UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION


Washington,
D.C. 20549




FORM
10-K




þ  Annual
Report Pursuant to Section 13 or 15(d)


of the
Securities Exchange Act of 1934


For the
Fiscal Year Ended: December 31, 2009


or


 ̈  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 registrant as specified in its charter)




Delaware
                
                36-7362830(State
      or other jurisdiction of
                
                (I.R.S.
      Employerincorporation
      or organization)
                
                Identification
      No.)





c/o
MILLBURN RIDGEFIELD CORPORATION


411 West
Putnam Avenue


Greenwich, Connecticut  06830


(Address
of principal executive offices)  (Zip Code)




Registrant’s
telephone number, including area code: (203) 625-7554




Securities
registered pursuant to Section 12(b) of the Act: None




Securities
registered pursuant to Section 12(g) of the Act: Units of Beneficial
Interest


(Title
      of Class)




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




Indicate
by check mark if the registrant is not required to file reports pursuant to
Section 13 or Section 15(d) of the Act.    Yes  ̈   No
x




Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days.   Yes x   No
 ̈




Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate website, if any, every Interactive Date File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such
files).    Yes  ̈   No
 ̈




Indicate
by check mark if disclosure of delinquent filers pursuant to Item 405 of
Regulation S-K (§229.405 of this chapter) is not contained herein, and will not
be contained, to the best of registrant’s knowledge, in definitive proxy or
information statements incorporated by reference in Part III of this Form 10-K
or any amendment to this Form 10-K.  x




Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a smaller reporting
company.  See the definitions of “large accelerated filer,”
“accelerated filer” and “smaller reporting company” in Rule 12b-2 of the
Exchange Act.





Large
      accelerated filer  ̈
            Accelerated
      Filer  ̈Non-accelerated
      filer  x  (Do
      not check if a Smaller Reporting Company)
            Smaller
      Reporting Company  ̈




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




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




Not
applicable.




Documents
Incorporated by Reference




Registrant’s
Financial Statements for the years ended December 31, 2009, 2008 and 2007 and
Report of Independent Registered Public Accounting Firm, the annual report to
security holders for the fiscal year ended December 31, 2009, is incorporated by
reference into Part II Item 8 and Part IV hereof and filed as an exhibit
herewith.







PART
I




Item
1.   Business




(a)   General development of business




Global
Macro Trust (the “Trust”) is a Delaware statutory trust organized on July 23,
2001 pursuant to a Declaration of Trust and Trust Agreement (the “Trust
Agreement”), under the Delaware Statutory Trust Act.  The Trust
originally filed a registration statement, under the Securities Act of 1933, as
amended (the “Securities Act”), with the Securities and Exchange Commission
(“SEC”) to register $50 million of units of beneficial interest (the “Units”),
which registration statement became effective March 26, 2002.  Between
April 1, 2002 and June 30, 2002 (the “Initial Offering”), the Units were
publicly offered at an initial price of $1,000 per Unit.  The proceeds
of the Initial Offering and interest thereon were held in an account in the name
of the Trust at FBR National Bank & Trust, Bethesda, Maryland, until July 1,
2002 at which time an aggregate of $1,290,457 was turned over to the Trust and
the Trust commenced operations.  The Trust has subsequently registered
additional Units with the SEC to bring the total dollar amount of Units
registered for sale to $1,450,000,000 of which $3,880,734 of units expired, and
a total of $1,252,286,355 of Units have been sold to the public as of December
31, 2009.  The Net Asset Value of a Series 1 Unit originally sold for
$1,000 as of July 1, 2002 was $1,211.97 as of December 31, 2009.  The
Net Asset Value of a Series 3 Unit originally sold for $1,180.91 as of September
1, 2009 was $1,221.44 as of December 31, 2009.  As of December 31,
2009, Units were being offered on a monthly basis at Net Asset Value per
Unit.  The Units are offered through a number of registered
broker-dealer selling agents on a best efforts basis.




The Trust
engages in speculative trading in the futures, options and forward
markets.  The amount of capital raised for the Trust should not have a
significant impact on its operations, as the Trust has no significant capital
expenditure or working capital requirements other than to pay trading losses,
brokerage fees and charges.




Millburn
Ridgefield Corporation (the “Managing Owner”), a Delaware corporation, is the
managing owner and the commodity trading advisor for the Trust.  The
Managing Owner invested $400 in the Trust as an initial capital contribution to
the Trust and $2,000,000 in the Trust at the outset of trading and subsequently
has contributed an additional $3,812,100 and has redeemed $35,907,566 as of
December 31, 2009.  After reflecting a net gain of $4,152,211 and
profit share of $36,880,429 from inception up to and including December 31,
2009, this investment totaled $10,937,574, as of December 31,
2009.




(b)   Financial information about industry segments




The
Trust’s business constitutes only one segment, i.e., a speculative commodity
pool.  The Trust does not engage in sales of goods and
services.  Financial information regarding 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 this report.




(c)   Narrative description of business




The Trust
engages in the speculative trading of futures, forward and swap contracts, and
options thereon.  The Trust’s sole trading advisor is the Managing
Owner.  The Managing Owner trades the Trust’s assets in the
agricultural, metals, energy, interest rate and stock indices futures markets
and in the currency markets, trading primarily forward contracts in the
interbank market. The objective of the Managing Owner’s trading method is to
participate in all major sustained price moves in the markets traded. The
Managing Owner’s approach is medium-term to long-term in nature. The Managing
Owner makes trading decisions pursuant to its trading method, which includes
technical trend analysis, certain non-trend-following technical systems, and
money management principles, which may be revised from time to
time.




The
Managing Owner is engaged in an ongoing research effort to improve its trading
methods and to apply its quantitative analytic expertise to new financial
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.




1


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




The goal
of the Managing Owner’s research has been to develop and select a mix of systems
in each market and to allocate risk across a wide array of 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 Owner
has developed hundreds of trading systems. These trading systems generate buy or
sell decisions in a particular market based on the direction of price movements
in the market, some non-price information or combination thereof.




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




When
arriving at the portfolio allocation, the Managing Owner seeks maximum
diversification subject to liquidity constraints. The markets traded and
allocations are reviewed monthly, although changes may occur more or less
frequently. The following factors are considered in constructing a universe of
markets to trade for each portfolio: profitability, correlation of market
performance, liquidity of markets, professional judgment, desired
diversification and transaction costs. Once the universe of markets is
established, the Managing Owner’s simulation and optimization techniques help
determine which markets to include in the portfolio. The current allocation to
any market in the portfolio does not exceed 2.5%.




In
attempting to assess market volatility as a means of monitoring and evaluating
risk, the Managing Owner uses its volatility overlay as a part of individual
market risk management. This system is designed to measure the risk in the
portfolio’s position in each market and signals a decrease in position size when
risk increases and an increase in position size when risk decreases. The
Managing Owner’s volatility overlay maintains overall portfolio risk and
distribution of risk across markets within designated ranges. It is applied to
the systematic strategies described above. A secondary benefit of the volatility
overlay can be timely profit taking. Because markets tend to become more
volatile after a profitable trend has been long underway, the volatility overlay
often signals position reductions before trend reversals.




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




The Trust
is open-ended and may offer Series 1 and Series 3 Units at their respective Net
Asset Value as of the first day of each month. Series 2 Units and Series 4 Units
are being offered for an initial offering period ending at the end of the first
month during which Series 2 Units and Series 4 Units, respectively, are first
sold. The only differences between the Units of each Series, referred to
collectively herein as “Units,” are the applicable fees and expenses. Otherwise,
the Units of each Series are identical to the Units of such other Series and
share pro rata in the profits and losses of the Trust. Series 2 and Series 3
Units are available only to (i) investors participating in a registered
investment adviser’s asset-based fee or fixed fee advisory program through which
an investment adviser recommends a portfolio allocation to the Trust and (ii)
the Managing Owner, its affiliates and their respective employees. The only
difference between the Series 2 and Series 3 Units is the custodial fee
applicable to Series 2 Units. Series 4 Units are available only to employees and
former employees of the Managing Owner and its affiliates who purchase their
Units through The Millburn Corporation 401(k) and Profit Sharing Plan.
Unitholders (“Unitholders”) may redeem any or all of their Units upon 10
business days’ written notice to the Managing Owner at their Net Asset Value as
of the last day of any month. Series 1 Units redeemed on or prior to the end of
the first six-month period after their sale will pay a redemption charge of 4%
of the Net Asset Value at which such Series 1 Units are redeemed. Series 1 Units
redeemed on or prior to the end of the first eleven months but after the end of
the first six-month period after their sale will pay a redemption charge of 3%
of the Net Asset Value at which such Series 1 Units are redeemed. These
redemption charges are paid to the Managing Owner. Redemption charges are
reduced, in the case of subscriptions for Series 1 Units in amounts of $100,000
or more. Series 2, Series 3 and Series 4 Units are not subject to redemption
charges. Requests for redemption will be honored and payment will be made,
except in the event of highly unusual market disruptions, within 15 business
days of the effective date of redemption.




2


Pursuant
to the Trust Agreement, the Managing Owner receives a flat-rate monthly
brokerage fee equal to 0.58 of 1% of the month-end Series 1 Net Assets (a 7.0%
annual rate).  The Managing Owner charges less than the annual
brokerage rate of 7% to those subscribers who invest in amounts of $100,000 or
more in the Series 1 Units or subscribed without incurring the selling
commissions paid by the Managing Owner.  These reductions have no
effect on other investors.  The Managing Owner also receives a profit
share equal to 20% of any new trading profit of Series 1 Units, determined as of
the end of each calendar year.  The annual profit share is calculated
net of brokerage fees and administrative expenses and excluding interest
income.  The Managing Owner pays all the routine costs of executing
and clearing the Trust’s trades and all compensation due to the selling agents
with respect to the Series 1 Units.




The Trust
pays the Managing Owner an annual management fee equal to 2% of the average
month-end Net Assets attributable to the Series 2 Units and Series 3 Units after
reduction for expenses but before reduction for any accrued but unpaid
management fees, custodial fees or Series 2/3 profit shares.  The
Trust will pay the Managing Owner a custodial fee equal to 0.25% of the average
month-end Net Assets attributable to the Series 2 Units, after reduction for
expenses but before reduction for any accrued but unpaid management fees,
custodial fees or Series 2/3 profit shares, which the Managing Owner will pay on
to brokers acting as custodian of Series 2 Units for the benefit of investors in
Series 2 Units.  Series 2 and Series 3 Units are also charged for
their pro rata share of the Trust’s actual trade execution and clearing costs,
including electronic platform trading costs, estimated at approximately 0.25% of
the Trust’s average month-end Net Assets per year attributable to the Series 2
and Series 3 Units.  The Trust pays the Managing Owner a Series 2/3
profit share equal to 20% of any cumulative new trading profit of the Series 2
and Series 3 Units in the aggregate, determined as of the end of each calendar
year.  The annual Series 2/3 profit share is calculated net of
management fees, execution and clearing costs, custodial fees, and ongoing
offering and administrative expenses and excluding interest income.




Series
4 Units are charged for their pro rata share of the Trust’s actual trade
execution and clearing costs, including electronic platform trading costs,
estimated at approximately 0.25% of the Trust’s average month-end Net Assets per
year attributable to the Series 4 Units.




The
Trust’s organizational and initial offering costs were paid by the Managing
Owner without reimbursement from the Trust or the Unitholders.  The
Trust pays its own offering costs including registration and filing fees and the
legal and accounting costs of updating the Trust’s prospectus and printing and
postage costs associated with producing and distributing the Trust’s prospectus
and related sales literature to the selling agents, as well as payments to
administrators for processing subscription agreements.  The Trust pays
all routine legal, accounting, administrative (including, if applicable, the
services of an administrator unaffiliated with the Managing Owner), printing and
similar costs associated with its day-to-day operations, including the fees of
Wilmington Trust Company (the “Trustee”).




J.P.
Morgan Futures Inc. (“J.P. Morgan”), Deutsche Bank Securities Inc. (“Deutsche
Bank”), Merrill Lynch, Pierce, Fenner & Smith Incorporated (“Merrill Lynch”)
and Newedge USA, LLC ( “Newedge”) act as the futures brokers for the
Trust.  The Trust executes currency forward trades with several
brokers and banks, including Morgan Stanley & Co. Incorporated and Deutsche
Bank AG, and primarily clears all such trades with Morgan Stanley & Co.
Incorporated and Deutsche Bank AG, serving as prime brokers.  The
Trust pays “bid asked” spreads on its forward trades, as such spreads are
incorporated into the pricing of forward contracts.  The Managing
Owner monitors the Trust’s trades to ensure that the prices it receives are
competitive.




The
Trust’s cash and short-term U.S. Treasury instruments are used by the Trust to
engage in its trading activities and as reserves to support that
trading.  The Trust’s assets deposited with the Trust’s futures
brokers as margin are maintained in “customer segregated funds accounts” or
“foreign futures and foreign options secured amount accounts” and are held in
cash, or U.S. Treasury instruments.  Trust assets not deposited as
margin are maintained in bank or brokerage accounts and are held primarily in
bank money market funds or short-term U.S. Treasury instruments or a U.S.
government securities and related instruments money market fund.




3


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




Regulation




Under the
Commodity Exchange Act, as amended (the “CEA”), commodity exchanges and futures
trading are subject to regulation by the Commodity Futures Trading Commission
(the “CFTC”).  National Futures Association (“NFA”), a “registered
futures association” under the CEA, is the only non-exchange self-regulatory
organization for futures industry professionals.  The CFTC has
delegated to NFA responsibility for the registration of “commodity trading
advisors,” “commodity pool operators,” “futures commission merchants,”
“introducing brokers” and their respective associated persons and “floor
brokers” and “floor traders.”  The CEA requires commodity pool
operators and commodity trading advisors, such as the Managing Owner, and
commodity brokers or futures commission merchants (“FCMs”), such as J.P. Morgan,
Deutsche Bank, Merrill Lynch and Newedge to be registered and to comply with
various reporting and record keeping requirements.  The CFTC may
suspend a commodity pool operator’s or commodity trading advisor’s registration
if it finds that its trading practices tend to disrupt orderly market conditions
or in certain other situations.  In the event that the registration of
the Managing Owner as a commodity pool operator or a commodity trading advisor
were terminated or suspended, the Managing Owner would be unable to continue to
manage the business of the Trust.  Should the Managing Owner’s
registration be suspended, termination of the Trust might result.




In
addition to such registration requirements, the CFTC and certain commodity
exchanges have established limits on the maximum net long or net short position
which any person may hold or control in particular commodities.  Most
exchanges also limit the changes in futures contract prices that may occur
during a single trading day.   Currency forward contracts are not
subject to regulation by any United States (“U.S.”) Government
agency.




(i)   through
(xii) - not applicable.




(xiii)   the
Trust has no employees.




(d)   Financial information about
geographic areas




The Trust
does not engage in material operations in foreign countries (although it does
trade from the U.S. in foreign currency forward contracts and on foreign futures
exchanges), nor is a material portion of its revenues derived from foreign
customers.




Item
1A.   Risk
Factors




You
Could Lose Your Entire Investment in the Trust




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




The
Trust has a Limited Performance History




The Trust
began trading July 1, 2002 and has a limited performance history. The past
performance of the Trust is not necessarily indicative of the Trust’s future
results, and the Trust may sustain losses in the future under market conditions
in which it achieved gains in the past.




The
Trust is a Highly Leveraged Investment




The Trust
generally holds positions with an aggregate face value of as much 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 open positions can cause
significant losses.




4


The
Performance of the Trust Will be Volatile




The
Managing Owner expects that the performance of the Trust will be volatile. The
Trust may suffer sudden and substantial losses from time to time and the
day-to-day value of the Units will be variable and uncertain. The Net Asset
Value per Unit may change materially between the date on which you subscribe for
Units and the date the Units are issued or the date you request a redemption and
the month-end redemption date.  In the last five years, monthly
returns for the Trust have ranged from up 8.52% to down 10.33%.




The
Trust’s Expenses Will Cause Losses Unless Offset by Profits and Interest
Income




The Trust pays annual expenses of up to
approximately 7.35% of its average month-end Net Assets attributable to the
Series 1 Units and annual expenses of up to approximately 2.85%, 2.60% and 0.60%
of its average month-end Net Assets attributable to the Series 2 Units, Series 3
Units and Series 4 Units, respectively. The Trust must earn trading profits and
interest income allocable to each Series 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 Units only as of the
close of business on the last day of a calendar month, and you must give the
Trust at least 10 days’ prior written notice of your intent to redeem. Early
redemption charges apply if you redeem Series 1 Units through the end of the
first eleven months you own them.




Series
1 Units Redeemed on or Before the End of the First Eleven Months after Purchase
will be Assessed a Redemption Charge




Series 1
Units redeemed on or prior to the end of the first six-month period after their
sale will pay a redemption charge of up to 4% of the Net Asset Value at which
such Series 1 Units are redeemed. Series 1 Units redeemed on or prior to the end
of the first eleven months but after the end of the first six-month period after
their sale will pay a redemption charge of up to 3% of the Net Asset Value at
which such Series 1 Units are redeemed.




The
Timing of Your Investment and Redemption Decisions Will Affect the Profitability
of Your Investment




The
Managing Owner expects that a majority of the Trust’s trades will result in
small profits only or in losses. The majority of any profits earned by 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 to redeem your
Units, and the timing of your investment and redemption decisions will affect
the amount of profit or loss you experience as an investor in the
Trust.




The
Managing Owner Alone Directs the Trust’s Trading




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




The
Managing Owner is a Technical Trader and Does not Analyze Economic Factors
External to Market Price




The
Managing Owner’s systematic strategies are developed on the basis of a
statistical analysis of market prices. Consequently, any factor external to the
market itself that dominates prices may cause major losses. For example, a
pending political or economic event may be very likely to cause a major price
movement, but the Managing Owner would continue to maintain positions indicated
by its trading method that would incur major losses if the event proved to be
adverse.




5


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




Lack
of Price Trends Will Cause Losses; There Have Been Sustained Periods With
Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner
Expects That There Will be Similar Periods in the Future




The Trust
cannot trade profitably unless there are major price trends in at least some of
the markets it trades. Moreover, the price trends must be of a type the Managing
Owner’s systems are designed to identify. In the past there have been sustained
periods with few trending markets where gains from trading those markets were
insufficient to offset losses from trades in non-trending
markets.  For example, the Trust incurred a loss for the year in 2003,
2004 and 2009.  The Managing Owner expects that there will be similar
periods in the future.




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




Lack
of Market Liquidity Could Make it Impossible for the Trust to Realize Profits or
Limit Losses




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




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




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




The
Managing Owner’s Trading Systems Have Been Developed Over Time and are Subject
to Change




In executing its trading method, the
Managing Owner uses combinations of trading systems to generate buy and sell
signals in the various markets traded. The Managing Owner has developed,
modified, retained and discarded numerous systems over more than 30 years.
Consequently, some of the trading systems and combinations of systems currently
being used to trade accounts traded pursuant to the Managing Owner’s diversified
portfolio, as the Trust is so traded, are not identical to those used 5, 10, 15
or 20 years ago.




Trading
on Foreign Exchanges Presents Greater Risk Than Trading on U.S.
Exchanges




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




6


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




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




The
performance of the Trust has been generally non-correlated to the performance of
the stock and bond markets, as represented by the S&P 500 Stock Index and
the Barclays Long-Term Treasury Index. Non-correlation means that there is no
statistically valid relationship between two asset classes and should not be
confused with negative correlation, where the performance of two asset classes
would be opposite. Because of this non-correlation, you should not expect the
Trust to be automatically profitable during unfavorable periods for the stock
and/or bond markets, or vice
versa.




If the
Trust does not perform in a manner non-correlated with the general financial
markets or does not perform successfully, you will obtain no diversification
benefits by investing in the Units and the Trust may have no gains to offset
your losses from other investments.




The
Trust May be Subject to Profit Shares Despite Certain 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. Profit shares are
accrued, or the accruals are reversed to reflect losses, on a monthly basis so
that Units are not sold with an embedded profit share liability. However, Series
1 profit shares are ultimately calculated on the basis of the net trading
profits, if any, recognized by the Series 1 Units as a whole and Series 2/3
profit shares are ultimately calculated on the basis of the cumulative net
trading profits, if any, recognized by the Series 2 Units and Series 3 Units as
a whole, not on the profits recognized by any particular Unit or Units.
Consequently, the Managing Owner may still be allocated a profit share even
though certain Units have lost value since the date they were
purchased.




Conversely,
Units purchased at a Net Asset Value reduced by accrued profit shares will
benefit from any reversal of such accruals, and the benefit of such reversals to
Units outstanding at the time of such purchase will be diluted.




Similarly,
Units may incur losses generating a loss carryforward for purposes of
calculating subsequent profit shares. The benefit of any such loss carryforward
will, in the case of Series 1 Units be diluted by the sale of additional Series
1 Units and, in the case of Series 2 and Series 3 Units, be diluted by the sale
of additional Series 2 Units or Series 3 Units.




The
Managing Owner’s Increased Equity Under Management Could Lead to Lower Returns
for Investors




The
Managing Owner has not agreed to limit the amount of money it may manage and is
actively seeking additional accounts. The more money the Managing Owner manages,
the more difficult it may become for the Managing Owner to trade profitably for
the Trust because of the difficulty of trading larger positions without
negatively affecting prices and performance.




7


Increased
Competition Among Trend-Following Traders Could Reduce the Managing Owner’s
Profitability




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




The
Trust is Subject to Conflicts of Interest




The Trust
is subject to numerous actual and potential conflicts of interest, including:
(1) the compensation that the Trust’s selling agents receive gives them an
incentive to promote the sale of Units as well as to discourage redemptions; (2)
the brokerage commissions that selling agents receive as clearing brokers for
the Trust gives an additional incentive to promote the sale of Units as well as
to discourage redemptions; (3) the Managing Owner has significant financial
incentives both to promote the sale of the Units and to discourage their
redemption; and (4) the Managing Owner of the Trust will not select any other
trading advisor even if doing so would be in the best interests of the
Trust.




The
Managing Owner has not Established Formal Procedures to Resolve Conflicts of
Interest




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




You
Will be Taxed Each Year on Your Share of Trust Profits




If you
are an individual or entity subject to U.S. taxes (e.g., not a tax-exempt entity
such as an IRA or pension plan), you will be taxed on your share of Trust income
or gain each year, whether or not you redeem Units or receive 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 be based on unrealized gains
which the Trust may, in fact, never realize.




40% of
any trading profits on certain U.S. exchange-traded futures contracts and
certain foreign currency forward contracts are taxed as short-term capital gains
at ordinary income rates (unless offset by capital losses), while 60% of any
such trading profits are taxed as long-term capital gains at a lower maximum
rate for individuals (15% for most gains recognized in taxable years beginning
on or before December 31, 2010). 100% of any trading profits from non-U.S.
exchange traded interest rate futures contracts and 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 year and taxed as short-term capital
gains at ordinary income tax rates (unless offset by capital losses). These
rates apply regardless of how long the Trust holds a contract, or an investor
his or her Units.




Due to
the different tax rates for long-term and short-term capital gains and losses,
and depending on the tax character of income and loss you receive on other
investments in your portfolio, it is possible for you to have a 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 a pre-tax basis;
the investors who experienced such performance had to pay the related taxes from
other sources.




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




8


You
Will be Taxed on the Trust’s Interest Income Even if 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 of ordinary income
each year. So, for example, if your share of the Trust’s trading (i.e., capital) loss was
$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 equal to $5,000, but
would nevertheless recognize taxable income of $2,000.




Limitations
on the Deductibility of “Investment Advisory Fees”




The
Managing Owner does not intend to treat the ordinary expenses of the Trust as
“investment advisory fees” for federal income tax purposes. The Managing Owner
believes that this is the position adopted by virtually all U.S. futures fund
sponsors. However, were the ordinary expenses of the Trust characterized as
“investment advisory fees,” non-corporate taxpayers would be subject to
substantial restrictions on the deductibility of those expenses, would pay
increased taxes in respect of an investment in the Trust and could actually
recognize taxable income despite having incurred a financial loss.




The
IRS Could Audit Both the Trust and Individual Unitholders




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




The
Bankruptcy of a Clearing Broker or Currency Dealer Could Cause
Losses




The
Managing Owner must assess the credit-worthiness of the clearing brokers and
foreign currency counterparties it selects for the Trust. If one of the Trust’s
clearing brokers or foreign currency counterparties becomes bankrupt, the Trust
will be limited to recovering only its pro rata share of all available customer
funds segregated by the clearing broker or counterparty. The Managing Owner
attempts to mitigate this risk by selecting only well capitalized, major
financial institutions as clearing brokers and foreign currency counterparties,
but there can be no assurance that even a well capitalized, major institution
will not become bankrupt, and recent events have demonstrated that even major
financial institutions of the type with which the Trust may deal in the
financial markets can and do fail.




The
Trust is Not Regulated as an Investment Company or Mutual Fund




Although
the Managing Owner is subject to regulation by the CFTC and the Trust itself is
subject to reporting requirements and other regulation applicable to public
companies in the U.S., the Trust is not registered under the Investment Company
Act of 1940.  Accordingly, investors in the Trust are not accorded the
protections of such legislation.




The
Trust Trades in Unregulated Markets




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




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




9


Swap
Trading is Unregulated and Involves Counterparty Risk




The Trust
may engage in trading commodity swaps.  Swaps involve many of the same
risks as those described above with respect to forward contracts.  Swap
contracts are not traded on exchanges; rather, banks and dealers act as
principals in the swap market.  As a result, the Trust will be subject to
the risk of the inability or refusal to perform with respect to such contracts
on the part of the counterparties with which the Trust trades.  The
Managing Owner intends to enter into swaps on behalf of the Trust only with
highly creditworthy banks and dealers, but there can be no assurance that even
highly creditworthy banks and dealers will have the ability to, or will not
refuse to, perform with respect to such contracts.  The swap market is
generally not regulated by any U.S. or foreign governmental authority. 
Speculative position limits are not applicable to swap transactions, although
the counterparties with which the Trust will deal may limit the size or duration
of positions available to the Trust as a consequence of credit
considerations.  Finally, swaps may be illiquid and participants in the
swap market are not required to make continuous markets in the swap contracts
they trade.




Trading
in Options Requires an Assessment of Market Volatility as Well as
Direction




The
Managing Owner may trade futures and forward options on behalf of the
Trust.  Although successful options trading requires many of the same
skills as successful futures and forward trading, the risks involved are
somewhat different.  For example, the assessment of near-term market
volatility - which is directly reflected in the price of outstanding options -
can be of much greater significance in trading options than it is in many
long-term futures strategies.  The use of options can be extremely
expensive if market volatility is incorrectly predicted.




The
Failure of Computer Systems Could Result in Losses for the Trust




The Managing Owner relies heavily on
computer hardware and software, online services and other computer-related or
electronic technology and equipment to facilitate the Trust’s investment
activities and may trade financial instruments through electronic trading or
order routing systems.  Electronic trading exposes the Trust to the
risk of system or component failure.  Should events beyond the
Managing Owner’s control cause a disruption in the operation of any technology
or equipment, the Trust’s investment program may be severely impaired, causing
it to experience substantial losses or other adverse effects.




Item
      1B.
            Unresolved Staff
      Comments




Not required.




Item
      2.
            Properties




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




Item
      3.
            Legal Proceedings




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




Item
      4.
            (Removed and
      reserved)




PART
II




Item
      5.
                Market for the Registrant’s Common Equity,
      Related Stockholder Matters and Issuer Purchases of
      Equity  Securities




(a)   Market Information




There is
no trading market for the Units, and none is likely to develop.  Units
may be redeemed upon  10 business days’ written notice to the
Managing Owner at their Net Asset Value as of the last day of any month, subject
to certain early redemption charges for the Series 1 Units.




10


(b)   Holders




As of
December 31, 2009, there were 25,877 holders of Series 1 Units and 33 holders of
Series 3 Units.




(c)   Dividends




No
distributions or dividends have been made on the Units, and the Managing Owner
has no present intention to make any.




(d)   Securities Authorized for
Issuance Under Equity Compensation Plans




None.




(e)   Recent Sales of Unregistered
Securities; Use of Proceeds from Registered Securities




There
have been no sales of unregistered securities of the Trust during 2007, 2008 or
2009.




(f)   Purchases of Equity
Securities by the Issuer




Pursuant
to the Trust Agreement, Unitholders may redeem their Units at the end of each
calendar month at the then current month-end Net Asset Value per
Unit.  The redemption of Units has no impact on the value of Units
that remain outstanding, and Units are not reissued once redeemed.




The
following table summarizes the redemptions by Series 1 and Series 3 Unitholders
during the fourth calendar quarter of 2009:




Month
                                
                                Units Redeemed
                                
                                Redemption Date
                                  NAV per UnitOctober
      31, 2009
                                
                                Series
      1 Units – 7,873.793
                                
                                
                                1,186.30Series
      3 Units – 0
                                
                                
                                -November
      30, 2009
                                
                                Series
      1 Units – 10,617.451
                                
                                
                                1,241.81Series
      3 Units – 0
                                
                                
                                -December
      31, 2009
                                
                                Series
      1 Units – 8,589.374
                                
                                
                                1,211.97Series
      3 Units – 0
                                
                                
                                -Total
                                
                                Series
      1 Units – 27,080.618Series
      3 Units – 0


Item
      6.
            Selected Financial Data




The
following is a summary of operations for the fiscal years 2009, 2008, 2007, 2006
and 2005 and total assets of the Trust at December 31, 2009, 2008, 2007, 2006
and 2005.


11





For the Year Ended
                                          December 31, 2009
                                        
                                        
                                        For the Year Ended
                                          December 31, 2008
                                        
                                        
                                        For the Year Ended
                                          December 31, 2007
                                        
                                        
                                        For the Year Ended
                                          December 31, 2006
                                        
                                        
                                        For the Year Ended
                                          December 31, 2005Revenue:
                                          Total
      net realized and unrealized gains (losses)*
                                        
                                        $
                                        (64,437,079
                                        )
                                        
                                        $
                                        210,229,240
                                        
                                        
                                        $
                                        78,261,449
                                        
                                        
                                        $
                                        40,749,020
                                        
                                        
                                        $
                                        27,495,406Interest
      income
                                        
                                        
                                        9,966,151
                                        
                                        
                                        
                                        21,273,709
                                        
                                        
                                        
                                        26,686,249
                                        
                                        
                                        
                                        20,667,947
                                        
                                        
                                        
                                        11,150,930Expenses:Profit
      share
                                        
                                        
                                        43,187
                                        
                                        
                                        
                                        30,185,853
                                        
                                        
                                        
                                        6,459,328
                                        
                                        
                                        
                                        114,672
                                        
                                        
                                        
                                        0Administrative
      expenses**
                                        
                                        
                                        2,863,462
                                        
                                        
                                        
                                        2,750,922
                                        
                                        
                                        
                                        1,963,847
                                        
                                        
                                        
                                        1,664,204
                                        
                                        
                                        
                                        1,477,105Brokerage
      Commissions
                                        
                                        
                                        63,566,376
                                        
                                        
                                        
                                        54,511,974
                                        
                                        
                                        
                                        38,279,891
                                        
                                        
                                        
                                        30,857,253
                                        
                                        
                                        
                                        26,641,625Management
      Fees
                                        
                                        
                                        10,864
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -Net
      Income (loss)
                                        
                                        $
                                        (120,954,817
                                        )
                                        
                                        $
                                        144,054,200
                                        
                                        
                                        $
                                        58,244,632
                                        
                                        
                                        $
                                        28,780,838
                                        
                                        
                                        $
                                        10,527,606Total
      assets
                                        
                                        $
                                        919,457,865
                                        
                                        
                                        $
                                        1,094,632,891
                                        
                                        
                                        $
                                        659,394,985
                                        
                                        
                                        $
                                        507,126,392
                                        
                                        
                                        $
                                        423,902,367Total
      Trust capital
                                        
                                        $
                                        879,154,612
                                        
                                        
                                        $
                                        1,030,381,361
                                        
                                        
                                        $
                                        624,757,308
                                        
                                        
                                        $
                                        485,823,359
                                        
                                        
                                        $
                                        405,903,522Net
      Asset Value per Series 1 Unit
                                        
                                        $
                                        1,211.97
                                        
                                        
                                        $
                                        1,371.00
                                        
                                        
                                        $
                                        1,157.17
                                        
                                        
                                        $
                                        1,040.10
                                        
                                        
                                        $
                                        978.08Net
      Asset Value per Series 3 Unit
                                        
                                        $
                                        1,221.44
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -Increase
      (decrease) in Net Asset Value per Series 1 Unit
                                        
                                        $
                                        (159.03
                                        )
                                        
                                        $
                                        213.83
                                        
                                        
                                        $
                                        117.07
                                        
                                        
                                        $
                                        62.02
                                        
                                        
                                        $
                                        23.23Increase
      in Net Asset Value per Series 3 Unit
                                        
                                        $
                                        40.53
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -
                                        
                                        
                                        
                                        -





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





**
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 and
Supplementary Data.”  The information contained therein is
essential to, and should be read in conjunction with, the following
analysis.




Liquidity and Capital
Resources




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




The
amount of capital raised for the Trust should not have a significant impact on
its operations, as the Trust has no significant capital expenditure or working
capital requirements other than for monies to pay trading losses, brokerage
commissions and charges.  Within broad ranges of capitalization, the
Managing Owner’s trading positions should increase or decrease in approximate
proportion to the size of the Trust.




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




The Trust
trades futures on interest rates, commodities, currencies, metals, energy and
stock indices and forward contracts on currencies.  Risk arises from
changes in the value of these contracts (market risk) and the potential
inability of counterparties or brokers to perform under the terms of their
contracts (credit risk).  Market risk is generally to be measured by
the face amount of the futures positions acquired and the volatility of the
markets traded.  The credit risk from counterparty non-performance
associated with these instruments is the net unrealized gain, if any, on these
positions plus the value of the margin or collateral held by the
counterparty.  The risks associated with exchange-traded contracts are
generally perceived to be less than those associated with over-the-counter
transactions, because exchanges typically (but not universally) provide
clearinghouse arrangements in which the collective credit (in some cases limited
in amount, in some cases not) of the members of the exchange is pledged to
support the financial integrity of the exchange.  In over-the-counter
transactions, on the other hand, traders must rely solely on the credit of their
respective individual counterparties.  Margins which may be subject to
loss in the event of a default, are generally required in exchange trading, and
counterparties may require margin or collateral in the over-the-counter
markets.




12


The
Managing Owner has procedures in place to control market risk, although there
can be no assurance that they will, in fact, succeed in doing
so.  These procedures primarily focus on: (1) real time monitoring of
open positions; (2) diversifying positions among various markets; (3) limiting
the assets committed as margin, generally within a range of 5% to 35% of an
account’s Net Assets at exchange minimum margins, (including imputed margins on
forward and swap positions) although the amount committed to margin at any time
may be substantially higher; (4) prohibiting pyramiding (that is, using
unrealized profits in a particular market as margin for additional positions in
the same market); and (5) changing the equity utilized for trading by an account
solely on a controlled periodic basis rather than as an automatic consequence of
an increase in equity resulting from trading profits.  The Trust
controls credit risk by dealing exclusively with large, well capitalized
financial institutions as brokers and counterparties.




The
financial instruments traded by the Trust contain varying degrees of off-balance
sheet risk whereby changes in the market values of the futures and forward
contracts or the Trust’s satisfaction of the obligations may exceed the amount
recognized in the statement of financial condition of the Trust.




Due to
the nature of the Trust’s business, substantially all its assets are represented
by cash and cash equivalents and U.S. government obligations, while the Trust
maintains its market exposure through open futures and forward contract
positions.




The
Trust’s futures contracts are settled by offset and are cleared by the exchange
clearinghouse function.  Open futures positions are marked to market
each trading day and the Trust’s trading accounts are debited or credited
accordingly.  Options on futures contracts are settled either by
offset or by exercise.  If an option on a future is exercised, the
Trust is assigned a position in the underlying future which is then settled by
offset.  The Trust’s spot and forward currency transactions conducted
in the interbank market are settled by netting offsetting positions or payment
obligations and by cash payments.




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




The
Trust’s assets are generally held as cash or cash equivalents, including
short-term U.S. government obligations, which are used to margin the Trust’s
futures and forward currency positions and withdrawn, as necessary, to pay
redemptions and expenses.  Other than potential market-imposed
limitations on liquidity, due, for example, to limited open interest in certain
futures markets or to daily price fluctuation limits, which are inherent in the
Trust’s futures and forward trading, the Trust’s assets are highly liquid and
are expected to remain so.  During its operations through December 31,
2009, the Trust experienced no meaningful periods of illiquidity in any of the
numerous markets traded by the Managing Owner.




Critical Accounting
Estimates




The Trust
records its transactions in futures and forward currency contracts, including
related income and expenses, on a trade date basis.  Open futures
contracts traded on an exchange are valued at fair value, which is based on the
closing settlement price on the exchange where the futures contract is traded by
the Trust on the day with respect to which Net Assets are being
determined.  Open swap contracts are recorded at fair value based on
the closing settlement price for equivalent or similar futures positions that
are traded on an exchange on the day with respect to which Net Assets are being
determined.  Open forward currency contracts are recorded at fair
value, based on pricing models that consider the current market prices (“Spot
Prices”) plus the time value of money (“Forward Points”) and contractual prices
of the underlying financial instruments.  The Spot Prices and Forward
Points for open forward currency contracts are generally based on the 3:00 P.M.
New York time prices provided by widely used quotation service providers on the
day with respect to which Net Assets are being determined.  The
Forward Points from the quotation service providers are generally in periods of
one month, two months, three months and six months forward while the contractual
forward delivery dates for the foreign currency contracts traded by the Trust
may be in between these periods.




13


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




The
preparation of financial statements in conformity with accounting principles
generally accepted in the U.S. (“U.S. GAAP”) requires management to make
estimates and assumptions, such as accrual of expenses, that affect the amounts
and disclosures reported in the financial statements.  Based on the
nature of the business and operations of the Trust, the Managing Owner believes
that the estimates utilized in preparing the Trust’s financial statements are
appropriate and reasonable, however actual results could differ from these
estimates.  The estimates used do not provide a range of possible
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 other reasonable assumptions relating to the
application of the Trust’s critical accounting estimates other than those
currently used would likely result in materially different amounts from those
reported.




Results of
Operations




Performance
Summary




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




If the
Managing Owner’s models identify a trend, they signal positions which follow it.
When these models identify the trend as having ended or reversed, these
positions are either closed out or reversed. Due to their trend-following
character, the Managing Owner’s systems do not predict either the commencement
or the end of a price movement. Rather, their objective is to identify a trend
early enough to profit from it and to detect its end or reversal in time to
close out the Trust’s positions while retaining most of the profits made from
following the trend.




In
analyzing the performance of the Managing Owner’s trend-following systems,
economic conditions, political events, weather factors, etc., are not directly
relevant because the Managing Owner uses only market data in developing its
systems. Additionally, in general there is no direct connection between
particular market conditions and price trends. There are so many influences on
the markets that the same general type of economic event may lead to a price
trend in some cases but not in others. Further, even if significant price trends
do occur, if these trends are not comprised of the type of price movements which
the systems are designed to identify, the Managing Owner may not position the
Trust to profit from or avoid losses due to the trend. Moreover, there have been
prolonged periods in 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 Owner would expect it to be very difficult to achieve profitability in
such markets.




The
performance summary set forth below is an outline description of how the Trust
performed in the past trading in a wide variety of markets.  The
Trust’s futures and currency forward contract prices are marked-to-market every
trading day, and the Trust’s trading accounts are credited or debited with its
daily gains or losses. Accordingly, there is no material economic distinction
between realized gains or losses on closed positions and unrealized gains or
losses on open positions.




Series 1
Units, which were initially issued simply as “Units” beginning in July 2002,
were the only Series of Units available prior to 2009.  As a result,
the performance summaries for 2008 and 2007 only relate to the Series 1
Units.  Series 3 Units were first issued on September 1,
2009.  The Trust’s past performance is not necessarily indicative of
how it will perform in the future.




14


2009




Series 1
Units




During
2009, the Series 1 Units achieved net realized and unrealized losses of
$63,826,229 from its trading operations (including foreign exchange transactions
and translations).  Brokerage fees of $63,541,505, administrative
expenses of $2,638,627 and custody fees of $190,741 were paid or
accrued.  The Trust allocated $31,726 in profit share to the New
Profits Memo Account for the benefit of the Managing Owner.  Interest
income of $9,851,269 partially offset the Series 1 expenses resulting in a net
loss of $120,377,559 and a 11.60% decrease in the Net Asset Value per Series 1
Unit.





Series 3 Units




During
2009, the Series 3 Units achieved net realized and unrealized gains of $71,427
from its trading operations (including foreign exchange transactions and
translations).  Brokerage fees of $1,790, administrative expenses of
$1,263, custody fees of $158 and management fees of $10,864 were paid or
accrued.  The Trust allocated $11,461 in profit share to the New
Profits Memo Account for the benefit of the Managing Owner.  Interest
income of $2,548 partially offset the Series 3 expenses resulting in a net gain
of $48,439 and a 3.43% increase in the Net Asset Value per Series 3
Unit.




An
analysis of the trading gain (loss) by sector is as follows:




Sector
                            
                            % Gain (Loss)Currencies
                            
                            
                            (0.67
                            )%Energies
                            
                            
                            (2.28
                            )%Grains
                            
                            
                            (0.71
                            )%Interest
      Rates
                            
                            
                            (2.14
                            )%Livestock
                            
                            
                            0.20
                            %Metals
                            
                            
                            (1.02
                            )%Softs
                            
                            
                            0.05
                            %Stock
      Indices
                            
                            
                            1.23
                            %Total
                            
                            
                            (5.34
                            )%





The Trust produced a loss during
2009.  Losses from trading energy, interest rate, metal, and grain
futures and dollar currency forwards outweighed gains from trading stock index
and livestock futures and non-U.S. dollar currency crosses.





From
January into early March, in the wake of the subprime crisis and subsequent
credit crunch and amidst concern about the leadership of U.S. economic policy
following the elections, economic activity was slowing precipitously
worldwide.  In this environment, stock indices and commodity prices
were falling. Also, as risk aversion remained widespread, a flight to safety and
quality produced a rising U.S. dollar, declining high yield currencies, and a
flood of funds into government fixed income instruments, and highly liquid
investments.  Broadly speaking, these conditions had persisted from
October 2008 into early March 2009.  Consequently, the Trusts’ short
stock index, short commodity, long U.S. dollar, and long interest rate futures
positions were profitable early in 2009.





Around
March 10, market participants’ attitudes seemed to change
abruptly.  First, equity prices rose.  Then commodity prices
moved upward.  Also, the U.S. dollar started to fall and longer term
interest rates rose.  The positions which had been profitable for so
long began to generate losses.  These positions were reduced gradually
as the Managing Owner’s models processed the new data.  However, since
trend following strategies accounted for over two-thirds of the program models
and since the average trade duration of trend strategies is over 6 months, it
was not until the summer when the positions were reduced, completely closed and,
in many instances, reversed.


15





During
the third quarter of 2009, the financial markets led the way to profitable
results.  Short positions in the U.S. dollar and a number of other
currencies versus higher yielding and commodity based currencies were
profitable.  Long stock index futures positions and long interest rate
futures positions added to the gains.  The weak U.S. dollar also led
to gains from long positions in precious metals.  In the agricultural
sector, short wheat and long sugar trades were profitable.




During
the fourth quarter of 2009, improving economic prospects, especially in the U.S.
and Asia led to gains from long stock index futures positions in the U.S., South
Africa, Norway and Asia-ex Japan.   This growth improvement
produced profits from long precious and industrial metals positions, but also
led to higher interest rates which brought losses from long interest rate
futures positions. Long positions in sugar and cotton were profitable, but as
grain prices rose, reversing earlier downtrends, long grain positions lost
money.




2008




During
2008, the Trust achieved net realized and unrealized gains of $210,229,240 from
its trading operations (including foreign exchange transactions and
translations).  Brokerage fees of $54,511,974, administrative expenses
of  $2,590,867 and custody fees of $160,055 were paid or
accrued.  The Trust allocated $30,185,853 in profit share to the New
Profits Memo Account for the benefit of the Managing Owner.  Interest
income of $21,273,709 partially offset the Trust’s expenses resulting in a net
gain of $144,054,200 and a 18.48% increase in the Net Asset Value per
Unit.  An analysis of the trading gain by sector is as
follows:




Sector
                            
                            % GainCurrencies
                            
                            
                            4.34
                            %Energies
                            
                            
                            6.43
                            %Grains
                            
                            
                            2.64
                            %Interest
      Rates
                            
                            
                            3.43
                            %Livestock
                            
                            
                            0.96
                            %Metals
                            
                            
                            2.92
                            %Softs
                            
                            
                            0.61
                            %Stock
      Indices
                            
                            
                            6.44
                            %Total
                            
                            
                            27.77
                            %





The Trust registered a strong gain
during 2008.  All major sectors—stock indices, currencies, interest
rates, energy, metals and agricultural commodities—contributed
profits.





The ongoing financial and economic
turmoil triggered by the U.S. housing and mortgage crises and subsequent credit
crunch exploded with international ramifications throughout the
year.  Central banks in the developed countries made more money
available against a broader range of collateral to a wider group of financial
firms than ever before.  In the U.S., increasing evidence of problems
for the real economy deriving from the financial market freeze-up prompted the
Federal Reserve to announce dramatic cuts in the federal funds and discount
rates, and to initiate a series of liquidity enhancing
programs.  Extraordinary events during the year
included  the U.S. Government’s seizures of  Fannie Mae and
Freddie Mac and bailout and substantial takeover of AIG Insurance, the
bankruptcy of Lehman Brothers, “breaking the buck” by a major institutional
money market fund, the rescues and sales of Bear Stearns, Washington Mutual,
Wachovia and Merrill Lynch in the U.S. and several major financial institutions
in Europe, the provision of preferred equity by the Treasury to troubled U.S.
financial institutions and the Treasury’s U.S. auto industry
bailout.


16





In this environment, worldwide
inflation and growth dynamics changed markedly during the
year.  Concerns about stagflation with the worst growth slowdown in
the U.S. characterized the first half of 2008, but were replaced during the
second half by worries about global deflation, recession and perhaps even
depression as the world’s financial system seized up and nearly ground to a
halt.  In response to margin calls, the loss of credit facilities, and
to avoid insolvency, market participants unwound risky trades, reduced leverage
massively, and sought liquidity and safety.  Against this background,
price trends in some sectors—equities and interest rates— though volatile, were
sustained for much of the year.  In other sectors—currencies and
commodities—trends reversed abruptly.





Short stock index futures positions
throughout most of Europe, the U.S., Japan and non-Japan Asia produced gains,
particularly during the second half of 2008.





Long positions in U.S., Australian, and
Canadian long term and short term interest rate futures were profitable, while
trading of European futures was somewhat unprofitable.





Foreign exchange rates were
volatile.  Early in the year the U.S. dollar was under persistent
pressure and short dollar trades were profitable.  Over the summer, as
the flight to safety commenced, these short trades lost money and dollar
positions were reversed to long trades.  These long dollar positions
produced gains over the last several months of 2008.  During the first
half of the year, carry trades—being long high interest rate currencies—were
profitable.  Later, however, as risky trades were unwound, these carry
trades produced losses and were reversed.  Near year-end these short
positions in high yield currencies were profitable.





Commodity prices overall exhibited
broad swings.  Energy prices experienced a strong upward thrust with
crude oil hitting successive new all time highs into early
July.  Thereafter, energy prices collapsed.  As a result,
long energy positions were very profitable in the January-June period, produced
losses and were reversed to short positions over the summer, and short energy
positions were profitable in the fourth quarter.  Returns from metals
trading were also volatile: strong gains from generally long positions in the
January-June period were offset by losses over the summer, which were followed
by strong gains from short industrial metals positions during the fourth
quarter.  Trading of agricultural commodities followed a similar
pattern.  Long positions at first produced profits, but then generated
losses as they were reversed to short positions which subsequently produced
profits.




2007




During
2007, the Trust achieved net realized and unrealized gains of $78,261,449 from
its trading operations (including foreign exchange transactions and
translations).  Brokerage fees of $38,279,891, administrative expenses
of  $1,878,041 and custody fees of $85,806 were paid or
accrued.  The Trust allocated $6,459,328 in profit share to the New
Profits Memo Account for the benefit of the Managing Owner.  Interest
income of $26,686,249 partially offset the Trust’s expenses resulting in a net
gain of $58,244,632 and a 11.26% increase in the Net Asset Value per
Unit.  An analysis of the trading 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
                            %


17


The Trust produced a gain in
2007.  Strong returns were obtained from trading currency forwards and
grain futures.  Solid profits were also attributable to interest rate,
metal, energy and stock index futures trading.  The only sector to
register a loss for the year was soft commodities.





During the first half of 2007, the
Trust’s positions, which are all driven by the Managing Owner’s technical
models, reflected several themes: solid global growth, high worldwide liquidity,
a gradual tightening of monetary policies worldwide, and a diminution 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 interest
rates, U.S. dollar trading, except against low interest rate currencies such as
the Japanese yen and Swiss franc, cross currency trading of lower interest rate
currencies and natural gas futures; mixed positions in softs and livestock;
moderately long positions in crude oil and petroleum products futures; and long
positions in high interest rate currencies, equity index futures, grain futures
and precious and industrial metal futures.





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





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





During the final four months of 2007,
many of the trends which had been disrupted by the market dislocations of August
reasserted themselves. In particular, short dollar positions, long energy
positions and long precious metal positions were all
profitable.  Interest rate trading was profitable largely because a
flight to quality and safety produced gains on new long positions, particularly
in U.S. Treasury and short-term futures.  In addition, a profitable
bull market in grains, which had arisen over the summer, continued and
accelerated. On the other hand, the expanding turmoil in financial markets
proved impervious to the efforts of Central Banks, leading to a sell-off in
equities that generated losses as the Trust’s long stock index positions were
being reduced and reversed.  Also, a continued unwinding of carry
trades lead to losses in cross currency trading.




Off-Balance Sheet
Arrangements




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




Contractual
Obligations




The Trust
does not enter into any contractual obligations or commercial commitments to
make future payments of a type that would be typical for an operating company or
that would affect its liquidity or capital resources.  The Trust’s
sole business is trading futures and forward currency contracts, both long
(contracts to buy) and short (contracts to sell).  All such contracts
are settled by offset, not delivery.  Substantially all such contacts
are for settlement within four months of the trade date and substantially all
such contracts are held by the Trust for less than four months before being
offset or rolled over into new contracts with similar maturities.  The
Trust’s Financial Statements, included as Exhibit 13.01 to this report, present
a Condensed Schedule of Investments setting forth net unrealized appreciation
(depreciation) of the Trust’s open future and forward currency contracts, both
long and short, at December 31, 2009.




18


Item
7A.  Quantitative and Qualitative
Disclosures About Market Risk




Introduction




Past
Results Are Not Necessarily Indicative of Future Performance




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




Market
movements result in 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, equity price levels, the
market value of financial instruments and contracts, the diversification effects
among the Trust’s open positions and the liquidity of the markets in which it
trades.




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




Value at
Risk is a measure of the maximum amount which the Trust could reasonably be
expected to lose in a given market sector.  However, the inherent
uncertainty of the Trust’s speculative trading and the recurrence in the markets
traded by the Trust of market movements far exceeding expectations could result
in actual trading or non-trading losses far beyond the indicated Value at Risk
or the Trust’s experience to date (i.e., “risk of
ruin”).  In light of the foregoing as well as the risks and
uncertainties intrinsic to all future projections, the inclusion of the
quantification included in this section should not be considered to constitute
any assurance or representation that the Trust’s losses in any market sector
will be limited to Value at Risk or by the Trust’s attempts to manage its market
risk.




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




Quantifying the Trust’s
Trading Value at Risk




Quantitative
Forward-Looking Statements




The
following quantitative disclosures regarding the Trust’s market risk exposures
contain “forward-looking statements” within the meaning of the safe harbor from
civil liability provided for such statements by the Private Securities
Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act
and Section 21E of the Securities Exchange Act of 1934 (the “Exchange
Act”)).  All quantitative disclosures in this section are deemed to be
forward-looking statements for purposes of the safe harbor, except for
statements of historical fact.




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




Exchange
maintenance margin requirements have been used by the Trust as the measure of
its Value at Risk.  Maintenance margin requirements are set by
exchanges to equal or exceed 95-99% of the maximum one day losses in the fair
value of any given contract incurred during the time period over which
historical price fluctuations are researched for purposes of establishing margin
levels.  The maintenance margin levels are established by exchanges
using historical price studies as well as an assessment of current market
volatility (including the implied volatility of the options on a given futures
contract) and economic fundamentals to provide a probabilistic estimate of the
maximum expected near-term one day price fluctuation.




19


The Trust
calculates Value at Risk for forward currency contracts that are not exchange
traded using exchange maintenance margin requirements for equivalent or similar
futures positions as the measure of Value at Risk.




In
quantifying the Trust’s Value at Risk, 100% positive correlation in the
different positions held in each market risk category has been
assumed.  Consequently, the margin requirements applicable to the open
contracts have simply been aggregated to determine each trading category’s
aggregate Value at Risk.  The diversification effects resulting from
the fact that the Trust’s positions are rarely, if ever, 100% positively
correlated have not been reflected.




The
Trust’s Trading Value at Risk in Different Market Sectors





The
following tables indicate the average, highest and lowest amounts of trading
Value at Risk associated with the Trust’s open positions by market category for
the fiscal years ended December 31, 2009 and 2008.  During fiscal year
2009 and 2008, the Trust’s average total capitalization was approximately $952.2
million and $802.4 million, respectively.




Fiscal
      Year 2009Market Sector
                    
                    Average
                      Value at Risk
                    
                    
                    %
      of Average
                      Capitalization
                    
                    
                    Highest
                      Value At Risk
                    
                    
                    Lowest
                      Value At RiskCurrencies
                    
                    $
                    22.8
                    
                    
                    
                    2.4
                    %
                    
                    $
                    34.9
                    
                    
                    $
                    12.7Energies
                    
                    $
                    9.4
                    
                    
                    
                    1.0
                    %
                    
                    $
                    13.5
                    
                    
                    $
                    4.8Grains
                    
                    $
                    4.8
                    
                    
                    
                    0.5
                    %
                    
                    $
                    5.9
                    
                    
                    $
                    3.8Interest
      Rates
                    
                    $
                    29.1
                    
                    
                    
                    3.0
                    %
                    
                    $
                    40.9
                    
                    
                    $
                    14.9Livestock
                    
                    $
                    1.2
                    
                    
                    
                    0.1
                    %
                    
                    $
                    1.3
                    
                    
                    $
                    1.0Metals
                    
                    $
                    8.8
                    
                    
                    
                    0.9
                    %
                    
                    $
                    11.8
                    
                    
                    $
                    4.2Softs
                    
                    $
                    4.6
                    
                    
                    
                    0.5
                    %
                    
                    $
                    6.8
                    
                    
                    $
                    3.5Stock
      Indices
                    
                    $
                    41.5
                    
                    
                    
                    4.4
                    %
                    
                    $
                    64.0
                    
                    
                    $
                    12.6Total
                    
                    $
                    122.2
                    
                    
                    
                    12.8
                    %




Average,
highest and lowest Value at Risk amounts relate to the quarter-end amounts
during the fiscal year.  Average Capitalization is the average of the
Trust’s capitalization at the end of each month during the fiscal years 2009 and
2008.  Dollar amounts represent millions of dollars.




Fiscal
      Year 2008Market Sector
                    
                    Average
                      Value at Risk
                    
                    
                    %
      of Average
                      Capitalization
                    
                    
                    Highest
                      Value At Risk
                    
                    
                    Lowest
                      Value At RiskCurrencies
                    
                    $
                    11.0
                    
                    
                    
                    1.4
                    %
                    
                    $
                    18.3
                    
                    
                    $
                    5.3Energies
                    
                    $
                    6.7
                    
                    
                    
                    0.8
                    %
                    
                    $
                    9.8
                    
                    
                    $
                    1.2Grains
                    
                    $
                    1.5
                    
                    
                    
                    0.2
                    %
                    
                    $
                    3.0
                    
                    
                    $
                    0.8Interest
      Rates
                    
                    $
                    6.4
                    
                    
                    
                    0.8
                    %
                    
                    $
                    7.6
                    
                    
                    $
                    4.8Livestock
                    
                    $
                    1.1
                    
                    
                    
                    0.1
                    %
                    
                    $
                    1.4
                    
                    
                    $
                    0.9Metals
                    
                    $
                    10.0
                    
                    
                    
                    1.2
                    %
                    
                    $
                    11.8
                    
                    
                    $
                    7.9Softs
                    
                    $
                    3.7
                    
                    
                    
                    0.5
                    %
                    
                    $
                    6.4
                    
                    
                    $
                    2.1Stock
      Indices
                    
                    $
                    12.8
                    
                    
                    
                    1.6
                    %
                    
                    $
                    25.9
                    
                    
                    $
                    6.4Total
                    
                    $
                    53.2
                    
                    
                    
                    6.6
                    %




20





Average,
highest and lowest Value at Risk amounts relate to the quarter-end amounts
during the fiscal year.  Average Capitalization is the average of the
Trust’s capitalization at the end of each month during the fiscal years 2009 and
2008.  Dollar amounts represent millions of dollars.




Material
Limitations on Value at Risk as an Assessment of Market Risk




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




Non-Trading
Risk




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




The Trust
also has non-trading cash flow risk as a result of holding a substantial portion
(approximately 90%) 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
management purposes.  Although the Managing Owner does not anticipate
that, even in the case of major interest rate movements, the Trust would sustain
a material mark-to-market loss on its securities positions, if short-term
interest rates decline so will the Trust’s cash management
income.  The Trust also maintains a portion (over 5%) of its assets in
cash and in a U.S. government securities and related instruments money market
fund.  These cash balances are also subject (as well as any market
risk they represent) to cash flow risk, which is not material.




Qualitative
Disclosures Regarding Primary Trading Risk Exposures




The
following qualitative disclosures regarding the Trust’s market risk exposures —
except for (i) those disclosures that are statements of historical fact and (ii)
the descriptions of how the Managing Owner manages the Trust’s primary market
risk exposures — constitute forward-looking statements within the meaning of
Section 27A of the Securities Act and Section 21E of the Exchange
Act.  The Trust’s primary market risk exposures as well as the
strategies used and to be used by the Managing Owner for managing such exposures
are subject to numerous uncertainties, contingencies and risks, any one of which
could cause the actual results of the Trust’s risk controls to differ materially
from the objectives of such strategies.  Government interventions,
defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and
many other factors could result in material losses as well as in material
changes to the risk exposures and the risk management strategies of the
Trust.  There can be no assurance that the Trust’s current market
exposure and/or risk management strategies will not change materially or that
any such strategies will be effective in either the short- or
long-term.  Investors must be prepared to lose all or substantially
all of their investment in the Trust.




21


The
following were the primary trading risk exposures of the Trust as of December
31, 2009, by market sector.




Financial
Instruments.  Interest rate movements directly affect the price
of the sovereign bond futures positions held by the Trust and indirectly the
value of its stock index and currency positions.  Interest rate
movements in one country as well as relative interest rate movements between
countries may materially impact the Trust’s profitability.  The
Trust’s primary interest rate exposure is to interest rate fluctuations in the
U.S. and other major industrialized, or Group of Seven (Canada, France, Germany,
Italy, Japan, United Kingdom and U.S., collectively, “G-7”)
countries.  However, the Trust also may take positions in futures
contracts on the government debt of other nations.  The Managing Owner
anticipates that G-7 interest rates, both long-term and short-term, will remain
a primary market exposure of the Trust for the foreseeable future.




Currencies.  Exchange
rate risk is a principal market exposure of the Trust.  The Trust’s
currency exposure is to exchange rate fluctuations, primarily fluctuations which
disrupt the historical pricing relationships between different currencies and
currency pairs.  The fluctuations are influenced by interest rate
changes as well as political and general economic conditions.  The
Trust trades in a large number of currencies, including cross-rates—e.g.,
positions between two currencies other than the U.S. dollar.




Stock
Indices.  The Trust’s equity exposure, through stock index
futures, is to equity price risk in the G-7 countries as well as other
countries.




Metals.  The
Trust trades precious and base metals.




Agricultural.  The
Trust’s primary commodities exposure is to agricultural price movements, which
are often directly affected by severe or unexpected weather
conditions.




Energy.  The
Trust’s primary energy market exposure is to gas and oil price movements, often
resulting from political developments in the Middle East and economic conditions
worldwide.  Energy prices are volatile and substantial profits and
losses have been and are expected to continue to be experienced in this
market.




Qualitative
Disclosures Regarding Non-Trading Risk Exposure




The
following were the only non-trading risk exposures of the Trust as of December
31, 2009.




Foreign Currency
Balances.  The Trust’s primary foreign currency balances are in
Australian Dollars, British Pounds, Canadian Dollars, Euros, Hong Kong Dollars,
Japanese Yen, Korean Won, Mexican Pesos, Swedish Kronas, Swiss Francs, Singapore
Dollars, South African Rand, Thai Baht and Taiwan Dollars.  The Trust
controls the non-trading risk of these balances by regularly converting these
balances back into U.S. dollars (no less frequently than twice a
month).




Securities
Positions.  The Trust’s only market exposure in instruments
held other than for trading is in its securities portfolio.  The Trust
holds only cash or a cash equivalent short-term U.S. government money 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 interest rates could cause immaterial mark-to-market
losses on the Trust’s securities, although substantially all of these short-term
instruments are held to maturity.




Qualitative
Disclosures Regarding Means of Managing Risk Exposure




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




22


The goal
of the Managing Owner’s research has been to develop and select a mix of systems
in each market and to allocate risk across a wide array of 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 Owner has developed hundreds of trading systems. These trading systems
generate buy or sell decisions in a particular market based on the direction of
price movements in the market.




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




When
arriving at the portfolio allocation, the Managing Owner seeks maximum
diversification subject to liquidity constraints.  The markets traded
and allocations are reviewed monthly, although changes may occur less
frequently.  The following factors are considered in constructing a
universe of markets to trade for each portfolio:  profitability,
correlation of market performance, liquidity of markets, professional judgment,
desired diversification and transaction costs.  Once the universe of
markets is established, the Managing Owner’s simulation and optimization
techniques help determine which markets to include in the
portfolio.  The current allocation to any market in the portfolio does
not exceed 2.5%.




In
attempting to assess market volatility as a means of monitoring and evaluating
risk, the Managing Owner uses its volatility overlay as a part of individual
market risk management. This system is designed to measure the risk in the
portfolio’s position in each market and signals a decrease in position size when
risk increases and an increase in position size when risk decreases. The
Managing Owner’s volatility overlay maintains overall portfolio risk and
distribution of risk across markets within designated ranges.  It is
applied to the systematic strategies described above.  A secondary
benefit of the volatility overlay can be timely profit
taking.  Because markets tend to become more volatile after a
profitable trend has been long underway, the volatility overlay often signals
position reductions before trend reversals.




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




Additional
money management principles applicable to the portfolio as a whole include:
(1) limiting the assets committed as margin or collateral, generally within
a range of 5% to 35% of an account’s net assets, though the amount may at any
time be substantially higher; (2) prohibiting pyramiding - that is, using
unrealized profits in a particular market as margin for additional positions
solely in the same market; and (3) changing the equity used for trading by
an account solely on a controlled periodic basis, not automatically due to an
increase in equity from trading profits.




Another
important risk management function is 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 in the portfolio and the proposed level of
leverage—over the past five or ten years to determine the worst case experienced
by the portfolio in the simulation period.




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


23


Item
      8.
            Financial Statements and Supplementary Data




Financial
statements required by this item, including the report of Deloitte & Touche
LLP for the fiscal years ended December 31, 2009, 2008 and 2007, are included as
Exhibit 13.01 to this report.




The
following summarized quarterly financial information presents the results of
operations for the three month periods ended March 31, June 30, September 30 and
December 31, 2009 and 2008.  This information has not been
audited.




Fourth
      Quarter
                    2009
                  
                  
                  Third
      Quarter
                    2009
                  
                  
                  Second
      Quarter
                    2009
                  
                  
                  First
      Quarter
                    2009Interest
      Income:
                  
                  $
                  502,161
                  
                  
                  $
                  1,660,987
                  
                  
                  $
                  3,670,612
                  
                  
                  $
                  4,132,391Net
      Realized and Unrealized Gains (Losses):
                  
                  
                  4,931,553
                  
                  
                  
                  42,368,678
                  
                  
                  
                  (93,241,729
                  )
                  
                  
                  (18,495,581
                  )Expenses*:
                  
                  
                  15,602,802
                  
                  
                  
                  15,980,704
                  
                  
                  
                  16,712,030
                  
                  
                  
                  18,188,353Net
      Income (Loss):
                  
                  
                  (10,169,088
                  )
                  
                  
                  28,048,961
                  
                  
                  
                  (106,283,147
                  )
                  
                  
                  (32,551,543
                  )Increase
      (Decrease) in Net Asset Value per Series 1 Unit
                  
                  
                  (14.77
                  )
                  
                  
                  36.56
                  
                  
                  
                  (137.28
                  )
                  
                  
                  (43.54
                  )Increase
      (Decrease) in Net Asset Value per Series 3 Unit
                  
                  
                  (0.13
                  )
                  
                  
                  40.66
                  
                  
                  
                  -
                  
                  
                  
                  -





Fourth
      Quarter
                    2008
                  
                  
                  Third
      Quarter
                    2008
                  
                  
                  Second
      Quarter
                    2008
                  
                  
                  First
      Quarter
                    2008Interest
      Income:
                  
                  $
                  4,124,569
                  
                  
                  $
                  5,038,733
                  
                  
                  $
                  5,527,002
                  
                  
                  $
                  6,583,405Net
      Realized and Unrealized Gains (Losses):
                  
                  
                  138,723,118
                  
                  
                  
                  (37,772,182
                  )
                  
                  
                  63,890,524
                  
                  
                  
                  45,387,780Expenses*:
                  
                  
                  41,849,399
                  
                  
                  
                  3,778,427
                  
                  
                  
                  23,121,441
                  
                  
                  
                  18,699,482Net
      Income (Loss):
                  
                  
                  100,998,288
                  
                  
                  
                  (36,511,876
                  )
                  
                  
                  46,296,085
                  
                  
                  
                  33,271,703Increase
      (Decrease) in Net Asset Value per Series 1 Unit
                  
                  
                  140.45
                  
                  
                  
                  (60.25
                  )
                  
                  
                  74.86
                  
                  
                  
                  58.77





*  Expenses
are inclusive of accruals and reversals of accruals of profit share to the
Managing Owner.




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




Item
      9.
            Changes in and Disagreements with Accountants
      on Accounting and Financial Disclosure





None.




Item
      9A.
            Controls and
      Procedures




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




24


Management’s
Annual Report on Internal Control over Financial Reporting




The
Managing Owner is responsible for establishing and maintaining adequate internal
control over the Trust’s financial reporting. Internal control over financial
reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act as
a process designed by, or under the supervision of, a company’s principal
executive and principal financial officers and effected by a company’s board of
directors, management and other personnel to provide reasonable assurance
regarding the reliability of financial reporting and the preparation of
financial statements for external purposes in accordance with U.S. GAAP. The
Managing Owner’s internal control over financial reporting includes those
policies and procedures that:




•  
pertain to the maintenance of records that, in reasonable detail, accurately and
fairly reflect the transactions and dispositions of the Trust’s
assets;




•  
provide reasonable assurance that transactions are recorded as necessary to
permit preparation of the Trust’s financial statements in accordance with U.S.
GAAP, and that the Trust’s receipts and expenditures are being made only in
accordance with authorizations of the Managing Owner’s management and directors;
and




•  
provide reasonable assurance regarding prevention or timely detection of
unauthorized acquisition, use or disposition of the Trust’s assets that could
have a material effect on the Trust’s financial statements.




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




The
Managing Owner assessed the effectiveness of its internal control over financial
reporting with respect to the Trust as of December 31, 2009.  In
making this assessment, management used the criteria set forth by the Committee
of Sponsoring Organizations of the Treadway Commission (COSO) in Internal
Control — Integrated Framework.  Based on its assessment, management has
concluded that, as of December 31, 2009, the Managing Owner’s internal control
over financial reporting with respect to the Trust is effective based on those
criteria.




This
annual report does not include an attestation report of the Trust’s independent
registered public accounting firm regarding control over financial
reporting.  The Managing Owner’s report was not subject to attestation by
the Trust’s registered public accounting firm pursuant to rules of the SEC that
temporarily permit the Trust to only provide the Managing Owner’s report in this
Annual Report on Form 10-K.




Changes
in Internal Control over Financial Reporting




Section 404 of the Sarbanes-Oxley Act
of 2002 requires the Managing Owner to evaluate annually the effectiveness of
its internal controls over financial reporting as of the end of each fiscal
year, and to include a management report assessing the effectiveness of its
internal control over financial reporting in all annual reports. There were no
changes in the Trust’s internal control over financial reporting during the
quarter ended December 31, 2009 that have materially affected, or are reasonably
likely to materially affect, our internal control over financial
reporting.




Item
9B.  Other
Information




None.




25


PART
III




Item
      10.
            Directors,
      Executive Officers and Corporate
    Governance




(a,
b)  Identification of Directors
and Executive Officers




The Trust
has no directors or executive officers.  The Trust is controlled and
managed by the Managing Owner under a delegation of authority by the
Trustee.




Millburn
Ridgefield Corporation, the Managing Owner, is a Delaware corporation organized
in May 1982 to manage discretionary accounts in futures and forward
markets.  It is the corporate successor to a futures trading and
advisory organization which has been continuously managing assets in the
currency and futures markets using quantitative, systematic techniques since
1971.




The
principals and senior officers of the Managing Owner as of December 31, 2009 are
as follows:




Harvey
Beker, age 56.  Mr. Beker is Co-Chief Executive Officer and
Co-Chairman of the Managing Owner and The Millburn Corporation.  He
received a Bachelor of Arts degree in economics from New York University (“NYU”)
in 1974 and a Master of Business Administration degree in finance from NYU in
1975.  From June 1975 to July 1977, Mr. Beker was employed by the
investment bank Loeb Rhoades, Inc. where he developed and traded silver
arbitrage strategies.  From July 1977 to June 1978, Mr. Beker was a
futures trader at the commodities and brokerage firm of Clayton Brokerage Co. of
St. Louis.  Mr. Beker has been employed by The Millburn Corporation
since June 1978 and initially served as the Director of Operations for its
affiliate, Millburn Partners.  During his tenure at the Managing Owner
(including its affiliates, Millburn Partners and CommInVest) he has been
instrumental in the development of the research, trading and operations
areas.  Mr. Beker became a principal of the firm in June 1982, and a
partner in the predecessor to ShareInVest in April 1982.  Mr. Beker
became registered as an Associated Person of the Managing Owner effective
November 25, 1986.  Additionally, he became listed as a principal and
registered as an associated person of The Millburn Corporation effective
February 8, 1984 and May 23, 1989, respectively.  Mr. Beker was an
associated person and listed principal of ShareInVest from February 20, 1986
until February 25, 2007.




Gregg R.
Buckbinder, age 51.  Mr. Buckbinder is Senior Vice-President and Chief
Operating Officer of the Managing Owner and The Millburn
Corporation.  He joined the Managing Owner and The Millburn
Corporation in January 1998 from Odyssey Partners, L.P. where he was responsible
for the operation, administration and accounting of the firm’s merchant banking
and managed account businesses from July 1990 through December
1997.  Mr. Buckbinder was employed by Tucker Anthony, a securities
broker and dealer, from June 1985 to July 1990 where he was First Vice President
and Controller, and from August 1983 to June 1984 where he designed and
implemented various operations and accounting systems.  He was with
the public accounting firm of Ernst & Whinney from June 1984 to June 1985 as
a manager in the tax department and from September 1980 to August 1983 as a
senior auditor, with an emphasis on clients in the financial services
business.  Mr. Buckbinder graduated cum laude from Pace
University (“Pace”) in 1980 with a B.B.A. in accounting and received an M.S. in
taxation from Pace in 1988.  He is a Certified Public Accountant and a
member of the American Institute of Certified Public Accountants.  Mr.
Buckbinder became listed as a principal of the Managing Owner effective February
5, 1999.  He became listed as a principal of The Millburn Corporation
effective March 23, 1998.  Mr. Buckbinder also became a partner in
ShareInVest in January 2000.  Mr. Buckbinder was a listed principal of
ShareInVest from February 28, 2001 until February 25, 2007.




George E.
Crapple, age 65.  Mr. Crapple is Co-Chief Executive Officer and
Co-Chairman of the Managing Owner and The Millburn Corporation.  In
1966 he graduated with honors from the University of Wisconsin where his field
of concentration was economics and he was elected to Phi Beta
Kappa.  In 1969 he graduated from Harvard Law School, magna cum laude, where he was
a member of the Harvard Law Review.  He was a lawyer with the law firm
of Sidley & Austin, Chicago, Illinois, from 1969 until April 1, 1983, as a
partner since 1975, specializing in commodities, securities, corporate and tax
law.  He was first associated with the Managing Owner in 1976 and
joined the Managing Owner and The Millburn Corporation (including its
affiliates, Millburn Partners and CommInVest) on April 1, 1983 on a full-time
basis.  He became a partner in ShareInVest in April
1984.  Mr. Crapple is a Director, Member of the Executive Committee,
Chairman of the Appeals Committee and a former Chairman of the Eastern Regional
Business Conduct Committee of the NFA, past Chairman of the Managed Funds
Association, a member of the Global Markets Advisory Committee of the CFTC and a
member of the board of directors of the Futures Industry Association
(“FIA”).  Mr. Crapple became listed as a principal and registered as
an associated person of the Managing Owner effective September 13, 1984 and
April 2, 1988, respectively.  Additionally, he became listed as a
principal and registered as an associated person of The Millburn Corporation
effective April 9, 1981 and May 23, 1989, respectively.  He was also
an associated person and listed principal of ShareInVest from February 20, 1986
until February 25, 2007.




26


Steven M.
Felsenthal, age 40.Mr.
Felsenthal is General Counsel and Chief Compliance Officer of the Managing Owner
and The Millburn Corporation.  Prior to joining the Managing Owner and
its affiliates in January 2004, Mr. Felsenthal was a senior associate in the
investment management group at the law firm of Schulte Roth & Zabel LLP
(September 1999-January 2004) where he represented and advised hedge funds,
registered investment companies, investment advisers, broker-dealers and banks
in connection with all facets of their asset management businesses, and a member
of the tax department of the law firm of Kramer, Levin, Naftalis & Frankel
LLP (October 1996-September 1999).  He graduatedcum laude from Yeshiva
University in 1991 with a B.A. degree in political science, and order of the coif from
Fordham University School of Law in 1996, where he also served as an editor of
the Fordham Environmental Law Journal.  Mr. Felsenthal received an
LL.M degree in taxation from NYU School of Law in 2001 and has written and been
quoted in numerous published articles, and frequently speaks at conferences, on
various topics related to investment management.  Mr. Felsenthal is a
member of the New York State Bar, Chairman of the Managed Funds Association
CPO/CTA Advisory Committee, a member of the Editorial Board of the Journal of
Securities Law, Regulation and Compliance and a faculty member of the Regulatory
Compliance Association’s Chief Compliance Officer University.  Mr.
Felsenthal became listed as a principal of the Managing Owner and The Millburn
Corporation effective June 24, 2004.  Mr. Felsenthal also served as
General Counsel and Chief Compliance Officer of ShareInVest.




Mark B.
Fitzsimmons, age 62.  Mr. Fitzsimmons is a Senior Vice-President
of the Managing Owner and The Millburn Corporation.  His
responsibilities include both business development and investment
strategy.  He joined the Managing Owner and its affiliates in January
1990 from the brokerage firm of Morgan Stanley & Co. Incorporated where he
was a Principal and Manager of institutional foreign exchange sales and was
involved in strategic trading for the firm from October 1987 until January
1990.  From September 1977 to October 1987 he was with the financial
institution Chemical Bank New York Corporation (“Chemical”) first as a Senior
Economist in Chemical’s Foreign Exchange Advisory Service and later as a
Vice-President and Manager of Chemical’s Corporate Trading
Group.  While at Chemical he also traded both foreign exchange and
fixed income products.  From September 1973 to September 1977 Mr.
Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing his
time between the International Research Department and the Foreign Exchange
Department.  He graduated summa cum laude from the
University of Bridgeport, Connecticut in 1970 with a B.S. degree in
economics.  His graduate work was done at the University of Virginia,
where he received a certificate of candidacy for a Ph.D. in economics in
1973.  Mr. Fitzsimmons became listed as a principal and registered as
an associated person of the Managing Owner effective July 2, 1993, and April 15,
2009, respectively.  He became listed as a principal and registered as
an associated person of The Millburn Corporation effective June 20, 1995 and
October 12, 1992, respectively.  Mr. Fitzsimmons was a partner in
ShareInVest beginning in January 2000.  Mr. Fitzsimmons was a listed
principal of ShareInVest from May 19, 1999 until February 25, 2007.




Barry
Goodman, age 52.  Mr. Goodman is Executive Vice-President, Director of
Trading and a member of the Research Committee of the Managing Owner and The
Millburn Corporation.  Mr. Goodman joined the Managing Owner and The
Millburn Corporation (including its affiliate, Millburn Partners) in November
1982 as Assistant Director of Trading.  His responsibilities include
overseeing the firm’s trading operations and managing its trading relationships,
as well as the design and implementation of trading systems.  From
September 1980 through October 1982 he was a commodity trader at the brokerage
firm of E. F. Hutton & Co., Inc. (“E.F. Hutton”).  At E.F. Hutton,
he also designed and maintained various technical indicators and coordinated
research projects pertaining to futures markets.  Mr. Goodman
graduated magna cum
laude from Harpur College of the State University of New York in 1979
with a B.A. in economics.  Mr. Goodman became listed as a principal
and registered as an associated person of the Managing Owner effective December
19, 1991 and May 23, 1989, respectively.  He also became listed as a
principal and registered as an associated person of The Millburn Corporation
effective June 20, 1995 and April 5, 1989, respectively.  He became a
partner in ShareInVest in January 1994. Mr. Goodman was a listed principal of
ShareInVest from May 19, 1999 until February 25, 2007.




27


Dennis B.
Newton, age 58. Mr.
Newton is a Senior Vice-President of the Managing Owner and The Millburn
Corporation.  His primary responsibilities are in administration 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., a registered commodity pool operator from April 1990 to
August 1991 and President of its affiliated introducing broker, Phoenix Futures
Inc. (“Phoenix”), from March 1990 to June 1991.  Mr. Newton was listed
as a principal of Phoenix Asset Management, Inc. and Phoenix beginning in June
1990 and April 1990, respectively, and, although he left the firms in August
1991 and June 1991, respectively, his registration as a principal was not
withdrawn until January 1992 and November 1992, respectively.  Mr.
Newton was registered as an associated person of Phoenix from May 1990 until
June 1991 and of Phoenix Asset Management, Inc. from May 1990 until January 1992
(although he left the firm prior to that date, in August 1991).  Prior
to his employment with Phoenix, Mr. Newton was a Director of Managed Futures
with the brokerage firm of Prudential-Bache Securities Inc. (“Prudential-Bache”)
from October 1987 to March 1990, and was associated with its affiliated futures
commission merchant (“FCM”) entity, Prudential Securities Futures Management,
Inc.  Until March 1990, he was registered as an associated person with
Prudential Equity Group LLC (beginning in October 1987), and was listed as a
principal of the commodity pool operator Seaport Futures Management, Inc.
(“Seaport”) (beginning in January 1989) and Prudential Securities Futures
Management, Inc. (beginning in June 1989).  Mr. Newton was a Director
of Seaport, and his responsibilities at Seaport, Prudential-Bache, Prudential
Securities Futures Management, Inc. and Prudential Equity Group LLC included the
organization and marketing of public commodity pools.  Mr. Newton
joined Prudential-Bache from Heinold Asset Management,
Inc.  (“Heinold”), and its affiliated FCM, Heinold Commodities Inc.,
where he was a member of the senior management team from October 1974 to October
1987.  Heinold was a pioneer and one of the largest sponsors of funds
utilizing futures and currency forward trading.  Mr. Newton was
registered as an associated person (March 1981 – October 1987) of Heinold
Commodities Inc.  Mr. Newton was registered as an associated person of
Heinold beginning in January 1986 and was listed as a principal of Heinold
beginning in February 1986.  Although Mr. Newton left Heinold in
October 1987, his registration as an associated person and his listing as a
principal were not withdrawn until November 1987.  Mr. Newton joined
the Managing Owner as an associated person in May 1991, and then joined the
Managing Owner and its affiliates on a full-time basis in September
1991.  Mr. Newton became listed as a principal and registered as an
associated person and branch office manager of the Managing Owner effective May
14, 1997, May 30, 1991 and December 16, 1991, respectively.  He also
became listed as a principal of The Millburn Corporation effective May 5,
2004.




Grant N.
Smith, age 58.  Mr. Smith is Executive Vice-President and Co-Director
of Research of the Managing Owner and The Millburn Corporation.  He is
responsible for the design, testing and implementation of quantitative trading
strategies, as well as for planning and overseeing the computerized
decision-support systems of the firm.  He received 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 the computer science field and participated in various
projects relating to database management.  He joined the predecessor
entity to The Millburn Corporation in June 1975, and has been continuously
associated with the Managing Owner, The Millburn Corporation and their
affiliates since that time.  Mr. Smith became listed as a principal
and registered as an associated person of the Managing Owner effective December
19, 1991 and April 15, 2009, respectively.  He became listed as a
principal and registered as an associated person of The Millburn Corporation
effective June 20, 1995 and May 21, 1992, respectively.  Mr. Smith
also became a partner in ShareInVest in January 1994.  Mr. Smith was a
listed principal of ShareInVest from May 19, 1999 until February 25,
2007.




Tod A.
Tanis, age 55.  Mr. Tanis is a Vice President, Principal Accounting
Officer and Director of Operations of the Managing Owner and The Millburn
Corporation.  He is responsible for overseeing operations and
accounting for the firm’s commodity pools.  He graduated from Grove
City College in May 1976 with a B.A. in accounting and joined the Managing Owner
and The Millburn Corporation in May 1983.  Prior to joining the
Managing Owner and its affiliates, he was with the brokerage firm of E.F.
Hutton, where he was a Manager from December 1982 to April 1983; a Supervisor
from August 1982 to December 1982; an International Accountant from April 1979
to August 1982; and a staff accountant from June 1978 to April
1979.  As a Manager at E.F. Hutton, he was responsible for all
internal and external commodity reporting.  Mr. Tanis also served as a
Junior Accountant and then International Staff Accountant with the brokerage
firm of Merrill Lynch & Company from September 1976 to May
1978.  Mr. Tanis became listed as a principal of the Managing Owner
and The Millburn Corporation effective July 14, 2004.




28


(c)   Identification of Certain
Significant Employees




None.




(d)   Family
Relationships




None.




(e)   Business
Experience




See Item
10 (a, b) above.




(f)   Involvement in Certain Legal
Proceedings




None.




(g)   Code of
Ethics




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




(h)   Audit Committee Financial
Expert




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




Item
      11.
            Executive Compensation




The Trust
has no directors, officers or employees.  None of the directors,
officers or employees of the Managing Owner receive compensation from the
Trust.  The Managing Owner makes all trading decisions on behalf of
the Trust.  The Managing Owner receives monthly brokerage commissions
of 0.583 of 1% of the Trust’s Net Assets attributable to Series 1 Units (which
is reduced to 0.541 of 1%, 0.5 of 1% or 0.458 of 1% of Net Assets for Series 1
Unitholders who invest amounts of $100,000, $500,000 or $1,000,000 or more,
respectively, in the Trust and to 0.33 of 1% of Unitholders who invested through
selling agent fee based accounts) and an annual profit share of 20% of any new
trading profits (net of brokerage commissions and administrative expenses and
excluding interest income).  The Managing Owner receives a monthly
management fee of 0.083 of 2% of the Trust’s Net Assets attributable to Series 2
and Series 3 Units.  The Managing Owner also receives a Series 2/3
profit share equal to 20% of any cumulative new trading profit of the Series 2
and Series 3 Units in the aggregate, determined as of the end of each calendar
year.  The annual Series 2/3 profit share is calculated net of
management fees, execution and clearing costs, custodial fees, and ongoing
offering and administrative expenses and excluding interest income.




Item
      12.
            Security Ownership of Certain Beneficial Owners
      and Management and Related Stockholder
  Matters





(a)   Security Ownership of Certain Beneficial Owners




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


29


(b)   Security Ownership of Management




Under the
terms of the Trust Agreement, the Trust’s affairs are managed by the Managing
Owner, which has discretionary authority over the Trust’s
trading.  The Managing Owner’s managing owner interest was valued at
$10,937,574 as of December 31, 2009, 1.24% of the Trusts’ total
capital.




(c)   Changes in Control




None.




(d)   Securities Authorized for
Issuance Under Equity Compensation Plans




None.




Item
13.   Certain Relationships and Related Transactions,
and Director Independence




See “Item
11.  Executive Compensation”
and “Item 12.  Security Ownership of
Certain Beneficial Owners and Management and Related Stockholder
Matters.”  The Trust allocated to the Managing Owner
$63,564,586 in brokerage fees, $10,864 in management fees and allocated $43,187
in profit share to the New Profits Memo Account for the year
ended  December 31, 2009.  The Managing Owner’s interest
experienced a loss of $625,697 for the year ended December 31,
2009.  The Managing Owner has paid certain administrative expenses to
third-parties on behalf of the Trust, related to legal, accounting, auditing,
printing, postage and similar administrative expenses, and has been or will be
reimbursed without interest by the Trust.  At December 31, 2009, the
Trust owed the Managing Owner redemption penalty payable of
$5,492.  The Trust is prohibited from making any loans.




Item
14.   Principal Accountant Fees
and Services




(1)           Audit
Fees




The
aggregate fees for professional services rendered by Deloitte & Touche LLP
in connection with their audit of the Trust’s financial statements and reviews
of the financial statements included in the quarterly reports on Form 10-Q and
in connection with the statutory and regulatory filings for the years ended
December 31, 2009 and 2008 were approximately $145,000 and $140,000,
respectively.




(2)           Audit-Related
Fees




The
aggregate fees rendered by Deloitte & Touche LLP for internal control
consulting services for the benefit of the Trust for the years ended December
31, 2009 and 2008 were approximately $39,748 and $0, respectively.




(3)           Tax Fees




The
aggregate fees for professional services rendered by Deloitte & Touche LLP
for tax compliance, tax advice and tax planning services for the benefit of the
Trust for the years ended December 31, 2009 and 2008 were approximately $0 and
$92,100, respectively.




(4)           All Other
Fees




There
were no other fees for the years ended December 31, 2009 and 2008.




(5)           Pre-Approval
Policies




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




30




PART
IV




Item
15.   Exhibits
and Financial Statement Schedules





(a)(1)   Financial Statements




The
following are included with the 2009 Annual Report to Security Holders, a copy
of which is filed herewith as Exhibit 13.01.




Affirmation
of Millburn Ridgefield Corporation


Report of
Independent Registered Public Accounting Firm


Statements
of Financial Condition


Condensed
Schedules of Investments


Statements
of Operations


Statements
of Changes in Trust Capital


Statements
of Financial Highlights


Notes to
Financial Statements




(a)(2)   Financial Statement Schedules




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




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




The
following exhibits are included herewith.




Designation
            Description




13.01
            2009
      Annual Report to Security Holders




31.1
            Rule
      13a-14(a)/15d-14(a) Certification of Principal Executive
      Officer




31.2
            Rule
      13a-14(a)/15d-14(a) Certification of Principal Executive
      Officer




31.3
            Rule
      13a-14(a)/15d-14(a) Certification of Principal Financial
      Officer




32.1
            Section
      1350 Certification of Principal Executive
  Officer




32.2
            Section
      1350 Certification of Principal Executive
  Officer




32.3
            Section
      1350 Certification of Principal Financial
  Officer




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




3.01
            Certificate
      of Trust of Registrant.




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




10.01
            Form
      of Customer Agreement with Deutsche Bank Securities
  Inc.




31




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 exhibits are incorporated by reference from the exhibits of the same
number and description filed with Amendment No.1 to the Trust’s Registration
Statement (File No. 333-155651) filed June 4, 2009 on Form S-1 under the
Securities Act of 1933.




3.03
            Form
      of Fourth Amended and Restated Declaration of Trust and Trust Agreement of
      Registrant




10.01
            Form
      of Subscription Agreement and Power of
Attorney




10.02
            Form
      of Services Agreement


32


SIGNATURES
  Pursuant
to the requirements of Section 13 or 15(d) of the Securities Exchange Act
of 1934, the Registrant has duly caused this report to be signed on its behalf
by the undersigned, thereunto duly authorized, on the 31st day of March,
2010.
  GLOBAL
      MACRO TRUSTBy:
                Millburn
      Ridgefield Corporation,Managing
      OwnerBy:
                /s/ Harvey BekerHarvey
      BekerCo-Chief
      Executive Officer
  Pursuant
to the requirements of the Securities Exchange Act of 1934, this report has been
signed below by the following persons on behalf of the Managing Owner of the
Registrant in the capacities and on the date indicated.
  Title withSignature
                
                Managing Owner
                
                Date/s/ Harvey Beker
                
                Co-Chief
      Executive
                
                March
      31, 2010Harvey
      Beker
                
                Officer
      and Director(Principal
      Executive Officer)/s/ George E. Crapple
                
                Co-Chief
      Executive
                
                March
      31, 2010George
      E. Crapple
                
                Officer
      and Director(Principal
      Executive Officer)/s/ Gregg Buckbinder
                
                Chief
      Financial and Operating Officer
                
                March
      31, 2010Gregg
      Buckbinder
                
                (Principal
      Financial Officer)/s/ Tod A. Tanis
                
                Vice
      President
                
                March
      31, 2010Tod
      A. Tanis
                
                (Principal
      Accounting Officer)
  (Being
the principal executive officers, the principal financial officer and principal
accounting officer, and a majority of the directors of Millburn Ridgefield
Corporation)
  33
  EXHIBIT
INDEX
 
 The
following exhibits are included herewith.
  Designation
                  
                  Description13.01
                  
                  2009
      Annual Report to Security Holders31.1
                  
                  Rule
      13a-14(a)/15d-14(a) Certification of Principal Executive
      Officer31.2
                  
                  Rule
      13a-14(a)/15d-14(a) Certification of Principal Executive
      Officer31.3
                  
                  Rule
      13a-14(a)/15d-14(a) Certification of Principal Financial
      Officer32.1
                  
                  Section
      1350 Certification of Principal Executive Officer32.2
                  
                  Section
      1350 Certification of Principal Executive Officer32.3
                  
                  Section
      1350 Certification of Principal Financial
  Officer
  The
following exhibit is incorporated by reference from the exhibit of the same
number and description filed with the Trust’s Registration Statement (File No.
333-67072) filed on August 8, 2001 on Form S-1 under the Securities Act of
1933.
  3.01
                  Certificate
      of Trust of Registrant.
  The
following exhibits are incorporated by reference from the exhibit of the same
number and description filed with the Trust’s Annual Report on March 31, 2003 on
Form 10-K under the Securities Exchange Act of 1934.
  10.01
                Form
      of Customer Agreement with Deutsche Bank Securities
Inc.10.02
                Form
      of Foreign Exchange and Options Master Agreements with Morgan Stanley
      & Co. Incorporated and Morgan Stanley Capital Group Inc. (with
      schedules).
  The
following exhibits are incorporated by reference from the exhibits of the same
number and description filed with Amendment No.1 to the Trust’s Registration
Statement (File No. 333-155651) filed June 4, 2009 on Form S-1 under the
Securities Act of 1933.
  3.03
                Form
      of Fourth Amended and Restated Declaration of Trust and Trust Agreement of
      Registrant10.01
                Form
      of Subscription Agreement and Power of Attorney10.02
                Form
      of Services Agreement