cocoa were more thanoffsetting.  Livestock trading wasmarginally unprofitable.

*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, administrative expenses of $1,565,227 and custody fees of $50,048were paid or accrued.  The Trustallocated no profit share to the New Profits Memo Account for the benefit ofthe Managing Owner.  Interest income of$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)** | ** ** |
|----------------|------------|-------------------|------------|
|           |       |              |       |
| Currencies     |       | (3.21             | )%         |
| Energies       |       | 2.49              | %          |
| Grains         |       | 0.44              | %          |
| Interest Rates |       | 3.11              | %          |
| Livestock      |       | 0.14              | %          |
| Metals         |       | (0.21             | )%         |
| Softs          |       | 0.19              | %          |
| Stock Indices  |       | (2.44             | )%         |
|           |       |              |       |
| Total          |       | 0.51              | %          |

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The year2004 was distinguished by dramatic transitions in the underlying character ofmarket trading dynamics. Profitable trends in January and February gave way toa six month period of trendless, turbulent action across a broad swath ofmarkets that produced significant losses. Beginning in September, trendsreappeared and the Trust chalked up a sharp recovery in the year’s final fourmonths.  Interest rate and energy tradingwere profitable and to a lesser extent so was trading of agriculturalcommodities.  These gains were partiallyoffset by losses from currency, stock index and metals trading. The Trustgenerated a small trading 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 of uncertaintiesplagued market participants including: the June Iraqi elections, the U.S. Presidential elections in November,the strength of the American economy and thrust of Federal Reserve policy, andChina’s foreign exchange, industrial and monetary policy directions.  As a result, markets across the boarddisplayed unprofitable, directionless price action.  Trading of currencies, interest rates, stockindices, 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.

Item 7A.  Quantitativeand Qualitative Disclosures About Market Risk

**Introduction**

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

The Trust is a speculativecommodity pool.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, 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.

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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 market scenario willaffect performance, and the Trust’s past performance is not necessarilyindicative 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’s speculative trading andthe recurrence in the markets traded by the Trust of market movements farexceeding expectations could result in actual trading or non-trading losses farbeyond the indicated Value at Risk or the Trust’s experience to date (*i.e.,* “risk of ruin”). In light of the foregoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of the quantificationincluded in this section should not be considered to constitute any assuranceor representation that the Trust’s losses in any market sector will be limitedto Value at Risk or by the Trust’s attempts to manage its market risk.

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

Quantifying the Trust’s Trading 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 Securities Actand Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for 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 maximum oneday 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.  The maintenancemargin levels are established by exchanges using historical price studies aswell as an assessment of current market volatility (including the impliedvolatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-term one day price fluctuation.

TheTrust calculates Value at Risk for forward currency contracts that are notexchange traded using exchange maintenance margin requirements for equivalentor similar futures positions as the measure of Value at Risk.

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.

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

The following tables indicate the average, highest andlowest amounts of trading Value at Risk associated with the Trust’s openpositions by market category for the fiscal years ended December 31, 2006 and2005.  During fiscal year 2006 and 2005,the Trust’s average total capitalization was approximately $450.7 million and$389.1 million, respectively.

| Fiscal Year 2006 | ** ** |
|----------------------------|------------|
| **Market Sector**     | ** ** | **Average   Value at Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
| Currencies                 |       | $ | 20.5 |   | 4.5 | % | $ | 29.3 |   | $ | 17.3 |   |
| Energies                   |       | $ | 4.8 |   | 1.1 | % | $ | 6.1 |   | $ | 2.4 |   |
| Grains                     |       | $ | 1.6 |   | 0.3 | % | $ | 1.9 |   | $ | 1.0 |   |
| Interest Rates             |       | $ | 13.3 |   | 3.0 | % | $ | 19.6 |   | $ | 6.7 |   |
| Livestock                  |       | $ | 0.4 |   | 0.2 | % | $ | 0.8 |   | $ | 0.1 |   |
| Metals                     |       | $ | 4.1 |   | 0.9 | % | $ | 6.1 |   | $ | 2.6 |   |
| Softs                      |       | $ | 2.5 |   | 0.6 | % | $ | 3.3 |   | $ | 1.8 |   |
| Stock Indices              |       | $ | 18.8 |   | 4.2 | % | $ | 26.4 |   | $ | 5.6 |   |
| Total                      |       | $ | 66.0 |   | 14.8 | % |   |   |   |   |

 

Average, highest andlowest Value at Risk amounts relate to the quarter-end amounts during thefiscal year.  Average Capitalization isthe average of the Trust’s capitalization at the end of each month during thefiscal year 2006.  Dollar amountsrepresent millions of dollars.

| Fiscal Year 2005 | ** ** |
|----------------------------|------------|
| **Market Sector**     | ** ** | **Average   Value at Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
| Currencies                 |       | $ | 21.1 |   | 5.4 | % | $ | 30.6 |   | $ | 17.3 |   |
| Energies                   |       | $ | 3.0 |   | 0.8 | % | $ | 3.9 |   | $ | 1.2 |   |
| Grains                     |       | $ | 1.0 |   | 0.3 | % | $ | 1.3 |   | $ | 0.4 |   |
| Interest Rates             |       | $ | 12.1 |   | 3.1 | % | $ | 15.3 |   | $ | 9.0 |   |
| Livestock                  |       | $ | 0.3 |   | 0.1 | % | $ | 0.4 |   | $ | 0.1 |   |
| Metals                     |       | $ | 3.9 |   | 1.0 | % | $ | 4.5 |   | $ | 3.5 |   |
| Softs                      |       | $ | 2.1 |   | 0.6 | % | $ | 3.3 |   | $ | 1.1 |   |
| Stock Indices              |       | $ | 20.3 |   | 5.2 | % | $ | 22.3 |   | $ | 18.3 |   |
| Total                      |       | $ | 63.8 |   | 16.5 | % |   |   |   |   |

 

Average, highestand lowest Value at Risk amounts relate to the quarter-end amounts during thefiscal year.  Average Capitalization isthe average of the Trust’s capitalization at the end of each month during thefiscal year 2005.  Dollar amountsrepresent millions of dollars.

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

The face value of the market sector instruments heldby the Trust is typically many times the applicable maintenance marginrequirement (maintenance margin requirements generally range betweenapproximately 1% and 10% of contract face value) as well as many times thecapitalization of the Trust.  Themagnitude of the Trust’s open positions creates a “risk of ruin” not typicallyfound in most other investment vehicles. Because of the size of its positions, certain market conditions —unusual, but historically recurring from time to time — could cause the Trustto incur severe losses over a short period of time.  The foregoing Value at Risk table — as wellas the past performance of the Trust — give no indication of this “risk ofruin.”

***Non-Trading Risk***

The Trust has non-trading market risk on its foreigncash balances not needed for margin. However, these balances (as well as any market risk they represent) areimmaterial.

The Trust also has non-trading cash flow risk as aresult of holding a substantial portion (over 80%) of its assets in U.S.Treasury notes and other short-term debt instruments (as well as any marketrisk they represent) for margin and cash management purposes.  Although the Managing Owner does notanticipate that, even in the case of major interest rate movements, the Trustwould sustain a material mark-to-market loss on its securities positions, ifshort-term interest rates decline so will the Trust’s cash managementincome.  The Trust also maintains aportion (over 10%) of its assets in cash in interest-bearing bankaccounts.  These cash balances are alsosubject (as well as any market risk they represent) to cash flow risk, which isnot material.

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*Qualitative Disclosures RegardingPrimary Trading Risk Exposures*

*The following qualitative disclosures regarding theTrust’s market risk exposures — except for (i) those disclosures that arestatements of historical fact and (ii) the descriptions of how the ManagingOwner manages the Trust’s primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section21E of the Securities Exchange Act.  TheTrust’s primary market risk exposures as well as the strategies used and to beused by the Managing Owner **for**managing such exposures are subject to numerous uncertainties, contingenciesand risks, any one of which could cause the actual results of the Trust’s riskcontrols to differ materially from the objectives of such strategies.  Government interventions, defaults and expropriations,illiquid markets, the emergence of dominant fundamental factors, politicalupheavals, changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Trust. There can be no assurance that the Trust’s current market exposureand/or risk management strategies will not change materially or that any suchstrategies will be effective in either the short- or long-term.  Investors must be prepared to lose all orsubstantially all of their investment in the Trust.*

The following were the primary trading risk exposuresof the Trust as of December 31, 2006, by market sector.

Financial Instruments.  Interest rate movements directly affect theprice of the sovereign bond futures positions held by the Trust and indirectlythe value of its stock index and currency positions.  Interest rate movements in one country aswell as relative interest rate movements between countries may materiallyimpact the Trust’s profitability.  TheTrust’s primary interest rate exposure is to interest rate fluctuations in theUnited States and other major industrialized, or Group of Seven (Canada, France,Germany, Italy, Japan, United Kingdom and United States, collectively, “G-7”)countries.  However, the Trust also maytake positions in futures contracts on the government debt of othernations.  The Managing Owner anticipatesthat G-7 interest rates, both long-term and short-term, will remain the primarymarket exposure of the Trust for the foreseeable future.

Currencies.  Exchange rate risk is a principal marketexposure of the Trust.  The Trust’scurrency exposure is to exchange rate fluctuations, primarily fluctuationswhich disrupt the historical pricing relationships between different currenciesand currency pairs.  The fluctuations areinfluenced by interest rate changes as well as political and general economicconditions.  The Trust trades in a largenumber of currencies, including cross-rates—e.g., positions between twocurrencies other than the U.S. dollar. As of December 31, 2006, the Trust’s currency exposures were in the U.S.dollar versus the Euro, Swiss Franc, Czech Krone, Polish Zloty, NorwegianKrone, Hungarian Forint, Swedish Krona, Canadian Dollar, South African Rand,New Zealand Dollar, Australian Dollar, Japanese Yen, Korean Won, SingaporeDollar, Mexican Peso, Turkish Lira, Indian Rupee and British Pound.  The exposure in currency crosses were in theJapanese Yen versus the Canadian Dollar, Australian Dollar, Swiss Franc, Euro,Mexican Peso, New Zealand Dollar and British Pound and in the Euro versus theJapanese Yen, British Pound, Swiss Franc, Polish Zloty, Norwegian Krone, HungarianForint, Mexican Peso, New Zealand Dollar, Swedish Krona, Turkish Lira andCanadian Dollar.

Stock Indices.  The Trust’s equity exposure, through stockindex futures, is to equity price risk in the G-7 countries as well as othercountries.  As of December 31, 2006, theTrust’s exposures in the G-7 countries were in the: E-Mini Nasdaq 100, E-MiniS&P 500, E-Mini Russell 2000 and E-Mini Dow (United States); FTSE 100(United Kingdom); TOPIX and Nikkei (Japan); TSE 60 (Canada); DAX (Germany); andCAC-40 (France) stock indices.  The Trust’sexposure to stock index futures of other countries at December 31, 2006 were inthe: Simex Taiwan Index (Taiwan), Simex (Singapore), ALL Shares (South Africa),SPI 200 (Australia), IBEX 35 (Spain), Hang Seng and H-Shares (Hong Kong),Amsterdam (Netherlands), MIB 30 (Italy), OMX (Sweden) and the DJ Euro Stoxx 50(Euro Zone) stock indices.

Metals.  The Diversified Portfolio used for the Trusttrades precious and base metals.  As ofDecember 31, 2006, the Trust’s metals market exposure was in gold, silver,platinum, aluminum, copper, lead, nickel, tin and zinc.

Agricultural.  The Trust’s primary commodities exposure isto agricultural price movements, which are often directly affected by severe orunexpected weather conditions.  As ofDecember 31, 2006, the Trust had exposure to agricultural commodities includingcoffee, sugar, cocoa, cotton, wheat, corn, the soybean complex as well as livecattle and hogs.

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.

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*QualitativeDisclosures Regarding Non-Trading Risk Exposure*

The following were the only non-trading risk exposuresof the Trust as of December 31, 2006.

Foreign Currency Balances.  The Trust’s primary foreign currency balancesare in Japanese Yen, Euros, British Pounds, Australian Dollars, CanadianDollars, Swiss Francs, Swedish Krona, South African Rand and Hong KongDollars.  The Trust controls thenon-trading risk of these balances by regularly converting these balances backinto dollars (no less frequently than twice a month).

Securities Positions.  The Trust’s only market exposure ininstruments held other than for trading is in its securities portfolio.  The Trust holds only cash orinterest-bearing, credit risk-free, short-term paper — typically U.S. Treasuryinstruments 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 to maturity.

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

The Managing Owner attempts to control risk throughthe systematic application of its trading method, which includes a multi-systemapproach to price trend recognition, an analysis of market volatility, theapplication of certain money management principles, which may be revised fromtime to time, and adjusting leverage or portfolio size.  In addition, the Managing Owner limits itstrading to markets which it believes are sufficiently liquid in respect of theamount of trading it contemplates conducting.

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

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

When arriving at the portfolio allocation, the ManagingOwner seeks maximum diversification subject to liquidity constraints.  The markets traded and allocations arereviewed monthly, although changes may occur less frequently.  The following factors are considered inconstructing a universe of markets to trade for each portfolio:  profitability, correlation of marketperformance, liquidity of markets, professional judgment, desireddiversification and transaction costs. Once the universe of markets is established, the Managing Owner’ssimulation and optimization techniques help determine which markets to includein the portfolio.  The current allocationto any market in the portfolio does not exceed 4.5%.

In attempting to assess market volatility as a meansof monitoring and evaluating risk, the Managing Owner uses its volatilityoverlay as a part of individual market risk management. This system is designedto measure the risk in the portfolio’s position in each market and signals adecrease in position size when risk increases and an increase in position sizewhen risk decreases. The Managing Owner’s volatility overlay maintains overallportfolio risk and distribution of risk across markets within designatedranges.  It is applied to the systematicstrategies described above.  A secondarybenefit of the volatility overlay can be timely profit taking.  Because markets tend to become more volatileafter a profitable trend has been long underway, the volatility overlay oftensignals position reductions before trend reversals.

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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.  One such principle is portfoliodiversification, which attempts to improve the quality of profits by reducingvolatility.

Additional money management principles applicable tothe portfolio as a whole include: (1) limiting the assets committed as margin or collateral,generally within a range of 12% to 35% of an account’s net assets, though theamount may at any time be substantially higher; (2) prohibiting pyramiding -that is, using unrealized profits in a particular market as margin foradditional positions solely in the same market; and (3) changing theequity used for trading by an account solely on a controlled periodic basis,not automatically due to an increase in equity from trading profits.

Another important risk management function is thecareful control of leverage or portfolio size. Leverage levels are determinedby simulating the entire portfolio—all markets, all systems, all risk controloverlays, the exact weightings of the markets in the portfolio and the proposedlevel of leverage—over the past five or ten years to determine the worst caseexperienced by the portfolio in the simulation period.

The worst case or peak-to-trough drawdown is measuredfrom a daily high in portfolio assets to the subsequent daily low whether thatoccurs days, weeks or months after the daily high. If the Managing Ownerconsiders the drawdown too severe, it reduces the leverage or portfolio size.There are, however, no restrictions on the amount of leverage the ManagingOwner may use at any given time.

Item8.    Financial Statements and Supplementary Data

Financial statements required by this item, includingthe report of Deloitte & Touche LLP for the fiscal years ended December 31,2006, 2005 and 2004, are included as Exhibit 13.01 to this report.

The following summarized quarterly financialinformation presents the results of operations for the three month periods endedMarch 31, June 30, September 30 and December 31, 2006 and 2005.  This information has not been audited.
| ** **                                        | ** ** | **Fourth Quarter  2006** | ** ** | **Third Quarter  2006** | ** ** | **Second Quarter  2006** | ** ** | **First Quarter  2006** | ** ** |
|---------------------------------------------------|------------|-------------------------------|------------|------------------------------|------------|-------------------------------|------------|------------------------------|------------|
| Interest Income:                                  |       | $                             | 5,672,556  |                         | $          | 5,605,134                     |       | $                            | 5,091,348  |   | $ | 4,298,909 |   |
| Net  Realized and Unrealized   Gains (Losses):    |       | 50,942,973                    |       | (24,193,668                  | )          | (22,129,538                   | )          | 36,129,253                   |       |
| Expenses*:                                        |       | 8,558,597                     |       | 8,073,465                    |       | 5,837,015                     |       | 10,167,052                   |       |
| Net Income (Loss):                                |       | 48,056,932                    |       | (26,661,999                  | )          | (22,875,205                   | )          | 30,261,110                   |       |
| Increase (Decrease) in  Net  Asset Value per Unit |       | 98.77                         |       | (56.76                       | )          | (51.35                        | )          | 71.36                        |       |
|                                                   |            |                               |            |                              |            |                               |            |                              |            |  |  |  |  |

 
| ** **                                         | ** ** | **Fourth Quarter  2005** | ** ** | **Third Quarter  2005** | ** ** | **Second Quarter  2005** | ** ** | **First Quarter  2005** | ** ** |
|----------------------------------------------------|------------|-------------------------------|------------|------------------------------|------------|-------------------------------|------------|------------------------------|------------|
| Interest Income:                                   |       | $                             | 3,352,002  |                         | $          | 2,967,215                     |       | $                            | 2,575,322  |   | $ | 2,256,391 |   |
| Net  Realized and Unrealized  Gains (Losses) :     |       | 15,951,092                    |       | 27,528,003                   |       | 9,843,378                     |       | (25,827,067                  | )          |
| Expenses*:                                         |       | 7,203,631                     |       | 7,023,242                    |       | 6,845,779                     |       | 7,046,078                    |       |
| Net Income (Loss):                                 |       | 12,099,463                    |       | 23,471,976                   |       | 5,572,921                     |       | (30,616,754                  | )          |
| Increase (Decrease) in  Net   Asset Value per Unit |       | 27.81                         |       | 54.33                        |       | 12.24                         |       | (71.15                       | )          |
|                                                    |            |                               |            |                              |            |                               |            |                              |            |  |  |  |  |

 

*  Expenses areinclusive of accruals and reversals of accruals of profit share to the ManagingOwner.

There were no extraordinary, unusual or infrequentlyoccurring items recognized in any quarter within the two most recent fiscalyears, and the Trust has not disposed of any segments of its business.  There have been no year-end adjustments thatare material to the results of any fiscal quarter reported above.

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Item9.   Changes in and Disagreements with Accountants

on Accounting and Financial Disclosure

None.

Item9A.   Controls and Procedures

The Managing Owner, with the participation of theManaging Owner’s principal executive officers and principal financial officer,has evaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Trust as of the end of the fiscalyear for which this Annual Report on Form 10-K is being filed, and, based ontheir evaluation, have concluded that these disclosure controls and proceduresare effective.  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.

Item9B.  Other Information

None.

PART III

Item 10.   Directors,Executive Officers and Corporate Governance

(a,b)  Identification of Directors and ExecutiveOfficers

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

Millburn Ridgefield Corporation,  the Managing Owner, is a Delaware corporationorganized in May 1982 to manage discretionary accounts in futures and forwardmarkets.  It is the corporate successorto a futures trading and advisory organization which has been continuouslymanaging assets in the currency and futures markets using quantitative, systematictechniques since 1971.

The principals and senior officers of the ManagingOwner as of December 31, 2006 are as follows:

***Harvey Beker, age53.***   Mr.Beker is Co-Chief Executive Officer and Co-Chairman of the Managing Owner andThe Millburn Corporation, and a partner of their affiliate, ShareInVestResearch L.P.  He received a Bachelor ofArts degree in economics from New York University (“NYU”) in 1974 and a Masterof Business Administration degree in finance from NYU in 1975.  From June 1975 to July 1977, Mr. Beker wasemployed by Loeb Rhoades, Inc. where he developed and traded silver arbitragestrategies.  From July 1977 to June 1978,Mr. Beker was a futures trader at Clayton Brokerage Co. of St. Louis.  Mr. Beker has been employed by The Millburn Corporationsince June 1978 and initially served as the Director of operations for itsaffiliate, Millburn Partners.  During histenure at Millburn (including its affiliates, Millburn Partners and CommInVestResearch Limited Partnership (“CommInVest”)) he has been instrumental in thedevelopment of the research, trading and operations areas.  Mr. Beker became a principal of the firm inJune 1982, and a partner in ShareInVest, the predecessor of ShareInVestResearch L.P. (“ShareInVest”), in April 1982.

***Gregg R. Buckbinder, age 48.***   Mr. Buckbinder is Senior Vice-President andChief Operating Officer of the Managing Owner and The Millburn Corporation anda partner, since January 2000, of ShareInVest. He graduated **cum laude**from Pace University (“Pace”) in 1980 with a B.B.A. in accounting and receivedan M.S. in taxation from Pace in 1988. He joined the Managing Owner and The Millburn Corporation in January1998 from Odyssey Partners, L.P. where he was responsible for the operation,administration and accounting of the firm’s merchant banking and managedaccount businesses from July 1990 through December 1997.  Mr. Buckbinder was employed by TuckerAnthony, a securities broker and dealer, from June 1985 to July 1990 where hewas First Vice President and Controller, and from August 1983 to June 1984where he designed and implemented various operations and accountingsystems.  He was with the publicaccounting firm of Ernst & Whinney from June 1984 to June 1985 as a managerin the tax department and from September 1980 to August 1983 as a seniorauditor, with an emphasis on clients in the financial services business.  He is a Certified Public Accountant and amember of the American Institute of Certified Public Accountants.

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***George E. Crapple, age 62.***   Mr. Crapple is Co-Chief Executive Officerand Co-Chairman of the Managing Owner and The Millburn Corporation and apartner of ShareInVest.  In 1966 hegraduated with honors from the University of Wisconsin where his field of concentrationwas 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, from 1969until April 1, 1983, as a partner since 1975, specializing in commodities,securities, corporate and tax law.  Hewas first associated with the Managing Owner in 1976 and joined Managing Ownerand The Millburn Corporation (including its affiliates, Millburn Partners andCommInVest) on April 1, 1983 on a full-time basis.  He became a partner in ShareInVest in April1984.  Mr. Crapple is a Director, Memberof the Executive Committee, Chairman of the Appeals Committee and a former Chairmanof the 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 37.*** Mr. Felsenthal is General Counseland Chief Compliance Officer of the Managing Owner, The Millburn Corporationand ShareInVest.  Prior to joiningMillburn in 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 (October1996- 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.Felsenthal received an LL.M degree in taxation from New York University Schoolof Law in 2001 and has written and been quoted in numerous published articles, andspoken at conferences, on various topics related to investment management.  Mr. Felsenthal is a member of the New YorkState Bar and Co-Chairman of the Managed Funds Association CPO/CTA AdvisoryCommittee.

***Mark B.Fitzsimmons, age 59.****** ***Mr. Fitzsimmons is a Senior Vice-President of the ManagingOwner and The Millburn Corporation and a partner, since January 2000, ofShareInVest.  His responsibilitiesinclude both business development and investment strategy.  He joined the Managing Owner and itsaffiliates in January 1990 from Morgan Stanley & Co. Incorporated where hewas a Principal and Manager of institutional foreign exchange sales and wasinvolved in strategic trading for the firm from October 1987 until January1990.  From September 1977 to October 1987he was with Chemical Bank New York Corporation (“Chemical”), first as a SeniorEconomist in Chemical’s Foreign Exchange Advisory Service and later as aVice-President and Manager of Chemical’s Corporate Trading Group.  While at Chemical he also traded both foreignexchange and fixed income products.  FromSeptember 1973 to September 1977 Mr. Fitzsimmons was employed by the FederalReserve Bank of New York, dividing his time between the International ResearchDepartment and the Foreign Exchange Department. He graduated **summa cum 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 49.***  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 1980 throughOctober 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 1994.

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***Dennis B. Newton,age 55.*** Mr.Newton is a Senior Vice-President of the Managing Owner and The Millburn Corporation.  His primary responsibilities are inadministration and business development. Prior to joining the Managing Owner and The Millburn Corporation inSeptember 1991, Mr. Newton was President of Phoenix Asset Management, Inc. (“Phoenix”),a registered commodity pool operator from April 1990 to August 1991 andPresident of its affiliated introducing broker, Phoenix Futures Inc., fromMarch 1990 to 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 commission merchantentity, 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 October1987.  Heinold was a pioneer and one ofthe largest sponsors of funds utilizing futures and currency forward trading.

***Grant N. Smith,age 55.***  Mr. Smith is Executive Vice-President and Co-Director of Research of theManaging Owner and The Millburn Corporation and a partner of ShareInVest.  He is responsible for the design, testing andimplementation of quantitative trading strategies, as well as for planning andoverseeing the computerized decision-support systems of the firm.  He received a B.S. degree from theMassachusetts Institute of Technology (“M.I.T.”) in 1974 and an M.S. degreefrom M.I.T. in 1975.  While at M.I.T. heheld several teaching and research positions in the computer science field andparticipated in various projects relating to database management.  He joined the predecessor entity to TheMillburn Corporation in June 1975, and has been continuously associated withthe Managing Owner, The Millburn Corporation and their affiliates since thattime.

***Tod A. Tanis, age52.***   Mr.Tanis is a Vice President, Principal Accounting Officer and Director ofOperations of the Managing Owner and The Millburn Corporation.  He is responsible for overseeing operationsand accounting for the firm’s commodity pools. He graduated from Grove City College in May 1976 with a B.A. inaccounting and joined the Managing Owner and The Millburn Corporation in May of1983.  Prior to joining Millburn, he waswith E.F. Hutton, where he was a Manager from December 1982 to April 1983; aSupervisor from August 1982 to December 1982; an International Accountant fromApril 1979 to August 1982; and a staff accountant from June 1978 to April1979.  As a Manager at E.F. Hutton, hewas responsible for all internal and external commodity reporting.  Mr. Tanis also served as a Junior Accountantand then International Staff Accountant with Merrill Lynch & Company fromSeptember 1976 to May 1978.

(c)   Identificationof Certain Significant Employees

None.

(d)   Family Relationships

None.

(e)   Business Experience

See Item 10 (a,b) above.

(f)   Involvement in Certain LegalProceedings

None.

(g)   Code of Ethics

The Trust has no employees, officers or directors andis managed by the Managing Owner.  The Managing Owner has adopted anExecutive Code of Ethics that applies to its principal executive officers,principal financial officer and principal accounting officer.  A copy ofthis Executive Code of Ethics may be obtained at no charge by written requestto Millburn Ridgefield Corporation, 411 West Putnam Avenue, Greenwich,Connecticut 06830 or by calling 203-625-7554 (ask for Client Services).

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(h)   Audit Committee FinancialExpert

Because the Trust has no employees, officers ordirectors, the Trust has no audit committee. The Trust is managed by the Managing Owner.  Gregg Buckbinder serves as the Managing Owner’s“audit committee financial expert.”  Mr.Buckbinder is not independent of the management of the Managing Owner.  The Managing Owner is a privately ownedcorporation managed by its shareholders. It has no independent directors.

Item11.  Executive Compensation

The Trust has no directors, officers oremployees.  None of the directors,officers or employees of the Managing Owner receive compensation from theTrust.  The Managing Owner makes alltrading decisions on behalf of the Trust. The Managing Owner receives monthly brokerage commissions of 0.583 of 1%of the Trust’s Net Assets (which is reduced to 0.541 of 1%, 0.5 of 1% or 0.458of 1% of Net Assets for Unitholders who invest amounts of $100,000, $500,000 or$1,000,000 or more, respectively, in the Trust and to 0.33 of 1% 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

The Trust knows of no person who owns beneficially more than 5% of theUnits.  All of the Trust’s managing ownerinterest is held by the Managing Owner.

(b)   Security Ownership of Management

Under the terms of the Trust Agreement, the Trust’saffairs are managed by the Managing Owner, which has discretionary authorityover the Trust’s trading.  The ManagingOwner’s managing owner interest was valued at $5,290,389 as ofDecember 31, 2006, 1.09% of the Trusts’ total capital.

(c)   Changes in Control

None.

(d)   Securities Authorized forIssuance Under Equity Compensation Plans

None.

Item13.   Certain Relationships and Related Transactions

See “Item 11.  Executive Compensation”and “Item 12.  Security Ownership ofCertain Beneficial Owners and Management.” The Trust allocated to the Managing Owner $30,857,253 in brokerage feesand allocated $114,672 in profit share to the New Profits Memo Account for theyear ended  December 31, 2006.  The Managing Owner’s managing owner interestshowed an allocation of income of $643,770 for the year ended December 31,2006.  The Managing Owner has paidcertain administrative expenses to third-parties on behalf of the Trust,related to legal, accounting, auditing, printing, postage and similar administrativeexpenses, and has been or will be reimbursed without interest by theTrust.  At December 31, 2006, the Trustowed the Managing Owner $108,586 in connection with expenses paid on the Trust’sbehalf.  The Trust is prohibited frommaking any loans.

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Item14.   Principal Accountant Fees and Services

(1)           Audit Fees

The aggregate fees for professional services renderedby Deloitte & Touche LLP in connection with their audit of the Trust’sfinancial statements and reviews of the financial statements included in thequarterly reports on Form 10-Q and in connection with the statutory andregulatory filings for the years ended December 31, 2006 and 2005 wereapproximately $93,000 and $52,200, respectively.

(2)           Audit-RelatedFees

There were no fees for assurance and related servicesrendered by Deloitte & Touche LLP for the years ended December 31, 2006 and2005.

(3)           TaxFees

The aggregate fees for professional services renderedby Deloitte & Touche LLP for tax compliance, advice or planning servicesrendered by Deloitte & Touche LLP for the benefit of the Trust for theyears ended December 31, 2006 and 2005 was approximately $44,720 and 45,000,respectively.

(4)           AllOther Fees

None

(5)           Pre-ApprovalPolicies

The board of directors of the Managing Ownerpre-approves the engagement of the Trust’s auditor for all services to beprovided by the auditor.

PART IV

Item15.   Exhibitsand Financial Statement Schedules 

(a)(1)   Financial Statements

The following are included with the 2006 Report ofIndependent Registered Public Accounting Firm, a copy of which is filedherewith 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

Notes to Financial Statements

(a)(2)   Financial Statement Schedules

All Schedules are omitted for the reason that they arenot required or are not applicable because equivalent information has been includedin the financial statements or the notes thereto.

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

The following exhibits are included herewith.

Designation          Description

13.01               2006Report of Independent Registered Public Accounting Firm

31.1                 Rule13a-14(a)/15d-14(a) Certification of Principal Executive Officer

31.2                 Rule13a-14(a)/15d-14(a) Certification of Principal Executive Officer

31.3                 Rule13a-14(a)/15d-14(a) Certification of Principal Financial Officer

32.1                 Section1350 Certification of Principal Executive Officer

32.2                 Section1350 Certification of Principal Executive Officer

32.3                 Section1350 Certification of Principal Financial Officer

The following exhibit is incorporated by referencefrom the exhibit of the same number and description filed with the Trust’sRegistration Statement (File No. 333-67072) filed on August 8, 2001 on Form S-1under the Securities Act of 1933.

3.01               Certificateof Trust of Registrant.

The following exhibits are incorporated by referencefrom the exhibits of the same number and description filed with Amendment No. 1to the Trust’s Registration Statement (File No. 333-67072) filed on January 11,2002 on Form S-1 under the Securities Act of 1933.

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

10.02                                                     Formof Customer Agreement among the Trust, the Managing Owner and UBS PaineWebberInc. Selling Agent in its capacity as a futures commission merchant.

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

10.01               Form of Subscription Agreementand Power of Attorney

10.03               Form of Wholesaling Agreement

The following exhibits are incorporated by referencefrom the exhibit of the same number and description filed with the Trust’sAnnual Report on March 31, 2003 on Form 10-K under the Securities Exchange Actof 1934.

10.01               Form of Customer Agreement withDeutsche Bank Securities Inc.

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

The following exhibit is incorporated by referencefrom the exhibit of the same number and description filed with Registrant’sRegistration Statement (File No. 333-109122) filed September 25, 2003 on FormS-1 under the Securities Act of 1933.

3.03                                                   Formof Third Amended and Restated Declaration and Agreement of Trust of Registrant.

 

28

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SIGNATURES

Pursuant to the requirements of Section 13 or15(d) of the Securities Exchange Act of 1934, the Registrant has duly causedthis report to be signed on its behalf by the undersigned, thereunto dulyauthorized, on the 30th day of March, 2007.
|        |   | GLOBAL MACRO TRUST                                                                                                                                                                                                                                                                                            |
|--------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                                                                                                                                                                          |
|   |   |                                                                                                                                                                                                                                                                                                          |
|   |   | By:  Millburn Ridgefield Corporation,                                                                                                                                                                                                                                                               |
|   |   |         Managing  Owner                                                                                                                                                                                                                                               |
|   |   |                                                                                                                                                                                                                                                                                                          |
|   |   |                                                                                                                                                                                                                                                                                                          |
|   |   | By:  /s/ Harvey Beker                                              |
|   |   |        Harvey  Beker                                                                                                                                                                                                                                                       |
|   |   |        Co-Chief  Executive Officer                                                                                                                                                                                                                                         |

 

Pursuant to the requirements of the SecuritiesExchange Act of 1934, this report has been signed below by the followingpersons on behalf of the Managing Owner of the Registrant in the capacities andon the date indicated.
| Signature                                                                                                                                                                                                                                                                    |   | Title withManaging Owner              |  

Date        |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|---------------------------------------|---------------------|
|                                                                                                                                                                                                                                                                         |   |                                  |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
| /s/ Harvey Beker                                                |   | Co-Chief                              | March 30, 2007 |
|      Harvey  Beker                                                                                                                                                                                                                                  |   | Executive Officer and Director        |                |
|                                                                                                                                                                                                                                                                         |   | (Principal Executive Officer)         |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
| /s/ George E.  Crapple                                                                                  |   | Co-Chief Executive                    | March 30, 2007 |
|      George  E. Crapple                                                                                                                                                                                                                             |   | Officer and Director                  |                |
|                                                                                                                                                                                                                                                                         |   | (Principal Executive Officer)         |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
| /s/ Gregg  Buckbinder                                                                                   |   | Chief Financial and Operating Officer | March 30, 2007 |
|      Gregg  Buckbinder                                                                                                                                                                                                                              |   | (Principal Financial Officer)         |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
|                                                                                                                                                                                                                                                                         |   |                                  |                |
| /s/ Tod A. Tanis                                           |   | Vice President                        | March 30, 2007 |
|      Tod  A. Tanis                                                                                                                                                                                                                                  |   | (Principal Accounting Officer)        |                |

 

(Being the principal executive officers, the principalfinancial officer and principal accounting officer, and a majority of thedirectors of Millburn Ridgefield Corporation)

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March30, 2007
| By  /s/ Harvey Beker                               |   |   |
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------|
|       Harvey Beker                                                                                                                                                                   |   |   |
|       Co-Chief  Executive Officer                                                                                                                                                    |   |   |

 

29

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EXHIBIT INDEX

The following exhibits are included herewith.
| Designation | ** ** | **Description**                                                        |
|-------------|------------|------------------------------------------------------------------------|
|        |       |                                                                   |
| 13.01       |       | 2006 Report of Independent Registered Public  Accounting Firm          |
|        |       |                                                                   |
| 31.1        |       | Rule 13a-14(a)/15d-14(a) Certification of Principal  Executive Officer |
|        |       |                                                                   |
| 31.2        |       | Rule 13a-14(a)/15d-14(a) Certification of Principal  Executive Officer |
|        |       |                                                                   |
| 31.3        |       | Rule 13a-14(a)/15d-14(a) Certification of Principal  Financial Officer |
|        |       |                                                                   |
| 32.1        |       | Section 1350 Certification of Principal Executive Officer              |
|        |       |                                                                   |
| 32.2        |       | Section 1350 Certification of Principal Executive  Officer             |
|        |       |                                                                   |
| 32.3        |       | Section 1350 Certification of Principal Financial  Officer             |

 

The following exhibit is incorporated by referencefrom the exhibit of the same number and description filed with the Trust’sRegistration Statement (File No. 333-67072) filed on August 8, 2001 on Form S-1under the Securities Act of 1933.
| 3.01 |   | Certificate of Trust of Registrant |
|------|--------|------------------------------------|

 

The following exhibits are incorporated by referencefrom the exhibits of the same number and description filed with Amendment No. 1to the Trust’s Registration Statement (File No. 333-67072) filed on January 11,2002 on Form S-1 under the Securities Act of 1933.
| 1.01

Amended |   | Form of Selling Agreement among the Trust, the  Managing Owner and 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 exhibitsare incorporated by reference from the exhibits of the same number anddescription filed with Post-Effective Amendment No. 1 to the Trust’sRegistration Statement (File No. 333-67072) filed December 16, 2002 on Form S-1under the Securities Act of 1933.
| 10.01  |   | Form of Subscription Agreement and Power of Attorney |
|--------|--------|------------------------------------------------------|
|   |   |                                                 |
| 10.03  |   | Form of Wholesaling Agreement                        |

 

The following exhibits are incorporated by referencefrom the exhibit of the same number and description filed with the Trust’sAnnual Report on March 31, 2003 on Form 10-K under the Securities Exchange Actof 1934.
| 10.01  |   | Form of Customer Agreement with Deutsche Bank  Securities Inc.                                                                                             |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                       |
| 10.02  |   | Form of Foreign Exchange and Options Master  Agreements with Morgan Stanley & Co. Incorporated and Morgan Stanley  Capital Group Inc. (with schedules) |

 

The following exhibit is incorporated by referencefrom the exhibit of the same number and description filed with Registrant’sRegistration Statement (File No. 333-109122) filed September 25, 2003 on FormS-1 under the Securities Act of 1933.
| 3.03 |   | Form of Third Amended and Restated Declaration and  Agreement of Trust of Registrant. |
|------|--------|---------------------------------------------------------------------------------------|

 

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