GLOBAL MACRO TRUST - FORM 10-Q

Attached files

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EX-32.3 - EX-32.3 - GLOBAL MACRO TRUST	c765-20180331xex32_3.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUST	c765-20180331xex32_2.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUST	c765-20180331xex32_1.htm
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUST	c765-20180331xex31_3.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUST	c765-20180331xex31_2.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUST	c765-20180331xex31_1.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: March 31, 2018


	☐	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, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth 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 ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.

Yes ☐ No ☐

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 months ended March 31, 2018 and 2017 (unaudited)

Statements of Financial Condition (a)						1
Condensed Schedules of Investments (a)						2
Statements of Operations (b)						6
Statements of Changes in Trust Capital (b)						7
Statements of Financial Highlights (b)						9
Notes to the Financial Statements						10

(a) At March 31, 2018 and December 31, 2017 (unaudited)
(b) For the three months ended March 31, 2018 and 2017 (unaudited)


Global Macro Trust
Statements of Financial Condition (UNAUDITED)


		March 31, 2018		December 31, 2017
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $24,574,296 and $43,712,747)	$	24,544,290	$	43,659,062
Net unrealized appreciation on open futures and
forward currency contracts		5,641,927		1,183,274
Due from brokers		1,536,260		231,309
Cash denominated in foreign currencies (cost $6,157,384
and $10,692,888)		6,241,283		10,970,398
Total equity in trading accounts		37,963,760		56,044,043

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $148,170,352 and $144,189,124)		147,938,594		143,988,170
CASH AND CASH EQUIVALENTS		14,240,925		23,212,966
ACCRUED INTEREST RECEIVABLE		446,069		505,305
TOTAL	$	200,589,348	$	223,750,484

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	699,000	$	1,420,900
Net unrealized depreciation on open forward currency contracts		572,627		4,213,545
Due to Managing Owner		56,730		-
Due to brokers		87,784		348,101
Accrued brokerage and custodial fees		855,634		942,175
Accrued management fees		46,923		47,179
Redemptions payable to Unitholders		5,525,710		3,468,963
Redemption payable to Managing Owner		-		1,308,811
Accrued expenses		212,215		155,246
Total liabilities		8,056,623		11,904,920


TRUST CAPITAL:
Managing Owner interest (3,120.690 and 3,072.023 units outstanding)		3,545,353		3,742,615
Series 1 Unitholders (133,722.207 and 139,480.782 units outstanding)		151,919,233		169,927,843
Series 3 Unitholders (19,798.338 and 19,430.096 units outstanding)		30,384,211		31,616,309
Series 4 Unitholders (3,535.240 and 3,286.212 units outstanding)		6,683,928		6,558,797
Total trust capital		192,532,725		211,845,564

TOTAL	$	200,589,348	$	223,750,484

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,136.08	$	1,218.29
Series 3 Unitholders	$	1,534.68	$	1,627.18
Series 4 Unitholders	$	1,890.66	$	1,995.85

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2018

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	1.07	%	$	2,056,828
Grains	0.00			3,770
Interest rates:
2 Year U.S. Treasury Note (418 contracts, settlement date June 2018)	0.01			11,875
5 Year U.S. Treasury Note (222 contracts, settlement date June 2018)	0.06			106,367
10 Year U.S. Treasury Note (163 contracts, settlement date June 2018)	0.09			171,188
Other interest rates	1.77			3,416,770
Total interest rates	1.93			3,706,200

Metals	(0.79)			(1,517,951)
Softs	(0.01)			(12,690)
Stock indices	0.13			248,381
Total long futures contracts	2.33			4,484,538

Short futures contracts:
Energies	0.00			5,800
Grains	0.17			321,291
Interest rates	(0.07)			(133,440)
Livestock	0.01			18,320
Metals	0.46			901,205
Softs	0.08			145,546
Stock indices	(0.05)			(101,333)
Total short futures contracts	0.60			1,157,389
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	2.93			5,641,927

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.20)			(365,023)
Total short forward currency contracts	(0.10)			(207,604)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.30)			(572,627)

TOTAL	2.63	%	$	5,069,300

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2018
U.S. TREASURY NOTES

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

$	44,410,000	U.S. Treasury notes, 1.000%, 05/15/2018	23.05	%	$	44,376,172
	42,960,000	U.S. Treasury notes, 1.000%, 08/15/2018	22.24			42,825,750
	38,020,000	U.S. Treasury notes, 1.250%, 11/15/2018	19.66			37,842,524
	48,000,000	U.S. Treasury notes, 0.750%, 02/15/2019	24.64			47,438,438
		Total investments in U.S. Treasury notes
		(amortized cost $172,744,648)	89.59	%	$	172,482,884

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2017

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	1.21	%	$	2,568,516
Grains	(0.00)			(5,320)
Interest rates:
2 Year U.S. Treasury Note (591 contracts, settlement date March 2018)	0.00			2,141
30 Year U.S. Treasury Bond (82 contracts, settlement date March 2018)	0.06			118,719
Other	(0.98)			(2,060,795)
Total interest rates	(0.92)			(1,939,935)

Metals	1.22			2,582,552
Softs	0.04			83,760
Stock indices	0.25			521,594
Total long futures contracts	1.80			3,811,167

Short futures contracts:
Energies	(0.13)			(266,670)
Grains	0.03			62,575
Interest rates	0.11			226,616
Livestock	(0.00)			(6,580)
Metals	(1.31)			(2,762,805)
Softs	(0.03)			(61,396)
Stock indices	(0.08)			(168,781)
Total short futures contracts	(1.41)			(2,977,041)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.39			834,126

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	0.26			558,799
Total short forward currency contracts	(2.08)			(4,423,196)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(1.82)			(3,864,397)

TOTAL	(1.43)	%	$	(3,030,271)

				(Continued)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2017
U.S. TREASURY NOTES

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

$	52,100,000	U.S. Treasury notes, 1.000%, 02/15/2018	24.58	%	$	52,079,648
	49,710,000	U.S. Treasury notes, 1.000%, 05/15/2018	23.44			49,646,893
	48,260,000	U.S. Treasury notes, 1.000%, 08/15/2018	22.69			48,071,484
	38,020,000	U.S. Treasury notes, 1.250%, 11/15/2018	17.87			37,849,207
		Total investments in U.S. Treasury notes
		(amortized cost $187,901,871)	88.58	%	$	187,647,232

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Statements of Operations (UNAUDITED)

		For the three months ended
		March 31, 2018		March 31, 2017
INVESTMENT INCOME:
Interest income	$	620,115	$	333,145

EXPENSES:
Brokerage and custodial fees		2,709,729		3,250,332
Administrative expenses		288,435		298,537
Custody fees and other expenses		9,206		10,918
Management fees		138,542		131,123
Total expenses		3,145,912		3,690,910

Managing Owner commission rebate to Unitholders		(177,189)		(191,820)

Net expenses		2,968,723		3,499,090

NET INVESTMENT LOSS		(2,348,608)		(3,165,945)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		(19,705,693)		11,273,121
Foreign exchange translation		401,336		(41,627)
Net change in unrealized:
Futures and forward currency contracts		8,099,571		(1,157,609)
Foreign exchange translation		(193,611)		184,931
Net losses from U.S. Treasury notes:
Realized		(11,106)		-
Net change in unrealized		(7,125)		(73,942)
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		(11,416,628)		10,184,874


NET INCOME (LOSS)	$	(13,765,236)	$	7,018,929
LESS PROFIT SHARE TO MANAGING OWNER		-		199,738
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	(13,765,236)	$	6,819,191

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	(82.21)	$	34.48
Series 2 Unitholders	$	-	$	48.54
Series 3 Unitholders	$	(92.50)	$	50.13
Series 4 Unitholders	$	(105.19)	$	83.56


See notes to financial statements (unaudited)				(Continued)


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

For the three months ended March 31, 2018:
											New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2018	$	169,927,843	139,480.782	$	31,616,309	19,430.096	$	6,558,797	3,286.212	$	-	-	$	3,742,615	3,072.023	$	211,845,564
Subscriptions		-	-		2,683,900	1,706.882		531,042	268.408		-	-		-	-		3,214,942
Redemptions		(6,666,191)	(5,854.307)		(2,060,673)	(1,338.640)		(35,681)	(19.380)		-	-		-	-		(8,762,545)
Addt'l units allocated *		-	95.732		-	-		-	-		-	-		-	48.667		-
Net loss		(11,342,419)	-		(1,855,325)	-		(370,230)	-		-	-		(197,262)	-		(13,765,236)
Trust capital at
March 31, 2018	$	151,919,233	133,722.207	$	30,384,211	19,798.338	$	6,683,928	3,535.240	$	-	-	$	3,545,353	3,120.690	$	192,532,725

Net asset value per unit outstanding
at March 31, 2018:	$	1,136.08		$	1,534.68		$	1,890.66

* 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 three months ended March 31, 2017:
														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, 2017	$	189,583,168	158,499.560	$	10,350	6.799	$	23,999,362	15,531.699	$	5,201,994	2,828.734	$	-	-	$	4,369,854	3,653.388	$	223,164,728
Subscriptions		1,422,500	1,182.019		-	-		3,699,000	2,358.183		737,923	401.568		1,093	0.895		-	-		5,860,516
Redemptions		(8,156,599)	(6,717.357)		-	-		(2,600,624)	(1,633.289)		-	-		-	-		-	-		(10,757,223)
Addt'l units allocated *		-	101.985		-	-		-	-		-	-		-	0.005		-	58.982		-
Net income before profit
share to Managing Owner:		5,513,121	-		410	-		1,036,364	-		270,468	-		14	-		198,552	-		7,018,929
Managing Owner's profit share:		-	-		(80)	-		(199,658)	-		-	-		-	-		-	-		(199,738)
Trust capital at
March 31, 2017	$	188,362,190	153,066.207	$	10,680	6.799	$	25,934,444	16,256.593	$	6,210,385	3,230.302	$	1,107	0.900	$	4,568,406	3,712.370	$	225,087,212

Net asset value per unit outstanding
at March 31, 2017:	$	1,230.59		$	1,570.82		$	1,595.32		$	1,922.54

* 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 March 31:	2018							2017
		Series 1		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4
Net income (loss) from operations:
Net investment gain (loss)		$ (16.24)		$ (5.39)		$ 1.67			$ (19.22)		$ (9.44)		$ (8.59)		$ (0.82)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		(65.86)		(86.98)		(106.69)			54.08		70.18		71.37		85.06
Net losses from U.S. Treasury obligations		(0.11)		(0.13)		(0.17)			(0.38)		(0.51)		(0.61)		(0.68)
Profit share allocated to Managing Owner		0.00		0.00		0.00			0.00		(11.69)		(12.04)		0.00
Net income (loss) per unit		$ (82.21)		$ (92.50)		$ (105.19)			$ 34.48		$ 48.54		$ 50.13		$ 83.56

Net asset value per unit, beginning of period		1,218.29		1,627.18		1,995.85			1,196.11		1,522.28		1,545.19		1,838.98

Net asset value per unit, end of period		$ 1,136.08		$ 1,534.68		$ 1,890.66			$ 1,230.59		$ 1,570.82		$ 1,595.32		$ 1,922.54
Total return and ratios for the three months ended March 31:		2018							2017
		Series 1		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4
RATIOS TO AVERAGE CAPITAL:
Net investment gain (loss) (a)		(5.67)	%	(1.40)	%	0.35	%		(6.34)	%	(2.44)	%	(2.19)	%	(0.17)	%
Total expenses (a)		6.91	%	2.64	%	0.88	%		6.92	%	3.02	%	2.78	%	0.76	%
Profit share allocation (b)		0.00		0.00		0.00			0.00		0.76		0.77		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.91	%	2.64	%	0.88	%		6.92	%	3.78	%	3.55	%	0.76	%
Total return before profit share allocation (b)		(6.75)	%	(5.68)	%	(5.27)	%		2.88	%	3.95	%	4.01	%	4.54	%
Less: Profit share allocation (b)		0.00		0.00		0.00			0.00		0.76		0.77		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		(6.75)	%	(5.68)	%	(5.27)	%		2.88	%	3.19	%	3.24	%	4.54	%
(a) Annualized
(b) Not annualized

See notes to financial statements (unaudited)

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 March 31, 2018 and December 31, 2017 (unaudited) and the results of its operations for the three months ended March 31, 2018 and 2017 (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, 2017. The December 31, 2017 information has been derived from the audited financial statements as of December 31, 2017.

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.

Previously offered Series 1 Units and Series 2 Units are no longer being offered by the Trust, and as of August 31, 2017, all Series 2 Units issued by the Trust have been redeemed.

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, 2014 to 2017, 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 2017.

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. The Managing Owner 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.

The Trust is an investment company following the accounting and reporting guidance put forth in Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”.

During the three months ended March 31, 2018 and 2017, 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 March 31, 2018 and December 31, 2017 in valuing the Trust’s investments at fair value. At March 31, 2018 and December 31, 2017, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of March 31, 2018


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	172,482,884	$	-	$	172,482,884
Short-term money market fund*		14,021,564		-		14,021,564
Exchange-traded futures contracts
Energies		2,062,628		-		2,062,628
Grains		325,061		-		325,061
Interest rates		3,572,760		-		3,572,760
Livestock		18,320		-		18,320
Metals		(616,746)		-		(616,746)
Softs		132,856		-		132,856
Stock indices		147,048		-		147,048

Total exchange-traded futures contracts		5,641,927		-		5,641,927

Over-the-counter forward currency contracts		-		(572,627)		(572,627)

Total futures and forward currency contracts (2)		5,641,927		(572,627)		5,069,300

Total financial assets at fair value	$	192,146,375	$	(572,627)	$	191,573,748

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	24,544,290
Investments in U.S. Treasury notes held in custody						147,938,594
Total investments in U.S. Treasury notes					$	172,482,884

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	5,641,927
Net unrealized depreciation on open futures and forward currency contracts						(572,627)
Total net unrealized appreciation on open futures and forward currency contracts					$	5,069,300

*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, 2017


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	187,647,232	$	-	$	187,647,232
Short-term money market fund*		22,962,966		-		22,962,966
Exchange-traded futures contracts
Energies		2,301,846		-		2,301,846
Grains		57,255		-		57,255
Interest rates		(1,713,319)		-		(1,713,319)
Livestock		(6,580)		-		(6,580)
Metals		(180,253)		-		(180,253)
Softs		22,364		-		22,364
Stock indices		352,813		-		352,813

Total exchange-traded futures contracts		834,126		-		834,126

Over-the-counter forward currency contracts		-		(3,864,397)		(3,864,397)

Total futures and forward currency contracts (2)		834,126		(3,864,397)		(3,030,271)

Total financial assets at fair value	$	211,444,324	$	(3,864,397)	$	207,579,927

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	43,659,062
Investments in U.S. Treasury notes held in custody						143,988,170
Total investments in U.S. Treasury notes					$	187,647,232

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	1,183,274
Net unrealized depreciation on open futures and forward currency contracts						(4,213,545)
Total net unrealized appreciation on open futures and forward currency contracts					$	(3,030,271)

*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 March 31, 2018, 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 March 31, 2018 and December 31, 2017. 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 March 31, 2018


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

Futures contracts:
Energies	$	2,059,908	$	(3,080)	$	8,680	$	(2,880)	$	2,062,628
Grains		28,498		(24,728)		329,575		(8,284)		325,061
Interest rates		3,744,659		(38,459)		702		(134,142)		3,572,760
Livestock		-		-		23,320		(5,000)		18,320
Metals		21,901		(1,539,852)		997,605		(96,400)		(616,746)
Softs		1,685		(14,375)		152,768		(7,222)		132,856
Stock indices		1,067,122		(818,741)		900		(102,233)		147,048

Total futures contracts		6,923,773		(2,439,235)		1,513,550		(356,161)		5,641,927

Forward currency contracts		1,327,859		(1,692,882)		1,133,898		(1,341,502)		(572,627)

Total futures and
forward currency contracts	$	8,251,632	$	(4,132,117)	$	2,647,448	$	(1,697,663)	$	5,069,300

Fair Value of Futures and Forward Currency Contracts at December 31, 2017


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

Futures contracts:
Energies	$	2,574,139	$	(5,623)	$	81,960	$	(348,630)	$	2,301,846
Grains		-		(5,320)		115,675		(53,100)		57,255
Interest rates		378,696		(2,318,631)		285,175		(58,559)		(1,713,319)
Livestock		-		-		1,260		(7,840)		(6,580)
Metals		2,596,495		(13,943)		5,056		(2,767,861)		(180,253)
Softs		85,170		(1,410)		11,813		(73,209)		22,364
Stock indices		1,859,712		(1,338,118)		247,718		(416,499)		352,813

Total futures contracts		7,494,212		(3,683,045)		748,657		(3,725,698)		834,126

Forward currency contracts		1,857,705		(1,298,906)		712,658		(5,135,854)		(3,864,397)

Total futures and
forward currency contracts	$	9,351,917	$	(4,981,951)	$	1,461,315	$	(8,861,552)	$	(3,030,271)

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2018 and 2017 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 months ended March 31, 2018 and 2017


		Three months ended:		Three months ended:
Sector		March 31, 2018		March 31, 2017

Futures contracts:
Energies	$	529,267	$	(1,017,651)
Grains		(594,972)		(489,016)
Interest rates		1,748,036		67,959
Livestock		56,700		(92,110)
Metals		(371,533)		56,990
Softs		307,072		184,670
Stock indices		(11,668,076)		10,801,645

Total futures contracts		(9,993,506)		9,512,487

Forward currency contracts		(1,612,616)		603,025

Total futures and forward currency contracts	$	(11,606,122)	$	10,115,512

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the three months ended March 31, 2018 and 2017. The Trust’s average net asset value for the three months ended March 31, 2018 and 2017 was approximately $200,000,000 and $227,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2018 and 2017


		2018				2017
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	59,152,796	$	4,223,920	$	7,957,082	$	10,158,136
Grains		2,379,180		13,428,560		158,300		17,098,915
Interest rates		471,868,047		39,594,126		401,596,132		5,150,911
Livestock		-		1,091,705		41,230		599,760
Metals		12,054,830		20,296,669		15,380,613		8,560,185
Softs		1,797,443		2,687,451		525,363		5,426,613
Stock indices		160,537,368		18,579,910		172,686,395		14,532,403

Total futures
contracts		707,789,664		99,902,341		598,345,115		61,526,923

Forward currency
contracts		60,268,098		119,477,899		77,486,709		140,104,485

Total average
notional	$	768,057,762	$	219,380,240	$	675,831,824	$	201,631,408

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 March 31, 2018 and 2017. 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 following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at March 31, 2018 and December 31, 2017.

Offsetting of derivative assets and liabilities at March 31, 2018


		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	$	4,162,010	$	(455,612)	$	3,706,398
Counterparty I		4,275,313		(2,339,784)		1,935,529

Total assets	$	8,437,323	$	(2,795,396)	$	5,641,927
						(Continued)

		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	$	1,200,021	$	(989,526)	$	210,495
Counterparty H		1,834,363		(1,472,231)		362,132

Total liabilities	$	3,034,384	$	(2,461,757)	$	572,627
						(Concluded)


				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)

Counterparty C	$	3,706,398	$	-	$	(3,706,398)	$	-
Counterparty I		1,935,529		-		(1,935,529)		-

Total	$	5,641,927	$	-	$	(5,641,927)	$	-

				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

Counterparty G	$	210,495	$	-	$	(210,495)	$	-
Counterparty H		362,132		-		(362,132)		-

Total	$	572,627	$	-	$	(572,627)	$	-
(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 liabilities 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 March 31, 2018.

Offsetting of derivative assets and liabilities at December 31, 2017


		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	$	2,789,663	$	(1,606,389)	$	1,183,274

Total assets	$	2,789,663	$	(1,606,389)	$	1,183,274

		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
Futures contracts
Counterparty I	$	5,802,354	$	(5,453,206)	$	349,148
Total futures contracts		5,802,354		(5,453,206)		349,148

Forward currency contracts
Counterparty G		2,732,822		(1,041,485)		1,691,337
Counterparty H		3,701,938		(1,528,878)		2,173,060
Total forward currency contracts		6,434,760		(2,570,363)		3,864,397

Total liabilities	$	12,237,114	$	(8,023,569)	$	4,213,545


				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)

Counterparty C	$	1,183,274	$	-	$	(1,183,274)	$	-

Total	$	1,183,274	$	-	$	(1,183,274)	$	-
								(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

Counterparty G	$	1,691,337	$	-	$	(1,691,337)	$	-
Counterparty H		2,173,060		-		(2,173,060)		-
Counterparty I		349,148		-		(349,148)		-

Total	$	4,213,545	$	-	$	(4,213,545)	$	-

(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, 2017.
								(Concluded)

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 $8,618,168 and $16,475,923 at March 31, 2018 and December 31, 2017, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2018 and 2017. 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:
	March 31,		March 31,
	2018		2017
Profit share earned	$	-	$	1,093
Profit share accrued		-		198,645
Total profit share	$	-	$	199,738

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 March 31, 2018 and December 31, 2017, The Managing Owner is owed $56,730 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 March 31, 2018 or December 31, 2017.

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 March 31,		Date of first issuance
	2018	2017

Series 1	138,330.697	157,108.874	July 23, 2001
Series 2	-	6.797	April 1, 2010
Series 3	20,525.772	16,580.345	September 1, 2009
Series 4	3,508.958	3,160.063	November 1, 2010

7. BROKERAGE AND CUSTODIAL FEES

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 months ended March 31, 2018 and 2017, 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 March 31,
	2018	2017

Brokerage fee rebates	$ 177,189	$ 191,820

8. SUBSEQUENT EVENTS

During the period from April 1, 2018 to May 14, 2018, subscriptions of $1,044,612 were made to the Trust and redemptions of $3,622,803 were made from the Trust. The Managing Owner has performed its evaluation of subsequent events from April 1, 2018 to May 14, 2018, the date this form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statements.

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

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

OPERATIONAL OVERVIEW

Due to the nature of the Trust's business, its results of operations depend on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner's 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, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward 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, forward 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, forward 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, forward 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, forward and spot trading, the Trust’s assets are highly liquid and are expected to remain so.

During its operations for the three months ended March 31, 2018, 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, forward 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 median of the average midpoint of bid/ask quotations at the last minute 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 number of Months to Maturity, then identifying the 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 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.


Period ended March 31, 2018

Month Ending:		Total Trust Capital

March 31, 2018	$	192,532,725
December 31, 2017		211,845,564


		Three Months ended
Change in Trust Capital	$	(19,312,839)
Percent Change		(9.12)%

THREE MONTHS ENDED MARCH 31, 2018

The decrease in the Trust’s net assets of $19,312,839 for the three months ended March 31, 2018 was attributable to net loss of $13,765,236 and redemptions of $8,762,545 which were partially offset by subscriptions of $3,214,942.

Brokerage and custodial fees are calculated on the net asset value of the Series 1Units 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 March 31, 2018 decreased $525,972 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2017 due to a decrease in the Trust’s net assets attributable to Series 1 Units.

Management fees are calculated on the net asset value of Series 3 units on the last day of each month and are affected by the trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2018 increased $7,419 relative to the corresponding period in 2017 due to mainly an increase in Series 3 net assets which were partially offset by a decrease in the management fee rate.

Administrative expenses for the three months ended March 31, 2018 decreased $10,102 relative to the corresponding period in 2017. The decrease was due mainly to a decrease in the Trust’s net assets during the three months ended March 31, 2018 relative to the corresponding period in 2017.

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 March 31, 2018 increased $286,970 relative to the corresponding period in 2017. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2018.

During the three months ended March 31, 2018, the Trust experienced net realized and unrealized losses of $11,416,628 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $2,709,729, administrative expenses of $288,435, custody fees and other expenses of $9,206 and management fees of $138,542 were incurred. Interest income of $620,115 and Managing Owner commission rebate to Unitholders of $177,189 partially offset the Trust's expenses, resulting in net loss after profit share to the Managing Owner of $13,765,236. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(0.80)	%
Energies	0.28	%
Grains	(0.30)	%
Interest rates	1.02	%
Livestock	0.02	%
Metals	(0.19)	%
Softs	0.13	%
Stock indices	(5.65)	%

Trading loss	(5.49)	%

MANAGEMENT DISCUSSION –2018

Three months ended March 31, 2018

The Trust was unprofitable during the quarter almost entirely due to losses from trading global stock index futures. Elsewhere, profits from trading interest rate, energy, soft commodity and livestock futures were largely offset by losses from trading currency forwards, and grain and metal futures.

Against a background of synchronized global growth and expanding corporate profits, stocks reached overbought levels during the sharp price run-up in early 2018. Subsequently, equity markets were weighed down by a series of worries including: reports suggesting an acceleration of U.S. wages and inflation combined with increased fiscal deficit spending could prompt the Federal Reserve (the “Fed”) to raise interest rates faster and further than previously anticipated; increased equity market volatility globally as the “central bank put” was removed from market psychology; the rising threat of a trade war; a first quarter slowdown in global growth momentum; and unsettled political conditions in the U.S., Germany and the U.K. Importantly, the tech sector, which has led the equity rally of recent years, was negatively impacted by the Facebook data breach, by the influence of the first autonomous car fatalities on the stock prices of Uber, Nvidia, and Tesla, by Moody’s downgrade of Tesla and by President Trump’s tweets about Amazon. As a result, equity markets fell sharply in volatile trading from their late January highs to the end of March. For example, the S&P 500 and EAFE equity indices fell nearly 10% from those peaks. Short VIX trades were the largest contributor to the Partnership’s equity sector losses during the quarter as this market saw an historic spike in prices caused by the sudden February selloff in equity markets, the increase in volatility, and the resulting liquidation of two short volatility exchange traded notes. Long positions in European, British, Japanese, Australian, Canadian, and U.S equity futures also generated losses. There were also losses from countertrend short positions in U.S. equity futures that were triggered by short term trading systems during the rapid equity price gains in January. On the other hand, long positions in Chinese, Hong Kong and Taiwanese stock futures were slightly profitable.

Interest rate futures were buffeted by conflicting forces during the quarter. At the start of the year, signs of strengthening global growth, evidence of rising wages and inflation in the U.S., and indications that major central banks, including the Fed, the European Central Bank (the “ECB”), and Bank of Japan, were pulling back on monetary accommodation led to rising interest rates and falling prices of interest rate futures. Later in the quarter, however, the threat of a trade war, increased equity market volatility globally, subdued actual inflation statistics, and a first quarter slowdown in global growth momentum generated solid demand for government securities, contributing to rising futures prices. Strong demand from central banks, pension funds and insurance related buyers for high quality government debt with attractive yields added to the price rallies. Meanwhile, in Japan, the February reappointment of Hiroki Kuroda to a second term as Bank of Japan Governor underpinned demand for Japanese government bonds. Ultimately, long positions in German, French, Italian, Canadian and Japanese interest rate futures were profitable. Trading of U.S. interest rate futures, though mixed, was also profitable. Long U.S. 2- and 5-year note trades were unprofitable in January, while a long 10-year note position was profitable in March. Also, a short euro-dollar trade was quite profitable in January as rates rose, while a long euro-dollar trade posted a small gain in March as rates declined. Meanwhile trading of British interest rate futures was fractionally negative.

Energy prices were volatile during the quarter, but energy trading was marginally profitable. For example, Brent crude prices climbed over $70 per barrel in January as the Organization of the Petroleum Exporting Countries (“OPEC”)/non-OPEC production control agreement and rising global demand continued to drag down inventories. A weaker U.S. dollar early in 2018 also boosted energy prices. Then prices plunged to under $63/barrel in mid-February due to the depressive impacts from the shale revolution and some worries about a slowing in global growth. From then to quarter end the price ratcheted up above $70 per barrel again in response to rising geopolitical anxiety. The hawkish appointments by President Trump of Mike Pompeo as U.S. Secretary of State and John Bolton as National Security Advisor heightened concern about the continuation of the

2015 Iran Nuclear Deal, and hence, about supplies of Iranian oil to the global market. For the quarter, the profits on long positions in Brent and WTI crude slightly outweighed the losses on long positions in RBOB gasoline, heating oil, and London gas oil. A short natural gas position was also slightly negative as unusually severe winter weather underpinned natural gas prices.

A short sugar trade was profitable as prices declined as world sugar production hit record highs in the wake surging supplies from India and Thailand. A short coffee position was also profitable. Meanwhile, a short cocoa trade produced a partially offsetting loss as dry weather in western Africa and demand increases from Europe and Asia supported prices.

Currency trading was unprofitable during the quarter. The U.S. dollar index, after falling about 4% during January, was range-bound thereafter. Long U.S. dollar positions against the currencies of Japan, Switzerland, Australia, New Zealand and Norway posted losses as the U.S. dollar displayed surprising weakness in January. Deterioration in the political environment in the U.S. and relatively stronger growth abroad weighed on the U.S. dollar even as interest rates rose in America. Later in the quarter as the U.S. dollar bounced off its lows, short U.S. dollar trades against the Swedish krona, Turkish lira and Brazilian real posted small losses. A cut in the official interest rate by Brazil’s central bank, a persistently negative official short term rate in Sweden, and worsening inflation and trade balance data from Turkey also influenced these losses. Trading the Canadian dollar was also unprofitable. On the other hand, long positions in the Mexican peso, Columbian peso and euro were profitable as the U.S. dollar weakened early in the quarter. A short British pound trade was also profitable due to Brexit concerns.

Early in the period, drought concerns in Argentina and the U.S. pushed grain prices higher despite the persistence of large inventories. However, later in the quarter, worries about a trade war with China weighed heavily on grain prices. Overall, losses on short soybean, corn and wheat trades early on and from long soybean and corn trades late in the period fractionally outdistanced the profits from a long soybean meal trade in January and February and a short wheat trade in March.

Metal trading was marginally negative for the quarter as losses from trading copper and aluminum outweighed the profit from a short silver position.


Period ended March 31, 2017

Month Ending:		Total Trust Capital

March 31, 2017	$	225,087,212
December 31, 2016		223,164,728


		Three Months ended
Change in Trust Capital	$	1,922,484
Percent Change		0.86%

THREE MONTHS ENDED MARCH 31, 2017

The increase in the Trust’s net assets of $1,922,484 for the three months ended March 31, 2017 was attributable to net income after profit share of $6,819,191 and subscriptions of $5,860,516 which were partially offset by redemptions of $10,757,223.

Brokerage and custodial fees are calculated on the net asset value of the Series 1 Units 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 March 31, 2017 decreased $48,172 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2016 due to a decrease in the Series 1 Trust’s net assets.

Management fees are calculated on the net asset value of Series 2 and Series 3 Units on the last day of each month and are affected by the trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2017 increased $23,016 relative to the corresponding period in 2016 due to the increase in Series 2 and Series 3 net assets.

Administrative expenses for the three months ended March 31, 2017 increased $8,181 relative to the corresponding period in 2016. The increase was due mainly to an increase in the administrative expense accrual estimate during the three months ended March 31, 2017 relative to the corresponding period in 2016.

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 March 31, 2017 increased $164,934 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2017.

During the three months ended March 31, 2017, the Trust experienced net realized and unrealized gains of $10,184,874 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of 3,250,332, administrative expenses of $298,537, custody fees and other expenses of $10,918 and management fees of $131,123 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $333,145, and the Managing Owner commission rebate to Unitholders of $191,820 was partially offset by the Trust's expenses and profit share of $199,738, resulting in net income after profit share to the Managing Owner of $6,819,191. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.27	%
Energies	(0.44)	%
Grains	(0.22)	%
Interest rates	0.03	%
Livestock	(0.04)	%
Metals	0.02	%
Softs	0.07	%
Stock indices	4.86	%

Trading gain	4.55	%

MANAGEMENT DISCUSSION –2017

Three months ended March 31, 2017

The Trust registered a solid first quarter gain due to profits from long equity futures positions. Trading of currency forwards was slightly profitable, trading of commodity futures was fractionally negative and trading of interest rate futures was essentially flat.

According to the Brookings Institution and the Financial Times, the global economic recovery is now “broad-based and stable.” Morgan Stanley concurs, stating that a “…synchronous global recovery…is exhibiting more self-sustaining characteristics.” Against this background, long positions in U.S., European and Asian equity futures were broadly profitable. A long VIX trade was also profitable. Short positions in Indian and South African stock futures were marginally negative. Neither the fading of the positive impulses from the Trump election victory nor an increase in political and geopolitical tensions was able to blunt this equity advance.

The U.S. dollar, which had risen sharply during 2016’s fourth quarter, was volatile and weakened during the first three months of 2017 as the difficult reality of governing diminished the election euphoria for the Trump administration. Profits from short U.S. dollar trades versus the currencies of Australia, Brazil, India, Mexico, Russia, and Turkey were offset by the losses from long U.S. dollar positions versus the euro and the currencies of Great Britain, Canada, Japan, Korea, New Zealand, Norway, Sweden and Singapore. Meanwhile, a long euro/short Polish zloty trade and a short euro/long Turkish lira position were each slightly profitable.

Interest rates rose early in the period in response to the improving economic outlook and to evidence that central banks worldwide were pulling back from the long era of ultralow interest rates and quantitative easing. Indeed the U.S. Federal Reserve (the “Fed”) did raise its official rate again by ¼% during the quarter. Moreover, Mario Draghi indicated that “there is no longer the sense of urgency in taking further actions.” The People’s Bank of China (the “PBOC”) edged toward a tighter policy during the quarter, as well. Finally, the Bank of England and the Bank of Japan issued improved outlooks for their economies. Later on, however, political tensions in the U.S., Great Britain, the Netherlands, France, Turkey and South Africa and geopolitical tensions and terrorism involving North Korea, South Korea, the U.K., Canada and Syria produced a flight to safety and declining rates. On balance, the sector was flat for the quarter and at month-end the Trust’s interest rate futures positions remained generally long.

Energy prices were volatile and range-bound in the quarter. Production cut efforts by the Organization of the Petroleum Exporting Countries buoyed prices at times, while increasing U.S. shale production weighed on prices at other times. A long RBOB gasoline position was unprofitable as was trading of crude oil and London gas oil.

Trading of metal futures was nearly flat as small profits from long aluminum and zinc positions offset small losses from short gold and silver positions.

Trading of soft and agricultural commodities was marginally unprofitable. Grain trading was unprofitable due to losses from a short corn trade early in the period and from long soybean and soybean meal positions. A short wheat position was profitable in March. A short sugar position was also profitable in March. Trading of livestock was slightly negative.

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). The Trust may also engage in trading swaps. 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 March 31, 2018.

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 average trading Value at Risk associated with the Trust's open positions by market category for the quarter ended March 31, 2018. During the three months ended March 31, 2018, the Trust's average total capitalization was approximately $200,000,000.


Sector		Average value at risk	% of Average Capitalization		High value at risk		Low value at risk
Currencies	$	4.4	2.2%	$	4.4	$	4.4
Energies		2.3	1.2%		2.3		2.3
Grains		0.4	0.2%		0.4		0.4
Interest rates		6.2	3.1%		6.2		6.2
Livestock		0.0	0.0%		0.0		0.0
Metals		0.9	0.4%		0.9		0.9
Softs		0.3	0.1%		0.3		0.3
Stock indices		7.2	3.6%		7.2		7.2
	$	21.7	10.8%

Average, Value at Risk amounts relate to the quarter-end amounts for the three months ended March 31, 2018. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the three months ended March 31, 2018. 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 its evaluation, has 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 March 31, 2018 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

THE FAILURE OF COMPUTER SYSTEMS COULD RESULT IN LOSSES FOR THE TRUST

The strategies of the Managing Owner are dependent to a significant degree on the receipt of timely and accurate market data from third parties including, but not limited to, exchanges and clearing houses, futures commission merchants, prime brokers and other market counterparties and service providers. The receipt of inaccurate data or the failure to receive data in a timely manner could disrupt the Trust’s trading and cause the Trust to experience significant trading losses or miss opportunities for profitable trading.

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 March 31, 2018

(b)

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 March 31, 2018.


	Series 1			Series 3			Series 4
Date of Redemption	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit

January 31, 2018	1,005.709	$	1,187.58	146.342	$	1,592.14	-	$	1,955.72
February 28, 2018	1,520.679		1,112.05	55.294		1,496.51	19.380		1,840.94
March 31, 2018	3,327.919		1,136.08	1,137.004		1,534.68	-		1,890.66
Total	5,854.307			1,338.640			19.380

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 President and 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 President and 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: May 14, 2018
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - May 14, 2018

Attached files

GLOBAL MACRO TRUST Reports