**Exhibit 13.01**

 

***Global Macro Trust***

 

*Financial Statements for the*

*Years Ended December 31, 2005, 2004 and2003 and*

*Report of Independent Registered PublicAccounting Firm*

 

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**GLOBAL MACRO TRUST**

** **

**TABLEOF CONTENTS**

** **
| ** **                                                                                        | **Page**   |
|---------------------------------------------------------------------------------------------------|------------|
| ** **                                                                                        | ** ** |
| AFFIRMATION OF MILLBURN  RIDGEFIELD CORPORATION                                                   |       |
|                                                                                              |       |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                          | 1          |
|                                                                                              |       |
| FINANCIAL STATEMENTS:                                                                             |       |
|                                                                                              |       |
| Statements of Financial Condition at December 31,  2005 and 2004                             | 2          |
|                                                                                              |       |
| Condensed Schedules of Investments at December 31,  2005 and 2004                            | 3–6   |
|                                                                                              |       |
| Statements of Operations for the Years Ended December 31,  2005, 2004 and 2003               | 7          |
|                                                                                              |       |
| Statements of Changes in Trust Capital for the Years  Ended December 31, 2005, 2004 and 2003 | 8          |
|                                                                                              |       |
| Statements of Financial Highlights for the Years  Ended December 31, 2005, 2004 and 2003     | 9          |
|                                                                                              |       |
| Notes to Financial Statements for the Years Ended December 31,  2005, 2004 and 2003          | 10–15 |

 

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**AFFIRMATION OF MILLBURNRIDGEFIELD CORPORATION**

** **

In compliance with the Commodity Futures TradingCommission’s regulations, I hereby affirm that to the best of my knowledge andbelief, the information contained in the statements of financial condition ofGlobal Macro Trust at December 31, 2005 and 2004, including the condensedschedules of investments, and the related statements of operations, changes intrust capital and financial highlights for the years ended December 31,2005, 2004 and 2003 are complete and accurate.

 

 

George E. Crapple, Co-Chief Executive OfficerMillburn Ridgefield CorporationManaging Owner of Global Macro Trust

 

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**REPORT OF INDEPENDENTREGISTERED PUBLIC ACCOUNTING FIRM**

** **

To the Unitholders ofGlobal Macro Trust

 

We have audited the accompanying statements offinancial condition of Global Macro Trust (the “Trust”) as of December 31,2005 and 2004, including the condensed schedules of investments, and therelated statements of operations, changes in trust capital and financialhighlights for the years then ended. These financial statements and financialhighlights are the responsibility of the Trust’s management. Our responsibilityis to express an opinion on these financial statements and financial highlightsbased on our audit. The financial statements and financial highlights for theyear ended December 31, 2003 were audited by other auditors whose reportdated February 17, 2004 expressed an unqualified opinion on thosestatements.

 

We conducted our audit in accordance with thestandards of the Public Company Accounting Oversight Board (United States).Those standards require that we plan and perform the audit to obtain reasonableassurance about whether the financial statements and financial highlights arefree of material misstatement. The Trust is not required to have, nor were weengaged to perform, an audit of its internal control over financial reporting.Our audits included consideration of internal control over financial reportingas a basis for designing audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on theeffectiveness of the Trust’s internal control over financial reporting. Accordingly,we express no such opinion. An audit also includes examining, on a test basis,evidence supporting the amounts and disclosures in the financial statements andfinancial highlights, assessing the accounting principles used and significantestimates made by management, as well as evaluating the overall financialstatement presentation. We believe that our audits provide a reasonable basisfor our opinion.

 

In our opinion, the financial statements and financialhighlights referred to above present fairly, in all material respects, thefinancial position of Global Macro Trust at December 31, 2005 and 2004,and the results of its operations, changes in trust capital and financialhighlights for the years then ended in conformity with accounting principlesgenerally accepted in the United States of America.

 

 

Deloitte & Touche LLP

New York, New York

February 27, 2006

 

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**GLOBALMACRO TRUST**

 

**STATEMENTS OF FINANCIAL CONDITION**

**AT DECEMBER 31,2005 AND 2004**

 
| ** **                                                                                              | ** ** | **2005**    | ** **  | **2004**    | ** ** |
|---------------------------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
|                                                                                                    |       |        |        |        |       |
| **ASSETS**                                                                                              |       |        |        |        |       |
| EQUITY IN TRADING ACCOUNTS:                                                                             |       |        |        |        |       |
| Investments in U.S. Treasury notes—at market value  (amortized cost $148,720,494 and $93,673,900)  |       | $           | 148,402,881 |        | $          | 93,585,656 |   |
| Net unrealized appreciation/depreciation on open  futures and forward currency contracts                |       | (3,170,318  | )           | 8,976,242   |       |
| Due from brokers                                                                                        |       | 10,081,674  |        | 14,586,101  |       |
| Cash denominated in foreign currencies (cost  $6,094,580 and $3,973,168)                                |       | 6,003,852   |        | 4,047,040   |       |
|                                                                                                    |       |        |        |        |       |
| Total equity in trading accounts                                                                        |       | 161,318,089 |        | 121,195,039 |       |
|                                                                                                    |       |        |        |        |       |
| INVESTMENTS IN U.S. TREASURY NOTES—at market value  (amortized cost $236,464,681 and $259,131,416) |       | 236,056,278 |        | 258,828,719 |       |
|                                                                                                    |       |        |        |        |       |
| CASH AND CASH EQUIVALENTS                                                                               |       | 24,917,162  |        | 33,354,499  |       |
|                                                                                                    |       |        |        |        |       |
| ACCRUED INTEREST RECEIVABLE                                                                             |       | 1,610,838   |        | 925,585     |       |
|                                                                                                    |       |        |        |        |       |
| OTHER ASSETS                                                                                            |       | —      |        | 12,994      |       |
|                                                                                                    |       |        |        |        |       |
| TOTAL                                                                                                   |       | $           | 423,902,367 |        | $          | 414,316,836 |   |
|                                                                                                    |       |        |        |        |       |
| **LIABILITIES AND TRUST CAPITAL**                                                                       |       |        |        |        |       |
|                                                                                                    |       |        |        |        |       |
| LIABILITIES:                                                                                            |       |        |        |        |       |
| Subscriptions from Unitholders received in advance                                                      |       | $           | 4,677,687   |        | $          | 12,831,913 |   |
| Due to Managing Owner                                                                                   |       | 91,888      |        | 105,884     |       |
| Accrued brokerage fees                                                                                  |       | 2,255,199   |        | 2,115,155   |       |
| Redemptions payable to Unitholders                                                                      |       | 7,942,834   |        | 2,177,732   |       |
| Accrued expenses                                                                                        |       | 94,848      |        | —      |       |
| Due to brokers                                                                                          |       | 2,936,389   |        | —      |       |
|                                                                                                    |       |        |        |        |       |
| Total liabilities                                                                                       |       | 17,998,845  |        | 17,230,684  |       |
|                                                                                                    |       |        |        |        |       |
| TRUST CAPITAL:                                                                                          |       |        |        |        |       |
| Managing Owner interest (4,750.953 and 4,217.782  units outstanding)                                    |       | 4,646,863   |        | 4,027,377   |       |
| Unitholders (410,247.372 and 411,644.991 units  outstanding)                                            |       | 401,256,659 |        | 393,058,775 |       |
|                                                                                                    |       |        |        |        |       |
| Total trust capital                                                                                     |       | 405,903,522 |        | 397,086,152 |       |
|                                                                                                    |       |        |        |        |       |
| TOTAL                                                                                                   |       | $           | 423,902,367 |        | $          | 414,316,836 |   |
|                                                                                                    |       |        |        |        |       |
| NET ASSET VALUE PER UNIT OUTSTANDING                                                                    |       | $           | 978.08      |        | $          | 954.85 |   |

 

See notes to financialstatements.

 

2

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**GLOBALMACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31,2005**

 
| **Futures and Forward Currency Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
|                                                     |       |                                                                       |       |                                              |       |
| FUTURES CONTRACTS:                                       |       |                                                                       |       |                                              |       |
| LONG FUTURES CONTRACTS:                                  |       |                                                                       |       |                                              |       |
| Energies                                                 |       | 0.03                                                                       | %          | $                                                 | 127,330    |   |
| Grains                                                   |       | 0.12                                                                       |       | 497,495                                           |       |
| Interest rates                                           |       | 0.22                                                                       |       | 905,077                                           |       |
| Livestock                                                |       | (0.02                                                                      | )          | (65,930                                           | )          |
| Metals                                                   |       | 1.07                                                                       |       | 4,347,075                                         |       |
| Softs                                                    |       | 0.90                                                                       |       | 3,636,114                                         |       |
| Stock indices                                            |       | 0.60                                                                       |       | 2,411,285                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| Total long futures contracts                             |       | 2.92                                                                       |       | 11,858,446                                        |       |
|                                                     |       |                                                                       |       |                                              |       |
| SHORT FUTURES CONTRACTS:                                 |       |                                                                       |       |                                              |       |
| Grains                                                   |       | (0.31                                                                      | )          | (1,246,376                                        | )          |
| Interest rates                                           |       | 0.38                                                                       |       | 1,562,749                                         |       |
| Metals                                                   |       | 0.01                                                                       |       | 36,260                                            |       |
| Softs                                                    |       | (0.17                                                                      | )          | (725,650                                          | )          |
|                                                     |       |                                                                       |       |                                              |       |
| Total short futures contracts                            |       | (0.09                                                                      | )          | (373,017                                          | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 2.83                                                                       |       | 11,485,429                                        |       |
|                                                     |       |                                                                       |       |                                              |       |
| FORWARD CURRENCY CONTRACTS:                              |       |                                                                       |       |                                              |       |
| TOTAL LONG FORWARD CURRENCY CONTRACTS                    |       | (2.64                                                                      | )          | (10,714,282                                       | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL SHORT FORWARD CURRENCY CONTRACTS                   |       | (0.97                                                                      | )          | (3,941,465                                        | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | (3.61                                                                      | )          | (14,655,747                                       | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL                                                    |       | (0.78                                                                      | )%         | $                                                 | (3,170,318 | ) |

 
|   | (Continued) |
|--------|-------------|

 

3

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2005**

 

**U.S.TREASURY NOTES**

 
| **Face  Amount** | ** ** | **Description**                                                         | ** **                             | **Value as a %  of Trust  Capital** | ** ** | **Value**   | ** **  |
|------------------|------------|-------------------------------------------------------------------------|----------------------------------------|-------------------------------------|------------|-------------|-------------|
|             |       |                                                                    |                                   |                                |       |        |        |
| $                | 76,370,000 |                                                                    | U.S. Treasury  notes, 1.625%, 02/28/06 |                                | 18.74      | %           | $           | 76,083,613 |   |
| 113,600,000      |       | U.S. Treasury  notes, 2.500%, 05/31/06                                  |                                   | 27.78                               |       | 112,748,000 |        |
| 68,020,000       |       | U.S. Treasury  notes, 2.375%, 08/15/06                                  |                                   | 16.55                               |       | 67,169,750  |        |
| 130,290,000      |       | U.S. Treasury  notes, 2.875%, 11/30/06                                  |                                   | 31.65                               |       | 128,457,796 |        |
|             |       |                                                                    |                                   |                                |       |        |        |
|             |       | Total investments in U.S. Treasury notes  (amortized cost $385,185,175) |                                   | 94.72                               | %          | $           | 384,459,159 |   |
|                  |            |                                                                         |                                        |                                     |            |             |             |  |  |

 
|   | (Concluded) |
|--------|-------------|

 

See notes to financial statements.

 

4

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**GLOBALMACRO TRUST**

 

**CONDENSED SCHEDULE OFINVESTMENTS**

**AT DECEMBER 31,2004**

 
| **Futures and Forward Currency Contracts**               | ** ** | **Net Unrealized  Appreciation  (Depreciation)  as a % of  Trust Capital** | ** ** | **Net  Unrealized  Appreciation  (Depreciation)** | ** ** |
|----------------------------------------------------------|------------|----------------------------------------------------------------------------|------------|---------------------------------------------------|------------|
|                                                     |       |                                                                       |       |                                              |       |
| FUTURES CONTRACTS:                                       |       |                                                                       |       |                                              |       |
| LONG FUTURES CONTRACTS:                                  |       |                                                                       |       |                                              |       |
| Energies                                                 |       | (0.23                                                                      | )%         | $                                                 | (893,110   | ) |
| Interest rates                                           |       | 0.03                                                                       |       | 139,714                                           |       |
| Livestock                                                |       | 0.02                                                                       |       | 69,770                                            |       |
| Metals                                                   |       | 0.06                                                                       |       | 233,838                                           |       |
| Softs                                                    |       | 0.07                                                                       |       | 276,097                                           |       |
| Stock indices                                            |       | 0.79                                                                       |       | 3,128,785                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| Total long futures contracts                             |       | 0.74                                                                       |       | 2,955,094                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| SHORT FUTURES CONTRACTS:                                 |       |                                                                       |       |                                              |       |
| Energies                                                 |       | 0.19                                                                       |       | 744,052                                           |       |
| Grains                                                   |       | 0.15                                                                       |       | 580,497                                           |       |
| Interest rates                                           |       | 0.01                                                                       |       | 47,560                                            |       |
| Metals                                                   |       | 0.03                                                                       |       | 115,995                                           |       |
| Softs                                                    |       | (0.03                                                                      | )          | (129,175                                          | )          |
|                                                     |       |                                                                       |       |                                              |       |
| Total short futures contracts                            |       | 0.35                                                                       |       | 1,358,929                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FUTURES CONTRACTS—Net          |       | 1.09                                                                       |       | 4,314,023                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| FORWARD CURRENCY CONTRACTS:                              |       |                                                                       |       |                                              |       |
| TOTAL LONG FORWARD CURRENCY CONTRACTS                    |       | 3.36                                                                       |       | 13,347,920                                        |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL SHORT FORWARD CURRENCY CONTRACTS                   |       | (2.19                                                                      | )          | (8,685,701                                        | )          |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS—Net |       | 1.17                                                                       |       | 4,662,219                                         |       |
|                                                     |       |                                                                       |       |                                              |       |
| TOTAL                                                    |       | 2.26                                                                       | %          | $                                                 | 8,976,242  |   |

 
|   | (Continued) |
|--------|-------------|

 

5

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**GLOBAL MACRO TRUST**

 

**CONDENSED SCHEDULE OF INVESTMENTS**

**AT DECEMBER 31, 2004**

 

**U.S. TREASURY NOTES**

 
| **Face  Amount** | ** **  | **Description**                                                         | ** **                             | **Value as a %  of Trust  Capital** | ** ** | **Value**   | ** **  |
|------------------|-------------|-------------------------------------------------------------------------|----------------------------------------|-------------------------------------|------------|-------------|-------------|
|             |        |                                                                    |                                   |                                |       |        |        |
| $                | 118,000,000 |                                                                    | U.S. Treasury  notes, 1.500%, 02/28/05 |                                | 29.70      | %           | $           | 117,926,250 |   |
| 118,000,000      |        | U.S. Treasury  notes, 1.250%, 05/31/05                                  |                                   | 29.57                               |       | 117,410,000 |        |
| 118,000,000      |        | U.S. Treasury  notes, 1.875%, 11/30/05                                  |                                   | 29.48                               |       | 117,078,125 |        |
|             |        |                                                                    |                                   |                                |       |        |        |
|             |        | Total investments in U.S. Treasury notes  (amortized cost $352,805,316) |                                   | 88.75                               | %          | $           | 352,414,375 |   |
|                  |             |                                                                         |                                        |                                     |            |             |             |  |  |

 
|   | (Concluded) |
|--------|-------------|

 

See notes to financial statements.

 

6

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**GLOBALMACRO TRUST**

 

**STATEMENTSOF OPERATIONS**

**YEARS ENDEDDECEMBER 31, 2005, 2004 AND 2003**

 
| ** **                                                                   | ** ** | **2005**    | ** ** | **2004**    | ** ** | **2003**    | ** ** |
|------------------------------------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|
|                                                                         |       |        |       |        |       |        |       |
| INVESTMENT INCOME:                                                           |       |        |       |        |       |        |       |
| Interest income                                                              |       | $           | 11,150,930 |        | $          | 4,131,334   |       | $ | 1,320,805 |   |
|                                                                         |       |        |       |        |       |        |       |
| EXPENSES:                                                                    |       |        |       |        |       |        |       |
| Brokerage fees                                                               |       | 26,641,625  |       | 22,046,061  |       | 8,331,480   |       |
| Administrative expenses                                                      |       | 1,417,680   |       | 1,565,227   |       | 679,615     |       |
| Custody fees                                                                 |       | 59,425      |       | 50,048      |       | 13,929      |       |
|                                                                         |       |        |       |        |       |        |       |
| Total expenses                                                               |       | 28,118,730  |       | 23,661,336  |       | 9,025,024   |       |
|                                                                         |       |        |       |        |       |        |       |
| NET INVESTMENT LOSS                                                          |       | (16,967,800 | )          | (19,530,002 | )          | (7,704,219  | )          |
|                                                                         |       |        |       |        |       |        |       |
| NET REALIZED AND UNREALIZED GAINS (LOSSES):                                  |       |        |       |        |       |        |       |
| Net realized gains (losses) on closed positions:                             |       |        |       |        |       |        |       |
| Futures and forward currency contracts                                       |       | 40,585,526  |       | 6,905,418   |       | (13,268,783 | )          |
| Foreign exchange translation                                                 |       | (443,885    | )          | 439,783     |       | 327,078     |       |
| Net change in unrealized appreciation/depreciation:                          |       |        |       |        |       |        |       |
| Futures and forward currency contracts                                       |       | (12,146,560 | )          | (1,362,103  | )          | 8,881,551   |       |
| Foreign exchange translation                                                 |       | (164,600    | )          | 89,796      |       | (11,405     | )          |
| Net gains (losses) from U.S. Treasury notes:                                 |       |        |       |        |       |        |       |
| Net change in unrealized appreciation/depreciation                           |       | (335,075    | )          | (424,161    | )          | 20,932      |       |
|                                                                         |       |        |       |        |       |        |       |
| Total net realized and unrealized gains (losses)                             |       | 27,495,406  |       | 5,648,733   |       | (4,050,627  | )          |
|                                                                         |       |        |       |        |       |        |       |
| NET INCOME (LOSS)                                                            |       | 10,527,606  |       | (13,881,269 | )          | (11,754,846 | )          |
|                                                                         |       |        |       |        |       |        |       |
| LESS PROFIT SHARE TO MANAGING OWNER                                          |       | —      |       | —      |       | 6,465       |       |
|                                                                         |       |        |       |        |       |        |       |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING  OWNER                      |       | $           | 10,527,606 |        | $          | (13,881,269 | )          | $ | (11,761,311 | ) |
|                                                                         |       |        |       |        |       |        |       |
| NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING  OWNER PER UNIT OUTSTANDING |       | $           | 23.23      |        | $          | (53.71      | )          | $ | (21.68 | ) |

 

See notes to financialstatements.

 

7

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**GLOBALMACRO TRUST**

 

**STATEMENTS OF CHANGES IN TRUST CAPITAL**

**YEARS ENDED DECEMBER 31,2005, 2004 AND 2003**

 
| ** **                                              | ** ** | **Unitholders** | ** **  | **New Profit Memo  Account** | ** **  | **Managing Owner** | ** ** | **Total**  | ** ** |
|---------------------------------------------------------|------------|-----------------|-------------|------------------------------|-------------|--------------------|------------|------------|------------|
| ** **                                              | ** ** | **Amount**      | ** **  | **Units**                    | ** **  | **Amount**         | ** ** | **Units**  | ** ** | **Amount** | ** ** | **Units** | ** ** | **Amount** | ** ** | **Units** | ** ** |
| ** **                                              | ** ** | ** **      | ** **  | ** **                   | ** **  | ** **         | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** | ** ** |
| TRUST CAPITAL—January 1, 2003                 |       | $               | 22,814,478  |                         | 22,144.905  |               | $          | —     |       | — |   | $ | 2,221,645 |   | 2,156.443 |   | $ | 25,036,123 |   | 24,301.348 |   |
| Subscriptions                                           |       | 219,974,319     |        | 206,500.699                  |        | —             |       | —     |       | 450,000 |   | 460.310 |   | 220,424,319 |   | 206,961.009 |   |
| Redemptions                                             |       | (4,693,826      | )           | (4,676.011                   | )           | —             |       | —     |       | (71,794 | ) | (68.826 | ) | (4,765,620 | ) | (4,744.837 | ) |
| Additional units allocated*                             |       | —          |        | 303.956                      |        | —             |       | 0.122      |       | — |   | 170.233 |   | — |   | 474.311 |   |
| Net income (loss) after profit share to Managing  Owner |       | (11,902,428     | )           | —                       |        | (436               | )          | —     |       | 141,553 |   | — |   | (11,761,311 | ) | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | 6,465              |       | 5.856      |       | — |   | — |   | 6,465 |   | 5.856 |   |
|                                                    |       |            |        |                         |        |               |       |       |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL— December 31, 2003              |       | 226,192,543     |        | 224,273.549                  |        | 6,029              |       | 5.978      |       | 2,741,404 |   | 2,718.160 |   | 228,939,976 |   | 226,997.687 |   |
|                                                    |       |            |        |                         |        |               |       |       |       |   |   |   |   |   |   |   |   |
| Subscriptions                                           |       | 220,756,673     |        | 231,901.490                  |        | —             |       | —     |       | 1,186,000 |   | 1,249.523 |   | 221,942,673 |   | 233,151.013 |   |
| Redemptions                                             |       | (39,915,228     | )           | (45,296.507                  | )           | —             |       | —     |       | — |   | — |   | (39,915,228 | ) | (45,296.507 | ) |
| Additional units allocated*                             |       | —          |        | 766.459                      |        | —             |       | 0.409      |       | — |   | 243.712 |   | — |   | 1,010.580 |   |
| Net income (loss) after profit share to Managing  Owner |       | (13,975,213     | )           | —                       |        | 70                 |       | —     |       | 93,874 |   | — |   | (13,881,269 | ) | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | —             |       | —     |       | — |   | — |   | — |   | — |   |
|                                                    |       |            |        |                         |        |               |       |       |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2004               |       | 393,058,775     |        | 411,644.991                  |        | 6,099              |       | 6.387      |       | 4,021,278 |   | 4,211.395 |   | 397,086,152 |   | 415,862.773 |   |
|                                                    |       |            |        |                         |        |               |       |       |       |   |   |   |   |   |   |   |   |
| Subscriptions                                           |       | 78,386,572      |        | 85,872.861                   |        | —             |       | —     |       | 216,000 |   | 232.975 |   | 78,602,572 |   | 86,105.836 |   |
| Redemptions                                             |       | (80,306,127     | )           | (88,154.628                  | )           | —             |       | —     |       | (6,681 | ) | (6.830 | ) | (80,312,808 | ) | (88,161.458 | ) |
| Additional units allocated*                             |       | —          |        | 884.148                      |        | —             |       | 0.443      |       | — |   | 306.583 |   | — |   | 1,191.174 |   |
| Net income after profit share to Managing Owner         |       | 10,117,439      |        | —                       |        | 582                |       | —     |       | 409,585 |   | — |   | 10,527,606 |   | — |   |
| Managing Owner’s profit share                      |       | —          |        | —                       |        | —             |       | —     |       | — |   | — |   | — |   | — |   |
| Transfer of New Profit Memo Account to Managing Owner   |       | —          |        | —                       |        | (6,681             | )          | (6.830     | )          | 6,681 |   | 6.830 |   | — |   | — |   |
|                                                    |       |            |        |                         |        |               |       |       |       |   |   |   |   |   |   |   |   |
| TRUST CAPITAL—December 31, 2005               |       | $               | 401,256,659 |                         | 410,247.372 |               | $          | —     |       | — |   | $ | 4,646,863 |   | 4,750.953 |   | $ | 405,903,522 |   | 414,998.325 |   |

 

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

 

Seenotes to financial statements.

 

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**GLOBALMACRO TRUST**

 

**STATEMENTSOF FINANCIAL HIGHLIGHTS**

**YEARS ENDED DECEMBER 31, 2005,2004 AND 2003**

 
| ** **                                                                              | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** |
|-----------------------------------------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| PER UNIT OPERATING PERFORMANCE (FOR A UNIT  OUTSTANDING THROUGHOUT THE YEAR):           |       |     |       |     |       |     |       |
| Net income (loss) from operations:                                                      |       |     |       |     |       |     |       |
| Net investment loss                                                                     |       | $        | (39.86     | )(a)     | $          | (54.92   | )(a)       | $ | (65.85 | )(a) |
| Net realized and unrealized gains on trading of futures  and forward currency contracts |       | 63.87    |       | 2.39     |       | 44.05    |       |
| Net gains (losses) from U.S. Treasury notes                                             |       | (0.78    | )(a)       | (1.18    | )(a)       | 0.18     | (a)        |
|                                                                                    |       |     |       |     |       |     |       |
| Net income (loss) from operations                                                       |       | 23.23    |       | (53.71   | )          | (21.62   | )          |
|                                                                                    |       |     |       |     |       |     |       |
| Less profit share allocated to Managing Owner                                           |       | —   |       | —   |       | 0.06     |       |
|                                                                                    |       |     |       |     |       |     |       |
| Net income (loss) after profit share allocation                                         |       | 23.23    |       | (53.71   | )          | (21.68   | )          |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET VALUE—Beginning of year                                                  |       | 954.85   |       | 1,008.56 |       | 1,030.24 |       |
|                                                                                    |       |     |       |     |       |     |       |
| NET ASSET VALUE—End of year                                                        |       | $        | 978.08     |     | $          | 954.85   |       | $ | 1,008.56 |   |
|                                                                                    |       |     |       |     |       |     |       |
| RETURNS:                                                                                |       |     |       |     |       |     |       |
| Total return before profit share allocation                                             |       | 2.43     | %          | (5.33    | )%         | (2.10    | )%         |
| Profit share allocation                                                                 |       | —   |       | —   |       | 0.00     |       |
|                                                                                    |       |     |       |     |       |     |       |
| TOTAL RETURN AFTER PROFIT SHARE ALLOCATION                                              |       | 2.43     |       | (5.33    | )          | (2.10    | )          |
|                                                                                    |       |     |       |     |       |     |       |
| RATIOS TO AVERAGE TRUST CAPITAL:                                                        |       |     |       |     |       |     |       |
| Net investment loss                                                                     |       | (4.38    | )          | (6.05    | )          | (6.29    | )          |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses                                                                          |       | 7.21     |       | 7.32     |       | 7.34     |       |
|                                                                                    |       |     |       |     |       |     |       |
| Profit share allocation                                                                 |       | —   |       | —   |       | 0.01     |       |
|                                                                                    |       |     |       |     |       |     |       |
| Total expenses and profit share allocation                                              |       | 7.21     | %          | 7.32     | %          | 7.35     | %          |

 

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(a)     Calculated based on weighted average number of unitsduring the year.

 

See notes to financial statements.

 

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**GLOBAL MACRO TRUST**

** **

**NOTES TO FINANCIALSTATEMENTS**

**YEARSENDED DECEMBER 31, 2005, 2004 AND 2003**

** **

**1.**       ORGANIZATION

** **

GlobalMacro Trust (the “Trust”) was organized on July 23, 2001 under theDelaware Business Trust Act. At such time, original capital of $400 by theMillburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by theInitial Unitholder, an affiliated entity, was contributed to the Trust. TheTrust commenced trading operations on July 1, 2002. The Trust engages inthe speculative trading of futures and forward currency contracts. Theinstruments that are traded by the Trust are volatile and involve a high degreeof market risk.

 

TheManaging Owner manages the business of the Trust and makes all tradingdecisions.

 

TheManaging Owner has agreed to make additional capital contributions, subject tocertain possible exceptions, in order to maintain its capital account at notless than 1% of the total outstanding capital contributions in the Trust(including the Managing Owner’s contributions) but in no event shall theManaging Owner invest less than $500,000 of the total capital contributions inthe Trust. The Managing Owner and the holders (the “Unitholders”) of the Unitsof Beneficial Interest (“Units”) issued by the Trust will share in any profitsand losses of the Trust in proportion to the percentage interest owned by each,before brokerage commissions and profit share allocations.

 

TheTrust will terminate on December 31, 2031 or at an earlier date if certainconditions occur as defined in the Declaration of Trust and the Trust Agreement(the “Agreement”).

 

**2.**       SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

** **

***Investments—***The Trust records its transactions infutures and forward currency contracts, including related income and expenses,on a trade date basis.

 

Openfutures contracts are valued at market value and open forward currencycontracts are valued at fair value which is based on pricing models thatconsider the time value of money and the current market and contractual pricesof the underlying financial instruments. Realized gains (losses) and changes inunrealized appreciation (depreciation) on futures and forward currencycontracts are recognized in the periods in which the contracts are closed orthe changes occur, and are included in net realized and unrealized gains(losses) in the statements of operations.

 

Investmentsin U.S. Treasury notes are valued at the market value based on bid quotationsreported daily in The Wall Street Journal. The Trust amortizes premiums andaccretes discounts on U.S. Treasury notes using the effective interest method.Such securities are normally on deposit with financial institutions ascollateral for performance of the Trust’s

 

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tradingobligations with respect to derivative contracts or are held for safekeeping ina custody account.

 

***Fair Value of FinancialInstruments—***Thefair value of the Trust’s assets and liabilities, which qualify as financialinstruments under Statement of Financial Accounting Standards No. 107, *Disclosures about Fair Value of Financial Instruments,*approximates the carrying amounts presented in the statements of financialcondition.

 

***Foreign Currency Translation—***Assets and liabilities denominated inforeign currencies are translated at quoted prices of such currencies.Purchases and sales of investments are translated at the exchange rateprevailing when such transactions occurred.

 

***Income Taxes—***Income taxes have not been provided, aseach Unitholder is individually liable for the taxes, if any, on his/her shareof the Trust’s income and expenses.

 

***Estimates—***The preparation of financial statementsin conformity with accounting principles generally accepted in the UnitedStates of America requires management to make estimates and assumptions thataffect the amounts and disclosures reported in the financial statements. Actualresults could differ from these estimates.

 

***Right of Offset—***The customer agreements between the Trustand each of its brokers give the Trust the legal right to net unrealized gainsand losses. Unrealized gains and losses related to offsetting transactions withthese brokers are reflected on a net basis in the equity in trading accounts inthe statements of financial condition.

 

**3.**       TRUST AGREEMENT

** **

TheTrust pays brokerage fees to the Managing Owner at the annual rate up to 7.0%of the Trust’s average month-end Net Assets of Unitholders’ interests (prior toreduction for accrued brokerage commissions or Profit Share). Unitholders whomake net capital investments in the Trust of $100,000 or more or who investthrough asset-based fee or fixed fee investment programs are charged less thanthe annual brokerage rate of 7.0% as follows:

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

 

Brokeragefees will be charged to capital accounts of the Managing Owner, its principals,their respective affiliates or the New Profit Memo Account only to the extentof charges paid to third party executing and clearing brokers. In order tomaintain a uniform Net Asset Value per Unit, additional units are issued toUnitholders who are charged less than a 7.0% brokerage fee.

 

TheManaging Owner, not the Trust, will pay all routine costs of executing andclearing the Trust’s futures trades, including brokerage commissions payable tothe clearing brokers.

 

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TheManaging Owner also pays, from its own funds, selling commissions on all salesof Units.

 

TheAgreement provides that the Managing Owner’s profit share, equal to 20% of NewTrading Profits (as defined in the Agreement) in excess of the highestcumulative level of Trading Profit as of any previous calendar year-end, ischarged to the Unitholders’ capital accounts. However, for Unitholders’redemptions during the year, the profit share calculation shall be computed asthough the redemption occurred at year-end. Any profit share charged is addedto the Managing Owner’s capital account to the extent that net taxable capitalgains are allocated to the Managing Owner. The remainder of such profit share,if any, is added to the New Profit Memo Account. The Managing Owner may notmake any withdrawal from the balance in the New Profit Memo Account. If, at theend of a subsequent year, net taxable gains are allocated to the Managing Ownerin excess of such year’s profit share, a corresponding amount is transferredfrom the New Profit Memo Account to the Managing Owner’s capital account.

 

TheTrust will pay its legal, accounting, auditing, printing, postage and similaradministrative expenses (including Trustees’ fees, accounting services fees andthe expenses of updating the Prospectus), as well as extraordinary costs. At December 31,2005 and 2004, the Managing Owner was owed $88,928 and $92,014, respectively,from the Trust in connection with such expenses it has paid on the Trust’sbehalf. Such amounts are included in “Due to Managing Owner” in the statementsof financial condition. The Managing Owner, at its discretion, may reimbursecertain expenses paid by the Trust.

 

Unitsmay be redeemed, at the option of any Unitholder, at Net Asset Value (asdefined in the Agreement) as of the close of business on the last business dayof any calendar month on ten business days’ written notice to the ManagingOwner. Unitholders who redeem Units at or prior to the end of the firstconsecutive six-month and five-month periods after such Units are sold shall beassessed redemption charges calculated based on their redeemed Units’ Net AssetValue as of the date of redemption as follows:

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

 

Allredemption charges will be paid to the Managing Owner. At December 31,2005 and 2004, $2,960 and $13,870, respectively, of redemption charges wereowed to the Managing Owner. Such amounts are included in “Due to Managing Owner”in the statements of financial condition. The aggregate amount of redemptioncharges paid to the Managing Owner for the years ended December 31, 2005,2004 and 2003 were $75,229, $211,547 and $19,392, respectively.

 

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**4.**       DUE FROM/TO BROKERS

** **

At December 31,2005 and 2004, due from brokers and due to brokers balances in the statementsof financial condition include cash receivable from brokers and cash payable tobrokers, respectively.

 

**5.**       TRADING ACTIVITIES

** **

TheTrust conducts its trading activities with various brokers acting either as abroker or counterparty to various transactions. At December 31, 2005 and2004, cash and Treasury notes aggregating $164,488,407 and $112,218,797,respectively, included in the Trust’s equity in trading accounts, were held bysuch brokers in segregated accounts as collateral as required by U.S. CommodityFutures Trading Commission’s regulations or by the counterparty bank or broker.Such collateral can be sold or repledged by the counterparties, at theirdiscretion.

 

The Trust enters into contracts with variousfinancial institutions that contain a variety of indemnifications. The Trust’smaximum exposure under these arrangements is unknown. However, the Trust hasnot had prior claims or losses pursuant to these contracts and expects the riskof loss to be remote.

 

**6.**       DERIVATIVE INSTRUMENTS

** **

TheTrust is party to derivative financial instruments in the normal course of itsbusiness. These financial instruments include futures and forward currencycontracts which may be traded on an exchange (“exchange-traded contracts”) orover-the-counter (“OTC contracts”).

 

TheTrust records its derivative activities on a mark-to-market basis as describedin Note 2. For OTC contracts, the Trust enters into master nettingagreements with its counterparties. Therefore, assets represent the Trust’sunrealized gains, less unrealized losses for OTC contracts in which the Trusthas a master netting agreement. Similarly, liabilities represent net amountsowed to counterparties on OTC contracts.

 

Futurescontracts are agreements to buy or sell an underlying asset or index for a setprice in the future. Initial margin deposits are made upon entering intofutures contracts and can be either in cash or treasury securities. Openfutures contracts are revalued on a daily basis to reflect the market value ofthe contracts at the end of each trading day. Variation margin payments arereceived or made, depending upon whether unrealized gains or losses areincurred. When a contract is closed, the Trust records a realized gain or lossequal to the difference between the value of the contract at the time it wasopened and the time it was closed. The Trust bears the market risk that arisesfrom changes in the value of these financial instruments.

 

Forwardcurrency contracts entered into by the Trust represent a firm commitment to buyor sell an underlying currency at a specified value and point in time basedupon an agreed or contracted quantity. The ultimate gain or loss is equal tothe difference between the value of the contract at the onset and the value ofthe contract at settlement date.

 

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Eachof these financial instruments is subject to various risks similar to thoserelated to the underlying financial instruments, including market risk, creditrisk and sovereign risk.

 

Marketrisk is the potential change in the value of the instruments traded by theTrust due to market changes, including interest and foreign exchange ratemovements and fluctuations in futures or security prices. Market risk isdirectly impacted by the volatility and liquidity in the markets in which therelated underlying assets are traded. The financial instruments traded by theTrust contain varying degrees of off-balance sheet risk whereby changes in themarket values of the futures and forward currency contracts and the Trust’ssatisfaction of its obligations related to such market value changes may exceedthe amount recognized in the statements of financial condition.

 

Creditrisk is the possibility that a loss may occur due to the failure of a counterpartyto perform according to the terms of a contract. Credit risk is normallyreduced to the extent that an exchange or clearing organization acts as acounterparty to futures transactions, since typically the collective credit ofthe members of the exchange is pledged to support the financial integrity ofthe exchange. In the case of OTC transactions, the Trust must rely solely onthe credit of the individual counterparties. The contract amounts of theforward and futures contracts do not represent the Trust’s risk of loss due tocounterparty nonperformance. The Trust’s exposure to credit risk associatedwith counterparty nonperformance of these contracts includes unrealized gainsinherent in such contracts, which are recognized in the statements of financialcondition, plus the value of margin or collateral held by the counterparty. Theamount of such credit risk was $103,805,738 and $71,799,835 at December 31,2005 and 2004, respectively.

 

TheManaging Owner has established procedures to actively monitor market risk andminimize credit risk, although there can be no assurance that it will, in factsucceed in doing so. The Managing Owner’s market risk control proceduresincludes diversification of the Trust’s portfolio and continuously monitoringthe portfolio’s open positions, historical volatility and maximum historicalloss. The Managing Owner seeks to minimize credit risk primarily by depositingand maintaining the Trust’s assets at financial institutions and brokers whichthe Managing Owner believes to be creditworthy. The Trust’s trading activitiesare primarily with brokers and other financial institutions located in NorthAmerica, Europe and Asia. All futures transactions of the Trust are cleared bymajor securities firms pursuant to customer agreements. For all forwardcurrency transactions, the Trust utilizes a single clearing broker which is amajor financial institution.

 

TheTrust is subject to sovereign risk such as the risk of restrictions beingimposed by foreign governments on the repatriation of cash and the effect ofpolitical or economic uncertainties. Net unrealized appreciation (depreciation)on futures and forward currency contracts are denominated in the functionalcurrency. Cash settlement of futures and forward currency contracts is made inthe local currency (settlement currency) and then translated to the functionalcurrency (U.S. Dollar).

 

Netunrealized appreciation (depreciation) on futures and forward currencycontracts by settlement currency type, denominated in the functional currency,is detailed below:

 

14

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| ** **         | ** ** | **December 31,**                                   | ** ** |
|--------------------|------------|---------------------------------------------------------|------------|
| ** **         | ** ** | **2005**                                                | ** ** | **2004** | ** ** |
| **Currency Type**  | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** | **Total Net  Unrealized  Appreciation  (Depreciation)** | ** ** | **Percent of  Total** | ** ** |
|               |       |                                                    |       |   |   |   |   |   |   |
| Australian dollar  |       | $                                                       | 1,016,357  |   | (32.06 | )% | $ | 519,566 |   | 5.79 | % |
| British pound      |       | (13,252                                                 | )          | 0.42 |   | 19,235 |   | 0.21 |   |
| Canadian dollar    |       | 795,644                                                 |       | (25.10 | ) | 179,354 |   | 2.00 |   |
| Euro               |       | 3,303,832                                               |       | (104.21 | ) | 75,557 |   | 0.84 |   |
| Hong Kong dollar   |       | (568,315                                                | )          | 17.93 |   | (43,924 | ) | (0.49 | ) |
| Japanese yen       |       | (6,361,846                                              | )          | 200.67 |   | 659,528 |   | 7.35 |   |
| Norwegian krone    |       | (468,832                                                | )          | 14.79 |   | (1,471,241 | ) | (16.39 | ) |
| Polish zloty       |       | 298,554                                                 |       | (9.42 | ) | 561,972 |   | 6.26 |   |
| South African rand |       | 615,812                                                 |       | (19.42 | ) | 296,101 |   | 3.30 |   |
| Swedish krone      |       | (2,926                                                  | )          | 0.09 |   | (278,216 | ) | (3.10 | ) |
| U.S. dollar        |       | (1,785,346                                              | )          | 56.31 |   | 8,458,310 |   | 94.23 |   |
|               |       |                                                    |       |   |   |   |   |   |   |
| Total              |       | $                                                       | (3,170,318 | ) | 100.00 | % | $ | 8,976,242 |   | 100.00 | % |

 

**7.**       FINANCIAL HIGHLIGHTS

** **

Perunit operating performance is calculated based on Unitholders’ trust capitaltaken as a whole. An individual Unitholder’s per unit operating performance mayvary from these per unit values based on the timing of capital transactions anddifferences in individual Unitholder’s brokerage fee and profit share allocationarrangements.

 

Theratios are calculated based on Unitholders’ trust capital taken as a whole. Thecomputation of such ratios based on the amount of net investment income (loss),total expenses and profit share allocation to an individual Unitholder’s trustcapital balance may vary from these ratios based on the timing of capitaltransactions and differences in individual Unitholder’s brokerage fee andprofit share allocation arrangements.

 

Returnsare calculated for Unitholders taken as a whole. An individual Unitholder’sreturns may vary from these returns based on the timing of capital transactionsand differences in individual Unitholder’s brokerage fee and profit shareallocation arrangements.

 

*******

 

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