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
or
¨
|
Transition
Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of
1934
|
Commission
File Number: 000-50102
GLOBAL
MACRO TRUST
(Exact
name of registrant as specified in its charter)
Delaware
|
36-7362830
|
|
(State
or other jurisdiction of
|
(I.R.S.
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)
(c) For
the 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
1
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)
2
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 |
(Concluded)
|
3
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)
4
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)
|
5
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)
6
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)
|
7
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)
|
8
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)
|
9
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)
|
10
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)
|
11
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.
12
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.
13
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:
14
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.
15
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
|
16
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.
17
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.
18
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.
19
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.
20
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.
21
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.
22
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.
23
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 | N/A | |||||||||||
August
31, 2009
|
12,587.652 | 1,180.91 | N/A | N/A | ||||||||||||
September
30, 2009
|
5,342.751 | 1,226.74 | 0 | 1,221.57 | ||||||||||||
Total
|
26,125.956 | 0 |
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:
24
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)
|
25