GLOBAL MACRO TRUST - FORM 10-Q

Attached files

file	filename
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUST	c765-20150930ex313f279aa.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUST	c765-20150930xex312.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUST	c765-20150930xex311.htm
EX-32.3 - EX-32.3 - GLOBAL MACRO TRUST	c765-20150930ex3238b360d.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUST	c765-20150930xex321.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUST	c765-20150930xex322.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the Quarterly Period Ended: September 30, 2015


	☐	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) (Zip code)

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 ☒ 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 definitions of “accelerated filer,” “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act:


Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer (Do not check if a smaller reporting company) ☒	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 ☒


PART 1. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS

Global Macro Trust
Financial statements
For the three and nine months ended September 30, 2015 and 2014 (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						12

(a) At September 30, 2015 and December 31, 2014 (unaudited)
(b) For the three and nine months ended September 30, 2015 and 2014 (unaudited)
(c) For the nine months ended September 30, 2015 and 2014 (unaudited)


Global Macro Trust
Statements of Financial Condition (UNAUDITED)


		September 30, 2015		December 31, 2014
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $35,466,355 and $27,555,881)	$	35,484,868	$	27,560,017
Net unrealized appreciation on open futures and
forward currency contracts		3,493,184		2,573,582
Due from brokers		12,643,396		6,118,430
Cash denominated in foreign currencies (cost $1,181,038
and $2,849,059)		1,150,781		2,621,704
Total equity in trading accounts		52,772,229		38,873,733

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $160,129,691 and $190,875,374)		160,208,211		190,874,789
CASH AND CASH EQUIVALENTS		10,199,346		16,954,930
ACCRUED INTEREST RECEIVABLE		207,992		188,240
TOTAL	$	223,387,778	$	246,891,692

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	389,000	$	470,000
Net unrealized depreciation on open futures and forward currency contracts		1,494,144		684,078
Due to Managing Owner		70,210		-
Accrued brokerage and custodial fees		1,072,103		1,188,401
Accrued management fees		32,382		30,904
Redemptions payable to Unitholders		3,003,401		2,807,481
Redemption payable to Managing Owner		-		719,598
Accrued expenses		94,950		190,677
Cash denominated in foreign currencies (cost $684,824 and $195,152)		681,208		211,347
Other liabilities		154,423		-
Total liabilities		6,991,821		6,302,486


TRUST CAPITAL:
Managing Owner interest (5,384.326 and 5,128.014 units outstanding)		5,831,746		5,496,789
Series 1 Unitholders (173,474.389 and 199,292.051 units outstanding)		187,879,312		213,611,159
Series 2 Unitholders (39.121 and 39.121 units outstanding)		52,600		50,872
Series 3 Unitholders (13,748.269 and 13,848.201 units outstanding)		18,729,267		18,216,525
Series 4 Unitholders (2,539.152 and 2,216.197 units outstanding)		3,903,032		3,213,861
Total trust capital		216,395,957		240,589,206

TOTAL	$	223,387,778	$	246,891,692

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,083.04	$	1,071.85
Series 2 Unitholders	$	1,344.55	$	1,300.38
Series 3 Unitholders	$	1,362.30	$	1,315.44
Series 4 Unitholders	$	1,537.14	$	1,450.17

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
September 30, 2015

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	0.01	%	$	350
Grains	(0.01)			(20,180)
Interest rates
2 Year U.S. Treasury Note (727 contracts, settlement date December 2015)	0.05			104,562
5 Year U.S. Treasury Note (611 contracts, settlement date December 2015)	0.05			118,812
10 Year U.S. Treasury Note (307 contracts, settlement date December 2015)	0.02			44,609
Other interest rates	1.17			2,523,687
Total interest rates	1.29			2,791,670

Metals	(0.13)			(274,324)
Softs	0.04			92,092
Stock indices	(0.33)			(705,504)
Total long futures contracts	0.87			1,884,104

Short futures contracts:
Energies	0.12			251,561
Grains	(0.12)			(266,480)
Livestock	0.08			175,390
Metals	0.58			1,271,138
Softs	0.05			108,961
Stock indices	0.03			68,510
Total short futures contracts	0.74			1,609,080
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	1.61			3,493,184

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.85)			(1,851,107)
Total short forward currency contracts	0.16			356,963
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.69)			(1,494,144)

TOTAL	0.92	%	$	1,999,040

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
September 30, 2015
U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Trust Capital			Fair Value

$	53,100,000	U.S. Treasury notes, 0.375%, 04/30/2016	24.56	%	$	53,154,967
	50,710,000	U.S. Treasury notes, 0.250%, 05/15/2016	23.44			50,718,914
	44,260,000	U.S. Treasury notes, 0.625%, 07/15/2016	20.51			44,373,243
	47,220,000	U.S. Treasury notes, 0.875%, 09/15/2016	21.92			47,445,955
		Total investments in U.S. Treasury notes
		(amortized cost $195,596,046)	90.43	%	$	195,693,079

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2014

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Grains	(0.11)	%	$	(252,629)
Interest rates:
5 Year U.S. Treasury Note (772 contracts, settlement date March 2015)	0.01			23,242
30 Year U.S. Treasury Bond (62 contracts, settlement date March 2015)	0.03			81,500
Other interest rates	0.48			1,162,658
Total interest rates	0.52			1,267,400

Livestock	(0.01)			(19,440)
Metals	(0.76)			(1,849,278)
Softs	0.00			5,670
Stock indices	0.37			871,263
Total long futures contracts	0.01			22,986
Short futures contracts:
Energies	0.30			731,816
Interest rates	(0.10)			(235,011)
Livestock	0.03			65,050
Metals	0.50			1,207,429
Softs	0.23			548,958
Stock indices	0.07			165,973
Total short futures contracts	1.03			2,484,215
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	1.04			2,507,201
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.71)			(1,717,870)
Total short forward currency contracts	0.46			1,100,173
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.25)			(617,697)

TOTAL	0.79	%	$	1,889,504

				(Continued)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2014
U.S. TREASURY NOTES

Face Amount		Description	Fair Value as a % of Trust Capital			Fair Value

$	68,100,000	U.S. Treasury notes, 0.375%, 03/15/2015	28.32	%	$	68,149,213
	50,710,000	U.S. Treasury notes, 0.250%, 05/15/2015	21.09			50,747,636
	52,260,000	U.S. Treasury notes, 0.250%, 07/15/2015	21.74			52,296,745
	47,220,000	U.S. Treasury notes, 0.250%, 09/15/2015	19.64			47,241,212
		Total investments in U.S. Treasury notes
		(amortized cost $218,431,255)	90.79	%	$	218,434,806

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the three months ended
		September 30, 2015		September 30, 2014
INVESTMENT INCOME:
Interest income	$	129,442	$	71,375

EXPENSES:
Brokerage and custodial fees		3,106,092		3,719,672
Administrative expenses		295,862		353,645
Custody fees and other expenses		11,792		14,743
Management fees		96,256		98,381
Total expenses		3,510,002		4,186,441

NET INVESTMENT LOSS		(3,380,560)		(4,115,066)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		12,653,930		13,742,591
Foreign exchange translation		(243,895)		117,731
Net change in unrealized:
Futures and forward currency contracts		1,457,714		(5,448,615)
Foreign exchange translation		34,285		(151,755)
Net gains from U.S. Treasury notes:
Realized		-		108
Net change in unrealized		46,974		28,797
TOTAL NET REALIZED AND UNREALIZED GAINS		13,949,008		8,288,857


NET INCOME	$	10,568,448	$	4,173,791
LESS PROFIT SHARE TO MANAGING OWNER		155,001		-
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	10,413,447	$	4,173,791

NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	49.09	$	15.44
Series 2 Unitholders	$	64.06	$	31.75
Series 3 Unitholders	$	65.62	$	32.88
Series 4 Unitholders	$	93.00	$	42.62

				(Continued)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the nine months ended
		September 30, 2015		September 30, 2014
INVESTMENT INCOME:
Interest income	$	313,050	$	224,690

EXPENSES:
Brokerage and custodial fees		9,768,971		11,802,765
Administrative expenses		906,376		1,077,989
Custody fees and other expenses		39,167		47,350
Management fees		289,977		312,006
Total expenses		11,004,491		13,240,110

NET INVESTMENT LOSS		(10,691,441)		(13,015,420)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		14,661,898		43,609,724
Foreign exchange translation		(598,049)		71,870
Net change in unrealized:
Futures and forward currency contracts		109,536		(5,078,452)
Foreign exchange translation		216,909		(160,059)
Net gains from U.S. Treasury notes:
Realized		11,004		7,945
Net change in unrealized		93,482		35,099
TOTAL NET REALIZED AND UNREALIZED GAINS		14,494,780		38,486,127


NET INCOME	$	3,803,339	$	25,470,707
LESS PROFIT SHARE TO MANAGING OWNER		159,644		-
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	3,643,695	$	25,470,707

NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	11.19	$	93.13
Series 2 Unitholders	$	44.17	$	148.61
Series 3 Unitholders	$	46.86	$	152.38
Series 4 Unitholders	$	86.97	$	184.37

See notes to financial statements (unaudited)				(Concluded)


Global Macro Trust
Statements of Changes in Trust Capital (UNAUDITED)

For the nine months ended September 30, 2015:
														New Profit
		Series 1 Unitholders			Series 2 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2015	$	213,611,159	199,292.051	$	50,872	39.121	$	18,216,525	13,848.201	$	3,213,861	2,216.197	$	-	-	$	5,496,789	5,128.014	$	240,589,206
Subscriptions		2,381,953	2,205.291		-	-		1,504,191	1,129.010		561,954	382.135		5,221	4.752		-	-		4,453,319
Redemptions		(30,547,191)	(28,295.840)		-	-		(1,652,104)	(1,228.942)		(90,968)	(59.180)		-	-		-	-		(32,290,263)
Addt'l units allocated *		-	272.887		-	-		-	-		-	-		-	0.114		-	251.446		-
Net income before profit		2,433,391	-		2,148	-		819,879	-		218,185	-		69	-		329,667	-		3,803,339
Profit share to Managing Owner:		-	-		(420)	-		(159,224)	-		-	-		-	-		-	-		(159,644)
Trust capital at
September 30, 2015	$	187,879,312	173,474.389	$	52,600	39.121	$	18,729,267	13,748.269	$	3,903,032	2,539.152	$	5,290	4.866	$	5,826,456	5,379.460	$	216,395,957

Net asset value per unit outstanding
at September 30, 2015:	$	1,083.04		$	1,344.55		$	1,362.30		$	1,537.14

* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and the Managing Owner.																				(Continued)


Global Macro Trust
Statements of Changes in Trust Capital (UNAUDITED)

For the nine months ended September 30, 2014:

		Series 1 Unitholders			Series 2 Unitholders			Series 3 Unitholders			Series 4 Unitholders				Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units			Amount	Units		Amount

Trust capital at
January 1, 2014	$	257,057,401	269,666.902	$	156,016	139.796	$	21,885,706	19,432.989	$	2,305,510	1,906.624	$	$	6,833,096	7,168.282	$	288,237,729
Subscriptions		1,150,000	1,151.155		-	-		252,750	220.792		463,873	381.837			-	-		1,866,623
Redemptions		(63,379,310)	(64,514.050)		(118,925)	(100.675)		(6,699,735)	(5,546.671)		(105,216)	(83.337)			(2,000,000)	(1,916.517)		(72,303,186)
Addt'l units allocated *		-	365.347		-	-		-	-		-	-			-	347.447		-
Net income		21,425,216	-		12,383	-		2,598,500	-		408,843	-			1,025,765	-		25,470,707
Trust capital at
September 30, 2014	$	216,253,307	206,669.354	$	49,474	39.121	$	18,037,221	14,107.110	$	3,073,010	2,205.124	$	$	5,858,861	5,599.212	$	243,271,873

Net asset value per unit outstanding
at September 30, 2014:	$	1,046.37		$	1,264.64		$	1,278.59		$	1,393.58

* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and the Managing Owner.

See notes to financial statements (unaudited)																		(Concluded)


Global Macro Trust
Statements of Financial Highlights (UNAUDITED)


For the three months ended September 30:	2015									2014
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

Net income (loss) from operations:
Net investment loss		$ (18.19)		$ (9.33)		$ (8.60)		$ (2.00)			$ (18.42)		$ (9.36)		$ (8.94)		$ (2.95)
Net realized and unrealized gains on trading of futures and forward currency contracts		67.06		83.82		84.75		94.62			33.75		41.02		41.69		45.40
Net gains from U.S. Treasury obligations		0.22		0.31		0.30		0.38			0.11		0.09		0.13		0.17
Profit share allocated to Managing Owner		0.00		(10.74)		(10.83)		0.00			0.00		0.00		0.00		0.00
Net income per unit		$ 49.09		$ 64.06		$ 65.62		$ 93.00			$ 15.44		$ 31.75		$ 32.88		$ 42.62

Net asset value per unit, beginning of period		1,033.95		1,280.49		1,296.68		1,444.14			1,030.93		1,232.89		1,245.71		1,350.96

Net asset value per unit, end of period		$ 1,083.04		$ 1,344.55		$ 1,362.30		$ 1,537.14			$ 1,046.37		$ 1,264.64		$ 1,278.59		$ 1,393.58


Total return and ratios for the three months ended September 30:		2015									2014
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(6.77)	%	(2.80)	%	(2.55)	%	(0.53)	%		(7.14)	%	(3.11)	%	(2.86)	%	(0.86)	%

Total expenses (a)		7.01	%	3.04	%	2.78	%	0.76	%		7.25	%	3.23	%	2.97	%	0.97	%
Profit share allocation (b)		0.00		0.81		0.81		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.01	%	3.85	%	3.59	%	0.76	%		7.25	%	3.23	%	2.97	%	0.97	%

Total return before profit share allocation (b)		4.75	%	5.81	%	5.87	%	6.44	%		1.50	%	2.58	%	2.64	%	3.15	%
Less: Profit share allocation (b)		0.00		0.81		0.81		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		4.75	%	5.00	%	5.06	%	6.44	%		1.50	%	2.58	%	2.64	%	3.15	%

(a) annualized
(b) not annualized																	(Continued)


Global Macro Trust
Statements of Financial Highlights (UNAUDITED)

For the nine months ended September 30:	2015									2014
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

Net income (loss) from operations:
Net investment loss		$ (55.04)		$ (28.43)		$ (26.24)		$ (6.62)			$ (53.41)		$ (27.18)		$ (25.59)		$ (8.26)
Net realized and unrealized gains on trading of futures and forward currency contracts		65.74		82.72		83.63		92.87			146.38		175.63		177.78		192.40
Net gains from U.S. Treasury obligations		0.49		0.62		0.62		0.72			0.16		0.16		0.19		0.23
Profit share allocated to Managing Owner		0.00		(10.74)		(11.15)		0.00			0.00		0.00		0.00		0.00
Net income per unit		$ 11.19		$ 44.17		$ 46.86		$ 86.97			$ 93.13		$ 148.61		$ 152.38		$ 184.37

Net asset value per unit, beginning of period		1,071.85		1,300.38		1,315.44		1,450.17			953.24		1,116.03		1,126.21		1,209.21

Net asset value per unit, end of period		$ 1,083.04		$ 1,344.55		$ 1,362.30		$ 1,537.14			$ 1,046.37		$ 1,264.64		$ 1,278.59		$ 1,393.58

Total return and ratios for the nine months ended September 30:		2015									2014
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(6.80)	%	(2.86)	%	(2.61)	%	(0.59)	%		(7.15)	%	(3.10)	%	(2.85)	%	(0.85)	%

Total expenses (a)		6.98	%	3.04	%	2.79	%	0.77	%		7.26	%	3.21	%	2.96	%	0.96	%
Profit share allocation (b)		0.00		0.81		0.83		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.98	%	3.85	%	3.62	%	0.77	%		7.26	%	3.21	%	2.96	%	0.96	%

Total return before profit share allocation (b)		1.04	%	4.21	%	4.39	%	6.00	%		9.77	%	13.32	%	13.53	%	15.25	%
Less: Profit share allocation (b)		0.00		0.81		0.83		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		1.04	%	3.40	%	3.56	%	6.00	%		9.77	%	13.32	%	13.53	%	15.25	%

(a) annualized
(b) not annualized

See notes to financial statements (unaudited)																	(Concluded)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

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, 2015 and December 31, 2014 (unaudited) and the results of its operations for the three and nine months ended September 30, 2015 and 2014 (unaudited). 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, 2014. The December 31, 2014 information has been derived from the audited financial statements as of December 31, 2014.

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 the Series 1 Units.

The preparation of financial statements in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States of America (the “U.S.”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), 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.

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 any uncertain tax positions. Based on a review of the Trust’s open tax years, 2011 to 2014, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required.

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 2014.

2. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification 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; and

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 an investment in a quoted short-term U.S. government securities money market fund. Millburn Ridgefield Corporation, 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.

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated forward point. 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.

Investment Company Status: The Trust adopted Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the Managing Owner’s assessment, the Trust has been deemed to be an investment company since inception. Accordingly, the Trust follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Income and Expenses and Changes in Trust Capital.

During the three and nine months ended September 30, 2015 and 2014, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Trust’s investments by hierarchical level as of September 30, 2015 and December 31, 2014 in valuing the Trust’s investments at fair value. At September 30, 2015 and December 31, 2014, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of September 30, 2015


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	195,693,079	$	-	$	195,693,079
Short-term money market fund*		9,949,346		-		9,949,346
Exchange-traded futures contracts
Energies		251,911		-		251,911
Grains		(286,660)		-		(286,660)
Interest rates		2,791,670		-		2,791,670
Livestock		175,390		-		175,390
Metals		996,814		-		996,814
Softs		201,053		-		201,053
Stock indices		(636,994)		-		(636,994)

Total exchange-traded futures contracts		3,493,184		-		3,493,184

Over-the-counter forward currency contracts		-		(1,494,144)		(1,494,144)

Total futures and forward currency contracts (2)		3,493,184		(1,494,144)		1,999,040

Total financial assets at fair value	$	209,135,609	$	(1,494,144)	$	207,641,465

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	35,484,868
Investments in U.S. Treasury notes held in custody						160,208,211
Total investments in U.S. Treasury notes					$	195,693,079

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	3,493,184
Net unrealized depreciation on open futures and forward currency contracts						(1,494,144)
Total unrealized appreciation on open futures and forward currency contracts					$	1,999,040

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

Financial Assets and Liabilities at Fair Value as of December 31, 2014


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	218,434,806	$	-	$	218,434,806
Short-term money market fund*		16,785,518		-		16,785,518
Exchange-traded futures contracts
Energies		731,816		-		731,816
Grains		(252,629)		-		(252,629)
Interest rates		1,032,389		-		1,032,389
Livestock		45,610		-		45,610
Metals		(641,849)		-		(641,849)
Softs		554,628		-		554,628
Stock indices		1,037,236		-		1,037,236

Total exchange-traded futures contracts		2,507,201		-		2,507,201

Over-the-counter forward currency contracts		-		(617,697)		(617,697)

Total futures and forward currency contracts (2)		2,507,201		(617,697)		1,889,504

Total financial assets at fair value	$	237,727,525	$	(617,697)	$	237,109,828

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	27,560,017
Investments in U.S. Treasury notes held in custody						190,874,789
Total investments in U.S. Treasury notes					$	218,434,806

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	2,573,582
Net unrealized depreciation on open futures and forward currency contracts						(684,078)
Total unrealized appreciation on open futures and forward currency contracts					$	1,889,504

*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

3. DERIVATIVE INSTRUMENTS

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’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 currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Trust at September 30, 2015, 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, as well as supply and demand factors.

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.

Energies – The Trust’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries 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 interest rate 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 values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty 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 tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2015 and December 31, 2014. 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 September 30, 2015


										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	350	$	-	$	347,789	$	(96,228)	$	251,911
Grains		510		(20,690)		80,967		(347,447)		(286,660)
Interest rates		3,197,905		(406,235)		-		-		2,791,670
Livestock		-		-		176,360		(970)		175,390
Metals		271,790		(546,114)		1,467,948		(196,810)		996,814
Softs		97,494		(5,402)		115,012		(6,051)		201,053
Stock indices		200,473		(905,977)		139,150		(70,640)		(636,994)

Total futures contracts		3,768,522		(1,884,418)		2,327,226		(718,146)		3,493,184

Forward currency contracts		820,305		(2,671,412)		2,088,422		(1,731,459)		(1,494,144)

Total futures and
forward currency contracts	$	4,588,827	$	(4,555,830)	$	4,415,648	$	(2,449,605)	$	1,999,040

Fair Value of Futures and Forward Currency Contracts at December 31, 2014


										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions

Futures contracts:
Energies	$	-	$	-	$	762,163	$	(30,347)	$	731,816
Grains		400		(253,029)		-		-		(252,629)
Interest rates		2,130,457		(863,057)		-		(235,011)		1,032,389
Livestock		3,090		(22,530)		65,050		-		45,610
Metals		17,174		(1,866,452)		1,245,270		(37,841)		(641,849)
Softs		6,540		(870)		564,493		(15,535)		554,628
Stock indices		1,359,895		(488,632)		225,100		(59,127)		1,037,236

Total futures contracts		3,517,556		(3,494,570)		2,862,076		(377,861)		2,507,201

Forward currency contracts		664,940		(2,382,810)		2,583,894		(1,483,721)		(617,697)

Total futures and
forward currency contracts	$	4,182,496	$	(5,877,380)	$	5,445,970	$	(1,861,582)	$	1,889,504

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and nine months ended September 30, 2015 and 2014 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:

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2015 and 2014


		Three months ended:		Three months ended:		Nine months ended:		Nine months ended:
Sector		September 30, 2015		September 30, 2014		September 30, 2015		September 30, 2014

Futures contracts:
Energies	$	4,450,300	$	625,765	$	(745,143)		3,021,163
Grains		(1,215,421)		4,951,308		(2,263,729)		5,621,524
Interest rates		9,284,046		6,615,418		10,824,820		25,113,367
Livestock		228,380		11,400		340,730		913,300
Metals		3,225,542		1,062,941		4,030,535		(2,460,805)
Softs		338,810		1,734,085		641,395		2,076,704
Stock indices		(5,149,759)		(4,379,183)		468,609		2,243,743

Total futures contracts		11,161,898		10,621,734		13,297,217		36,528,996

Forward currency contracts		2,949,746		(2,327,758)		1,474,217		2,002,276

Total futures and forward currency contracts	$	14,111,644	$	8,293,976	$	14,771,434	$	38,531,272

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the nine months ended September 30, 2015 and 2014. The Trust’s average net asset value for the nine months ended September 30, 2015 and 2014 was approximately $230,000,000 and $264,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the nine months ended September 30, 2015 and 2014


		2015				2014
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	1,812,064	$	16,678,909	$	73,132,675	$	39,900,141
Grains		5,638,288		7,336,045		21,860,990		21,673,759
Interest rates		418,360,124		24,030,694		760,064,480		30,823,739
Livestock		390,973		1,860,523		7,139,505		3,173,938
Metals		2,785,135		25,762,676		38,906,383		14,900,085
Softs		1,501,345		5,071,156		7,052,058		7,285,994
Stock indices		153,778,348		9,586,138		295,649,104		2,747,451

Total futures
contracts		584,266,277		90,326,141		1,203,805,195		120,505,107

Forward currency
contracts		65,110,660		87,744,655		274,943,800		58,744,449

Total average
notional	$	649,376,937	$	178,070,796	$	1,478,748,995	$	179,249,556

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at September 30, 2015 and 2014. 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.

The customer agreements between the Trust, the futures clearing brokers including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), and SG Americas Securities, LLC, as well as the FX prime broker, Deutsche Bank AG, and the swap dealer, Morgan Stanley & Co., LLC, gives the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met. The Trust ceased clearing trades through J.P. Morgan Securities LLC., Barclays Capital Inc. and Barclays Bank PLC during September 2015, June 2014 and October 2014, respectively.

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at September 30, 2015 and December 31, 2014.

Offsetting of derivative assets and liabilities at September 30, 2015


		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty C	$	2,274,113	$	(988,145)	$	1,285,968
Counterparty I		3,821,635		(1,614,419)		2,207,216

Total assets	$	6,095,748	$	(2,602,564)	$	3,493,184

		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty G	$	2,830,773	$	(2,366,979)	$	463,794
Counterparty H		1,572,098		(541,748)		1,030,350

Total liabilities	$	4,402,871	$	(2,908,727)	$	1,494,144


				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)(4)

Counterparty C	$	1,285,968	$	-	$	(1,285,968)	$	-
Counterparty I	$	2,207,216	$	-	$	(2,207,216)	$	-

Total	$	3,493,184	$	-	$	(3,493,184)	$	-
								(Continued)

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount(3)(4)

Counterparty G	$	463,794	$	-	$	(463,794)	$	-
Counterparty H		1,030,350		-		(1,030,350)		-

Total	$	1,494,144	$	-	$	(1,494,144)	$	-
								(Concluded)
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial
Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of September 30, 2015.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of September 30, 2015.

Offsetting of derivative assets and liabilities at December 31, 2014


		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty C	$	2,697,244	$	(898,740)	$	1,798,504
Counterparty D		3,682,388		(2,973,691)		708,697
Total futures contracts		6,379,632		(3,872,431)		2,507,201

Forward currency contracts
Counterparty G		1,085,849		(1,019,468)		66,381
Total forward currency contracts

Total assets	$	7,465,481	$	(4,891,899)	$	2,573,582


		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty H	$	2,847,063	$	(2,162,985)	$	684,078

Total liabilities	$	2,847,063	$	(2,162,985)	$	684,078


				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Assets presented in the Statement of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)(4)

Counterparty C	$	1,798,504	$	-	$	(1,798,504)	$	-
Counterparty D		708,697		-		(708,697)		-
Counterparty G		66,381		-		(66,381)		-

Total	$	2,573,582	$	-	$	(2,573,582)	$	-

				Amounts Not Offset in the Statement of Financial Condition
Counterparty		Net amounts of Liabilities presented in the Statement of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount(3)(4)

Counterparty H	$	684,078	$	-	$	(684,078)	$	-

Total	$	684,078	$	-	$	(684,078)	$	-

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statement of Financial
Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2014.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2014.

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 OTC 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. LLC (“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 $18,230,444 and $12,990,214 at September 30, 2015 and December 31, 2014, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2015 and 2014. Profit share earned (from Unitholders' redemptions) is credited to the New Profit Memo Account as defined in the Trust’s Declaration of Trust and Trust Agreement (the “Trust Agreement”).


	Three months ended:
	September 30,			September 30,
	2015			2014
Profit share earned	$	578		$	0
Profit share accrued		154,423	(1)		0
Total profit share	$	155,001		$	0

(1) Included in “Other liabilities” in the Statements of Financial Condition.


	Nine months ended:
	September 30,			September 30,
	2015			2014
Profit share earned	$	5,221		$	0
Profit share accrued		154,423	(1)		0
Total profit share	$	159,644		$	0

(1) Included in “Other liabilities” in the Statements of Financial Condition.

5. RELATED PARTY TRANSACTIONS

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 Trust's Prospectus), as well as extraordinary costs. At September 30, 2015 and December 31, 2014, the Managing Owner was owed $70,210 and $0, respectively, 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).

Series 1 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. There was no redemption charge payable at September 30, 2015 or December 31, 2014.

6. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series 1, Series 2, Series 3 and Series 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. Weighted average number of Units for each Series is detailed below:


	Three months ended September 30,		Nine months ended September 30,		Date of first issuance
	2015	2014	2015	2014

Series 1	178,555.093	213,880.956	186,632.986	234,187.443	July 23, 2001
Series 2	39.121	39.111	39.121	82.295	April 1, 2010
Series 3	14,129.372	15,568.745	14,273.977	17,253.798	September 1, 2009
Series 4	2,540.451	2,200.654	2,482.760	2,193.473	November 1, 2010

7. BROKERAGE AND CUSTODIAL FEES

For the three and nine months ended September 30, 2015 and 2014, brokerage and custodial fees were as follows:


	Three months ending September 30,		Nine months ending September 30,
	2015	2014	2015	2014

Brokerage fees	$ 3,106,059	$ 3,719,641	$ 9,768,873	$ 11,802,584
Custodial fees	33	31	98	181

Total	$ 3,106,092	$ 3,719,672	$ 9,768,971	$ 11,802,765

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 units sold subsequent to August 12, 2009. During the three and nine months ended September 30, 2015 and 2014, the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 units that remain outstanding, where there is no longer a selling agent associated with such units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items, included in “Brokerage and custodial fees” in the Statements of Operations, were as follows:



	Three months ending September 30,		Nine months ending September 30,
	2015	2014	2015	2014

Brokerage fee rebates	$ 192,784	$ 90,008	$ 625,502	$ 224,464

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 investment and 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

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Trust should not have a significant impact on its operations, as the Trust has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the Managing Owner’s trading positions should increase or decrease in approximate proportion to the size of the Trust.

The Trust raises additional capital only through the sale of Units and capital is increased through trading profits (if any). The Trust does not engage in borrowing.

The Trust trades futures, forwards and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forwards contracts on currencies. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases

limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The Managing Owner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market. The Managing Owner attempts to control credit risk by causing the Trust to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forwards, and spot contracts, or the Trust’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Trust.

Due to the nature of the Trust’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations while the Trust maintains its market exposure through open futures, forwards and spot contract positions.

The Trust’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Trust’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Trust is assigned a position in the underlying future which is then settled by offset. The Trust’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Trust’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Trust’s debt securities to decline but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends during which the Trust’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Trust is likely to suffer losses.

The Trust’s assets are generally held as cash or cash equivalents, including short-term U.S. government obligations, which are used to margin the Trust’s futures, forwards and spot currency positions and withdrawn, as necessary, to pay redemptions and expenses. Other than potential market-imposed limitations on liquidity, due, for example, to limited open interest in certain futures markets or to daily price fluctuation limits, which are inherent in the Trust’s futures, forwards and spot trading, the Trust’s assets are highly liquid and are expected to remain so.

During its operations for the three and nine months ended September 30, 2015, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

The Trust records its transactions in futures, forwards and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Trust on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the average midpoint of bid/ask quotations at the last second ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the Months to Maturity then identifying Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The Managing Owner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

RESULTS OF OPERATIONS

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.

Series 1 Units, which were initially issued simply as “Units” beginning in July 23, 2001, were the only Series of Units available prior to 2009. Series 2 Units were first issued on April 1, 2010, Series 3 Units were first issued on September 1, 2009 and Series 4 Units were first issued on November 1, 2010. The Trust’s past performance is not necessarily indicative of how it will perform in the future.


Periods ended September 30, 2015

Month Ending:			Total Trust Capital

September 30, 2015		$	216,395,957
June 30, 2015			214,524,007
December 31, 2014			240,589,206


	Three Months ended		Nine Months Ended
Change in Trust Capital	1,871,950	$	(24,193,249)
Percent Change	0.87%		(10.06)%

THREE MONTHS ENDED SEPTEMBER 30, 2015

The increase in the Trust’s net assets of $1,871,950 was attributable to net income after profit share of $10,413,447 and contributions of $779,146 which were partially offset by redemptions of $9,320,643.

Brokerage and custodial 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 and custodial fees for the three months ended September 30, 2015 decreased $613,580 relative to the corresponding period in 2014 due to a decrease in the Trust’s net assets as well as an increase in brokerage fee rebates to the trust.

Administrative expenses for the three months ended September 30, 2015 decreased $57,783 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended September 30, 2015 relative to the corresponding period in 2014.

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, 2015 increased $58,067 relative to the corresponding period in 2014. This increase was due predominantly to an increase in U.S. Treasury note coupon interest during the three months ended September 30, 2015 relative to the corresponding period in 2014, and partially due to an increase in average net assets over the same period.

The Trust experienced net realized and unrealized gains of $13,949,008 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $3,106,092, administrative expenses of $295,862, custody fees and other expenses of $11,792, management fees of $96,256 and an accrued profit share to the General Partner of $155,001 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $129,442, were partially offset by the Trust’s expenses resulting in net income after profit share to the General Partner of $10,413,447. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	1.36	%
Energies	2.10	%
Grains	(0.58)	%
Interest rates	4.39	%
Livestock	0.09	%
Metals	1.50	%
Softs	0.15	%
Stock indices	(2.32)	%

Trading gain	6.69	%

NINE MONTHS ENDED SEPTEMBER 30, 2015

The decrease in the Trust’s net assets of $24,193,249 was attributable to redemptions of $32,290,263 which was partially offset by net income after profit share of $3,643,695 and subscriptions of $4,453,319.

Brokerage and custodial 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 and custodial fees for the nine months ended September 30, 2015 decreased $2,033,794 relative to the corresponding period in 2014 due to a decrease in the Trust’s net assets as well as an increase in brokerage fee rebates to the trust.

Administrative expenses for the nine months ended September 30, 2015 decreased $171,613 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the Trust's net assets during the nine months ended September 30, 2015 relative to the corresponding period in 2014.

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, 2015 increased $88,360 relative to the corresponding period in 2014. This increase was due predominantly to an increase in U.S. Treasury note coupon interest during the three months ended September 30, 2015 relative to the corresponding period in 2014, and partially due to an increase in average net assets over the same period.

The Trust experienced net realized and unrealized gains of $14,494,780 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $9,768,971, administrative expenses of $906,376, custody fees and other expenses of $39,167, management fees of $289,977 and an accrued profit share to the General Partner of $159,644 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $313,050, were partially offset by the Trust’s expenses resulting in net income after profit share to the General Partner of $3,643,695 An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.71	%
Energies	(0.06)	%
Grains	(1.03)	%
Interest rates	4.95	%
Livestock	0.12	%
Metals	1.87	%
Softs	0.27	%
Stock indices	(0.26)	%

Trading gain	6.57	%

MANAGEMENT DISCUSSION –2015

Three months ended September 30, 2015

At the end of a quarter of extraordinary volatility in both financial and commodity markets, the Trust posted a gain due to profits from long interest rate futures positions, short energy and metal future positions and, long dollar foreign exchange forward positions. On the other hand, trading of stock index futures was unprofitable, as was, to a lesser extent, trading of agricultural commodity futures.

Futile attempts by Chinese officials to stem a sharp equity selloff, two official rate cuts by the People’s Bank of China (the “PBOC”), and a surprise devaluation of the Chinese yuan, coupled with weak economic data, raised questions about how China’s leadership was addressing its economic slowdown. Also during the quarter, the vacillating prospects for a Federal Reserve interest rate increase were answered in a somewhat surprising way in September when the Federal Reserve failed to raise official rates. The decision not to change rates, even as U.S. growth and employment data remained strong, led the markets to conclude that U.S. policymakers think the rising dollar, increased market volatility and slowing growth in emerging economies could derail global economic activity, and they did not want to exacerbate that threat with a rate increase. Actual and upcoming elections in Greece, Portugal, Spain, Turkey, Argentina, Singapore, Canada and Australia, and heightened political uncertainties elsewhere—Brazil, Russia, Malaysia, Thailand and the Middle East—only added to investor skittishness.

Against this background and with inflation generally subdued globally, demand for government securities, augmented by some safe haven buying, was strong. Consequently, long positions in U.S., Canadian, German, French, Italian, British and Japanese note and bond futures were profitable. Long positions in U.S. and British short-term interest rate futures were profitable also. Official rate reductions by several central banks including those of China (twice), New Zealand (twice), Canada, Taiwan, Norway, Sweden, India and Hungary added to the downward pressure on interest rates. A September comment from European Central Bank President Draghi that “…more ease is possible…” also supported government securities purchases.

Lowered global growth projections from the IMF, World Bank, OECD, WTO and Asian Development Bank cemented the outlook for low energy demand amid continuing oversupply. Consequently, energy prices declined and short positions in crude oil, crude oil products, and natural gas were profitable. This occurred despite an abrupt— though temporary 25% oil price spike on the final three trading days of August, amid signs that U.S. production during the first half of 2015 had fallen more than previously reported, and that OPEC might be willing to alter its current production stance. This was the largest three day gain in the price of oil in 25 years.

Prices of industrial metals fell in the July-September period. Short positions in copper, aluminum, nickel, zinc and platinum were profitable. Abundant supplies and inventories of metals brought on by the expansion of productive capacity over the past 10-20 years have combined with sluggish demand—especially from China— and a stronger U.S. dollar to depress prices. Trading of gold and silver were marginally unprofitable.

In the wake of the difficult economic and political situations in Asia and emerging markets, long U.S. dollar positions versus the currencies of Brazil, Chile, Colombia, Mexico, Korea, Canada, New Zealand, Russia, and Turkey were profitable. On the other hand, as risk was unwound, the euro, which had been used as funding vehicle due to its low interest rate, advanced faster than the U.S. dollar and a long U.S. dollar position versus the euro was unprofitable. Trading the U.S. dollar against the currencies of India, Australia, the U.K., Switzerland, the Czech Republic and Poland was unprofitable. After the Federal Reserve failed to raise interest rates, the U.S. dollar fell back somewhat, earlier profits were reduced and positions were cut back.

In this environment investors sold equities aggressively and volatility spiked higher, especially in August and September. Long positions in Japanese, Hong Kong, Chinese and U.S. equity futures were unprofitable, and positions were reduced or reversed. Short positions in Korean and Singaporean indices, and trading of Dutch and German stock futures were profitable, reducing the sector’s overall loss. In addition, these overall losses were reduced somewhat when equity prices rallied on the last day of September quarter.

Turning to agricultural commodities, trading of corn, wheat, soybeans and soybean meal, and a long cotton position were unprofitable. On the other hand, profits from long sugar, coffee, soybean oil and cattle trades, and from a long cocoa position provided partially offsetting gains.

Three months ended June 30, 2015

The Trust sustained a loss as a number of profitable, consensus trades from the first quarter proved unprofitable in the second quarter. Long positions in interest rate futures, equity futures, and U.S. dollar forwards and short euro currency trades were unprofitable. Short energy futures trades were unprofitable as well. On the other hand, trading of metal futures was profitable, while trading of soft and agricultural commodities was nearly flat.

The sanguine attitude towards Greece from the first quarter became a second quarter ebb and flow of meetings, proposals, information and recriminations around the Greek crisis, culminating in the imposition of capital controls; a week-long bank holiday; and a nationwide referendum that rattled equity, bond and currency markets. The U.S. economy rebounded from its poor first quarter performance, although inflation and wages did not register explicit improvements. Consequently, the on-again, off-again prospects for a Federal Reserve rate increase added to market anxiety. Finally, uncertainty about China’s growth prospects were compounded late in the period by the sudden, precipitous collapse in Chinese equity markets.

The price of German, French, and Italian note and bond futures, which had risen precipitously in the wake of the European Central Bank’s quantitative easing program, reversed course abruptly, driving rates sharply higher as analysts questioned the extraordinarily low levels they had reached particularly as EU economic data was improving and the Greek situation seemed to defy solution. Consequently, long positions in Continental European note and bond futures were unprofitable. Though the path was not a straight line partly due to reduced global bond market liquidity, better U.S. economic news pushed U.S. interest rates higher, producing losses from long positions in U.S. note and bond futures. Long positions in Japanese bond futures, U.K. bond futures, and short sterling futures also registered losses. Long positions in U.S. 2-year notes and short term euro dollar futures did register small gains.

The path of equity prices during the quarter was uneven across time and markets. Equity futures were buffeted in a positive way by improving economic data from the U.S. and Europe, and in a negative way by the unfolding Greek tragedy; by economic growth concerns and wild swings in equity markets in China that prompted a Bank of China rate cut; and by worries about the timing of possible Fed rate increases. In the end, the negative influences carried the day. Long positions in European, British, Canadian, Australian, Korean and Taiwanese equity futures posted losses, especially in June. Meanwhile, long positions in Chinese, Hong Kong and Japanese futures remained profitable even after posting losses in May and June. As volatility spiked in June, the gain from a short VIX position was pared back.

Currency trading was also volatile during the quarter. In April and early May, poor results from the U.S. first quarter GDP report raised the likelihood that an anticipated Federal Reserve interest rate increase would be delayed. Consequently, long dollar positions registered losses and were reduced or reversed. Later on, the U.S. dollar steadied as U.S. economic data recovered and as the situations in China and Greece deteriorated. On balance, trading the U.S. dollar against the currencies of Australia, the U.K., Canada, Brazil, Chile, Columbia, Czech Republic, Sweden, and Korea was unprofitable. Short euro trades versus several currencies were also unprofitable. The gain from a long U.S. dollar/short Japanese yen trade provided a partial offset.

Energy prices moved higher in April amid signs of a growth improvement in Europe and a weakening dollar. Consequently, short positions in crude oil, crude oil products and natural gas generated losses and were scaled back.

Short positions in aluminum, copper, palladium, platinum, and silver were profitable, particularly in May and June, as China’s slowdown and equity turmoil led to reduced demand and some increased supplies on world markets. Increased palladium and platinum production from South Africa also weighed on prices. Meanwhile, a sharp swing in the price of zinc led to a loss on a long position, and trading of gold was also unprofitable.

Grain prices, which have been falling rather persistently, rose somewhat late in the period as heavy rains in the U.S. threatened to delay harvests of some crops and planting of others. Consequently, losses on short corn and wheat positions outweighed the gains from long soybean and soybean meal trades.

The loss on a short sugar trade slightly outweighed the gains from a long cocoa position and a short coffee trade.

Three months ended March 31, 2015

Solid first quarter performance was led by gains from trading of financial markets—interest rate and equity futures, and currency forwards. Commodity futures trading was nearly flat as losses from trading grain futures were countered by gains from trading soft, metal and livestock futures.

The European Central Bank’s historic quantitative easing announcement, several easing moves by the People’s Bank of China and more than 20 other official interest rate reductions led to sharp gains on long positions in U.S. interest rate futures across the yield curve. Long positions in German, Italian, French, Canadian and Australian notes and bonds also registered profits. A long position in short-term sterling rates was profitable as events suggested that any tightening of U.K. monetary policy would be delayed.

The more accommodative monetary policy environment and some improvement in growth indicators for Europe led to gains on long positions in Continental European, Chinese, Hong Kong, Japanese, and Australian equity futures. On the other hand, a short Korean kospi futures trade was unprofitable. Meanwhile, U.S. equity futures, after reaching record levels, stagnated in the wake of the stronger U.S. dollar, disappointing earnings reports, and a first quarter growth slowdown.

Currency markets were volatile during the quarter, although a solid U.S. economic outlook, generally higher relative interest rates, and some safe haven cachet underpinned the U.S. dollar. Still, a tentative Russia/ Ukraine ceasefire and temporary bouts of sanity around the Greek crisis periodically took some steam out of the dollar. Overall, long U.S. dollar positions versus the euro, Czech koruna, Swedish krona, Turkish lira, Brazilian real and Canadian dollar were profitable. On the other hand, a long U.S. dollar/short Swiss franc trade sustained a large loss when, on January 15th, the Swiss National Bank unexpectedly ended the franc’s peg to the euro and the franc soared 15%. Long dollar trades against the South African, Norwegian and New Zealand currencies produced small losses.

Grain prices recovered a bit after the USDA projected a reduction in planting acreage for the current crop year. Consequently, short wheat positions, and to a lesser extent trading of corn, soybeans, soybean meal and bean oil produced minor losses. Coffee and sugar prices continued to fall and short positions in both were profitable. A short hog trade was marginally positive.

Energy trading was flat as the gains from short WTI crude and natural gas positions offset the losses from short Brent crude, heating oil and London gas oil trades. Metal trading was also nearly flat with gains from short aluminum, silver and nickel positions and trading of gold marginally outpacing the losses from short copper, zinc, and platinum positions and trading of palladium.


Periods ended September 30, 2014

Month Ending:			Total Trust Capital

September 30, 2014		$	243,271,873
June 30, 2014			255,542,618
December 31, 2013			288,237,729


	Three Months ended		Nine Months Ended
Change in Trust Capital	(12,270,745)	$	(44,965,856)
Percent Change	(4.80)%		(15.60)%

THREE MONTHS ENDED SEPTEMBER 30, 2014

The decrease in the Trust’s net assets of $12,270,745 for the three months ended September 30, 2014 was attributable to redemptions of $17,125,182 which was partially offset by net income of $4,173,791 and subscriptions of $680,646.

Brokerage and custodial 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 and custodial fees for the three months ended September 30, 2014 decreased $1,733,501 relative to the corresponding period in 2013 due to a decrease in the Trust’s net assets.

Administrative expenses for the three months ended September 30, 2014 decreased $38,660 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended September 30, 2014 relative to the corresponding period in 2013.

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, 2014 decreased $63,971 relative to the corresponding period in 2013. This decrease was due predominantly to a decrease in average net assets during the three months ended September 30, 2014.

The Trust experienced net realized and unrealized gains of $8,288,857 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $3,719,672, administrative expenses of $353,645, custody fees and other expenses of $14,743 and management fees of $98,381 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $71,375, were partially offset by the Trust's expenses resulting in net income of $4,173,791. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(0.91)	%
Energies	0.30	%
Grains	2.01	%
Interest rates	2.65	%
Livestock	0.01	%
Metals	0.43	%
Softs	0.70	%
Stock indices	(1.78)	%

Trading gain	3.41	%

NINE MONTHS ENDED SEPTEMBER 30, 2014

The decrease in the Trust’s net assets of $44,965,856 for the nine months ended September 30, 2014 was attributable to redemptions of $72,303,186 which was partially offset by net income of $25,470,707 and subscriptions of $1,866,623.

Brokerage and custodial 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 and custodial fees for the nine months ended September 30, 2014 decreased $7,308,368 relative to the corresponding period in 2013 due to a decrease in the Trust’s net assets.

Administrative expenses for the nine months ended September 30, 2014 decreased $177,625 relative to the corresponding period in 2013. The decrease was due mainly to a decrease in the Trust's net assets during the nine months ended September 30, 2014 relative to the corresponding period in 2013.

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, 2014 decreased $310,082 relative to the corresponding period in 2013. This decrease was due predominantly to a decrease in average net assets during the nine months ended September 30, 2014.

The Trust experienced net realized and unrealized gains of $38,486,127 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $11,802,765, administrative expenses of $1,077,989, custody fees and other expenses of $47,350 and management fees of $312,006 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $224,690, were partially offset the Trust's expenses resulting in net income of $25,470,707. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.90	%
Energies	1.31	%
Grains	2.29	%
Interest rates	9.99	%
Livestock	0.42	%
Metals	(0.75)	%
Softs	0.89	%
Stock indices	0.97	%

Trading gain	16.02	%

MANAGEMENT DISCUSSION –2014

Three months ended September 30, 2014

The Trust registered a gain during the quarter ended September 30, 2014 as profits from trading interest rate and commodity futures outpaced losses from trading stock index futures and currency forwards.

With growth solid and inflation concerns gaining some traction, the U.S. Federal Reserve and Bank of England were discussing the timing of official rate increases. On the other hand, with inflation stubbornly at or below 0.5% in the European Union and core inflation quiescent in Japan, and with growth stagnant in both countries, the European Central Bank and the Bank of Japan were continuing to move in the direction of further monetary ease. Finally, the People’s Bank of China implemented targeted lending measures to underpin an economy that was slowing more than desired under the weight of a sinking property sector and the transition from an export led economy to an economy led by domestic demand. These differential growth, inflation and policy patterns seemed to drive financial market developments, while commodity markets responded more to their specific supply and demand factors rather than to the broad sweep of global macro factors.

In this environment and with demand for government securities augmented by a flight to safety reflecting the geopolitical strains in the Ukraine and the Middle East, European interest rates were driven to record lows and profits were recorded on long positions in German, French, Italian, British, and Japanese note, bond, and short-term interest rate futures. On the other hand, long positions in U.S. interest rate futures were fractionally unprofitable.

In the agricultural sector, short corn, wheat, soybean and soybean oil positions were profitable as the U.S. Department of Agriculture (“USDA”) forecast bumper crops and ample inventories, driving corn and wheat prices to four year lows. Livestock trading was flat. A short cotton trade benefitted from an abundant U.S. cotton harvest and slowing Chinese demand. A short sugar position profited from news of a better supply outlook in Brazil that pushed down sugar prices to seven year lows. Finally, a long cocoa trade was profitable as concern about Ebola in West Africa prompted supply worries.

For much of the quarter, energy prices were volatile, buffeted by adequate supplies on the one hand –especially in the U.S.—and Middle East turmoil on the other. By September, however, weakening Chinese demand, a stronger U.S. dollar and ample supplies drove energy prices lower and short positions in Brent crude, London gas oil, and heating oil had produced profits. However, trading of WTI crude, RBOB gasoline and natural gas early in the quarter produced largely offsetting losses.

Metal trading was marginally profitable as prices weakened late in the period in response to a stronger U.S. dollar and softer economic data out of China, and short positions in nickel, platinum and silver posted gains. A long zinc trade was profitable as supplies tightened in the wake of several “old mine” closures. A long aluminum trade was also profitable as Indonesia continues to restrict bauxite exports.

Long positions in Continental European equity futures were unprofitable as the fallout from the Russia-Ukraine confrontation undermined the already weak growth outlook, especially in Germany and Eastern Europe. With the Bank of England discussing the timing of rate increases and in the heat of the Scottish independence vote, a long British equity futures trade generated a loss. Late in the quarter, political turmoil in Hong Kong and news of slower than expected growth in China led to losses on long positions in Korean, Hong Kong, Australian and Chinese equity futures. Long positions in South African, Canadian and small cap U.S. equity futures were also unprofitable, as was a short VIX trade. Long positions in Japanese futures were marginally profitable.

Entering the quarter, the Trust was short the U.S. dollar versus a number of currencies that had higher interest rates and/or apparently better growth prospects. As it became evident that U.S economic activity was accelerating and that the U.S. Federal Reserve was moving toward tighter policy, the U.S. dollar started to climb and losses were sustained during July and into August. Thereafter, long U.S. dollar trades produced somewhat offsetting profits. Short U.S. dollar trades against New Zealand, Canada, Switzerland, Korea, Brazil, Mexico, India and Singapore registered losses. The fact that New Zealand officials suggested that the rise in the New Zealand dollar was “unjustified and unsustainable”; that

the Reserve Bank of Australia claimed that the Australian dollar was “overvalued”; that the Reserve Bank of India intervened to buy U.S. dollars; and that the IMF suggested that the pound sterling was “overvalued” added to the U.S. dollar’s advance. Heightened political tensions worldwide also underpinned the U.S. currency. Consequently, long U.S. dollar positions against the euro, Swedish krona, Czech koruna, Chilean peso, and Japanese yen were profitable. A long British pound trade was profitable in the wake of the Scottish independence “No” vote. Non-U.S. dollar cross rate trading was marginally profitable, largely due to a few short euro trades early in the quarter.

Three months ended June 30, 2014

The Trust registered a gain during the second quarter largely due to profits from long interest rate and equity futures positions, and from short U.S. dollar trades. Long energy positions were also profitable but those gains were offset by losses from trading agricultural commodities. Finally, trading of metal futures was flat.

A further easing of monetary policy by the European Central Bank in early June, persistently accommodative monetary policy elsewhere in the developed world, stubbornly low inflation worldwide, and some flight to safety demand pushed government bond prices higher. Consequently, long positions in U.S., German, U.K., Canadian, French, Italian, Australian and Japanese note and bond futures were profitable, especially in April and May. On the other hand, a long position in short-term British interest rate futures was unprofitable after Bank of England Governor Carney hinted that official British rates might rise sooner than previously expected.

Against this easy money background and with economic growth rebounding from a weather induced first quarter slowdown, long positions in German, Spanish, Dutch, French, U.S., British, Indian, Taiwanese, Singaporean, and South African equity futures were profitable. Also, with volatility plummeting to historically low levels, a short VIX trade produced a gain.

Higher interest rates and/or stronger growth prospects in certain countries weighed on the U.S. dollar. In particular, short U.S. dollar trades against the New Zealand dollar, British pound, Australian dollar, Korean won and Brazilian real were profitable. Short U.S. dollar trades against the currencies of Colombia, Israel, Mexico, Singapore and Switzerland also registered gains. On the other hand, long U.S. dollar positions relative to the Canadian dollar and Japanese yen were unprofitable, as was trading of Swedish and Norwegian currencies.

The expanding turmoil in the Middle East pushed energy prices higher, particularly in May and June, and long positions in Brent crude, WTI crude and RBOB gasoline were profitable, and outpaced small losses from trading heating oil and London gas oil.

Grain prices were volatile during the quarter, rising early on due to dry weather in the U.S. and concern about the impact of the Russia-Ukraine confrontation and falling later due to improved weather conditions and better USDA crop forecasts. As a result, long positions in corn, wheat, soybeans, and soybean meal were unprofitable. Meanwhile, trading of cattle was marginally profitable, and trading of soft commodities was flat.

A long nickel trade benefitted from the Indonesian export ban that drove prices higher; a long palladium trade was profitable as labor turmoil in South Africa and Russian tensions boosted prices; and a long gold trade was a positive due to flight to safety demand. Losses were incurred from trading aluminum, copper, lead and silver.

Three months ended March 31, 2014

After a quarter of significant market volatility, the Trust produced a profit, predominantly due to gains from long interest rate futures positions. There were also fractional profits from trading agricultural commodities, energy and currencies, but these were largely offset by the losses from trading metals.

Shifting perceptions about U.S. and Chinese growth prospects, the future course of Federal Reserve monetary policy, political and economic turmoil in several emerging economies—including Turkey, India, Indonesia, and Thailand, and the impact of the Russia-Ukraine-Crimea situation kept markets off balance during the quarter.

Given persistent concerns about worldwide growth, social and political unrest in numerous emerging markets and a lack of inflationary impulses in the developed world, it should come as no surprise that a flight to safety and quality would push up note and bond prices. Consequently, long positions in German, French, Italian, Japanese, Canadian and U.S. note and bond futures were profitable. Long positions in U.S. and German short term interest rate futures also registered gains. On the other hand, trading Australian and British note and bond futures was unprofitable.

Equity prices were particularly volatile during the quarter as the markets digested weather-related growth problems in the U.S., slowing Chinese growth, the outlook for U.S. quantitative easing, and Chinese policy efforts to wring excess debt and capacity out of the economy without threatening too many corporate defaults or bankruptcies. Losses from trading of and long positions in Chinese, Hong Kong, Korean, Japanese, Singaporean and Australian equity futures slightly outweighed the gains from long U.S., German, Spanish and Canadian equity futures positions.

Foreign exchange markets were rattled by the political and economic turmoil in many emerging markets, by monetary policy developments in China and the U.S., as well as by growth concerns. Short U.S. dollar positions against sterling, the Indian rupee, the New Zealand dollar, and the Swiss franc were profitable, as were long U.S. dollar trades against Chile and Russia and a long New Zealand/short Canada trade. These gains were partially offset by losses on: short U.S. dollar trades against the euro, Czech koruna, Polish zloty and Korean won; a long U.S./short Singapore dollar position; long euro trades versus Australia and Turkey; and trading the Australian dollar relative to the yen and pound sterling.

Turning to agricultural commodities, long positions in soybeans, soybean meal, corn, coffee, cocoa, cotton and livestock, and a short wheat trade were profitable. Meanwhile, short sugar and soybean oil trades produced small losses.

Metal trading was unprofitable due to losses from long copper, lead, gold and silver trades and from a short aluminum position. A long nickel trade produced a partially offsetting profit.

Energy trading was marginally profitable as gains from a long WTI crude position and trading of natural gas outweighed the losses from long Brent crude and London gas oil positions.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot, option, and swap 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 four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at September 30, 2015.

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 recurrence 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 value at risk 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 of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

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

Exchange maintenance margin requirements 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.

The Trust calculates Value at Risk for forward currency contracts that are not exchange traded using exchange maintenance margin requirements for equivalent or similar futures positions as the measure of Value at Risk.

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 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 the nine months ended September 30, 2015. During the nine months ended September 30, 2015, the Trust's average total capitalization was approximately $230,000,000.


Sector		Average value at risk	% of Average Capitalization		High value at risk		Low value at risk
Currencies	$	6.3	2.7%	$	7.4	$	5.0
Energies		1.4	0.6%		2.3		0.7
Grains		0.9	0.4%		1.0		0.7
Interest rates		6.5	2.9%		7.8		5.3
Livestock		0.1	0.0%		0.1		0.1
Metals		2.6	1.1%		2.8		2.1
Softs		0.4	0.2%		0.5		0.3
Stock indices		9.4	4.1%		12.2		5.9
	$	27.6	12.0%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2015. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the nine months ended September 30, 2015. Dollar amounts represent millions of dollars.

Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held by the Trust is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Trust. The magnitude of the Trust’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions — unusual, but historically recurring from time to time — could cause the Trust to incur severe losses over a short period of time. The foregoing Value at Risk table — as well as the past performance of the Trust — give no indication of this “risk of ruin.”

Non-Trading Risk

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

The Trust also has non-trading cash flow risk as a result of holding a substantial portion (approximately 90%) of its assets in U.S. Treasury notes and other short-term debt instruments (as well as any market risk they represent) for margin and cash management purposes. Although the Managing Owner does not anticipate that, even in the case of major interest rate movements, the Trust would sustain a material mark-to-market loss on its securities positions, if short-term interest rates decline so will the Trust’s cash management income. The Trust also maintains a portion (approximately between 5% and 10%) of its assets in cash and in a U.S. government securities and related instruments money market fund. These cash balances are also subject (as well as any market risk they represent) to cash flow risk, which is not material.

Qualitative Disclosures

There have been no material changes in the qualitative disclosures about market risk since the end of the preceding fiscal year.

ITEM 4. CONTROLS AND PROCEDURES

The Managing Owner, with the participation of its principal executive officers and principal 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 controls over financial reporting during the quarter ended September 30, 2015 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

There are no material changes from risk factors as previously disclosed in Form 10-K, filed March 30, 2015.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND THE USE OF PROCEEDS

(a)

There have been no sales of unregistered securities of the Trust during the three months ended September 30, 2015.

(c)

Pursuant to the Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at 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, 2015.


	Series 1			Series 3
Date of Redemption	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit

July 31, 2015	2,712.355	$	1,090.64	44.802	$	1,361.84
August 31, 2015	3,049.142		1,047.85	77.888		1,322.61
September 30, 2015	2,263.672		1,083.04	338.226		1,362.30
Total	8,025.169			460.916

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

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

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

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

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF XBRL Taxonomy Extension Definition Linkbase Document

101.LAB XBRL Taxonomy Extension Label Linkbase Document

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document

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, 2015
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - November 13, 2015

Attached files

GLOBAL MACRO TRUST Reports