Form 10-Q

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether 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 Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

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).

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 definition of “accelerated filer”, “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

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

World Monitor Trust II (the “Trust”) is a business trust organized under the laws of Delaware on April 22, 1999. The Trust consists of three separate and distinct series (“Series”): Series D, E and F. Series D, E and F commenced trading operations on March 13, 2000, April 6, 2000 and March 1, 2000, respectively, and each Series was to continue to exist until terminated pursuant to the provisions of Article XIII of the Sixth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). On December 31, 2009, Series D and Series F terminated under the provisions of the Trust Agreement. The assets of each Series are segregated from those of the other Series, separately valued and independently managed and separate financial statements are prepared for each Series. Each Series was formed to engage in the speculative trading of a diversified portfolio of futures, forward and options contracts, and may, from time to time, engage in cash and spot transactions. The trustee of the Trust is Wilmington Trust Company. The fiscal year end of the Trust and Series E is December 31.

In 2009, Preferred Investment Solutions Corp., the managing owner of Series D, E and F, determined that effective March 1, 2009, Interests in Series D, E and F can only be redeemed as of the last business day of each month. Through February 27, 2009, redemptions were permitted on a weekly basis. As a result, through 2008, interim period financial statements of Series D, E and F were as of the last valuation day in the last week of the period. Beginning in 2009, interim period financial statements of Series D, E and F are as of the last day of a calendar quarter.

Effective May 5, 2009, Preferred Investment Solutions Corp. changed its name to Kenmar Preferred Investments Corp. (“Preferred” or the “Managing Owner”). Preferred or Managing Owner refers to either Preferred Investment Solutions Corp. or Kenmar Preferred Investments Corp., depending on the applicable period discussed.

In the event that the estimated net asset value per Interest of a Series at the end of any business day after adjustments for distributions and redemptions declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate. Should the Managing Owner make a determination that Series E’s aggregate net assets in relation to its operating expenses make it unreasonable or imprudent to continue the business of Series E, or, in the exercise of its reasonable discretion, if the aggregate Net Asset Value of Series E as of the close of business on any business day declines below $10 million, the Managing Owner may dissolve Series E.

As a registrant with the Securities and Exchange Commission (“SEC”), the Trust is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission (“CFTC”) an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of the futures commission merchants (brokers) and interbank market makers through which the Trust trades.

Up to $50,000,000 of limited interests in each Series (“Limited Interests”) were being offered (totaling $150,000,000) (“Subscription Maximum”) until each Series’ Subscription Maximum was met either through sale or exchange or until the Managing Owner suspended the offering of Limited Interests as discussed below. Interests were offered to investors who met certain established suitability standards, with a minimum initial subscription of $5,000 ($2,000 for an individual retirement account), although the minimum purchase for any single Series was $1,000. General Interests were also sold exclusively to the Managing Owner. Limited Interests and Managing Owner or General Interests are sometimes collectively referred to as (“Interests”).

Initially, the Limited Interests for each Series were offered for a period of up to 180 days after the date of the Prospectus (“Initial Offering Period”) at $100 per interest. The subscription minimum of $5,000,000 for each Series was reached during the Initial Offering Period permitting Series D, E and F to commence trading operations. Series E completed its initial offering April 6, 2000 with gross proceeds of $5,157,459, which was fully allocated to commodities trading. Future redemptions in Series E will impact the amount of funds available for investment in commodity contracts in subsequent periods.

Effective December 1, 2008, in accordance with the Fourth Amended and Restated Declaration of Trust and Trust Agreement, the Managing Owner is no longer required to maintain at least a 1% interest in the capital, profits and losses of each Series. As such, the Managing Owner redeemed its entire interest in each Series in 2009.

Each Series has its own independent commodity trading advisor that makes that Series’ trading decisions. The Managing Owner, on behalf of Series E, entered into an advisory agreement with Graham Capital Management, L.P. (the “Trading Advisor”) to make the trading decisions for Series E. The advisory agreement may be terminated for various reasons, including at the discretion of the Managing Owner. The Managing Owner has allocated 100% of the assets of Series E to the Trading Advisor.

The condensed statement of financial condition, including the condensed schedule of investments, as of March 31, 2010, the condensed statements of operations for the three months ended March 31, 2010 (“First Quarter 2010”) and for the three months ended March 31, 2009 (“First Quarter 2009”) and the condensed statements of changes in trust capital for the First Quarter 2010 and 2009 are unaudited. In the opinion of the Managing Owner, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of Fund as of March 31, 2010 and the results of its operations for the First Quarter 2010 and 2009. The operating results for these interim periods may not be indicative of the results expected for a full year.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in the Fund’s annual report on Form 10-K filed with the SEC for the year ended December 31, 2009.

The financial statements of Series E are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from these estimates.

Commodity futures and foreign exchange transactions are reflected in the accompanying statements of financial condition on the trade date. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) are offset when reflected in the financial statements since the contracts are executed with the same counter party under a master netting arrangement. The market value of futures (exchange-traded) contracts is based upon the closing quotation on the various futures exchanges on which the contract is traded. The values which will be used by Series E for open forward and option positions will be provided by its administrator, who obtains market quotes from data vendors and third parties. Any change in net unrealized gain or loss during the current period is reported in the statement of operations. Realized gains and losses on transactions are recognized in the period in which the contracts are closed. Brokerage commissions include other trading fees and are charged to expense when incurred.

The weighted average number of Limited and Managing Owner Interests outstanding was computed for purposes of disclosing net income (loss) per weighted average Limited and Managing Owner Interest. The weighted average number of Limited and Managing Owner Interests is equal to the number of Interests outstanding at year end, adjusted proportionately for Interests redeemed based on their respective time outstanding during such year.

Series E has elected not to provide a Statement of Cash Flows since substantially all of Series E’s investments are highly liquid and carried at fair value, Series E has little or no debt and a Statement of Changes in Trust Capital is provided.

Consistent with standard business practices in the normal course of business, Series E has provided general indemnifications to the Managing Owner, its Trading Advisor and others when they act, in good faith, in the best interests of Series E. Series E is unable to develop an estimate of the maximum potential amount of the future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote.

Series E accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3).

Series E considers prices for exchange-traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1) and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The market values of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 4:00 P.M. (E.T) on the last business day of the reporting period obtained from it’s third-party data providers i.e. Bloomberg and Interactive Data Corporation (“IDC”) (Level 2). There are no Level 3 investments on March 31, 2010 or December 31, 2009.

The following table summarizes the assets and liabilities measured at fair value using the fair value hierarchy:


March 31, 2010	Level 1		Level 2		Level 3		Total
Assets:
Net unrealized gain on open futures contracts	$	350,685	$	0	$	0	$	350,685
Net unrealized gain on open forward contracts	$	0	$	98,010	$	0	$	98,010

December 31, 2009	Level 1		Level 2		Level 3		Total
Assets:
Net unrealized gain on open futures contracts	$	18,196	$	0	$	0	$	18,196
Net unrealized gain on open forward contracts	$	0	$	6,948	$	0	$	6,948

During January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update (ASU) to improve disclosure about fair value measurements, requiring new disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). Existing disclosure requirements were clarified relating to the levels of disaggregation for fair value measurements and inputs and valuation techniques used to measure fair value. The guidance in the ASU is effective for Series E beginning January 1, 2010 except for the disclosures about purchases, sales, issuances and settlements in the roll forward of activity in Level 3 fair value measurements, which will be effective for Series E beginning January 1, 2011. Series E’s adoption of the guidance and its impact on the financial statements and disclosures was immaterial.

Cash represents amounts deposited with a bank and clearing brokers, a portion of which is restricted for purposes of meeting margin requirements, which typically range from 0% to 35% of the notional amounts of the derivatives traded. As of March 31, 2010 and December 31, 2009, restricted cash totaled $5,104,043 and $6,183,608, respectively. Series E receives interest on all cash balances held by its bank, prime and commodity brokers at prevailing rates.

Series E is treated as a partnership for Federal income tax purposes. As such, Series E is not required to provide for, or pay, any Federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the individual Interest holders including the Managing Owner. Series E may be subject to other state and local taxes in jurisdictions in which it operates.

Series E recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions are “more likely than not” to be sustained assuming examination by tax authorities. The Managing Owner has reviewed Series E’s tax positions for all open years (after December 31, 2006) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. Series E has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2006 through 2009 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

Through February 27, 2009, Series E allocated profits and losses for both financial and tax reporting purposes to its Interest holders weekly on a pro rata basis based on each owner’s Interests outstanding during the week. Subsequent to February 27, 2009, Series E allocated profits and losses for both financial and tax reporting purposes to its Interest holders monthly on a pro rata basis based on each owner’s Interests outstanding during the month. Distributions (other than redemptions of Interests) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Interest holders. The Managing Owner has not and does not presently intend to make any distributions.

Series E’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other then the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than U.S. dollars are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in operations currently under the caption realized in the statements of operations.

Routine legal, audit, postage, and other routine third party administrative costs are paid by Series E. To the extent that general and administrative costs incurred by Series E exceed 1.5% of Series E’s net asset value during the year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts will be borne by the Managing Owner and its affiliates.

Series E pays its Trading Advisor a management fee at an annual rate of 2% of Series E’s net asset value allocated to its management. Through February 27, 2009 the management fee was determined weekly and the sum of such weekly amounts was paid monthly. Subsequent to February 27, 2009, the management fee accrues and pays monthly. Series E also pays its Trading Advisor a quarterly incentive fee equal to 22% of such Trading Advisor’s “New High Net Trading Profits” (as defined in the advisory agreement). Incentive fees accrued weekly through February 27, 2009 and monthly subsequent to February 27, 2009. Incentive fees continue to be paid quarterly in arrears. During First Quarter 2010 no Incentive fees were earned. Incentive fees of $31 were earned during the First Quarter 2009.

Series E pays the Managing Owner administrative services fees at an annual rate of 6% of Series E’s net asset value excluding transaction fees which Series E pays to its commodity and prime broker. Through February 27, 2009, the fee was determined weekly and the sum of such weekly amounts was paid monthly. Subsequent to February 27, 2009, the fee is determined and paid monthly. Series E is also obligated to pay all floor brokerage expenses, give-up charges and NFA, clearing and exchange fees incurred in connection with Series E’s commodity trading activities.

Series E reimburses the Managing Owner or its affiliates for services they performed for Series E, which include, but are not limited to: brokerage services; accounting and financial management; registrar, transfer and assignment functions; investor communications; printing and other administrative services. However, to the extent that general and administrative expenses exceed 1.5% of Series E’s net asset value during the year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts are borne by the Managing Owner and its affiliates. General and administrative expenses of $8,868 during the First Quarter 2010 and $4,702 during the First Quarter 2009 exceeded such limitations. Because general and administrative expenses exceeded such limitations for the First Quarter 2010 and First Quarter 2009, a portion of the expenses related to services provided by the Managing Owner for the First Quarter 2010 and 2009 were borne by the Managing Owner and its affiliates.

The expenses incurred by Series E for services performed by the Managing Owner and its affiliates for Series E were:


	First Quarter 2010			First Quarter 2009
Administrative services	$	197,307		$	300,707
General and administrative		15,790			13,336


		213,097			314,043
General and administrative expenses borne by the Managing Owner and its affiliates		(8,868	)		(4,702	)


TOTAL	$	204,229		$	309,341

Expenses payable to the Managing Owner and its affiliates (which are included in commissions, administrative services and other transaction fees payable and accrued expenses payable on the condensed statements of financial condition) as of March 31, 2010 and December 31, 2009 were $35,703 and $35,174, respectively.

Series E deposits funds with a commodity broker subject to CFTC regulations and various exchange and commodity broker requirements. Margin requirements are satisfied by the deposit of cash with such commodity broker. Series E earns interest income on assets deposited with the commodity broker.

Series E deposits funds with a prime broker. Margin requirements are satisfied by the deposit of cash with such prime broker. Series E earns interest income on assets deposited with the prime broker.

There have been no differences between the tax basis and book basis of assets, liabilities, and Interest holders’ capital since inception of the Trust.

The fair value of Series E’s derivatives by instrument type, as well as the location of those instruments on the statement of financial condition as of March 31, 2010 and December 31, 2009 are included in the condensed schedule of investments, all of which are deemed derivatives not designated as hedging instruments under.

The trading revenue of Series E’s derivatives by instrument type, as well as the location of those gains and losses on the statement of operations, for the three months ended March 31, 2010 and 2009 is as follows:


Type of Instrument	Trading Revenue for the Three Months Ended March 31, 2010			Trading Revenue for the Three Months Ended March 31, 2009
Commodities Contracts	$	(242,265	)	$	(223,736	)
Currencies Contracts		(708	)		(64,159	)
Energy Contracts		49,639			108,020
Interest Rate Contracts		119,606			(176,680	)
Stock Indices Contracts		(398,731	)		(243,811	)
Forward Currency Contracts		(73,969	)		(193,027	)


Total	$	(546,428	)	$	(793,393	)


Line item in Condensed Statements of Operations
Realized	$	(969,979	)	$	(590,204	)
Change in unrealized		423,551			(203,189	)


Total	$	(546,428	)	$	(793,393	)

Series E is exposed to various types of risks associated with the derivative instruments and related markets in which it invests. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series E’s investment activities (credit risk).

Trading in futures and forward contracts (including foreign exchange) involves entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The gross or face amount of the contracts, which is typically many times that of Series E’s net assets being traded, significantly exceeds Series E’s future cash requirements since Series E intends to close out its open positions prior to settlement. As a result, Series E is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series E considers the “fair value” of its derivative instruments to be the net unrealized gain or loss on the contracts.

The market risk associated with Series E’s commitments to purchase commodities is limited to the gross or face amount of the contracts held. However, when Series E enters into a contractual commitment to sell commodities, it must make delivery of the underlying commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which a commodity can rise is unlimited, entering into commitments to sell commodities exposes Series E to unlimited risk.

Market risk is influenced by a wide variety of factors including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effects among the derivative instruments Series E holds and the liquidity and inherent volatility of the markets in which Series E trades.

When entering into futures or forward contracts, Series E is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearinghouse associated with the particular exchange. In general, clearinghouses are backed by their corporate members who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e. some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, there is concentration risk on forward transactions entered into by Series E as Series E’s commodity broker is the sole counterparty. Series E has entered into a master netting agreement with its broker and, as a result, when applicable presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition. The amount at risk associated with counterparty non-performance of all of Series E’s contracts is the net unrealized gain included in the statements of financial condition; however, counterparty non-performance on only certain of Series E’s contracts may result in greater loss than non-performance on all of Series E’s contracts. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series E.

The Managing Owner attempts to minimize both credit and market risks by requiring Series E and its Trading Advisor to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies which include, but are not limited to, executing and clearing all trades with creditworthy counterparties; limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions. Additionally, pursuant to the advisory agreement among Series E, the Managing Owner and the Trading Advisor, Series E shall automatically terminate the Trading Advisor if the net asset value allocated to the Trading Advisor declines by 40% from the value at the beginning of any year or since the commencement of trading activities. Furthermore, the Sixth Amended and Restated Declaration of Trust and Trust Agreement provides that Series E will liquidate its positions, and eventually dissolve, if Series E experiences a decline in the net asset value of 50% from the value at the beginning of any year or since the commencement of trading activities. In each case, the decline in net asset value is after giving effect for distributions, and redemptions. The Managing Owner may impose additional restrictions (through modifications of trading limitations and policies) upon the trading activities of the Trading Advisor as it, in good faith, deems to be in the best interest of Series E.

Series E’s futures commission merchant, in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to Series E all assets of Series E relating to domestic futures trading and is not allowed to commingle such assets with its other assets. At March 31, 2010 and December 31, 2009, such segregated assets totaled $6,750,359 and $6,915,834, respectively. Part 30.7 of the CFTC regulations also requires Series E’s futures commission merchant to secure assets of Series E related to foreign futures trading which totaled $116,941 and $11,816 at March 31, 2010 and December 31, 2009, respectively. There are no segregation requirements for assets related to forward trading.

As of March 31, 2010, Series E’s open futures and forward contracts mature within eighteen months.

The following information presents per interest operating performance data and other supplemental financial data for the three months ended March 31, 2010 and 2009. This information has been derived from information presented in the financial statements.


	First Quarter 2010			First Quarter 2009
Per Interest Performance (for an Interest outstanding throughout the entire period)

Net asset value per Interest at beginning of period	$	203.92		$	226.47


Net realized loss and change in net unrealized gain (loss) on commodity transactions⁽¹⁾		(7.58	)		(8.70	)
Interest income⁽¹⁾		0.02			0.04
Expenses⁽¹⁾		(5.64	)		(5.47	)


Net decrease for the period		(13.20	)		(14.13	)


Net asset value per Interest at end of period	$	190.72		$	212.34


Total Return⁽³⁾
Total return before incentive fees		(6.47	)%		(6.24	)%
Incentive fees		0.00	%		0.00	%


Total return after incentive fees		(6.47	)%		(6.24	)%


Supplemental Data

Ratios to average net asset value:
Net investment loss before incentive fees^(2),⁽⁴⁾		(11.75	)%		(9.67	)%
Incentive fees⁽³⁾		0.00	%		0.00	%


Net investment loss after incentive fees		(11.75	)%		(9.67	)%


Interest income⁽⁴⁾		0.04	%		0.08	%


Incentive fees⁽³⁾		0.00	%		0.00	%
Other expenses⁽⁴⁾		11.79	%		9.75	%


Total expenses		11.79	%		9.75	%

Total returns are calculated based on the change in value of an Interest during the period. An individual Interest holder’s total returns and ratios may vary from the above total returns and ratios based on the timing of redemptions.

This report on Form 10-Q (the “Report”) for the quarter ending March 31, 2010 (“First Quarter 2010”) includes forward-looking statements that reflect the current expectations of Kenmar Preferred Investments Corp., the managing owner of World Monitor Trust II – Series E (“Registrant”), about the future results, performance, prospects and opportunities of Registrant. The Managing Owner has tried to identify these forward-looking statements by using words such as “may,” “will,” “expect,” “anticipate,” “believe,” “intend,” “should,” “estimate” or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the Managing Owner and are subject to a number of risks, uncertainties and other factors, both known, such as those described in this Report, and unknown, that could cause Registrant’s actual results, performance, prospects or opportunities to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, the Managing Owner undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

World Monitor Trust II (the “Trust”) is a business trust organized under the laws of Delaware on April 22, 1999. The Trust consists of three separate and distinct series (“Series”): Series D, Series E and Series F. Series D, E and F commenced trading operations on March 13, 2000, April 6, 2000 and March 1, 2000, respectively, and each Series will continue to exist until terminated pursuant to the provisions of Article XIII of the Sixth Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). On December 31, 2009, Series D and F terminated under the provisions of the Trust Agreement. The assets of each Series are segregated from those of the other Series, separately valued and independently managed. Each Series was formed to engage in the speculative trading of a diversified portfolio of futures, forward and options contracts, and may, from time to time, engage in cash and spot transactions. The trustee of the Trust is Wilmington Trust Company. The Managing Owner serves as the managing owner of the Trust and each Series, including Registrant. Registrant was formed to engage in the speculative trading of commodity futures, forwards and option contracts. Registrant’s fiscal year for book and tax purposes ends on December 31.

Registrant is engaged solely in the business of commodity futures, forwards, and option trading; therefore, presentation of industry segment information is not applicable.

Effective December 1, 2008, in accordance with the Fourth Amended and Restated Declaration of Trust and Trust Agreement, the Managing Owner is no longer required to maintain at least a 1% interest in Registrant. As such, the Managing Owner redeemed its entire Interest in each Series in 2009.

Registrant has entered into an advisory agreement (the “Advisory Agreement”) with Graham Capital Management, L.P. (the “Trading Advisor” or “Graham”) to make the trading decisions for Registrant. Graham trades 100% of Registrant’s assets pursuant to Graham’s Global Diversified Program. The Advisory Agreement may be terminated for various reasons, including at the discretion of Registrant. Through February 27, 2009, Registrant, accrued weekly and paid monthly a management fee equal to a weekly rate of approximately 0.038% (2% annually) of the assets allocated to the Trading Advisor. Subsequent to February 27, 2009, Registrant accrues and pays monthly a management fee equal to 1/12^th of 2% (2% annually) of the assets allocated to the Trading Advisor. Registrant also pays the Trading Advisor an incentive fee of 22% of New High Net Trading Profits (as defined in the Advisory Agreement) generated by Registrant. Through February 27, 2009, incentive

fees accrued weekly and were paid quarterly in arrears. Subsequent to February 27, 2009, incentive fees are accrued monthly and are ultimately determined as of the last business day of each calendar quarter.

The Managing Owner and its affiliates have formed, and may continue to form, various entities to engage in the speculative trading of futures, forwards and option contracts that have certain of the same investment policies as Registrant.

Registrant does not currently, and does not intend in the future to, solicit the sale of additional Interests. As such, Registrant does not compete with other entities to attract new fund participants. However, to the extent that the Trading Advisor recommends similar or identical trades to Registrant and other accounts that it manages, Registrant may compete with those accounts, as well as with other market participants, for the execution of the same or similar trades.

Registrant has no employees. Management and administrative services for Registrant are performed by the Managing Owner or third parties pursuant to the Trust Agreement, as further discussed in Notes 3 and 4 to Registrant’s financial statements included in its annual report for the year ended December 31, 2009 (“Registrant’s 2009 Annual Report”), which is filed as an exhibit to Registrant’s Form 10-K for the fiscal year ended December 31, 2009.

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America (“US GAAP”) requires the application of appropriate accounting rules and guidance. Applying these policies requires the Managing Owner to make judgments, estimates and assumptions in connection with the preparation of Registrant’s financial statements. Actual results may differ from the estimates used.

The Managing Owner has evaluated Registrant’s financial statements and related disclosures and has determined that the policies discussed below are critical accounting policies because they involve estimates, judgments and assumptions that are particularly complex, subjective or uncertain. For further discussion of Registrant’s significant accounting policies, see Note 2 to Registrant’s financial statements for the year ended December 31, 2009, which is filed as an exhibit to Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2009.

The valuation of Registrant’s investments that are not traded on a United States (“US”) or internationally recognized futures exchange is a critical accounting policy. The market values of futures (exchange traded) contracts is verified by Registrant’s administrator, which obtains valuation data from third party data providers such as Bloomberg, Reuters and Super Derivatives and compares those prices with Registrant’s clearing broker. The market value of currency swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 4 p.m. on the last business day of the reporting period. All values assigned by the administrator and confirmed by the Managing Owner are final and conclusive as to all of Registrant’s Interestholders.

As such, if actual results vary from estimates used, they are not anticipated to have a material impact on the financial statements and related disclosures.

Registrant records all investments at fair value in its financial statements, with changes in fair value reported as a component of Trading Profits (Losses) in the Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price. Registrant considers prices for exchange traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps, and certain option contracts for which market quotations are not readily available are priced by Super Derivatives, Bloomberg, Reuters and or other third party data providers who derive fair values for those assets from observable inputs (Level 2). Level 3 inputs reflect Registrant’s assumptions that it believes market participants would use in pricing the asset or liability. Registrant develops Level 3 inputs based on the best information available in the circumstances, which may include indirect correlation to a market value, combinations of market values or Registrant’s proprietary data. Level 3 inputs generally include information derived through extrapolation or interpolation of observable market data. Registrant does not currently have any investments valued using Level 3 inputs.

Of the Registrant’s unrealized gains at March 31, 2010, $350,685 or 78.16% of the Registrant’s unrealized gains at March 31, 2010 are classified as Level 1 and $98,010 or 21.84% as Level 2. Of the unrealized gains at December 31, 2009, $18,196 or 72.37% of the Registrant’s unrealized gains at December 31, 2009 are classified as Level 1 and $6,948 or 27.63% as Level 2. There are no Level 3 investments on March 31, 2010 or December 31, 2009.

Registrant commenced operations on April 6, 2000. Additional contributions raised through the continuous offering of limited interests (“Limited Interests”) and general interests (“General Interests” and, together with the Limited Interests, “Interests”) of beneficial ownership in Registrant were offered until it substantially achieved its subscription maximum of $50,000,000 Limited Interests in June 2003.

In 2009, the Managing Owner of Registrant determined that, effective March 1, 2009, Interests in Registrant can only be redeemed as of the last business day of each month. Through February 27, 2009, Investors were able to redeem their Interest on a weekly basis on the Friday of each week.

Subscriptions of Limited Interests and General Interests for the First Quarter 2010 were $0 and $0, respectively. Redemptions of Limited Interests and General Interests for the First Quarter 2010 were $433,036 and $0, respectively.

Subscriptions of Limited Interests and General Interests for the quarter ended March 31, 2009 (“First Quarter 2009”) were $0 and $0, respectively. Redemptions of Limited Interests and General Interests for the First Quarter 2009 were $438,011 and $197,480, respectively.

At March 31, 2010, 100% of Registrant’s investable net assets were allocated to commodities trading. A significant portion of Registrant’s net assets are held in cash, which is used as margin for trading in commodities. In as much as the sole business of Registrant is to trade in commodities, Registrant continues to own such liquid assets to be used as margin. The clearing broker and bank credit Registrant with interest income on 100% of its average daily equity maintained in its accounts with the clearing broker and bank during each month at competitive interest rates.

The commodities contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent Registrant from promptly liquidating its commodity futures positions.

Since Registrant’s business is to trade futures, forward and option contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Registrant’s exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of Registrant’s speculative trading as well as the development of drastic market occurrences

could result in losses considerably beyond Registrant’s experience to date and could ultimately lead to a loss of all or substantially all of investors’ capital. The Managing Owner attempts to minimize these risks by requiring Registrant and the Trading Advisor to abide by various trading limitations and policies, which include limiting margin amounts, trading only in liquid markets and permitting the use of stop loss provisions. For a further discussion of the credit and market risks associated with Registrant’s futures, forward and option contracts, see Note 7 to Registrant’s financial statements for the year ended December 31, 2009, which is filed as an exhibit to Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2009.

The first quarter of 2010 ushered in increasing evidence that a global economy recovery was gaining ground. The fourth-quarter US Gross Domestic Product data, which was released early in the first quarter, showed the economy growing at an annual rate of 5.6%, the highest rate since the third quarter of 2003. The momentum appears to have continued in the first quarter of 2010. While inventory swings provided the biggest boost to growth in the fourth quarter, consumer spending appears to have gained strength in the first quarter. Most importantly, the labor market gave some signs of hope. Payroll employment actually showed a gain in the first quarter, albeit modest and partly boosted by the temporary hiring of US Census workers. The job market appears to be stabilizing, although the pace of improvement has been glacial.

Notwithstanding growing confidence in the US economic recovery and increasing signs of acceleration in global growth, US Treasuries held steady during the quarter. The 10-year yield ended the quarter at 3.8%. The US Federal Reserve (the “Fed”) kept the Fed Funds rate unchanged and there were no indications of imminent change in interest rate policy. However, the Fed hiked the lending rate on its discount window in February, signaling the diminishing need for various discount window and other extraordinary lending programs that began in 2008. The European Central Bank, the Bank of England and the Bank of Japan kept key rates unchanged through the quarter as well. The Reserve Bank of Australia continued its rate hike cycle that began late in 2009 as the Australian economy and labor markets strengthened on the back of strong demand for commodities.

Currencies: The US dollar rally that began in December 2009 accelerated through the first quarter of 2010, largely because of troubles surrounding the euro as well the strong outperformance of the US economy in comparison to its major developed market counterparts. The Dollar Index gained approximately 4.0%. The US dollar appreciated against the euro as the swirling storm clouds of the PIGS crisis darkened and doubts about the future of the European Monetary Union gained credibility. The euro finished the quarter down approximately 5.6% against the dollar. The British pound fared worse as the lack of economic recovery, coupled with uncomfortably high inflation, created a difficult environment in the United Kingdom as the pound declined 6.1%. The Japanese yen held stable and ended the quarter down 0.3% to the US dollar. The Australian and Canadian dollars continued their upward trajectories as both economies have significant commodity industries and solid economic growth. The Australian and Canadian dollars climbed 2.1% and 2.9%, respectively, against the US dollar.

Indices: Global equities suffered a hiccup in January triggered by the PIGS crisis but easily overcame the poor quarterly start on the back of robust earnings data and signs of a broadening recovery. Financials continued their strength in earnings into the first quarter. The Dow Jones Industrial Average, S&P 500 and NASDAQ rose approximately 4.1%, 4.9% and 5.7%, respectively. European equities, weighed down by problems in Greece, lagged US equities. The STOXX 600, a broad measure of European equities, rose approximately 4.1%. The CAC, FTSE and DAX closed the quarter with gains of approximately 1.0%, 4.9% and 3.3%, respectively. Asian markets were mixed. Japan’s Nikkei surged 5.2%, the Korean Kospi edged up slightly but the Hang Seng declined 2.9%. The Australian All Ordinaries Index posted a modest 0.2% gain.

Energies: During the quarter, industrial commodities benefited from the global industrial recovery and inventory building; however, agricultural commodities declined on unexpectedly strong crop reports. Crude continued to increase and gained 5.5% on the back of rising international trade and stabilizing transportation demand in the developed countries. Natural gas plunged 30.6% as rig counts surged and production escalated. Heating oil ended the quarter with an approximate 2.2% gain and reformulated gasoline had a solid quarter, rising approximately 12.6%. Part of the strength in refined products is contributable to fact that Venezuela appears to have become a net importer of gasoline and its exports of other refined products recently fell.

Metals: Gold posted a 1.6% gain during the quarter, although the US dollar remained the preferred safe haven. With the tailwind of rising industrial demand, silver gained 4.2%. With the exception of zinc, base metals advanced during the quarter as global

industrial production, especially auto production, accelerated. Copper, aluminum and nickel ended the quarter with gains of 6.6%, 4.2% and 34.9%, respectively.

Agricultural/Softs and Livestock: Agricultural commodities experienced a sell-off during the quarter. Except for coffee and cotton which benefited from global economic conditions, the agricultural commodities were adversely affected by fundamentals such as unexpectedly strong reports of harvest, storage and planting. As the fears of damage to harvests from the unusually cold weather abated, grains sold off swiftly. Sugar plummeted over 38% from near 30-year highs, reflecting large speculative positioning and better-than-expected yields in India and Brazil.

Many of the same economic problems that faced the US economy in the last months of 2008 were still apparent in the first three months of 2009 as President Obama was inaugurated. However, as the quarter progressed, there was at least a glimmer of hope, particularly in March. The “fear factor” was still very much in place, but to a somewhat lesser degree than at the start of the year. The major feature of the first quarter was a series of massive liquidity additions from the Federal Reserve (the “Fed”) as they spent, lent or guaranteed $12.8 trillion. Also, the Fed announced they would buy significant quantities of Treasury paper going forward, resulting in the worst quarter for US Treasuries since 1996, as the Merrill Lynch Master Index plunged.

US economic data during the first quarter can only be described as bleak, as neither housing nor employment showed signs of imminent improvement. The Unemployment Rate rose to over 8.1% at the end of the quarter and payroll fell by an additional 650,000 in March as the economy lost over 5 million jobs since the US recession began. Housing Starts showed improvement in February, rising over 20% after it dropped nearly 40% in the three preceding months. Industrial production recorded consecutive months of decline through the first quarter. The latest fourth quarter Gross Domestic Product (“GDP”) revision came in at -6.3%, which is the worst in nearly three decades. The consumer held retrenched as Retail Sales fell 1.1% in March, were off 1.2% for the quarter and down 9.4% in the past twelve months.

Europe and Asia experienced a quarter similar to the US, with the exception of China. China’s GDP projections, however, were downgraded by almost 2%. As in the US, foreign central banks engaged in massive liquidity additions and bank bailout initiatives. The UK was particularly aggressive as the Bank of England cut its key lending rate to a record low 0.5% and announced an unprecedented plan to buy 75 billion pounds of commercial paper. The European Central Bank cut rates consistently throughout the quarter but at a less aggressive pace, despite anemic economic conditions. Concerns surrounding the health of the Eastern European banking sector lingered as the quarter concluded. Japan’s recession worsened materially during the first quarter, even as the Bank of Japan engaged in three liquidity-adding measures. Japan appears to be behind both the US, UK and Western Europe in its economic recovery mode. Australia and New Zealand suffered as the leading economic index for Australia hit a 26-year low in February.

Currencies: The Dollar Index ended March down overall. However, the dollar continued as the currency of choice on a flight-to-safety basis, despite noises from China and Russia regarding a proposed new global currency. The Obama administration quickly emphasized a continued policy for a strong dollar. During the quarter, the euro gained ground to the pound, while the US dollar advanced versus both. At one point, sterling was under $1.38 before ending the quarter at approximately $1.44, as the UK economy holds a basket case, led by plunging house prices. The yen periodically attracted flight-to-safety demand but that steadily lessened as the quarter developed. Japanese GDP continued to retract and there were few apparent inflationary pressures, while technical indicators pointed to modest additional weakness for the yen vs. the dollar and euro. The Australian and New Zealand dollars scored gains to both the yen and dollar to cap the quarter.

Energies: Crude ended the quarter at almost $50 per barrel, an 11% overall gain, as the market appeared to run into resistance at that level. At one point in early February, crude was down over 23% year-to-date before rallying 12% in the final week of the month. Crude closed March with a double-digit gain, clearly aided by the global equity rally. Demand destruction is still apparent with the latest data showing declines in consumption. OPEC’s member compliance appeared to hold, although there were rumblings of possible erosion. Reformulated gasoline prices edged up in March as gasoline at the pump rose. Natural gas inventories remained well above 5-year averages, which drove prices lower to close the quarter.

Indices: March proved to be the best month for US equities since 2002. However, the overall quarterly result was not pretty as the Dow Jones fell an overall approximate 13.3%. Only three of thirty components ended the period with higher prices; IBM, Home Depot and Intel. The NASDAQ lost over 3% for the quarter and the broad based S&P 500 fell over 11%. After being a severe drag on the market for months, financial and banking issues led a late first quarter rally. Asian and European equities experienced an overall positive March but, as in the US, lost ground for the quarter. The key European markets, FTSE, DAX and CAC ended the quarter down overall 10%, 17% and 15%, respectively. The leading Asian equity indices, the Nikkei and Hang Seng, ended the quarter down 14% and 6%, respectively. Korea’s Kospi ended the period with an overall 5% gain as buyers were

encouraged by liquidity measures to aid the Korean economy. Australia and New Zealand both scored gains in March, however they suffered quarterly losses. Russia broke a six month losing streak with an approximate 27% surge to cap the quarter.

Agriculturals: Compared to the year-end rally seen in December 2008, during the first quarter of 2009, the agricultural markets saw both price and participation decline. The drop in Open Interest was the most notable, especially given its relative levels, as compared to historical pricing. In all of the four major markets, corn, soybeans, wheat and cotton, the Open Interest fell to the lowest levels seen since 2005. Prices, however, remained well above both comparative and historical norms and only the cotton market showed a resemblance to its historic norm during the quarter.

Metals: Copper rebounded in January despite a huge rise in inventories. Aluminum did not fare as well, losing over 10% following evidence of increased Chinese exports. Zinc and nickel experienced losses within the DJ AIG Index as both saw huge increases. Gold continued upwards through February as a steady pattern of flight-to-safety demand continued to emanate from plunging global equity values and the severe global banking crisis. Silver followed gold’s pattern and realized a positive overall February. Platinum and palladium posted gains for February as well. As for base metals, increased Chinese demand drove prices higher for copper and zinc. However, sluggish global steel demand persists for nickel with few indications of imminent improvement. Following four consecutive monthly gains, gold fell slightly in March. The metal was hurt toward month-end by a firmer US dollar as well as reduced flight-to-quality demand. A rally in global equities and benign global inflation data also contributed to lower performance. Physical demand outside of jewelry remained strong, with the notable exception of India where imports were flat in March. Silver traded in a volatile pattern and ended March with overall losses. Copper staged a limited rally in March and posted overall gains, attributable to China’s inventory stockpiling. Aluminum, zinc and lead posted gains in March as nickel prices fell modestly.

Softs and Livestock: In January, coffee rose over 8% within the DJ AIG Index, despite some end-of-month producer selling. Crop concerns surrounding Colombia and Central America were among the supportive factors. Coffee and cocoa prices both edged up in March. In January, sugar turned in solid performance, gaining over 6.5% within the DJ AIG Index and extended its rally into February. Cattle prices fell seven consecutive months within the DJ AIG Index on poor US demand and weak exports but rose finally in March. Live hogs rose over 3% in January on rumors of increased Russian purchases but fell again in February and March due to high corn prices and weak demand.

Due to the nature of Registrant’s trading activities, a period-to-period comparison of its trading results is not meaningful. However, set forth below are the following:

As of March 31, 2010, the allocation of Registrant’s assets to major sectors was as follows:

Trading results for the major sectors in which Registrant traded for the First Quarter 2010 were as follows:

Currencies: (-) Registrant experienced the majority of its gains in the Australian and Canadian dollars, British pound and Mexican peso. Losses were experienced in Chilean peso, euro, Japanese yen, Norwegian krona and Swiss franc.

Energies: (+) Registrant experienced gains natural gas and reformulated gasoline. Losses were experienced in Brent crude, crude oil and heating oil.

Grains: (+) Registrant experienced gains in corn and wheat. Losses were experienced in bean oil, cotton, soybeans and soybean meal.

Indices: (-) Registrant experienced a majority of its gains in the Nikkei, Russell 2000 and the S&P 500. Losses were experienced in the DAX, CAC, DJ Stoxx, FTSE and the IBEX Plus.

Interest Rates: (+) Registrant experienced a majority of its gains in the Euribor, German Bond and Bobl and Short Sterling. Losses were experienced in the US Treasuries, London Gilt and Japanese Government Bonds.

Metals: (-) Registrant experienced gains in gold. Losses were made in copper, zinc, lead, aluminum and silver.

As of March 31, 2009, the allocation of Registrant’s assets to major sectors was as follows:

Trading results for the major sectors in which Registrant traded for the First Quarter 2009 were as follows:

Currencies: (-) Registrant experienced the majority of its gains in the Japanese yen, New Zealand dollar and Israeli sheckel. The majority of the losses were realized in the Australian dollar, Canadian dollar, euro and South African rand.

Energies: (+) Registrant experienced in the natural gas sector. Losses were experienced in Brent crude and crude oil.

Grains: (-) Registrant experienced losses in corn, cotton, wheat and soybeans.

Indices: (-) Registrant experienced a majority of its gains in the DJ Stoxx 50, IBEX and Dow Jones Industrial Average. Losses were experienced in the DAX, Nasdax, and Nikkei.

Interest Rates: (-) Registrant experienced a majority of its gains in the Euribor, Eurodollar, 2-year German Bond and short sterling. Losses were made in the Euroyen, Japanese Government Bonds, London Gilts and US Treasury Notes.

Metals: (-) Registrant experienced gains in aluminum. Losses were made in gold, zinc and silver.

The Net Asset Value per Interest as of March 31, 2010 was $190.72, a decrease of $13.20 from the December 31, 2009 Net Asset Value per Interest of $203.92. Registrant’s average net asset level during the First Quarter 2010 was approximately $13,276,000. Registrant’s average net assets decreased during the First Quarter 2010 in comparison to the First Quarter 2009 decreased by approximately $7,291,000 primarily due to the effect of redemptions and negative trading performance.

Registrant’s performance for the First Quarter 2010 was (6.47)%. Performance includes the percentage change in Registrant’s Net Asset Value excluding the effect of any redemptions and includes the percentage impact of trading gains/(losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

Registrant’s trading losses before commissions and related fees for the First Quarter 2010 were approximately $(546,000).

Commissions, administrative services and other transaction fees for the First Quarter 2010 were approximately $284,000, a decrease of approximately $57,000 as compared to the First Quarter 2009, primarily due to reduced average net asset levels discussed above as the fees are primarily determined based a fixed percentage of the monthly net asset value.

Management fees for the First Quarter 2010 were approximately $65,000, a decrease of approximately $35,000 as compared to the First Quarter 2009, primarily due to reduced average net asset levels discussed above as the fee is determined based on a fixed percentage of the monthly net asset value.

During the First Quarter 2010 no incentive fees were earned, as the fund’s incentive fee calculation did not exceed the previous high water mark on which the trading advisor was paid an incentive fee.

General and administrative expenses for the First Quarter 2010 were approximately $51,000. To the extent that general and administrative expenses exceed 1.5% of Registrant’s Net Asset Value during the year (with a maximum of 0.5% attributable to other than legal and audit expenses) such amounts are borne by the Managing Owner and its affiliates. General and administrative expenses of approximately $8,900 exceeded such limitations during the First Quarter 2010. Because general and administrative expenses exceeded such limitations during the First Quarter 2010, a portion of the expenses related to services provided by the Managing Owner for Registrant during First Quarter 2010 were borne by the Managing Owner and its affiliates.

The Net Asset Value per Interest as of March 31, 2009, was $212.34, a decrease of $14.13 from the December 31, 2008 Net Asset Value per Interest of $226.47. Registrant’s average net asset level during the First Quarter 2009 was approximately $20,567,000. Registrant’s average net assets increased during the First Quarter 2009 in comparison to the First Quarter 2008 by approximately $1,412,000 primarily due positive trading performance during 2008 which more than offset the effect of redemptions.

Registrant’s performance for the First Quarter 2009 was (6.24)%. Performance includes the percentage change in Registrant’s Net Asset Value excluding the effect of any redemptions and includes the percentage impact of trading gains/(losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

Registrant’s trading gains before commissions and related fees for the First Quarter 2009 were approximately $(793,000).

Interest income is earned on the average daily equity maintained with the clearing broker and bank at competitive interest rates and, therefore, varies weekly according to interest rates, trading performance, and redemptions. Interest income for the First Quarter 2009 was approximately $4,000, a decrease of approximately $91,000 from the First Quarter 2008 primarily due to declining interest rates which more than offset the effects of the increase in average net assets levels discussed above.

Administrative services are calculated on Registrant’s Net Asset Value at the end of each week and therefore, vary according to weekly trading performance, and redemptions. Other transaction fees consist of National Futures Association, exchange and clearing fees as well as floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisor executes, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Administrative services and other transaction fees for the First Quarter 2009 were approximately $341,000, an increase of approximately $21,000 as compared to the First Quarter 2008 primarily due to increased average net asset levels discussed above.

Management fees are calculated on Registrant’s Net Asset Value at the end of each week, and therefore, are affected by weekly trading performance and redemptions. Management fees for the First Quarter 2009 were approximately $100,000, an increase of approximately $7,000 as compared to the First Quarter 2008 primarily due to a increased average net asset levels discussed above.

Incentive fees are based on the “New High Net Trading Profits” (as defined in the Advisory Agreement) generated by the Trading Advisor, accrued weekly and are ultimately determined as of the close of business on the last Friday of each calendar quarter. Incentive fees for the First Quarter 2009 were $31.

General and administrative expenses for the First Quarter 2009 were approximately $65,000. These expenses include accounting, audit, tax, and legal fees, as well as printing and postage costs related to reports sent to limited owners and are before reimbursement of costs incurred by the Managing Owner on behalf of Registrant. To the extent that general and administrative expenses exceed 1.5% of Registrant’s Net Asset Value during the year (with a maximum of 0.5% attributable to

other than legal and audit expenses) such amounts are borne by the Managing Owner and its affiliates. General and administrative expenses of approximately $4,700 exceeded such limitations for the First Quarter 2009. Because general and administrative expenses exceeded such limitations during the First Quarter 2009, a portion of the expenses related to services provided by the Managing Owner for Registrant during the First Quarter 2009 were borne by the Managing Owner and its affiliates.

Inflation has had no material impact on the operations or on the financial condition of Registrant from inception through March 31, 2010.

The Registrant does not have any off-balance-sheet arrangements (as defined in Regulation S-K 303(a)(4)(ii)) that have or are reasonably likely to have a current or future effect on its financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital resources that is material to investors.

Registrant’s contractual obligations are with the Managing Owner, the Advisor and its commodity broker. Management fees payable by Registrant to the Trading Advisor and administrative services and other transaction fees payable to the Managing Owner are calculated as a fixed percentage of Registrant’s Net Asset Value. Incentive fees payable by the Registrant to the Trading Advisor are at a fixed rate, calculated as a percentage of Registrant’s “New High Net Trading Profits” (as defined in the Advisory Agreement). As such, the Managing Owner cannot anticipate the amounts to be paid for future periods as Net Asset Values and “New High Net Trading Profits” are not known until a future date. Commissions payable to Registrant’s commodity broker are based on a cost per executed trade and, as such, the Managing Owner cannot anticipate the amount that will be required under the brokerage agreement, as the level of executed trades are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, these agreements may be terminated by either party thereto for various reasons. Additionally, since the Registrant does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Registrant’s Statement of Financial Condition, a table of contractual obligations has not been presented. For a further discussion of Registrant’s contractual obligations, see Notes 1, 3 and 4 to Registrant’s financial statements for the year ended December 31, 2009, which is filed as an exhibit to Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2009.

Information regarding quantitative and qualitative disclosures about market risk is not required pursuant to Item 305(e) of Regulation S-K.

Registrant’s “disclosure controls and procedures” (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)) are designed to ensure that information required to be disclosed by Registrant in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission (the “SEC”), and that such information is accumulated and communicated to Registrant’s management, including the Managing Owner’s Co-Chief Executive Officers and Director of Fund Administration (who, in these capacities, function as the Principal Executive Officers and Principal Financial Officer, respectively, of Registrant), as appropriate to allow for timely decisions regarding required disclosure.

In designing and evaluating Registrant’s disclosure controls and procedures, the Managing Owner recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. In addition, the design of disclosure controls and procedures must reflect the fact that there are resource constraints and that management is required to apply its judgment in evaluating the benefits of possible controls and procedures relative to their costs. Because of the inherent limitations in all control systems, no evaluation of the controls can prove absolute assurance that all control issues and instances of fraud, if any, within Registrant have been detected.

The Managing Owner’s management, under the supervision and with the participation of certain officers of the Managing Owner (including the Managing Owner’s Co-Chief Executive Officers and Director of Fund Administration), has evaluated the

effectiveness of Registrant’s disclosure controls and procedures as of March 31, 2010. Based upon such evaluation, the Managing Owner’s Co-Chief Executive Officers and Director of Fund Administration have concluded that, as of March 31, 2010, Registrant’s disclosure controls and procedures were effective.

There have been no changes in Registrant’s internal control over financial reporting (as defined in Rules 13a – 15(f) and 15d – 15(f) under the Exchange Act) during the first quarter of 2010 that have materially affected, or are reasonably likely to materially affect, Registrant’s internal control over financial reporting.

There are no material legal proceedings pending, on appeal, or concluded to which Registrant is a party or to which any of its assets are subject.

There have been no changes from risk factors as previously disclosed in Registrant’s Form 10-K for the fiscal year ended December 31, 2009.

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934 Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.


Delaware		13-4058319
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)


900 King Street, Suite 100, Rye Brook, New York		10573
(Address of principal executive offices)		(Zip Code)


Large accelerated filer ¨		Accelerated filer ¨
Non-accelerated filer x		Smaller Reporting Company ¨


		Page

PART I – FINANCIAL INFORMATION		3

Item 1.	Financial Statements	4

	Condensed Statements of Financial Condition as of March 31, 2010 (Unaudited) and December 31, 2009	5

	Condensed Schedules of Investments (Unaudited) as of March 31, 2010 and December 31, 2009	6

	Condensed Statements of Operations (Unaudited) For the Three Months Ended March 31, 2010 and 2009	7

	Condensed Statements of Changes in Trust Capital (Unaudited) For the Three Months Ended March 31, 2010 and 2009	8

	Notes to Condensed Financial Statements (Unaudited)	9

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	19

Item 3.	Quantitative and Qualitative Disclosures About Market Risk	28

Item 4.	Controls and Procedures	28

PART II – OTHER INFORMATION		29

Item 1.	Legal Proceedings	29

Item 1.A.	Risk Factors	29

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	29

Item 3.	Defaults Upon Senior Securities	29

Item 4.	Reserved	29

Item 5.	Exhibits:	29


	March 31, 2010		December 31, 2009
ASSETS
Cash and cash equivalents (See Note 2)	$	12,822,233	$	14,633,636
Receivable from Managing Owner		66,023		57,155
Net unrealized gain on open forward contracts		98,010		6,948
Net unrealized gain on open futures contracts		350,685		18,196


Total assets	$	13,336,951	$	14,715,935


LIABILITIES
Commissions, administrative services and other transaction fees payable	$	31,878	$	37,726
Accrued expenses payable		94,171		81,891
Management fees payable		22,018		24,794
Redemptions payable		205,305		218,530


Total liabilities		353,372		362,941


TRUST CAPITAL (Net Asset Value)
Managing Owner Interests (none and none outstanding) at March 31, 2010 and December 31, 2009, respectively
Limited Interests (68,076.600 and 70,384.249 interests outstanding) at March 31, 2010 and December 31, 2009, respectively		12,983,579		14,352,994


Total trust capital (net asset value)		12,983,579		14,352,994


Total liabilities and trust capital	$	13,336,951	$	14,715,935

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents

Table of Contents


	March 31, 2010					December 31, 2009
	Net Unrealized Gain (Loss) as a % of Trust Capital		Net Unrealized Gain (Loss)			Net Unrealized Gain (Loss) as a % of Trust Capital		Net Unrealized Gain (Loss)
Futures and Forward Contracts
Futures contracts purchased:
Commodities	0.26	%	$	33,870		1.45	%	$	208,653
Currencies	0.02	%		2,664		0.00	%		0
Energy	0.94	%		121,723		0.08	%		12,064
Interest rates	0.20	%		25,605		(0.99	)%		(142,697	)
Stock indices	0.95	%		123,764		0.20	%		28,598


Net unrealized gain on futures contracts purchased	2.37	%		307,626		0.74	%		106,618


Futures contracts sold:
Commodities	0.48	%		62,723		(0.60	)%		(86,246	)
Currencies	0.00	%		0		0.00	%		(50	)
Energy	(0.12	)%		(15,359	)	0.03	%		3,780
Interest rates	(0.03	)%		(4,305	)	(0.03	)%		(4,993	)
Stock indices	0.00	%		0		(0.01	)%		(913	)


Net unrealized gain (loss) on futures contracts sold	0.33	%		43,059		(0.61	)%		(88,422	)


Net unrealized gain on futures contracts	2.70	%	$	350,685		0.13	%	$	18,196


Forward currency contracts purchased:
Net unrealized gain on forward contracts purchased	1.06	%		138,582		2.92	%	$	419,500


Forward currency contracts sold:
Net unrealized loss on forward contracts sold	(0.31	)%		(40,572	)	(2.87	)%		(412,552	)


Net unrealized gain on forward contracts	0.75	%	$	98,010		0.05	%	$	6,948


	For the Three Months Ended March 31, 2010			For the Three Months Ended March 31, 2009
REVENUES
Realized	$	(969,979	)	$	(590,204	)
Change in unrealized		423,551			(203,189	)
Interest income		1,226			3,941


Total losses		(545,202	)		(789,452	)

EXPENSES
Commissions, administrative services and other transaction fees		283,627			340,565
Management fees		65,370			99,926
Incentive fees		0			31
General and administrative		51,048			65,421


Total expenses		400,045			505,943

General and administrative expenses borne by the Managing Owner and affiliates		(8,868	)		(4,702	)


Net expenses		391,177			501,241


NET LOSS	$	(936,379	)	$	(1,290,693	)


NET LOSS PER WEIGHTED AVERAGE LIMITED AND MANAGING OWNER INTEREST
Net loss per weighted average Limited and Managing Owner Interest	$	(13.49	)	$	(14.09	)


Weighted average number of Limited and Managing Owner Interests outstanding		69,394			91,596


	Interests		Limited Interests			Managing Owner Interests			Total
For the three months ended March 31, 2010

Trust capital at December 31, 2009	70,384.249		$	14,352,994		$	0		$	14,352,994

Redemptions	(2,307.649	)		(433,036	)		0			(433,036	)

Net loss for the three months ended March 31, 2010				(936,379	)		0			(936,379	)


Trust capital at March 31, 2010	68,076.600		$	12,983,579		$	0		$	12,983,579


For the three months ended March 31, 2009

Trust capital at December 31, 2008	92,471.646		$	20,731,073		$	210,613		$	20,941,686

Redemptions	(2,921.463	)		(438,011	)		(197,480	)		(635,491	)

Net loss for the three months ended March 31, 2009				(1,277,560	)		(13,133	)		(1,290,693	)


Trust capital at March 31, 2009	89,550.183		$	19,015,502		$	0		$	19,015,502


Sector	Allocation
Currencies	32.92	%

Energies	15.52	%

Grains	3.73	%

Interest Rates	10.97	%

Meats	0.31	%

Metals	2.82	%

Indices	32.99	%

Tropicals	0.74	%


TOTAL	100.00	%


2.1		Plan and Agreement of Merger of Preferred Investment Solutions Corp. (a Connecticut corporation) and Preferred Investment Solutions Corp. (a Delaware corporation) (incorporated by reference to Exhibit 2.1 to Form 8-K, File No. 000-32687, filed on January 3, 2006)

3.1		First Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of May 15, 1999 (incorporated by reference to Exhibit 3.1 and 4.1 to Registrant’s Registration Statement on Form S-1, File No. 333-83015, filed on September 17, 1999)

3.2		Second Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of March 28, 2002 (incorporated by reference to Exhibit 3.1 and 4.1 to Post-Effective Amendment No. 4 to Registrant’s Registration Statement on Form S-1, File No. 333-83015, filed on April 2, 2002)

3.3		Third Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of October 1, 2004 (incorporated by reference to Exhibit 4.1 of the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004)

3.4		Certificate of Incorporation of Preferred Investment Solutions Corp. (a Delaware corporation) (incorporated by reference to Exhibit 3.1 to Form 8-K, File No. 000-32687, filed on January 3, 2006)

3.5		By-Laws of Preferred Investment Solutions Corp. (a Delaware corporation) (incorporated by reference to Exhibit 3.2 to Form 8-K, File No. 000-32687, filed on January 3, 2006)



3.6		Fourth Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of December 1, 2008 (incorporated by reference to Exhibit 3.1 to Form 8-K, File No. 000-32687, filed on December 3, 2008)

3.7		Fifth Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of January 21, 2009 (incorporated by reference to Exhibit 3.4 to Form 8-K, File No. 000-32687, filed on January 21, 2009)

3.8		Sixth Amended and Restated Declaration of Trust and Trust Agreement of World Monitor Trust II dated as of March 1, 2009 (incorporated by reference to Exhibit 4.1 of the Registrant’s Annual Report on Form 10-K for the year ended December 31, 2009)

4.1		Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Post Effective Amendment No. 4 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

4.2		Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Post Effective Amendment No. 4 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

4.3		Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Post-Effective Amendment No. 4 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

4.4		Form of Request for Redemption (incorporated by reference to Exhibit 4.2 to Post-Effective Amendment No. 4 to the Registrant’s Registration Statement on Form S-1, File No. 333-83015, filed on April 2, 2002)

4.5		Form of Exchange Request (incorporated by reference to Exhibit 4.3 to Post-Effective Amendment No. 4 to the Registrant’s Registration Statement on Form S-1, File No. 333-83015, filed on April 2, 2002)

4.6		Form of Subscription Agreement (incorporated by reference to Exhibit 4.4 to Post-Effective Amendment No. 4 to the Registrant’s Registration Statement on Form S-1, File No. 333-83015, filed on April 2, 2002)

4.7		The Privacy Notice of the Managing Owner dated July 2009 (incorporated by reference to Exhibit 4.5 to Registrant’s Form 10-K for the year ended December 31, 2009)

10.1		Form of Escrow Agreement among the Trust, Managing Owner, PSI and the Chase Manhattan Bank (incorporated by reference to Exhibit 10.1 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

10.2		Form of Brokerage Agreement among the Trust and PSI (incorporated by reference to Exhibit 10.2 to Registrant’s Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

10.3		Form of Advisory Agreement among Registrant, Managing Owner, and the Trading Advisor (incorporated by reference to Exhibit 10.3 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on July 16, 1999)

10.4		Form of Representation Agreement Concerning the Registration Statement and the Prospectus among Registrant, Managing Owner, PSI, Wilmington Trust Company and the Trading Advisor (incorporated by reference to Exhibit 10.4 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

10.5		Form of Net Worth Agreement between the Managing Owner and Prudential Securities Group, Inc. (incorporated by reference to Exhibit 10.5 to Registrant’s Registration Statement on Form S-1, File No. 333-83011, filed on September 17, 1999)

10.6		Service Agreement among Registrant, Prudential Securities Futures Management Inc. and Wachovia Securities, LLC dated as of July 1, 2003 (incorporated by reference to Exhibit 10.6 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2003)

10.7		Consent to Assignment of Brokerage Agreement dated March 30, 2004 among World Monitor Trust II, Prudential Equity Group, LLC and Prudential Financial Derivatives, LLC (incorporated by reference to Exhibit 10.7 to Form 10-K for the year ended December 31, 2004)



10.8		Novation letter among the Trust, Trading Advisor and Managing Owner dated September 14, 2004 (incorporated by reference to Exhibit 10.7 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004)

10.9		Letter Agreement Amending and Restating Brokerage Agreements between the Managing Owner and Prudential Financial Derivatives, LLC dated October 1, 2004 (incorporated by reference to Exhibit 10.7 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2004)

10.10		Services Agreement between Spectrum Global Fund Administration, L.L.C. and Registrant dated May 23, 2007 (incorporated by reference to Exhibit 10.9 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2007)

10.11		Amendment No. 2 to the Services Agreement between Spectrum Global Fund Administration, L.L.C. and Registrant dated February 28, 2009 (incorporated by reference to Exhibit 10.1 to Form 8-K, File No. 000-32687, filed on March 2, 2009)

14.1		Kenmar Preferred Investments Corp. Code of Ethics (adopted pursuant to Section 406 of Sarbanes Oxley Act of 2002) as of November 9, 2009 (incorporated by reference to Exhibit 14.1 to Registrant’s Form 10-K for the year ended December 31, 2009)

31.1		Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

31.2		Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)

32.1		Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley

32.2		Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)


WORLD MONITOR TRUST II – SERIES E

By:	Kenmar Preferred Investments Corp., its Managing Owner

	By:	/s/ Kenneth A. Shewer		Date: May 13, 2010
		Name:	Kenneth A. Shewer
		Title:	Co-Chief Executive Officer (Principal Executive Officer)

	By:	/s/ David K. Spohr		Date: May 13, 2010
		Name:	David K. Spohr
		Title:	Senior Vice President and Director of Fund Administration (Principal Financial/Accounting Officer)


Commission File Number:		0-32687