**Exhibit13.01**

 

FINANCIAL STATEMENTS

 

The Millburn Global Opportunity Fund L.P.

##  

## Years endedDecember 31, 2002, 2001 and 2000

with Report of Independent Auditors

 

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The Millburn GlobalOpportunity Fund L.P.

 

Financial Statements

 

### Years ended December 31, 2002, 2001 and 2000

 

### **Contents**

 
| Affirmation of Millburn Ridgefield Corporation                                                        |
|-------------------------------------------------------------------------------------------------------|
|                                                                                                  |
| Report of Independent Auditors                                                                        |
|                                                                                                  |
| Financial Statements                                                                                  |
|                                                                                                  |
| Statements of Financial Condition at December 31,  2002 and 2001                                      |
| Condensed Schedules of Investments at December  31, 2002 and 2001                                     |
| Statements of Operations for the Years ended December 31, 2002, 2001  and 2000                        |
| Statements of Changes in Partners’ Capital for  the Years ended December 31, 2002, 2001 and 2000 |
| Statements of Financial Highlights for the Years  ended December 31, 2002, 2001 and 2000              |
| Notes to Financial Statements                                                                         |

 

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The Millburn GlobalOpportunity Fund L.P.

 

### Affirmation ofMillburn Ridgefield Corporation

 

In compliance with the Commodity Futures Trading Commission’sregulations, I hereby affirm that to the best of my knowledge and belief, theinformation contained in the statements of financial condition of The MillburnGlobal Opportunity Fund L.P., at December 31, 2002 and 2001, including thecondensed schedules of investments, and the related statements of operations,changes in partners’ capital and financial highlights for the years endedDecember 31, 2002, 2001 and 2000 are complete and accurate.

 

 

George E. Crapple, Co-Chief Executive Officer

Millburn Ridgefield Corporation

General Partner of The Millburn Global Opportunity Fund L.P.

 

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Report of Independent Auditors

 

## To the Partners of

The Millburn GlobalOpportunity Fund L.P.

 

We have audited the accompanying statement offinancial condition of The Millburn Global Opportunity Fund L.P. (the “Partnership”), as of December 31, 2002,including the condensed schedule of investments, and the related statements ofoperations, changes in partners’ capital and financial highlights for the yearthen ended. These financial statements are the responsibility of thePartnership’s management. Our responsibility is to express an opinion on thesefinancial statements based on our audit.

 

We conducted our audit in accordance with auditingstandards generally accepted in the United States. Those standards require thatwe plan and perform the audit to obtain reasonable assurance about whether thefinancial statements are free of material misstatement. An audit includesexamining, on a test basis, evidence supporting the amounts and disclosures inthe financial statements. An audit also includes assessing the accountingprinciples used and significant estimates made by management, as well asevaluating the overall financial statement presentation. We believe that ouraudit provides a reasonable basis for our opinion.

 

In our opinion, the financial statements andfinancial highlights referred to above present fairly, in all materialrespects, the financial position of The Millburn Global Opportunity FundL.P. at December 31, 2002, and theresults of its operations, changes in partners’ capital and financialhighlights for the year then ended in conformity with accounting principlesgenerally accepted in the United States.

 

Ernst & Young LLP

 

New York, New York

February 21, 2003

 

1

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The Millburn GlobalOpportunity Fund L.P.

 

Statements of Financial Condition

 
|                                                                                                                                                 |   | **December 31** |          |
|------------------------------------------------------------------------------------------------------------------------------------------------------|--------|-----------------|---------------|
|                                                                                                                                                 |   | **2002**        |          | **2001** |   |
| **Assets**                                                                                                                                           |   |            |          |   |   |
| Equity in  trading accounts:                                                                                                                         |   |            |          |   |   |
| Due from brokers                                                                                                                                     |   | **$**           | **53,697**    |   | $ | 106,743 |   |
| Cash denominated  in foreign currencies (cost $9,537 and $21,308 at December 31, 2002 and 2001,  respectively)                                       |   | **9,531**       |          | 20,159 |   |
| Investments in  U.S. Treasury notes—at market value(amortized cost $1,109,136 and $1,459,586 at  December 31, 2002 and 2001, respectively) |   | **1,110,116**   |          | 1,468,056 |   |
| Net unrealized  appreciation on open contracts                                                                                                       |   | **273,791**     |          | 258,196 |   |
| Total equity in  trading accounts                                                                                                                    |   | **1,447,135**   |          | 1,853,154 |   |
|                                                                                                                                                 |   |            |          |   |   |
| Investments in  U.S. Treasury notes—at market value  (amortized cost $3,942,476 and $4,495,022 at December 31, 2002 and 2001,  respectively)    |   | **3,945,959**   |          | 4,503,659 |   |
| Cash and cash  equivalents                                                                                                                           |   | **166,573**     |          | 335,147 |   |
| Accrued interest  receivable                                                                                                                         |   | **62,012**      |          | 96,076 |   |
| Total assets                                                                                                                                         |   | **$**           | **5,621,679** |   | $ | 6,788,036 |   |
|                                                                                                                                                 |   |            |          |   |   |
| **Liabilities  and partners’ capital**                                                                                                          |   |            |          |   |   |
| Due to brokers                                                                                                                                       |   | **$**           | **38,604**    |   | $ | — |   |
| Accrued expenses                                                                                                                                     |   | **34,966**      |          | 42,416 |   |
| Accrued  brokerage commissions                                                                                                                       |   | **34,352**      |          | 40,346 |   |
| Redemptions  payable to limited partners                                                                                                             |   | **73,759**      |          | 179,639 |   |
| Total  liabilities                                                                                                                                   |   | **181,681**     |          | 262,401 |   |
|                                                                                                                                                 |   |            |          |   |   |
| Partners’  capital:                                                                                                                             |   |            |          |   |   |
| General Partner                                                                                                                                      |   | **374,134**     |          | 571,851 |   |
| Limited Partners  (2,971.932 and 4,296.678limited  partnership units outstanding at   December 31, 2002 and 2001, respectively)                 |   | **5,065,864**   |          | 5,953,784 |   |
| Total partners’  capital                                                                                                                        |   | **5,439,998**   |          | 6,525,635 |   |
| Total  liabilities and partners’ capital                                                                                                        |   | **$**           | **5,621,679** |   | $ | 6,788,036 |   |
|                                                                                                                                                 |   |            |          |   |   |
| Net asset value  per limited partnership unit                                                                                                        |   | **$**           | **1,704.57**  |   | $ | 1,385.67 |   |

 

*Seeaccompanying notes.*

 

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The Millburn GlobalOpportunity Fund L.P.

 

Condensed Schedule of Investments

 

December 31, 2002

 
| **Futures and Forward Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a% of  Partners’ Capital** |       | **Net  Unrealized  Appreciation/  (Depreciation)** |       |
|--------------------------------------------------------|--------|--------------------------------------------------------------------------------------|------------|----------------------------------------------------|------------|
|                                                   |   |                                                                                 |       |                                               |       |
| **Futures contracts purchased**                        |   |                                                                                 | ** ** |                                               | ** ** |
| Interest rates                                         |   | 2.75                                                                                 | %          | $                                                  | 149,920    |   |
| Metals                                                 |   | 0.44                                                                                 | %          | 23,824                                             |       |
| Total futures  contracts purchased                     |   | 3.19                                                                                 | %          | 173,744                                            |       |
|                                                   |   |                                                                                 |       |                                               |       |
| **Futures contracts sold**                             |   |                                                                                 |       |                                               |       |
| Metals                                                 |   | (0.10                                                                                | )%         | (5,631                                             | )          |
| Stock indices                                          |   | 0.44                                                                                 | %          | 24,291                                             |       |
| Total futures  contracts sold                          |   | 0.34                                                                                 | %          | 18,660                                             |       |
| **Total investment in futures  contracts**             |   | 3.53                                                                                 | %          | 192,404                                            |       |
|                                                   |   |                                                                                 |       |                                               |       |
| Total currency  forward contracts purchased            |   | 2.05                                                                                 | %          | 111,345                                            |       |
| Total currency  forward contracts sold                 |   | (0.55                                                                                | )%         | (29,958                                            | )          |
| **Total investment in forward contracts**              |   | 1.50                                                                                 | %          | 81,387                                             |       |
|                                                   |   |                                                                                 |       |                                               |       |
| **Total investment in futures and  forward contracts** |   | 5.03                                                                                 | %          | $                                                  | 273,791    |   |

 

*Seeaccompanying notes.*

 

3

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The Millburn GlobalOpportunity Fund L.P.

 

CondensedSchedule of Investments (continued)

 

December 31, 2002

 
| **Face  Amount** |      | **Investments  in U.S. Treasury notes**                                      |                                    | **Value as  a%  of Partners’  Capital** |       | **Value** |       |
|------------------|-----------|------------------------------------------------------------------------------|-----------------------------------------|----------------------------------------------|------------|-----------|------------|
|             |      |                                                                         |                                    |                                         |       |      |       |
|             |      | **Government—United States**                                            | ** **                              |                                         | ** ** |      | ** ** |
| $                | 1,800,000 |                                                                         | U.S. Treasury notes, 4.625%, 02/28/2003 |                                         | 33.26      | %         | $          | 1,809,562 |   |
| 1,960,000        |      | U.S. Treasury notes, 4.000%, 04/30/2003                                      |                                    | 36.36                                        | %          | 1,977,763 |       |
| 1,250,000        |      | U.S. Treasury notes, 3.875%, 07/31/2003                                      |                                    | 23.32                                        | %          | 1,268,750 |       |
|             |      | **Total  investments in U.S. Treasury notes****(amortized cost $5,051,612)** |                                    | 92.94                                        | %          | $         | 5,056,075  |   |
|                  |           |                                                                              |                                         |                                              |            |           |            |  |  |

 

*Seeaccompanying notes.*

 

4

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The Millburn GlobalOpportunity Fund L.P.

 

Condensed Schedule ofInvestments

 

December 31, 2001

 
| **Futures and Forward Contracts**                      |   | **Net  Unrealized  Appreciation/  (Depreciation)  as a% of  Partners’ Capital** |   | **Net  Unrealized  Appreciation/  (Depreciation)** |    |
|--------------------------------------------------------|--------|--------------------------------------------------------------------------------------|--------|----------------------------------------------------|---------|
|                                                   |   |                                                                                 |   |                                               |    |
| **Futures contracts purchased**                        |   |                                                                                 |   |                                               |    |
| Interest rates                                         |   | (0.06                                                                                | )%     | $                                                  | (3,807  | ) |
| Metals                                                 |   | 0.02                                                                                 | %      | 1,440                                              |    |
| Stock indices                                          |   | 0.03                                                                                 | %      | 1,860                                              |    |
| Total futures  contracts purchased                     |   | (0.01                                                                                | )%     | (507                                               | )       |
|                                                   |   |                                                                                 |   |                                               |    |
| **Futures contracts sold**                             |   |                                                                                 |   |                                               |    |
| Interest rates                                         |   | 0.41                                                                                 | %      | 26,789                                             |    |
| Metals                                                 |   | (0.99                                                                                | )%     | (64,647                                            | )       |
| Stock indices                                          |   | 0.02                                                                                 | %      | 1,483                                              |    |
| Total futures  contracts sold                          |   | (0.56                                                                                | )%     | (36,375                                            | )       |
| **Total investment in futures  contracts**             |   | (0.57                                                                                | )%     | (36,882                                            | )       |
|                                                   |   |                                                                                 |   |                                               |    |
| Total currency  forward contracts purchased            |   | 1.71                                                                                 | %      | 111,525                                            |    |
| Total currency  forward contracts sold                 |   | 2.81                                                                                 | %      | 183,553                                            |    |
| **Total investment in forward  contracts**             |   | 4.52                                                                                 | %      | 295,078                                            |    |
|                                                   |   |                                                                                 |   |                                               |    |
| **Total investment in futures and  forward contracts** |   | 3.95                                                                                 | %      | $                                                  | 258,196 |   |

 

*Seeaccompanying notes.*

 

5

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The Millburn GlobalOpportunity Fund L.P.

 

Condensed Schedule ofInvestments (continued)

 

December 31, 2001

 
| **Face  Amount** |      | **Investments  in U.S. Treasury notes**                                      |                                   | **Value as  a%  of Partners’  Capital** |   | **Value** |      |
|------------------|-----------|------------------------------------------------------------------------------|----------------------------------------|----------------------------------------------|--------|-----------|-----------|
|             |      |                                                                         |                                   |                                         |   |      |      |
|             |      | Government—United States                                                |                                   |                                         |   |      |      |
| $                | 1,730,000 |                                                                         | U.S. Treasury notes, 6.50%, 05/31/2002 |                                         | 27.04  | %         | $         | 1,764,600 |   |
| 1,670,000        |      | U.S. Treasury notes, 6.375%, 08/15/2002                                      |                                   | 26.31                                        | %      | 1,716,969 |      |
| 1,910,000        |      | U.S. Treasury notes, 6.25%, 02/28/2002                                       |                                   | 29.47                                        | %      | 1,923,131 |      |
| 550,000          |      | U.S. Treasury notes, 5.75%, 10/31/2002                                       |                                   | 8.69                                         | %      | 567,015   |      |
|             |      | **Total  investments in U.S. Treasury notes****(amortized cost $5,954,608)** |                                   | 91.51                                        | %      | $         | 5,971,715 |   |
|                  |           |                                                                              |                                        |                                              |        |           |           |  |  |

 

*Seeaccompanying notes.*

 

6

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The Millburn GlobalOpportunity Fund L.P.

 

Statements of Operations

 
|                                                                                  |   | **Years ended December 31** |          |
|---------------------------------------------------------------------------------------|--------|-----------------------------|---------------|
|                                                                                  |   | **2002**                    |          | **2001** |   | **2000** |   |
| **Investment  income**                                                                |   |                        | ** **    |   |   |   |   |
| Interest income                                                                       |   | **$**                       | **121,410**   | ** ** | $ | 357,563 |   | $ | 517,863 |   |
|                                                                                  |   |                        | ** **    |   |   |   |   |
| **Expenses**                                                                          |   |                        | ** **    |   |   |   |   |
| Administrative  expenses                                                              |   | **63,237**                  | ** **    | 61,696 |   | 78,491 |   |
| Brokerage  commissions                                                                |   | **478,449**                 | ** **    | 553,083 |   | 656,725 |   |
| Total expenses                                                                        |   | **541,686**                 | ** **    | 614,779 |   | 735,216 |   |
| Net investment  loss                                                                  |   | **(420,276**                | **)**         | (257,216 | ) | (217,353 | ) |
|                                                                                  |   |                        | ** **    |   |   |   |   |
| **Net realized and unrealized gains  (losses)**                                       |   |                        | ** **    |   |   |   |   |
| Net realized  gains (losses) on closed positions:                                     |   |                        | ** **    |   |   |   |   |
| Futures and  forward contracts                                                        |   | **1,807,278**               | ** **    | 1,440,356 |   | (1,344,931 | ) |
| Foreign exchange  transactions                                                        |   | **9**                       | ** **    | 5,265 |   | — |   |
| Net change in  unrealized appreciation (depreciation):                                |   |                        | ** **    |   |   |   |   |
| Futures and  forward contracts                                                        |   | **15,595**                  | ** **    | (740,823 | ) | 454,392 |   |
| Foreign exchange  translations                                                        |   | **184**                     | ** **    | (19,853 | ) | (4,535 | ) |
| Net gains  (losses) from U.S. Treasury notes:                                         |   |                        | ** **    |   |   |   |   |
| Net realized  gains                                                                   |   | **—**                  | ** **    | — |   | 2,384 |   |
| Net change in  unrealized appreciation (depreciation)                                 |   | **(12,644**                 | **)**         | (14,018 | ) | 31,125 |   |
| Total net  realized and unrealized gains (losses)                                     |   | **1,810,422**               | ** **    | 670,927 |   | (861,565 | ) |
|                                                                                  |   |                        | ** **    |   |   |   |   |
| Net income  (loss)                                                                    |   | **1,390,146**               | ** **    | 413,711 |   | (1,078,918 | ) |
| Less profit  share to General Partner                                                 |   | **4,620**                   | ** **    | — |   | — |   |
| Net income  (loss) after profit share to General Partner                              |   | **$**                       | **1,385,526** | ** ** | $ | 413,711 |   | $ | (1,078,918 | ) |
|                                                                                  |   |                        | ** **    |   |   |   |   |
| Net income  (loss) after profit share to General Partner per limited partnership unit |   | **$**                       | **318.90**    | ** ** | $ | 63.13 |   | $ | (123.39 | ) |

 

*Seeaccompanying notes.*

 

7

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The Millburn GlobalOpportunity Fund L.P.

 

### Statements ofChanges in Partners’ Capital

 

Years ended December 31,2002, 2001 and 2000

 
|                                               |   | **Limited  Partners** |          | **General  Partner** |       | **Total**      |       |
|----------------------------------------------------|--------|-----------------------|---------------|----------------------|------------|----------------|------------|
|                                               |   |                  |          |                 |       |           |       |
| Partners’  capital at December 31, 1999       |   | $                     | 10,991,922    |                 | $          | 1,148,788      |       | $ | 12,140,710 |   |
| Net loss                                           |   | (1,071,576            | )             | (7,342               | )          | (1,078,918     | )          |
| Redemptions  (2,186.185 limited partnership units) |   | (2,757,737            | )             | —               |       | (2,757,737     | )          |
| Partners’  capital at December 31, 2000       |   | 7,162,609             |          | 1,141,446            |       | 8,304,055      |       |
| Net income                                         |   | 333,306               |          | 80,405               |       | 413,711        |       |
| Redemptions  (1,119.104 limited partnership units) |   | (1,542,131            | )             | (650,000             | )          | (2,192,131     | )          |
| Partners’  capital at December 31, 2001       |   | 5,953,784             |          | 571,851              |       | 6,525,635      |       |
| Net income                                         |   | **1,233,243**         | ** **    | **152,283**          | ** ** | **1,385,526**  | ** ** |
| Redemptions  (1,324.746 limited partnership units) |   | **(2,121,163**        | **)**         | **(350,000**         | **)**      | **(2,471,163** | **)**      |
| Partners’  capital at December 31, 2002       |   | **$**                 | **5,065,864** | ** **           | **$**      | **374,134**    | ** ** | **$** | **5,439,998** | ** ** |

 

*Seeaccompanying notes.*

 

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The Millburn Global OpportunityFund L.P.

 

Statements of Financial Highlights

 
|                                                                                                     |   | **Years ended December 31** |         |
|----------------------------------------------------------------------------------------------------------|--------|-----------------------------|--------------|
|                                                                                                     |   | **2002**                    |         | **2001** |   | **2000** |   |
|                                                                                                     |   |                        | ** **   |   |   |   |   |
| **Per unit operating performance (for  a limited****partnership  unit outstanding throughout the year)** |   |                        | ** **   |   |   |   |   |
| Net income  (loss) from operations:                                                                      |   |                        | ** **   |   |   |   |   |
| Net investment  loss                                                                                     |   | **$**                       | **(116.99**  | **)** | $ | (60.10 | ) | $ | (42.62 | ) |
| Net realized and  unrealized gains (losses) ontrading  of futures and forward contracts                  |   | **439.81**                  | ** **   | 126.15 |   | (86.06 | ) |
| Net gains  (losses) from U.S. Treasury notes                                                             |   | **(2.59**                   | **)**        | (2.92 | ) | 5.29 |   |
| Net income  (loss) from operations                                                                       |   | **320.23**                  | ** **   | 63.13 |   | (123.39 | ) |
| Profit share to  General Partner                                                                         |   | **(1.33**                   | **)**        | — |   | — |   |
| Net income  (loss) after profit share to General Partner                                                 |   | **318.90**                  | ** **   | 63.13 |   | (123.39 | ) |
| Net asset value,  beginning of year                                                                      |   | **1,385.67**                | ** **   | 1,322.54 |   | 1,445.93 |   |
| Net asset value,  end of year                                                                            |   | **$**                       | **1,704.57** | ** ** | $ | 1,385.67 |   | $ | 1,322.54 |   |
|                                                                                                     |   |                        | ** **   |   |   |   |   |
| Total return  before profit share allocation                                                             |   | **23.11**                   | **%**        | **4.77** | **%** |   |   |
| Profit share  allocation                                                                                 |   | **(0.10**                   | **)%**       | **0.00** | **%** |   |   |
| **Total return after profit share  allocation**                                                          |   | **23.01**                   | **%**        | **4.77** | **%** |   |   |
|                                                                                                     |   |                        | ** **   |   | ** ** |   |   |
| **Ratios to average limited partners’  capital**                                                    |   |                        | ** **   |   | ** ** |   |   |
| Net investment  loss                                                                                     |   | **(7.36**                   | **)%**       | **(4.25** | **)****%** |   |   |
|                                                                                                     |   |                        | ** **   |   | ** ** |   |   |
| Total expenses                                                                                           |   | **9.29**                    | **%**        | **9.10** | **%** |   |   |
| Profit share  allocation                                                                                 |   | **0.08**                    | **%**        | **0.00** | **%** |   |   |
| **Total expenses and profit share  allocation**                                                          |   | **9.37**                    | **%**        | **9.10** | **%** |   |   |

 

*Seeaccompanying notes.*

 

9

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The Millburn GlobalOpportunity Fund L.P.

 

Notes to Financial Statements

 

December 31, 2002

 

**1.Partnership Organization**

 

The Millburn Global Opportunity Fund L.P. (the “Partnership”) wasorganized under the Delaware Revised Uniform Limited Partnership Act on July 9,1992. The Partnership commenced trading operations on January 7, 1993. ThePartnership engages in the speculative trading of futures and forward contracts.The instruments that are traded by the Partnership are volatile and involve ahigh degree of market risk.

 

The General Partner of the Partnership is Millburn RidgefieldCorporation (the “General Partner”). The General Partner manages the businessof the Partnership and makes all trading decisions.

 

The General Partner has agreed to make additional capital contributionsas General Partner so that its capital contributions to the Partnership willequal at least 1% of the total contributions to the Partnership.

 

The General Partner and each limited partner share in the profits andlosses of the Partnership, except for brokerage fees and profit-shareallocation, on the basis of their proportionate interests of Partnershipcapital determined before brokerage fees and profit share (see Note 3), exceptthat no limited partner shall be liable for obligations of the Partnership inexcess of his initial capital contribution and profits, if any, net ofdistributions.

 

Units may be redeemed, at the option of any Limited Partner, as of theclose of business on the last day of any month on ten days’ prior notice to theGeneral Partner, provided that no Units may be redeemed prior to the end of thethird full calendar month after the sale of such Units.

 

The Partnership will terminate on December 31, 2022 orif its Net Assets decline to less than $250,000 or upon the occurrence ofcertain other events as defined in the Agreement.

 

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**2.Summary of Significant Accounting Policies**

 

**Investments**

 

The Partnership records its transactions in futures and forwards,including related income and expense, on a trade date basis.

 

Open futures contracts are valued at market value and open forwardcontracts 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 contracts arerecognized in the periods in which the contracts are closed or the changesoccur, and are included in net realized and unrealized gains (losses).

 

Investments in U.S. Treasury notes are valued at market value. ThePartnership amortizes premiums and accretes discounts on U.S. Treasury notesusing the straight-line method, which approximates the effective interestmethod. Such securities are normally on deposit with financial institutions ascollateral for performance of the Partnership’s trading obligations or held forsafekeeping in a custody account.

 

**Foreign Currency Translation**

 

Assets and liabilities denominated in foreign currencies are translatedat quoted prices of such currencies. Purchases and sales of investments aretranslated at the exchange rate prevailing when such transactions occurred.

 

**Income Taxes**

 

Income taxes have not been provided, as each partner is individuallyliable for the taxes, if any, on their share of the Partnership’s income andexpenses.

 

**Fair Value of Financial Instruments**

 

The fair value of the Partnership’s assets and liabilities, whichqualify as financial instruments under Statement of Financial AccountingStandards No. 107, “Disclosures about Fair Value of Financial Instruments,”approximates the carrying amounts presented in the statements of financialcondition.

 

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**Estimates**

 

The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States requires management to makeestimates and assumptions that affect the amounts and disclosures reported inthe financial statements. Actual results could differ from those estimates.

 

**Right ofOffset**

 

The customer agreements between the Partnership and its brokers givethe Partnership the legal right to net unrealized gains and losses. Unrealizedgains and losses related to offsetting transactions with these brokers arereflected on a net basis in the equity in trading accounts in the statements offinancial condition.

 

**3. LimitedPartnership Agreement**

 

The Partnership will pay the General Partner brokerage fees equal to0.6875 of 1% (8.25% per annum) of month-end Net Assets, as defined in theAgreement, except those attributable to the General Partner’s partnershipinterest. The General Partner shall bear any commissions and fees payable toclearing and third party brokers.

 

The Partnership will deduct from the limited partners’ capital accountsand add to the General Partner’s capital account 17.5% of any New TradingProfit, as defined in the Agreement, as of the end of each calendar quarter,based on the performance of the Partnership.

 

The Partnership pays all routine legal, accounting, administrative,printing and similar costs associated with its operation, excluding any indirectexpenses of the General Partner.

 

**4. Duefrom/to Brokers**

 

At December 31, 2002 and 2001, the due from brokers and due to brokersbalances in the statements of financial condition include cash receivable fromand payable to brokers.

 

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**5.Trading Activities**

 

The Partnership conducts its trading activities with various brokersacting either as a broker or counterparty to various transactions. At December31, 2002 and 2001, net cash and treasury notes aggregating $1,134,740 and$1,594,958, respectively, included in the Partnership’s equity in tradingaccounts, were held in segregated accounts as collateral as required by U.S.Commodity Futures Trading Commission regulations or by the counterparty bank orbroker. Such collateral can be sold or repledged by the counterparties.

 

**6.Derivative Instruments**

 

The Partnership is party to derivative financial instruments in thenormal course of its business. These financial instruments include futures andforward contracts which may be traded on an exchange (“exchange-tradedcontracts”) or over-the-counter (“OTC contracts”).

 

The Partnership records its derivative activities on a mark-to-marketbasis as described in Note 2. For OTC contracts, the Partnership entersinto master netting agreements with its counterparties, therefore, assetsrepresent the Partnership’s unrealized gains, less unrealized losses for OTCcontracts in which the Partnership has a master netting agreement. Similarly,liabilities represent net amounts owed to counterparties on OTC contracts.

 

Futures contracts are agreements to buy or sell an underlying asset orindex for a set price in the future. Initial margin deposits are made uponentering into futures contracts and can be either in cash or treasurysecurities. Open futures contracts are revalued on a daily basis to reflect themarket value of the contracts at the end of each trading day. Variation marginpayments are received or made, depending upon whether unrealized gains orlosses are incurred. When the contract is closed, the Partnership records arealized gain or loss equal to the difference between the value of the contractat the time it was opened and the time it was closed. The Partnership bears themarket risk that arises from changes in the value of these financialinstruments.

 

Forward contracts entered into by the Partnership represent a firmcommitment to buy or sell an underlying currency at a specified value and pointin time based upon an agreed or contracted quantity. The ultimate gain or lossis equal to the difference between the value of the contract at the onset andthe value of the contract at settlement date and is included in the statementsof operations.

 

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Each of these financial instruments is subject to various risks similarto those related to the underlying financial instruments, including marketrisk, credit risk and sovereign risk.

 

Market risk is the potential change in the value of the instrumentstraded by the Partnership due to market changes, including interest and foreignexchange rate movements and fluctuations in futures or security prices. Marketrisk is directly impacted by the volatility and liquidity in the markets inwhich the related underlying assets are traded. The financial instrumentstraded by the Partnership contain varying degrees of off-balance sheet riskwhereby changes in the market values of the futures and forward contractsunderlying the financial instruments or the Partnership’s satisfaction of theobligations may exceed the amount recognized in the statements of financialcondition.

 

Credit risk is the possibility that a loss may occur due to the failureof a counterparty to perform according to the terms of a contract. Credit riskis normally reduced to the extent that an exchange or clearing organizationacts as a counterparty to futures transactions, since typically the collectivecredit of the members of the exchange is pledged to support the financialintegrity of the exchange. In the case of OTC transactions, the Partnershipmust rely solely on the credit of the individual counterparties. The contractamounts of the forward and futures contracts do not represent the Partnership’srisk of loss due to counterparty nonperformance. The Partnership’s exposure tocredit risk associated with counterparty nonperformance of these contracts islimited to the unrealized gains inherent in such contracts, which arerecognized in the statements of financial condition.

 

At December 31, 2002 and 2001, derivative contracts with a netunrealized gain (asset) of $81,387 and $295,078, respectively, are related toforward contracts with the remaining unrealized gains related toexchange-traded futures contracts. The primary difference in the risks associatedwith OTC contracts and exchange-traded contracts is credit risk. ThePartnership views its credit exposure to be $242,990 and $430,518 at December31, 2002 and 2001, respectively, representing the fair value of OTC contractsin an unrealized gain position.

 

The Partnership’s trading activities are primarilywith brokers and other financial institutions located in North America, Europeand Asia. All futures and forward transactions of the Partnership are clearedby major securities firms pursuant to customer agreements. The Partnership haslimited concentration risk as it executes trades and maintains accounts withseveral brokers.

 

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The Partnership is subject to sovereign risk such as the risk of restrictionsbeing imposed by foreign governments on the repatriation of cash and topolitical or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forwardcontracts are denominated in the functional currency. Cash settlement offutures and forward contracts is made in the local currency (settlementcurrency) and then translated to the functional currency.

 

Net unrealized appreciation (depreciation) on futures and forwardcontracts by settlement currency type denominated in the functional currency atDecember 31, 2002 and 2001 is detailed below:

 
|                                                    |   | **2002**                                             |       | **2001**                                                 |        |
|---------------------------------------------------------|--------|------------------------------------------------------|------------|----------------------------------------------------------|-------------|
| **Currency Type —  Futures and Forward Contracts** |   | **Percent of  Unrealized  to Total Net  Unrealized** |       | **Total Net  Unrealized  Appreciation/  (Depreciation)** |        | **Percent of  Unrealized  to Total Net  Unrealized** |   | **Total Net  Unrealized  Appreciation/  (Depreciation)** |   |
|                                                    |   |                                                 |       |                                                     |        |   |   |   |   |
| British pound                                           |   | **2.15**                                             | **%**      | **$**                                                    | **5,898**   |   | 9.06 | % | $ | 23,401 |   |
| Euro                                                    |   | **49.73**                                            | ** ** | **136,159**                                              |        | 19.97 |   | 51,553 |   |
| Hong Kong dollar                                        |   | **1.96**                                             | ** ** | **5,373**                                                |        | (1.10 | ) | (2,828 | ) |
| Japanese yen                                            |   | **(3.70**                                            | **)**      | **(10,140**                                              | )           | 34.37 |   | 88,751 |   |
| Norwegian krona                                         |   | **(1.07**                                            | **)**      | **(2,938**                                               | **)**       | — |   | — |   |
| U.S. dollar                                             |   | **50.93**                                            | ** ** | **139,439**                                              |        | 37.70 |   | 97,319 |   |
| Total                                                   |   | **100.00**                                           | **%**      | **$**                                                    | **273,791** |   | 100.00 | % | $ | 258,196 |   |

 

**7.Financial Highlights**

 

Per unit operating performance is calculated based on limited partners’capital taken as a whole. An individual limited partner’s per unit operatingperformance may vary from these per unit values based on the timing of capitaltransactions.

 

The ratios are calculated based on limited partners’ capital taken as awhole. The computation of such ratios based on the amount of net investmentloss, expenses and profit share allocation assessed to an individual partner’scapital account may vary from these ratios based on the timing of capitaltransactions.

 

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Returns are calculated for limited partners taken asa whole. An individual partner’s returns may vary from these returns based onthe timing of capital transactions.

 

**8.Subsequent Events**

 

As of February 21, 2003, limited partners made redemptions of $20,200.

 

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