**Exhibit 13.01**

 

***GlobalMacro Trust***

 

*Financial Statements forthe Years Ended*

*December 31, 2008,2007 and 2006 and*

*Report of IndependentRegistered Public*

*Accounting Firm*

 

 

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**GLOBALMACRO TRUST**

** **

**TABLE OF CONTENTS**

** **
| ** **                                               | **Page**   |
|----------------------------------------------------------|------------|
| ** **                                               | ** ** |
| AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION           |       |
|                                                     |       |
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING  FIRM | 1          |
|                                                     |       |
| FINANCIAL STATEMENTS:                                    |       |
|                                                     |       |
| Statements of Financial Condition                        | 2          |
|                                                     |       |
| Condensed Schedules of Investments                       | 3-6        |
|                                                     |       |
| Statements of Operations                                 | 7          |
|                                                     |       |
| Statements of Changes in Trust Capital                   | 8          |
|                                                     |       |
| Statements of Financial Highlights                       | 9          |
|                                                     |       |
| **Notes to Financial  Statements**                       | **10-17**  |

 

----

 

**AFFIRMATIONOF MILLBURN RIDGEFIELD CORPORATION**

** **

Incompliance with the Commodity Futures Trading Commission’s regulations, Ihereby affirm that to the best of my knowledge and belief, the informationcontained in the statements of financial condition of Global Macro Trust,including the condensed schedules of investments as of December 31, 2008and 2007, and the related statements of operations, changes in trust capitaland financial highlights for each of the three years in the period ended December 31,2008, are complete and accurate.

 

 

HarveyBeker, Co-Chief Executive OfficerMillburn Ridgefield CorporationManaging Owner of Global Macro Trust 

 

----

 

**REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**

** **

To theUnitholders ofGlobal Macro Trust

 

Wehave audited the accompanying statements of financial condition of Global MacroTrust (the “Trust”), including the condensed schedules of investments, as of December 31,2008 and 2007 and the related statements of operations, changes in trustcapital, and financial highlights for each of the three years in the periodended December 31, 2008. These financial statements and financialhighlights are the responsibility of the Trust’s management. Our responsibilityis to express an opinion on these financial statements and financial highlightsbased on our audits.

 

Weconducted our audits in accordance with the standards of the Public CompanyAccounting Oversight Board (United States). Those standards require that weplan and perform the audit to obtain reasonable assurance about whether thefinancial statements and financial highlights are free of materialmisstatement. The Trust is not required to have, nor were we engaged toperform, an audit of its internal control over financial reporting. Our auditsincluded consideration of internal control over financial reporting as a basisfor designing audit procedures that are appropriate in the circumstances, butnot for the purpose of expressing an opinion on the effectiveness of the Trust’sinternal control over financial reporting. Accordingly, we express no suchopinion. An audit also includes examining, on a test basis, evidence supportingthe amounts and disclosures in the financial statements and financialhighlights, assessing the accounting principles used and significant estimatesmade by management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis for ouropinion.

 

In ouropinion, such financial statements and financial highlights present fairly, inall material respects, the financial position of Global Macro Trust at December 31,2008 and 2007, and the results of its operations, changes in trust capital andfinancial highlights for each of the three years in the period ended December 31,2008 in conformity with accounting principles generally accepted in the UnitedStates of America.

 

Deloitte& Touche LLP

NewYork, New York

February27, 2009

 

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**GLOBALMACRO TRUST**

** **

**STATEMENTSOF FINANCIAL CONDITION**

**AT DECEMBER31, 2008 AND 2007**

 
| ** **                                                                                               | ** ** | **2008**      | ** **    | **2007**    | ** ** |
|----------------------------------------------------------------------------------------------------------|------------|---------------|---------------|-------------|------------|
| **ASSETS**                                                                                               | ** ** | ** **    | ** **    | ** **  | ** ** |
|                                                                                                     |       |          |          |        |       |
| EQUITY IN  TRADING ACCOUNTS:                                                                             |       |          |          |        |       |
| Investments in  U.S. Treasury notes—at market value (amortized cost $63,160,186 and  $139,691,195)  |       | $             | 63,783,609    |        | $          | 140,178,478 |   |
| Net unrealized  appreciation on open futures and forward currency contracts                              |       | 8,795,238     |          | 13,985,466  |       |
| Due from brokers                                                                                         |       | 2,975,438     |          | 12,768,853  |       |
| Cash denominated  in foreign currencies (cost $680,184 and $9,122,395)                                   |       | 714,527       |          | 9,079,650   |       |
|                                                                                                     |       |          |          |        |       |
| Total equity in  trading accounts                                                                        |       | 76,268,812    |          | 176,012,447 |       |
|                                                                                                     |       |          |          |        |       |
| INVESTMENTS IN  U.S. TREASURY NOTES—at market value (amortized cost $935,337,697 and  $422,543,313) |       | 942,031,016   |          | 424,381,257 |       |
|                                                                                                     |       |          |          |        |       |
| CASH AND CASH  EQUIVALENTS                                                                               |       | 66,551,598    |          | 54,245,604  |       |
|                                                                                                     |       |          |          |        |       |
| ACCRUED INTEREST  RECEIVABLE                                                                             |       | 9,781,465     |          | 4,755,677   |       |
|                                                                                                     |       |          |          |        |       |
| TOTAL                                                                                                    |       | $             | 1,094,632,891 |        | $          | 659,394,985 |   |
|                                                                                                     |       |          |          |        |       |
| **LIABILITIES  AND TRUST CAPITAL**                                                                       | ** ** | ** **    | ** **    | ** **  | ** ** |
| ** **                                                                                               | ** ** | ** **    | ** **    | ** **  | ** ** |
| LIABILITIES:                                                                                             |       |          |          |        |       |
| Subscriptions  from Unitholders received in advance                                                      |       | $             | 9,723,446     |        | $          | 19,618,131 |   |
| Net unrealized  depreciation on open forward currency contracts                                          |       | 4,194,584     |          | 1,300,648   |       |
| Due to Managing  Owner                                                                                   |       | 22,611        |          | 120,504     |       |
| Accrued  brokerage fees                                                                                  |       | 5,808,866     |          | 3,400,051   |       |
| Redemptions  payable to Unitholders                                                                      |       | 8,036,643     |          | 3,608,727   |       |
| Redemption payable  to Managing Owner                                                                    |       | 29,151,044    |          | 6,462,526   |       |
| Accrued expenses                                                                                         |       | 248,479       |          | 127,090     |       |
| Cash denominated  in foreign currencies (cost $-2,804,975 and $0)                                        |       | 2,746,779     |          | —      |       |
| Due to brokers                                                                                           |       | 4,319,078     |          | —      |       |
|                                                                                                     |       |          |          |        |       |
| Total  liabilities                                                                                       |       | 64,251,530    |          | 34,637,677  |       |
|                                                                                                     |       |          |          |        |       |
| TRUST CAPITAL  (NET ASSETS):                                                                             |       |          |          |        |       |
| Managing Owner  interest (8,432.177 and 5,507.640 units outstanding)                                     |       | 11,560,510    |          | 6,373,279   |       |
| Unitholders  (743,122.758 and 534,394.969 units outstanding)                                             |       | 1,018,820,851 |          | 618,384,029 |       |
|                                                                                                     |       |          |          |        |       |
| Total trust  capital (net assets)                                                                        |       | 1,030,381,361 |          | 624,757,308 |       |
|                                                                                                     |       |          |          |        |       |
| TOTAL                                                                                                    |       | $             | 1,094,632,891 |        | $          | 659,394,985 |   |
|                                                                                                     |       |          |          |        |       |
| NET ASSET VALUE  PER UNIT OUTSTANDING                                                                    |       | $             | 1,371.00      |        | $          | 1,157.17 |   |

 

See notes tofinancial statements.

 

2

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** **

**GLOBAL MACRO TRUST**

** **

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2008**

 
| ** **                                                | ** ** | **Net  Unrealized** | ** ** | ** **         | ** ** |
|-----------------------------------------------------------|------------|---------------------|------------|--------------------|------------|
| ** **                                                | ** ** | **Appreciation**    | ** ** | **Net**            | ** ** |
| ** **                                                | ** ** | **(Depreciation)**  | ** ** | **Unrealized**     | ** ** |
| ** **                                                | ** ** | **as a %  of**      | ** ** | **Appreciation**   | ** ** |
| **Futures  and Forward Currency Contracts**               | ** ** | **Trust  Capital**  | ** ** | **(Depreciation)** | ** ** |
|                                                      |       |                |       |               |       |
| FUTURES  CONTRACTS:                                       |       |                |       |               |       |
| LONG FUTURES  CONTRACTS:                                  |       |                |       |               |       |
| Energies                                                  |       | 0.02                | %          | $                  | 228,038    |   |
| Grains                                                    |       | 0.06                |       | 623,375            |       |
| Interest rates                                            |       | 1.00                |       | 10,273,688         |       |
| Metals                                                    |       | (0.12               | )          | (1,284,097         | )          |
| Softs                                                     |       | 0.00                |       | 39,850             |       |
|                                                      |       |                |       |               |       |
| Total long  futures contracts                             |       | 0.96                |       | 9,880,854          |       |
|                                                      |       |                |       |               |       |
| SHORT FUTURES  CONTRACTS:                                 |       |                |       |               |       |
| Energies                                                  |       | 0.21                |       | 2,132,478          |       |
| Grains                                                    |       | (0.33               | )          | (3,345,546         | )          |
| Interest rates                                            |       | (0.10               | )          | (1,050,539         | )          |
| Livestock                                                 |       | 0.06                |       | 608,080            |       |
| Metals                                                    |       | 0.19                |       | 1,971,470          |       |
| Softs                                                     |       | (0.07               | )          | (734,502           | )          |
| Stock indices                                             |       | (0.07               | )          | (715,194           | )          |
|                                                      |       |                |       |               |       |
| Total short  futures contracts                            |       | (0.11               | )          | (1,133,753         | )          |
|                                                      |       |                |       |               |       |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 0.85                |       | 8,747,101          |       |
|                                                      |       |                |       |               |       |
| FORWARD CURRENCY  CONTRACTS:                              |       |                |       |               |       |
| Total long  forward currency contracts                    |       | 0.15                |       | 1,552,974          |       |
| Total short  forward currency contracts                   |       | (0.55               | )          | (5,699,421         | )          |
|                                                      |       |                |       |               |       |
| TOTAL  INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | (0.40               | )          | (4,146,447         | )          |
|                                                      |       |                |       |               |       |
| TOTAL                                                     |       | 0.45                | %          | $                  | 4,600,654  |   |
|                                                      |       |                |       |               |       |
|                                                      |       |                |       | (Continued)        |       |

 

3

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2008**

 

**U.S. TREASURY NOTES**

 

 
| ** **                         | ** ** | ** **                                                               | ** **                               | **Value as a %** | ** ** | ** **  | ** **    |
|------------------------------------|------------|--------------------------------------------------------------------------|------------------------------------------|------------------|------------|-------------|---------------|
| **Face**                           | ** ** | ** **                                                               | ** **                               | **of Trust**     | ** ** | ** **  | ** **    |
| **Amount**                         | ** ** | **Description**                                                          | ** **                               | **Capital**      | ** ** | **Value**   | ** **    |
|                               |       |                                                                     |                                     |             |       |        |          |
| $                                  | 99,500,000 |                                                                     | U.S. Treasury  notes, 4.000%, 03/31/2009 |             | 9.76       | %           | $             | 100,572,734 |   |
| 265,100,000                        |       | U.S. Treasury  notes, 3.875%, 05/15/2009                                 |                                     | 26.08            |       | 268,703,703 |          |
| 293,900,000                        |       | U.S. Treasury  notes, 3.625%, 07/15/2009                                 |                                     | 29.04            |       | 299,181,016 |          |
| 329,380,000                        |       | U.S. Treasury  notes, 3.375%, 10/15/2009                                 |                                     | 32.74            |       | 337,357,172 |          |
|                               |       |                                                                     |                                     |             |       |        |          |
|                               |       | Total  investments in U.S. Treasury notes  (amortized cost $998,497,883) |                                     | 97.62            | %          | $           | 1,005,814,625 |   |
|                               |       |                                                                     |                                     |             |       |        |          |
| See notes to financial statements. |       |                                                                     |                                     | (Concluded)      |       |
|                                    |            |                                                                          |                                          |                  |            |             |               |  |  |

 

4

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**GLOBAL MACRO TRUST**

** **

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2007**

 
| ** **                                                | ** ** | **Net Unrealized** | ** ** | ** **         | ** ** |
|-----------------------------------------------------------|------------|--------------------|------------|--------------------|------------|
| ** **                                                | ** ** | **Appreciation**   | ** ** | **Net**            | ** ** |
| ** **                                                | ** ** | **(Depreciation)** | ** ** | **Unrealized**     | ** ** |
| ** **                                                | ** ** | **as a % of**      | ** ** | **Appreciation**   | ** ** |
| **Futures and Forward Currency Contracts**                | ** ** | **Trust Capital**  | ** ** | **(Depreciation)** | ** ** |
|                                                      |       |               |       |               |       |
| FUTURES  CONTRACTS:                                       |       |               |       |               |       |
| LONG FUTURES  CONTRACTS:                                  |       |               |       |               |       |
| Energies                                                  |       | 0.46               | %          | $                  | 2,900,099  |   |
| Grains                                                    |       | 1.06               |       | 6,649,821          |       |
| Interest rates                                            |       | (0.19              | )          | (1,156,639         | )          |
| Metals                                                    |       | 0.05               |       | 294,849            |       |
| Softs                                                     |       | 0.09               |       | 557,248            |       |
| Stock indices                                             |       | 0.17               |       | 977,634            |       |
|                                                      |       |               |       |               |       |
| Total long  futures contracts                             |       | 1.64               |       | 10,223,012         |       |
|                                                      |       |               |       |               |       |
| SHORT FUTURES  CONTRACTS:                                 |       |               |       |               |       |
| Energies                                                  |       | (0.03              | )          | (195,100           | )          |
| Interest rates                                            |       | 0.42               |       | 2,622,890          |       |
| Livestock                                                 |       | 0.08               |       | 501,980            |       |
| Metals                                                    |       | 0.07               |       | 421,465            |       |
| Softs                                                     |       | (0.07              | )          | (465,326           | )          |
| Stock indices                                             |       | 0.09               |       | 614,991            |       |
|                                                      |       |               |       |               |       |
| Total short  futures contracts                            |       | 0.56               |       | 3,500,900          |       |
|                                                      |       |               |       |               |       |
| TOTAL  INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 2.20               |       | 13,723,912         |       |
|                                                      |       |               |       |               |       |
| FORWARD CURRENCY  CONTRACTS:                              |       |               |       |               |       |
| Total long  forward currency contracts                    |       | 0.03               |       | 165,503            |       |
| Total short  forward currency contracts                   |       | (0.19              | )          | (1,204,597         | )          |
|                                                      |       |               |       |               |       |
| TOTAL  INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | (0.16              | )          | (1,039,094         | )          |
|                                                      |       |               |       |               |       |
| TOTAL                                                     |       | 2.04               | %          | $                  | 12,684,818 |   |
|                                                      |       |               |       |               |       |
|                                                      |       |               |       | (Continued)        |       |

 

5

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2007**

** **

**U.S. TREASURY NOTES**

 
| ** **                         | ** **  | ** **                                                               | ** **                              | **Value as a %** | ** ** | ** **  | ** **  |
|------------------------------------|-------------|--------------------------------------------------------------------------|-----------------------------------------|------------------|------------|-------------|-------------|
| **Face**                           | ** **  | ** **                                                               | ** **                              | **of Trust**     | ** ** | ** **  | ** **  |
| **Amount**                         | ** **  | **Description**                                                          | ** **                              | **Capital**      | ** ** | **Value**   | ** **  |
|                               |        |                                                                     |                                    |             |       |        |        |
| $                                  | 141,300,000 |                                                                     | U.S. Treasury notes, 3.000%, 02/15/2008 |             | 22.61      | %           | $           | 141,277,922 |   |
| 141,300,000                        |        | U.S. Treasury notes, 2.625%, 05/15/2008                                  |                                    | 22.56            |       | 140,946,750 |        |
| 141,300,000                        |        | U.S. Treasury notes, 3.250%, 08/15/2008                                  |                                    | 22.61            |       | 141,255,844 |        |
| 141,300,000                        |        | U.S. Treasury notes, 3.125%, 10/15/2008                                  |                                    | 22.58            |       | 141,079,219 |        |
|                               |        |                                                                     |                                    |             |       |        |        |
|                               |        | Total  investments in U.S. Treasury notes  (amortized cost $562,234,508) |                                    | 90.36            | %          | $           | 564,559,735 |   |
|                               |        |                                                                     |                                    |             |       |        |        |
| See notes to financial statements. |        |                                                                     |                                    | (Concluded)      |       |
|                                    |             |                                                                          |                                         |                  |            |             |             |  |  |

 

6

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**GLOBAL MACRO TRUST**

** **

**STATEMENTSOF OPERATIONS**

**YEARSENDED DECEMBER 31, 2008, 2007 AND 2006**

 
| ** **                                                            | ** ** | **2008**    | ** **  | **2007**    | ** ** | **2006**    | ** ** |
|-----------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|-------------|------------|
|                                                                  |       |        |        |        |       |        |       |
| INVESTMENT  INCOME:                                                   |       |        |        |        |       |        |       |
| Interest income                                                       |       | $           | 21,273,709  |        | $          | 26,686,249  |       | $ | 20,667,947 |   |
|                                                                  |       |        |        |        |       |        |       |
| EXPENSES:                                                             |       |        |        |        |       |        |       |
| Brokerage fees                                                        |       | 54,511,974  |        | 38,279,891  |       | 30,857,253  |       |
| Administrative  expenses                                              |       | 2,590,867   |        | 1,878,041   |       | 1,592,624   |       |
| Custody fees                                                          |       | 160,055     |        | 85,806      |       | 71,580      |       |
|                                                                  |       |        |        |        |       |        |       |
| Total expenses                                                        |       | 57,262,896  |        | 40,243,738  |       | 32,521,457  |       |
|                                                                  |       |        |        |        |       |        |       |
| NET INVESTMENT  LOSS                                                  |       | (35,989,187 | )           | (13,557,489 | )          | (11,853,510 | )          |
|                                                                  |       |        |        |        |       |        |       |
| NET REALIZED AND  UNREALIZED GAINS (LOSSES):                          |       |        |        |        |       |        |       |
| Net realized  gains (losses) on closed positions:                     |       |        |        |        |       |        |       |
| Futures and  forward currency contracts                               |       | 214,035,345 |        | 92,248,212  |       | 8,046,715   |       |
| Foreign exchange  translation                                         |       | (848,741    | )           | 214,004     |       | (452,824    | )          |
| Net change in  unrealized:                                            |       |        |        |        |       |        |       |
| Futures and  forward currency contracts                               |       | (8,084,164  | )           | (16,622,693 | )          | 32,477,829  |       |
| Foreign exchange  translation                                         |       | 135,285     |        | (45,932     | )          | 93,915      |       |
| Net gains from  U.S. Treasury notes:                                  |       |        |        |        |       |        |       |
| Net change in  unrealized                                             |       | 4,991,515   |        | 2,467,858   |       | 583,385     |       |
|                                                                  |       |        |        |        |       |        |       |
| Total net  realized and unrealized gains                              |       | 210,229,240 |        | 78,261,449  |       | 40,749,020  |       |
|                                                                  |       |        |        |        |       |        |       |
| NET INCOME                                                            |       | 174,240,053 |        | 64,703,960  |       | 28,895,510  |       |
|                                                                  |       |        |        |        |       |        |       |
| LESS PROFIT  SHARE TO MANAGING OWNER                                  |       | 30,185,853  |        | 6,459,328   |       | 114,672     |       |
|                                                                  |       |        |        |        |       |        |       |
| NET INCOME AFTER  PROFIT SHARE TO MANAGING OWNER                      |       | $           | 144,054,200 |        | $          | 58,244,632  |       | $ | 28,780,838 |   |
|                                                                  |       |        |        |        |       |        |       |
| NET INCOME AFTER  PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING |       | $           | 213.83      |        | $          | 117.07      |       | $ | 62.02 |   |

 

See notes tofinancial statements.

 

7

----

 

 

**GLOBALMACRO TRUST**

 

**STATEMENTSOF CHANGES IN TRUST CAPITAL**

**YEARS ENDEDDECEMBER 31, 2008, 2007 AND 2006**

 
| ** **                                             | ** ** | ** **      | ** **    | **New Profit Memo** | ** **  | ** **         | ** ** | ** **  | ** ** |
|--------------------------------------------------------|------------|-----------------|---------------|---------------------|-------------|--------------------|------------|-------------|------------|
| ** **                                             | ** ** | **Unitholders** | ** **    | **Account**         | ** **  | **Managing Owner** | ** ** | **Total**   | ** ** |
| ** **                                             | ** ** | **Amount**      | ** **    | **Units**           | ** **  | **Amount**         | ** ** | **Units**   | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** |
| TRUST CAPITAL—January 1,  2006               |       | $               | 401,256,659   |                | 410,247.372 |               | $          | —      |       | — |   | $ | 4,646,863 |   | 4,750.953 |   | $ | 405,903,522 |   | 414,998.325 |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| Subscriptions                                          |       | 131,274,998     |          | 130,701.263         |        | —             |       | —      |       | 58,500 |   | 58.612 |   | 131,333,498 |   | 130,759.875 |   |
| Redemptions                                            |       | (80,135,755     | )             | (79,882.137         | )           | —             |       | —      |       | (173,416 | ) | (171.301 | ) | (80,309,171 | ) | (80,053.438 | ) |
| Additional units  allocated*                           |       | —          |          | 938.331             |        | —             |       | 4.657       |       | — |   | 335.760 |   | — |   | 1,278.748 |   |
| Net income after  profit share to Managing Owner       |       | 28,137,068      |          | —              |        | 2,185              |       | —      |       | 641,585 |   | — |   | 28,780,838 |   | — |   |
| Managing Owner’s  profit share                    |       | —          |          | —              |        | 114,672            |       | 107.694     |       | — |   | — |   | 114,672 |   | 107.694 |   |
| Transfer of New  Profit Memo Account to Managing Owner |       | —          |          | —              |        | (116,857           | )          | (112.351    | )          | 116,857 |   | 112.351 |   | — |   | — |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| TRUST  CAPITAL—December 31, 2006             |       | 480,532,970     |          | 462,004.829         |        | —             |       | —      |       | 5,290,389 |   | 5,086.375 |   | 485,823,359 |   | 467,091.204 |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| Subscriptions                                          |       | 149,852,918     |          | 133,492.106         |        | —             |       | —      |       | — |   | — |   | 149,852,918 |   | 133,492.106 |   |
| Redemptions                                            |       | (69,160,402     | )             | (62,025.145         | )           | —             |       | —      |       | (6,462,527 | ) | (5,584.764 | ) | (75,622,929 | ) | (67,609.909 | ) |
| Additional units  allocated*                           |       | —          |          | 923.179             |        | —             |       | 10.828      |       | — |   | 421.261 |   | — |   | 1,355.268 |   |
| Net income after  profit share to Managing Owner       |       | 57,158,543      |          | —              |        | 3,198              |       | —      |       | 1,082,891 |   | — |   | 58,244,632 |   | — |   |
| Managing Owner’s  profit share                    |       | —          |          | —              |        | 6,459,328          |       | 5,573.940   |       | — |   | — |   | 6,459,328 |   | 5,573.940 |   |
| Transfer of New  Profit Memo Account to Managing Owner |       | —          |          | —              |        | (6,462,526         | )          | (5,584.768  | )          | 6,462,526 |   | 5,584.768 |   | — |   | — |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| TRUST  CAPITAL—December 31, 2007             |       | 618,384,029     |          | 534,394.969         |        | —             |       | —      |       | 6,373,279 |   | 5,507.640 |   | 624,757,308 |   | 539,902.609 |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| Subscriptions                                          |       | 341,517,412     |          | 272,963.809         |        | —             |       | —      |       | 1,900,000 |   | 1,461.442 |   | 343,417,412 |   | 274,425.251 |   |
| Redemptions                                            |       | (82,882,368     | )             | (65,542.043         | )           | —             |       | —      |       | (29,151,044 | ) | (21,262.614 | ) | (112,033,412 | ) | (86,804.657 | ) |
| Additional units  allocated*                           |       | —          |          | 1,306.023           |        | —             |       | 28.600      |       | — |   | 635.432 |   | — |   | 1,970.055 |   |
| Net income after  profit share to Managing Owner       |       | 141,801,778     |          | —              |        | 99,892             |       | —      |       | 2,152,530 |   | — |   | 144,054,200 |   | — |   |
| Managing Owner’s  profit share                    |       | —          |          | —              |        | 30,185,853         |       | 22,061.677  |       | — |   | — |   | 30,185,853 |   | 22,061.677 |   |
| Transfer of New  Profit Memo Account to Managing Owner |       | —          |          | —              |        | (30,285,745        | )          | (22,090.277 | )          | 30,285,745 |   | 22,090.277 |   | — |   | — |   |
|                                                   |       |            |          |                |        |               |       |        |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL —  December, 31, 2008               |       | $               | 1,018,820,851 |                | 743,122.758 |               | $          | —      |       | — |   | $ | 11,560,510 |   | 8,432.177 |   | $ | 1,030,381,361 |   | 751,554.935 |   |

----

*  Additional units are issued to Unitholders who are chargedless than a 7.0% brokerage fee.

 

See notes to financial statements.

 

8

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**GLOBAL MACRO TRUST**

** **

**STATEMENTSOF FINANCIAL HIGHLIGHTS**

**YEARSENDED DECEMBER 31, 2008, 2007 AND 2006**

 
| ** **                                                                               | ** ** | **2008** | ** ** | **2007** | ** ** | **2006** | ** ** |
|------------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| PER  UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):            |       |     |       |     |       |     |       |
| Net  income (loss) from operations:                                                      |       |     |       |     |       |     |       |
| Net investment  loss                                                                     |       | $        | (57.47     | )(a)     | $          | (27.88   | )(a)       | $ | (26.74 | )(a) |
| Net  realized and unrealized gains on trading of futures and forward currency  contracts |       | 311.42   |       | 153.06   |       | 87.73    |       |
| Net  gains from U.S. Treasury notes                                                      |       | 7.85     | (a)        | 4.93     | (a)        | 1.28     | (a)        |
|                                                                                     |       |     |       |     |       |     |       |
| Net  income from operations                                                              |       | 261.80   |       | 130.11   |       | 62.27    |       |
|                                                                                     |       |     |       |     |       |     |       |
| Less  profit share allocated to Managing Owner                                           |       | 47.97    |       | 13.04    |       | 0.25     |       |
|                                                                                     |       |     |       |     |       |     |       |
| Net  income after profit share allocation                                                |       | 213.83   |       | 117.07   |       | 62.02    |       |
|                                                                                     |       |     |       |     |       |     |       |
| NET  ASSET VALUE—Beginning of year                                                  |       | 1,157.17 |       | 1,040.10 |       | 978.08   |       |
|                                                                                     |       |     |       |     |       |     |       |
| NET  ASSET VALUE—End of year                                                        |       | $        | 1,371.00   |     | $          | 1,157.17 |       | $ | 1,040.10 |   |
|                                                                                     |       |     |       |     |       |     |       |
| RETURNS:                                                                                 |       |     |       |     |       |     |       |
| Total  return before profit share allocation                                             |       | 22.62    | %          | 12.51    | %          | 6.37     | %          |
| Profit  share allocation                                                                 |       | (4.14    | )          | (1.25    | )          | (0.03    | )          |
|                                                                                     |       |     |       |     |       |     |       |
| TOTAL  RETURN AFTER PROFIT SHARE ALLOCATION                                              |       | 18.48    |       | 11.26    |       | 6.34     |       |
|                                                                                     |       |     |       |     |       |     |       |
| RATIOS  TO AVERAGE TRUST CAPITAL:                                                        |       |     |       |     |       |     |       |
| Net  investment loss                                                                     |       | (4.55    | )          | (2.48    | )          | (2.67    | )          |
|                                                                                     |       |     |       |     |       |     |       |
| Total  expenses                                                                          |       | 7.21     |       | 7.23     |       | 7.19     |       |
|                                                                                     |       |     |       |     |       |     |       |
| Profit  share allocation                                                                 |       | 3.80     |       | 1.16     |       | 0.03     |       |
|                                                                                     |       |     |       |     |       |     |       |
| Total  expenses and profit share allocation                                              |       | 11.01    | %          | 8.39     | %          | 7.22     | %          |

----

| (a) Calculated  based on weighted average number of units during the year. |   |   |   |   |   |   |   |
|---------------------------------------------------------------------------------|--------|--------|--------|--------|--------|--------|--------|
|                                                                            |   |   |   |   |   |   |   |
| See  notes to financial statements.                                             |   |   |   |   |   |   |   |

** **

**9**

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** **

**GLOBAL MACRO TRUST**

** **

**NOTES TO FINANCIAL STATEMENTS**

**YEARS ENDEDDECEMBER 31, 2008, 2007 AND 2006**

** **

**1.**                      ORGANIZATION

** **

Global Macro Trust (the “Trust”)was organized on July 23, 2001 under the Delaware Statutory Trust Act. Atsuch time, original capital of $400 by the Millburn Ridgefield Corporation (the“Managing Owner”) and $1,600 by the Initial Unitholder, an affiliated entity,was contributed to the Trust. The Trust commenced trading operations on July 1,2002. The Trust engages in the speculative trading of futures and forwardcurrency contracts. The instruments that are traded by the Trust are volatileand involve a high degree of market risk.

 

The Managing Owner managesthe business of the Trust and makes all trading decisions.

 

The Managing Owner hasagreed to make additional capital contributions, subject to certain possibleexceptions, in order to maintain its capital account at not less than 1% of thetotal outstanding capital contributions in the Trust (including the ManagingOwner’s contributions) but in no event shall the Managing Owner invest lessthan $500,000. The Managing Owner and the holders (the “Unitholders”) of theUnits of Beneficial Interest (“Units”) issued by the Trust will share in anyprofits and losses of the Trust in proportion to the percentage interest ownedby each before brokerage commissions and profit share allocations.

 

The Trust will dissolve on December 31,2031 or at an earlier date if certain conditions occur set forth in the ThirdAmended and Restated Declaration of Trust and the Trust Agreement (the “Agreement”).

 

**2.**                      SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

** **

***Investments*** — The Trust records its transactions infutures and forward currency contracts and U.S. Treasury notes includingrelated income and expenses on a trade date basis.

 

Open futures contracts arevalued at market value and open forward currency contracts are valued at fairvalue which is based on pricing models that consider the time value of moneyand the current market and contractual prices of the underlying financialinstruments. Realized gains (losses) and changes in unrealized appreciation(depreciation) on futures and forward currency contracts are recognized in theperiods in which the contracts are closed or the changes occur and are includedin net realized and unrealized gains (losses) in the statements of operations.

 

Investments in U.S. Treasurynotes are valued at the market value based on the midpoint of bid/askquotations reported daily at 3pm EST by Bloomberg. The Trust amortizes premiumsand accretes discounts on U.S. Treasury notes. Such securities are normally ondeposit with financial institutions (see Note 6) as collateral for performanceof the Trust’s trading obligations with respect to derivative contracts or areheld for safekeeping in a custody account at HSBC Bank USA, N.A.

 

***Cash and CashEquivalent******s ***— Cash and cash equivalents includes cash andan investment in Dreyfus Treasury Prime Cash Management fund, a short-term U.S.government securities money market fund.

 

10

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***Foreign CurrencyTranslation*** — Assets and liabilities denominated inforeign currencies are translated to U.S. Dollars at quoted prices of suchcurrencies. Purchases and sales of investments are translated to U.S. Dollarsat the exchange rate prevailing when such transactions occurred.

 

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

 

In July 2006, theFinancial Accounting Standards Board (“FASB”) issued FASB Interpretation No. 48,“Accounting for Uncertainty in Income Taxes — an interpretation of FASBStatement No. 109” (“FIN 48”), which clarifies the accounting foruncertainty in tax positions. FIN 48 requires that the Trust recognize inits financial statements the impact of a tax position if that position is morelikely than not of being sustained on audit based on the technical merits ofthe position. The provisions of FIN 48 are effective for fiscal years beginningafter December 15, 2006 with the cumulative effect of the change inaccounting principle recorded as an adjustment to opening trust capital.Millburn Ridgefield Corporation as Managing Owner of the Trust has evaluatedthe impact of adopting FIN 48 on the Trust’s financial statements. Based on a review of the Trust’s open tax years, 2004 to 2008, for theUS Federal jurisdiction, the New York, New Jersey and Connecticut Statejurisdictions and the New York City jurisdiction, FIN 48 did not have animpact on the Trust. The Trust is treated as a limited partnership for federaland state income tax reporting purposes and therefore the unitholders areresponsible for the payment of taxes.

 

***Estimates*** — Thepreparationof financial statements in conformity with accounting principles generallyaccepted in the United States of America requires management to make estimates andassumptions that affect the amounts and disclosures reported in the financialstatements. Actual results could differ from these estimates.

 

***Right of Offset*** — Thecustomer agreements between the Trust and each of its brokers give the Trustthe legal right to net unrealized gains and losses with each broker.Unrealized gains and losses related to offsetting transactions with thesebrokers are reflected on a net basis in the equity in trading accounts in thestatements of financial condition.

 

***Fair Value*** ***of Financial Instruments ***— Thefair value of the Trust’s assets and liabilities, which qualify as financialinstruments under Statement of Financial Accounting Standards No. 107, *Disclosures about Fair Value of Financial Instruments,*approximates the carrying amounts presented in the statements of financialcondition. In September 2006, the FASB issued SFAS No. 157, “FairValue Measurements”, which defines fair value, establishes a frameworkfor measurement of fair value and expands disclosures about fair valuemeasurements. The provisions of SFAS No. 157 were effective for fiscalyears beginning after November 15, 2007. The Trust adopted this pronouncementJanuary 1, 2008. The three levels of the fair value hierarchy under SFAS No. 157are described below:

 

Level 1: Unadjustedquoted prices in active markets that are accessible at the measurement date foridentical, unrestricted assets or liabilities;

 

Level 2: Quoted pricesin markets that are not activeor financial instruments for which all significant inputs are observable,either directly or indirectly;

 

Level 3: Prices orvaluations that require inputsthat are both significant to the fair value measurement and unobservable.

 

11

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Indetermining fair value, the Trust separates its investments into twocategories: cash instruments and derivative contracts.

 

CashInstruments. The Trust’s cash instruments are generally classified within level1 of the fair value hierarchy because they are typically valued using quotedmarket prices. The types of instruments valued based on quoted market prices inactive markets include U.S. government obligations and an investment in DreyfusTreasury Prime Cash Management fund, a short-term U.S. government securitiesmoney market fund. The Managing Owner of the Trust does not adjust the quotedprice for such instruments even in situations where the Trust holds a large positionand a sale could reasonably impact the quoted price.

 

DerivativeContracts. Derivative contracts can be exchange-traded or over-the-counter(OTC). Exchange-traded futures contracts are valued based on quoted closingsettlement prices and typically fall within level 1 of the fair valuehierarchy.

 

OTCderivatives or forward currency contracts are valued based on pricing modelsthat consider the current market prices (“Spot Prices”) plus the time value ofmoney (“Forward Points”) and contractual prices of the underlying financialinstruments. The Forward Points from the quotation service providers aregenerally in periods of one month, two months, three months and six monthsforward while the contractual forward delivery dates for the foreign forward currencycontracts traded by the Trust may be in between these periods. The ManagingOwner’s policy is to calculate the Forward Points for each contract beingvalued by determining the number of days from the date the forward currencycontract is being valued to its maturity date and then using straight-lineinterpolation to calculate the valuation of Forward Points for the applicableforward currency contract. Model inputs can generally be verified and modelselection does not involve significant management judgment. Such instrumentsare typically classified within level 2 of the fair value hierarchy.

 

Thefollowing table sets forth by level within the fair value hierarchy:

 
| ** **                            | ** ** | **Level 1** | ** **    | **Level 2** | ** ** | **Total**  | ** ** |
|---------------------------------------|------------|-------------|---------------|-------------|------------|------------|------------|
| U.S. Treasury  Notes                  |       | $           | 1,005,814,625 |        | $          | —     |       | $ | 1,005,814,625 |   |
| Short-Term Money  Market Fund         |       | 66,101,133  |          | —      |       | 66,101,133 |       |
| Exchange-Traded                       |       |        |          |        |       |       |       |
| Futures  Contracts                    |       | 8,747,101   |          | —      |       | 8,747,101  |       |
| Over-the-Counter                      |       |        |          |        |       |       |       |
| Forward Currency  Contracts           |       | —      |          | (4,146,447  | )          | (4,146,447 | )          |
| Total financial  assets at fair value |       | $           | 1,080,662,859 |        | $          | (4,146,447 | )          | $ | 1,076,516,412 |   |

 

***Recently IssuedPronouncements*** — In March 2008, the Financial AccountingStandards Board (FASB) issued Statement of Financial Accounting Standards No. 161,“Disclosure about Derivative Instruments and Hedging Activities — an amendmentof FASB Statement No. 133” (FAS 161). FAS 161 establishes, among other things, the disclosure requirements forderivative instruments and for hedging activities.  FAS 161 is effective for financial statementsissued for fiscal years and interim periods beginning after November 15,2008.  The Trust is currently evaluatingthe impact that FAS 161 will have on its disclosures related to derivativeinstruments.

 

12

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**3.**                      TRUST AGREEMENT

** **

The Trust pays brokeragefees to the Managing Owner at the annual rate up to 7.0% of the Trust’s averagemonth-end Net Assets of Unitholders’ interests (prior to reduction for accruedbrokerage commissions or Profit Share). Unitholders who make net capitalinvestments in the Trust of $100,000 or more or who invest through asset-basedfee or fixed fee investment programs are charged less than the annual brokeragerate of 7.0% as follows:

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

 

Brokerage fees will becharged to capital accounts of the Managing Owner, its principals, theirrespective affiliates or the New Profit Memo Account only to the extent ofcharges paid to third party executing and clearing brokers. In order tomaintain a uniform Net Asset Value per Unit, additional Units are issued toUnitholders who are charged less than a 7.0% brokerage fee.

 

The Managing Owner, not theTrust, will pay all routine costs of executing and clearing the Trust’s futurestrades including brokerage commissions payable to the clearing brokers. TheManaging Owner also pays, from its own funds, selling commissions on all salesof Units.

 

The Agreement provides thatthe Managing Owner’s profit share, equal to 20% of New Trading Profits inexcess of the highest cumulative level of Trading Profit as of any previouscalendar year-end, is charged to the Unitholders’ capital accounts. New TradingProfits includes realized and unrealized trading profits (losses), brokeragefees, trading-related expenses and administrative expenses. New Trading Profitsdo not include interest income. For Unitholders’ redemptions during the year,the profit share calculation shall be computed as though the redemptionoccurred at year-end. Profit share attributable to interests redeemed during ayear is tentatively credited to an account maintained for bookkeeping purposescalled New Profit Memo Account. Any profit share charged is added to theManaging Owner’s capital account to the extent that net taxable capital gainsare allocated to the Managing Owner. The remainder of such profit share, ifany, is added to the New Profit Memo Account. The Managing Owner may not makeany withdrawal from the balance in the New Profit Memo Account. If, at the endof a subsequent year, net taxable gains are allocated to the Managing Owner inexcess of such year’s profit share, a corresponding amount is transferred fromthe New Profit Memo Account to the Managing Owner’s capital account.

 

The Trust will pay itslegal, accounting, auditing, printing, postage and similar administrativeexpenses (including Trustees’ fees, accounting services fees and the expensesof updating the Prospectus) as well as extraordinary costs. At December 31,2008 and 2007, the Managing Owner was owed $0 and $117,879, respectively, fromthe Trust in connection with such expenses it has paid on the Trust’s behalf.Such amounts are included in “Due to Managing Owner” in the statements offinancial condition. The Managing Owner, at its discretion, may reimbursecertain expenses paid by the Trust.

 

13

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Units may be redeemed at theoption of any Unitholder at Net Asset Value (as defined in the Agreement) as ofthe close of business on the last business day of any calendar month on tenbusiness days’ written notice to the Managing Owner. Unitholders who redeemUnits at or prior to the end of the first consecutive six-month and five-monthperiods after such Units are sold shall be assessed redemption chargescalculated based on their redeemed Units’ Net Asset Value as of the date ofredemption as follows:

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

 

All redemption charges willbe paid to the Managing Owner. At December 31, 2008 and 2007, $22,611 and$2,625, respectively, of redemption charges were owed to the Managing Owner.Such amounts are included in “Due to Managing Owner” in the statements offinancial condition. The aggregate amount of redemption charges paid to theManaging Owner for the years ended December 31, 2008, 2007 and 2006 were$137,776, $128,527, and $38,627, respectively.

 

**4.**                      DUE FROM/TOBROKERS

** **

At December 31, 2008and 2007, due from and due to brokers balance in the statements of financialcondition include cash receivable from brokers and cash payable to brokers,respectively.

 

**5.**                      TRADINGACTIVITIES

** **

The Trust conducts itstrading activities with various brokers acting either as a broker orcounterparty to various transactions. At December 31, 2008 and 2007, cash,due from brokers and Treasury notes aggregating $67,473,574 and $162,026,981,respectively, included in the Trust’s equity in trading accounts, were held bysuch brokers in segregated accounts as collateral as required by U.S. CommodityFutures Trading Commission’s regulations or by the counterparty bank or broker.

 

The Trust enters intocontracts with various financial institutions that contain a variety ofindemnifications. The Trust’s maximum exposure under these arrangements isunknown. However, the Trust has not had prior claims or losses pursuant tothese contracts and expects the risk of loss to be remote.

 

**6.**                      DERIVATIVEINSTRUMENTS

** **

The Trust is party toderivative financial instruments in the normal course of its business. Thesefinancial instruments include futures and forward currency contracts which maybe traded on an exchange (“exchange-traded contracts”) or over-the-counter (“OTCcontracts”).

 

The Trust records itsderivative activities on a mark-to-market basis as described in Note 2.For OTC contracts, the Trust enters into master netting agreements with itscounterparties. Therefore, assets represent the Trust’s unrealized gains, lessunrealized losses for OTC contracts in which

 

14

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the Trust has a masternetting agreement. Similarly, liabilities represent net amounts owed tocounterparties on OTC contracts.

 

Futures contracts areagreements to buy or sell an underlying asset or index for a set price in thefuture. Initial margin deposits are made upon entering into futures contractsand can be either in cash or treasury securities. Open futures contracts arerevalued on a daily basis to reflect the market value of the contracts at theend of each trading day. Variation margin payments are received or made dependingupon whether unrealized gains or losses are incurred. When a contract isclosed, the Trust records a realized gain or loss equal to the differencebetween the value of the contract at the time it was opened and the time it wasclosed. The Trust bears the market risk that arises from changes in the valueof these financial instruments.

 

Forward currency contractsentered into by the Trust represent a firm commitment to buy or sell anunderlying currency at a specified value and point in time based upon an agreedor contracted quantity. The ultimate gain or loss is equal to the differencebetween the value of the contract at the onset and the value of the contract atsettlement date.

 

Each of these financialinstruments is subject to various risks similar to those related to theunderlying financial instruments including market risk, credit risk andsovereign risk.

 

Market risk is the potentialchange in the value of the instruments traded by the Trust due to marketchanges including interest and foreign exchange rate movements and fluctuationsin futures or security prices. Market risk is directly impacted by thevolatility and liquidity in the markets in which the related underlying assetsare traded. The financial instruments traded by the Trust contain varyingdegrees of off-balance sheet risk whereby changes in the market values of thefutures and forward currency contracts and the Trust’s satisfaction of itsobligations related to such market value changes may exceed the amountrecognized in the statements of financial condition.

 

Credit risk is thepossibility that a loss may occur due to the failure of a counterparty toperform according to the terms of a contract. Credit risk is normally reducedto the extent that an exchange or clearing organization acts as a counterpartyto futures transactions since typically the collective credit of the members ofthe exchange is pledged to support the financial integrity of the exchange. Inthe case of OTC transactions, the Trust must rely solely on the credit of theindividual counterparties. The contract amounts of the forward and futurescontracts do not represent the Trust’s risk of loss due to counterpartynonperformance. The Trust’s exposure to credit risk associated withcounterparty nonperformance of these contracts includes unrealized gainsinherent in such contracts, which are recognized in the statements of financialcondition, plus the value of margin or collateral held by the counterparty. Theamount of such credit risk was $16,011,104 and $70,391,885 at December 31,2008 and 2007, respectively.

 

The Managing Owner hasestablished procedures to actively monitor market risk and minimize credit riskalthough there can be no assurance that it will, in fact succeed in doing so.The Managing Owner’s market risk control procedures includes diversification ofthe Trust’s portfolio and continuously monitoring the portfolio’s openpositions, historical volatility and maximum historical loss. The ManagingOwner seeks to minimize credit risk primarily by depositing and maintaining theTrust’s assets at financial institutions and brokers which the Managing Ownerbelieves to be creditworthy. The Trust’s trading activities are primarily withbrokers and other financial institutions located in North America, Europe andAsia. All futures transactions of the Trust are cleared by major securitiesfirms, pursuant to customer agreements, including Merrill Lynch, Pierce, Fenner &Smith Incorporated, Deutsche Bank Securities Inc. (a wholly owned 

 

15

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subsidiary of Deutsche BankAG) and Newedge USA, LLC (a wholly owned subsidiary of Newedge Group, which isowned by Société Générale (50%) and Calyon (50%)).  For all forward currency transactions, theTrust utilizes two prime brokers, Deutsche Bank AG and Morgan Stanley &Co., Inc.

 

The Trust is subject tosovereign risk such as the risk of restrictions being imposed by foreigngovernments on the repatriation of cash and the effect of political or economicuncertainties. Net unrealized appreciation (depreciation) on futures andforward currency contracts are denominated in the functional currency (U.S.Dollar). Cash settlement of futures and forward currency contracts is made inthe local currency (settlement currency) and then translated to U.S. Dollars.

 

Net unrealized appreciation(depreciation) on futures and forward currency contracts by settlement currencytype, denominated in U.S. Dollars, is detailed below:

 
| ** **          | ** ** | **December 31,** | ** ** |
|---------------------|------------|-----------------------|------------|
| ** **          | ** ** | **2008**              | ** ** | **2007** | ** ** |
| ** **          | ** ** | **Total Net**         | ** ** | ** ** | ** ** | **Total Net** | ** ** | ** ** | ** ** |
| ** **          | ** ** | **Unrealized**        | ** ** | ** ** | ** ** | **Unrealized** | ** ** | ** ** | ** ** |
| ** **          | ** ** | **Appreciation**      | ** ** | **Percent of** | ** ** | **Appreciation** | ** ** | **Percent of** | ** ** |
| **Currency Type**   | ** ** | **(Depreciation)**    | ** ** | **Total** | ** ** | **(Depreciation)** | ** ** | **Total** | ** ** |
|                |       |                  |       |   |   |   |   |   |   |
| Australian  dollar  |       | $                     | 909,776    |   | 19.76 | % | $ | 2,655,781 |   | 20.94 | % |
| British pound       |       | 1,240,626             |       | 26.97 |   | 1,069,215 |   | 8.43 |   |
| Canadian dollar     |       | 1,643,671             |       | 35.73 |   | 68,640 |   | 0.54 |   |
| Czech koruna        |       | 104,876               |       | 2.28 |   | (177,311 | ) | (1.40 | ) |
| Euro                |       | 807,465               |       | 17.55 |   | (1,072,068 | ) | (8.45 | ) |
| Hong Kong dollar    |       | (1,812                | )          | (0.04 | ) | 101,586 |   | 0.80 |   |
| Hungarian forint    |       | —                |       | — |   | (16,754 | ) | (0.13 | ) |
| Icelandic krona     |       | —                |       | — |   | (40,262 | ) | (0.32 | ) |
| Japanese yen        |       | (168,048              | )          | (3.65 | ) | 2,515,158 |   | 19.83 |   |
| Mexican peso        |       | —                |       | — |   | (62,373 | ) | (0.49 | ) |
| New Zealand  dollar |       | (18,760               | )          | (0.41 | ) | (46,504 | ) | (0.37 | ) |
| Norwegian krone     |       | 690,265               |       | 15.00 |   | — |   | — |   |
| Polish zloty        |       | 138,776               |       | 3.02 |   | 186,361 |   | 1.47 |   |
| Singapore dollar    |       | (71,565               | )          | (1.56 | ) | 28,066 |   | 0.22 |   |
| Slovak koruna       |       | —                |       | — |   | (102,747 | ) | (0.81 | ) |
| South African  rand |       | 39,814                |       | 0.87 |   | 26,460 |   | 0.21 |   |
| Swedish krone       |       | 283,184               |       | 6.16 |   | 104,289 |   | 0.82 |   |
| Swiss franc         |       | 402,855               |       | 8.76 |   | 695,091 |   | 5.48 |   |
| Turkish lira        |       | (27,206               | )          | (0.59 | ) | 311,285 |   | 2.45 |   |
| U.S. dollar         |       | (1,373,263            | )          | (29.85 | ) | 6,440,905 |   | 50.78 |   |
|                |       |                  |       |   |   |   |   |   |   |
| Total               |       | $                     | 4,600,654  |   | 100.00 | % | $ | 12,684,818 |   | 100.00 | % |

 

**7.**                      FINANCIALHIGHLIGHTS

** **

Per Unit operatingperformance is calculated based on Unitholders’ trust capital taken as a whole.An individual Unitholder’s per Unit operating performance may vary from theseper Unit values based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

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The ratios are calculatedbased on Unitholders’ trust capital taken as a whole. The computation of suchratios based on the amount of net investment income (loss), total expenses andprofit share allocation to an individual Unitholder’s trust capital balance mayvary from these ratios based on the timing of capital transactions anddifferences in individual Unitholder’s brokerage fee and profit shareallocation arrangements.

 

Returns are calculated forUnitholders taken as a whole. An individual Unitholder’s returns may vary fromthese returns based on the timing of capital transactions and differences inindividual Unitholder’s brokerage fee and profit share allocation arrangements.

 

**8.**                      REDEMPTIONPAYABLE TO MANAGING OWNER

** **

At December 31, 2008,redemption payable of $29,151,044 was related to profit share earned during2008, allocated to the Managing Owner at year-end and redeemed.

 

******

 

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