Attached files
| file | filename |
|---|---|
| 10-K - GLOBAL MACRO TRUST | v216284_10k.htm |
| EX-31.3 - GLOBAL MACRO TRUST | v216284_ex31-3.htm |
| EX-32.1 - GLOBAL MACRO TRUST | v216284_ex32-1.htm |
| EX-31.1 - GLOBAL MACRO TRUST | v216284_ex31-1.htm |
| EX-31.2 - GLOBAL MACRO TRUST | v216284_ex31-2.htm |
| EX-32.3 - GLOBAL MACRO TRUST | v216284_ex32-3.htm |
| EX-32.2 - GLOBAL MACRO TRUST | v216284_ex32-2.htm |
Exhibit 13.01
Global Macro Trust
(A Delaware Statutory Trust)
Financial Statements for the Years Ended December 31,
2010, 2009, and 2008, and Report of Independent
Registered Public Accounting Firm
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GLOBAL MACRO TRUST
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TABLE OF CONTENTS
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Page
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||
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AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION
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||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
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1
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|
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FINANCIAL STATEMENTS FOR THE YEARS ENDED DECEMBER 31, 2010, 2009, and 2008:
|
||
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Statements of Financial Condition
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2
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|
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Condensed Schedules of Investments
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3–6
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Statements of Operations
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7
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|
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Statements of Changes in Trust Capital
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8
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Statements of Financial Highlights
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9-12
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Notes to Financial Statements
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13–24
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AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION
In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Global Macro Trust, including the Condensed Schedules of Investments, as of December 31, 2010 and 2009, and the related Statements of Operations, Changes in Trust Capital and Financial Highlights for each of the three years in the period ended December 31, 2010, are complete and accurate.
Harvey Beker, Co-Chief Executive Officer
Millburn Ridgefield Corporation
Managing Owner of Global Macro Trust
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Unitholders of
Global Macro Trust:
We have audited the accompanying statements of financial condition of Global Macro Trust (the “Trust”), including the condensed schedules of investments, as of December 31, 2010 and 2009, and the related statements of operations, changes in trust capital and financial highlights for each of the three years in the period ended December 31, 2010. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Global Macro Trust at December 31, 2010 and 2009, and the results of its operations, changes in its trust capital and its financial highlights for each of the three years in the period ended December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.
Deloitte & Touche LLP
New York, New York
March 15, 2011
1
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GLOBAL MACRO TRUST
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STATEMENTS OF FINANCIAL CONDITION
|
|
AS OF DECEMBER 31, 2010 AND 2009
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See notes to financial statements
2
3
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GLOBAL MACRO TRUST
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CONDENSED SCHEDULE OF INVESTMENTS
|
|
AS OF DECEMBER 31, 2010
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U. S. TREASURY NOTES
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Fair Value
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|||||||||||
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Face
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as a % of
|
Fair
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|||||||||
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Amount
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Description
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Trust Capital
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Value
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||||||||
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|||||||||||
| $ | 174,000,000 |
U.S. Treasury notes, 0.875%, 03/31/2011
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19.52 | % | $ | 174,299,063 | |||||
| 185,700,000 |
U.S. Treasury notes, 0.875%, 05/31/2011
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20.86 | 186,251,297 | ||||||||
| 219,330,000 |
U.S. Treasury notes, 1.000%, 08/31/2011
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24.69 | 220,460,920 | ||||||||
| 219,650,000 |
U.S. Treasury notes, 0.750%, 11/30/2011
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24.70 | 220,542,328 | ||||||||
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TOTAL INVESTMENTS IN U.S. TREASURY
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|||||||||||
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NOTES (amortized cost $801,144,907)
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89.77 | % | $ | 801,553,608 | |||||||
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See notes to financial statements
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(Concluded)
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4
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GLOBAL MACRO TRUST
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CONDENSED SCHEDULE OF INVESTMENTS
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AS OF DECEMBER 31, 2009
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Net Unrealized
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||||||||
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Appreciation
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||||||||
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(Depreciation)
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Net Unrealized
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|||||||
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as a % of
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Appreciation
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|||||||
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Trust Capital
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(Depreciation)
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|||||||
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FUTURES AND FORWARD CURRENCY CONTRACTS
|
||||||||
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FUTURES CONTRACTS
|
||||||||
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Long futures contracts:
|
||||||||
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Energies
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1.37 | % | $ | 12,086,666 | ||||
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Grains
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0.05 | 471,763 | ||||||
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Interest rates:
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||||||||
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2 Year U.S. Treasury Note (1,190 contracts, settlement date 03/31/2010)
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(0.15 | ) | (1,356,983 | ) | ||||
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5 Year U.S. Treasury Note (714 contracts, settlement date 03/31/2010)
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(0.19 | ) | (1,625,882 | ) | ||||
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10 Year U.S. Treasury Note (404 contracts, settlement date 03/31/2010)
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(0.07 | ) | (606,828 | ) | ||||
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30 Year U.S. Treasury Bond (11 contracts, settlement date 03/31/2010)
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(0.00 | ) | (36,000 | ) | ||||
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Other interest rates
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(0.85 | ) | (7,412,093 | ) | ||||
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Total interest rates
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(1.26 | ) | (11,037,786 | ) | ||||
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Metals
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0.34 | 2,993,788 | ||||||
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Softs
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0.35 | 3,088,661 | ||||||
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Stock indices
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1.31 | 11,402,780 | ||||||
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Total long futures contracts
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2.16 | 19,005,872 | ||||||
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Short futures contracts:
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||||||||
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Energies
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(1.17 | ) | (10,330,324 | ) | ||||
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Grains
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(0.05 | ) | (478,937 | ) | ||||
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Interest rates
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0.00 | 37,750 | ||||||
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Livestock
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(0.03 | ) | (271,610 | ) | ||||
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Metals
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(0.20 | ) | (1,755,899 | ) | ||||
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Softs
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(0.02 | ) | (142,102 | ) | ||||
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Stock indices
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(0.03 | ) | (266,008 | ) | ||||
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Total short futures contracts
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(1.50 | ) | (13,207,130 | ) | ||||
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TOTAL INVESTMENTS IN FUTURES CONTRACTS ― Net
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0.66 | 5,798,742 | ||||||
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FORWARD CURRENCY CONTRACTS
|
||||||||
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Total long forward currency contracts
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(1.72 | ) | (15,178,661 | ) | ||||
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Total short forward currency contracts
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0.51 | 4,522,734 | ||||||
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TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS ― Net
|
(1.21 | ) | (10,655,927 | ) | ||||
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|
||||||||
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TOTAL
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(0.55 | )% | $ | (4,857,185 | ) | |||
|
(Continued)
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||||||||
5
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GLOBAL MACRO TRUST
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CONDENSED SCHEDULE OF INVESTMENTS
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AS OF DECEMBER 31, 2009
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U.S. TREASURY NOTES
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|||||||||||
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Fair Value
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|||||||||||
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Face
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as a % of
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Fair
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|||||||||
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Amount
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Description
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Trust Capital
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Value
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||||||||
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|||||||||||
| $ | 99,500,000 |
U.S. Treasury notes, 1.750%, 03/31/2010
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11.37 | % | $ | 99,904,219 | |||||
| 230,000,000 |
U.S. Treasury notes, 2.625%, 05/31/2010
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26.42 | 232,300,000 | ||||||||
| 244,330,000 |
U.S. Treasury notes, 3.875%, 07/15/2010
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28.33 | 249,102,070 | ||||||||
| 233,650,000 |
U.S. Treasury notes, 4.250%, 10/15/2010
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27.38 | 240,696,008 | ||||||||
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TOTAL INVESTMENTS IN U.S. TREASURY
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|||||||||||
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NOTES (amortized cost $821,390,561)
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93.50 | % | $ | 822,002,297 | |||||||
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See notes to financial statements
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(Concluded)
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||||||||||
6
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GLOBAL MACRO TRUST
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STATEMENTS OF OPERATIONS
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YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008
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2010
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2009
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2008
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||||||||||
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INVESTMENT INCOME — Interest income
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$ | 3,235,502 | $ | 9,966,151 | $ | 21,273,709 | ||||||
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EXPENSES:
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||||||||||||
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Brokerage fees
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57,320,175 | 63,566,376 | 54,511,974 | |||||||||
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Administrative expenses
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2,233,354 | 2,670,335 | 2,590,867 | |||||||||
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Custody fees
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160,011 | 193,127 | 160,055 | |||||||||
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Management fees
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143,533 | 10,864 | - | |||||||||
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Total expenses
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59,857,073 | 66,440,702 | 57,262,896 | |||||||||
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NET INVESTMENT LOSS
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(56,621,571 | ) | (56,474,551 | ) | (35,989,187 | ) | ||||||
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NET REALIZED AND UNREALIZED GAINS (LOSSES):
|
||||||||||||
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Net realized gains (losses) on closed positions:
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||||||||||||
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Futures and forward currency contracts
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87,904,542 | (49,280,152 | ) | 214,035,345 | ||||||||
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Foreign exchange translation
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352,202 | 126,508 | (848,741 | ) | ||||||||
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Net change in unrealized:
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||||||||||||
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Futures and forward currency contracts
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42,259,414 | (9,457,839 | ) | (8,084,164 | ) | |||||||
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Foreign exchange translation
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(302,673 | ) | 352,661 | 135,285 | ||||||||
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Net gains (losses) from U.S. Treasury notes:
|
||||||||||||
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Realized
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16,976 | 526,749 | - | |||||||||
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Net change in unrealized
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(203,035 | ) | (6,705,006 | ) | 4,991,515 | |||||||
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Total net realized and unrealized gains (losses)
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130,027,426 | (64,437,079 | ) | 210,229,240 | ||||||||
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NET INCOME (LOSS)
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73,405,855 | (120,911,630 | ) | 174,240,053 | ||||||||
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LESS PROFIT SHARE TO MANAGING OWNER
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262,695 | 43,187 | 30,185,853 | |||||||||
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NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER
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$ | 73,143,160 | $ | (120,954,817 | ) | 144,054,200 | ||||||
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NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING (see Note 7):
|
||||||||||||
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Series 1 Unitholders
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$ | 102.20 | $ | (159.03 | ) | $ | 213.83 | |||||
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Series 2 Unitholders
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$ | 72.46 | $ | - | $ | - | ||||||
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Series 3 Unitholders
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$ | 131.36 | $ | 40.53 | $ | - | ||||||
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Series 4 Unitholders
|
$ | 50.68 | $ | - | $ | - | ||||||
See notes to financial statements
7
|
GLOBAL MACRO TRUST
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STATEMENTS OF CHANGES IN TRUST CAPITAL
|
|
YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008
|
|
New Profit Memo
|
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Series 1 Unitholders
|
Series 2 Unitholders
|
Series 3 Unitholders
|
Series 4 Unitholders
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Account
|
Managing Owner
|
Total
|
||||||||||||||||||||||||||||||||||||||||||||||||||
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
Units
|
|||||||||||||||||||||||||||||||||||||||||||
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TRUST CAPITAL — January 1, 2008
|
$ | 618,384,029 | 534,394.969 | $ | - | - | $ | - | - | $ | - | - | $ | - | - | $ | 6,373,279 | 5,507.640 | $ | 624,757,308 | 539,902.609 | |||||||||||||||||||||||||||||||||||
|
Subscriptions
|
341,517,412 | 272,963.809 | - | - | - | - | - | - | - | - | 1,900,000 | 1,461.442 | 343,417,412 | 274,425.251 | ||||||||||||||||||||||||||||||||||||||||||
|
Redemptions
|
(82,882,368 | ) | (65,542.043 | ) | - | - | - | - | - | - | - | - | (29,151,044 | ) | (21,262.614 | ) | (112,033,412 | ) | (86,804.657 | ) | ||||||||||||||||||||||||||||||||||||
|
Additional units allocated*
|
- | 1,306.023 | - | - | - | - | - | - | - | 28.600 | - | 635.432 | - | 1,970.055 | ||||||||||||||||||||||||||||||||||||||||||
|
Net income after profit share to Managing Owner
|
141,801,778 | - | - | - | - | - | - | - | 99,892 | - | 2,152,530 | - | 144,054,200 | - | ||||||||||||||||||||||||||||||||||||||||||
|
Managing Owner’s profit share
|
- | - | - | - | - | - | - | - | 30,185,853 | 22,061.677 | - | - | 30,185,853 | 22,061.677 | ||||||||||||||||||||||||||||||||||||||||||
|
Transfer of New Profit Memo Account to Managing Owner
|
- | - | - | - | - | - | - | - | (30,285,745 | ) | (22,090.277 | ) | 30,285,745 | 22,090.277 | - | - | ||||||||||||||||||||||||||||||||||||||||
|
TRUST CAPITAL — December 31, 2008
|
1,018,820,851 | 743,122.758 | - | - | - | - | - | - | - | - | 11,560,510 | 8,432.177 | 1,030,381,361 | 751,554.935 | ||||||||||||||||||||||||||||||||||||||||||
|
Subscriptions
|
78,304,008 | 59,130.010 | - | - | 1,727,114 | 1,444.668 | - | - | - | - | - | - | 80,031,122 | 60,574.678 | ||||||||||||||||||||||||||||||||||||||||||
|
Redemptions
|
(110,305,815 | ) | (89,327.054 | ) | - | - | - | - | - | - | - | - | (40,426 | ) | (33.356 | ) | (110,346,241 | ) | (89,360.410 | ) | ||||||||||||||||||||||||||||||||||||
|
Transfers
|
(461,258 | ) | (388.822 | ) | - | - | 461,258 | 386.624 | - | - | - | - | - | - | - | (2.198 | ) | |||||||||||||||||||||||||||||||||||||||
|
Additional units allocated*
|
- | 1,983.082 | - | - | - | - | - | - | - | 1.214 | - | 592.416 | - | 2,576.712 | ||||||||||||||||||||||||||||||||||||||||||
|
Net income (loss) after profit share to Managing Owner
|
(120,377,559 | ) | - | - | - | 48,439 | - | - | - | (2,761 | ) | - | (622,936 | ) | - | (120,954,817 | ) | - | ||||||||||||||||||||||||||||||||||||||
|
Managing Owner’s profit share
|
- | - | - | - | - | - | - | - | 43,187 | 32.142 | - | - | 43,187 | 32.142 | ||||||||||||||||||||||||||||||||||||||||||
|
Transfer of New Profit Memo Account to Managing Owner
|
- | - | - | - | - | - | - | - | (40,426 | ) | (33.356 | ) | 40,426 | 33.356 | - | - | ||||||||||||||||||||||||||||||||||||||||
|
TRUST CAPITAL — December 31, 2009
|
865,980,227 | 714,519.974 | - | - | 2,236,811 | 1,831.292 | - | - | - | - | 10,937,574 | 9,024.593 | 879,154,612 | 725,375.859 | ||||||||||||||||||||||||||||||||||||||||||
|
Subscriptions
|
31,438,164 | 25,234.721 | 95,530 | 75.492 | 11,260,170 | 8,961.540 | 71,041 | 55.233 | - | - | - | - | 42,864,905 | 34,326.986 | ||||||||||||||||||||||||||||||||||||||||||
|
Redemptions
|
(100,149,285 | ) | (81,345.253 | ) | - | - | (387,647 | ) | (311.730 | ) | - | - | - | - | (1,962,829 | ) | (1,528.360 | ) | (102,499,761 | ) | (83,185.343 | ) | ||||||||||||||||||||||||||||||||||
|
Additional units allocated*
|
- | 1,813.074 | - | - | - | - | - | - | - | 0.022 | - | 615.248 | - | 2,428.344 | ||||||||||||||||||||||||||||||||||||||||||
|
Net income after profit share to Managing Owner
|
70,377,586 | - | 6,427 | - | 1,069,450 | - | 4,408 | - | 134 | 1,685,155 | - | 73,143,160 | - | |||||||||||||||||||||||||||||||||||||||||||
|
Managing Owner’s profit share
|
- | - | - | - | - | - | - | - | 262,695 | 199.974 | - | - | 262,695 | 199.974 | ||||||||||||||||||||||||||||||||||||||||||
|
Transfer of New Profit Memo Account to Managing Owner
|
- | - | - | - | - | - | - | - | (262,829 | ) | (199.996 | ) | 262,829 | 199.996 | - | - | ||||||||||||||||||||||||||||||||||||||||
|
TRUST CAPITAL — December 31, 2010
|
$ | 867,646,692 | 660,222.516 | $ | 101,957 | 75.492 | $ | 14,178,784 | 10,481.102 | $ | 75,449 | 55.233 | $ | - | - | $ | 10,922,729 | 8,311.477 | $ | 892,925,611 | 679,145.820 | |||||||||||||||||||||||||||||||||||
* Additional units are issued to Series 1 Unitholders and the Managing Owner who are charged less than a 7.0% brokerage fee.
See notes to financial statements
8
|
GLOBAL MACRO TRUST
|
|
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 1
|
|
YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008
|
|
2010
|
2009
|
2008
|
||||||||||
|
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):
|
||||||||||||
|
Net income (loss) from operations:
|
||||||||||||
|
Net investment loss (a)
|
$ | (82.06 | ) | $ | (75.05 | ) | $ | (57.47 | ) | |||
|
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts
|
184.52 | (75.84 | ) | 311.42 | ||||||||
|
Net gains (losses) from U.S. Treasury notes (a)
|
(0.26 | ) | (8.10 | ) | 7.85 | |||||||
|
Net income (loss) from operations
|
102.20 | (158.99 | ) | 261.80 | ||||||||
|
Less profit share allocated to Managing Owner
|
- | 0.04 | 47.97 | |||||||||
|
Net income (loss) after profit allocation
|
102.20 | (159.03 | ) | 213.83 | ||||||||
|
NET ASSET VALUE — Beginning of year
|
1,211.97 | 1,371.00 | 1,157.17 | |||||||||
|
NET ASSET VALUE — End of year
|
$ | 1,314.17 | $ | 1,211.97 | $ | 1,371.00 | ||||||
|
RETURNS:
|
||||||||||||
|
Total return before profit share allocation
|
8.43 | % | (11.60 | )% | 22.62 | % | ||||||
|
Profit share allocation
|
- | - | (4.14 | ) | ||||||||
|
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
|
8.43 | % | (11.60 | )% | 18.48 | % | ||||||
|
RATIOS TO AVERAGE TRUST CAPITAL:
|
||||||||||||
|
Net investment loss
|
(6.66 | )% | (6.00 | )% | (4.55 | )% | ||||||
|
Total expenses
|
7.03 | 7.05 | 7.21 | |||||||||
|
Profit share allocation
|
- | - | 3.80 | |||||||||
|
Total expenses and profit share allocation
|
7.03 | % | 7.05 | % | 11.01 | % | ||||||
(a) Calculated based on the weighted average number of units during the year, see Note 7.
|
(Continued)
|
9
|
GLOBAL MACRO TRUST
|
|
STATEMENT OF FINANCIAL HIGHLIGHTS ― SERIES 2
|
|
PERIOD ENDED DECEMBER 31, 2010*
|
|
2010
|
||||
|
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):
|
||||
|
Net income (loss) from operations:
|
||||
|
Net investment loss (a)
|
$ | (23.37 | ) | |
|
Net realized and unrealized gains on trading of futures and forward currency contracts
|
124.78 | |||
|
Net losses from U.S. Treasury notes (a)
|
(0.10 | ) | ||
|
Net income from operations
|
101.31 | |||
|
Less profit share allocated to Managing Owner
|
28.85 | |||
|
Net income after profit allocation
|
72.46 | |||
|
NET ASSET VALUE — Beginning of period
|
1,278.10 | |||
|
NET ASSET VALUE — End of period
|
$ | 1,350.56 | ||
|
RETURNS:
|
||||
|
Total return before profit share allocation
|
7.20 | % | ||
|
Profit share allocation
|
(1.53 | ) | ||
|
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
|
5.67 | % | ||
|
RATIOS TO AVERAGE TRUST CAPITAL:
|
||||
|
Net investment loss
|
(2.45 | )% | ||
|
Total expenses
|
2.80 | |||
|
Profit share allocation
|
2.27 | |||
|
Total expenses and profit share allocation
|
5.07 | % | ||
(a) Calculated based on the weighted average number of units during the period, see Note 7.
*Series 2 units were first issued on April 1, 2010. Net investment loss and total expense ratios have been annualized.
(Continued)
10
|
GLOBAL MACRO TRUST
|
|
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 3
|
|
YEAR ENDED DECEMBER 31, 2010 AND PERIOD ENDED DECEMBER 31, 2009*
|
|
2010
|
2009
|
|||||||
|
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR/PERIOD):
|
||||||||
|
Net income (loss) from operations:
|
||||||||
|
Net investment loss (a)
|
$ | (27.90 | ) | $ | (8.71 | ) | ||
|
Net realized and unrealized gains on trading of futures and forward currency contracts
|
206.79 | 58.50 | ||||||
|
Net losses from U.S. Treasury notes (a)
|
(0.41 | ) | (0.59 | ) | ||||
|
Net income from operations
|
178.48 | 49.20 | ||||||
|
Less profit share allocated to Managing Owner
|
47.12 | 8.67 | ||||||
|
Net income after profit allocation
|
131.36 | 40.53 | ||||||
|
NET ASSET VALUE — Beginning of year/period
|
1,221.44 | 1,180.91 | ||||||
|
NET ASSET VALUE — End of year/period
|
$ | 1,352.80 | $ | 1,221.44 | ||||
|
RETURNS:
|
||||||||
|
Total return before profit share allocation
|
13.71 | % | 4.17 | % | ||||
|
Profit share allocation
|
(2.96 | ) | (0.74 | ) | ||||
|
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION
|
10.75 | % | 3.43 | % | ||||
|
RATIOS TO AVERAGE TRUST CAPITAL:
|
||||||||
|
Net investment loss
|
(2.19 | )% | (2.14 | )% | ||||
|
Total expenses
|
2.55 | 2.61 | % | |||||
|
Profit share allocation
|
3.70 | 0.71 | ||||||
|
Total expenses and profit share allocation
|
6.25 | % | 3.32 | % | ||||
(a) Calculated based on the weighted average number of units during the year/period, see Note 7.
*Series 3 units were first issued on September 1, 2009. Net investment loss and total expense ratios have been annualized.
(Continued)
11
|
GLOBAL MACRO TRUST
|
|
STATEMENTS OF FINANCIAL HIGHLIGHTS ― SERIES 4
|
|
PERIOD ENDED DECEMBER 31, 2010*
|
|
2010
|
||||
|
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):
|
||||
|
Net income (loss) from operations:
|
||||
|
Net investment loss (a)
|
$ | (0.38 | ) | |
|
Net realized and unrealized gains on trading of futures and forward currency contracts
|
51.13 | |||
|
Net losses from U.S. Treasury notes (a)
|
(0.07 | ) | ||
|
Net income from operations
|
50.68 | |||
|
NET ASSET VALUE — Beginning of period
|
1,315.33 | |||
|
NET ASSET VALUE — End of period
|
$ | 1,366.01 | ||
|
TOTAL RETURN
|
3.85 | % | ||
|
RATIOS TO AVERAGE TRUST CAPITAL:
|
||||
|
Net investment loss
|
(0.17 | )% | ||
|
Total expenses
|
0.47 | % | ||
(a) Calculated based on the weighted average number of units during the year, see Note 7.
*Series 4 units were first issued on November 1, 2010. Net investment loss and total expense ratios have been annualized.
|
See notes to financial statements
|
(Concluded)
|
12
|
GLOBAL MACRO TRUST
|
|
NOTES TO FINANCIAL STATEMENTS
|
|
YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008
|
|
1.
|
ORGANIZATION
|
Global Macro Trust (the “Trust”) was organized on July 23, 2001, under the Delaware Statutory Trust Act. At such time, original capital of $400 by Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by the Initial Unitholder, an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July 1, 2002. The Trust engages in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile and involve a high degree of market risk.
The Managing Owner manages the business of the Trust and makes all trading decisions.
The Managing Owner has agreed to make additional capital contributions, subject to certain possible exceptions, in order to maintain its capital account at not less than 1% of the total outstanding capital contributions in the Trust (including the Managing Owner’s contributions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the “Unitholders”) of the Units of Beneficial Interest (“Units”) issued by the Trust will share in any profits and losses of the Trust in proportion to the percentage interest owned by each before brokerage commissions, management fees and profit share allocations.
The Trust will dissolve on December 31, 2031 or at an earlier date if certain conditions occur set forth in the Fourth Amended and Restated Declaration of Trust and the Trust Agreement (the “Agreement”).
|
2.
|
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted in the United States (“U.S.”) as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”).
Investments — The Trust records its transactions in futures and forward currency contracts and U.S. Treasury notes including related income and expenses on a trade date basis.
Open futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on pricing models that consider the time value of money and the current market and contractual prices of the underlying financial instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains (losses) in the Statements of Operations.
Investments in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3 pm EST by Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 6) as collateral for performance of the Trust’s trading obligations with respect to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.
13
Cash and Cash Equivalents — Cash and cash equivalents includes cash and investments in short term U.S. government securities and related instruments money market funds: Dreyfus Treasury Prime Cash Management at December 31, 2010 and Dreyfus Treasury & Agency Cash Management at December 31, 2009.
Foreign Currency Translation — Assets and liabilities denominated in foreign currencies are translated to U.S. Dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to U.S. Dollars at the exchange rate prevailing when such transactions occurred.
Income Taxes —The Income Taxes topic of the Codification 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 not being sustained on audit based on the technical merits of the position. Based on a review of the Trust’s open tax years, 2007 to 2010, for the U.S. Federal jurisdiction, the New York and Delaware State jurisdictions and the New York City jurisdiction, there is no impact on the Trust with regard to uncertainty in tax positions. 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.
Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. 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.
Right of Offset — The customer agreements between the Trust and each of its brokers give the Trust the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition.
Fair Value of Financial Instruments — The fair value of the Trust’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of 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.
14
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 an investment in a short-term U.S. government securities and related instruments 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.
In January 2010, the FASB issued ASU No. 2010-06, “Fair Value Measurements and Disclosures — Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 provides amendments that require new disclosures about transfers in and out of Levels 1 and 2 and activity in Level 3 fair value measurements. ASU No. 2010-06 also clarifies existing disclosures about the level of disaggregation and inputs and valuation techniques. Certain disclosure requirements were effective for the Trust beginning in the first quarter of 2010, while other disclosure requirements are effective for financial statements issued for reporting periods beginning after December 15, 2010. As these amended principles require only additional disclosures concerning fair value measurements, adoption did not and will not affect the Trust’s financial condition or results of operations. During the year ended December 31, 2010 there were no transfers of assets or liabilities between Level 1 and Level 2.
The following table sets forth by level within the fair value hierarchy. At December 31, 2010 and December 31, 2009, the Trust held no assets or liabilities classified in Level 3.
15
Financial Assets at Fair Value as of December 31, 2010
|
Level 1
|
Level 2
|
Total
|
||||||||||
|
U.S. Treasury notes
|
$ | 801,553,608 | $ | - | $ | 801,553,608 | ||||||
|
Short-term money market fund
|
47,651,151 | - | 47,651,151 | |||||||||
|
Exchange-traded futures contracts
|
||||||||||||
|
Energies
|
1,647,872 | - | 1,647,872 | |||||||||
|
Grains
|
5,728,407 | - | 5,728,407 | |||||||||
|
Interest rates
|
1,327,790 | - | 1,327,790 | |||||||||
|
Livestock
|
283,540 | - | 283,540 | |||||||||
|
Metals
|
9,307,589 | - | 9,307,589 | |||||||||
|
Softs
|
2,630,682 | - | 2,630,682 | |||||||||
|
Stock indices
|
5,538,955 | - | 5,538,955 | |||||||||
|
Total exchange-traded futures contracts
|
26,464,835 | - | 26,464,835 | |||||||||
|
Over-the-counter forward currency contracts
|
- | 10,937,394 | 10,937,394 | |||||||||
|
Total financial assets at fair value
|
$ | 875,669,594 | $ | 10,937,394 | $ | 886,606,988 | ||||||
Financial Assets at Fair Value as of December 31, 2009
|
Level 1
|
Level 2
|
Total
|
||||||||||
|
U.S. Treasury notes
|
$ | 822,002,297 | $ | - | $ | 822,002,297 | ||||||
|
Short-term money market fund
|
61,919,651 | - | 61,919,651 | |||||||||
|
Exchange-traded futures contracts
|
5,798,742 | - | 5,798,742 | |||||||||
|
Over-the-counter forward currency contracts
|
- | (10,655,927 | ) | (10,655,927 | ) | |||||||
|
Total financial assets at fair value
|
$ | 889,720,690 | $ | (10,655,927 | ) | $ | 879,064,763 | |||||
|
3.
|
TRUST AGREEMENT
|
With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 2, Series 3 and Series 4 units. The only units offered prior to such date were Series 1 units. Series 2, Series 3 and Series 4 units were first issued April 1, 2010, September 1, 2009 and November 1, 2010, respectively.
Series 1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value (prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who make net capital investments into Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged less than the annual brokerage rate of 7.0% as follows:
16
|
Net Capital Investments
|
Brokerage Fee
|
|||
|
$100,000–$499,999
|
6.50 | % | ||
|
$500,000–$999,999
|
6.00 | |||
|
Greater than $1,000,000
|
5.50 | |||
|
Asset-based or fixed fee investment programs
|
4.00 | |||
Brokerage fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.
The Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust’s futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.
The Trust pays the Managing Owner a management fee of 2% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 2 and 3 Units. In addition, Series 2 Unitholders pay an annual custodial fee of 0.25% of their attributable Net Asset Value before management fee and profit share calculations. Series 2, 3 and 4 Units are also charged for their pro rata share of the Trust’s actual trade execution and clearing costs including electronic platform trading costs. Series 4 Unitholders are not charged a management fee.
The Agreement provides that the Managing Owner’s profit share, equal to 20% of New Trading Profits in excess of the highest cumulative level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders’ capital accounts. The highest cumulative level of Trading Profit is maintained separately for Series 1 and Series 2 and 3 Unitholders in the aggregate. Series 4 Unitholders are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders’ redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called New Profit Memo Account. Any profit share charged is added to the Managing Owner’s capital account to the extent that net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year’s profit share, a corresponding amount is transferred from the New Profit Memo Account to the Managing Owner’s capital account.
The Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees’ fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner, at its discretion, may reimburse certain expenses paid by the Trust.
17
Units may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on the last business day of any calendar month on ten business days’ written notice to the Managing Owner. Series 1 Unitholders who redeem Units at or prior to the end of the first consecutive six-month and five-month periods 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 as follows:
|
Redemption Charge
|
||||||||
|
Subscriptions
|
First 6 Months
|
Second 5 Months
|
||||||
|
Less than $100,000
|
4.0 | % | 3.0 | % | ||||
|
$100,000–$499,999
|
3.5 | 2.5 | ||||||
|
$500,000–$999,999
|
3.0 | 2.0 | ||||||
|
Greater than $1,000,000
|
2.5 | 1.5 | ||||||
All redemption charges will be paid to the Managing Owner. At December 31, 2010 and 2009, $1,276 and $5,492, respectively, of redemption charges were owed to the Managing Owner and are included in “Due to Managing Owner” in the Statements of Financial Condition. The aggregate amount of redemption charges paid to the Managing Owner for the years ended December 31, 2010, 2009, and 2008, were $17,207, $266,979, and $137,776, respectively.
|
4.
|
DUE FROM/TO BROKERS
|
At December 31, 2010 and 2009, due from and due to brokers balance in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively.
|
5.
|
TRADING ACTIVITIES
|
The Trust conducts its futures trading with various futures commission merchants (FCMs) on futures exchanges and its forward currency trading with various banks or dealers (“Dealers”) in the interbank markets. Substantially all assets included in the Trust’s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission’s regulations or held as collateral by the Dealers.
Liabilities in the Statements of Financial Condition that are components of “Total equity in trading accounts” include net unrealized depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers.
The Trust enters into contracts with various financial institutions that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.
|
6.
|
DERIVATIVE INSTRUMENTS
|
The Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures and forward currency contracts which may be traded on an exchange (“exchange-traded contracts”) or over-the-counter (“OTC contracts”).
18
The Trust records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Trust enters into master netting agreements with its counterparties. Therefore, assets represent the Trust’s unrealized gains less unrealized losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to counterparties on OTC contracts.
Futures contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The Trust bears the market risk that arises from changes in the value of these financial instruments.
Forward currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date.
Each of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including market risk, credit risk and sovereign risk.
Market risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and the Trust’s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the Statements of Financial Condition.
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. In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts of the forward and futures contracts do not represent the Trust’s risk of loss due to counterparty nonperformance. The Trust’s exposure to credit risk associated with counterparty nonperformance of these contracts 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 the counterparty. The amount of such credit risk was $90,603,180 and $101,223,534 at December 31, 2010 and 2009, respectively.
The Managing Owner has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance that it will in fact succeed in doing so. The Managing Owner’s market risk control procedures include diversification of the Trust’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Trust are cleared by major securities firms, pursuant to customer agreements, including Merrill Lynch, Pierce, Fenner & Smith Incorporated, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), J.P. Morgan Futures Inc. and Newedge USA, LLC (a wholly owned subsidiary of Newedge Group which is owned by Société Générale (50%) and Calyon (50%)). For all forward currency transactions, the Trust utilizes two prime brokers, Deutsche Bank AG and Morgan Stanley & Co., Inc.
19
The Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effect of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S. Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. Dollars.
Net unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S. Dollars, is detailed below:
|
December 31,
|
||||||||||||||||
|
2010
|
2009
|
|||||||||||||||
|
Total Net
|
Total Net
|
|||||||||||||||
|
Unrealized
|
Unrealized
|
|||||||||||||||
|
Appreciation
|
Percent
|
Appreciation
|
Percent
|
|||||||||||||
|
Currency Type
|
(Depreciation)
|
of Total
|
(Depreciation)
|
of Total
|
||||||||||||
|
Australian dollar
|
$ | 1,643,420 | 4.39 | % | $ | 1,470,216 | (30.27 | )% | ||||||||
|
British pound
|
954,935 | 2.55 | (700,215 | ) | 14.42 | |||||||||||
|
Canadian dollar
|
1,325,243 | 3.54 | (2,581,263 | ) | 53.14 | |||||||||||
|
Czech koruna
|
(35,527 | ) | (0.09 | ) | - | - | ||||||||||
|
Euro
|
675,680 | 1.81 | (241,793 | ) | 4.98 | |||||||||||
|
Hong Kong dollar
|
301,679 | 0.81 | 836,967 | (17.23 | ) | |||||||||||
|
Hungarian forint
|
(47,422 | ) | (0.13 | ) | (121,301 | ) | 2.50 | |||||||||
|
Japanese yen
|
(1,118,237 | ) | (2.99 | ) | (458,971 | ) | 9.45 | |||||||||
|
Korean won
|
1,926,819 | 5.15 | 776,517 | (15.99 | ) | |||||||||||
|
Mexican peso
|
48,949 | 0.13 | 21,471 | (0.44 | ) | |||||||||||
|
New Zealand dollar
|
(479,061 | ) | (1.28 | ) | 805,302 | (16.58 | ) | |||||||||
|
Norwegian krone
|
1,572,029 | 4.20 | 607,864 | (12.51 | ) | |||||||||||
|
Polish zloty
|
181,184 | 0.49 | (501,739 | ) | 10.33 | |||||||||||
|
Romanian leu
|
5,336 | 0.02 | - | - | ||||||||||||
|
Singapore dollar
|
173,541 | 0.46 | 505,929 | (10.42 | ) | |||||||||||
|
South African rand
|
384,474 | 1.03 | 803,346 | (16.54 | ) | |||||||||||
|
Swedish krona
|
776,341 | 2.08 | 1,608,660 | (33.12 | ) | |||||||||||
|
Swiss franc
|
(533,492 | ) | (1.43 | ) | 397,192 | (8.18 | ) | |||||||||
|
Taiwan dollar
|
685,814 | 1.83 | 1,085,814 | (22.35 | ) | |||||||||||
|
Thai baht
|
16,258 | 0.04 | 2,533 | (0.05 | ) | |||||||||||
|
Turkish lira
|
(1,344,384 | ) | (3.59 | ) | 266,494 | (5.49 | ) | |||||||||
|
U.S. dollar
|
30,288,650 | 80.98 | (9,440,208 | ) | 194.35 | |||||||||||
|
Total
|
$ | 37,402,229 | 100.00 | % | $ | (4,857,185 | ) | 100.00 | % | |||||||
The Derivatives and Hedging topic of the Codification 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.
20
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 agricultural commodities, currencies, energies, interest rates, metals and stock indicies. The following were the primary trading risk exposures of the Trust at December 31, 2010 and 2009 by market sector:
Agricultural (grains, livestock and softs) – 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 that 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.
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 U.S., 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 Note 2.
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Since the derivatives held or sold by the Trust are for speculative trading purposes, 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.
The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at December 31, 2010 and 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.
Fair Value of Futures and Forward Currency Contracts at December 31, 2010
|
Net Unrealized
|
||||||||||||||||||||
|
Fair Value - Long Positions
|
Fair Value - Short Positions
|
Gain (Loss) on
|
||||||||||||||||||
|
Sector
|
Gains
|
Losses
|
Gains
|
Losses
|
Open Positions
|
|||||||||||||||
|
Futures contracts:
|
||||||||||||||||||||
|
Energies
|
$ | 3,578,697 | $ | (604,025 | ) | $ | - | $ | (1,326,800 | ) | $ | 1,647,872 | ||||||||
|
Grains
|
6,435,870 | - | - | (707,463 | ) | 5,728,407 | ||||||||||||||
|
Interest rates
|
1,906,539 | (446,636 | ) | 93,822 | (225,935 | ) | 1,327,790 | |||||||||||||
|
Livestock
|
578,540 | - | - | (295,000 | ) | 283,540 | ||||||||||||||
|
Metals
|
10,487,557 | - | - | (1,179,968 | ) | 9,307,589 | ||||||||||||||
|
Softs
|
2,899,490 | (6,496 | ) | 17,158 | (279,470 | ) | 2,630,682 | |||||||||||||
|
Stock indices
|
6,102,368 | (1,061,589 | ) | 504,746 | (6,570 | ) | 5,538,955 | |||||||||||||
|
Total futures contracts
|
31,989,061 | (2,118,746 | ) | 615,726 | (4,021,206 | ) | 26,464,835 | |||||||||||||
|
Forward currency contracts
|
17,229,470 | (2,951,060 | ) | 4,884,986 | (8,226,002 | ) | 10,937,394 | |||||||||||||
|
Total futures and forward currency contracts
|
$ | 49,218,531 | $ | (5,069,806 | ) | $ | 5,500,712 | $ | (12,247,208 | ) | $ | 37,402,229 | ||||||||
Fair Value of Futures and Forward Currency Contracts at December 31, 2009
|
Net Unrealized
|
||||||||||||||||||||
|
Fair Value - Long Positions
|
Fair Value - Short Positions
|
Gain (Loss) on
|
||||||||||||||||||
|
Sector
|
Gains
|
Losses
|
Gains
|
Losses
|
Open Positions
|
|||||||||||||||
|
Futures contracts:
|
||||||||||||||||||||
|
Energies
|
$ | 12,486,086 | $ | (399,420 | ) | $ | 226,800 | $ | (10,557,124 | ) | $ | 1,756,342 | ||||||||
|
Grains
|
471,763 | - | 106,963 | (585,900 | ) | (7,174 | ) | |||||||||||||
|
Interest rates
|
99,709 | (11,137,495 | ) | 96,694 | (58,944 | ) | (11,000,036 | ) | ||||||||||||
|
Livestock
|
- | - | - | (271,610 | ) | (271,610 | ) | |||||||||||||
|
Metals
|
4,051,013 | (1,057,225 | ) | 45,513 | (1,801,412 | ) | 1,237,889 | |||||||||||||
|
Softs
|
3,088,661 | - | 5,100 | (147,202 | ) | 2,946,559 | ||||||||||||||
|
Stock indices
|
11,867,210 | (464,430 | ) | - | (266,008 | ) | 11,136,772 | |||||||||||||
|
Total futures contracts
|
32,064,442 | (13,058,570 | ) | 481,070 | (13,688,200 | ) | 5,798,742 | |||||||||||||
|
Forward currency contracts
|
4,572,427 | (19,751,088 | ) | 7,406,520 | (2,883,786 | ) | (10,655,927 | ) | ||||||||||||
|
Total futures and forward currency contracts
|
$ | 36,636,869 | $ | (32,809,658 | ) | $ | 7,887,590 | $ | (16,571,986 | ) | $ | (4,857,185 | ) | |||||||
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The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended December 31, 2010 and 2009 as “Net realized gains (losses) on closed positions: futures and forward currency contracts” and “Net change in unrealized: futures and forward currency contracts.” These trading gains and losses are detailed below:
|
Sector
|
2010
|
2009
|
||||||
|
Futures contracts:
|
||||||||
|
Currencies
|
$ | - | $ | 12,863 | ||||
|
Energies
|
(6,296,617 | ) | (20,943,376 | ) | ||||
|
Grains
|
14,680,492 | (6,699,369 | ) | |||||
|
Interest rates
|
78,525,936 | (19,513,721 | ) | |||||
|
Livestock
|
(531,000 | ) | 2,065,620 | |||||
|
Metals
|
12,922,817 | (11,958,920 | ) | |||||
|
Softs
|
7,618,692 | (218,950 | ) | |||||
|
Stock indices
|
(2,020,460 | ) | 7,916,951 | |||||
|
Total futures contracts
|
104,899,860 | (49,338,902 | ) | |||||
|
Forward currency contracts
|
25,264,096 | (9,399,089 | ) | |||||
|
Total futures and forward currency contracts
|
$ | 130,163,956 | $ | (58,737,991 | ) | |||
The following table presents average notional value by sector in U.S. Dollars of open futures and forward currency contracts for the years ended December 31, 2010 and 2009. The Trust’s average Net Asset Value during 2010 and 2009 was approximately and $866,000,000 and $931,000,000.
|
2010
|
2009
|
|||||||||||||||
|
Sector
|
Long Positions
|
Short Positions
|
Long Positions
|
Short Positions
|
||||||||||||
|
Futures contracts:
|
||||||||||||||||
|
Currencies
|
$ | - | $ | - | $ | - | $ | 3,320,750 | ||||||||
|
Energies
|
183,992,274 | 116,768,010 | 109,535,870 | 113,200,422 | ||||||||||||
|
Grains
|
57,678,838 | 40,281,856 | 22,378,090 | 53,157,025 | ||||||||||||
|
Interest rates
|
1,274,911,920 | 47,891,170 | 936,859,841 | 38,825,820 | ||||||||||||
|
Livestock
|
16,433,746 | 5,323,786 | - | 26,230,698 | ||||||||||||
|
Metals
|
115,309,169 | 11,071,090 | 52,829,526 | 39,335,538 | ||||||||||||
|
Softs
|
29,206,211 | 7,135,608 | 20,257,081 | 13,534,675 | ||||||||||||
|
Stock indices
|
478,292,206 | 14,482,348 | 344,334,006 | 85,714,579 | ||||||||||||
|
Total futures contracts
|
2,155,824,364 | 242,953,868 | 1,486,194,414 | 373,319,507 | ||||||||||||
|
Forward currency contracts
|
876,153,841 | 358,871,897 | 473,904,261 | 200,256,650 | ||||||||||||
|
Total average notional
|
$ | 3,031,978,205 | $ | 601,825,765 | $ | 1,960,098,675 | $ | 573,576,157 | ||||||||
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 each quarter-end during 2010 and 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.
23
|
7.
|
FINANCIAL HIGHLIGHTS
|
Per Unit operating performance for Series 1, 2, 3 and 4 Units is calculated based on Unitholders’ trust capital for each Series taken as a whole utilizing the beginning and ending Net Asset Value per unit and weighted average number of units during the period/year. Weighed average number of units for each Series is detailed below:
|
Years ended December 31,
|
|||||||||||||
|
2010
|
2009
|
2008
|
Date of issuance
|
||||||||||
|
Series 1
|
687,898.790 | (1) | 753,054.008 | (1) | 629,237.394 | (1) |
July 23, 2001
|
||||||
|
Series 2
|
64.584 | (2) | n/a | n/a |
April 1, 2010
|
||||||||
|
Series 3
|
5,536.921 | (1) | 1,322.314 | (3) | n/a |
September 1, 2009
|
|||||||
|
Series 4
|
34.462 | (4) | n/a | n/a |
November 1, 2010
|
||||||||
(1) January 1 - December 31
(2) April 1 - December 31
(3) September 1 - December 31
(4) November 1 - December 31
An individual Unitholder’s per unit operating performance may vary based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements. Net investment loss and total expense ratios have been annualized for those reporting periods consisting of less than twelve months.
Returns are calculated for each Series taken as a whole. An individual Unitholder’s returns may vary from these returns based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements (for Series 1, 2 and 3). Returns have not been annualized.
The ratios for each series are calculated based on Unitholders’ trust capital for each Series taken as a whole. The computation of such ratios based on the amount of net investment loss, total expenses and profit share allocation to an individual Unitholder’s trust capital balance may vary from these ratios based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements.
|
8.
|
REDEMPTION PAYABLE TO MANAGING OWNER
|
At December 31, 2010 and December 31, 2009, redemption payable of $262,829 and $40,426, respectively, was related to profit share allocated to the Managing Owner at each year-end and redeemed.
|
9.
|
SUBSEQUENT EVENTS
|
The Trust has performed its evaluation of subsequent events through the issuance date of the financial statements. Based on such evaluation, no events were discovered that required disclosure nor adjustment to the financial statements.
* * * * * *
24