GLOBAL MACRO TRUST - FORM 10-Q

Attached files

file	filename
EX-32.01 - GLOBAL MACRO TRUST	v164274_ex32-01.htm
EX-32.03 - GLOBAL MACRO TRUST	v164274_ex32-03.htm
EX-31.02 - GLOBAL MACRO TRUST	v164274_ex31-02.htm
EX-31.03 - GLOBAL MACRO TRUST	v164274_ex31-03.htm
EX-32.02 - GLOBAL MACRO TRUST	v164274_ex32-02.htm
EX-31.01 - GLOBAL MACRO TRUST	v164274_ex31-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the Quarterly Period Ended: September 30, 2009

¨	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Commission File Number: 000-50102

GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)

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

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices)

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

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes ¨ No ¨

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

Large accelerated filer ¨		Accelerated filer ¨
Non-accelerated filer x		Smaller reporting company ¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ¨ No x

Global Macro Trust

Financial statements

For the three and nine months ended September 30, 2009 and 2008 (unaudited)

Statements of Financial Condition (a)	1
Condensed Schedules of Investments (a)	2
Statements of Operations (b)	6
Statements of Changes in Trust Capital (c)	8
Statements of Financial Highlights (b)	10
Notes to the Financial Statements (unaudited)	12

(a) At September 30, 2009 (unaudited) and December 31, 2008

(b) For the three and nine months ended September 30, 2009 and 2008 (unaudited)

Global Macro Trust

Statements of Financial Condition

	September 30
	2009		December 31
	(UNAUDITED)		2008
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes at market value
(amortized cost $106,777,339 and $63,160,186)	$	106,852,275	$	63,783,609
Net unrealized appreaciation on open futures and
forward currency contracts		35,664,942		8,795,238
Due from brokers		12,665,509		2,975,438
Restricted cash		28,103,000		-
Cash denominated in foreign currencies (cost $4,794,051
and $680,184)		5,434,118		714,527
Total equity in trading accounts		188,719,844		76,268,812

INVESTMENTS IN U.S. TREASURY NOTES at market value
(amortized cost $707,833,973 and $935,337,697)		708,638,313		942,031,016
CASH AND CASH EQUIVALENTS		26,636,757		66,551,598
ACCRUED INTEREST RECEIVABLE		7,471,994		9,781,465
TOTAL	$	931,466,908	$	1,094,632,891

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	223,218	$	9,723,446
Net unrealized depreciation on open futures contracts		-		4,194,584
Due to Managing Owner		198,740		22,611
Accrued brokerage fees		4,924,968		5,808,866
Accrued management fees		1,741		-
Redemptions payable to Unitholders		6,539,528		8,036,643
Redemptions payable to Managing Owner		-		29,151,044
Accrued expenses		193,025		248,479
Cash denominated in foreign currencies (cost $-609,699
and $-2,804,975)		588,726		2,746,779
Due to brokers		228,448		4,319,078
Total liabilities		12,898,394		64,251,530

TRUST CAPITAL (NET ASSETS):
Managing Owner interest (8,905.740 and 8,432.177 units outstanding)		10,925,013		11,560,510
Series 1 Unitholders (739,039.882 and 743,122.758 units outstanding)		906,609,066		1,018,820,851
Series 3 Unitholders (846.805 and 0 units outstanding)		1,034,435		-
Total trust capital (net assets)		918,568,514		1,030,381,361

TOTAL	$	931,466,908	$	1,094,632,891

NET ASSET VALUE PER UNIT OUTSTANDING
Series 1 Unitholders		1,226.74		1,371.00
Series 3 Unitholders	$	1,221.57	$	-

See notes to financial statements

Global Macro Trust

Condensed Schedule of Investments (UNAUDITED)

September 30, 2009

FUTURES AND FORWARD CURRENCY CONTRACTS	% of Trust Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		0.08	%	$	718,343
Grains		(0.06	)		(526,005	)
Interest rates
2 Year U.S. Treasury Note (2363 contracts, expiration date Dec 31, 2009)		0.08			710,656
5 Year U.S. Treasury Note (974 contracts, expiration date Dec 31, 2009)		0.03			235,851
10 Year U.S. Treasury Note (630 contracts, expiration date Dec 31, 2009)		0.03			242,920
30 Year U.S. Treasury Bond (407 contracts, expiration date Dec 31, 2009)		0.01			63,938
Other interest rates		0.46			4,398,549
Total interest rates		0.61			5,651,914

Metals		0.18			1,625,417
Softs		0.14			1,283,048
Stock indices		0.33			3,004,943
Total long futures contracts		1.28			11,757,660
Short futures contracts:
Energies		(0.19	)		(1,719,137	)
Grains		0.30			2,699,981
Interest rates		0.02			131,756
Livestock		(0.01	)		(57,510	)
Metals		(0.10	)		(913,237	)
Softs		(0.03	)		(236,031	)
Total short futures contracts		(0.01	)		(94,178	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		1.27			11,663,482
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		2.14			19,663,028
Total short forward currency contracts		0.47			4,338,432
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net		2.61			24,001,460

TOTAL		3.88	%	$	35,664,942

(Continued)

Global Macro Trust

Condensed Schedule of Investments (UNAUDITED)

September 30, 2009

U.S. Treasury Notes

Face Amount		Description	% of Trust Capital			Value

$	209,650,000	U.S. Treasury notes, 3.375%, 10/15/2009		22.85	%	$	209,912,064
	99,500,000	U.S. Treasury notes, 1.750%, 03/31/2010		10.92			100,261,794
	230,000,000	U.S. Treasury notes, 2.625%, 05/31/2010		25.43			233,593,750
	264,330,000	U.S. Treasury notes, 3.875%, 07/15/2010		29.58			271,722,980
		Total investments in U.S. Treasury notes
		(amortized cost $814,611,312)		88.78	%	$	815,490,588

See notes to financial statements

(Concluded)

Global Macro Trust

Condensed Schedule of Investments

December 31, 2008

FUTURES AND FORWARD CURRENCY CONTRACTS	% of Trust Capital			Net Unrealized Appreciation/ (Depreciation)

FUTURES CONTRACTS
Long futures contracts:
Energies		0.02	%	$	228,038
Grains		0.06			623,375
Interest rates		1.00			10,273,688
Metals		(0.12	)		(1,284,097	)
Softs		0.00			39,850
Total long futures contracts		0.96			9,880,854

Short futures contracts:
Energies		0.21			2,132,478
Grains		(0.33	)		(3,345,546	)
Interest rates		(0.10	)		(1,050,539	)
Livestock		0.06			608,080
Metals		0.19			1,971,470
Softs		(0.07	)		(734,502	)
Stock indices		(0.07	)		(715,194	)
Total short futures contracts		(0.11	)		(1,133,753	)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net		0.85			8,747,101

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts		0.15			1,552,974
Total short forward currency contracts		(0.55	)		(5,699,421	)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net		(0.40	)		(4,146,447	)

TOTAL		0.45	%	$	4,600,654

(Continued)

Global Macro Trust

Condensed Schedule of Investments

December 31, 2008

U.S. Treasury Notes

Face Amount		Description	% of Trust Capital			Value

$	99,500,000	U.S. Treasury notes, 4.000%, 03/31/2009		9.76	%	$	100,572,734
	265,100,000	U.S. Treasury notes, 3.875%, 05/15/2009		26.08			268,703,703
	293,900,000	U.S. Treasury notes, 3.625%, 07/15/2009		29.04			299,181,016
	329,380,000	U.S. Treasury notes, 3.375%, 10/15/2009		32.74			337,357,172
		Total investments in U.S. Treasury notes
		(amortized cost $998,497,883)		97.62	%	$	1,005,814,625

See notes to financial statements

(Concluded)

Global Macro Trust

Statements of Operations (UNAUDITED)

	For the three months ended
	September 30			September 30
	2009			2008
INVESTMENT INCOME:
Interest income	$	1,660,987		$	5,038,733

EXPENSES:
Brokerage fees		15,191,420			13,451,877
Administrative expenses		732,355			568,322
Custody fees		46,721			37,964
Management fees		1,741			-
Total expenses		15,972,237			14,058,163

NET INVESTMENT LOSS		(14,311,250	)		(9,019,430	)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		8,385,614			(22,547,339	)
Foreign exchange translation		-			26,061
Net change in unrealized:
Futures and forward currency contracts		33,733,681			(15,323,031	)
Foreign exchange translation		411,398			(245,652	)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(162,015	)		317,779
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		42,368,678			(37,772,182	)

NET INCOME (LOSS)		28,057,428			(46,791,612	)
LESS PROFIT SHARE TO MANAGING OWNER		8,467			(10,279,736	)
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	28,048,961		$	(36,511,876	)

NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
PER UNIT OUTSTANDING
Series 1 Unitholders (based on 755,566.868 weighted average units outstanding)	$	36.56		$	(60.25	)
Series 3 Unitholders (based on 846.805 units outstanding since inception, September 1, 2009)	$	40.66

(Continued)

Global Macro Trust

Statements of Operations (UNAUDITED)

	For the nine months ended
	September 30			September 30
	2009			2008
INVESTMENT INCOME:
Interest income	$	9,463,990		$	17,149,140

EXPENSES:
Brokerage fees		48,556,847			37,572,036
Administrative expenses		2,131,173			1,609,431
Custody fees		151,133			102,149
Management fees		1,741			-
Total expenses		50,840,894			39,283,616

NET INVESTMENT LOSS		(41,376,904	)		(22,134,476	)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(94,629,587	)		69,582,448
Foreign exchange translation		65,632			(792,925	)
Net change in unrealized:
Futures and forward currency contracts		31,064,288			3,920,147
Foreign exchange translation		568,501			(252,434	)
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(6,437,466	)		(951,114	)
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		(69,368,632	)		71,506,122

NET INCOME (LOSS)		(110,745,536	)		49,371,646
LESS PROFIT SHARE TO MANAGING OWNER		40,193			6,315,734
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	(110,785,729	)	$	43,055,912

NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
PER UNIT OUTSTANDING
Series 1 Unitholders (based on 760,444.621 weighted average units outstanding)	$	(144.26	)	$	73.38
Series 3 Unitholders (based on 846.805 units outstanding since inception, September 1, 2009)	$	40.66

See notes to financial statements

(Concluded)

Global Macro Trust

Statements of Changes in Trust Capital (UNAUDITED)

For the nine months ended September 30, 2009:

											New Profit
	Series 1 Unitholders						Series 3 Unitholders				Memo Account					Managing Owner					Total Trust Capital
	Amount			Units			Amount		Units		Amount			Units		Amount			Units		Amount			Units

Trust capital at
January 1, 2009	$	1,018,820,851			743,122.758		$	-		-	$	-			-	$	11,560,510			8,432.177	$	1,030,381,361			751,554.935
Subscriptions		75,302,904			56,659.027			1,000,000		846.805		-			-		-			-		76,302,904			57,505.832
Redemptions		(77,370,215	)		(62,246.436	)		-		-		-			-		-			-		(77,370,215	)		(62,246.436	)
Addt'l units allocated *		-			1,504.533			-		-		-			0.818		-			443.157		-			1,948.508
Net income (loss)		(110,144,474	)		-			34,435		-		(2,892	)		-		(672,798	)		-		(110,785,729	)		-
Managing Owner's allocation:
New Profit-Accrued		-			-			-		-		40,193			29.588		-			-		40,193			29.588
Transfer of New Profit Memo
Account to Managing Owner		-			-			-		-		-			-		-			-		-			-
Trust capital at
September 30, 2009	$	906,609,066			739,039.882		$	1,034,435		846.805	$	37,301			30.406	$	10,887,712			8,875.334	$	918,568,514			748,792.427

Net asset value per unit outstanding at at September 30, 2009:	$	1,226.74					$	1,221.57

* Additional units are issued to Unitholders who are charged less than a 7% brokerage fee

(Continued)

Global Macro Trust

Statements of Changes in Trust Capital (UNAUDITED)

For the nine months ended September 30, 2008:

							New Profit
	Series 1 Unitholders						Memo Account				Managing Owner				Total Trust Capital
	Amount			Units			Amount		Units		Amount		Units		Amount			Units

Trust capital at
January 1, 2008	$	618,384,029			534,394.969		$	-		-	$	6,373,279		5,507.640	$	624,757,308			539,902.609
Subscriptions		217,961,167			179,013.612			-		-		1,000,000		792.644		218,961,167			179,806.256
Redemptions		(52,867,931	)		(43,302.639	)		-		-		-		-		(52,867,931	)		(43,302.639	)
Addt'l units allocated *		-			911.254			-		7.006		-		350.657		-			1,268.917
Net income		42,239,668			-			5,219		-		811,025				43,055,912			-
Managing Owner's allocation:
New Profit-Accrued		-			-			6,315,734		5,129.685		-		-		6,315,734			5,129.685
Trust capital at
September 30, 2008	$	825,716,933			671,017.196		$	6,320,953		5,136.691	$	8,184,304		6,650.941	$	840,222,190			682,804.828

Net asset value per unit outstanding at at September 30, 2008:				$	1,230.55

* Additional units are issued to Unitholders who are charged less than a 7% brokerage fee

See notes to financial statements

(Concluded)

Global Macro Trust

Statements of Financial Highlights (UNAUDITED)

For the three months ended September 30	2009						2008
	Series 1			Series 3*			Series 1

Net income (loss) from operations:
Net investment loss	$	(18.95	)	$	(2.01	)	$	(14.05	)
Net realized and unrealized gains (losses) on
trading of futures and forward currency contracts		55.73			52.72			(62.63	)
Net gains (losses) from U.S. Treasury
obligations		(0.21	)		(0.05	)		0.49
Profit share allocated to Managing Owner		(0.01	)		(10.00	)		15.94
Net income (loss) per unit	$	36.56		$	40.66		$	(60.25	)

Net asset value per unit,
beginning of period		1,190.18			1,180.91			1,290.80

Net asset value per unit,
end of period	$	1,226.74		$	1,221.57		$	1,230.55

Total return and ratios for the three months ended September 30:	2009						2008
	Series 1			Series 3*			Series 1

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(6.36	) %		(1.98	) %		(4.59	) %

Total expenses (a)		7.09	%		2.64	%		7.11	%
Profit share allocation (b)		0.00			0.82			(1.30	)
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.09	%		3.46	%		5.81	%

Total return before profit share allocation (b)		3.07	%		4.29	%		(5.90	) %
Profit share allocation (b)		0.00			(0.85	)		1.23
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		3.07	%		3.44	%		(4.67	) %

(a) annualized

(b) not annualized

*Series 3 data is since inception, September 1, 2009

(Continued)

Global Macro Trust

Statements of Financial Highlights (UNAUDITED)

For the nine months ended September 30:	2009						2008
	Series 1			Series 3*

Net income (loss) from operations:
Net investment loss	$	(54.50	)	$	(2.01	)	$	(37.22	)
Net realized and unrealized gains on
trading of futures and forward currency contracts		(81.34	)		52.72			122.72
Net losses from U.S. Treasury
obligations		(8.37	)		(0.05	)		(1.57	)
Profit share allocated to Managing Owner		(0.05	)		(10.00	)		(10.55	)
Net income (loss) per unit	$	(144.26	)	$	40.66		$	73.38

Net asset value per unit,
beginning of period		1,371.00			1,180.91			1,157.17

Net asset value per unit,
end of period	$	1,226.74		$	1,221.57		$	1,230.55

Total return and ratios for the nine months ended September 30:	2009						2008
	Series 1			Series 3

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(5.76	)		(1.98	) %		(4.05	) %

Total expenses (a)		7.07			2.64	%		7.14	%
Profit share allocation (b)		0.00			0.82			0.86
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.07			3.46	%		8.00	%

Total return before profit share allocation (b)		(10.52	)		4.29	%		7.25	%
Profit share allocation (b)		(0.00	)		(0.85	)		(0.91	)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		(10.52	)		3.44	%		6.34	%

(a) annualized

(b) not annualized

*Series 3 data is since inception, September 1, 2009

See notes to financial statements

(Concluded)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Global Macro Trust’s (the “Trust”) financial condition at September 30, 2009 and December 31, 2008 and the results of its operations for the three and nine months ended September 30, 2009 and 2008. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Trust's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2008. The December 31, 2008 information has been derived from the audited financial statements as of December 31, 2008.

Restricted cash of $28,103,000 was used as margin collateral related to forward currency contracts held at Morgan Stanley & Co., Inc.

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 1, Series 2, Series 3 and Series 4 units. The units offered prior to such date are Series 1 units and, with respect to periods prior to the three months ended September 30, 2009, are referred to as units. As of September 30, 2009, no Series 2 or 4 units have been issued.

	Initial				Subject to	Redemption
	Subscription		Fee Amount	Executing, Clearing and	Profit Share?	Charges
Series	Date	Fee Type	per Annum	Other Trading Costs	(b)	Apply?
1	July 2002	Brokerage Fee	7.00% (a)	Paid by Managing Owner	Yes	Yes
2	n/a	Management Fee/Custodial Fee	2.00%/0.25%	Investor pays actual costs	Yes	No
3	September 2009	Management Fee	2.00%	Investor pays actual costs	Yes	No
4	n/a	n/a	0.00%	Investor pays actual costs	No	No

(a) Persons who invest $100,000 or more in the Series 1 Units pay annual Brokerage Fees at reduced rates. This reduction has no effect on other investors.

(b) Profit Shares shall be determined separately in respect of Series 1 Units and in respect of Series 2 and 3 Units in the aggregate.

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Prospectus), as well as extraordinary costs. At September 30, 2009, Millburn Ridgefield Corporation (the “Managing Owner”) is owed $184,150 from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the statements of financial condition).

Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' Net Asset Value as of the date of redemption. All redemption charges will be paid to the Managing Owner. At September 30, 2009, $14,590 of redemption charges was owed to the Managing Owner (and is included in “Due to Managing Owner” in the statements of financial condition).

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Trust enters into contracts that contain a variety of indemnification provisions. The Trust’s maximum exposure under these arrangements is unknown. The Trust does not anticipate recognizing any loss related to these arrangements.

On June 30, 2009, the Financial Accounting Standards Board (“FASB”) issued FASB Accounting Standards Codification (“Codification”). The Codification is effective for interim and annual periods ending after September 15, 2009 and is the source, along with guidance issued by the Securities and Exchange Commission, of authoritative U.S. accounting and reporting standards for nongovernmental entities. The Codification is a major restructuring of accounting and reporting standards designed to simplify user access to all authoritative U.S. generally accepted accounting principles by providing the authoritative literature in a topically organized structure. All other accounting literature not included in the Codification will be considered non-authoritative. The Codification does not change current U.S. GAAP. In the quarter ended September 30, 2009, references to authoritative U.S. GAAP literature in the Trust’s financial statements and the notes thereto in this Quarterly Report on Form 10-Q have been updated to reflect new Codification references.

The Income Taxes topic of the Codification (formerly FASB Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement No. 109 (“FIN 48”)), clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of a tax position, and if that position is more likely than not of being sustained on audit, based on the technical merits of the position. Based on a review of the Trust’s open tax years, 2005 to 2008, for the U.S. Federal jurisdiction, the New York and Delaware State jurisdictions, and the New York City jurisdiction, it did not have an impact on the Trust. The Trust is treated as a limited partnership for federal and state income tax reporting purposes and therefore the unitholders are responsible for the payment of taxes.

The Fair Value Measurements and Disclosures topic of the Codification (formerly FAS No. 157, Fair Value Measurements) defines fair value, establishes a framework for measuring fair value, and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1: Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

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

Level 3: Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Trust separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments. The Trust’s cash instruments are generally classified within level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and a short-term U.S. government money market fund. The Managing Owner of the Trust does not adjust the quoted price for such instruments, even in situations where the Trust holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts. Derivative contracts can be exchange-traded or over-the-counter (OTC). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within level 1 of the fair value hierarchy.

OTC derivatives, or forward currency contracts, are valued based on pricing models that consider the current market prices (“Spot Prices”) plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments. The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within level 2 of the fair value hierarchy.

The following table sets forth by level and major category within the fair value hierarchy:

Financial Assets at Fair Value as of September 30, 2009

	Level 1		Level 2		Total
U.S. Treasury Notes	$	815,490,588	$	0	$	815,490,588
Short-Term Money Market Fund		26,347,726		0		26,347,726
Exchange-Traded
Futures Contracts		11,663,482		0		11,663,482
Over-the-Counter
Forward Currency Contracts		0		24,001,460		24,001,460
Total assets at fair value	$	853,501,796	$	24,001,460	$	877,503,256

Financial Assets at Fair Value as of December 31, 2008

	Level 1		Level 2			Total
U.S. Treasury Notes	$	1,005,814,625	$	0		$	1,005,814,625
Short-Term Money Market Fund		66,101,133		0			66,101,133
Exchange-Traded
Futures Contracts		8,747,101		0			8,747,101
Over-the-Counter
Forward Currency Contracts		0		(4,146,447	)		(4,146,447	)
Total assets at fair value	$	1,080,662,859	$	(4,146,447	)	$	1,076,516,412

Derivative Instruments

The Derivatives and Hedging topic of the Codification (formerly FAS 161, "Disclosures about Derivative Instruments and Hedging Activities—an amendment of FASB Statement No. 133") requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Trust adopted these changes on January 1, 2009. As a result the Trust has expanded its disclosures regarding derivative instruments.

The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.

The Trust engages in the speculative trading of futures and forward contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. The following were the primary trading risk exposures of the Trust at September 30, 2009, by market sector:

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

Currencies. Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar. At September 30, 2009, the Trust had currency exposures to the Australian dollar, Brazilian real, British pound, Canadian dollar, Chiliean peso, Colombian peso, Czech koruna, Euro, Hong Kong dollar, Hungarian forint, Indian rupee, Israeli shekel, Japanese yen, Korean won, Mexican peso, New Zealand dollar, Norwegian krone, Polish zloty, Russian ruble, Singapore dollar, South African rand, Swedish krone, Swiss franc, Taiwan dollar, Thai baht and the Turkish lira.

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

Interest rates. Interest rate movements directly affect the price of the sovereign bond futures positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the United States, and the Eurozone. However, the Trust also may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary market exposure of the Trust for the foreseeable future.

Metals. The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

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

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair value of futures and forward currency contracts in an asset position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a liability position are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Trust’s policy regarding fair value measurement is discussed in the Fair Value and Disclosures note, contained herein.

Since the derivatives held or sold by the Trust are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Trust’s trading gains and losses in the Statements of Operations.

See “Item 3. Quantitative and Qualitative Disclosures About Market Risk” for additional derivative-related information.

The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2009. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	1,158,883	$	(440,540	)	$	398,015	$	(2,117,152	)	$	(1,000,794	)
Grains		-		(526,005	)		3,343,438		(643,457	)		2,173,976
Interest rates		5,855,610		(203,696	)		159,699		(27,943	)		5,783,670
Livestock		-		-			-		(57,510	)		(57,510	)
Metals		2,337,270		(711,853	)		-		(913,237	)		712,180
Softs		1,283,048		-			-		(236,031	)		1,047,017
Stock indices		4,693,694		(1,688,751	)		-		-			3,004,943
Total futures contracts:		15,328,505		(3,570,845	)		3,901,152		(3,995,330	)		11,663,482

Forward currency contracts		21,425,202		(1,762,174	)		8,222,447		(3,884,015	)		24,001,460

Total futures and
forward currency contracts	$	36,753,707	$	(5,333,019	)	$	12,123,599	$	(7,879,345	)	$	35,664,942

The effect of trading futures and forward currency contracts on the Statements of Operations for the three and nine months ended September 30, 2009 is detailed below:

	Three months ended:			Nine months ended:
Sector	September 30, 2009			September 30, 2009
Futures contracts:
Currencies	$	-		$	12,863
Energies		(5,808,597	)		(17,689,470	)
Grains		1,954,679			(285,597	)
Interest rates		11,352,510			(9,581,125	)
Livestock		704,790			3,022,570
Metals		2,485,753			(22,397,984	)
Softs		2,949,517			(1,526,206	)
Stock indices		13,990,085			(6,925,744	)
Total futures contracts:		27,628,737			(55,370,693	)

Forward currency contracts		14,490,558			(8,194,606	)

Total futures and
forward currency contracts	$	42,119,295		$	(63,565,299	)

The following table presents notional value by sector of open futures and forward currency contracts at September 30, 2009, in U.S. Dollars:

	Long		Short
Sector	Positions		Positions
Energies	$	84,796,580	$	100,180,322
Grains		13,250,750		56,463,638
Interest rates		1,329,978,578		43,723,774
Livestock		-		26,469,080
Metals		72,483,963		-
Softs		24,644,693		5,963,595
Stock indices		439,322,620		-
Futures - Total		1,964,477,184		232,800,409
Forward currency contracts		875,082,106		184,598,429
Total notional	$	2,839,559,290	$	417,398,838

Notional values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate futures positions to 10-year equivalent fixed income instruments, translated to U.S. Dollars at September 30, 2009. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.

Concentration of Credit Risk

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and trading counterparties which the Managing Owner believes to be creditworthy. In addition, for over-the-counter forward currency contracts, the Trust enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

A significant portion of the Trust’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. Inc. (“MS”). The Trust’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by DB and MS. The amount of such credit risk was $86,384,538 at September 30, 2009.

Recently Issued Accounting Pronouncements

The Subsequent Events topic of the Codification (formerly FAS 165, “Subsequent Events”) which establishes principles and requirements for disclosure about events that occur after the balance sheet date but before financial statements are issued or available to be issued. The Trust adopted these measures during the second quarter of 2009. Based on a review of any events occurring after the balance sheet date that may effect estimates made in the financial statements especially with regard to litigation or realization of receivables, the Managing Owner has determined that the guidance did not have an impact on the Trust. The Trust has updated its subsequent events disclosure through November 13, 2009, the filing date of this Form 10-Q Report.

The Fair Value Measurements and Disclosures topic of the Codification (formerly FASB Staff Position (“FSP”) No. 157-4, Determining Fair Value When the Volume and Level of Activity for the Asset or Liability Have Significantly Decreased and Identifying Transactions That Are Not Orderly (“FSP No. 157-4”)). This provides additional guidance for determining fair value and requires new disclosures regarding the categories of fair value instruments, as well as the inputs and valuation techniques utilized to determine fair value and any changes to the inputs and valuation techniques during the period. FASB further requires fair value disclosures of financial instruments on a quarterly basis as well as new disclosures regarding the methodology and significant assumptions underlying the fair value measures and any changes to the methodology and assumptions during the reporting period. The Trust adopted the guidance in the second quarter of 2009; the adoption had no material impact on the Trust's financial statements.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements". The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

Due to the nature of the Trust's business, its results of operations depend on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner's trading methods are confidential, so that substantially the only information that can be furnished regarding the Trust's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Trust, and its past performance is not necessarily indicative of future results. The Managing Owner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Trust has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

The Trust raises additional capital only through the sale of Units. Trust capital may also be increased by trading profits, if any. The Trust does not engage in borrowing. Units may be offered for sale as of the beginning of each month during any period for which the Trust has an effective registration statement.

The Trust trades futures and forward contracts on interest rates, commodities, currencies, metals, energies, livestock and stock indices. Due to the nature of the Trust's business, substantially all its assets are represented by cash and United States government obligations, while the Trust maintains its market exposure through open futures and forward contract positions.

The Trust's assets are generally held as cash, cash equivalents or U.S. Government obligations which are used to margin or collateralize the Trust's futures and forward positions and are withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due to, for example, daily price fluctuation limits, which are inherent in the Trust's futures and forward trading, the Trust's assets are highly liquid and are expected to remain so.

There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2008.

PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2009 and 2008. Profit share earned (from Unitholders' redemptions) is credited to the New Profit memo account as defined in the Trust’s Trust Agreement.

	Three months ended:
	9/30/09		9/30/08
Profit share earned		0		196,353
Reversal of profit share(1)		0		(16,368,486	)
Profit share accrued (2)		8,467		5,892,397
Total profit share		8,467		(10,279,736	)

	Nine months ended:
	9/30/09		9/30/08
Profit share earned		31,726		423,337
Profit share accrued (2)		8,467		5,892,397
Total profit share		40,193		6,315,734

	(1)	At July 1
	(2)	At September 30

RESULTS OF OPERATIONS

During its operations for the three and nine months ending September 30, 2009, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

Due to the nature of the Trust’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

Periods ended September 30, 2009

Month Ending:	Total Trust Capital

September 30, 2009	$	918,568,514
June 30, 2009		920,495,527
December 31, 2008		1,030,381,361

	Three Months			Nine Months
Change in Trust Capital	$	(1,927,013	)	$	(111,812,847	)
Percent Change		(0.21	)%		(10.85	)%

THREE MONTHS ENDED SEPTEMBER 30, 2009

The decrease in the Trust’s net assets of $1,927,013 for the three months ended September 30, 2009 was attributable to redemptions of $30,984,441 which was partially offset by subscriptions of $1,000,000 and net income (before profit share) of $28,057,428.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2009 increased $1,739,543 relative to the corresponding period in 2008 due to an increase in the Trust’s average net assets.

Administrative expenses for the three months ended September 30, 2009 increased $164,033 relative to the corresponding period in 2008. The increase was due mainly to an increase in the Trust's net assets during the three months ended September 30, 2009 relative to the corresponding period.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2009 decreased $3,377,746 relative to the corresponding period in 2008. This decrease was due predominantly to a decrease in short-term Treasury yields which was partially offset by an increase in average net assets.

The Trust experienced net realized and unrealized gain of $42,368,678 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $15,191,420, administrative expenses of $732,355, custody fees of $46,721, management fees of $1,741 and a profit share of $8,467 were incurred. Interest income of $1,660,987 partially offset the Trust's expenses resulting in a net income of $28,048,961. An analysis of the trading gain (loss) by sector is as follows:

	% GAIN
SECTOR	(LOSS)
Currencies		1.55	%
Energies		-0.65	%
Grains		0.21	%
Interest Rates		1.25	%
Livestock		0.08	%
Metals		0.27	%
Softs		0.33	%
Stock Indices		1.53	%
Total		4.57	%

NINE MONTHS ENDED SEPTEMBER 30, 2009

The decrease in the Trust’s net assets of $111,812,847 for the nine months ended September 30, 2009 was attributable to net loss (before profit share) of $110,745,536 and redemptions of $77,370,215 which was partially offset by subscriptions of $76,302,904.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2009 increased $10,984,811 relative to the corresponding period in 2008 due to an increase in the Trust’s average net assets.

Administrative expenses for the nine months ended September 30, 2009 increased $521,742 relative to the corresponding period in 2008. The increase was due mainly to an increase in the Trust's net assets during the nine months ended September 30, 2009 relative to the corresponding period in 2009.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2009 decreased $7,685,150 relative to the corresponding period in 2008. This decrease was due predominantly to a decrease in short-term Treasury yields which was partially offset by an increase in average net assets.

The Trust experienced net realized and unrealized losses of $69,368,632 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $48,556,847, administrative expenses of $2,131,173, custody fees of $151,133 management fees of $1,741 and profit share of $40,193 were incurred. Interest income of $9,463,990 partially offset the Trust's expenses resulting in a net loss of $110,785,729. An analysis of the trading gain (loss) by sector is as follows:

	% GAIN
SECTOR	(LOSS)
Currencies		-0.79	%
Energies		-1.89	%
Grains		0.02	%
Interest Rates		-0.99	%
Livestock		0.31	%
Metals		-2.20	%
Softs		-0.11	%
Stock Indices		-0.59	%
Total		-6.24	%

MANAGEMENT DISCUSSION – 2009

Three months ended September 30, 2009

The Trust's Series 1 net asset value increased 3.07% for the three months ended September 30, 2009 while the Trust's Series 3 net asset value increased 3.44% since its inception, September 1, 2009.

The financial markets led the way to profitable results in the third quarter, while commodities had a limited positive impact. Currencies were the most profitable sector, while long stock index and interest rate futures positions continued to contribute to positive performance.

The U.S. dollar has been on a losing streak since stocks started rallying in March and the global appetite for risk started increasing. The U.S. dollar has become a low yielder and its weakness is partially attributable to resurgence of the carry trade where U.S. dollars are sold and higher yielding currencies are bought. The downtrend is also supported by movement toward commodity-based currencies as confidence in the world economy improves. Short U.S. dollar positions versus the Australian and New Zealand dollars, Brazilian real, Colombian peso, South African rand, Korean won and Singapore dollar were profitable. In non-U.S. dollar crosses, the same factors generated profits on long Australian dollar positions versus the Canadian dollar, euro and British pound, and long New Zealand dollar positions versus the Canadian dollar, euro and Swiss franc.

The stock market rally of 2009 continued in the third quarter (except in Japan where the strong yen pinched exporters), and profits were generated on long positions in European, Asian and U.S. stock index futures.

Notwithstanding perceptions that the global economy has turned the corner, interest rates on government debt continued steady, and long positions in German, U.S., British and Japanese interest rate futures – particularly on the short end of the duration spectrum – were profitable.

After rising and falling in tandem earlier in the year, stocks and commodities have begun to diverge, with commodity prices beginning to reflect specific factors relevant to each market. Overall, the commodity sector of the portfolio was fractionally positive. Energy trading was negative as the long downtrend in natural gas and uptrend in gasoline reversed and moderate losses were sustained on short natural gas and long gasoline positions. Trading of crude oil also was not profitable. Metals were slightly positive with gains on long positions in gold, silver (related to a weaker U.S. dollar), lead and copper outweighing a loss on aluminum trading. Agricultural commodities were fractionally positive. Short positions in various wheat contracts and long positions in sugar, and cocoa were profitable. Long positions in soybeans and soybean meal, and a short position in coffee were unprofitable.

Three months ended June 30, 2009

The Trust's net asset value per unit decreased 10.34% for the three months ended June 30, 2009. The trend reversals which had commenced abruptly in mid-March continued in April and May, and were followed in June by volatile non-directional range trading. Consequently losses were sustained in each of the major sectors of the portfolio; interest rates, stock indices, currencies, energy, metals and agricultural commodities.

During April and May, market participants took heart from evidence that the worldwide recession was easing, banking systems were stabilizing, and credit markets were thawing. As stock markets rallied, losses were generated on existing short positions which were gradually reduced and reversed to long positions by early June. This stock market action, improving sentiment about the global economy and a willingness of investors to take on more risk weakened the dollar which had been playing a safe haven role during the financial crisis. Thus, long dollar positions produced losses and were reversed to short dollar positions by the end of May. The weaker dollar supported commodity prices, as did fears of inflation, improved capital goods orders and signs of improving Chinese demand. Consequently, losses were registered as short energy, metals, and agricultural positions were being reduced and, in many cases, reversed. The weaker dollar and higher commodity prices combined with the Treasury’s increased borrowing needs and the Fed’s quantitative easing to send interest rates on intermediate and long term government debt markedly higher, even as short rates remained near zero. Losses were incurred from long note and bond futures; positions which were reduced significantly.

In June, there were no clear pricing trends exhibited in global markets. The mid-March through May equity and commodity rallies, and dollar falloff began to lose momentum amidst sentiment that prices had gone too far too fast. Moreover, rumors that the Fed might raise rates before the end of the year—which were later deemed premature—sent short term interest rates sharply higher early in the month, producing losses on long positions.

Three months ended March 31, 2009

The Trust's net asset value per unit decreased 3.18% for the three months ended March 31, 2009. As the year began, the trends which had been dominant since the middle of 2008—declining equities, declining commodities, declining interest rates, and a rising US dollar—persisted, and the Trust posted a moderate gain. However, in early March, many of these trends reversed abruptly and the Trust suffered a loss during the final three weeks of the quarter that more than outweighed the earlier gain. For the quarter, trading of metals, currencies, energy and soft commodities futures was unprofitable, while trading of interest rate futures, and to a lesser extent equity and livestock futures was profitable.

For much of the quarter, a profusion of international government interventions failed to allay concerns about the ongoing financial and economic crisis which continued to roil markets. In this environment, the Trust continued to hold short positions in equity indices worldwide; short positions in most energy, metals, and agricultural commodity markets; long positions in interest rate futures; and long US dollar positions. Consequently, into early March, as equity and commodity prices fell, and as the dollar rose, the Trust registered a gain.

However, with equity markets at multi-year lows following six consecutive quarterly drops, some reports suggesting that the economic decline was slowing and perceptions that the latest government interventions might aid the financial system triggered some short covering and bottom fishing, causing stock markets to stage a substantial rally. As risk aversion decreased and the Federal Reserve announced plans to buy massive amounts of Treasury securities, the dollar lost some of its safe haven cachet and fell. This dollar decline, coupled with reduced pessimism about the future, arrested the decline in commodity prices. Interest rates did not respond to these changes and generally continued to decline. As a result, trading of equities, commodities and currencies was highly unprofitable for the month, while trading of interest rates provided only a partial offset.

Periods ended September 30, 2008

Month Ending:	Total Trust Capital

September 30, 2008	$	840,222,190
June 30, 2008		798,354,537
December 31, 2007		624,757,308

	Three Months			Nine Months

Change in Trust Capital	$	41,867,653		$	215,464,882
Percent Change		5.24	%		34.49	%

THREE MONTHS ENDED SEPTEMBER 30, 2008

The increase in the Trust’s net assets of $41,867,653 for the three months ended September 30, 2008 was attributable to subscriptions of $107,387,669 which was partially offset by a net loss (before profit share) of $46,791,612 and redemptions of $18,728,404.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2008 increased $3,804,580 relative to the corresponding period in 2007 due to an increase in the Trust’s net assets.

Administrative expenses for the three months ended September 30, 2008 increased $96,418 relative to the corresponding period in 2007. The increase was due mainly to an increase in the Trust’s net assets during the three months ended September 30, 2008, relative to the corresponding period in 2007.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2008 decreased $2,283,786 relative to the corresponding period in 2007. This decrease was due predominantly due to a significant decrease in short-term Treasury yields which was partially offset by an increase in the Trust’s net assets.

The Trust experienced net realized and unrealized losses of $37,772,182 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $13,451,877, administrative expenses of $568,322 and custody fees of $37,964 were incurred. Interest income of $5,038,733 and a reversal of accrued profit share to the Managing Owner of $10,279,736 partially offset the Trust's expenses resulting in net loss of $36,511,876. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss)
Currencies		-2.43	%
Energies		-2.00	%
Grains		-1.44	%
Interest Rates		0.23	%
Livestock		-0.08	%
Metals		-1.55	%
Softs		-0.06	%
Stock Indices		2.49	%
Trading Gain (Loss)		-4.84	%

NINE MONTHS ENDED SEPTEMBER 30, 2008

The increase in the Trust’s net assets of $215,464,882 for the nine months ended September 30, 2008 was attributable to net income (before profit share) of $49,371,646 and subscriptions of $218,961,167, which was partially offset by redemptions of $52,867,931.

Brokerage fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2008 increased $9,875,956 relative to the corresponding period in 2007 due to the increase in the Trust's net assets.

Administrative expenses for the nine months ended September 30, 2008 increased $269,966 relative to the corresponding period in 2007. The increase was due mainly to an increase in the Trust’s net assets during the nine months ended September 30, 2008, relative to the corresponding period in 2007.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2008 decreased $2,612,209 relative to the corresponding period in 2007. This decrease was due predominantly due to a significant decrease in short-term Treasury yields which was partially offset by an increase in the Trust’s net assets.

The Trust experienced net realized and unrealized gains of $71,506,122 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $37,572,036, administrative expenses of $1,609,431, custody fees of $102,149 and accrued profit share to the Managing Owner of $6,315,734 were incurred. Interest income of $17,149,140 partially offset the Trust's expenses resulting in net income of $43,055,912. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss)
Currencies		2.41	%
Energies		3.36	%
Grains		1.56	%
Interest Rates		0.48	%
Livestock		0.35	%
Metals		-0.02	%
Softs		-0.42	%
Stock Indices		3.22	%
Trading Gain (Loss)		10.94	%

MANAGEMENT DISCUSSION - 2008

Three months ended September 30, 2008

The Trust's net asset value per unit decreased 4.67% for the three months ended September 30, 2008, as negative results in July and August were only partially offset by a gain in September. Trading of currency, energy, metal and grain futures was unprofitable. Equity futures and interest rate trading produced a profit, while trading of soft and livestock futures had little impact on quarterly performance.

As the ongoing financial and economic turmoil triggered by the U.S. housing and mortgage crises and subsequent credit crunch exploded with international ramifications, worldwide inflation and growth dynamics changed markedly. Concerns about stagflation with the worst growth slowdown in the U.S. were replaced by worries about global deflation, recession and perhaps even depression as the world’s financial system seized up and nearly ground to a halt. In particular, September was a tumultuous month in world financial markets. Extraordinary events were too numerous to list completely but included the government seizures of Fannie and Freddie, the government bailout and substantial takeover of AIG Insurance, the bankruptcy of Lehman Brothers, “breaking the buck” by a major institutional money market fund, the rescue and sale of Washington Mutual and Wachovia in the U.S. and several major financial institutions in Europe and the initial defeat by the U.S. House of Representatives of the administration’s and Treasury secretary’s $700 billion bailout plan.

In this environment, an unwinding of risky trades and a flight to safety occurred, triggering reversals in a number of previously existing trends.

The U.S. dollar, which had been in a multi-year bear market, staged a strong rally. Losses were taken on short dollar positions against a variety of currencies, and many of those positions were switched to long dollar trades by quarter-end. In cross rate trading, losses were due to an unwinding of carry trades. Long positions in Aussie, New Zealand and Canadian dollars against lower yielding units were unprofitable.

Perceptions of weakening demand due to a global economic slowdown, increasing supplies, and the dollar rally contributed to a generalized weakening of commodity prices. Falling energy prices led to losses on long energy positions. Precious and industrial metal prices fell significantly. Long positions in gold, silver, platinum, copper and aluminum were unprofitable and subsequently reversed to short positions. Short positions in nickel and zinc were profitable. Trading of agricultural commodities resulted in moderate losses. Long positions in corn, and the soybean complex produced losses before being reversed to short positions. A long position in cocoa and trading of coffee and rubber also generated losses. On the other hand, short positions in wheat, cotton, sugar, and live cattle were profitable.

Not surprisingly, short stock index futures positions across a wide swath of global equity markets were quite profitable.

Finally, as inflation concerns gave way to deflation fears, the trend toward higher interest rates, evident in the first half of 2008, was interrupted in July and reversed to a declining trend by the end of the quarter. Long positions in U.S. and Japanese interest rate futures produced gains, but most of these gains were offset by losses on short positions in European interest rate futures that were later reversed to long positions. Trading of Australian interest rate futures was marginally profitable.

Three months ended June 30, 2008

The Trust's net asset value per unit increased 6.16% for the three months ended June 30, 2008. Energy trading accounted for half of the gain, and significant profits were registered from currency, metals, equity, and grain trading as well. Meanwhile, trading of interest rate futures, and to a lesser extent, livestock and soft commodities futures were unprofitable.

Energy prices continued their upward thrust with crude oil hitting successive new all-time highs throughout the quarter. Strong demand, including fundamental, investment and speculative components, along with low inventories, periodic supply disruptions, and geopolitical uncertainties underpinned energy price surges. Consequently, long positions in crude oil, gasoline, heating oil, kerosene, London gas oil, and natural gas were profitable. Near quarter-end, the high volatility in the energy markets resulted in further significant reductions in energy positions.

In currency trading, the dollar was under pressure due to the ongoing financial and economic turmoil triggered by the housing and mortgage crises and subsequent credit crunch. The easier Federal Reserve monetary policy that has ensued also weighed on the U.S. currency. Therefore, short dollar positions against a number of higher yield currencies including the Aussie and Singapore dollars, Brazilian real and Mexican peso, and Eastern European currencies were profitable. A long dollar trade versus the Korean won also produced a gain. On the other hand, short dollar positions against the New Zealand dollar and Chilean peso were unprofitable, as was a long dollar position against the South African rand. In non-dollar cross rate trading, short euro positions relative to the Eastern European currencies and a long Aussie dollar/short Canadian dollar trade were profitable.

Equity markets declined rather broadly during the quarter and short positions in European and U.S. equity indices generated profits. Meanwhile, long positions in South African, Hong Kong and Chinese indices resulted in losses.

Industrial metals prices were mixed. Short positions in zinc, nickel and lead, and long positions in tin, copper and aluminum were profitable. Long positions in precious metals had no appreciable effect on performance this quarter.

In grains, long positions in the soybean complex and corn were profitable, and more than offset the modest loss from trading wheat.

As the quarter began, the portfolio was positioned for a continuation of the lower interest rate trend. However, as inflation concerns spread even though economic activity remained questionable, market participants came to believe that monetary easing was at an end. Hence during April and May losses were sustained on long positions in U.S., European, and Japanese short, medium, and long term interest rate instruments. In response numerous positions were reduced and/or reversed. In June, interest rate trading was profitable largely due to short futures positions but still ended up with a loss for the quarter.

In soft commodities, the losses from trading sugar and cotton outweighed the gains from long cocoa and coffee trades. Short positions in livestock were unprofitable as the market expected herd liquidation due to high feed prices to abate and on positive export news.

Three months ended March 31, 2008

The Trust's net asset value per unit increased 5.08% for the three months ended March 31, 2008. Trading of dollar currency positions, and interest rate, grain, energy, metal and livestock futures were profitable. On the other hand, fractional losses were sustained from trading of cross currency positions, and stock index and soft commodity futures.

As the credit crisis spread and deepened, imperiling growth and employment prospects worldwide, central banks in the developed countries made more money available against a broader range of collateral for longer periods to a wider group of financial firms than ever before. In the U.S., increasing evidence of stress in the economy prompted the Federal Reserve to announce dramatic cuts in the federal funds and discount rates, providing much-needed liquidity and also facilitating a sale of embattled Bear Stearns to J.P. Morgan Chase.

In this environment, the U.S. dollar was under persistent pressure, falling to an all-time low against the euro and multi-year lows against a number of currencies including the yen, Swiss franc, Brazilian real and Columbian peso. As a result, short dollar positions were broadly profitable. Meanwhile, non-dollar cross rate trading was fractionally unprofitable.

As interest rates eased in a number of countries, long positions in U.S., Canadian and Japanese long-term and short-term interest rate futures were profitable, and outweighed losses on short positions in Australian interest rate futures. A long position in short-term euro rate futures was unprofitable as the ECB continued to resist calls for rate reductions due to inflation worries.

Agricultural markets, which have had a legendary run-up with several markets setting all-time records, were quite profitable, even though there was a significant sell-off in March. Grain prices have been underpinned by strong demand from the developing world that is experiencing an economic boom and by tight supplies. The USDA projects U.S. wheat inventories as the lowest for the end of the marketing year since 1948, and global wheat stockpiles headed for a 30-year low. Also, demand for corn and oilseeds were boosted by increased use of ethanol and diesel from vegetable oils. Indeed, some governments are restricting or taxing exports to retain domestic supplies. Consequently, long positions in wheat, corn, and the soybean complex were profitable. Further, short positions in livestock were profitable as high feed prices motivated producer selling.

Energy prices were firm and crude oil prices reached record levels due to strong global demand and tight supplies. The weakening U.S. dollar also buttressed energy and other commodity prices. Long positions in crude and London gas oil led to energy sector profits.

Precious metals prices advanced as the dollar fell, particularly early in the quarter and profits on long positions in gold, silver and platinum outweighed losses from trading of industrial metals.

High volatility and lack of well defined persistent trends kept equity futures positions reduced during the quarter, and gains and losses for individual equity futures netted to a marginal loss for the sector.

Off-Balance Sheet Arrangements

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

Contractual Obligations

The Trust does not enter into contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company. The Trust’s sole business is trading futures and forward contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within one year of the trade date and substantially all such contracts are held by the Trust for less than one year before being offset or rolled over into new contracts with similar maturities. The Financial Statements present a Condensed Schedule of Investments setting forth the Trust’s open futures, forward and other contracts at September 30, 2009.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

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

Quantifying the Trust's Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

The fair value of the Trust's futures and forward positions does not have any optionality component. However, the Managing Owner may also trade commodity options on behalf of the Trust. The Value at Risk associated with options would be reflected in the margin requirement attributable to the instrument underlying each option.

In the case of contracts denominated in foreign currencies, the Value at Risk figures include foreign margin amounts converted into U.S. Dollars.

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

The following table indicates the average highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for each quarter-end during the period ended September 30, 2009. During the nine months ended September 30, 2009, the Trust's average total capitalization was approximately $969,562,000.

	Average					Highest		Lowest
	Value		% of Average			Value		Value
Market Sector	at Risk		Capitalization			at Risk		at Risk
Currencies	$	21.6		2.2	%	$	34.9	$	12.7
Energies		8.0		0.8	%		11.7		4.8
Grains		5.1		0.5	%		5.9		4.2
Interest rates		27.9		2.9	%		40.9		14.9
Livestock		1.2		0.1	%		1.3		1.2
Metals		8.5		0.9	%		11.8		4.2
Softs		4.6		0.5	%		6.4		3.5
Stock indices		34.0		3.5	%		62.2		12.6
Total	$	110.9		11.4	%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2009. Average capitalization is the average of the Trust's capitalization at the end of each of the nine months ended September 30, 2009. Dollar amounts represent millions of dollars.

ITEM 4T. CONTROLS AND PROCEDURES

Millburn Ridgefield Corporation, the Managing Owner of the Trust, with the participation of the Managing Owner's Co-Chief Executive Officers and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Trust as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Owner’s internal control over financial reporting during the quarter ended September 30, 2009 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal control over financial & reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. Legal Proceedings - None

ITEM 1A. Risk Factors.

There are no material changes from risk factors as previously disclosed in Form 10-K, filed March 30, 2009.

ITEM 2.

Unregistered Sales of Equity Securities and Use of Proceeds (c) Pursuant to the Trust's Declaration of Trust and Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at the then current month-end Net Asset Value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding, and Units are not reissued once redeemed.

The following table summarizes the redemptions by Unitholders during the three months ended September 30, 2009:

Date of

Series 1

Units

Series 1

NAV per

Series 3

Units

Series 3

NAV per

Redemption

Redeemed

Unit

Redeemed

Unit

July 31, 2009

8,195.553

1,167.15

N/A

August 31, 2009

12,587.652

1,180.91

N/A

September 30, 2009

5,342.751

1,226.74

1,221.57

Total

26,125.956

ITEM 3. Defaults Upon Senior Securities - None

ITEM 4. Submission of Matters to a Vote of Security Holders - None

ITEM 5. Other Information – None

ITEM 6. (a) Exhibits -

The following exhibits are included herewith:

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Financial Officer

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By:	Millburn Ridgefield Corporation,

Managing Owner

Date: November 13, 2009
	/s/Tod A. Tanis
	Tod A. Tanis
	Vice-President
	(principal accounting officer)

GLOBAL MACRO TRUST - FORM 10-Q - November 13, 2009

Attached files

GLOBAL MACRO TRUST Reports