**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

**Washington, D.C. 20549**

 

**FORM 10-K**

** **

| x          | **Annual Report Pursuant to Section 13 or  15(d)**     |
|------------|-------------------------------------------------------------|
| ** ** | **of the Securities Exchange Act of 1934**                  |
| ** ** | **For the  Fiscal Year Ended: December 31, 2007**      |
|       |                                                        |
| ** ** | **or**                                                      |
|       |                                                        |
| o          | **Transition Report Pursuant to Section 13 or  15(d)** |
| ** ** | **of the Securities Exchange Act of 1934**                  |
| ** ** | ** **                                                  |
| ** ** | **Commission  File Number:  000-50102**                |

 

**GLOBAL MACRO TRUST**

(Exact name of registrantas specified in its charter)

 

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

 

**c/o MILLBURN RIDGEFIELDCORPORATION**

**411 West Putnam Avenue**

**Greenwich,Connecticut  06830**

(Address of principalexecutive offices)

 

Registrant’s telephonenumber, including area code:   **(203) 625-7554**

 

Securities registeredpursuant to Section 12(b) of the Act:   **None**

 

Securities registered pursuant to Section 12(g) ofthe Act:   **Units of BeneficialInterest**

(Titleof Class)

 

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

 

Indicate by check mark if the registrant is notrequired to file reports pursuant to Section 13 or Section 15(d) ofthe Act.

Yes o  No x

 

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

 

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

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, a non-accelerated filer, or a smaller reportingcompany.  See the definitions of “largeaccelerated filer,” “accelerated filer,” and “smaller reporting company” in Rule 12b-2of the Exchange Act (Check one):
| Large accelerated filer o |   | Accelerated Filer o |   | Non-accelerated filer x                        |   | Smaller Reporting  Company o |
|---------------------------|--------|---------------------|--------|------------------------------------------------|--------|------------------------------|
|                      |   |                |   | (Do not check if a  smaller reporting company) |   |                         |

 

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

 

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

 

Not applicable.

 

Documents Incorporated byReference

 

Registrant’sFinancial Statements for the years ended December 31, 2007, 2006 and 2005and Report of Independent Registered Public Accounting Firm, the annual reportto security holders for the fiscal year ended December 31, 2007, isincorporated by reference into Part II Item 8 and Part IV hereof andfiled as an exhibit herewith.

 

 

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PART I

 

Item 1.   Business

 

(a)   General development of business

 

Global Macro Trust (the“Trust”) is a Delaware statutory trust organized July 23, 2001 pursuant toa Declaration of Trust and Trust Agreement (the “Trust Agreement”), under theDelaware Statutory Trust Act.  The Trustoriginally filed a registration statement, under the Securities Act of 1933, asamended, with the Securities and Exchange Commission (“SEC”) to register $50million of units of beneficial interest (the “Units”), which registrationstatement became effective March 26, 2002. Between April 1, 2002 and June 30, 2002 (the “InitialOffering”), the Units were publicly offered at an initial price of $1,000 perUnit.  The proceeds of the InitialOffering and interest thereon were held in an account in the name of the Trustat FBR National Bank & Trust, Bethesda, Maryland, until July 1,2002 at which time an aggregate of $1,290,457 was turned over to the Trust andthe Trust commenced operations.  TheTrust has subsequently filed additional registration statements with the SEC tobring the total dollar amount of Units registered for sale to approximately$1,250,000,000, and a total of $826,614,475 of Units have been sold to thepublic as of December 31, 2007.  TheNet Asset Value of a Unit originally sold for $1,000 as of July 1, 2002was $1,157.17 as of December 31, 2007. As of December 31, 2007, Units were being offered on a monthlybasis at Net Asset Value per unit.  TheUnits are offered through a number of registered broker-dealer selling agentson a best efforts basis.

 

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

 

MillburnRidgefield Corporation (the “Managing Owner”), a Delaware corporation, is themanaging owner and the commodity trading advisor for the Trust.  The Managing Owner invested $400 in the Trustas an initial capital contribution to the Trust and $2,000,000 in the Trust atthe outset of trading and subsequently has contributed an additional $1,912,100and has redeemed $6,716,096 as of December 31, 2007.  After reflecting a net gain of $2,522,288 andprofit share of $6,654,587 from inception up to and including December 31,2007, this investment totaled $6,373,279, as of December 31, 2007.

 

(b)   Financial information about industry segments

 

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

 

(c)   Narrative description of business

 

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

 

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

 

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

 

 

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

 

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

 

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

 

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

 

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

 

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

 

Pursuant to the TrustAgreement, the Managing Owner receives a flat-rate monthly brokerage fee equalto 0.58 of 1% of the month-end Net Assets (a 7.0% annual rate).  The Managing Owner charges less than theannual brokerage rate of 7% to those subscribers who either invest in amountsof $100,000 or more in the Units or subscribe without incurring the sellingcommission paid by the Managing Owner. These reductions have no effect on other investors.  The Managing Owner also receives a profitshare equal to 20% of any new trading profit as defined, determined as of theend of each calendar year.  The annualprofit share is calculated net of brokerage fees and administrative expensesand excluding interest income.

 

The Trust’sorganizational and initial offering costs were paid by the Managing Ownerwithout reimbursement from the Trust or its unitholders (the“Unitholders”).  The Trust pays 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 allcompensation due to the selling agents.

 

UBS Financial ServicesInc. (“UBS”), Deutsche Bank Securities Inc. (“Deutsche Bank”), Merrill Lynch,Pierce, Fenner & Smith Incorporated (“Merrill Lynch”) and NewedgeGroup, Newedge USA, LLC, Newedge Financial Inc. (together, the “Newedge Group”)act as the futures brokers for the Trust. The Trust executes currency 

 

 

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forward trades withseveral brokers and banks, including Morgan Stanley & Co. Incorporatedand clears all such trades with Morgan Stanley & Co. Incorporated andDeutsche Bank AG, serving as prime brokers. The Trust pays “bid asked” spreads on its forward trades, as suchspreads are incorporated into the pricing of forward contracts.  The Managing Owner monitors the Trust’strades to ensure that the prices it receives are competitive.

 

The Trust is open-endedand may offer Units at Net Asset Value as of the first day of each month.  Unitholders may redeem any or all of theirUnits upon 10 business days’ written notice to the Managing Owner at theirNet Asset Value as of the last day of any month.  Units redeemed on or prior to the end of thefirst six-month period after their sale will pay a redemption charge of 4% ofthe Net Asset Value at which such Units are redeemed.  Units redeemed on or prior to the end of thefirst eleven months but after the end of the first six-month period after theirsale will pay a redemption charge of 3% of the Net Asset Value at which suchUnits are redeemed.  Redemption chargesare reduced, in the case of subscriptions in amounts of $100,000 or more or ifthe subscriptions are through asset-based or fixed-fee investment programs orby selling agent employees who purchase Units through selling agent sponsored401(k) and similar plans.  Theseredemption charges are paid to the Managing Owner.  Requests for redemption will be honored andpayment will be made, except in the event of highly unusual market disruptions,within 15 business days of the effective date of redemption.

 

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

 

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

 

Regulation

 

Under the CommodityExchange Act, as amended (the “CEA”), commodity exchanges and futures tradingare subject to regulation by the Commodity Futures Trading Commission (the“CFTC”).  National Futures Association(“NFA”), a “registered futures association” under the CEA, is the onlynon-exchange self-regulatory organization 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 andNewedge Group to be registered and to comply with various reporting and recordkeeping requirements.  The CFTC maysuspend a commodity pool operator’s or trading advisor’s registration if itfinds that its trading practices tend to disrupt orderly market conditions orin certain other situations.  In theevent that the registration of the Managing Owner as a commodity pool operatoror a commodity trading advisor were terminated or suspended, the Managing Ownerwould 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 suchregistration requirements, the CFTC and certain commodity exchanges haveestablished limits on the maximum net long or net short position which anyperson may hold or control in particular commodities.  Most exchanges also limit the changes infutures contract prices that may occur during a single trading day.   Currency forward contracts are not subjectto regulation by any United States Government agency.

 

(i)   through(xii) - not applicable.

 

(xiii)   theTrust has no employees.

 

 

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(d)   Financialinformation about geographic areas

 

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

 

(e)   Availableinformation

 

The Trust filesquarterly, annual and current reports with the SEC.  These reports are available to read and copyat the SEC’s Public Reference Facilities in Washington, D.C. at 100 F Street,N.E., Room 1580, Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for furtherinformation.  The Trust does not maintaina website where these reports are posted. However, the Trust’s filings are posted on the SEC’s website athttp://www.sec.gov.

 

Item1A.   Risk Factors

 

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

 

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

 

**The Trust has a Limited Performance History**

 

The Trust began trading July 1, 2002 and has a limited performancehistory. **The past performance of theTrust and Managing Owner’s Diversified Portfolio are not necessarily indicativeof the Trust’s future results.**

 

**The Trust is a Highly Leveraged Investment**

 

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

 

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

 

The Managing Owner expects that the performance of the Trust will bevolatile. The Trust may suffer sudden and substantial losses from time to timeand the day-to-day value of the Units will be variable and uncertain. The NetAsset Value per Unit may change materially between the date on which yousubscribe for Units and the date the Units are issued or the date you request aredemption and the month-end redemption date. In the last five years, monthlyreturns in the Managing Owner’s Diversified Portfolio have ranged from up10.74% to down 10.53%. Since it began trading in July 2002, monthlyreturns for the Trust have ranged from up 9.56% to down 10.33%.

 

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

 

The Trust pays annual expenses of up to approximately 7.5% of itsaverage month-end Net Assets. The Trust must earn trading profits and interestincome at least equal to these expenses to avoid losses.

 

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

 

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

 

 

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**UnitsRedeemed on or Before the End of the First Eleven Months after Purchase will beAssessed a Redemption Charge**

 

Unitsredeemed on or prior to the end of the first six-month period after their salewill pay a redemption charge of 4% of the Net Asset Value at which such Unitsare redeemed.  Units redeemed on or priorto the 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.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

The Trust cannot trade profitably unless there are major price trendsin at least some of the markets it trades. Moreover, the price trends must beof a type the Managing Owner’s systems are designed to identify. In the pastthere have been sustained periods with few trending markets where gains fromtrading those markets were insufficient to offset losses from trades in non-trendingmarkets.  For example, the ManagingOwner’s Diversified Portfolio incurred a loss for the year in 1983, 1986, 1989,1999, 2001 and, as adjusted to reflect the charges applicable to the Trust,2003 and 2004.  The Managing Ownerexpects that there will be similar periods in the future.

 

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

**Swap Trading**

 

The Trust may trade swaps.  Swapsinvolve many of the same risks as those described above with respect to forwardtrading.  Swap contracts are not tradedon exchanges; rather, banks and dealers act as principals in the swapmarket.  As a result, the Trust will besubject to the risk of the inability or refusal to perform with respect to suchcontracts on the part of the counterparties with which the Trust trades.  The Trust intends to enter into swaps onlywith highly creditworthy banks and dealers. The swap market is generally not regulated by any U.S. or non-

 

 

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U.S. governmental authority.  Speculative position limits are not applicableto swap transactions, although the counterparties with which the Trust willdeal may limit the size or duration of positions available to the Trust as aconsequence of credit considerations. Finally, swaps may be illiquid and participants in the swap market arenot required to make continuous markets in the swap contracts they trade.

 

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

 

The performance of the Managing Owner’s Diversified Portfolio has beengenerally non-correlated to the performance of the stock and bond markets, asrepresented by the S&P 500 Stock Index and the Lehman Brothers U.S. LongTreasury Bond Index. Non-correlation means that there is no statistically validrelationship between two asset classes and should not be confused with negativecorrelation, where the performance of two asset classes would be opposite.Because of this non-correlation, you should not expect the Trust to beautomatically profitable during unfavorable periods for the stock and/or bondmarkets, or **vice versa**.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

**Increased Competition Among Trend-Following TradersCould Reduce the Managing Owner’s Profitability**

 

A substantial number of commodity trading advisors use technicaltrading systems, particularly trend-following systems, like the ManagingOwner’s systems. As the amount of money under the management of such systemsincreases, competition for the same positions increases, making the positionsmore costly and more difficult to acquire.

 

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

 

The Trust is subject to numerous actual and potential conflicts ofinterest, including: (1) the compensation that the Trust’s selling agentsreceive gives them an incentive to promote the sale of Units as well as todiscourage redemptions; (2) the brokerage commissions that UBS, DeutscheBank, Merrill Lynch and Newedge Group receive as clearing brokers for the Trustgives an additional incentive to promote the sale of Units as well as todiscourage 

 

 

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redemptions; (3) the Managing Owner hassignificant financial incentives both to promote the sale of the Units and todiscourage their redemption; and (4) the Managing Owner of the Trust willnot select any other trading advisor even if doing so would be in the bestinterests of the Trust.

 

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

 

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

 

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

 

If you are an individual or entity subject to U.S. taxes (e.g., not atax-exempt entity such as an IRA or pension plan), you will be taxed on yourshare of Trust income or gain each year, whether or not you redeem Units orreceive distributions from the Trust.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

The Managing Owner does not intend to treat the ordinary expenses ofthe Trust as “investment advisory fees” for federal income tax purposes. TheManaging Owner believes that this is the position adopted by virtually allUnited States futures fund sponsors. However, were the ordinary expenses of theTrust characterized as “investment advisory fees,” non-corporate taxpayerswould be subject to substantial restrictions on the deductibility of those 

 

 

8

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expenses, would pay increased taxes in respect of aninvestment in the Trust and could actually recognize taxable income despitehaving incurred a financial loss.

 

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

 

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

 

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

 

The Managing Owner must assess the credit-worthiness of the clearingbrokers and foreign currency counterparties it selects for the Trust. If one ofthe Trust’s clearing brokers or foreign currency counterparties becomesbankrupt, the Trust will be limited to recovering only its **pro rata** share of all availablecustomer funds segregated by the clearing broker or counterparty. The ManagingOwner attempts to mitigate this risk by selecting only well capitalized, majorfinancial institutions as Clearing Brokers and foreign currency counterparties.

 

**The Trust is Not Regulated as an InvestmentCompany or Mutual Fund**

 

Although the Managing Owner is subject to regulation by the CFTC andthe Trust itself is subject to reporting requirements and other regulationapplicable to public companies in the United States, the Trust is not registeredunder the Investment Company Act of 1940. Accordingly, investors in the Trust are not accorded the protections ofsuch legislation.

 

**The Trust Trades in Unregulated Markets**

 

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

 

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

 

Item 2.   Properties

 

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

 

Item3.   Legal Proceedings

 

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

 

Item 4.   Submissionof Matters to a Vote of Security Holders

 

None.

 

PART II

 

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

          Related Stockholder Matters

 

 

9

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(a)   Market Information.

 

There is no tradingmarket for the Units, and none is likely to develop.  Units may be redeemed upon  10 business days’ written notice to theManaging Owner at their Net Asset Value as of the last day of any month,subject to certain early redemption charges.

 

(b)   Holders.

 

As of December 31,2007, there were 20,406 holders of Units.

 

(c)   Dividends.

 

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

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans.

 

None.

 

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

 

There have been no salesof unregistered securities of the Trust during 2005, 2006 or 2007.

 

(f)   IssuerPurchases of Equity Securities.

 

Pursuant to the Trust’sDeclaration of Trust and Trust Agreement, Unitholders may redeem their Units atthe end of each calendar month at the then current month-end Net Asset Valueper Unit.  The redemption of Units has noimpact on the value of Units that remain outstanding, and Units are notreissued once redeemed.

 

The following tablesummarizes the redemptions by Unitholders during the fourth calendar quarter of2007:

 

| **Month**              | ** ** | **Units Redeemed** | ** ** | **Redemption Date  NAV per Unit** | ** ** |
|------------------------|------------|--------------------|------------|-----------------------------------|------------|
| October 31, 2007  |       | 7,503.685          |       | 1,182.51                          |       |
| November 30, 2007 |       | 5,395.010          |       | 1,141.30                          |       |
| December 31, 2007 |       | 3,120.849          |       | 1,157.17                          |       |
| Total                  |       | 16,019.544         |       |                              |       |

 

Item 6.   Selected Financial Data

 

The following is a summary of operations for thefiscal years 2007, 2006, 2005, 2004 and 2003 and total assets of the Trust at December 31,2007, 2006, 2005, 2004 and 2003.

 

 

10

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| ** **                                                              | ** ** | **For the Year Ended December 31, 2007** | ** **  | **For the Year Ended December 31, 2006** | ** ** | **For the Year Ended December 31, 2005** | ** ** | **For the Year Ended  December 31, 2004** | ** **  | **For the Year Ended December 31, 2003** | ** **   |
|-------------------------------------------------------------------------|------------|-----------------------------------------------|-------------|-----------------------------------------------|------------|-----------------------------------------------|------------|------------------------------------------------|-------------|-----------------------------------------------|--------------|
| Revenue:   Total net realized and unrealized gains  (losses)* |       | $                                             | 78,261,449  |                                          | $          | 40,749,020                                    |       | $                                              | 27,495,406  |                                          | $            | 5,648,733 |   | ($4,050,627 | ) |
| Interest income                                                         |       | 26,686,249                                    |        | 20,667,947                                    |       | 11,150,930                                    |       | 4,131,334                                      |        | 1,320,805                                     |         |
|                                                                    |       |                                          |        |                                          |       |                                          |       |                                           |        |                                          |         |
| Expenses:                                                               |       |                                          |        |                                          |       |                                          |       |                                           |        |                                          |         |
| Profit share                                                            |       | 6,459,328                                     |        | 114,672                                       |       | 0                                             |       | 0                                              |        | 6,465                                         |         |
| Administrative  expenses**                                              |       | 1,963,847                                     |        | 1,664,204                                     |       | 1,477,105                                     |       | 1,615,275                                      |        | 693,544                                       |         |
| Brokerage Commissions                                                   |       | 38,279,891                                    |        | 30,857,253                                    |       | 26,641,625                                    |       | 22,046,061                                     |        | 8,331,480                                     |         |
|                                                                    |       |                                          |        |                                          |       |                                          |       |                                           |        |                                          |         |
| Net Income (loss)                                                       |       | $                                             | 58,244,632  |                                          | $          | 28,780,838                                    |       | $                                              | 10,527,606  |                                          | ($13,881,269 | ) | ($11,761,311 | ) |
|                                                                    |       |                                          |        |                                          |       |                                          |       |                                           |        |                                          |         |
| Total assets                                                            |       | $                                             | 659,394,985 |                                          | $          | 507,126,392                                   |       | $                                              | 423,902,367 |                                          | $            | 414,316,836 |   | $ | 248,208,066 |   |
| Total Trust capital                                                     |       | $                                             | 624,757,308 |                                          | $          | 485,823,359                                   |       | $                                              | 405,903,522 |                                          | $            | 397,086,152 |   | $ | 228,939,976 |   |
| Net Asset Value per Unit                                                |       | $                                             | 1,157.17    |                                          | $          | 1,040.10                                      |       | $                                              | 978.08      |                                          | $            | 954.85 |   | $ | 1,008.56 |   |
| Increase  (decrease) in Net Asset Value per Unit                        |       | $                                             | 117.07      |                                          | $          | 62.02                                         |       | $                                              | 23.23       |                                          | ($53.71      | ) | ($21.68 | ) |

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

 

** Includes custody fees.

 

Item 7.   Management’s Discussion and Analysis of Financial

 

Condition and Results of Operations

 

Reference is made to“Item 6.  Selected Financial Data”and “Item 8.  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 forsale as of the beginning, and may be redeemed as of the end, of each month.

 

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

 

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

 

The Trust trades futures,options and forward contracts, and may trade swap contracts, on interest rates,commodities, currencies, metals, energy and stock indices.  Risk arises from changes in the value ofthese contracts (market risk) and the potential inability of counterparties orbrokers to perform under the terms of their contracts (credit risk).  Market risk is generally to be measured bythe face amount of the futures positions acquired and the volatility of themarkets traded.  The credit risk fromcounterparty non-performance associated with these instruments is the netunrealized gain, if any, on these positions plus the value of the margin orcollateral held by the counterparty.  Therisks associated with exchange-traded contracts are generally perceived to beless than those associated with over-the-counter transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financial integrityof the exchange.  In over-the-counter 

 

 

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transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins whichmay be subject to loss in the event of a default, are generally required inexchange trading, and counterparties may require margin or collateral in theover-the-counter markets.

 

The Managing Owner hasprocedures in place to control market risk, although there can be no assurancethat they will, in fact, succeed in doing so. These procedures primarily focus on (1) real time monitoring ofopen positions; (2) diversifying positions among various markets; (3) limitingthe assets committed as margin, generally within a range of 10% to 35% of anaccount’s Net Assets at exchange minimum margins, (including imputed margins onforward positions) although the amount committed to margin at any time may besubstantially higher; (4) prohibiting pyramiding (that is, usingunrealized profits in a particular market as margin for additional positions inthe same market); and (5) changing the equity utilized for trading by anaccount solely on a controlled periodic basis rather than as an automaticconsequence of an increase in equity resulting from trading profits.  The Trust controls credit risk by dealingexclusively with large, well capitalized financial institutions as brokers andcounterparties.

 

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

 

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

 

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

 

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

 

Liquidity

 

The Trust’s assets aregenerally held as cash or cash equivalents which are used to margin the Trust’sfutures and forward currency positions and withdrawn, as necessary, to payredemptions and expenses.  Other thanpotential market-imposed limitations on liquidity, due, for example, to limitedopen interest in certain futures markets or to daily price fluctuation limits,which are inherent in the Trust’s futures and forward trading, the Trust’sassets are highly liquid and are expected to remain so.  During its operations through December 31,2007, the Trust experienced no meaningful periods of illiquidity in any of thenumerous markets traded by the Managing Owner.

 

Critical Accounting Estimates

 

The Trust records its transactions in futures and forward currencycontracts, including related income and expenses, on a trade date basis.  Open futures contracts traded on an exchangeare valued at market, which is based on the closing settlement price on theexchange where the futures contract is traded by the Trust on the day withrespect to which Net Assets are being determined.  Open forward currency contracts are recordedat fair value, based on pricing models that consider the current market prices(“Spot Prices”) plus the time value of money (“Forward Points”) and contractualprices of the underlying financial instruments. The Spot Prices and Forward Points for open forward currency contractsare generally based on the 3:00 P.M. New York time prices provided bywidely 

 

 

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used quotation service providers on the day withrespect to which Net Assets are being determined.  The Forward Points from the quotation serviceproviders are generally in periods of one month, two months, three months andsix months forward while the contractual forward delivery dates for the foreigncurrency contracts traded by the Trust may be in between these periods.

 

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

 

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

 

Off-Balance SheetArrangements

 

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

 

Contractual Obligations

 

The Trust does not enterinto any contractual obligations or commercial commitments to make future paymentsof a type that would be typical for an operating company or that would affectits liquidity or capital resources.  TheTrust’s sole business is trading futures and forward currency contracts, bothlong (contracts to buy) and short (contracts to sell).  All such contracts are settled by offset, notdelivery.  Substantially all suchcontacts are for settlement within four months of the trade date andsubstantially all such contracts are held by the Trust for less than fourmonths before being offset or rolled over into new contracts with similarmaturities.   The Trust’s FinancialStatements, included as Exhibit 13.01 to this report, present a CondensedSchedule of Investments setting forth net unrealized appreciation(depreciation) of the Trust’s open future and forward currency contracts, bothlong and short, at December 31, 2007.

 

Results of Operations

 

*PerformanceSummary*

 

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

 

If the Managing Owner’s models identify a trend, they signal positionswhich follow it. When these models identify the trend as having ended orreversed, these positions are either closed out or reversed. Due to theirtrend-following character, the Managing Owner’s systems do not predict eitherthe commencement or the end of a price 

 

 

13

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movement. Rather, their objective is to identify atrend early enough to profit from it and to detect its end or reversal in timeto close out the Trust’s positions while retaining most of the profits madefrom following the trend.

 

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

 

The performance summary set forth below is an outline description ofhow the Trust performed in the past trading in a wide variety of markets.  The Trust’s futures and currency forwardcontract prices are marked-to-market every trading day, and the Trust’s tradingaccounts are credited or debited with its daily gains or losses. Accordingly,there is no material economic distinction between realized gains or losses onclosed positions and unrealized gains or losses on open positions. The Trust’spast performance is not necessarily indicative of how it will perform in thefuture.

 

*2007*

 

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

 

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

 

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

 

Duringthe first half of 2007, the Trust’s positions, which are all driven by ourtechnical models, reflected several themes: solid global growth, high worldwideliquidity, a gradual tightening of monetary policies worldwide, and adiminution of the dollar’s role in worldwide trade and reserve management.  As a result, the Trust, in terms of its broad structure, took short positions in interestrates, U.S. dollar trading, except against low interest rate currencies such asthe Japanese yen and Swiss franc, cross currency trading of lower interest ratecurrencies and natural gas futures; mixed positions in softs and livestock;moderately long positions in crude oil and petroleum 

 

 

14

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products futures; and long positions in highinterest rate currencies, equity index futures, grain futures and precious andindustrial metal futures.

 

                                                Thepositions in financials and metals were highly profitable, while energy, grainand livestock trading were unprofitable during the January-June period.

 

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

 

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

 

**2006**

 

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

 

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

 

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

 

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

 

 

15

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

 

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

 

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

 

Currency trading wasunprofitable throughout the year. Significant volatility without sustained trends characterized mostcurrency markets.  Market participantscontinued to discuss the likelihood of a weaker 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 ofgrains, softs, and livestock was somewhat unprofitable, while energy tradingproduced a fractional gain.

 

*2005*

 

During 2005, the Trustachieved net realized and unrealized gains of $27,495,406 from its tradingoperations (including foreign exchange transactions and translations).  Brokerage fees of $26,641,625, administrativeexpenses of $1,417,680 and custody fees of $59,425 were paid or accrued.  The Trust allocated no profit share to theNew Profits Memo Account for the benefit of the Managing Owner.  Interest income of $11,150,930 partiallyoffset 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) by sector 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 produced amodest gain for the year.  Stock indiceswere strongly profitable, and to a lesser extent so were cross rate currencypositions, metals, energy and interest rates. On the other hand, sizable losses resulted from trading dollar currencypositions, and lesser shortfalls came from trading grains, softs, andlivestock.

 

International stockindices were highly profitable in 2005.  Following some consolidation early in theyear, non-U.S. equity indexes moved broadly higher through year end.  There were gains from long positions inAsian, European, and South African equity indices.  Solid growth worldwide propelled equitiesforward despite the 

 

 

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headwinds that came fromhigh energy prices and rising interest rates. Trading of U.S. stock indices,which were range-bound for most of 2005, was not profitable, however.

 

Strong growth of industrialproduction, especially in China, underpinned demand for metals, and longpositions 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 rates were quitevolatile during 2005.  Early in the year,markets expected continuing declines in non-U.S. interest rates, and furtheradvances in short term U.S. rates.  Lateron, however, interest rates rose rather broadly as the European Central Bankjoined the Federal Reserve in raising official rates, as growth in emergingeconomies remained strong, as Japan showed evidence of exiting from itsprotracted slump, and as high prices for energy and other commodities inducedinflation fears that periodically roiled markets. In this environment, profitsfrom long non-U.S. interest rate positions during the first half of 2005 werelargely offset by losses from these positions in the second half.  Indeed, by year end, the portfolio’s interestrate positions had been reduced or reversed from long to short, anticipatinghigher interest rates.

 

Turning to currencies,cross rate trades based on selling low yield currencies and buying highinterest 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.

 

Tradingof agricultural commodities and livestock generated losses.  Prices of corn, wheat and elements of thesoybean complex experienced wide swings in 2005, and modest losses weresustained 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.

 

Item 7A.  Quantitativeand Qualitative Disclosures About Market Risk

 

**Introduction**

 

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

 

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

 

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

 

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

 

Value at Risk is ameasure of the maximum amount which the Trust could reasonably be expected tolose in a given market sector.  However,the inherent uncertainty of the Trust’s speculative trading and the recurrencein 

 

 

17

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the markets traded by theTrust of market movements far exceeding expectations could result in actual tradingor non-trading losses far beyond the indicated Value at Risk or the Trust’sexperience to date (*i.e.,* “risk ofruin”).  In light of the foregoing aswell as the risks and uncertainties intrinsic to all future projections, theinclusion of the quantification included in this section should not beconsidered to constitute any assurance or representation that the Trust’slosses in any market sector will be limited to Value at Risk or by the Trust’sattempts to manage its market risk.

 

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

 

Quantifyingthe Trust’s Trading Value at Risk

 

***QuantitativeForward-Looking Statements***

*** ***

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

 

The Trust’s risk exposurein the various market sectors traded by the Managing Owner is quantified belowin terms of Value at Risk.  Due to theTrust’s mark-to-market accounting, any loss in the fair value of the Trust’sopen positions is directly reflected in the Trust’s earnings (realized orunrealized) and cash flow (at least in the case of exchange-traded contracts inwhich profits and losses on open positions are settled daily through variationmargin).

 

Exchange maintenancemargin requirements have been used by the Trust as the measure of its Value atRisk.  Maintenance margin requirementsare set by exchanges to equal or exceed 95-99% of the maximum one day losses inthe fair value of any given contract incurred during the time period over whichhistorical price fluctuations are researched for purposes of establishingmargin levels.  The maintenance marginlevels are established by exchanges using historical price studies as well asan assessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one day pricefluctuation.

 

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

 

In quantifying theTrust’s Value at Risk, 100% positive correlation in the different positionsheld 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.

 

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

 

The following tablesindicate the average, highest and lowest amounts of trading Value at Riskassociated with the Trust’s open positions by market category for the fiscalyears ended December 31, 2007 and 2006. During fiscal year 2007 and 2006, the Trust’s average totalcapitalization was approximately $561.6 million and $450.7 million,respectively.

 

 

18

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| **Fiscal Year 2007** | ** ** |
|----------------------|------------|
| **Market Sector**    | ** ** | **Average   Value at Risk** | ** ** | **% of Average   Capitalization** | ** ** | **Highest  Value At Risk** | ** ** | **Lowest  Value At Risk** | ** ** |
| ** **           | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| Currencies           |       | $ | 19.2 |   | 3.3 | % | $ | 26.8 |   | $ | 14.7 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Energies             |       | $ | 5.4 |   | 0.9 | % | $ | 7.0 |   | $ | 3.5 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Grains               |       | $ | 2.1 |   | 0.4 | % | $ | 2.6 |   | $ | 1.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Interest Rates       |       | $ | 12.5 |   | 2.3 | % | $ | 21.5 |   | $ | 7.3 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Livestock            |       | $ | 0.7 |   | 0.1 | % | $ | 1.3 |   | $ | 0.3 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Metals               |       | $ | 8.1 |   | 1.4 | % | $ | 10.0 |   | $ | 5.8 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Softs                |       | $ | 3.0 |   | 0.6 | % | $ | 3.8 |   | $ | 1.9 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Stock Indices        |       | $ | 17.6 |   | 3.2 | % | $ | 26.4 |   | $ | 10.4 |   |
|                 |       |   |   |   |   |   |   |   |   |
| Total                |       | $ | 68.6 |   | 12.2 | % |   |   |   |   |

 

 

| **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 and lowest Value at Risk amounts relate to thequarter-end amounts during the fiscal year. Average Capitalization is the average of the Trust’s capitalization atthe end of each month during the fiscal years 2007 and 2006.  Dollar amounts represent millions of dollars.

 

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

*** ***

The face value of themarket sector instruments held by the Trust is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally range between approximately 1% and 

 

 

19

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10% of contract facevalue) as well as many times the capitalization of the Trust.  The magnitude of the Trust’s open positionscreates a “risk of ruin” not typically found in most other investment vehicles.  Because of the size of its positions, certainmarket conditions — unusual, but historically recurring from time to time —could cause the Trust to 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-TradingRisk***

*** ***

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

 

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

 

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

*** ***

*Thefollowing qualitative disclosures regarding the Trust’s market risk exposures —except for (i) those disclosures that are statements of historical factand (ii) the descriptions of how the Managing Owner manages the Trust’sprimary market risk exposures — constitute forward-looking statements withinthe meaning of Section 27A of the Securities Act and Section 21E ofthe Securities Exchange Act.  The Trust’sprimary market risk exposures as well as the strategies used and to be used bythe Managing Owner **for**managing such 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 andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the Trust.  There can be no assurance that the Trust’scurrent market exposure and/or risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term.  Investors must be preparedto lose all or substantially all of their investment in the Trust.*

 

The following were theprimary trading risk exposures of the Trust as of December 31, 2007, bymarket sector.

 

Financial Instruments. Interest rate movements directly affect the price of the sovereign bondfutures positions held by the Trust and indirectly the value of its stock indexand currency positions.  Interest ratemovements in one country as well as relative interest rate movements betweencountries may materially impact the Trust’s profitability.  The Trust’s primary interest rate exposure isto interest rate fluctuations in the United States and other major industrialized,or Group of Seven (Canada, France, Germany, Italy, Japan, United Kingdom andUnited States, collectively, “G-7”) countries. However, the Trust also may take positions in futures contracts on thegovernment debt of other nations.  TheManaging Owner anticipates that G-7 interest rates, both long-term andshort-term, will remain the primary market exposure of the Trust for theforeseeable future.

 

Currencies. Exchange rate risk is a principal market exposure of the Trust.  The Trust’s currency exposure is to exchangerate fluctuations, primarily fluctuations which disrupt the historical pricingrelationships between different currencies and currency pairs.  The fluctuations are influenced by interestrate changes as well as political and general economic conditions.  The Trust trades in a large number ofcurrencies, including cross-rates—e.g., positions between two currencies otherthan the U.S. dollar.  As of December 31,2007, the Trust’s currency exposures were in the U.S. dollar versus the Euro,Swiss Franc, Czech Koruna, Polish Zloty, Norwegian Krone, Hungarian Forint,Swedish Krona, Canadian Dollar, South African Rand, New Zealand Dollar,Australian Dollar, Japanese Yen, Korean Won, Singapore Dollar, Mexican Peso,Turkish Lira, Indian Rupee, Brazilian Real, Chilean Peso, Colombian Peso,Icelandic Krona, Israeli Shekel, Russian Ruble, Slovak Koruna and BritishPound.  The 

 

 

20

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primary exposures in thecurrency crosses were in the Japanese Yen versus the Australian Dollar, MexicanPeso, New Zealand Dollar, Hungarian Forint, Polish Zloty, South African Rand,Turkish Lira and British Pound and in the Euro versus the British Pound, PolishZloty, Hungarian Forint, Mexican Peso, New Zealand Dollar, Swedish Krona,Turkish Lira, Australian Dollar, Czech Koruna, Icelandic Krona, Slovak Korunaand South African Rand.

 

Stock Indices. The Trust’s equity exposure, through stock index futures, is to equityprice risk in the G-7 countries as well as other countries.  As of December 31, 2007, the Trust’sexposures in the G-7 countries were in the: E-Mini NASDAQ 100, E-Mini S&P500, E-Mini Russell 2000 and E-Mini Dow (United States); FTSE 100 (UnitedKingdom); TOPIX and Nikkei (Japan); TSE 60 (Canada); DAX (Germany); MIB 30(Italy); and CAC-40 (France).  TheTrust’s exposure to stock index futures of other countries at December 31,2007 were in the Simex Taiwan Index (Taiwan), Simex (Singapore), ALL Shares(South Africa), SPI 200 (Australia), IBEX 35 (Spain), Hang Seng and H-Shares(Hong Kong), AEX (Netherlands), OMX (Sweden) and the DJ Euro Stoxx 50 (EuroZone) stock indices.

 

Metals.  TheDiversified Portfolio used for the Trust trades precious and base metals.  As of December 31, 2007, the Trust’smetals market exposure was in gold, silver, platinum, aluminum, copper, lead,nickel, tin and zinc.

 

Agricultural. The Trust’s primary commodities exposure is to agricultural pricemovements, which are often directly affected by severe or unexpected weatherconditions.  As of December 31,2007, the Trust had exposure to agricultural commodities including coffee,sugar, cocoa, cotton, wheat, corn, the soybean complex as well as live cattleand hogs.

 

Energy.  The Trust’sprimary energy market exposure is to gas and oil price movements, oftenresulting from political developments in the Middle East and economicconditions worldwide.  Energy prices arevolatile and substantial profits and losses have been and are expected to continueto be experienced in this market.

 

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

*** ***

The following were theonly non-trading risk exposures of the Trust as of December 31, 2007.

 

Foreign Currency Balances. The Trust’s primary foreign currency balances are in Japanese Yen,Euros, British Pounds, Australian Dollars, Canadian Dollars, Swiss Francs,Swedish Krona, South African Rand, Singapore Dollar and Hong Kong Dollars.  The Trust controls the non-trading risk ofthese balances by regularly converting these balances back into dollars (noless frequently than twice a month).

 

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

 

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

*** ***

The Managing Ownerattempts to control risk through the systematic application of its trading method,which includes a multi-system approach to price trend recognition, an analysisof market volatility, the application of certain money management principles,which may be revised from time to time, and adjusting leverage or portfoliosize.  In addition, the Managing Ownerlimits its trading to markets which it believes are sufficiently liquid inrespect of the amount of trading it contemplates conducting.

 

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

 

 

21

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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 2.0%.

 

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

 

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

 

Additional moneymanagement principles applicable to the portfolio as a whole include:  (1) limiting the assets committed asmargin or collateral, generally within a range of 10% to 35% of an account’snet assets, though the amount may at any time be substantially higher; (2) prohibitingpyramiding - that is, using unrealized profits in a particular market as marginfor additional 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 riskmanagement function is the careful control of leverage or portfolio size.Leverage levels are determined by simulating the entire portfolio—all markets,all systems, all risk control overlays, the exact weightings of the markets inthe portfolio and the proposed level of leverage—over the past five or tenyears to determine the worst case experienced by the portfolio in thesimulation period.

 

The worst case orpeak-to-trough drawdown is measured from a daily high in portfolio assets to thesubsequent daily low whether that occurs days, weeks or months after the dailyhigh. If the Managing Owner considers the drawdown too severe, it reduces theleverage or portfolio size. There are, however, no restrictions on the amountof leverage the Managing Owner may use at any given time.

 

Item 8.   Financial Statements and Supplementary Data

 

Financial statementsrequired by this item, including the report of Deloitte & Touche LLPfor the fiscal years ended December 31, 2007, 2006 and 2005, are includedas Exhibit 13.01 to this report.

 

The following summarizedquarterly financial information presents the results of operations for thethree month periods ended March 31, June 30, September 30 and December 31,2007 and 2006.  This information has notbeen audited.

 

 

22

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| ** **                                      | ** ** | **Fourth Quarter  2007** | ** ** | **Third Quarter  2007** | ** ** | **Second Quarter   2007** | ** ** | **First Quarter  2007** | ** ** |
|-------------------------------------------------|------------|--------------------------|------------|-------------------------|------------|---------------------------|------------|-------------------------|------------|
| Interest Income:                                |       | $                        | 6,924,900  |                    | $          | 7,322,519                 |       | $                       | 6,536,211  |   | $ | 5,902,619 |   |
| Net Realized and Unrealized Gains (Losses):     |       | 31,837,419               |       | (67,788,260             | )          | 106,756,612               |       | 7,455,678               |       |
| Expenses*:                                      |       | 15,220,255               |       | (5,255,944              | )          | 28,003,232                |       | 8,735,523               |       |
| Net Income (Loss):                              |       | 23,542,064               |       | (55,209,797             | )          | 85,289,591                |       | 4,622,774               |       |
| Increase (Decrease) in Net Asset Value per Unit |       | 43.14                    |       | (111.34                 | )          | 176.39                    |       | 8.88                    |       |
|                                                 |            |                          |            |                         |            |                           |            |                         |            |  |  |  |  |

 

 
| ** **                                      | ** ** | **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                   |       |
|                                                 |            |                          |            |                         |            |                           |            |                         |            |  |  |  |  |

----

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

 

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

 

Item9.   Changes in and Disagreements with Accountants

on Accounting and Financial Disclosure

 

None.

 

Item9A.   Controls and Procedures

 

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

 

*Changesin Internal Control over Financial Reporting*

 

*               *Section 404 of the Sarbanes-Oxley Act of 2002requires the Managing Owner to evaluate annually the effectiveness of its internalcontrols over financial reporting as of the end of each fiscal year, and toinclude a management report assessing the effectiveness of its internal controlover financial reporting in all annual reports. There were no changes in theTrust’s internal control over financial reporting during the quarter ended December 31,2007 that have materially affected, or are reasonably likely to materiallyaffect, our internal control over financial reporting.

 

 

23

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

 

                                                The Managing Owner is responsible forestablishing and maintaining adequate internal control over the Trust’sfinancial reporting. Internal control over financial reporting is defined in Rules 13a-15(f) and15d-15(f) under the Securities Exchange Act of 1934 as a process designedby, or under the supervision of, a company’s principal executive and principalfinancial officers and effected by a company’s board of directors, management andother personnel to provide reasonable assurance regarding the reliability offinancial reporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles. TheManaging Owner’s internal control over financial reporting includes thosepolicies and procedures that:

 

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

 

 ·   provide reasonable assurancethat transactions are recorded as necessary to permit preparation of theTrust’s financial statements in accordance with generally accepted accountingprinciples, and that the Trust’s receipts and expenditures are being made onlyin accordance with authorizations of the Managing Owner’s management anddirectors; and

 

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

 

                                                Because of its inherent limitations, internalcontrol over financial reporting may not prevent or detect misstatements.Projections of any evaluation of effectiveness to future periods are subject tothe risk that controls may become inadequate because of changes in conditions,or that the degree of compliance with the policies or procedures maydeteriorate.

 

                                                The Managing Owner assessed theeffectiveness of its internal control over financial reporting with respect tothe Trust as of December 31, 2007. In making this assessment, managementused the criteria set forth by the Committee of Sponsoring Organizations of theTreadway Commission (COSO) in Internal Control — Integrated Framework. Based on its assessment, management has concluded that, as of December 31,2007, the Managing Owner’s internal control over financial reporting withrespect to the Trust is effective based on those criteria.

 

                                                This annual report does not include anattestation report of the Trust’s independent registered public accounting firmregarding control over financial reporting.  The Managing Owner’s reportwas not subject to attestation by the Trust’s registered public accounting firmpursuant to rules of the SEC that temporarily permit the Trust to onlyprovide the Managing Owner’s report in this report.

 

Item 9B.  Other Information

 

None.

 

PART III

 

Item10.   Directors, Executive Officers and CorporateGovernance

 

(a,b)  Identification of Directors and ExecutiveOfficers

 

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

 

Millburn RidgefieldCorporation,  the Managing Owner, is aDelaware corporation organized in May 1982 to manage discretionaryaccounts in futures and forward markets. It is the corporate successor to a futures trading and advisoryorganization which has been continuously managing assets in the currency andfutures markets using quantitative, systematic techniques since 1971.

 

The principals and seniorofficers of the Managing Owner as of December 31, 2007 are as follows:

 

 

24

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***Harvey Beker, age 54.***   Mr. Bekeris Co-Chief Executive Officer and Co-Chairman of the Managing Owner and TheMillburn Corporation.  He received aBachelor of Arts degree in economics from New York University (“NYU”) in 1974and a Master of Business Administration degree in finance from NYU in1975.  From June 1975 to July 1977,Mr. Beker was employed by Loeb Rhoades, Inc. where he developed andtraded silver arbitrage strategies.  FromJuly 1977 to June 1978, Mr. Beker was a futures trader atClayton Brokerage Co. of St. Louis.  Mr. Bekerhas been employed by The Millburn Corporation since June 1978 andinitially served as the Director of operations for its affiliate, MillburnPartners.  During his tenure at Millburn(including its affiliates, Millburn Partners and CommInVest Research LimitedPartnership (“CommInVest”)) he has been instrumental in the development of theresearch, trading and operations areas.  Mr. Bekerbecame a principal of the firm in June 1982.

 

***Gregg R. Buckbinder, age 49.***   Mr. Buckbinderis Senior Vice-President and Chief Operating Officer of the Managing Owner andThe Millburn Corporation.  He graduated **cum laude** from Pace University(“Pace”) in 1980 with a B.B.A. in accounting and received an M.S. in taxationfrom Pace in 1988.  He joined theManaging Owner and The Millburn Corporation in January 1998 from OdysseyPartners, L.P. where he was responsible for the operation, administration andaccounting of the firm’s merchant banking and managed account businesses from July 1990through December 1997.  Mr. Buckbinderwas employed by Tucker Anthony, a securities broker and dealer, from June 1985to July 1990 where he was First Vice President and Controller, and from August 1983to June 1984 where he designed and implemented various operations andaccounting systems.  He was with thepublic accounting firm of Ernst & Whinney from June 1984 to June 1985as a manager in the tax department and from September 1980 to August 1983as a senior auditor, with an emphasis on clients in the financial servicesbusiness.  He is a Certified PublicAccountant and a member of the American Institute of Certified PublicAccountants.

 

***George E. Crapple, age 63.***   Mr. Crappleis Co-Chief Executive Officer and Co-Chairman of the Managing Owner and TheMillburn Corporation.  In 1966 hegraduated with honors from the University of Wisconsin where his field ofconcentration was economics and he was elected to Phi Beta Kappa.  In 1969 he graduated from Harvard Law School,**magna cum laude**, where hewas a member of the Harvard Law Review. He was a lawyer with Sidley & Austin, Chicago, Illinois, from1969 until April 1, 1983, as a partner since 1975, specializing incommodities, securities, corporate and tax law. He was first associated with the Managing Owner in 1976 and joinedManaging Owner and The Millburn Corporation (including its affiliates, MillburnPartners and CommInVest) on April 1, 1983 on a full-time basis.  Mr. Crapple is a Director, Member of theExecutive Committee, Chairman of the Appeals Committee and a former Chairman ofthe Eastern Regional Business Conduct Committee of the NFA, past Chairman ofthe Managed Funds Association, 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 38.********* Mr. Felsenthalis General Counsel and Chief Compliance Officer of the Managing Owner and TheMillburn Corporation.  Prior to joiningMillburn in January 2004, Mr. Felsenthal was a senior associate inthe investment management group at Schulte Roth & Zabel LLP (September 1999-January 2004), where he represented and advised hedge funds, registeredinvestment companies, investment advisers, broker-dealers and banks inconnection with all facets of their asset management businesses, and a memberof the tax department of Kramer, Levin, Naftalis & Frankel LLP (October 1996-September 1999).  He graduated**cum laude** from Yeshiva Universityin 1991 with a bachelor of arts degree in political science, and **order of the coif** from FordhamUniversity School of Law in 1996, where he also served as an editor of theFordham Environmental Law Journal.  Mr. Felsenthalreceived an LL.M degree in taxation from New York University School of Law in2001 and has written and been quoted in numerous published articles, and spokenat conferences, on various topics related to investment management.  Mr. Felsenthal is a member of the NewYork State Bar and Co-Chairman of the Managed Funds Association CPO/CTAAdvisory Committee.

 

***Mark B. Fitzsimmons, age 60.****** ***Mr. Fitzsimmons is a SeniorVice-President of the Managing Owner and The Millburn Corporation.  His responsibilities include both businessdevelopment and investment strategy.  Hejoined the Managing Owner and its affiliates in January 1990 from MorganStanley & Co. Incorporated where he was a Principal and Manager ofinstitutional foreign exchange sales and was involved in strategic trading forthe firm from October 1987 until January 1990.  From September 1977 to October 1987he was with Chemical Bank New York Corporation (“Chemical”), first as a SeniorEconomist in Chemical’s Foreign Exchange Advisory Service and later as aVice-President and Manager of Chemical’s Corporate Trading Group.  While at Chemical he also traded both foreignexchange and fixed income products.  FromSeptember 1973 to September 1977 Mr. Fitzsimmons was employed bythe Federal Reserve Bank of New York, dividing his time between theInternational 

 

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Research Department andthe Foreign Exchange Department.  Hegraduated **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 50.*********  Mr. Goodmanis Executive Vice-President, Director of Trading and Co-Director of Research ofthe Managing Owner and The Millburn Corporation.  His responsibilities include overseeing the firm’strading operation and managing its trading relationships, as well as the designand implementation of trading systems. He graduated **magna cum laude**from Harpur College of the State University of New York in 1979 with a B.A. ineconomics.  From September 1980through October 1982 he was a commodity trader for E. F. Hutton &Co., Inc.   (“E.F. Hutton”).  At E.F. Hutton, he also designed andmaintained various technical indicators and coordinated research projectspertaining to the futures markets.  He joinedthe Managing Owner and The Millburn Corporation (including its affiliate,Millburn Partners) in November 1982 as Assistant Director of Trading.

 

***Dennis B. Newton, age 56.********* Mr. Newtonis 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 in September 1991,Mr. Newton was President of Phoenix Asset Management, Inc.(“Phoenix”), a registered commodity pool operator from April 1990 to August 1991and President of its affiliated introducing broker, Phoenix Futures Inc., from March 1990to June 1991.  Prior to hisemployment with Phoenix, Mr. Newton was a Director of Managed Futures withPrudential-Bache Securities Inc. (“Prudential-Bache”) from October 1987 toMarch 1990 and was associated with its affiliated futures commissionmerchant entity, Prudential Securities Futures Management, Inc.  Mr. Newton joined Prudential-Bache fromHeinold Asset Management, Inc. (“Heinold”), and its affiliated futures commission merchant, HeinoldCommodities Inc., where he was a member of the senior management team from October 1974to October 1987.  Heinold was apioneer and one of the largest sponsors of funds utilizing futures and currencyforward trading.

 

***Grant N. Smith, age 56.***   Mr. Smithis Executive Vice-President and Co-Director of Research of the Managing Ownerand The Millburn Corporation.  He isresponsible for the design, testing and implementation of quantitative tradingstrategies, as well as for planning and overseeing the computerizeddecision-support systems of the firm.  Hereceived a B.S. degree from the Massachusetts Institute of Technology (“M.I.T.”)in 1974 and an M.S. degree from M.I.T. in 1975. While at M.I.T. he held several teaching and research positions in thecomputer science field and participated in various projects relating todatabase management.  He joined thepredecessor entity to The Millburn Corporation in June 1975, and has beencontinuously associated with the Managing Owner, The Millburn Corporation andtheir affiliates since that time.

 

***Tod A. Tanis, age 53.***   Mr. Tanisis a Vice President, Principal Accounting Officer and Director of Operations ofthe Managing Owner and The Millburn Corporation.  He is responsible for overseeing operationsand accounting for the firm’s commodity pools. He graduated from Grove City College in May 1976 with a B.A. inaccounting and joined the Managing Owner and The Millburn Corporation in May of1983.  Prior to joining Millburn, he waswith E.F. Hutton, where he was a Manager from December 1982 to April 1983;a Supervisor from August 1982 to December 1982; an InternationalAccountant from April 1979 to August 1982; and a staff accountant fromJune 1978 to April 1979.  As aManager at E.F. Hutton, he was responsible for all internal and externalcommodity reporting.  Mr. Tanis alsoserved as a Junior Accountant and then International Staff Accountant withMerrill Lynch & Company from September 1976 to May 1978.

 

(c)   Identification of Certain SignificantEmployees

 

None.

 

(d)   FamilyRelationships

 

None.

 

(e)   BusinessExperience

 

See Item 10 (a,b) above.

 

 

26

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(f)   Involvementin Certain Legal Proceedings

 

None.

 

(g)   Codeof Ethics

 

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

 

(h)   AuditCommittee Financial Expert

 

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

 

Item 11.  Executive Compensation

 

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

 

Item12.   Security Ownership of Certain Beneficial Ownersand Management

 

(a)   Security Ownership of Certain Beneficial Owners

 

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

 

(b)   Security Ownership of Management

 

Under the terms of theTrust Agreement, the Trust’s affairs are managed by the Managing Owner, whichhas discretionary authority over the Trust’s trading.  The Managing Owner’s managing owner interestwas valued at $6,373,279 as of December 31, 2007, 1.02% of the Trusts’total capital.

 

(c)   Changes in Control

 

None.

 

(d)   SecuritiesAuthorized for Issuance Under Equity Compensation Plans

 

None.

 

Item13.   Certain Relationships and Related Transactions

 

See “Item 11.  Executive Compensation” and “Item12.  Security Ownership of CertainBeneficial Owners and Management.” The Trust allocated to the Managing Owner $38,279,891 in brokerage feesand allocated $6,459,328 in profit share to the New Profits Memo Account forthe year ended  December 31,2007.  The 

 

27

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Managing Owner’s managingowner interest showed an allocation of income of $1,086,089 for the year ended December 31,2007.  The Managing Owner has paidcertain administrative expenses to third-parties on behalf of the Trust, relatedto legal, accounting, auditing, printing, postage and similar administrativeexpenses, and has been or will be reimbursed without interest by theTrust.  At December 31, 2007, theTrust owed the Managing Owner $120,504. This amount was comprised of $117,879in connection with expenses paid on the Trust’s behalf and redemption penaltypayable of $2,625.  The Trust isprohibited from making any loans.

 

Item14.   Principal Accountant Fees and Services

 

(1)           Audit Fees

 

The aggregate fees forprofessional services rendered by Deloitte & Touche LLP in connectionwith their audit of the Trust’s financial statements and reviews of thefinancial statements included in the quarterly reports on Form 10-Q and inconnection with the statutory and regulatory filings for the years ended December 31,2007 and 2006 were approximately $125,000 and $93,000, respectively.

 

(2)           Audit-Related Fees

 

There were no fees forassurance and related services rendered by Deloitte & Touche LLP forthe years ended December 31, 2007 and 2006.

 

(3)           Tax Fees

 

The aggregate fees forprofessional services rendered by Deloitte & Touche LLP for taxcompliance, advice or planning services rendered by Deloitte & ToucheLLP for the benefit of the Trust for the years ended December 31, 2007 and2006 was approximately $46,100 and $44,720, respectively.

 

(4)           All Other Fees

 

None

 

(5)           Pre-Approval Policies

 

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

 

PART IV

 

Item15.   Exhibitsand Financial Statement Schedules

 

(a)(1)   Financial Statements

 

The following areincluded with the 2007 Report of Independent Registered Public Accounting Firm,a copy of which is filed herewith as Exhibit 13.01.

 

Affirmation of MillburnRidgefield Corporation

Report of IndependentRegistered Public Accounting Firm

Statements of FinancialCondition

Condensed Schedules ofInvestments

Statements of Operations

Statements of Changes inTrust Capital

Statements of FinancialHighlights

Notes to FinancialStatements

 

(a)(2)   Financial Statement Schedules

 

 

28

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

 

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

 

The following exhibitsare included herewith.

 
| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2007 Report of  Independent Registered Public Accounting Firm                    |
|            |       |                                                                             |
| 31.1            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.2            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.3            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
|            |       |                                                                             |
| 32.1            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.2            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.3            |       | Section 1350  Certification of Principal Financial Officer                  |

 

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

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

 

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

 
| 1.01   |   | Form of Selling  Agreement among the Trust, the Managing Owner and the Amended Selling Agent  (including the form of Additional Selling Agent Agreement). |
|--------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                           |
| 10.02  |   | Form of Customer  Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc. Selling  Agent in its capacity as a futures commission merchant. |

 

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

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

 

The followingexhibits are incorporated by reference from the exhibit of the same number anddescription filed with the Trust’s Annual Report on March 31, 2003 on Form 10-Kunder the Securities Exchange Act of 1934.

 
| 10.01 |   | Form of Customer  Agreement with Deutsche Bank Securities Inc. |
|-------|--------|---------------------------------------------------------------------|

 

 

29

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

 

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

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

 

30

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SIGNATURES

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, the Registrant has duly caused this report to be signed on its behalf bythe undersigned, thereunto duly authorized, on the 28th day of March, 2008.

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

 

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

 
| **Signature**                                    | ** ** | **Title with M****anaging Owner**      | ** ** | **Date**            |
|--------------------------------------------------|------------|----------------------------------------|------------|---------------------|
|                                             |       |                                   |       |                |
|                                             |       |                                   |       |                |
| /s/ Harvey Beker                                 |       | Co-Chief                               |       | March 28, 2008 |
|      Harvey  Beker      |       | Executive Officer and  Director        |       |                |
|                                             |       | (Principal Executive  Officer)         |       |                |
|                                             |       |                                   |       |                |
| /s/ George E. Crapple                            |       | Co-Chief Executive                     |       | March 28, 2008 |
|      George  E. Crapple |       | Officer and Director                   |       |                |
|                                             |       | (Principal Executive  Officer)         |       |                |
|                                             |       |                                   |       |                |
| /s/ Gregg Buckbinder                             |       | Chief Financial and  Operating Officer |       | March 28, 2008 |
|     Gregg  Buckbinder        |       | (Principal Financial  Officer)         |       |                |
|                                             |       |                                   |       |                |
| /s/ Tod A. Tanis                                 |       | Vice President                         |       | March 28, 2008 |
|      Tod  A. Tanis      |       | (Principal Accounting  Officer)        |       |                |

 

 

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

 

Millburn RidgefieldCorporation

Managing Owner ofRegistrant

March 28, 2008

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

 

 

31

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EXHIBIT INDEX

 

The following exhibitsare included herewith.

 
| **Designation** | ** ** | **Description**                                                                  |
|-----------------|------------|----------------------------------------------------------------------------------|
|            |       |                                                                             |
| 13.01           |       | 2007 Report of  Independent Registered Public Accounting Firm                    |
|            |       |                                                                             |
| 31.1            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.2            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Executive Officer |
|            |       |                                                                             |
| 31.3            |       | Rule 13a-14(a)/15d-14(a) Certification  of Principal Financial Officer |
|            |       |                                                                             |
| 32.1            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.2            |       | Section 1350  Certification of Principal Executive Officer                  |
|            |       |                                                                             |
| 32.3            |       | Section 1350  Certification of Principal Financial Officer                  |

 

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

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

 

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

 
| 1.01   |   | Form of Selling  Agreement among the Trust, the Managing Owner and Amended the Selling Agent  (including the form of Additional Selling Agent Agreement). |
|--------|--------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                           |
| 10.02  |   | Form of Customer  Agreement among the Trust, the Managing Owner and UBS PaineWebber Inc. Selling  Agent in its capacity as a futures commission merchant. |

 

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

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

 

The followingexhibits are incorporated by reference from the exhibit of the same number anddescription filed with the Trust’s Annual Report on March 31, 2003 on Form 10-Kunder the Securities Exchange Act of 1934.

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

 

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

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

 

 

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