As Filed with the Securities and Exchange Commission on April 21, 2011

Registration No. 333-155651

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

POST EFFECTIVE AMENDMENT NO. 2 TO FORM S-1

REGISTRATION STATEMENT

UNDER

THE SECURITIES ACT OF 1933

GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)

Delaware
(State of Organization) 6221
(Primary Standard Industrial
Classification Number) 36-7362830
(I.R.S. Employer
Identification Number)

c/o Millburn Ridgefield Corporation
411 West Putnam Avenue
Greenwich, Connecticut 06830
203/625-8211
(Address, including zip code, and telephone number, including
area code, of registrant’s principal executive offices)

George E. Crapple

Millburn Ridgefield Corporation

411 West Putnam Avenue

Greenwich, Connecticut 06830

203/625-8211
(Name, address, including zip code, and telephone number,

including area code, of agent for service)

Copies to:
James B. Biery
Daniel F. Spies

Sidley Austin LLP
One South Dearborn Street

Chicago, Illinois 60603

Approximate date of commencement of proposed sale to the public:

As soon as practicable after the effective date of this Registration Statement.

If any of the securities being registered on this form are to be offered on a delayed or continuous basis pursuant to Rule 415 under the Securities Act of 1933 check the following box.  x

If this form is filed to register additional securities for an offering pursuant to Rule 462(b) under the Securities Act, please check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

If this form is a post-effective amendment filed pursuant to Rule 462(c) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

If this form is a post-effective amendment filed pursuant to Rule 462(d) under the Securities Act, check the following box and list the Securities Act registration statement number of the earlier effective registration statement for the same offering.  o

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company.  See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer o	Accelerated filer o
Non-accelerated filer x (Do not check if a smaller reporting company)	Smaller reporting company o

GLOBAL MACRO TRUST

$125,582,007

Units of Beneficial Interest

The Trust

Global Macro Trust is a Delaware statutory trust organized to seek profit opportunities in global fixed-income instruments, currencies, stock indices and commodities.

The primary objective of the Trust is substantial appreciation of its assets over time.

An investment in the Trust may provide valuable diversification to a traditional portfolio of stocks and bonds.

The Managing Owner

Millburn Ridgefield Corporation, a professional futures trading advisor, is the Managing Owner and trading advisor of the Trust.

The Units

The Selling Agents are now offering the Trust’s Units in four Series. The Units are offered at their Net Asset Value as of the beginning of each month.  As of March 31, 2011, the Net Asset Value of a Series 1 Unit that sold for $1,000 as of July 1, 2002, when the Trust began trading, was $1,281.84.  As of March 31, 2011, the Net Asset Value of a Series 2 Unit that sold for $1,278.10 as of April 1, 2010, when Series 2 Units were first issued, was $1,331.76.  As of March 31, 2011, the Net Asset Value of a Series 3 Unit that sold for $1,180.91 as of September 1, 2009, when Series 3 Units were first issued, was $1,334.75.  As of March 31, 2011, the Net Asset Value of a Series 4 Unit that sold for $1,315.33 as of November 1, 2010, when Series 4 Units were first issued, was $1,355.10.

Series 2 Units and Series 3 Units are available to investors participating in a registered investment adviser’s asset-based fee or fixed fee advisory program through which an investment adviser recommends a portfolio allocation to the Trust.  Series 4 Units are available to employees and former employees of the Managing Owner.

The Selling Agents and brokers will use their best efforts to sell the Units but are not required to sell any specific number or dollar amount of Units of any Series.

If the total amount of Units offered pursuant to this Prospectus is sold, the proceeds to the Trust will be $125,582,007.

There is no scheduled termination date for the offering of Units. No escrow account will be used in connection with this offering.

The minimum initial investment is $5,000; $2,000 for employee benefit plans and IRAs.

The Risks

These are speculative securities. Read this Prospectus before you decide to invest. See “The Risks You Face” beginning on page 10.

·The Trust is speculative. You may lose all or substantially all of your investment in the Trust.  Past performance is not necessarily indicative of future results.

·The Trust is leveraged. The Trust acquires positions with an aggregate face amount of as much as eight to ten times or more of its total equity. Leverage magnifies the impact of both profit and loss.

·The performance of the Trust is expected to be volatile. In the last five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, ranged from up 8.52% to down 10.33%.

·The Trust charges high fees. You will sustain losses if the Trust is unable to generate sufficient trading profits and interest income to offset its fees and expenses.

·The Units are not liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. Additionally, there are restrictions on transferring Units in the Trust.

·A lack of liquidity in the markets in which the Trust trades could make it impossible for the Trust to realize profits or limit losses.

·A substantial portion of the trades executed for the Trust takes place on foreign exchanges. No U.S. regulatory authority or exchange has the power to compel the enforcement of the rules of a foreign board of trade or any applicable foreign laws.

·Early redemption charges will be assessed if you redeem Series 1 Units during the first eleven months after they are issued to you.

To purchase Units, you will be required to represent and warrant, among other things, that you have received a copy of this Prospectus and that you satisfy the minimum net worth and income standards for a resident of your state to invest in the Trust.  You are encouraged to discuss your investment decision with your financial, tax and legal advisors.

Neither the Securities and Exchange Commission (the “SEC”) nor any state securities commission has approved or disapproved of these securities or passed upon the accuracy or adequacy of this Prospectus. Any representation to the contrary is a criminal offense.

THE COMMODITY FUTURES TRADING COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.

The date of this Prospectus is [           ], 2011.

COMMODITY FUTURES TRADING COMMISSION
RISK DISCLOSURE STATEMENT

YOU SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT COMMODITY INTEREST TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.

FURTHER, COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGES 40 TO 44 AND A STATEMENT OF THE PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF YOUR INITIAL INVESTMENT, AT PAGES 7-8.

THIS BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT, AT PAGES 10 TO 15.

YOU SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES, INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE EFFECTED.

Please see the important Privacy Policy on page 70.

This Prospectus does not include all of the information or exhibits in the Trust’s Registration Statement. You can read and copy the entire Registration Statement at the Public Reference Facilities maintained by the SEC in Washington, D.C.

The Trust files quarterly and annual reports with the SEC. You can read and copy these reports at the SEC Public Reference Facilities in Washington, D.C. at 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Please call the SEC at 1-202-942-8090, or toll free at 1-800-SEC-0330, for further information.

The Trust’s filings are posted on the SEC website at http://www.sec.gov.

MILLBURN RIDGEFIELD CORPORATION
411 West Putnam Avenue
Greenwich, Connecticut 06830
(203) 625-8211
MANAGING OWNER

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GLOBAL MACRO TRUST
TABLE OF CONTENTS

	Page
Part One
Disclosure Document
Summary	4
The Risks You Face	10
You Could Lose Your Entire Investment in the Trust	10
Past Performance is not Necessarily Indicative of Future Results	10
The Trust is a Highly Leveraged Investment	10
The Performance of the Trust Will be Volatile	10
The Trust’s Expenses Will Cause Losses Unless Offset by Profits and Interest Income	10
An Investment in the Trust is not Liquid	10
Series 1 Units Redeemed on or Before the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge	10
The Timing of Your Investment and Redemption Decisions Will Affect the Profitability of Your Investment	10
The Managing Owner Alone Directs the Trust’s Trading	10
The Managing Owner is a Technical Trader and Does not Analyze Economic Factors External to Market Price	10
Lack of Price Trends Will Cause Losses; There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects That There Will be Similar Periods in the Future	11
Lack of Market Liquidity Could Make it Impossible for the Trust to Realize Profits or Limit Losses	11
Speculative Position Limits May Alter Investment Decisions for the Trust	11
The Managing Owner’s Trading Systems Have Been Developed Over Time and are Subject to Change	11
Trading on Foreign Exchanges Presents Greater Risk Than Trading on U.S. Exchanges	11
The Managing Owner Anticipates the Trust’s Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated	12
The Trust May be Subject to Profit Shares Despite Certain Units Having Declined in Value	12
The Managing Owner’s Increased Equity Under Management Could Lead to Lower Returns for Investors	12
Increased Competition Among Trend-Following Traders Could Reduce the Managing Owner’s Profitability	12
The Trust is Subject to Conflicts of Interest	12
The Managing Owner has not Established Formal Procedures to Resolve Conflicts of Interest	13
You Will be Taxed Each Year on Your Share of Trust Profits	13
You Will be Taxed on the Trust’s Interest Income Even if the Trust Suffers Trading Losses	13
Limitations on the Deductibility of “Investment Advisory Fees”	13
The IRS Could Audit Both the Trust and Individual Unitholders	13
Accounting for Uncertain Tax Positions	13
The Bankruptcy of a Clearing Broker or Currency Dealer Could Cause Losses	14
The Trust is Not Regulated as an Investment Company or Mutual Fund	14
The Trust Trades in Unregulated Markets	14
Swap Trading is Unregulated and Involves Counterparty Risk	14
Forward Trading May Take Place in Unregulated Markets; Retail Foreign Exchange Could Result in Increased Costs to the Trust	14
Forwards, Swaps and Other Derivatives Are Subject to Varying CFTC Regulation	15
Trading in Options Requires an Assessment of Market Volatility as Well as Direction	15
The Failure of Computer Systems Could Result in Losses for the Trust	15
Investment Factors	16
Performance Of The Trust	19
Quantitative And Qualitative Disclosures About Market Risk	29
The Managing Owner	32
Use Of Proceeds	38
Charges	40
Redemptions; Net Asset Value	44
The Clearing Brokers	45
Conflicts Of Interest	53
The Trust And The Trustee	54
Federal Income Tax Aspects	56
Purchases By Employee Benefit Plans	59
Plan Of Distribution	61
Legal Matters	69
Experts	69
Reports	70
Privacy Policy	70
Part Two
Statement Of Additional Information
The Futures And Forward Markets	71
Supplemental Performance Information	73
Index to Financial Statements	F-1
Exhibit A—Fourth Amended and Restated Declaration of Trust and Trust Agreement	TA-1
Exhibit B—Subscription Requirements	SR-1
Exhibit C—Subscription Agreement	SA-1

The execution copy of the Subscription Agreement accompanies this Prospectus.

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GLOBAL MACRO TRUST

SUMMARY

General

Global Macro Trust seeks profit opportunities in global fixed-income instruments, currencies, stock indices and various commodity products. Millburn Ridgefield Corporation, a Delaware corporation, serves as the Trust’s Managing Owner and trading advisor. The Managing Owner uses its proprietary quantitative, systematic trading method to trade in futures and forward contracts, and may trade in swap and options contracts, for the Trust.  In addition, positions held by the Trust may be either long, that is, contracts to buy, or short, that is, contracts to sell. The ability to take both long and short positions provides the Trust with the flexibility to capitalize on opportunities in both rising and falling markets.

The Trust began trading July 1, 2002.

The date of this Prospectus is [     ], 2011.

Overview

The Managing Owner trades the Trust’s assets in the markets that make up the Managing Owner’s Diversified Portfolio and uses the same trading strategies it uses in trading the Diversified Portfolio. The Diversified Portfolio itself is not a distinct trading strategy. Rather, it is a grouping of separate futures, forward and swap markets, featuring a variety of global fixed-income instruments, currencies, stock indices, agricultural commodities, energy products and precious and industrial metals, to which the Managing Owner applies its trading method.

The Trust’s primary objective is to achieve substantial capital appreciation over time with controlled volatility. The Trust also offers investors the advantages of limited liability in a leveraged trading vehicle and the convenience of professional management.

The performance of the Trust is not dependent upon any single nation’s economy or currency. On the contrary, periods of economic uncertainty can augment the profit potential of the Trust by increasing the likelihood of significant movements in global interest and exchange rates, and stock and commodity prices.

Additionally, because the Trust can take short positions as easily as long positions, the Trust is as likely to be profitable or unprofitable in falling markets as in rising markets.

If the Trust is successful, of which there can be no assurance, it can provide valuable diversification to traditional portfolios of stocks and bonds due to the Trust’s performance being generally unrelated to the general stock and bond markets. The Trust may also incur losses.

Approximately 90% or more of the Trust’s assets are invested in U.S. Treasury securities and other highly rated and liquid instruments, some of which will be deposited as collateral or margin in connection with the Trust’s trading. Accordingly, in addition to its potential to profit from its trading, the Trust earns interest on approximately 90% or more of its assets.

The principal office of the Trust is located at the office of the Managing Owner:  411 West Putnam Avenue, Greenwich, Connecticut 06830, (telephone: (203) 625-8211).

The Offering — Series of Units

The selling agents (“Selling Agents”) are offering the Trust’s Units in four Series.  The only differences between the Units of each Series, referred to collectively in this Prospectus as “Units,” are the applicable fees and expenses described below.  Otherwise, the Units of each Series are identical to the Units of the other Series and share pro rata in the profits and losses of the Trust.

The Units are offered at Net Asset Value per Unit of such Series as of the first business day of each calendar month. 

Series 2 Units and Series 3 Units are available only to investors participating in a registered investment adviser’s asset-based fee or fixed fee advisory program through which an investment adviser recommends a portfolio allocation to the Trust.  The only difference between Series 2 Units and Series 3 Units is the custodial fee applicable to Series 2 Units described below.

Series 4 Units are available only to employees and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation 401(k) and Profit Sharing Plan.

The Managing Owner may, from time to time, also permit intra-month closings.

The Net Asset Value per Unit of a Series is determined by dividing the Trust’s assets attributable to that Series minus its liabilities attributable to that Series by the number of Units of that Series outstanding on the date the calculation is being performed.  A Series’ Net Assets in aggregate are the Trust’s assets attributable to that Series minus its liabilities attributable to that Series.  The Trust’s Net Assets in aggregate are its total assets minus its total liabilities.

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The minimum investment in the Trust is $5,000; $2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units will be sold in fractions calculated to three decimal places.

To subscribe, you must complete and sign the Subscription Agreement Signature Page which accompanies this Prospectus and deliver it to your Selling Agent or broker. See Exhibit B — Subscription Requirements and Exhibit C — Subscription Agreement. You should review this entire Prospectus carefully before deciding whether to invest in the Units.

Major Risks of the Trust

The Trust is speculative. You may lose all or substantially all of your investment in the Trust.

The past performance of the Trust and the Managing Owner’s Diversified Portfolio are not necessarily indicative of the future results of the Trust.

The Trust is leveraged. The Trust acquires positions with an aggregate face amount of as much as eight to ten times or more of its total equity. Leverage magnifies the impact of both profit and loss.

The performance of the Trust is expected to be volatile. In the last five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged from up 8.52% to down 10.33%.

To be profitable, the Trust’s fees and expenses must be offset by trading profits and interest income.

The Units are not liquid. No secondary market exists for the Units, and the Units may be redeemed only as of a month-end.

Investment Considerations

The Managing Owner has been managing client funds in the futures and forward markets for over 30 years.  As of March 31, 2011, the Managing Owner was directing the trading of $2.3 billion of client and proprietary capital in these markets. Of that $2.3 billion, the Managing Owner was managing approximately $1.1 billion pursuant to the Diversified Portfolio, the trading portfolio traded on behalf of the Trust, and the balance pursuant to other trading portfolios managed by the Managing Owner.

The Managing Owner has contributed in excess of $5.8 million to the trading capital of the Trust.  As of March 31, 2011, the investments of the Managing Owner, its principals, affiliates, employees and former employees in accounts managed pursuant to the Diversified Portfolio exceeded $83 million.

The Managing Owner employs a highly systematic, trend-following trading approach relying primarily on technical, price-based information. The Managing Owner may, however, from time to time, exercise discretion to adjust position sizes and will, over time, change the markets represented in the Diversified Portfolio. The Managing Owner’s trading approach seeks to identify and profit from sustained market trends while limiting losses in trendless markets.

The Managing Owner has the ability to shift capital readily among different international economies and markets. As of March 31, 2011, the composition of the Managing Owner’s Diversified Portfolio, as well as the Trust, was approximately as follows:

As illustrated by the correlation matrix below, the returns of the Trust from July 2002 through March 2011 have not been significantly correlated with traditional portfolio components such as stocks and bonds.

	Trust(1)
Trust(1)	1.00
S&P 500	(0.05	)
NASDAQ	(0.02	)
EAFE	0.05
Bonds	0.05
Hedge Funds	0.23

(1) Reflecting the cost/fee structure applicable to the Series 1 Units. Statistically, investments with a correlation of 1.00 make or lose money at the same time, and investments with a correlation of -1.00 always move in the opposite direction. See “Supplemental Performance Information” in Part Two of this Prospectus.

An investment in the Trust can, but only if the Trust itself is successful, improve the reward/risk profile of a traditional portfolio of stocks and bonds.

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Redemptions

You may redeem your Units as of the end of any calendar month, upon 10 days’ prior written notice to the Managing Owner.

A redemption charge of 4% of Net Asset Value applies to Series 1 Units redeemed on or before the sixth month-end after they are sold. A redemption charge of 3% of Net Asset Value applies to Series 1 Units redeemed after the sixth, but on or before the eleventh, month-end after they are sold. There are no charges for redemptions of Series 1 Units held at least 12 months. Redemption charges will be reduced in the case of subscriptions in the amount of $100,000 or more to 3.5% and 2.5%, of $500,000 or more to 3% and 2%, and of $1,000,000 or more to 2.5% and 1.5%.  Series 1 Units purchased on different closing dates are treated on a “first-in, first-out” basis for purposes of calculating the periods to which redemption charges apply and for purposes of determining the 9.5% threshold for Selling Agent fees discussed below.

Series 2 Units, Series 3 Units and Series 4 Units are not subject to redemption charges.

Charges

The Trust’s expenses must be offset by trading gains and interest income to avoid depletion of the Trust’s assets.

Series 1 Units.  The Trust pays Brokerage Fees to the Managing Owner of 7% per year of the Trust’s Net Assets attributable to Series 1 Units. From this amount, the Managing Owner pays approximately 0.25% to the Trust’s executing and clearing brokers, and up to 4% to the Selling Agents. The amount paid to Selling Agents shall not, however, exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant to this Prospectus.  Once the 9.5% threshold is reached with respect to a Series 1 Unit, the Selling Agent will receive no future compensation and the up to 4% amount that would otherwise be paid to the Selling Agent for that Series 1 Unit will instead be rebated to the Trust for the benefit of all holders of Series 1 Units.

Brokerage Fees applicable to Series 1 Units will be reduced in respect of subscribers submitting net subscriptions of $100,000 or more to 6.5%, of $500,000 or more to 6% and of $1,000,000 or more to 5.5%. Net subscriptions for such purposes shall be calculated as subscriptions minus redemptions.

If the Series 1 Units earn net trading profits for any year in excess of the highest amount of net trading profits earned in all previous years, the Trust will allocate 20% of those “new” net trading profits to the Managing Owner as the Managing Owner’s Series 1 Profit Share.

Series 2 Units.  The Trust will pay the Managing Owner a management fee of 2% per year and a custodial fee of 0.25% per year of the Trust’s Net Assets attributable to Series 2 Units. The custodial fee will be paid on to the brokers that serve as custodians of Series 2 Units for the benefit of investors in Series 2 Units.  The maximum amount of custodial fees paid to brokers that serve as custodians of Series 2 Units shall not, however, exceed 3.1667% of the gross offering proceeds of the Series 2 Units sold pursuant to this Prospectus.  Once the maximum threshold is reached with respect to a Series 2 Unit, the broker serving as custodian for such Series 2 Unit will receive no future payment of custodial fees and the 0.25% amount that would otherwise be paid to the custodian for that Series 2 Unit will instead be rebated to the Trust for the benefit of all holders of Series 2 Units.  Series 2 Units will also be charged for their pro rata share of the Trust’s actual trade execution and clearing costs, including electronic platform trading costs, estimated at approximately 0.25% of the Trust’s average month-end Net Assets per year attributable to the Series 2 Units.

Series 3 Units. The Trust will pay the Managing Owner a management fee of 2% per year of the Trust’s Net Assets attributable to Series 3 Units.  Series 3 Units will also be charged for their pro rata share of the Trust’s actual trade execution and clearing costs, including electronic platform trading costs, estimated at approximately 0.25% of the Trust’s average month-end Net Assets per year attributable to the Series 3 Units.

Series 2 and Series 3 Units.  If the Series 2 and Series 3 Units in the aggregate earn net trading profits for any year in excess of the highest amount of net trading profits earned in all previous years, the Trust will allocate 20% of those “new” net trading profits to the Managing Owner as the Managing Owner’s Series 2/3 Profit Share.

Series 4 Units.  Series 4 Units will be charged for their pro rata share of the Trust’s actual trade execution and clearing costs, including electronic platform trading costs, estimated at approximately 0.25% of the Trust’s average month-end Net Assets per year attributable to the Series 4 Units.

The Trust pays its own offering costs such as registration and filing fees and the legal, accounting and printing costs incurred in connection with filing and updating this Prospectus.  Ongoing offering costs will not exceed 1.25% of the gross offering proceeds of the Units sold pursuant to this Prospectus. The Trust also pays its own operating costs such as legal, audit and administrative expenses (including, if applicable, the services of an administrator unaffiliated with the Managing Owner), which the Managing Owner expects will not exceed 0.30% per year of the Trust’s average annual Net Assets, assuming Trust assets of $900,000,000, and, when aggregated with ongoing offering costs, are not expected to exceed 0.35% of the

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Trust’s average annual Net Assets. The Trust itself could be subject to taxes or could incur extraordinary charges incidental to its trading, but the Managing Owner believes that neither situation is likely. There are no other charges borne by investors or the Trust.

The Managing Owner paid, without reimbursement, the Trust’s initial organizational costs. You will not bear any part of those costs.

The Managing Owner will pay any Selling Agent compensation due in connection with the sale of Series 2 Units or Series 3 Units from its own funds but not to exceed 6.3333% and 9.5%, respectively, of the gross offering proceeds from the sale of the Series 2 and Series 3 Units.  Series 4 Units are not subject to any sales charges.

Please refer to “Charges” for a more detailed discussion of the expenses applicable to the Trust.

Breakeven Tables

The following Breakeven Tables indicate the approximate amount of trading profit the Trust must earn with respect to a Series of Units, during the first twelve months after a Unit is sold, to offset the costs applicable to that Series of Units.

Series 1

ROUTINE EXPENSES	Percentage Return Required First Twelve Months of Investment		Dollar Return Required ($5,000 Initial Investment) First Twelve Months of Investment
Brokerage Fees	7.00	%	$	350.00
Administrative and Offering Expenses*	0.35	%	$	17.50
Less Interest Income*	(0.08	)%	$	(4.00	)
Twelve-month “breakeven” **	7.27	%	$	363.50

*              See Notes to Breakeven Tables below.

Series 2

ROUTINE EXPENSES	Percentage Return Required First Twelve Months of Investment		Dollar Return Required ($5,000 Initial Investment) First Twelve Months of Investment
Management Fee	2.00	%	$	100.00
Custodial Fee	0.25	%	$	12.50
Trade Execution and Clearing Costs*	0.25	%	$	12.50
Administrative and Offering Expenses*	0.35	%	$	17.50
Less Interest Income*	(0.08	)%	$	(4.00	)
Twelve-month “breakeven”	2.77	%	$	138.50

*              See Notes to Breakeven Tables below.

Series 3

ROUTINE EXPENSES	Percentage Return Required First Twelve Months of Investment		Dollar Return Required ($5,000 Initial Investment) First Twelve Months of Investment
Management Fee	2.00	%	$	100.00
Trade Execution and Clearing Costs*	0.25	%	$	12.50
Administrative and Offering Expenses*	0.35	%	$	17.50
Less Interest Income*	(0.08	)%	$	(4.00	)
Twelve-month “breakeven”	2.52	%	$	126.00

*              See Notes to Breakeven Tables below.

Notes to Breakeven Tables. * Estimated.  Administrative and offering expenses in aggregate are estimated at 0.35% of the Trust’s average annual Net Assets.  Brokerage Fees (Series 1 only) or Management Fees and Trade Execution and Clearing Costs (Series 2 and Series 3 only), including electronic platform trading costs, the Custodial Fee (Series 2 Only) and ongoing offering and administrative expenses must be offset by trading profits before a Profit Share is allocated to the Managing Owner.  Interest income is assumed to be 90% of the current 91-day Treasury bill rate.

**Series 1 Units are subject to a redemption charge if redeemed prior to the 12th month-end after they are sold.  As no redemption charge applies to Series 1 Units held for 12 months or more, no redemption charge is shown at the Series 1 “twelve-month breakeven” point.  The applicable charge for Series 1 Units redeemed before the 12th month-end following their sale is determined by how soon after the sale they are redeemed, as described above under “Summary — Redemptions.”  For example, based on an initial investment of $5,000, the redemption charge at the end of the 11th month-end after the sale of Series 1 Units would be $150 or 3% of the initial investment.

The Breakeven Tables assume an investment with a constant $5,000 Net Asset Value and a breakeven year. See “Charges.”

Series 4 Units.  Employees and former employees of the Managing Owner and its affiliates may purchase Series 4 Units through The Millburn Corporation 401(k) and Profit Sharing Plan.  Assuming a $2,000 investment, estimated trade execution and clearing costs at 0.25% per annum ($5.00), estimated administrative and offering expenses at 0.35% per annum

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($7.00) and estimated interest income at 0.08% per annum (less $1.60), the twelve-month breakeven would be 0.52% of the initial investment ($10.40), assuming a constant $2,000 Net Asset Value and a breakeven year.  See “Charges.”

Federal Income Tax Aspects

The Trust will be treated as a partnership for federal income tax purposes. Thus, you will be taxed each year on your share of the Trust’s income whether or not you redeem Units from the Trust or receive distributions from the Trust.

40% of any trading profits on certain U.S. exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100% of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange are “marked-to-market” at the end of each year and taxed as short-term capital gains at ordinary income rates (unless offset by capital losses). The Trust’s trading gains from other contracts will be primarily short-term capital gains. This tax treatment applies regardless of how long an investor holds Units. Interest income is taxed at ordinary income rates.

Capital losses on the Units may be deducted against capital gains. However, capital losses in excess of capital gains may only be deducted by a non-corporate taxpayer against ordinary income to the extent of $3,000 per year. Consequently, you could pay tax on the Trust’s interest income even though you have lost money on your Units.

The Futures, Forward and Swap Markets

Futures contracts are generally traded on exchanges and call for the future delivery of various commodities or are settled in cash.

Forward currency contracts and swap contracts are traded off-exchange through banks or dealers.

Futures, forward and swap trading is a “zero-sum,” risk transfer economic activity.  For every gain realized by a futures, forward or swap trader, there is an equal and offsetting loss suffered by another.  In this respect, an investment in the Trust is different from other securities investments where one expects consistent yields, in the case of bonds, or participation in overall economic growth as in the case of stocks.

Is the Trust a Suitable Investment for You?

You should consider investing in the Trust if you are interested in its potential to produce returns that are generally unrelated to those of stocks and bonds and you are prepared to risk significant losses.

The Trust is a diversification opportunity for an investment portfolio, not a complete investment program.

You should consider an investment in the Trust to be a 3 to 5 year commitment.

To invest, you must, at a minimum, have either (i) a net worth of at least $250,000, exclusive of home, furnishings and automobiles, or (ii) a net worth, similarly calculated, of at least $70,000 and an annual gross income of at least $70,000. A number of States in which the Units are offered impose higher suitability standards. These standards are regulatory minimums only, and just because you meet the standard does not necessarily mean the Units are a suitable investment for you.

You should not invest more than 10% of your net worth (exclusive of home, furnishings and automobiles) in the Trust.

These are speculative securities. You may lose all or substantially all of your investment in the Trust.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

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Organizational Chart

None of the entities indicated in this organizational chart, other than the Trust, are related to the Managing Owner. See “Conflicts of Interest.” Descriptions of the dealings between the Managing Owner and the Trust are set forth under “Charges.”

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THE RISKS YOU FACE

Set forth below are the principal risks associated with an investment in the Trust. You should consider these risks when making your investment decision.

You Could Lose Your Entire Investment in the Trust

An investment in the Trust is a speculative investment. You will be relying on the Managing Owner to trade profitably for the Trust and profitability is not assured. You could lose all or substantially all of your investment in the Trust.

Past Performance is not Necessarily Indicative of Future Results

The Trust began trading July 1, 2002 and has traded in both rising and falling markets.  Nevertheless, the past performance of the Trust is not necessarily indicative of the Trust’s future results, and the Trust may sustain losses in the future under market conditions in which it achieved gains in the past.

The Trust is a Highly Leveraged Investment

The Trust acquires positions with an aggregate face value of as much as eight to ten times or more of its total equity. Consequently, small adverse movements in the prices of the Trust’s open positions can cause significant losses.

The Performance of the Trust Will be Volatile

The Managing Owner expects that the performance of the Trust will be volatile. The Trust may suffer sudden and substantial losses from time to time and the day-to-day value of the Units will be variable and uncertain. The Net Asset Value per Unit may change materially between the date on which you subscribe for Units and the date the Units are issued or the date you request a redemption and the month-end redemption date. In the last five years, monthly returns for the Series 1 Units, which are the highest fee paying Units, have ranged from up 8.52% to down 10.33%.

The Trust’s Expenses Will Cause Losses Unless Offset by Profits and Interest Income

The Trust pays annual expenses of up to approximately 7.35% of its average month-end Net Assets attributable to the Series 1 Units and annual expenses of up to approximately 2.85%, 2.60% and 0.60% of its average month-end Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units, respectively. The Trust must earn trading profits and interest income allocable to each Series at least equal to these expenses to avoid losses.

An Investment in the Trust is not Liquid

There is no secondary market for the Units. You may redeem your Units only as of the close of business on the last day of a calendar month, and you must give the Trust at least 10 days’ prior written notice of your intent to redeem. Early redemption charges apply if you redeem Series 1 Units through the end of the first eleven months you own them.

Series 1 Units Redeemed on or Before the End of the First Eleven Months after Purchase will be Assessed a Redemption Charge

Series 1 Units redeemed on or prior to the end of the first six-month period after their sale will pay a redemption charge of up to 4% of the Net Asset Value at which such Series 1 Units are redeemed. Series 1 Units redeemed on or prior to the end of the first eleven months but after the end of the first six-month period after their sale will pay a redemption charge of up to 3% of the Net Asset Value at which such Series 1 Units are redeemed. See “Redemptions; Net Asset Value — Redemption Procedure.”

The Timing of Your Investment and Redemption Decisions Will Affect the Profitability of Your Investment

The Managing Owner expects that a majority of the Trust’s trades will result in small profits only or in losses. The majority of any profits earned by the Trust will most likely come from a small number of trades each year. Accordingly, you will not know when is a good time to invest in the Trust or to redeem your Units, and the timing of your investment and redemption decisions will affect the amount of profit or loss you experience as an investor in the Trust.

The Managing Owner Alone Directs the Trust’s Trading

The Trust is a single-advisor fund. The use of a single advisor trading one program involves a greater risk of loss than the diversified, multi-advisor approach employed by many futures funds. In addition, if the management services of the Managing Owner were to become unavailable for any reason, the Trust would terminate. Furthermore, were the Managing Owner to lose the services of its key principals, the Managing Owner could decide to dissolve the Trust, possibly causing it to realize losses.

The Managing Owner is a Technical Trader and Does not Analyze Economic Factors External to Market Price

The Managing Owner’s systematic strategies are developed on the basis of a statistical analysis of market

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prices. Consequently, any factor external to the market itself that dominates prices may cause major losses. For example, a pending political or economic event may be very likely to cause a major price movement, but the Managing Owner would continue to maintain positions indicated by its trading method that would incur major losses if the event proved to be adverse.

The Managing Owner’s systematic strategies retain certain discretionary aspects. Decisions, for example, to adjust the size of the positions indicated by the systematic strategies, which contracts to trade and method of order entry require judgmental input from the Managing Owner’s principals. Additionally, the Managing Owner may determine not to enter a new position indicated by its strategies if the Managing Owner determines prevailing market conditions to be unusual, for example, significantly more volatile than the expected volatility factored into the design of the strategies. The Managing Owner does, however, exit positions when its trading strategies indicate that it should do so. Discretionary decision-making may result in the Managing Owner making unprofitable trades when a more wholly systematic approach would not have done so.

Lack of Price Trends Will Cause Losses; There Have Been Sustained Periods With Insufficient Price Trends for the Trust to Trade Profitably. The Managing Owner Expects That There Will be Similar Periods in the Future

The Trust cannot trade profitably unless there are major price trends in at least some of the markets it trades. Moreover, the price trends must be of a type the Managing Owner’s systems are designed to identify. In the past there have been sustained periods with few trending markets where gains from trading those markets were insufficient to offset losses from trades in non-trending markets. For example, the Trust incurred a loss for the year in 2003, 2004 and 2009.  The Managing Owner expects that there will be similar periods in the future.

Markets in which prices move rapidly and then reverse and then do so again may cause losses. In such “whipsaw” market conditions, the Managing Owner may establish positions for the Trust on the basis of incorrectly identifying the rapid movement or the reversal as a trend.

Lack of Market Liquidity Could Make it Impossible for the Trust to Realize Profits or Limit Losses

In illiquid markets, the Trust could be unable to close out positions to limit losses or to take positions in order to follow trends. There are too many different factors that can contribute to market illiquidity to predict when or where illiquid markets may occur.

Unexpected market illiquidity has caused major losses for some traders in recent years in such market sectors as emerging markets and mortgage-backed securities. There can be no assurance that the same will not happen in the markets traded by the Trust. In addition, the large size of the positions the Trust may take increases the risk of illiquidity by both making its positions more difficult to liquidate and increasing the losses incurred while trying to do so.

United States commodity exchanges impose limits on the amount the price of some, but not all, futures contracts may change on a single day. Once a futures contract has reached its daily limit, it may be impossible for the Trust to liquidate a position in that contract, if the market has moved adversely to the Trust, until the limit is either raised by the exchange or the contract begins to trade away from the limit price.

Speculative Position Limits May Alter Investment Decisions for the Trust

The CFTC has established limits on the maximum net long or net short positions which any person may hold or control in certain futures contracts.  Exchanges also have established such limits.  In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e., metal and energy) and agricultural futures and option contacts and their economically equivalent swap transactions.  All accounts controlled by the Managing Owner, including the account of the Trust, are combined for speculative position limit purposes.  If positions in those accounts were to approach the level of the particular speculative position limit, such limits could cause a modification of the Trust’s investment decisions for the Trust or force liquidation of certain futures positions.

The Managing Owner’s Trading Systems Have Been Developed Over Time and are Subject to Change

In executing its trading method, the Managing Owner uses combinations of trading systems to generate buy and sell signals in the various markets traded. The Managing Owner has developed, modified, retained and discarded numerous systems over more than 30 years. Consequently, some of the trading systems and combinations of systems currently being used to trade accounts pursuant to the Diversified Portfolio, as the Trust is so traded, are not identical to those used 5, 10, 15, 20 or more years ago.

Trading on Foreign Exchanges Presents Greater Risk Than Trading on U.S. Exchanges

The Trust will trade on commodity exchanges outside the United States. Trading on foreign exchanges is not regulated by any United States governmental agency and may involve certain risks that do not arise when

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trading on United States exchanges. For example, some foreign exchanges are “principals’ markets” in which performance is the responsibility only of the individual member with whom the Trust has traded, not of the exchange or a clearing facility.  In such cases, the Trust will be subject to a risk that the member with whom the Trust has traded is unable or unwilling to perform its obligations under the transaction.  Additionally, an adverse change in the exchange rate between the United States dollar and the currency in which a non-U.S. futures contract is denominated would reduce the profit or increase the loss on a trade in that contract.

Trading on foreign exchanges also presents risks of loss due to: (1) the possible imposition of exchange controls, which could make it difficult or impossible for the Trust to repatriate some or all of its assets held by non-U.S. counterparties; (2) possible government confiscation of assets; (3) taxation; (4) possible government disruptions, which could result in market closures and thus an inability to exit positions and repatriate Trust assets for sustained periods of time, or even permanently; and (5) limited rights in the event of the bankruptcy or insolvency of a foreign broker or exchange resulting in a different and possibly less favorable distribution of the bankrupt’s assets than would occur in the United States.

The Managing Owner Anticipates the Trust’s Performance to be Non-Correlated to Stocks and Bonds, not Negatively Correlated

The performance of the Trust has been generally non-correlated to the performance of the stock and bond markets, as represented by the S&P 500 Stock Index and the Barclays Long-Term Treasury Index. Non-correlation means that there is no statistically valid relationship between two asset classes and should not be confused with negative correlation, where the performance of two asset classes would be opposite. Because of this non-correlation, you should not expect the Trust to be automatically profitable during unfavorable periods for the stock and/or bond markets, or vice versa.

If the Trust does not perform in a manner non-correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units and the Trust may have no gains to offset your losses from other investments.

The Trust May be Subject to Profit Shares Despite Certain Units Having Declined in Value

Investors will purchase Units at different times and will, accordingly, recognize different amounts of profit and loss on their investments. Profit Shares are accrued, or the accruals are reversed to reflect losses, on a monthly basis so that Units are not sold with an embedded Profit Share liability. However, Series 1 Profit Shares are ultimately calculated on the basis of the net trading profits, if any, recognized by the Series 1 Units as a whole and Series 2/3 Profit Shares are ultimately calculated on the basis of the cumulative net trading profits, if any, recognized by the Series 2 Units and Series 3 Units as a whole, not on the profits recognized by any particular Unit or Units. Consequently, the Managing Owner may still be allocated a Profit Share even though certain Units have lost value since the date they were purchased.

Conversely, Units purchased at a Net Asset Value reduced by accrued Profit Shares will benefit from any reversal of such accruals, and the benefit of such reversals to Units outstanding at the time of such purchase will be diluted.

Similarly, Units may incur losses generating a loss carryforward for purposes of calculating subsequent Profit Shares. The benefit of any such loss carryforward will, in the case of Series 1 Units be diluted by the sale of additional Series 1 Units and, in the case of Series 2 and Series 3 Units, be diluted by the sale of additional Series 2 Units or Series 3 Units.

The Managing Owner’s Increased Equity Under Management Could Lead to Lower Returns for Investors

The Managing Owner has not agreed to limit the amount of money it may manage and is actively seeking additional accounts. The more money the Managing Owner manages, the more difficult it may become for the Managing Owner to trade profitably for the Trust because of the difficulty of trading larger positions without negatively affecting prices and performance.

Increased Competition Among Trend-Following Traders Could Reduce the Managing Owner’s Profitability

A substantial number of commodity trading advisors use technical trading systems, particularly trend-following systems, like the Managing Owner’s systems. As the amount of money under the management of such systems increases, competition for the same positions increases, making the positions more costly and more difficult to acquire.

The Trust is Subject to Conflicts of Interest

The Trust is subject to numerous actual and potential conflicts of interest, including: (1) the compensation that the Selling Agents receive gives them an incentive to promote the sale of Units as well as to discourage redemptions; (2) the brokerage commissions that Selling Agents receive if they also serve as clearing brokers for the Trust gives an additional incentive to promote the sale of Units as well as to discourage redemptions; (3) the Managing Owner has significant

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financial incentives both to promote the sale of the Units and to discourage their redemption; and (4) the Managing Owner of the Trust will not select any other trading advisor even if doing so would be in the best interests of the Trust. See “Conflicts of Interest.”

The Managing Owner has not Established Formal Procedures to Resolve Conflicts of Interest

Because the Managing Owner has not established any formal procedures for resolving conflicts of interest, you will be dependent on the good faith of the parties with conflicts to resolve the conflicts equitably. The Managing Owner cannot assure that conflicts of interest will not result in losses for the Trust.

You Will be Taxed Each Year on Your Share of Trust Profits

If you are an individual or entity subject to U.S. taxes (e.g., not a tax-exempt entity such as an IRA or pension plan), you will be taxed on your share of Trust income or gain each year, whether or not you redeem Units or receive distributions from the Trust.

Because a substantial portion of the Trust’s open positions are “marked-to-market” at the end of each year, some of your tax liability will be based on unrealized gains which the Trust may, in fact, never realize.

40% of any trading profits on certain U.S. exchange-traded futures contracts and certain foreign currency forward contracts are taxed as short-term capital gains at ordinary income rates (unless offset by capital losses), while 60% of any such trading profits are taxed as long-term capital gains at a lower maximum rate for individuals (15% for most gains recognized in taxable years beginning on or before December 31, 2012). 100% of any trading profits from certain bank forward contracts or foreign currency futures contracts traded on a non-U.S. exchange are “marked-to-market” at the end of each year and taxed as short-term capital gains at ordinary income rates (unless offset by capital losses). These rates apply regardless of how long the Trust holds a contract, or an investor his or her Units.

Due to the different tax rates for long-term and short-term capital gains and limitations on the deductibility of capital losses, and depending on the tax character of income and loss you receive on other investments in your portfolio, it is possible for you to have a pre-tax economic gain on your investment in the Trust but an after-tax loss.

All performance information included in this Prospectus is presented on a pre-tax basis; the investors who experienced such performance had to pay the related taxes from other sources.

Over time, the compounding effects of the annual taxation of the Trust’s income are material to the economic consequences of investing in the Trust. For example, a 10% compound annual rate of return over five years would result in an initial $10,000 investment compounding to $16,105. However, if one factors in a 30% tax rate each year, the result would be $14,025.

You Will be Taxed on the Trust’s Interest Income Even if the Trust Suffers Trading Losses

Losses on the Trust’s trading are almost exclusively capital losses. Non-corporate investors may use net capital losses to offset up to $3,000 of ordinary income each year. So, for example, if your share of the Trust’s trading (i.e., capital) loss was $10,000 in a given fiscal year and your share of interest income was $5,000, you would incur a net loss in the Net Asset Value of your Units equal to $5,000, but would nevertheless recognize taxable income of $2,000.

Limitations on the Deductibility of “Investment Advisory Fees”

The Managing Owner does not intend to treat the ordinary expenses of the Trust as “investment advisory fees” for federal income tax purposes. The Managing Owner believes that this is the position adopted by virtually all United States futures fund sponsors. However, were the ordinary expenses of the Trust characterized as “investment advisory fees,” non-corporate taxpayers would be subject to substantial restrictions on the deductibility of those expenses, would pay increased taxes in respect of an investment in the Trust and could actually recognize taxable income despite having incurred a financial loss.

The IRS Could Audit Both the Trust and Individual Unitholders

The Internal Revenue Service (the “IRS”) could audit the Trust’s tax returns and require the Trust to adjust such returns. If an audit results in an adjustment, you could be audited and required to pay additional taxes, plus interest and possibly penalties.

Accounting for Uncertain Tax Positions

Financial Accounting Standards Board Accounting Standards Codification Topic No. 740, “Income Taxes” (“ASC 740,” in part formerly known as “FIN 48”), provides guidance on the recognition of uncertain tax positions.  ASC 740 prescribes the minimum recognition threshold that a tax position is required to meet before being recognized in an entity’s financial statements.  It also provides guidance on recognition, measurement, classification, interest and penalties with respect to tax positions.  A prospective investor should be aware that, among other things, ASC

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740 could have a material adverse effect on the periodic calculations of the net asset value of the Trust, including reducing the net asset value of the Trust to reflect reserves for income taxes, such as foreign withholding taxes, that may be payable by the Trust.  This could cause benefits or detriments to certain Unitholders, depending upon the timing of their subscriptions and withdrawals from the Trust.

The Bankruptcy of a Clearing Broker or Currency Dealer Could Cause Losses

The Managing Owner must assess the credit-worthiness of the clearing brokers and foreign currency counterparties it selects for the Trust. If one of the Trust’s clearing brokers or foreign currency counterparties becomes bankrupt, the Trust will be limited to recovering none or only its pro rata share, of all available customer funds segregated by the Clearing Broker or counterparty. The Managing Owner attempts to mitigate this risk by selecting only well capitalized, major financial institutions as clearing brokers and foreign currency counterparties, but there can be no assurance that even a well capitalized, major institution will not become bankrupt, and recent events have demonstrated that even major financial institutions of the type with which the Trust may deal in the financial markets can and do fail.

The Trust is Not Regulated as an Investment Company or Mutual Fund

Although the Managing Owner is subject to regulation by the Commodity Futures Trading Commission (the “CFTC”) and the Trust itself is subject to reporting requirements and other regulation applicable to public companies in the United States, the Trust is not an investment company or mutual fund registered under the Investment Company Act of 1940.  Accordingly, investors in the Trust are not accorded the protections of such legislation.

The Trust Trades in Unregulated Markets

The Trust will conduct all or substantially all of its currency forward and related options trading in unregulated markets. There is no way to determine fair pricing or prevent trading abuses in such markets. The absence of regulation in such markets could expose the Trust to significant losses.

Various national governments have expressed concern regarding the disruptive effects of speculative trading in the currency markets and the need to regulate the “derivatives” markets in general. Future regulatory changes may limit the Trust’s ability to trade in certain markets.

Swap Trading is Unregulated and Involves Counterparty Risk

The Trust may engage in trading commodity swaps.  Swaps involve many of the same risks as those described above with respect to forward contracts.  Swap contracts are not traded on exchanges; rather, banks and dealers act as principals in the swap market.  As a result, the Trust will be subject to the risk of the inability or refusal to perform with respect to such contracts on the part of the counterparties with which the Trust trades.  The Managing Owner intends to enter into swaps on behalf of the Trust only with highly creditworthy banks and dealers, but there can be no assurance that even highly creditworthy banks and dealers will have the ability to, or will not refuse to, perform with respect to such contracts. The swap market is not currently regulated by any United States or foreign governmental authority.  In addition to the speculative position limits described above, the counterparties with which the Trust will deal may limit the size or duration of positions available to the Trust as a consequence of credit considerations.  Finally, swaps may be illiquid and participants in the swap market are not required to make continuous markets in the swap contracts they trade.

Forward Trading May Take Place in Unregulated Markets; Retail Foreign Exchange Could Result in Increased Costs to the Trust

None of the CFTC, NFA, futures exchanges or banking authorities currently regulates the interbank currency markets or trading in these markets.  Because a principal portion of the Trust’s currency forward trading takes place in these markets, investors must recognize that much of the Trust’s activity takes place in unregulated markets rather than on futures exchanges or through “retail” foreign exchange markets subject to the jurisdiction of the CFTC or other regulatory bodies, and the responsibility for performing under a particular transaction rests solely with the counterparties to such transaction, not with any exchange or clearinghouse.  This results in the risk that a counterparty may not settle a transaction with the Trust in accordance with its terms because the counterparty is either unwilling or unable to do so (for example, because of a credit or liquidity problem affecting the counterparty), potentially resulting in significant loss.  In addition, counterparties generally have the right to terminate trades under a number of circumstances, including, for example, declines in the Trust’s Net Assets and certain “key person” events.  Any premature termination of the Trust’s currency forward trades could result in material losses for the Trust, as the Trust may be unable to quickly re-establish those trades and may only be able to do so at disadvantageous prices.  Trust funds on deposit with the currency forward counterparties with which the Trust trades are not protected by the same segregation requirements imposed on CFTC-regulated commodity brokers in respect of

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customer funds deposited with them.  Although the Trust deals only with major financial institutions as currency forward counterparties, the insolvency or bankruptcy of a currency forward counterparty could subject the Trust to the loss of its entire deposit with such counterparty.  The forward markets are well established.  However, it is impossible to predict how, given certain unusual market scenarios, the unregulated nature of these markets might affect the Trust, and the recent events underlying the bankruptcy of Refco, Inc. and its related entities have underscored the risks of maintaining capital at unregulated entities.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) amended the definition of “eligible contract participant,” and the CFTC is interpreting that definition in such a manner that the Trust may no longer be permitted to engage in currency forward transactions by directly accessing the interbank market.  Rather, when the Reform Act goes into effect in July 2011, the Trust may be limited to engaging in “retail forex transactions” which could limit the Trust’s potential currency forward counterparties to futures commission merchants and retail foreign exchange dealers.  Thus, limiting the Trust’s potential currency forward counterparties could lead to the Trust bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.  The “retail forex” markets could also be significantly less liquid than the interbank market.  Moreover, the creditworthiness of the futures commission merchants and retail foreign exchange dealers with whom the Trust may be required to trade could be significantly weaker than the creditworthiness of the financial institutions with whom the Trust currently engages for its currency forward transactions.  The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit such forward trading to less than that which the Managing Owner would otherwise recommend, to the possible detriment of the Trust.

Forwards, Swaps and Other Derivatives Are Subject to Varying CFTC Regulation

Enacted in July 2010, the Reform Act includes provisions that comprehensively regulate the over-the-counter derivatives markets for the first time.  The Reform Act will require that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses.  Over-the-counter trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible CFTC-mandated margin requirements.  The regulators also have broad discretion to impose margin requirements on non-cleared over-the-counter derivatives.  Although the Reform Act includes limited exemptions from the clearing and margin requirements for so-called “end-users,” the Trust does not expect to be able to rely on such exemptions.  In addition, the over-the-counter derivative dealers with which the Trust may execute the majority of its over-the-counter derivatives transactions will not be able to rely on the end-user exemptions under the Reform Act and therefore such dealers will be subject to clearing and margin requirements notwithstanding whether the Trust is subject to such requirements.  Over-the-counter derivative dealers also will be required to post margin to the clearinghouses through which they clear their customers’ trades instead of using such margin in their operations, as they currently are allowed to do.  This will further increase the dealers’ costs, which costs are expected to be passed through to other market participants in the form of higher fees and less favorable dealer marks.

The CFTC may also require a substantial portion of derivative transactions that are currently executed on a bi-lateral basis in the over-the-counter markets to be executed through a regulated securities, futures, or swap exchange or execution facility.  Such requirements may make it more difficult and costly for investment funds, including the Trust, to enter into highly tailored or customized transactions.  They may also render certain strategies in which the Trust might otherwise engage impossible or so costly that they will no longer be economical to implement.

Trading in Options Requires an Assessment of Market Volatility as Well as Direction

The Managing Owner may trade futures and forward options on behalf of the Trust.  Although successful options trading requires many of the same skills as successful futures and forward trading, the risks involved are somewhat different.  For example, the assessment of near-term market volatility - which is directly reflected in the price of outstanding options - can be of much greater significance in trading options than it is in many long-term futures strategies.  The use of options can be extremely expensive if market volatility is incorrectly predicted.

The Failure of Computer Systems Could Result in Losses for the Trust

The Managing Owner relies heavily on computer hardware and software, online services and other computer-related or electronic technology and equipment to facilitate the Trust’s investment activities and may trade financial instruments through electronic trading or order routing systems.  Electronic trading exposes the Trust to the risk of system or component failure.  Should events beyond the Managing Owner’s control cause a disruption in the operation of any technology or equipment, the Trust’s investment program may be severely impaired, causing it to experience substantial losses or other adverse effects.

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INVESTMENT FACTORS

Although there can be no assurance that the Managing Owner will trade successfully on behalf of the Trust or that the Trust will avoid substantial losses, if the Trust is successful, an investment in the Trust offers investors the following potential advantages.

Access to the Diversified Portfolio

The Trust offers you access to the Managing Owner’s oldest and most successful trading portfolio. The Managing Owner has been managing investment funds pursuant to its Diversified Portfolio since February 1977. The composite compound annual return for the Diversified Portfolio, adjusted to reflect the highest level of fees and expenses of the Trust, from February 1977 through March 2011 is approximately 13.79%. Past performance is not, however, necessarily indicative of future results.

Millburn Ridgefield Corporation

The Managing Owner and its principals have extensive experience in designing, sponsoring, marketing and administering futures funds. The Managing Owner, together with its predecessors, is one of the longest operating of all futures money managers and was a pioneer in developing systematic trading technologies. The Managing Owner’s trading experience, together with its predecessors, spans more than 35 years. The Trust provides you the opportunity to place capital under the management of a trading advisor with one of the longest continuous trading records of any active manager.

Investment Diversification

If you are not prepared to spend substantial time trading in the futures and forward markets, you may nevertheless participate through investing in the Trust. An investment in the Trust can provide valuable diversification to a traditional portfolio of stocks and bonds. The Managing Owner believes that the profit potential of the Trust does not depend upon favorable general economic conditions and that the Trust is just as likely to be profitable or unprofitable during periods of declining stock and bond markets as at any other time.

Allocating a small portion of your investment portfolio to a managed futures investment, such as the Trust, can potentially enhance the performance of the portfolio. Modern portfolio theory suggests that a diverse portfolio with positively performing assets that have little or no correlation with each other should have higher returns and lower risk, as measured by variability of returns, than a less diversified portfolio: the Nobel Prize for Economics in 1990 was awarded to Dr. Harry Markowitz for demonstrating that the total return can increase, and/or risks can be reduced, when portfolios have positively performing asset categories that are essentially non-correlated.

Historically, managed futures investments have had very little correlation to the stock and bond markets. Non-correlated performance is not, however, negatively correlated performance. Non-correlation means only that the performance of managed futures likely has no relation to the performance of stocks and bonds. The performance of the Trust has exhibited a substantial degree of non-correlation with the general equity and debt markets.

Non-correlation will not provide diversification advantages beyond, perhaps, lowering a portfolio’s overall volatility unless the non-correlated assets are performing positively. There can be no assurance that the Trust will perform positively or avoid losses.

Market Diversification

The Trust trades in approximately 125 markets, though not necessarily in all markets at all times.

The diversification of the Trust permits investors to participate in markets that would otherwise not be included in their portfolios, thereby both potentially diversifying risk and increasing profit opportunities.

The markets traded by the Trust change from time to time. Currently these markets include:

Currencies

Major
British Pound	Japanese Yen
Euro	Swiss Franc
Secondary
Australian Dollar	Mexican Peso
Brazilian Real	New Zealand Dollar
Canadian Dollar	Norwegian Krone
Chilean Peso	Philippine Peso
Colombian Peso	Polish Zloty
Czech Koruna	Russian Ruble
Indian Rupee	Singapore Dollar
Indonesian Rupiah	South African Rand
Israeli Shekel	Swedish Krona
Korean Won	Turkish Lira
Malaysian Ringgit
Crosses
Australian Dollar-Japanese Yen	Euro-Swedish Krona
Australian Dollar-Swiss Franc	Euro-Turkish Lira
British Pound-Australian Dollar	New Zealand Dollar-Japanese Yen
	New Zealand Dollar-Swiss Franc

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Euro-Czech Koruna	Norwegian Krone-Japanese Yen
Euro-Hungarian Forint	Swiss Franc-Norwegian Krone
Euro-New Zealand Dollar	Swiss Franc-Swedish Krona
Euro-Norwegian Krone
Euro-Polish Zloty
Euro-Romanian Leu
Interest Rates
Aussie Bank Bills	Euro Swiss
Australian Treasury 3 and 10 year Bonds	Gilts
Canada Bankers Acceptance	Italian 10 year Bonds
Canadian Government Bond	Japanese Government Bonds
Euribor	Sterling Rates
Euro Bobl	US Treasury 2 yr Note
Euro Bund	US Treasury 5 yr Note
Euro Buxl	US Treasury 10 yr Note
Euro Dollar	US Treasury 30 yr Bond
Euro Schatz
Stock Indices
All Shares (South Africa)	Kospi Index (Korea)
Amsterdam Index  (Netherlands)	MIB 30 (Italy)
Bolsa (Mexico)	Mini Russell 2000 (United States)
CAC 40 (France)	Nifty Index (India)
CBOE VIX (United States)	Nikkei (Japan)
DAX (Germany)	OMX (Sweden)
DJ Euro Stoxx 50 (Euro  Zone)	SET50 Futures (Thailand)
E-Mini Dow (United States)	Simex (Singapore)
E-Mini NASDAQ 100  (United States)	Simex Taiwan (Taiwan)
E-Mini S&P 500 (United  States)	SPI 200 (Australia)
FTSE (United Kingdom)	TAIEX Electronic Index (Taiwan)
H-Shares (Hong Kong)	TAIEX Financial Index (Taiwan)
Hang Seng (Hong Kong)	TAIEX Index (Taiwan)
IBEX 35 (Spain)	TOPIX (Japan)
ISE 30 (Turkey)	TSE 60 (Canada)
Energy
Brent Crude Oil	Heating Oil
Crude Oil	Kerosene (TOCOM)
Gasoline RBOB	London Gas Oil
Gasoline (TOCOM)	Natural Gas
Agricultural Commodities
Bean Oil	Rubber (TOCOM)
Cocoa	Soy Meal
Coffee	Soybean
Corn	Sugar
Cotton	Wheat
Kansas City Wheat
Metals
Copper	London Nickel
Gold	London Tin
Gold (TOCOM)	London Zinc
London Aluminum	Platinum (NYMEX)
London Copper	Platinum (TOCOM)
London Lead	Silver
Livestock
Hogs	Live Cattle
Spreads
Agricultural	Financial
Energy	Metals

Opportunity to Profit in Rising as Well as in Declining Markets

The Trust may realize positive or negative returns in both rising and declining markets as the Trust’s trading positions may be established on either the long or the short side of a market. Unlike short selling in the securities markets, establishing short positions in futures or forwards or through swaps in anticipation of a drop in price can be accomplished without additional restrictions or special margin requirements.

It is potentially advantageous for investors to own investments that can appreciate during a period of generally declining prices, financial disruption or economic instability.

Investors must realize, however, that the Trust is not specifically designed to appreciate in declining markets. Rather, it is designed to perform independent of the direction of stocks and bonds and the general economy. The Trust will only increase in value if the Managing Owner’s trading systems identify market trends and the Trust is able to trade those trends profitably.

Interest on Trust Assets

The Trust will receive all of the interest income earned on its assets. Approximately 90% of the Trust’s assets are invested in deposit accounts, short-term money market funds and U. S. Treasury bills or notes. The interest earned on the Trust’s assets can offset a portion, though it may not offset all, of its routine costs. However, the Trust’s interest income is subject to the risk of trading losses.

Small Minimum Investment

The Managing Owner typically manages individual accounts only of substantial size — $5,000,000 or more. You may gain access to the Managing Owner for a minimum investment of only $5,000; $2,000 in the case of trustees or custodians of eligible employee benefit plans and individual retirement accounts.

17

Limited Liability

If you open an individual futures account, you will be generally liable for all losses incurred in the account, and may lose substantially more than you committed to the account. However, as an investor in the Trust, you cannot lose more than your investment plus undistributed profits.

Administrative Convenience

The Managing Owner is responsible for all aspects of the Trust’s operation. You will receive monthly unaudited and annual audited financial reports as well as information necessary for you to complete your federal income tax returns. The approximate daily Net Asset Value per Unit is available by calling representatives of the Managing Owner at (203) 625-8211 (ask for Investor Services).

18

PERFORMANCE OF THE TRUST

GLOBAL MACRO TRUST
(Reflecting Series 1 Unit Expenses)
(January 1, 2006 — March 31, 2011)

Type of Pool:  Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:  July 2002
Inception of Series 1 Trading:  July 2002
Total Net Asset Value of the Trust:  $871,124,378
Total Net Asset Value of Series 1:  $847,742,471
Largest % Monthly Drawdown:  (10.33)% (08/07)
Worst Peak-to-Valley Drawdown:  (16.54)% (02/09-07/09)
Aggregate Trust Subscriptions from Inception:   $1,311,863,213
Aggregate Series 1 Subscriptions from Inception:   $1,289,849,424

Month	2011		2010		2009		2008		2007		2006
January	(1.64	)%	(2.63	)%	(0.09	)%	1.39	%	1.72	%	6.09	%
February	2.44	%	1.24	%	2.10	%	6.32	%	(3.50	)%	(1.06	)%
March	(3.20	)%	6.13	%	(5.08	)%	(2.52	)%	2.74	%	2.22	%
April			3.40	%	(4.55	)%	(1.21	)%	6.28	%	3.83	%
May			(8.44	)%	(3.66	)%	1.21	%	6.55	%	(6.27	)%
June			(1.69	)%	(2.49	)%	6.17	%	3.16	%	(2.28	)%
July			(0.90	)%	(1.94	)%	(3.33	)%	(4.80	)%	(3.87	)%
August			2.99	%	1.18	%	(4.22	)%	(10.33	)%	(1.53	)%
September			3.54	%	3.88	%	2.96	%	6.49	%	(0.37	)%
October			2.62	%	(3.30	)%	8.52	%	6.15	%	3.72	%
November			(3.44	)%	4.68	%	1.76	%	(3.48	)%	0.26	%
December			6.35	%	(2.40	)%	0.89	%	1.39	%	6.26	%
Compound Rate of Return	(2.46	)%	8.43	%	(11.60	)%	18.48	%	11.26	%	6.34	%
	(3 mos.)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

“Largest %  Monthly Drawdown” is the largest negative monthly rate of return experienced by Series 1.

“Worst Peak-to-Valley Drawdown” is the greatest percentage decline in Net Asset Value of a Series 1 Unit without such Net Asset Value being subsequently equaled or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1% in March and dropped again by 2% in April, a “peak-to-valley drawdown” would be still continuing at the end of April in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown would have ended as of the end of February at the (2)% level.

Monthly Rate of Return for the Trust is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 1 Unit subject to Brokerage Fees at a 7% annual rate, the highest rate applicable to investors in the Trust.

Performance information is calculated on an accrual basis in accordance with generally accepted accounting principles.

19

GLOBAL MACRO TRUST

(Reflecting Series 2 Unit Expenses)
(April 1, 2010 — March 31, 2011)

Type of Pool:  Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:  July 2002
Inception of Series 2 Trading:  April 2010
Total Net Asset Value of the Trust:  $871,124,378
Total Net Asset Value of Series 2:  $130,120
Largest % Monthly Drawdown:  (6.71)% (05/10)
Worst Peak-to-Valley Drawdown:  (8.43)% (04/10-07/10)
Aggregate Trust Subscriptions from Inception:   $1,311,863,213
Aggregate Series 2 Subscriptions from Inception:   $125,530

Month	2011		2010
January	(1.27	)%
February	2.49	%
March	(2.55	)%
April			3.07	%
May			(6.71	)%
June			(1.33	)%
July			(0.52	)%
August			3.07	%
September			3.15	%
October			2.43	%
November			(2.49	)%
December			5.44	%
Compound Rate of Return	(1.39	)%	5.67	%
	(3 mos.)		(9 mos.)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

“Largest %  Monthly Drawdown” is the largest negative monthly rate of return experienced by Series 2.

“Worst Peak-to-Valley Drawdown” is the greatest percentage decline in Net Asset Value of a Series 2 Unit without such Net Asset Value being subsequently equaled or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1% in March and dropped again by 2% in April, a “peak-to-valley drawdown” would be still continuing at the end of April in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown would have ended as of the end of February at the (2)% level.

Monthly Rate of Return for the Trust is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 2 Unit.

Performance information is calculated on an accrual basis in accordance with generally accepted accounting principles.

20

GLOBAL MACRO TRUST
(Reflecting Series 3 Unit Expenses)
(September 1, 2009 — March 31, 2011)

Type of Pool:  Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:  July 2002
Inception of Series 3 Trading:  September 2009
Total Net Asset Value of the Trust:  $871,124,378
Total Net Asset Value of Series 3:  $22,550,255
Largest % Monthly Drawdown:  (6.69)% (05/10)
Worst Peak-to-Valley Drawdown:  (8.38)% (04/10-07/10)
Aggregate Trust Subscriptions from Inception:   $1,311,863,213
Aggregate Series 3 Subscriptions from Inception:   $21,805,519

Month	2011		2010		2009
January	(1.25	)%	(2.23	)%
February	2.50	%	1.64	%
March	(2.53	)%	5.30	%
April			3.09	%
May			(6.69	)%
June			(1.31	)%
July			(0.50	)%
August			3.08	%
September			3.17	%	3.44	%
October			2.45	%	(2.33	)%
November			(2.47	)%	4.07	%
December			5.45	%	(1.62	)%
Compound Rate of Return	(1.33	)%	10.75	%	3.43	%
	(3 mos.)				(4 mos.)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

“Largest %  Monthly Drawdown” is the largest negative monthly rate of return experienced by Series 3.

“Worst Peak-to-Valley Drawdown” is the greatest percentage decline in Net Asset Value of a Series 3 Unit without such Net Asset Value being subsequently equaled or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1% in March and dropped again by 2% in April, a “peak-to-valley drawdown” would be still continuing at the end of April in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown would have ended as of the end of February at the (2)% level.

Monthly Rate of Return for the Trust is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 3 Unit.

Performance information is calculated on an accrual basis in accordance with generally accepted accounting principles.

21

GLOBAL MACRO TRUST
(Reflecting Series 4 Unit Expenses)
(November 1, 2010 — March 31, 2011)

Type of Pool:  Single-Advisor/Publicly-Offered/No Principal Protection
Inception of Trust Trading:  July 2002
Inception of Series 4 Trading:  November 2010
Total Net Asset Value of the Trust:  $871,124,378
Total Net Asset Value of Series 4:  $701,532
Largest % Monthly Drawdown:  (2.90)% (11/10)
Worst Peak-to-Valley Drawdown:  (2.90)% (11/10-11/10)
Aggregate Trust Subscriptions from Inception:   $1,311,863,213
Aggregate Series 4 Subscriptions from Inception:   $700,863

Month	2011		2010
January	(1.08	)%
February	3.02	%
March	(2.66	)%
April
May
June
July
August
September
October
November			(2.90	)%
December			6.95	%
Compound Rate of Return	(0.80	)%	3.85	%
	(3 mos.)		(2 mos.)

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

“Largest %  Monthly Drawdown” is the largest negative monthly rate of return experienced by Series 4.

“Worst Peak-to-Valley Drawdown” is the greatest percentage decline in Net Asset Value of a Series 4 Unit without such Net Asset Value being subsequently equaled or exceeded during the period shown. For example, if the value of a Unit dropped by 1% in each of January and February, rose 1% in March and dropped again by 2% in April, a “peak-to-valley drawdown” would be still continuing at the end of April in the amount of approximately (3)%, whereas if the value of the Unit had risen by approximately 2% or more in March, the drawdown would have ended as of the end of February at the (2)% level.

Monthly Rate of Return for the Trust is the actual monthly rate of return recognized by an initial $1,000 investment in a Series 4 Unit.

Performance information is calculated on an accrual basis in accordance with generally accepted accounting principles.

22

Selected Financial Information

The Selected Financial Information for the years ended December 31, 2010, 2009, 2008, 2007, and 2006 is taken from the audited financial statements of the Trust.

	December 31, 2010			December 31, 2009			December 31, 2008			December 31, 2007			December 31, 2006
Income Statement Data
Investment income:
Interest income	$	3,235,502		$	9,966,151		$	21,273,709		$	26,686,249		$	20,667,947
Expenses:
Total expenses	$	59,857,073		$	66,440,702		$	57,262,896		$	40,243,738		$	32,521,457
Net investment loss	$	(56,621,571	)	$	(56,474,551	)	$	(35,989,187	)	$	(13,557,489	)	$	(11,853,510	)
Realized and unrealized gains (losses):
Net realized gain (losses) on closed positions:
Futures and forward currency contracts	$	87,904,542		$	(49,280,152	)	$	214,035,345		$	92,248,212		$	8,046,715
Foreign exchange translation	$	352,202		$	126,508		$	(848,741	)	$	214,004		$	(452,824	)
Net change in unrealized:
Futures and forward currency contracts	$	42,259,414		$	(9,457,839	)	$	(8,084,164	)	$	(16,622,693	)	$	32,477,829
Foreign exchange translation	$	(302,673	)	$	352,661		$	135,285		$	(45,932	)	$	93,915
Net gains (losses) from U.S. Treasury notes:
Realized	$	16,976		$	526,749		$	—		$	—		$	—
Net change in unrealized	$	(203,035	)	$	(6,705,006	)	$	4,991,515		$	2,467,858		$	583,385
Total net realized and unrealized gains (losses)	$	130,027,426		$	(64,437,079	)	$	210,229,240		$	78,261,449		$	40,749,020
Net income (loss) before Profit Share to Managing Owner	$	73,405,855		$	(120,911,630	)	$	174,240,053		$	64,703,960		$	28,895,510
Less profit share to Managing Owner	$	262,695		$	43,187		$	30,185,853		$	6,459,328		$	114,672
Net income (loss) after Profit Share to Managing Owner	$	73,143,160		$	(120,954,817	)	$	144,054,200		$	58,244,632		$	28,780,838
Net income (loss) after profit share to Managing Owner per Series 1 Unit	$	102.20		$	(159.03	)	$	213.83		$	117.07		$	62.02
Net income after profit share to Managing Owner per Series 2 Unit	$	72.46		$	—		$	—		$	—		$	—
Net income after profit share to Managing Owner per Series 3 Unit	$	131.36		$	40.53		$	—		$	—		$	—
Net income after profit share to Managing Owner per Series 4 Unit	$	50.68		$	—		$	—		$	—		$	—
Balance Sheet Data
Total Assets	$	911,161,872		$	919,457,865		$	1,094,632,891		$	659,394,985		$	507,126,392
Total Liabilities	$	18,236,261		$	40,303,253		$	64,251,530		$	34,637,677		$	21,303,033
Total Trust Capital	$	892,925,611		$	879,154,612		$	1,030,381,361		$	624,757,308		$	485,823,359
Net Asset Value per Series 1 Unit	$	1,314.17		$	1,211.97		$	1,371.00		$	1,157.17		$	1,040.10
Net Asset Value per Series 2 Unit	$	1,350.56		$	—		$	—		$	—		$	—
Net Asset Value per Series 3 Unit	$	1,352.80		$	1,221.44		$	—		$	—		$	—
Net Asset Value per Series 4 Unit	$	1,366.01		$	—		$	—		$	—		$	—

Selected Quarterly Financial Data

The following summarized quarterly financial information presents the results of operations for the three month periods ended March 31, June 30, September 30 and December 31, 2010 and 2009.  This information has not been audited.

	Fourth Quarter 2010		Third Quarter 2010		Second Quarter 2010			First Quarter 2010
Interest Income:	$	673,323	$	769,816	$	859,890		$	932,473
Net Realized and Unrealized Gains (Losses) :	$	61,338,397	$	61,165,422	$	(47,148,630	)	$	54,672,237
Expenses*:	$	15,217,528	$	14,651,364	$	15,015,371		$	15,235,505
Net Income (Loss):	$	46,794,192	$	47,283,874	$	(61,304,111	)	$	40,369,205
Increase (Decrease) in Net Asset Value per Series 1 Unit:	$	67.07	$	67.00	$	(87.86	)	$	55.99
Increase (Decrease) in Net Asset Value per Series 2 Unit:	$	68.14	$	69.83	$	(65.51	)	$	—
Increase (Decrease) in Net Asset Value per Series 3 Unit	$	68.90	$	70.57	$	(64.77	)	$	56.66
Increase in Net Asset Value per Series 4 Unit:	$	50.68	$	—	$	—		$	—

23

	Fourth Quarter 2009			Third Quarter 2009		Second Quarter 2009			First Quarter 2009
Interest Income:	$	502,161		$	1,660,987	$	3,670,612		$	4,132,391
Net Realized and Unrealized Gains (Losses) :	$	4,931,553		$	42,368,678	$	(93,241,729	)	$	(18,495,581	)
Expenses*:	$	15,602,802		$	15,980,704	$	16,712,030		$	18,188,353
Net Income (Loss):	$	(10,169,088	)	$	28,048,961	$	(106,283,147	)	$	(32,551,543	)
Increase (Decrease) in Net Asset Value per Series 1 Unit:	$	(14.77	)	$	36.56	$	(137.28	)	$	(43.54	)
Increase (Decrease) in Net Asset Value per Series 3 Unit	$	(0.13	)	$	40.66	$	—		$	—

*  Expenses are inclusive of accruals and reversals of accruals of profit share to the Managing Owner.

There were no extraordinary, unusual or infrequently occurring items recognized in any quarter reported above, and the Trust has not disposed of any segments of its business.

Managing Owner’s Discussion and Analysis of Financial Condition and Results of Operations

Results of Operations

General

The Trust was organized on July 23, 2001 under the Delaware Statutory Trust Act and commenced trading operations July 1, 2002.

The Trust’s success depends on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner’s trading methods do not predict price movements, nor do they rely on fundamental economic supply or demand analysis or on macroeconomic assessments of the relative strengths of different national economies or economic sectors. Instead, the systems apply proprietary computer models to analyzing past market data, and from this data alone attempt to determine whether market prices are trending. Technical traders such as the Managing Owner base their strategies on the theory that market prices reflect the collective judgment of numerous different traders and are, accordingly, the best and most efficient indication of market movements.  However, there are frequent periods during which fundamental factors external to the market dominate prices.

If the Managing Owner’s models identify a trend, they signal positions which follow it. When these models identify the trend as having ended or reversed, these positions are either closed out or reversed. Due to their trend-following character, the Managing Owner’s systems do not predict either the commencement or the end of a price movement. Rather, their objective is to identify a trend early enough to profit from it and to detect its end or reversal in time to close out the Trust’s positions while retaining most of the profits made from following the trend.

In analyzing the performance of the Managing Owner’s trend-following systems, economic conditions, political events, weather factors, etc., are not directly relevant because the Managing Owner uses only market data in developing its systems. Additionally, in general there is no direct connection between particular market conditions and price trends. There are so many influences on the markets that the same general type of economic event may lead to a price trend in some cases but not in others. Further, even if significant price trends do occur, if these trends are not comprised of the type of price movements which the systems are designed to identify, the Managing Owner may not position the Trust to profit from or avoid losses due to the trend. Moreover, there have been prolonged periods in the futures markets without significant price movements, as well as markets, in which prices appear to be moving in one direction but then quickly reverse. Such periods may recur with considerable frequency, and the Managing Owner would expect it to be very difficult to achieve profitability in such markets.

The performance summary set forth below is an outline description of how the Trust performed in the past trading in a wide variety of markets.  The Trust’s futures and currency forward contract prices are marked-to-market every trading day, and the Trust’s trading accounts are credited or debited with its daily gains or losses. Accordingly, there is no material economic distinction between realized gains or losses on closed positions and unrealized gains or losses on open positions. The Trust’s past performance is not necessarily indicative of how it will perform in the future.

Performance Summary

2010

During 2010, the Trust achieved net realized and unrealized gains of $130,027,426 from its trading operations (including foreign exchange transactions and translations).  Brokerage fees of $57,320,175, administrative expenses of $2,233,354, custody fees of $160,011, and management fees of $143,533 were paid or accrued.  The Trust allocated $262,695 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.  Interest income of $3,235,502 partially offset the Trust’s expenses resulting in a net gain after profit share to the Managing Owner of $73,143,160.

24

An analysis of the Trust’s trading gain (loss) by sector is as follows:

Sector	% Gain (Loss)
Currencies	3.19	%
Energies	(0.60	)%
Grains	1.74	%
Interest Rates	9.35	%
Livestock	(0.04	)%
Metals	1.65	%
Softs	0.90	%
Stock Indices	0.04	%
Total	16.23	%

The Trust produced a gain for the full year 2010 as profits in the early spring and from late summer to year-end outdistanced losses suffered when the European debt crisis was at its height in the May-July period.  Gains from trading interest rate futures led the way, although trading of currencies, metals, grains and soft commodity futures also generated attractive profits.  Meanwhile, energy trading resulted in a modest loss while equity futures trading was essentially flat as gains during the last six months offset losses from the first half.

One persistent influence on market activity throughout the year was the U.S. Federal Reserve’s easy monetary policy as evidenced by near zero official short term interest rates and continuous liquidity injections via the first and second rounds of quantitative easing.  Against this background, long positions in U.S., British and European bond, note and short-term interest rate futures were highly profitable during the first three quarters of the year.  In the October-December period, however, concerns about massive government borrowing requirements in developed economies — underscored by the agonizing spread of the European debt crisis — and future inflation triggered a substantial uptick in rates that led to widespread losses on long interest rate futures positions.  The fact that a number of countries, including China, India and Australia, tightened their monetary policies to combat incipient inflation added to upward interest rate pressures.

Foreign exchange trading was profitable with both dollar and non-dollar cross rate components generating gains.  In particular, short dollar positions versus growth-oriented and commodity currencies of countries such as Brazil, Columbia, India, Indonesia, Mexico, South Africa and Singapore were profitable.  In the cross rate component, short Euro positions relative to a variety of currencies registered gains as did a short Euro/long U.S. dollar trade.

Long positions in precious metals were profitable as they benefitted from the flight to safety demand whenever the Euro crisis flared, and from improving optimism about growth toward year-end.  Trading of aluminum, lead and zinc, on the other hand, produced losses as industrial metal prices vacillated on the ebb and flow of growth prospects throughout the year.

The weak U.S. dollar, improving growth prospects, particularly in the fourth quarter, and supply concerns caused by a variety of weather conditions — too much or too little rain, too hot or not hot enough —boosted agricultural markets, producing gains from long positions in corn, wheat and the soybean complex.  Long coffee and cotton trades were also profitable, while trading of cocoa and sugar produced small losses.

Energy trading was unprofitable as prices for crude oil and products oscillated without direction at least until late in the year when they began an advance.  Short natural gas positions did produce a modest gain that offset some of these losses.

Equity trading was marginally negative, although performance across time and across countries was quite disparate.  During the first half of 2010 a number significant events including the growing recognition of the European debt crisis, worries about tighter policy from China, the May 6 “flash crash”, the North/South Korea confrontations and the sustainability of incipient global growth produced losses from equity futures trading.  During the last six months as growth prospects became more solid and as the liquidity from the U.S. Federal Reserve underpinned confidence, gains from equity trading largely offset the earlier losses.  By country, long positions in Indian, Thai, Singaporean, Taiwanese, Korean, U.S., German, U.K., Swedish and Canadian equity futures were profitable.  On the other hand, trading the equities of China, Hong Kong, Spain, Italy, Japan and Australia produced losses.

2009

During 2009, the Trust achieved net realized and unrealized losses of $64,437,079 from its trading operations (including foreign exchange transactions and translations).  Brokerage fees of $63,566,376, administrative expenses of $2,670,335, custody fees of $193,127, and management fees of $10,864 were paid or accrued.  The Trust allocated $43,187 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.  Interest income of $9,966,151 partially offset the Trust’s expenses resulting in a net loss after profit share to the Managing Owner of $120,954,817.

An analysis of the Trust’s trading gain (loss) by sector is as follows:

25

Sector	% Gain (Loss)
Currencies	(0.67	)%
Energies	(2.28	)%
Grains	(0.71	)%
Interest Rates	(2.14	)%
Livestock	0.20	%
Metals	(1.02	)%
Softs	0.05	%
Stock Indices	1.23	%
Total	(5.34	)%

The Trust produced an overall loss during 2009.  Losses from trading energy, interest rate, metal, and grain futures and dollar currency forwards outweighed gains from trading stock index and livestock futures and non-dollar currency crosses.

From January into early March, in the wake of the subprime crisis and subsequent credit crunch and amidst concern about the leadership of U.S. economic policy following the elections, economic activity was slowing precipitously worldwide.  In this environment, stock indices and commodity prices were falling. Also, as risk aversion remained widespread, a flight to safety and quality produced a rising U.S. dollar, declining high yield currencies, and a flood of funds into government fixed income instruments, and highly liquid investments.  Broadly speaking, these conditions had persisted from October 2008 into early March 2009.  Consequently, the Trusts’ short stock index, short commodity, long dollar, and long interest rate futures positions were profitable early in 2009.

Around March 10, market participants’ attitudes seemed to change abruptly.  First, equity prices rose.  Then commodity prices moved upward.  Also, the U.S. dollar started to fall and longer term interest rates rose.  The positions which had been profitable for so long began to generate losses.  These positions were reduced gradually as the Managing Owner’s models processed the new data.  However, since trend following strategies accounted for over two-thirds of the program models and since the average trade duration of trend strategies is over 6 months, it was not until the summer when the positions were reduced, completely closed and, in many instances, reversed.

During the third quarter of 2009, the financial markets led the way to profitable results.  Short positions in the U.S. dollar and a number of other currencies versus higher yielding and commodity based currencies were profitable.  Long stock index futures positions and long interest rate futures positions added to the gains.  The weak U.S. dollar also led to gains from long positions in precious metals.  In the agricultural sector, short wheat and long sugar trades were profitable.

During the fourth quarter of 2009, improving economic prospects, especially in the U.S. and Asia led to gains from long stock index futures positions in the U.S., South Africa, Norway and Asia-ex Japan.   This growth improvement produced profits from long precious and industrial metals positions, but also led to higher interest rates which brought losses from long interest rate futures positions. Long positions in sugar and cotton were profitable, but as grain prices rose, reversing earlier downtrends, long grain positions lost money.

2008

During 2008, the Trust achieved net realized and unrealized gains of $210,229,240 from its trading operations (including foreign exchange translations and Treasury obligations).  Brokerage fees of $54,511,974, administrative expenses of $2,590,867 and custody fees of $160,055 were paid or accrued.  The Trust allocated $30,185,853 in profit share to the New Profits Memo Account for the benefit of the Managing Owner.  Interest income of $21,273,709 partially offset the Trust’s expenses resulting in a net gain after profit share to the Managing Owner of $144,054,200.

An analysis of the trading gain by sector is as follows:

Sector	% Gain
Currencies	4.34	%
Energies	6.43	%
Grains	2.64	%
Interest Rates	3.43	%
Livestock	0.96	%
Metals	2.92	%
Softs	0.61	%
Stock Indices	6.44	%
Total	27.77	%

The Trust registered a strong gain during 2008.  All major sectors — stock indices, currencies, interest rates, energy, metals and agricultural commodities —contributed profits.

The ongoing financial and economic turmoil triggered by the U.S. housing and mortgage crises and subsequent credit crunch exploded with international ramifications throughout the year.  Central banks in the developed countries made more money available against a broader range of collateral to a wider group of financial firms than ever before.  In the U.S., increasing evidence of problems for the real economy deriving from the

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financial market freeze-up prompted the U.S. Federal Reserve to announce dramatic cuts in the federal funds and discount rates, and to initiate a series of liquidity enhancing programs.  Extraordinary events during the year included the U.S. Government’s seizures of Fannie Mae and Freddie Mac and bailout and substantial takeover of AIG Insurance, the bankruptcy of Lehman Brothers, “breaking the buck” by a major institutional money market fund, the rescues and sales of Bear Stearns, Washington Mutual, Wachovia and Merrill Lynch in the U.S. and several major financial institutions in Europe, the provision of preferred equity by the Treasury to troubled U.S. financial institutions and the Treasury’s U.S. auto industry bailout.

In this environment, worldwide inflation and growth dynamics changed markedly during the year.  Concerns about stagflation with the worst growth slowdown in the U.S. characterized the first half of 2008, but were replaced during the second half by worries about global deflation, recession and perhaps even depression as the world’s financial system seized up and nearly ground to a halt.  In response to margin calls, the loss of credit facilities, and to avoid insolvency, market participants unwound risky trades, reduced leverage massively, and sought liquidity and safety.  Against this background, price trends in some sectors — equities and interest rates — though volatile, were sustained for much of the year.  In other sectors — currencies and commodities — trends reversed abruptly.

Short stock index futures positions throughout most of Europe, the U.S., Japan and non-Japan Asia produced gains, particularly during the second half of 2008.

Long positions in U.S., Australian and Canadian long term and short term interest rate futures were profitable, while trading of European futures was somewhat unprofitable.

Foreign exchange rates were volatile.  Early in the year the U.S. dollar was under persistent pressure and short dollar trades were profitable.  Over the summer, as the flight to safety commenced, these short trades lost money and dollar positions were reversed to long trades.  These long dollar positions produced gains over the last several months of 2008.  During the first half of the year, carry trades — being long high interest rate currencies —were profitable.  Later, however, as risky trades were unwound, these carry trades produced losses and were reversed.  Near year-end these short positions in high yield currencies were profitable.

Commodity prices overall exhibited broad swings.  Energy prices experienced a strong upward thrust with crude oil hitting successive new all time highs into early July.  Thereafter, energy prices collapsed.  As a result, long energy positions were very profitable in the January-June period, produced losses and were reversed to short positions over the summer, and short energy positions were profitable in the fourth quarter.  Returns from metals trading were also volatile: strong gains from generally long positions in the January-June period were offset by losses over the summer, which were followed by strong gains from short industrial metals positions during the fourth quarter.  Trading of agricultural commodities followed a similar pattern.  Long positions at first produced profits, but then generated losses as they were reversed to short positions which subsequently produced profits.

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 and forward contracts, and may trade swap and options contracts, on interest rates, commodities, currencies, metals, energy and stock indices.  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 over-the-counter 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 over-the-counter transactions, on the other hand, traders must rely 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 over-the-counter markets.

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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, generally within a range of 5% to 35% of an account’s Net Assets at exchange minimum margins (including imputed margins on forward and swap positions), although the amount committed to margin at any time may be higher or lower; (4) prohibiting pyramiding — that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (5) changing the equity utilized for trading by an account solely on a controlled periodic basis rather than as an automatic consequence of an increase in equity resulting from trading profits.  The Trust controls credit risk by dealing 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 and forward contracts or the Trust’s satisfaction of the obligations may exceed the amount recognized in the Statement 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 United States government obligations, while the Trust maintains its market exposure through open futures and forward 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 important, 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 and forward 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 and forward trading, the Trust’s assets are highly liquid and are expected to remain so.  During 2010, 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 and forward currency 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 swap contracts are recorded at fair value based on the closing settlement price for equivalent or similar futures positions that are traded on an exchange on the day with respect to which Net Assets are being determined.  Open forward currency contracts are recorded at fair value, based on pricing models that consider the current market prices (“Spot Prices”) plus the time value of money (“Forward Points”) and contractual prices of the underlying financial instruments.  The Spot Prices and Forward Points for open forward currency contracts are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect to which Net Assets are being determined.  The Forward Points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign currency contracts traded by the Trust may be in between these periods.

The Managing Owner’s policy is to calculate the Forward Points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of Forward Points for the applicable forward currency contract.  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.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported

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in the financial statements.  Based on the nature of the business and operations of the Trust, the Managing Owner believes that the estimates utilized in preparing the Trust’s financial statements are appropriate and reasonable, however actual results could differ from these estimates.  The estimates used do not provide a range of possible results that would require the exercise of subjective judgment.  The Managing Owner further believes that, based on the nature of the business and operations of the Trust, no other reasonable assumptions relating to the application of the Trust’s critical accounting estimates other than those currently used would likely result in materially different amounts from those reported.

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 and forward currency contracts, both long (contracts to buy) and short (contracts to sell).  All such contracts are settled by offset, not delivery.  Substantially all such contacts 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 future and forward currency contracts, both long and short, at December 31, 2010 and 2009.

QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Introduction

Past Results Are Not Necessarily Indicative of Future Performance

The Trust is a speculative commodity pool. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.

Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. 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 can rapidly acquire and/or liquidate both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.

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 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).

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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 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 tables indicate the average, highest and lowest amounts of trading Value at Risk associated with the Trust’s open positions by market category for the fiscal years ended December 31, 2010 and 2009.  During fiscal years 2010 and 2009, the Trust’s average total capitalization was approximately $865.9 million and $952.2 million, respectively.

	Fiscal Year 2010
Market Sector	Average Value at Risk		% of Average Capitalization		Highest Value At Risk		Lowest Value At Risk
Currencies	$	45.5	5.2	%	$	59.6	$	19.6
Energies	$	8.2	0.9	%	$	9.8	$	5.2
Grains	$	5.7	0.7	%	$	6.3	$	4.4
Interest Rates	$	24.7	2.9	%	$	33.0	$	13.0
Livestock	$	0.7	0.1	%	$	0.8	$	0.5
Metals	$	8.8	1.0	%	$	9.4	$	8.1
Softs	$	2.6	0.3	%	$	3.1	$	2.1
Stock Indices	$	39.3	4.5	%	$	52.4	$	22.8
Total	$	135.5	15.6	%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year.  Average Capitalization is the average of the Trust’s capitalization at the end of each month during the fiscal year 2010.  Dollar amounts represent millions of dollars.

	Fiscal Year 2009
Market Sector	Average Value at Risk		% of Average Capitalization		Highest Value At Risk		Lowest Value At Risk
Currencies	$	22.8	2.4	%	$	34.9	$	12.7
Energies	$	9.4	1.0	%	$	13.5	$	4.8
Grains	$	4.8	0.5	%	$	5.9	$	3.8
Interest Rates	$	29.1	3.0	%	$	40.9	$	14.9
Livestock	$	1.2	0.1	%	$	1.3	$	1.0
Metals	$	8.8	0.9	%	$	11.8	$	4.2
Softs	$	4.6	0.5	%	$	6.8	$	3.5
Stock Indices	$	41.5	4.4	%	$	64.0	$	12.6
Total	$	122.2	12.8	%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts during the fiscal year.  Average Capitalization is the average of the Trust’s capitalization at the end of each month during the fiscal year 2009.  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

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maintains a portion (over 5%) of its assets in cash in interest-bearing bank accounts.  These cash balances are also subject (as well as any market risk they represent) to cash flow risk, which is not material.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Trust’s market risk exposures—except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Managing Owner manages the Trust’s primary market risk exposures—constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk exposures as well as the strategies used and to be used by the Managing Owner for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.

The following were the primary trading risk exposures of the Trust as of December 31, 2010, by market sector (see pages 16-17 for a complete list of futures and forward contracts traded).

Financial Instruments.  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 the United States and other major industrialized, or Group of Seven (Canada, France, Germany, Italy, Japan, the United Kingdom and the United States, collectively, “G-7”) countries.  However, the Trust also may take positions in futures contracts on the government debt of other nations.  The Managing Owner anticipates that G-7 interest rates, both long-term and short-term, will remain a primary market exposure of the Trust for the foreseeable future.

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.

Stock Indices.  The Trust’s equity exposure, through stock index futures, is to equity price risk in the G-7 countries as well as other countries.

Metals.  The Trust trades precious and base metals.

Agricultural.  The Trust’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions.

Energy.  The Trust’s primary energy market exposure is to gas and oil price movements, often resulting from political developments in the Middle East and economic conditions worldwide.  Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the only non-trading risk exposures of the Trust as of December 31, 2010.

Foreign Currency Balances.  The Trust’s primary foreign currency balances are in Australian Dollars, British Pounds, Canadian Dollars, Euros, Japanese Yen and Swiss Francs.  The Trust controls the non-trading risk of these balances by regularly converting these balances back into U.S. dollars (no less frequently than twice a month).

Securities Positions.  The Trust’s only market exposure in instruments held other than for trading is in its securities portfolio.  The Trust holds only cash or interest-bearing, credit risk-free, short-term paper — typically U.S. Treasury instruments with durations no longer than 1 year.  Violent fluctuations in prevailing interest rates could cause immaterial mark-to-market losses on the Trust’s securities, although substantially all of these short-term instruments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The Managing Owner attempts to control risk through the systematic application of its trading method,

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which includes a multi-system approach to price trend recognition, an analysis of market volatility, the application of certain money management principles, which may be revised from time to time, and adjusting leverage or portfolio size. In addition, the Managing Owner limits its trading to markets which it believes are sufficiently liquid in respect of the amount of trading it contemplates conducting.

The goal of the Managing Owner’s research has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain overall portfolio risk within a targeted range while allowing exposure to profitable trend opportunities.  Over more than 30 years, the Managing Owner has developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular market based on the direction of price movements in the market.

Of course, systems can be materially different — better in some periods and worse in others.  The main distinguishing features are time-frame over which systems work (intra-day to long-term), the type of data fed into them (granularity [ticks to weeks/months], type [market or economic statistics], source [cash, futures or options markets]), and the objective of the system (profiting from trends, trading-ranges or volatility).  No single approach will work all the time.  Therefore, the Managing Owner’s objective is to have several approaches operating at all times.  Since the early 1980s, the Managing Owner has selected multiple systems for each market.

When arriving at the portfolio allocation, the Managing Owner seeks maximum diversification subject to liquidity constraints.  The markets traded and allocations are reviewed monthly, although changes may occur less frequently.  The following factors are considered in constructing a universe of markets to trade for each portfolio:  profitability, correlation of market performance, liquidity of markets, professional judgment, desired diversification and transaction costs.  Once the universe of markets is established, the Managing Owner’s simulation and optimization techniques help determine which markets to include in the portfolio.  The current allocation to any market in the portfolio does not exceed 2.5% of total market exposure.

In attempting to assess market volatility as a means of monitoring and evaluating risk, the Managing Owner uses its volatility overlay as a part of individual market risk management.  This system is designed to measure the risk in the portfolio’s position in each market and signals a decrease in position size when risk increases and an increase in position size when risk decreases.  The Managing Owner’s volatility overlay maintains overall portfolio risk and distribution of risk across markets within designated ranges.  It is applied to the systematic strategies described above.  A secondary benefit of the volatility overlay can be timely profit taking.  Because markets tend to become more volatile after a profitable trend has been long underway, the volatility overlay often signals position reductions before trend reversals.

In addition to the volatility overlay, the Managing Owner’s risk management focuses on money management principles applicable to the portfolio as a whole such as portfolio diversification and control of leverage and portfolio size.  There are, however, no restrictions on the amount of leverage the Managing Owner may use at any time.

Additional money management principles applicable to the portfolio as a whole include: (1) limiting the assets committed as margin, generally within a range of 5% to 35% of an account’s Net Assets at exchange minimum margins (including imputed margins on forward and swap positions), although the amount committed to margin at any time may be higher or lower; (2) prohibiting pyramiding — that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3) changing the equity utilized for trading by an account solely on a controlled periodic basis rather than as an automatic consequence of an increase in equity resulting from trading profits.

Another important risk management function is the careful control of leverage or portfolio size.  Leverage levels are determined by simulating the entire portfolio — all markets, all systems, all risk control overlays, the exact weightings of the markets in the portfolio and the proposed level of leverage — over the past five or ten years to determine the worst case experienced by the portfolio in the simulation period.

The worst case or peak-to-trough drawdown is measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the daily high.  If the Managing Owner considers the drawdown too severe, it reduces the leverage or portfolio size.  There are, however, no restrictions on the amount of leverage the Managing Owner may use at any given time.

THE MANAGING OWNER

Millburn Ridgefield Corporation

The Managing Owner, Millburn Ridgefield Corporation, is a Delaware corporation operating in Greenwich, Connecticut, organized in May 1982 to manage discretionary accounts in futures and forward markets.  It is the corporate successor to a futures trading and advisory organization which has been continuously managing assets in the currency and futures markets using quantitative, systematic techniques since 1971.  As of March 31, 2011, the Managing Owner, together with its affiliates, was managing approximately $2.3 billion in

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currencies, financial and commodity futures and other alternative strategies.

The value of the Managing Owner’s investment in the Trust as of March 31, 2011 was $10,835,858.

Background and Management

The Managing Owner has been registered with the CFTC as a “commodity pool operator” since July 1, 1982 and as a “commodity trading advisor” since September 13, 1984, and has been a member of the National Futures Association (“NFA”) since July 1, 1982.  The Managing Owner is the successor to the trading advisory and commodity pool operator functions of Millburn Partners and CommInVest Research Limited Partnership (“CommInVest”), which served as the general partners of various public commodity pools and both of which are or were affiliates of The Millburn Corporation.  The Millburn Corporation operating in New York, is an affiliate of the Managing Owner, and performs certain functions for the Managing Owner, including research, trading, technology, operations, accounting, tax, legal, compliance, human resources and administration services.  ShareInVest Research L.P. (“ShareInVest”), an affiliate of the Managing Owner, managed U.S. small capitalization growth stock hedge funds and ceased operations as of December 31, 2007.  There have never been, nor are there pending or on appeal, any administrative, civil or criminal actions against the Managing Owner or its principals or affiliates.  The registration of the Managing Owner with the CFTC must not be taken as an indication that this agency has recommended or approved either the Managing Owner or the Trust.

The core of the Managing Owner’s business centers on its Systematic Futures & Currency Investment Process (the “Investment Process”).  The Investment Process is overseen by the Managing Owner’s Investment Committee.  The Investment Committee is comprised of the General Partner’s senior principals.  The Investment Process is coordinated among highly skilled teams from The Millburn Corporation that are responsible for research, data management, system implementation, trade execution and market intelligence.  The Investment Process includes, among other functions, system design, modeling and the Managing Owner’s risk management.

The Managing Owner was among the first systematic money managers to begin building a comprehensive in-house computerized database, and this database has been enhanced and updated continuously since its introduction in 1975.  Over the years, with advancements in software and storage technology, the database has been expanded to include terabytes of tick and other data.  The Managing Owner and The Millburn Corporation utilize software applications to collect this data efficiently and have developed several proprietary software tools that they believe enhances their ability to filter the data and generate simulations, trading signals and new trading models.  The robustness of the data is supported by multiple data feeds from independent third party vendors and by the continuous back up and redundancy of data between the two different geographical locations.

Other key components of the Investment Process include trade execution and market intelligence.  Currently, the Managing Owner executes most of its trades in the futures markets electronically.  The Managing Owner believes electronic trading has been instrumental in making the trading operation more efficient and cost effective.  The trading team’s experience allows them to provide feedback to the research team which is critical in monitoring the markets (e.g., liquidity, credit, sovereign issues, etc.) and in the development of trading algorithms.

The Millburn Corporation’s professionally managed back office infrastructure supports the Managing Owner’s Investment Process.   The infrastructure consists of legal, compliance, fund accounting, tax, human resources, technology, marketing and administrative departments.   The Managing Owner and The Millburn Corporation have a strong focus on internal controls and risk management to ensure that all accounts are reconciled daily, the portfolio is priced accurately using independent pricing sources, assets are safeguarded at independent counterparties, and there is adequate separation of duties among employees.  A suite of risk management tools are used to monitor various items such as counterparty credit risk, liquidity in the markets traded, targeted risk levels, margin and performance attribution.

Communication between the Managing Owner and its investors is maintained by the investor services department, which provides investors with insight into the trading methodology, current market conditions and performance of their investments.

The background of each of the principals and senior officers of the Managing Owner and its affiliates who perform services on the Managing Owner’s behalf is set forth below.  The principals of the Managing Owner responsible for investment decisions on behalf of the Trust are Harvey Beker, George E. Crapple, Barry Goodman, Grant N. Smith, Gregg R. Buckbinder, Mark B. Fitzsimmons and Dennis B. Newton.

Harvey Beker, age 57.   Mr. Beker is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and The Millburn Corporation.  He received a Bachelor of Arts degree in economics from New York University (“NYU”) in 1974 and a Master of Business Administration degree in finance from NYU in 1975.  From June 1975 to July 1977, Mr. Beker was employed by the investment bank Loeb Rhoades, Inc. where he

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developed and traded silver arbitrage strategies.  From July 1977 to June 1978, Mr. Beker was a futures trader at the commodities, brokerage and securities firm of Clayton Brokerage Co. of St. Louis.  Mr. Beker has been employed by The Millburn Corporation since June 1978 and initially served as the Director of Operations for its affiliate, Millburn Partners.  During his tenure at the Managing Owner (including its affiliates, Millburn Partners and CommInVest) he has been instrumental in the development of the research, trading and operations areas.  Mr. Beker became a principal of the firm in June 1982, and a partner in the predecessor to ShareInVest in April 1982.  Mr. Beker became registered with NFA as an Associated Person of the Managing Owner effective November 25, 1986.  Additionally, he became listed with NFA as a principal and registered with NFA as an Associated Person of The Millburn Corporation effective February 8, 1984 and May 23, 1989, respectively.  Mr. Beker was listed with NFA as a Principal and registered with NFA as an Associated Person of ShareInVest effective February 20, 1986 until February 25, 2007.

George E. Crapple, age 67.   Mr. Crapple is Co-Chief Executive Officer and Co-Chairman of the Managing Owner and The Millburn Corporation.  In 1966, he graduated with honors from the University of Wisconsin where his field of concentration was economics and he was elected to Phi Beta Kappa.  In 1969 he graduated from Harvard Law School, magna cum laude, where he was a member of the Harvard Law Review.  He was a lawyer with the law firm of Sidley & Austin, Chicago, Illinois, from June 1969 until April 1, 1983, as a partner since July 1975, specializing in commodities, securities, corporate and tax law.  He was first associated with the Managing Owner in June 1976 and joined the Managing Owner and The Millburn Corporation (including its affiliates, Millburn Partners and CommInVest) on April 1, 1983 on a full-time basis.  He became a partner in ShareInVest in April 1984.  Mr. Crapple is a Director, Member of the Executive Committee, Chairman of the Appeals Committee and a former Chairman of the Eastern Regional Business Conduct Committee of the NFA, past Chairman of the Managed Funds Association, a member of the Global Markets Advisory Committee of the CFTC and a member of the board of directors of the Futures Industry Association (“FIA”).  Mr. Crapple became listed with NFA as a Principal and registered with NFA as an Associated Person of the Managing Owner effective September 13, 1984 and April 2, 1988, respectively.  Additionally, he became listed with NFA as a Principal and registered with NFA as an Associated Person of The Millburn Corporation effective April 9, 1981 and May 23, 1989, respectively.  He was also listed with NFA as a Principal and registered with NFA as an Associated Person of ShareInVest effective February 20, 1986 until February 25, 2007.

Barry Goodman, age 53.   Mr. Goodman is Executive Vice-President, Director of Trading and a member of the Research Committee of the Managing Owner and The Millburn Corporation.  Mr. Goodman joined the Managing Owner and The Millburn Corporation (including its affiliate, Millburn Partners) in November 1982 as Assistant Director of Trading.  His responsibilities include overseeing the firm’s trading operations and managing its trading relationships, as well as the design and implementation of trading systems.  From September 1980 through October 1982, he was a commodity trader at the brokerage firm of E. F. Hutton & Co., Inc. (“E.F. Hutton”).  At E.F. Hutton, he also designed and maintained various technical indicators and coordinated research projects pertaining to futures markets.  Mr. Goodman graduated magna cum laude from Harpur College of the State University of New York in 1979 with a B.A. in economics.  Mr. Goodman became listed with NFA as a Principal and registered with NFA as an Associated Person of the Managing Owner effective December 19, 1991 and May 23, 1989, respectively.  He also became listed with NFA as a Principal and registered with NFA as an Associated Person of The Millburn Corporation effective June 20, 1995 and April 5, 1989, respectively.  He became a partner in ShareInVest in January 1994.  Mr. Goodman was listed with NFA as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

Grant N. Smith, age 59.   Mr. Smith is Executive Vice-President and Director of Research of the Managing Owner and The Millburn Corporation.  He is responsible for the design, testing and implementation of quantitative trading strategies, as well as for planning and overseeing the computerized decision-support systems of the firm.  He received a B.S. degree from the Massachusetts Institute of Technology (“MIT”) in 1974 and an M.S. degree from MIT in 1975.  While at MIT, he held several teaching and research positions in the computer science field and participated in various projects relating to database management.  He joined the predecessor entity to The Millburn Corporation in June 1975, and has been continuously associated with the Managing Owner, The Millburn Corporation and their affiliates since that time.  Mr. Smith became listed with NFA as a Principal and registered with NFA as an Associated Person of the Managing Owner, effective December 19, 1991 and April 15, 2009, respectively.  He became listed with NFA as a Principal and registered with NFA as an Associated Person of The Millburn Corporation effective June 20, 1995 and May 21, 1992, respectively.  Mr. Smith became a partner in ShareInVest in January 1994.  He also was listed with NFA as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

Gregg R. Buckbinder, age 52.   Mr. Buckbinder is Senior Vice-President and Chief Operating Officer of the Managing Owner and The Millburn Corporation.  He

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joined the Managing Owner and The Millburn Corporation in January 1998 from Odyssey Partners, L.P., an investment management firm, where he was responsible for the operation, administration and accounting of the firm’s merchant banking and managed account businesses from July 1990 through December 1997.  Mr. Buckbinder was employed by Tucker Anthony, a securities broker and dealer, from June 1985 to July 1990 where he was First Vice President and Controller, and from August 1983 to June 1984 where he designed and implemented various operations and accounting systems.  He was with the public accounting firm of Ernst & Whinney from June 1984 to June 1985 as a manager in the tax department and from September 1980 to August 1983 as a senior auditor, with an emphasis on clients in the financial services business.  Mr. Buckbinder graduated cum laude from Pace University (“Pace”) in 1980 with a B.B.A. in accounting and received an M.S. in taxation from Pace in 1988.  He is a Certified Public Accountant and a member of the American Institute of Certified Public Accountants.  Mr. Buckbinder became listed with NFA as a Principal of the Managing Owner effective February 5, 1999.  He became listed with NFA as a Principal of The Millburn Corporation effective March 23, 1998.  Mr. Buckbinder became a partner in ShareInVest in January 2000.  Mr. Buckbinder was also listed with NFA as a Principal of ShareInVest effective February 28, 2001 until February 25, 2007.

Steven M. Felsenthal, age 41.  Mr. Felsenthal is General Counsel and Chief Compliance Officer of the Managing Owner and The Millburn Corporation.  Prior to joining the Managing Owner and its affiliates in January 2004, Mr. Felsenthal was a senior associate in the investment management group at the law firm of Schulte Roth & Zabel LLP (September 1999-January 2004) where he represented and advised hedge funds, registered investment companies, investment advisers, broker-dealers and banks in connection with all facets of their asset management businesses, and a member of the tax department of the law firm of Kramer, Levin, Naftalis & Frankel LLP (October 1996-September 1999).  He graduated cum laude from Yeshiva University in 1991 with a B.A. in political science, and order of the coif from Fordham University School of Law in 1996, where he also served as an editor of the Fordham Environmental Law Journal.  Mr. Felsenthal received an LL.M degree in taxation from NYU School of Law in 2001 and has written and been quoted in numerous published articles, and frequently speaks at conferences, on various topics related to investment management.  Mr. Felsenthal is a member of the New York State Bar (since August 1997), former Chairman of the hedge fund industry group Managed Funds Association CPO/CTA Advisory Committee (November 2006 to June 2010) and is currently a member of the Steering Committee of the Management Funds Association CPO/CTA Forum (since June 2010), a member of the Editorial Board of the Journal of Securities Law, Regulation and Compliance (since February 2007) and a faculty member of the Regulatory Compliance Association’s Chief Compliance Officer University (since May 2009).  Mr. Felsenthal became listed with NFA as a Principal of the Managing Owner and The Millburn Corporation effective June 24, 2004.  Mr. Felsenthal also served as General Counsel and Chief Compliance Officer of ShareInVest.

Mark B. Fitzsimmons, age 63. Mr. Fitzsimmons is a Senior Vice-President of the Managing Owner and The Millburn Corporation.  His responsibilities include both business development and investment strategy.  He joined the Managing Owner and its affiliates in January 1990 from the brokerage firm of Morgan Stanley & Co. Incorporated, a global financial services firm, where he was a Principal and Manager of institutional foreign exchange sales and was involved in strategic trading for the firm from October 1987 until January 1990.  From September 1977 to October 1987 he was with the financial institution Chemical Bank New York Corporation (“Chemical”) first as a Senior Economist in Chemical’s Foreign Exchange Advisory Service and later as a Vice-President and Manager of Chemical’s Corporate Trading Group.  While at Chemical he also traded both foreign exchange and fixed income products.  From September 1973 to September 1977 Mr. Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing his time between the International Research Department and the Foreign Exchange Department.  He graduated summa cum laude from the University of Bridgeport, Connecticut in 1970 with a B.S. degree in economics.  His graduate work was done at the University of Virginia, where he received a certificate of candidacy for a Ph.D. in economics in 1973.  Mr. Fitzsimmons became listed with NFA as a Principal and registered with NFA as an Associated Person of the Managing Owner effective July 2, 1993, and April 15, 2009, respectively.  He became listed with NFA as a Principal and registered with NFA as an Associated Person of The Millburn Corporation effective June 20, 1995 and October 12, 1992, respectively.  Mr. Fitzsimmons was a partner in ShareInVest beginning in January 2000.  Mr. Fitzsimmons was listed with NFA as a Principal of ShareInVest effective May 19, 1999 until February 25, 2007.

Dennis B. Newton, age 59.  Mr. Newton is a Senior Vice-President of the Managing Owner and The Millburn Corporation.  His primary responsibilities are in administration and business development.  Prior to joining the Managing Owner and The Millburn Corporation in September 1991, Mr. Newton was President of Phoenix Asset Management, Inc., a registered commodity pool operator from April 1990 to August 1991 and President of its affiliated introducing broker, Phoenix Futures Inc. (“Phoenix”), from March 1990 to June 1991.  Mr. Newton was listed with NFA as a Principal of Phoenix Asset Management, Inc. and Phoenix beginning in June 1990

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and April 1990, respectively, and, although he left the firms in August 1991 and June 1991, respectively, his registration as a Principal was not withdrawn until January 1992 and November 1992, respectively.  Mr. Newton was registered with NFA as an Associated Person of Phoenix from May 1990 until June 1991 and of Phoenix Asset Management, Inc. from May 1990 until January 1992 (although he left the firm prior to that date, in August 1991).  Prior to his employment with Phoenix, Mr. Newton was a Director of Managed Futures with the brokerage firm of Prudential-Bache Securities Inc. (“Prudential-Bache”) from October 1987 to March 1990 and was associated with its affiliated futures commission merchant entity, Prudential Securities Futures Management, Inc.  Until March 1990, he was registered with NFA as an Associated Person with Prudential Equity Group LLC (beginning in October 1987), and was listed with NFA as a Principal of the commodity pool operator Seaport Futures Management, Inc. (“Seaport”) (beginning in January 1989) and Prudential Securities Futures Management, Inc. (beginning in June 1989).  Mr. Newton was a Director of Seaport, and his responsibilities at Seaport, Prudential-Bache, Prudential Securities Futures Management, Inc. and Prudential Equity Group LLC included the organization and marketing of public commodity pools.  Mr. Newton joined Prudential-Bache from Heinold Asset Management, Inc.  (“Heinold”), and its affiliated futures commission merchant, Heinold Commodities Inc., where he was a member of the senior management team from October 1974 to October 1987.  Heinold was a pioneer and one of the largest sponsors of funds utilizing futures and currency forward trading.  Mr. Newton was registered with NFA as an Associated Person (March 1981 — October 1987) of Heinold Commodities Inc.  Mr. Newton was registered with NFA as an Associated Person of Heinold beginning in January 1986 and was listed with NFA as a Principal of Heinold beginning in February 1986.  Although Mr. Newton left Heinold in October 1987, his registration as an Associated Person and his listing as a Principal were not withdrawn until November 1987).  Mr. Newton joined the Managing Owner as an Associated Person in May 1991, and then joined the Managing Owner and its affiliates on a full-time basis in September 1991.  Mr. Newton became listed with NFA as a Principal and registered with NFA as an Associated Person and branch office manager of the Managing Owner effective May 14, 1997, May 30, 1991 and December 16, 1991, respectively.  He also became listed with NFA as Principal of The Millburn Corporation effective May 5, 2004.

Tod A. Tanis, age 57.   Mr. Tanis is a Vice President and Principal Accounting Officer of the Managing Owner and The Millburn Corporation.  He is responsible for overseeing operations and accounting for the firm’s commodity pools.  He graduated from Grove City College in May 1976 with a B.A. in accounting and joined the Managing Owner and The Millburn Corporation in May 1983.  Prior to joining the Managing Owner and its affiliates, he was with the brokerage firm of E.F. Hutton, where he was a Manager from December 1982 to April 1983; a Supervisor from August 1982 to December 1982; an International Accountant from April 1979 to August 1982; and a staff accountant from June 1978 to April 1979.  As a Manager at E.F. Hutton, he was responsible for all internal and external commodity reporting.  Mr. Tanis also served as a Junior Accountant and then International Staff Accountant with the brokerage firm of Merrill Lynch & Company from September 1976 to May 1978.  Mr. Tanis became listed with NFA as a Principal of the Managing Owner and The Millburn Corporation effective July 14, 2004.

The Managing Owner shares with its affiliates a staff of over 60, including the above-named individuals.

Past performance of the Units is set forth on pages 19-22 hereof.

Trading Strategies in General

Forward and futures traders may generally be classified as either systematic or discretionary. A systematic trader will generally rely to some degree on judgmental decisions concerning, for example, which markets to follow and trade, when to liquidate a position in a contract that is about to expire and how heavy a weighting a particular market should have in a portfolio. However, although these judgmental decisions may have a substantial effect on a systematic trading advisor’s performance, the trader relies primarily on trading programs or models that generate trading signals. The systems used to generate trading signals themselves may be changed from time to time, but the trading instructions generated by the systems are followed without significant additional analysis or interpretation. Discretionary traders on the other hand — while they may use market charts, computer programs and compilations of quantifiable information to assist them in making trading decisions —make trading decisions on the basis of their own judgment and trading instinct, not on the basis of trading signals generated by any program or model.

The Managing Owner is a systematic trader.

In addition to being distinguished from one another on the basis of whether they are systematic or discretionary traders, futures trading advisors are also distinguished as relying on either technical or fundamental analysis, or on a combination of the two.

Technical analysis is not based on the anticipated supply and demand of a particular commodity, currency or financial instrument. Instead, it is based on the theory that the study of the markets themselves will provide a means of anticipating the external factors that affect the supply and demand for a particular commodity, currency or financial instrument in order to predict future prices. Technical analysis operates on the theory that market

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prices at any given point in time reflect all known factors affecting supply and demand for a particular commodity, currency or financial instrument.

Fundamental analysis, in contrast, is based on the study of factors external to the trading markets that affect the supply and demand of a particular commodity, currency or financial instrument in an attempt to predict future prices. Such factors might include the economy of a particular country, government policies, domestic and foreign political and economic events, and changing trade prospects. Fundamental analysis theorizes that by monitoring relevant supply and demand factors for a particular commodity, currency or financial instrument, a state of current or potential disequilibrium of market conditions may be identified that has yet to be reflected in the price level of that instrument. Fundamental analysis assumes that the markets are imperfect, that information is not instantaneously assimilated or disseminated and that econometric models can be constructed that generate equilibrium prices that may indicate that current prices are inconsistent with underlying economic conditions and will, accordingly, change in the future.

The Managing Owner employs models analyzing both technical and fundamental data, but is predominantly a technical trader.

The Managing Owner’s Trading Strategy

Multiple Trading Systems

The Managing Owner makes investment and trading decisions pursuant to its investment and trading method, which includes technical trend analysis, certain non-trend-following technical systems, and money management principles, which may be revised from time to time.  The objective of the Managing Owner’s investment and trading method is to (i) use trend-following models to participate in all major sustained price moves in the markets traded and (ii) simultaneously deploy shorter-term opportunistic models that may or may not take positions in the same direction as trend-following positions.  The Managing Owner’s approach employs models that analyze data over a time spectrum from a few hours to multiple years.  A majority of trades generated by quantitative models may be unprofitable.  Their objective is to make a few large profits, more than offsetting their numerous but smaller losses.  Consequently, during periods in which no major price trends develop in a market, trend-following models are likely to incur substantial losses.  Similarly, during periods when market behavior is unsuitable for non-trend following models, such models are likely to incur substantial losses.

The Managing Owner is engaged in an ongoing research effort to improve its trading methods and to apply its quantitative analytic expertise to new financial products.

Successful systematic futures trading depends on two factors: development and selection of the trading systems used in each market, and allocation of portfolio risk among the markets available for trading.

Market environments change over time, and particular systems may perform well in one environment but poorly in another.  Likewise, market sectors and individual markets go through periods where systematic trading is very profitable and other periods where no system makes any money.

The goal of the Managing Owner’s research has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain overall portfolio risk within the targeted range, while allowing exposure to profitable trend opportunities.

Over more than 30 years, the Managing Owner has developed hundreds of trading systems.  These trading systems generate buy or sell decisions in a particular market based on the analysis of price movements in the market, some non-price information or a combination of both.

Of course, systems can be materially different — better in some periods and worse in others.  The main distinguishing features are the time-frame over which systems work (intra-day to long-term), the type of data fed into them (granularity [ticks to weeks/months], type [market or economic statistics], source [cash, futures or option markets generated data or government and industry generated statistical information]), and the objective of the system (profiting from trends, trading ranges or volatility).  No single approach will work all the time.  Therefore, the Managing Owner’s objective is to have several approaches operating at all times.  Since the early 1980s, the Managing Owner has selected multiple systems for each market.

When arriving at the portfolio allocation, the Managing Owner seeks maximum diversification subject to liquidity constraints.  The markets traded and allocations are reviewed monthly, although changes may occur more or less frequently.  The following factors are considered in constructing a universe of markets to trade for the Trust: profitability, correlation of market performance, liquidity of markets, professional judgment, desired diversification and transaction costs.  Once the universe of markets is established, the Managing Owner’s simulation and optimization techniques help determine which markets to include in the Trust’s portfolio.  The current allocation to any market in the portfolio does not exceed 2.5% of total market exposure.

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Risk Management

Risk is a function of both price level and price volatility.  For example, a 100,000 barrel crude oil position is worth more and is, therefore, probably more risky with oil at $90 per barrel than with oil at $50 per barrel.  Similarly, oil would be more risky if prices are moving in a 5% daily range than if prices are moving in a 1% daily range.  The Managing Owner sizes the position in each market taking into account its measurement of risk based on price level and volatility in that market.  Market exposure is then managed by the position-sizing models which measure the risk in the portfolio’s position in each market.  In the event the model determines that the risk has changed beyond an acceptable threshold, it will signal a change in the position — a decrease in position size when risk increases and an increase in position size when risk decreases.  The Managing Owner’s position-sizing models maintain overall portfolio risk and distribution of risk across markets within designated ranges.  The position-sizing model manages the position traded by each of the (directional) trading systems discussed above.  A secondary benefit of the position-sizing model can be timely profit taking.  Because markets tend to become more volatile after a profitable trend has been long underway, the position-sizing model often signals position reductions before trend reversals.

In addition, the Managing Owner’s risk management focuses on money management principles applicable to the portfolio as a whole rather than to individual markets.  The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.

Additional money management principles applicable to the portfolio as a whole include: (1) limiting the assets committed as margin, generally within a range of 5% to 35% of an account’s Net Assets at exchange minimum margins (including imputed margins on forward and swap positions), although the amount committed to margin at any time may be higher or lower; (2) prohibiting pyramiding — that is, using unrealized profits in a particular market as margin for additional positions solely in the same market; and (3) changing the equity utilized for trading by an account solely on a controlled periodic basis rather than as an automatic consequence of an increase in equity resulting from trading profits.

Another important risk management function is the careful control of leverage or total portfolio exposure.  Leverage levels are determined by simulating the entire portfolio — all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed level of leverage — over the past five or ten years to determine the portfolio’s simulated risk and return characteristics as well as the worst case experienced by the portfolio in the simulation period.  The worst case, or peak-to-trough drawdown, is measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the daily high.  If the Managing Owner considers the drawdown too severe or the portfolio’s simulated volatility too high, it reduces the leverage or total portfolio exposure.  There are, however, no restrictions on the amount of leverage the Trust may use at any given time.

Decisions whether to trade a particular market require the exercise of judgment. The decision not to trade certain markets for certain periods, or to reduce the size of a position in a particular market, may result at times in missing significant profit opportunities.

The Managing Owner employs discretion in the execution of trades where trader expertise plays a role in timing of orders and, from time to time, may adjust the size of a position, long or short, in any given market indicated by its systematic trading strategies. This exercise of discretion (other than in trade execution) generally occurs only in response to unusual market conditions that may not have been factored into the design of the trading systems and is generally intended to reduce risk exposure. Decisions to make such adjustments also require the exercise of judgment and may include consideration of the volatility of the particular market; the pattern of price movements, both inter-day and intra-day; open interest; volume of trading; changes in spread relationships between various forward contracts; and overall portfolio balance and risk exposure.

With respect to the execution of trades, the Managing Owner may rely to an extent upon the judgment of others, including dealers, bank traders and floor brokers. No assurance is given that it will be possible to execute trades regularly at or near the desired buy or sell point.

The trading method, systems and money management principles utilized by the Managing Owner are proprietary and confidential. The foregoing description is general and is not intended to be complete.

USE OF PROCEEDS

The entire proceeds of this offering of the Units will be used by the Trust to engage in its trading activities and as reserves to support that trading.

The Trust will deposit its assets in cash with the Trust’s clearing brokers and other futures clearing brokers to be used as margin, in accounts established in the name of the Trust at major United States banks and with its foreign exchange counterparties. The assets deposited as margin with the clearing brokers will be held in “customer segregated funds accounts” or “foreign futures and foreign options secured amount accounts,” as required by the Commodity Exchange Act and CFTC regulations. In general, the Managing Owner expects that

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approximately 3% to 13% of the Trust’s assets will be held in customer segregated funds and approximately 3% to 13% will be held in foreign futures and options secured amount accounts. Assets held in customer segregated funds accounts and foreign futures and options secured amount accounts will be held in cash or in U.S. Treasury instruments approved by the CFTC for the investment of customer segregated funds. In general, the Managing Owner expects that approximately 70% to 85% of the Trust’s assets will be held in bank, U.S. government securities and related instrument money market fund or custody accounts opened in the Trust’s name, although the actual level may vary from time to time. Assets held in these accounts will be held primarily in interest-bearing deposits or in U.S. Treasury instruments and/or Government Agency and related instruments.

The Trust will trade in the forward currency and may trade in swap markets. The Trust will deposit assets with its currency forward and swap counterparties in order to initiate and maintain its currency forward and swap contracts, primarily with Morgan Stanley & Co. Inc. and Deutsche Bank AG which serve as the Trust’s prime brokers in connection with the Trust’s foreign currency forward contract transactions. Such assets will be held in U.S. Treasury instruments or in cash, for which the Trust will receive an interest credit at short-term rates. The foreign exchange and swap counterparties may receive a benefit as a result of the deposit of such cash in the form of a reduction in their outstanding overnight borrowings, despite such cash belonging to the Trust, not the counterparties. Approximately 3% to 12% of the Trust’s assets will be held, in the Trust’s name, in cash or U.S. Treasury instruments in accounts in the United States, with foreign exchange and swap counterparties. These accounts are not subject to the segregation regulations of the CFTC and thus may offer less protection than segregated funds accounts in the event of the bankruptcy of a foreign exchange or swap counterparty.

On an ongoing basis, the Managing Owner anticipates that the Trust will be able to earn interest on approximately 90% of its daily Net Assets. The Managing Owner will not receive any interest income earned on the approximately 10% of the Trust’s Net Assets which do not earn interest for the Trust.

Under current margin requirements, the Managing Owner expects the Trust’s average margin to equity ratio, including collateral held by foreign exchange and swap counterparties, to be approximately 5% to 35% of the Trust’s assets. However, margin requirements vary from time to time, and the Trust is not limited in the amount of leverage it may use at any one time.

The Managing Owner does not anticipate making any distributions of Trust profits.

The Trust will not lend any of its assets to any person or entity other than through permitted securities investments. The Managing Owner will not commingle the property of the Trust with the property of any other person or entity in violation of law.

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CHARGES

The Managing Owner believes that you should consider the charges to which the Trust is subject when making your investment decision.

Charges Paid by the Trust

Recipient	Nature of Payment	Amount of Payment
The Managing Owner	Brokerage Fee	Series 1 Units only: 7% annually, paid as a monthly fee of 0.5833 of 1% of the Trust’s month-end Net Assets attributable to Series 1 Units before accruals for unpaid Brokerage Fees or Series 1 Profit Shares. The Managing Owner will, in turn, pay all the routine costs of executing and clearing the Trust’s trades and all selling commissions due to the Selling Agents. During 2010, the Trust incurred $57,320,175 in Brokerage Fees that were paid and accrued to the Managing Owner.
		Persons who invest $100,000 or more in the Series 1 Units pay annual Brokerage Fees at reduced rates. This reduction has no effect on other investors.
	Management Fee	Series 2 Units and Series 3 Units only: 2% annually, paid as a monthly fee of 0.166 of 1% of the Trust’s month-end Net Assets attributable to Series 2 Units and Series 3 Units before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares. During 2010, the Trust incurred $143,533 in management fees that were paid and accrued to the Managing Owner.
	Custodial Fee	Series 2 Units only: 0.25% annually, paid as a monthly fee of 0.0208 of 1% of the Trust’s month-end Net Assets attributable to Series 2 Units, before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing Owner will pay on to broker-dealers serving as custodians of the Series 2 Units. During 2010, the Trust incurred $160,011 in custodial fees.
Executing, Clearing Brokers and Others	Round-Turn Brokerage and Electronic Trading Platform Fees	Series 2 Units, Series 3 Units and Series 4 Units only: Actual costs of executing and clearing the Trust’s futures trades and actual electronic platform trading costs attributable to Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.25% of the Trust’s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2010, the Trust incurred $19,393 in round-turn brokerage and electronic trading platform fees attributable to the Series 2 Units, Series 3 Units and Series 4 Units.
Forward and Swap Counterparties/Prime Brokers	“Bid-ask” Spreads, Prime Brokerage Fees	“Bid-ask” spreads are not actually fees but are dealer profit margins incorporated into forward and swap contract pricing. They are, therefore, unquantifiable. The Managing Owner, not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $6-$7 in prime brokerage fees per $1

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		million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $6-$7 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.002% of the Trust’s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units. During 2010, approximately 87% of the Trust’s currency forward contracts were not subject to such prime brokerage fee.
The Managing Owner	Annual Profit Share	Series 1 Units: 20% of any New Trading Profit attributable to Series 1 Units, excluding interest income and after reduction for Brokerage Fees and ongoing offering and administrative costs. Series 2 Units and Series 3 Units: 20% of any aggregate New Trading Profit attributable to Series 2 Units and Series 3 Units, excluding interest income and after reduction for management fees (attributable to Series 2 Units and Series 3 Units), executing and clearing costs (attributable to Series 2 Units and Series 3 Units), custodial fees (attributable to Series 2 Units) and ongoing offering and administrative costs. During 2010, the Trust allocated $262,695 of Profit Share to the Managing Owner.
Others	Trustee fees, legal, accounting, printing, postage and other offering and administrative costs	As incurred; not expected to exceed 0.35 of 1% of average month-end Net Assets annually. During 2010, the Trust incurred $2,233,354 in administrative expenses.
Others	Extraordinary charges	Actual payments to third parties; expected to be negligible.

Flat-Rate Brokerage Fees — Series 1 Units

The Trust will pay the Managing Owner a flat-rate annual Brokerage Fee equal to 7% of the average month-end Net Assets attributable to the Series 1 Units after reduction for expenses but before reduction for any accrued but unpaid Brokerage Fees or Profit Shares.

The Managing Owner, not the Trust, will pay all routine costs of executing and clearing the Trust’s futures trades attributable to the Series 1 Units. These costs include the brokerage commissions paid to the clearing brokers, electronic trading platform fees, and NFA transaction fees described below.

The Trust’s expenses must be offset by trading gains and interest income to avoid depletion of the Trust’s assets.

The Managing Owner pays up to 4% to the Selling Agents in respect of the Series 1 Units sold by the Selling Agents.  The amount paid to Selling Agents shall not, however, exceed 9.5% of the gross offering proceeds of the Series 1 Units sold pursuant to this Prospectus.  Once the 9.5% threshold is reached with respect to a Series 1 Unit, the Selling Agent will receive no future compensation and the up to 4% amount that would otherwise be paid to the Selling Agent for that Series 1 Unit will instead be rebated to the Trust for the benefit of all holders of Series 1 Units.

The balance of the Brokerage Fees in respect of Series 1 Units, after payment of compensation to the Selling Agents (or after rebating to the Trust amounts which would otherwise have been paid to the Selling Agents but for the cap on such compensation) will be retained by the Managing Owner. The amount of the Brokerage Fee retained per Series 1 Unit by the Managing Owner is estimated to be approximately 2.75% of the average month-end Net Asset Value per Series 1 Unit per year, i.e., the 7% Brokerage Fee received less (i) the up to 4% amount paid as selling commissions or otherwise rebated to the Trust and (ii) the estimated 0.25% per annum paid out in execution costs.

Brokerage Fee Differentials

If you subscribe for Series 1 Units in the amount of $100,000, $500,000 or $1,000,000 or more, you will be subject to Brokerage Fees of 6.5%, 6% and 5.5%, respectively.

If your Series 1 Units are subject to reduced Brokerage Fees, rather than actually being charged the reduced amount, your Series 1 Units will be charged the same 7% Brokerage Fee as those of other investors. However, the Managing Owner will rebate to you the

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difference between the 7% Brokerage Fee and the reduced Brokerage Fee to which you are subject. This rebate will be in the form of additional Series 1 Units, calculated to three decimal places and issued at the then current Series 1 Unit Net Asset Value. Accordingly, the Net Asset Value of your investment in the Trust will reflect the reduced Brokerage Fee applicable to your Series 1 Units and a somewhat higher Profit Share as a result of the lower Brokerage Fee. The Managing Owner uses this rebate procedure to maintain a uniform Net Asset Value across all Series 1 Units.

The level of the Brokerage Fees you pay will be determined by taking into account the net investments you make — i.e., subscriptions minus redemptions. Thus, if you first invest $50,000 in the Series 1 Units, you will qualify for reduced Brokerage Fees upon a subsequent investment of $50,000, even if your original investment has lost value.

If, immediately after you redeem Series 1 Units, your aggregate net investment is less than $1,000,000, $500,000, or $100,000, you will no longer qualify for the level of reduced Brokerage Fee you were paying. If you make a subsequent investment, you will again qualify for reduced Brokerage Fees at the former level if the amount of the investment, plus the amount of your remaining net capital contributions — that is, subscriptions minus redemptions, assuming redemptions to be made first from profits, not capital contributions — equals or exceeds the relevant break point.

Management Fees — Series 2 Units and Series 3 Units

The Trust will pay the Managing Owner an annual management fee equal to 2% of the average month-end Net Assets attributable to the Series 2 Units and Series 3 Units after reduction for expenses but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares.

Round-Turn Brokerage Fees — Series 2 Units, Series 3 Units and Series 4 Units

The Trust, not the Managing Owner, will pay the actual costs of executing and clearing the Trust’s futures trades attributable to Series 2 Units, Series 3 Units and Series 4 Units, estimated at approximately 0.25% of the Trust’s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units.  The costs of executing and clearing the Trust’s futures trades attributable to Series 2 Units, Series 3 Units and Series 4 Units will be borne by the Series 2 Units, Series 3 Units and Series 4 Units, respectively, not by the Trust as a whole.

The costs of executing and clearing the Trust’s futures trades include brokerage commissions paid to the clearing brokers and electronic trading platform fees, as both are described below, and NFA transaction fees of $0.02 per round-turn trade of a futures contract and $0.01 for each trade of a commodity option executed on a United States exchange.

The Managing Owner has negotiated brokerage rates with the clearing brokers ranging from approximately $2.00 to approximately $15.00 per round-turn trade, including all related exchange and regulatory fees. Commissions on some foreign exchanges are somewhat higher. Electronic trading platform fees for futures range from $0.15 to $0.25 per contract, depending upon the futures trading volume.  At these rates, and including the foreign currency prime broker fees described below, the Managing Owner estimates the Trust’s aggregate execution and clearing costs borne by the Series 2 Units, Series 3 Units and Series 4 Units will be approximately 0.25% of average month-end Net Assets attributable to the Series 2 Units, Series 3 Units and Series 4 Units per year.  The Managing Owner does not receive any portion of the commissions paid to the clearing brokers.

Custodial Fees — Series 2 Units

The Trust will pay the Managing Owner a custodial fee equal to 0.25% of the average month-end Net Assets attributable to the Series 2 Units, after reduction for expenses but before reduction for any accrued but unpaid management fees, custodial fees or Series 2/3 Profit Shares, which the Managing Owner will pay on to brokers acting as custodian of Series 2 Units for the benefit of investors in Series 2 Units.  The custodial fee expense will be borne by the Series 2 Units, not by the Trust as a whole.

The maximum amount of custodial fees paid to brokers that serve as custodians of Series 2 Units shall not exceed 3.1667% of the gross offering proceeds of the Series 2 Units sold pursuant to this Prospectus.  Once the maximum threshold is reached with respect to a Series 2 Unit, the broker serving as custodian for such Series 2 Unit will receive no future payment of custodial fees and the 0.25% amount that would otherwise be paid to the custodian for that Series 2 Unit will instead be rebated to the Trust for the benefit of all holders of Series 2 Units.

“Bid-Ask” Spreads

Currency dealers trade with a spread between the price at which they are prepared to buy or sell a particular currency. These “bid-ask” spreads are not actually fees but, rather, represent a profit margin to the dealer for making a market in the currency. The Managing Owner cannot quantify the amount of dealer profit that is embedded in a price quoted by a dealer, but the Managing Owner believes that the Trust will effect its currency transactions at prevailing market prices. Because the Trust will buy currency at the offer price and sell it at the bid price, the Trust, not the Managing Owner, will pay the dealer spreads. Dealer profit from the Trust’s currency

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trading may, over time, be substantial.  Moreover, if the Trust trades swaps, banks and other dealers charge a “spread” between “bid” and “ask” prices, reflecting their profit on the transaction.  In addition, the Managing Owner, not the Trust, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $6-$7 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 1 Units. The Trust, and not the Managing Owner, may pay, depending upon whether the trade is executed at the prime broker or away from the prime broker, approximately $6-$7 in prime brokerage fees per $1 million of currency forward contracts facilitated on behalf of the Trust attributable to the Series 2 Units, Series 3 Units and Series 4 Units, such prime brokerage fees to be an expense borne by the Series 2 Units, Series 3 Units and Series 4 Units, not the Trust as a whole.  Prime brokerage fees borne by the Series 2 Units, Series 3 Units and Series 4 Units are estimated at approximately 0.002% of the Trust’s average month-end Net Assets per year attributable to the Series 2 Units, Series 3 Units and Series 4 Units.  During 2010, approximately 87% of the Trust’s currency forward contracts were not subject to such prime brokerage fee.

20% Profit Share Based on “High Water Mark” New Trading Profit

The Trust pays the Managing Owner a Series 1 Profit Share equal to 20% of any cumulative New Trading Profit recognized by the Series 1 Units as of the end of each calendar year. The Trust pays the Managing Owner a Series 2/3 Profit Share equal to 20% of any cumulative New Trading Profit recognized, in the aggregate, by the Series 2 Units and the Series 3 Units as of the end of each calendar year. New Trading Profit is any cumulative Trading Profit in excess of the highest level — the “High Water Mark”—of cumulative Trading Profit as of any previous calendar year-end. Trading Profit includes (1) realized trading profit (loss) plus or minus (2) the change in unrealized trading profit (loss) on open positions as of the previous calendar year-end. New Trading Profit in respect of Series 1 Units is calculated after payment of the monthly Brokerage Fee and ongoing offering and administrative expenses.  New Trading Profit in respect of Series 2 and Series 3 Units is calculated after payment of the monthly management fee, execution and clearing costs, custodial fees, and ongoing offering and administrative expenses.  For purposes of determining the Unit Net Asset Value and for allocating Profit Shares in respect of Units redeemed as of a date other than December 31, the Profit Share is accrued, and the accruals are reversed to reflect losses, on a monthly basis. Trading Profit does not include interest earned on the Trust’s assets. Profit Shares previously paid do not reduce New Trading Profit. That is, the Managing Owner does not have to “earn back” its Profit Shares in order to produce New Trading Profit.

For example, assume that at the end of the first year of trading the Series 1 Units had, after payment of monthly Brokerage Fees and ongoing offering and administrative costs, a realized profit of $50,000 on its closed positions and an unrealized profit of $150,000 on open positions. Series 1 Trading Profit would equal $200,000 and 20%, or $40,000, would be allocated as a Series 1 Profit Share. Assume that during the second calendar year, again after payment of monthly Brokerage Fees and ongoing offering and administrative costs, the Series 1 Units had realized profits of $60,000 and a decrease in the unrealized profits on its open positions of $50,000. Cumulative Series 1 New Trading Profit would have increased to $210,000 ($200,000 + $60,000 —$50,000), and 20% of $10,000, or $2,000, would be allocated as a Series 1 Profit Share. Now assume that during the third year, again after payment of monthly Brokerage Fees and ongoing offering and administrative costs, the Series 1 Units incurred realized losses of $150,000 and a decrease in the unrealized profit on its open positions of $100,000. Series 1 Trading Profit would have decreased as of the end of such year to $(40,000) ($210,000 — $150,000 — $100,000), and no Series 1 Profit Share would be paid. The Managing Owner would retain the $42,000 already paid as Series 1 Profit Shares but would not receive additional Series 1 Profit Shares until cumulative Series 1 New Trading Profit exceeded $210,000 as of a year-end.

Redemption of Units will result in a proportional decrease in any loss carryforward — since the last calendar year-end as of which a Profit Share was paid — as of the date of redemption.  Redemption of Units at a time when there is accrued New Trading Profit will result in a proportional Profit Share allocation to the Managing Owner.

Series 4 Units, which are available only to employees and former employees of the Managing Owner and its affiliates who purchase their Units through The Millburn Corporation 401(k) and Profit Sharing Plan, are not subject to the Managing Owner’s Profit Share.

Offering Expenses

The Trust pays all offering costs of the Units, including registration and filing fees and the legal and accounting costs of updating this Prospectus and printing and postage costs associated with producing and distributing this Prospectus and related sales literature to the Selling Agents, as well as payments to administrators for processing subscription agreements.  The Managing Owner may pay certain of these costs and, if so, will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs are unexpectedly high, the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement.  The offering costs of the Trust will not exceed 1.25% of the gross offering proceeds of the Units.  When added to selling compensation discussed herein, the

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“organizational and offering expenses” of the Trust, as defined by Rule 2310 of the Financial Industry Regulatory Authority, Inc. (“FINRA”), will not exceed 11.25% of the gross offering proceeds of the Units.

Administrative Expenses

The Trust pays all routine legal, accounting, administrative (including, if applicable, the services of an administrator unaffiliated with the Managing Owner), printing and similar costs associated with its day-to-day operations, including the Trustee’s fees. The Managing Owner estimates such costs will not exceed 0.30 of 1% of the Trust’s average month-end Net Assets in any given year, assuming Trust assets of $900,000,000, and, when aggregated with the offering costs described above, are not expected to exceed 0.35 of 1% of the Trust’s average month-end Net Assets in any given year. The Managing Owner may pay certain of these costs and, if so, will be reimbursed without interest by the Trust. Under certain circumstances, for example, where such costs are unexpectedly high, the Managing Owner may, but is not obligated to do so, waive a portion of such reimbursement.

Extraordinary Expenses

The Trust is responsible for the taxes, if any, imposed on the Trust itself. The Trust is required to pay any extraordinary charges incidental to its trading, for example, insurance or delivery expenses. The Managing Owner expects that any such charges will be negligible.

Charges Paid by the Managing Owner

Selling Commissions

The Managing Owner pays, from its own funds, the Selling Agent’s selling commissions in connection with the sale and distribution of the Series 1 Units.  The Managing Owner will also pay, from its own funds, any sales commissions or compensation due Selling Agents in connection with the sale of the Series 2 Units and Series 3 Units.

Charges Paid by Certain Investors

Redemption Charges

Redemption charges, described below, apply through the first eleven months after a Series 1 Unit is issued. Redemption charges reduce the amount of your redemption proceeds.

REDEMPTIONS; NET ASSET VALUE

Redemption Procedure

The Trust is intended as a medium- to long-term investment, which the Managing Owner construes to mean at least a 3-5 year period. However, you may redeem Units as of the close of business on the last day of any calendar month. You must give at least 10 days’ prior written notice to the Managing Owner of your intent to redeem.

If you redeem Series 1 Units on or before the end of the first consecutive six-month and five-month periods after you buy such Series 1 Units, you will pay redemption charges of 4% and 3%, respectively, of your redeemed Series 1 Units’ Net Asset Value as of the date of redemption. Series 1 Units are considered sold, for purposes of determining whether redemption charges apply, on the closing date — the first day of the month —of the investment, not the day subscriptions are received or accepted. If your subscription is in the amount of $100,000, $500,000 or $1,000,000 or more, your redemption charges will be 3.5% and 2.5%, 3% and 2%, and 2.5% and 1.5%, respectively.  Redemption charges are paid to the Managing Owner.  Series 1 Units purchased on different closing dates are treated on a “first-in, first-out” basis for purposes of calculating the periods to which redemption charges apply and for purposes of determining the 9.5% threshold for Selling Agent fees.

All additional Series 1 Units issued to subscribers subject to reduced Brokerage Fees shall, for redemption purposes, be deemed all to have been issued as of the same issue date as the longest outstanding Series 1 Units held by the particular Unitholder. In the event that Series 1 Units are sold at an intra-month closing date, the end of such month will constitute the first of the eleven month-ends as of which such redemption charges are due.

Series 2 Units, Series 3 Units and Series 4 Units are not subject to redemption charges.

The Managing Owner may declare additional redemption dates upon notice to the Unitholders and may, in unusual circumstances, permit certain, or all, Unitholders to redeem as of dates other than month-end.

Unitholders may redeem any whole number of Units.

Fractional Units may be redeemed only upon redemption of a Unitholder’s entire remaining interest in the Trust.

A form of Request for Redemption is attached to the Fourth Amended and Restated Declaration of Trust and Trust Agreement (the “Declaration of Trust”) as an Annex.

All requests for redemption will be honored and payment will be made within 15 business days of the month-end redemption date. The Managing Owner will make arrangements with Selling Agents who so request to

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pay redemptions through crediting Unitholders’ customer securities accounts with such Selling Agents. In the unlikely event a market disruption that results in the closing of financial markets in the United States or abroad makes it impossible or impracticable to value the Units or liquidate Trust assets, redemptions may be suspended or payment of redemption proceeds may be delayed. Unitholders will be notified by telephone or first-class mail if redemptions are suspended or if redemption payments will be delayed due to such a market disruption.

Investments by the Managing Owner, other than its required investment in the Trust, may be redeemed on the same terms as the Units.

Net Asset Value

Net Assets are determined in accordance with generally accepted accounting principles of the United States of America and include unrealized profits as well as unrealized losses on open commodity positions.  Net Assets include the sum of all cash, U.S. Treasury instruments or other fixed-income instruments, valued at market, the liquidating value, or cost of liquidation, of all futures, forward and options positions and the fair market value of all other assets of the Trust, less all liabilities of the Trust, including accrued liabilities, irrespective of whether such liabilities, such as Profit Shares, may, in fact, never be paid. If a contract cannot be liquidated on a day with respect to which Net Assets are being determined, the settlement price on the next day on which the contract can be liquidated shall be the basis for determining the liquidating value of such contract, or such day, or such other value as the Managing Owner may deem fair and reasonable.

The Net Asset Value of a Unit of a particular Series refers to the Net Assets allocated to the aggregate capital accounts of the Units of such Series divided by the number of outstanding Units of such Series.

THE CLEARING BROKERS

The Trust utilizes the services of various clearing and executing brokers in connection with its futures trading.  The Managing Owner currently intends to clear trades through J.P. Morgan Futures Inc., Deutsche Bank Securities Inc., Merrill Lynch, Pierce, Fenner & Smith Incorporated and Newedge USA, LLC but may execute or clear some or all of the Trust’s trades through other brokerage firms without notice to the Unitholders (the “Clearing Brokers”).  The Managing Owner may execute or clear trades through brokerage firms which are also Selling Agents.

The Customer Agreements among the clearing brokers, the Managing Owner and the Trust generally provide that the clearing brokers shall not be liable to the Trust except for gross negligence, willful misconduct or bad faith and, in the case of trades executed as well as cleared by the clearing brokers, for errors in such execution.

Although J.P. Morgan Futures Inc. (“JPMFI”), as a large FCM, has been subject to exchange disciplinary matters involving sizable fines and/or other sanctions, as of the date hereof neither the firm nor any of its principals has been the subject of any material administrative, civil or criminal action, including any action that has been pending, on appeal, or concluded within the last five years, except as follows:

In 2007, JPMFI was named in a putative consolidated class action involving a former customer, Amaranth LLC (“Amaranth”), which alleges unjust enrichment and that JPMFI aided and abetted in violations of the Commodity Exchange Act.  No action concerning Amaranth has been brought against JPMFI by the CFTC or any other regulatory authority, and JPMFI strongly maintains that it acted properly in the handling of Amaranth’s account.   On October 4, 2008, the consolidated class action lawsuit was dismissed with leave to plaintiffs to replead and amend the complaint.  An amended consolidated class action complaint was filed in November 2008, and a motion to dismiss by JPMFI was granted on April 27, 2009.  It is possible that the plaintiffs will appeal.

In 2009, JPMFI was named as a defendant in a complaint filed by Duration Capital Management Advisors, Inc. (“Duration”), the alleged investment manager of a hedge fund which was a customer of JPMFI from 2003 through 2008.  The hedge fund customer and a sister fund were also prime brokerage clients of J.P. Morgan Securities LLC (as successor to J.P. Morgan Securities Inc.) and recipients of financing from JPMorgan Chase Bank, N.A., both of which are also named in the suit.  The suit alleges that, in late February 2008, the defendants issued excessive margin calls to the two hedge funds, causing them to liquidate their positions in order to meet the margin calls and thereby go out of business, resulting in a loss of management fee payments from the hedge funds to the plaintiff.  JPMFI maintains, among other defenses, that it complied at all times with its contract with its customer, that it had no contract with the plaintiff, and that the plaintiff has no standing to bring a claim under any theory for harm allegedly caused to the hedge funds.  A motion to dismiss the complaint was granted in part and denied in part, and factual discovery concluded in December 2010.  Pre-trial motion practice is ongoing.

JPMorgan Chase & Co. and certain subsidiaries, including JPMFI have been named as defendants, along with HSBC Bank and certain of its subsidiaries, in various putative class action lawsuits filed in the Southern District of New York, the Eastern District of New York and one in the Northern District of Illinois.  Plaintiffs in these

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actions allege that, beginning in March 2008, defendants conspired and agreed to restrain trade in and manipulated the prices of silver futures and options traded on the Commodity Exchange division of the New York Mercantile Exchange (“NYMEX”), violated the Commodity Exchange Act and Section 1 of the Sherman Act.  Plaintiffs in the three districts in which the complaints were filed have filed motions to consolidate with the Judicial Panel on Multidistrict Litigation.

JPMFI intends to contest these suits vigorously.  JPMFI currently believes that the facts and circumstances of each case do not support JPMFI receiving an unfavorable outcome.  It is too early to evaluate the range of potential loss should this conclusion be inaccurate.

In 2009, JPMFI agreed to pay a Civil Monetary Penalty of $300,000 in connection with the CFTC finding that JPMFI violated the Commodity Exchange Act and CFTC regulations.  The violations concerned rules governing segregation of customer funds, timely computation of segregation obligations, timely reporting of an under segregation deficiency to the CFTC and diligent supervision of its employees.  The CFTC also indicated that JPMFI did not have a process in place to determine the impact of expected withdrawals from the segregated accounts on the amount required to be kept in segregation, and, as a result, JPMFI, as required by the CFTC, has enhanced existing procedures by implementing a segregation forecasting process to ensure that proper segregation is maintained.

In 2007, JPMFI maintained accounts for customer funds (segregated accounts) and kept its own funds in separate accounts. During this time, JPMFI processed transactions related to the delivery of Treasury notes that resulted in JPMFI’s segregated accounts being insufficiently funded on one business day by approximately $750 million. This resulted in JPMFI drawing upon customer segregated funds beyond its actual interest, which caused customer funds to be commingled with JPMFI’s funds.  The CFTC’s 2009 Order did not make any findings indicating that JPMFI being under segregated caused any losses to customers.  Additionally, the CFTC indicated that the securities JPMFI held were sufficient, had they been moved to a segregated account on the day in question, to allow JPMFI to maintain proper funding of its segregated bank accounts.

A portion of the Trust’s futures transactions are cleared through Deutsche Bank Securities Inc. (“DBSI”).  DBSI has its main business office located at 60 Wall Street, New York, New York 10005, U.S.A., and is an indirect wholly owned subsidiary of Deutsche Bank AG.  DBSI is registered with the CFTC as an FCM and is a member of the NFA in such capacity.  DBSI is also a U.S.-registered broker-dealer.  In the ordinary course of its business, DBSI is involved in numerous legal actions, some of which seek significant damages.  DBSI is not, and during the past five years has not been, subject to any civil, administrative or criminal proceeding that would materially affect its ability to do business as an FCM in the ordinary course.

Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPFS”), a Delaware corporation, is registered with the CFTC as an FCM.  MLPFS is a clearing member of the Chicago Board of Trade and the Chicago Mercantile Exchange, and is either a clearing member or member of all other principal U.S. futures and futures options exchanges.  With regard to those domestic futures and futures options exchanges of which it is not a clearing member, MLPFS has entered into third party brokerage relationships with FCMs that are clearing members of those exchanges.  MLPFS maintains its principal place of business at One Bryant Park, New York, NY 10036.

MLPFS has been named as a defendant in various legal actions, including arbitrations, class actions and other litigation arising in connection with its activities as a global diversified financial services institution. Some of the legal actions include claims for substantial compensatory and/or punitive damages or claims for indeterminate amounts of damages. In some cases, the issuers that would otherwise be the primary defendants in such cases are bankrupt or otherwise in financial distress.  MLPFS is also involved in investigations and/or proceedings by governmental and self-regulatory agencies.

In view of the inherent difficulty of predicting the outcome of litigation and regulatory matters, particularly where the claimants seek very large or indeterminate damages or where the matters present novel legal theories or involve a large number of parties, MLPFS generally cannot predict what the eventual outcome of the pending matters will be, what the timing of the ultimate resolution of these matters will be, or what the eventual loss, fines or penalties related to each pending matter may be. The actions against MLPFS include, but are not limited to, the following:

Since October 2007, MLPFS, and its former affiliate Banc of America Securities LLC (“BAS”, which was merged into MLPFS on November 1, 2010 with MLPFS as the surviving corporation in the merger), has been named as defendants in a variety of lawsuits and other proceedings brought by customers and both individual and institutional investors regarding auction rate securities (“ARS”).  These actions generally allege that the defendants (i) misled the plaintiffs into believing that there was a deeply liquid market for ARS, and (ii) failed to adequately disclose their or their affiliates’ practice of placing their own bids to support ARS auctions.  Plaintiffs assert that ARS auctions started

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failing from August 2007 through February 2008 when the defendants and other broker-dealers stopped placing those “support bids.”  In addition to the matters described in more detail below, numerous arbitrations and individual lawsuits have been filed against MLPFS and certain affiliates by parties who purchased ARS and are seeking relief that includes compensatory and punitive damages totaling in excess of $1.80 billion, as well as rescission, among other relief.

MLPFS and its direct corporate parent Merrill Lynch & Co., Inc. (the “Parent”) face a number of civil actions relating to the sales of ARS and management of ARS auctions, including two putative class action lawsuits in which the plaintiffs seek to recover the alleged losses in market value of ARS securities purportedly caused by the defendants’ actions. Plaintiffs also seek unspecified damages, including rescission, other compensatory and consequential damages, costs, fees and interest.  The first action is the result of the consolidation of two separate class action suits in the U.S. District Court for the Southern District of New York.  These suits were brought by two customers of MLPFS, on behalf of all persons who purchased ARS in auctions managed by MLPFS and other affiliates, against the Parent and MLPFS.  On March 31, 2010, the U.S. District Court for the Southern District of New York granted defendants’ motion to dismiss. On April 22, 2010, a lead plaintiff filed a notice of appeal to the U.S. Court of Appeals for the Second Circuit, which is currently pending.  The second action was brought by a putative class of ARS purchasers against BAS and is currently pending in the U.S. District Court for the Northern District of California.  BAS has filed a motion to dismiss the amended complaint, which remains pending.

Plaintiffs alleged that MLPFS aided and abetted a fraud, violation of a consumer protection law and breach of fiduciary duty allegedly perpetrated by Benistar, a former client of MLPFS, in connection with trading in the client’s account.  During the proceedings, plaintiffs also made allegations that MLPFS engaged in sanctionable conduct in connection with the discovery process and the trial.  In 2002, following a trial, a jury rendered a verdict for plaintiffs.  Thereafter, the court granted MLPFS’s motion to vacate and plaintiffs’ motion for a new trial.  On June 25, 2009, following a retrial, the jury found in plaintiffs’ favor.  On January 11, 2011, the court entered rulings denying plaintiffs’ motion for sanctions and punitive damages, awarding certain plaintiffs consequential damages, and awarding attorneys’ fees and costs.  On February 7, 2011, the court issued final judgment requiring MLPFS to pay $9.7 million in consequential and compensatory damage plus statutory interest, and $8.7 million in attorneys’ fees and costs; but denying plaintiffs’ requests for punitive damages and sanctions.  The client, a co-defendant, filed a notice of appeal of the court’s denial of its motion for a new trial on or about January 19, 2011.  On or about January 24, 2011, plaintiffs filed a notice of appeal of the court’s denial of their motion for sanctions pursuant to Mass. Gen. Laws c. 231 §6G.  On March 1, 2011, the plaintiffs filed a notice of appeal of the court’s denial of their requests for punitive damages and sanctions, and MLPFS filed a notice of cross appeal on March 15, 2011.

Commencing in 1979, the Illinois Funeral Directors Association (“IFDA”), an Illinois not-for-profit corporation that serves as a trade association representative for the Illinois funeral industry, began providing trust services to Illinois consumers for the deposit of payments for pre-paid funeral services.  Illinois law regulates the sale of pre-paid funeral goods and services and requires that proceeds of those sales be held in trust.  In 1986, the IFDA began offering a tax-advantaged pre-need trust administered by its subsidiary, IFDA Services, Inc. (“IFDA Services”).  The tax-advantaged pre-need trust invested primarily in variable universal life insurance (“VUL”) policies written against the lives of “keymen” of IFDA, its members and its affiliates.  In response to the stated investment objectives of IFDA’s executive director and its board of directors, MLPFS recommended the purchase of the VUL policies to IFDA for the tax-advantaged pre-need trust, and Merrill Lynch Life Agency, Inc. (“MLLA”), sold the pre-need trust approximately 270 VUL policies as investment vehicles.

During IFDA Services’ operation of the pre-need trust, it credited IFDA members with earnings on deposits into the pre-need trust based on a rate of return set by IFDA Services, even though the crediting rate sometimes exceeded the actual earnings on the trust investments.  As a result, a deficit developed between the amounts that the IFDA credited to IFDA members and the actual earnings of the trust.  The Illinois Office of the Comptroller, the trust’s regulator, removed IFDA Services as trustee of the trust in 2008, and asked Merrill Lynch Bank & Trust Company, FSB (“MLBTC”), to serve as successor trustee.

There currently are four court proceedings relating to the IFDA pre-need trust pending against the Parent and affiliated entities and their present and former employees:

On July 28, 2010, Charles G. Kurrus, III, P.C., a funeral director and owner of a funeral home, filed an action in the Circuit Court for the Twentieth Judicial Circuit, St. Clair County, Illinois, against MLPFS, MLLA and MLBTC, among others, including present and former MLPFS employees.  The complaint asserts causes of action for breach of the Illinois Consumer Fraud and Deceptive Business Practices Act and civil conspiracy against all defendants, breach of fiduciary duty against MLPFS and MLBTC, negligence and aiding and abetting breach of fiduciary duty against MLPFS.  The complaint

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seeks declaratory relief, disgorgement of all commissions, fees and revenues received by MLPFS, MLLA and MLBTC, pre-judgment and post-judgment interest, an accounting and attorneys’ fees. The complaint seeks: disgorgement and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA, and MLBTC, an accounting, compensatory damages in an unliquidated amount, pre-judgment and post-judgment interest and reasonable attorneys’ and experts’ fees and costs.   Defendants have filed motions to dismiss.

On June 16, 2009, a purported class action on behalf of a proposed class of pre-need contract holders was filed in the U.S. District Court for the Southern District of Illinois against MLPFS, among other defendants. The complaint alleges that MLPFS breached purported fiduciary duties and committed negligence. MLPFS filed a motion to dismiss the complaint, with prejudice, however, the complaint was subject to a court-imposed stay until October 4, 2010.  On November 22, 2010, plaintiff filed an amended complaint substituting plaintiffs.   The amended complaint seeks compensatory damages in an unliquidated amount, punitive damages, reasonable attorneys’ fees and costs. MLPFS has filed a motion to dismiss.

On June 30, 2009, a purported class action on behalf of a proposed class of funeral directors was filed in the Circuit Court of Cook County, Illinois, alleging that MLPFS and MLLA, among other defendants, committed consumer fraud, civil conspiracy, unjust enrichment and conversion. MLPFS and MLLA removed the complaint to the U.S. District Court for the Northern District of Illinois, and the case ultimately transferred to the U.S. District Court for the Southern District of Illinois and consolidated with the foregoing action. Because of the consolidation with the foregoing action, this matter also was subject to the court-imposed stay until October 4, 2010.  On November 9, 2010, plaintiff filed a third amended complaint, which added new parties, including MLBTC, and additional claims.  In addition to the claims asserted in the original complaint, the complaint now asserts claims for fraud, breach of fiduciary duty, negligence and aiding and abetting breach of fiduciary duty against MLPFS and MLLA, and breach of fiduciary duty and negligence against MLBTC. MLPFS, MLLA and MLBTC have filed motions to dismiss.  The third amended complaint seeks: disgorgement and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA, and MLBTC, an accounting, compensatory damages in an unliquidated amount, pre-judgment and post-judgment interest and reasonable attorneys’ and experts’ fees and costs.

On December 9, 2010, a purported class action on behalf of a proposed class of funeral directors was filed in the U.S. District Court for the Southern District of Illinois, alleging that MLPFS, MLLA and MLBTC, among other defendants, committed consumer fraud, civil conspiracy, unjust enrichment, and breach of fiduciary duty.  On January 7, 2010, plaintiff filed a second amended complaint, which added claims for fraud, negligence and aiding and abetting breach of fiduciary duty against MLPFS, MLLA and MLBTC, and added an additional breach of fiduciary duty claim against MLBTC.  The second amended complaint seeks: disgorgement and remittance of all commissions, premiums, fees and compensation paid to MLPFS, MLLA, and MLBTC, an accounting, compensatory damages in an unliquidated amount, punitive damages, restitution, pre-judgment and post-judgment interest and reasonable attorneys’ and experts’ fees and costs.  On January 19, 2011, defendants filed a motion to consolidate this matter with the foregoing two actions and to dismiss the second amended complaint with prejudice.

The Parent, MLPFS, including BAS, and another affiliate of the Parent, along with other underwriters, and various issuers and others, were named as defendants in a number of putative class action lawsuits that have been consolidated in the U.S. District Court for the Southern District of New York.  Plaintiffs contend, among other things, that defendants failed to make certain required disclosures in the registration statements and prospectuses for applicable offerings regarding alleged agreements with institutional investors that tied allocations in certain offerings to the purchase orders by those investors in the aftermarket.  Plaintiffs allege that such agreements allowed defendants to manipulate the price of the securities sold in these offerings in violation of Section 11 of the Securities Act of 1933 and Section 10(b) of the Securities Exchange Act of 1934 and SEC rules promulgated thereunder. The parties agreed to settle the matter, for which the court granted final approval in an amount that was not material to MLPFS’s results of operations.  Some putative class members have filed an appeal, which remains pending, in the U.S. Court of Appeals for the Second Circuit seeking reversal of the final approval.

Beginning in September 2008, MLPFS, including BAS, and affiliated entities, along with other underwriters and individuals, were named as defendants in several putative class action lawsuits filed in federal and state courts.  All of these cases have since been transferred or conditionally transferred to the U.S. District Court for the Southern District of New York.  Plaintiffs allege that the underwriter defendants violated Section 11 of the Securities Act of 1933, as well as various state laws, by making false or misleading disclosures about the real estate-related investments and mortgage lending practices of Lehman Brothers Holdings, Inc. (“LBHI”) in connection with various debt and convertible stock offerings of LBHI.  Plaintiffs seek unspecified damages.

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On June 4, 2010, defendants filed a motion to dismiss the complaint, which remains pending.

On April 30, 2009, MBIA and LaCrosse Financial Products, LLC filed a complaint in New York State Supreme Court, New York County, against MLPFS and Merrill Lynch International (“MLI”).  The complaint relates to certain credit default swap and insurance agreements by which plaintiffs provided credit protection to MLPFS and MLI and other parties on collateralized debt obligation securities.  Plaintiffs claim that MLPFS and MLI did not adequately disclose the credit quality and other risks of the collateralized debt obligation securities and underlying collateral.  The complaint alleges claims for fraud, negligent misrepresentation, breach of the implied covenant of good faith and fair dealing and breach of contract and seeks rescission and unspecified compensatory and punitive damages, among other relief.  On April 9, 2010, the court granted defendants’ motion to dismiss as to the fraud, negligent misrepresentation, and breach of the implied covenant of good faith and fair dealing and rescission claims, as well as a portion of the breach of contract claim.  Plaintiffs have appealed the dismissal of their claims and MLI has cross-appealed the denial of its motion to dismiss the breach of contract claim in its entirety. On February 1, 2011, the appellate court dismissed the case against MLI in its entirety. MBIA has filed a request to appeal the appellate court’s decision to the New York State Court of Appeal and has requested permission from the trial court to file an amended complaint.

The Parent, MLPFS, including BAS, and their affiliates have been named as defendants in several cases relating to their various roles as issuer, originator, seller, depositor, sponsor, underwriter and/or controlling entity in mortgage-backed securities (“MBS”) offerings, pursuant to which the MBS investors were entitled to a portion of the cash flow from the underlying pools of mortgages.  These cases generally include purported class action suits and actions by individual MBS purchasers.  Although the allegations vary by lawsuit, these cases generally allege that the registration statements, prospectuses and prospectus supplements for securities issued by securitization trusts contained material misrepresentations and omissions, in violation of Sections 11 and 12 of the Securities Act of 1933 and/or state securities laws and other state statutory and common laws.

These cases generally involve allegations of false and misleading statements regarding (i) the process by which the properties that served as collateral for the mortgage loans underlying the MBS were appraised; (ii) the percentage of equity that mortgage borrowers had in their homes; (iii) the borrowers’ ability to repay their mortgage loans; and (iv) the underwriting practices by which those mortgage loans were originated (collectively, the “MBS Claims”).  In addition, several of the cases discussed below assert claims related to the ratings given to the different tranches of MBS by rating agencies.  Plaintiffs in these cases generally seek unspecified compensatory damages, unspecified costs and legal fees and, in some instances, seek rescission.

In 2006 and 2007, MLPFS and other financial institutions participated as underwriters in MBS offerings in which IndyMac MBS, Inc. securitized residential mortgage loans originated or acquired by IndyMac Bank, F.S.B. (“IndyMac Bank”) and created trusts that issued MBS.  In 2009, Bank of America Corporation (the “Corporation”), MLPFS’s ultimate parent, was named as an underwriter defendant, along with several other financial institutions, in its alleged capacity as “successor-in-interest” to MLPFS in a consolidated class action in the U.S. District Court for the Southern District of New York.  In their complaint, plaintiffs assert MBS Claims relating to 106 offerings of IndyMac-related MBS.  On June 21, 2010, the court dismissed the Corporation from the action because the plaintiffs failed to plead sufficient facts to support their allegation that it is the “successor-in-interest” to MLPFS.  On August 3, 2010, plaintiffs filed a motion to add MLPFS as a defendant, which MLPFS has opposed.

The Parent, MLPFS, Merrill Lynch Mortgage Investors, Inc. (“MLMI”) and certain current and former directors of MLMI are named as defendants in a putative consolidated class action in the U.S. District Court in the Southern District of New York.  In addition to MBS Claims, plaintiffs also allege that the offering documents for the MBS misrepresented or omitted material facts regarding the credit ratings assigned to the securities.  In March 2010, the court dismissed claims related to 65 of 84 offerings with prejudice due to lack of standing as no named plaintiff purchased securities in those offerings.  On November 8, 2010, the court dismissed claims related to 1 of 19 remaining offerings on separate grounds. MLPFS was the sole underwriter of these 18 offerings.  On December 1, 2010, defendants filed an answer to the consolidated amended complaint.

Cambridge Place Investment Management Inc. (“CPIM”), as the alleged exclusive assignee of certain entities that allegedly purchased MBS offered or sold by BAS and MLPFS brought an action against MLPFS, BAS and MLMI in Massachusetts Superior Court, Suffolk County.  CPIM also brought claims against more than 50 other defendants in this action.  In addition to MBS Claims, CPIM contends that BAS, MLPFS and MLMI made false and misleading statements in violation of the Massachusetts Uniform Securities Act regarding (i) due diligence performed by the underwriters on the mortgage loans and the mortgage originators’ underwriting practices and (ii) the credit enhancements applicable to certain tranches of the MBS.  On August 13, 2010, certain

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defendants removed the case to the U.S. District Court for the District of Massachusetts.  On September 13, 2010, CPIM filed a motion to remand the case back to state court. On October 12, 2010, the court referred the motion to remand to a Magistrate Judge for consideration. On December 28, 2010, the Magistrate Judge issued a report and recommendation that the action be remanded to state court. On January 18, 2011, the defendants filed an objection to that recommendation, which CPIM opposed on February 1, 2011. The objection to the Magistrate Judge’s recommendation remains pending.

On February 11, 2011, CPIM commenced a separate civil action in Massachusetts Superior Court, Suffolk County, in connection with the offering or sale of certain additional MBS by BAS, MLPFS, Countrywide Securities Corporation (“CSC”), several of their affiliates, and more than 40 other defendants. CPIM alleges that it is the assignee of the claims of certain entities that allegedly purchased MBS issued or sold by BAS, MLPFS and CSC in various offerings. In addition to MBS Claims, CPIM contends that BAS, MLPFS, CSC and their affiliates made false and misleading statements in violation of the Massachusetts Uniform Securities Act in connection with these offerings regarding: (i) due diligence performed by the underwriters on the mortgage loans and the mortgage originators’ underwriting practices; (ii) the credit enhancements applicable to certain tranches of the MBS; and (iii) the validity of each issuing trust’s title to the mortgage loans comprising the pool for that securitization.

The Federal Home Loan Bank of Chicago (“FHLB Chicago”) filed a complaint against MLPFS and BAS in the Illinois Circuit Court, Cook County.  FHLB Chicago also filed a complaint against BAS in the Superior Court of California, Los Angeles County.  In addition to certain MBS Claims, FHLB Chicago contends that defendants made false and misleading statements regarding among other things, the guidelines for extending mortgages to borrowers and the due diligence performed on repurchased and pooled loans. Both actions have been removed to federal court

The Federal Home Loan Bank of Seattle (“FHLB Seattle”) filed two separate complaints, each against different defendants, including MLPFS, MLMI and Merrill Lynch Mortgage Capital, Inc. (“MLMC”), and BAS, as well as certain other defendants, in the Superior Court of Washington for King County concerning separate issuances. In addition to certain MBS Claims, FHLB Seattle contends that defendants made false and misleading statements regarding the number of borrowers who actually lived in the houses that secured the mortgage loans, and the business practices of the lending institutions that made the mortgage loans.  FHLB Seattle claims that the sales violated the Securities Act of Washington.  On October 18, 2010, BAS and other defendants filed a consolidated motion to dismiss the first complaint, which is currently pending.  On the same date, MLPFS entities named as defendants in the second case (MLPFS, MLMI and MLMC) filed a motion to dismiss the amended complaint, which is currently pending.

The Federal Home Loan Bank of San Francisco (“FHLB San Francisco”) filed two actions against different defendants, including MLPFS and BAS, in the Superior Court of California, County of San Francisco, which asserts claims against BAS and others and which asserts claims against MLPFS and others.  In addition to certain MBS Claims, FHLB San Francisco contends that defendants made false and misleading statements regarding the original mortgage lenders’ guidelines for extending the loans to borrowers.  FHLB San Francisco also claims that defendants failed to disclose that third party rating services’ credit ratings of the MBS did not take into account defendants’ false and misleading statements about the mortgage loans underlying the MBS. On November 5, 2010, FHLB San Francisco sought permission from the court to amend its complaint in the first action to include the Corporation as a defendant and, among other things, to assert control person liability claims against the Corporation under state and federal securities laws and to assert that the Corporation succeeded to Countrywide Financial Corporation’s (“CFC”) interests.  Defendants had removed the state court actions to federal court, but on December 20, 2010 the U.S. District Court, Northern District of California remanded the cases to state court and denied a motion to amend the complaint as moot when it granted remand.  On November 5, 2010, FHLB San Francisco also filed a declaratory action in the Superior Court of California, County of San Francisco, seeking a determination that the Corporation is a successor to the liabilities of CFC.

The Charles Schwab Corporation (“Schwab”) has filed an individual action against BAS and others, in the Superior Court of California, County of San Francisco on July 15, 2010.  This action is in connection with the purchase by Schwab of approximately $166 million of MBS which relates to claims with respect to BAS.  In addition to MBS Claims, Schwab contends that BAS is liable for false and misleading statements regarding among other things, the business practices of the lending institution that made the original loan and MBS credit ratings. In September 2010, BAS joined in and consented to the removal of this action to the U.S. District Court for the Northern District of California.  Schwab has filed a motion to remand the action to California state court, which remains pending.

On March 13, 2006, MLPFS entered into a settlement with the SEC whereby the SEC alleged, and MLPFS neither admitted nor denied, that MLPFS failed to furnish promptly to representatives of the SEC e-mails as required under Section 17(a) of the Securities

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Exchange Act of 1934, and Rule 17a-4(j) thereunder.  The SEC also alleged, and MLPFS neither admitted nor denied, that MLPFS failed to retain certain e-mails related to its business as such in violation of Section 17(a) of the Securities Exchange Act of 1934 and Rule 17a-4(b)(4) thereunder.  Pursuant to the terms of the settlement, MLPFS consented to a cease and desist order, a censure, a civil money penalty of $2,500,000, and compliance with certain undertakings related to the retention and prompt production of e-mails to the SEC.

As part of a settlement relating to managing auctions for ARS, the SEC accepted the offers of settlement of 15 broker-dealer firms, including MLPFS, and issued a settlement order on May 31, 2006.  The SEC found, and MLPFS neither admitted nor denied, that respondents (including MLPFS) violated Section 17(a)(2) of the Securities Act of 1933 by managing auctions for ARS in ways that were not adequately disclosed or that did not conform to disclosed procedures.  MLPFS consented to a cease and desist order, as censure, a civil money penalty of $1,500,000, and compliance with certain undertakings.

On March 11, 2009, without admitting or denying the SEC’s findings, MLPFS consented to the entry of an administrative SEC order that: (1) found violations of Section 15(f) of the Securities Exchange Act of 1934 and Section 204A of the Investment Advisers Act of 1940 for allegedly failing to maintain written policies and procedures reasonably designed to prevent the misuse of customer order information; (2) required that MLPFS cease and desist from committing or causing any future violations of the provisions charged; (3) censured MLPFS; (4) imposed a $7,000,000 civil money penalty; and (5) required MLPFS to comply with certain undertakings.

On January 30, 2009, MLPFS, without admitting or denying any findings of misconduct by the SEC, consented to the entry of an administrative order by the SEC that: (1) found that MLPFS violated Sections 204 and 206(2) of the Investment Advisers Act of 1940, and Rule 204-2(a)(14) thereunder; (2) required that MLPFS cease and desist from committing or causing any violation or further violations of the provisions charged; (3) censured MLPFS pursuant to Section 203(e) of the Investment Advisers Act of 1940; and (4) required MLPFS to pay a civil money penalty of $1,000,000.  The order found that MLPFS, through its pension consulting services advisory program, breached its fiduciary duty to certain current and prospective pension fund clients by misrepresenting and omitting to disclose material information.

The Commonwealth of Massachusetts Office of the Secretary of the Commonwealth Securities Division (“MSD”) alleged that MLPFS violated the Massachusetts Uniform Securities Act, which, in part, prohibits unethical or dishonest conduct or practices in the securities business, concerning the sale of ARS to retail and other customers by MLPFS.  Without admitting or denying the allegations, MLPFS entered into a settlement with the MSD, in which it agreed to certain undertakings, including offering to buy back eligible ARS from eligible investors.  MLPFS agreed to pay the MSD a civil penalty of $1,598,651, as part of a $125,000,000 fine that will be allocated at the Commonwealth of Massachusetts and other states’ discretion to resolve all underlying conduct relating to the sale of ARS.

As the result of the merger of Banc of America Investment Services, Inc. (“BAI”) with and into MLPFS on October 23, 2009 and the merger of Banc of America Securities LLC (“BAS”) with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAI and BAS in the following matter:  The SEC alleged that BAI and BAS (together, the “Firms”), misled customers regarding the fundamental nature and increasing risks associated with ARS that the Firms underwrote, marketed, and sold.  The SEC also alleged that, by engaging in such conduct, the Firms violated Section 15(c) of the Securities Exchange Act of 1934.  The Firms neither admit nor deny these allegations.  Among other undertakings, the Firms have, through their affiliate Blue Ridge Investments, L.L.C., offered to purchase at par from “Individual Investors” (as defined in the Consent of Defendants Banc of America Securities LLC and Banc of America Investment Services, Inc.) certain ARS, and have substantially completed the purchase of those ARS.  The Firms have also agreed to pay a total civil penalty of $50,000,000 that will be distributed among the states and U.S. territories that enter into administrative or civil consent orders related to ARS.

The Texas State Securities Board (the “Board”) alleged that in connection with the sale of securities in Texas by certain of MLPFS’s client associates who were not registered in Texas, MLPFS failed to establish a supervisory system reasonably designed to achieve compliance with the Texas Securities Act and Rules and Regulations of the Texas State Securities Board (the “Board Rules”) and failed to enforce its established written procedures in violation of §§ 115.10(a) and (b)(1) of the Board Rules, respectively.  Without admitting or denying the findings of fact or conclusions of law, MLPFS entered into a Consent Order with the Board in which it agreed to a reprimand, to cease and desist from engaging in the sale of securities in Texas through unregistered agents, and to comply with certain undertakings.  MLPFS agreed to pay the State of Texas $1,568,985, as part of a total payment, consisting of fines, penalties and any other monetary sanctions, of $26,563,095 that will be allocated among the 50 states, the District of Columbia, Puerto Rico, and the U.S. Virgin Islands.  MLPFS also agreed to pay $25,000 to the North American Securities Administrators Association (“NASAA”) as consideration for financial assistance

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provided by NASAA in connection with the multi-state investigation.

As the result of the merger of BAS with and into MLPFS on November 1, 2010, MLPFS assumed the liabilities of BAS in the following matter:  On December 7, 2010, the SEC issued an administrative and cease-and-desist order finding that BAS willfully violated Section 15(c)(1)(A) of the Securities Exchange Act of 1934 when certain employees participated in improper bidding practices involving the temporary investment of proceeds of tax-exempt municipal securities in reinvestment products during the period 1998-2002.  The order censured BAS, ordered BAS to cease and desist from committing or causing such violations and future violations, and ordered BAS to pay disgorgement plus prejudgment interest in the amount of $36,096,442.  BAS consented to the order without admitting or denying the SEC’s findings.

Pursuant to an offer of settlement made by MLPFS, the SEC issued on January 25, 2011 an order finding that between February 2003 and February 2005 MLPFS market makers executing institutional customer orders for securities sometimes shared information concerning those trades with traders on a MLPFS securities proprietary trading desk.  The order found that, at times, MLPFS’s securities proprietary traders used that information to place trades for MLPFS after execution of the institutional customer order.  The order found that this disclosure and use of institutional customer order information by MLPFS’s traders was improper and contrary to MLPFS’s confidentiality representations to its customers.  The order also found instances between 2002 and 2007 when MLPFS charged institutional and high net worth customers undisclosed mark-ups and mark-downs on riskless securities principal trades for which MLPFS had agreed to charge the customer only a commission equivalent fee.  The order found that, in doing so, MLPFS acted improperly and contrary to its agreements with its customers.  The order also found that from 2002 through 2007 MLPFS failed in many instances to make records of its agreements with institutional customers to guarantee an execution price, which agreements were part of the terms and conditions of the institutional customer orders.  The order found that, as a result of its conduct, MLPFS willfully violated Section 15(c)(1)(A) of the Securities Exchange Act of 1934 by effecting transactions in securities by means of manipulative, deceptive or other fraudulent devices or contrivances, and willfully violated Section 15(g) of the Securities Exchange Act of 1934 by failing to establish, maintain, and enforce written policies and procedures reasonably designed to prevent the misuse of material, nonpublic information.  The order also found that under Section 15(b)(4)(E) of the Securities Exchange Act of 1934, MLPFS failed reasonably to supervise its traders with a view towards preventing them from violating the federal securities laws.  The order also found that MLPFS willfully violated Section 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder by failing to record certain terms and conditions of customer orders.  MLPFS neither admitted nor denied the findings in the order.  The findings in the order are not binding on any person or entity other than MLPFS.  On December 17, 2010, MLPFS submitted an offer of settlement to the SEC.  In the offer of settlement, MLPFS agreed to consent to the entry of the order, without admitting or denying the findings contained therein (other than those relating to jurisdiction).  The order was issued on January 25, 2011. The order (i) required that MLPFS cease and desist from committing or causing any violations and any future violations of Sections 15(c)(1)(A), 15(g) and 17(a) of the Securities Exchange Act of 1934 and Rule 17a-3(a)(6) thereunder; (ii) censured MLPFS pursuant to Section 15(b)(4) of the Securities Exchange Act of 1934; and (iii) required pursuant to Section 15(b)(4) and Section 21B of the Securities Exchange Act of 1934 that MLPFS pay a civil money penalty in the amount of $10 million.  The penalty was paid on February 1, 2011.

Newedge USA, LLC (“Newedge USA”) serves as a clearing broker to the Trust to execute and clear the Trust’s futures transactions and provide other brokerage-related services.  Newedge USA is a subsidiary of Newedge Group.   Newedge USA is an FCM and broker-dealer registered with the CFTC and the SEC, and is a member of NFA and FINRA.  Newedge USA is a clearing member of all principal futures exchanges located in the United States as well as a member of the Chicago Board Options Exchange, International Securities Exchange, New York Stock Exchange, Options Clearing Corporation and Government Securities Clearing Corporation.  Newedge USA is headquartered at 550 W. Jackson, Suite 500, Chicago, Illinois 60661 with branch offices in San Francisco, California; New York, New York; Kansas City, Missouri; Cypress, Texas; and Montreal, Canada. Prior to January 2, 2008, Newedge USA was known as Fimat USA, LLC.  On September 1, 2008, Newedge USA merged with FCM and broker-dealer Newedge Financial Inc. (“NFI”) — formerly known as Calyon Financial Inc.  Newedge USA was the surviving entity.

In March 2008, NFI settled, without admitting or denying the allegations, a disciplinary action brought by NYMEX alleging that NFI violated NYMEX rules related to: numbering and time stamping orders by failing properly to record a floor order ticket; wash trading; failure to adequately supervise employees; and violation of a prior NYMEX cease and desist order, effective as of December 5, 2006, related to numbering and time stamping orders and block trades.  NFI paid a $100,000 fine to NYMEX in connection with this settlement.

In February 2011, Newedge USA settled, without admitting or denying the allegations, a

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disciplinary action brought by the CFTC alleging that Newedge USA exceeded speculative limits in the October 2009 live cattle futures contract on the Chicago Mercantile Exchange and failed to provide accurate and timely reports to the CFTC regarding their larger trader positions.  Newedge USA paid a $140,000 civil penalty and disgorgement value of $80,910 to settle this matter.  In addition, the CFTC Order required Newedge USA to implement and maintain a program designed to prevent and detect reporting violations of the Commodity Exchange Act and CFTC regulations.

Other than the foregoing proceedings, which did not have a material adverse effect upon the financial condition of Newedge USA, there have been no material administrative, civil or criminal actions brought, pending or concluded against Newedge USA or its principals in the past five years.

CONFLICTS OF INTEREST

General

The Managing Owner has not established any formal procedures to resolve the conflicts of interest described below. You should be aware that no such procedures have been established, and that, consequently, you will be dependent on the good faith of the respective parties subject to such conflicts to resolve such conflicts equitably. Although the Managing Owner will attempt to monitor and resolve these conflicts in good faith, it will be extremely difficult, if not impossible, for it to assure that these conflicts will not, in fact, result in losses for the Trust. Notwithstanding the conflict of interest, the Trust will trade in parallel with all other Managing Owner accounts traded pursuant to the Managing Owner’s Diversified Portfolio.

The Managing Owner

The responsibilities of the Managing Owner include acting as the managing owner and trading advisor for the Trust and engaging commodity brokers and dealers to execute trades on behalf of the Trust. The Managing Owner has a conflict of interest in that it has a financial disincentive to replace itself as either the trading advisor or the entity receiving the Brokerage Fees from the Trust.

The Profit Share arrangement between the Trust and the Managing Owner may create an incentive for the Managing Owner to make trading and investment decisions (or implement the Trust’s systematic trading strategy) in a manner that is more speculative or subject to a greater degree of loss than would be the case if no such arrangement existed.

The Managing Owner receives, with respect to the Series 1 Units, the difference between (1) the amount paid out to the Selling Agents plus the amount paid out for executing the Trust’s trades and (2) the Brokerage Fee the Managing Owner receives from the Trust with respect to Series 1 Units.  Thus, the Managing Owner has a conflict of interest between trading in the manner which it believes to be in the best interests of the Trust and trading in low volume or in the forward markets so as to reduce the Trust’s futures trading costs.

The Managing Owner directs the trading for clients other than the Trust. The Managing Owner and its principals may have incentives (financial or otherwise) to favor such other accounts over the Trust in such matters as, for example, the allocation of available speculative position limits. Different accounts also pay different fees, trade at different levels of leverage and will, from time to time, compete for the same positions.

The Managing Owner has agreed to treat the Trust equitably with its other accounts. However, the Managing Owner trades different portfolios for other accounts and there can be no assurance whatsoever that such other portfolios will not outperform the Trust. The Managing Owner will, however, trade the Trust’s account in parallel with all other accounts managed by the Managing Owner pursuant to the Diversified Portfolio.

The Trust’s Brokers

The Clearing Brokers and other brokers employed by the Trust act from time to time as commodity brokers for other accounts with which they are affiliated or in which they or one of their respective affiliates has a financial interest. In addition, various accounts traded through the Trust’s brokers (and over which their personnel may have discretionary trading authority) may take positions in the futures markets opposite to those of the Trust or compete with the Trust for the same positions. The Trust’s brokers may have a conflict of interest in their execution of trades for the Trust and for other of their customers. The Managing Owner has, however, no reason to believe that the Trust’s brokers would knowingly or deliberately favor any other customer over the Trust with respect to the execution of commodity trades.

The Trust’s brokers assess the Trust brokerage commissions and may assess forward contract “bid-ask” spreads. These commission rates and forward contract pricing arrangements for the Trust may not have been negotiated at arm’s length.

The Managing Owner selects the Trust’s Clearing Brokers, other brokers and counterparties to execute transactions on behalf of the Trust.  The commission rates or “bid-ask” spreads paid by the Trust may not be the lowest rates the Trust could have obtained, but the Managing Owner believes that those rates/spreads are competitive with rates paid by similar customers.  The

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Managing Owner selects those service providers based on various factors, including, but not limited to, quality of execution, commission rates, market knowledge, financial condition and creditworthiness.  The Managing Owner may also consider factors that benefit the Managing Owner, such as the referral of prospective Trust and other investors to the Managing Owner.  The Managing Owner’s receipt of such benefits may give it an incentive to select a Clearing Broker, other broker or counterparty that it would not otherwise use, but the Managing Owner intends to use only those Clearing Brokers, other brokers and counterparties that provide the Trust with high quality services and competitive commission rates consistent with the Managing Owner’s obligations to the Trust.

Certain officers or employees of the Trust’s brokers are, and may in the future be, members of United States commodities exchanges and are serving, and may in the future serve, on the governing bodies and standing committees of such exchanges and of their clearinghouses and of various industry organizations. In such capacities, these employees have a fiduciary duty to the exchanges and their clearinghouses which could compel such employees to act in the best interests of these entities, perhaps to the detriment of the Trust.

The Selling Agents

The Selling Agents receive substantial selling commissions on the sale of Units. Consequently, the Selling Agents have a conflict of interest in advising their clients whether to invest in the Units.

The Selling Agents receive ongoing compensation or installment selling commissions based on Units sold by them which remain outstanding longer than twelve months. Consequently, the Selling Agents have a disincentive to advise clients to redeem their Units even when doing so is in such clients’ best interests.

The total dollar amount of brokerage commissions paid by the Trust is dependent upon the size of the Trust’s capitalization. Consequently, the Selling Agents have a financial incentive to discourage their clients from redeeming Units.

In addition, one or more Selling Agents may also be selected, based on the criteria described above, to serve as Clearing Brokers, other brokers or counterparties for the Trust.

Proprietary Trading and Trading for Other Accounts

The Managing Owner, the Clearing Brokers and other clearing brokers employed by the Trust and their respective principals and affiliates may trade in the futures and forward markets for their own accounts and for the accounts of their clients. In doing so, they may take positions opposite to those held by the Trust or may compete with the Trust for positions in the marketplace. Records of this trading are not available for inspection. Such trading may create conflicts of interest on behalf of one or more of such persons in respect of their obligations to the Trust.

Because the Managing Owner, the Clearing Brokers and other brokers employed by the Trust and their respective principals and affiliates may trade for their own accounts at the same time that they are managing the Trust’s account, you should be aware that, as a result of a neutral allocation system, testing a new trading system, trading their proprietary accounts more aggressively or other actions not constituting a violation of fiduciary duty, such persons may from time to time take positions in their proprietary accounts which are opposite, or ahead of, the positions taken for the Trust.

Fiduciary Duty and Remedies

In evaluating the foregoing conflicts of interest, a prospective investor should be aware that the Managing Owner has a responsibility to Unitholders to exercise good faith and fairness in all dealings affecting the Trust. The fiduciary responsibility of the Managing Owner is comparable to that of a general partner of a limited partnership.

If you believe that the Managing Owner has violated its fiduciary duty to the Unitholders, you may seek legal relief individually or on behalf of the Trust under applicable laws to recover damages from or require an accounting by the Managing Owner. The Declaration of Trust is governed by Delaware law and any breach of the Managing Owner’s fiduciary duty under the Declaration of Trust will generally be governed by Delaware law. The Declaration of Trust does not limit fiduciary obligations under Delaware or common law. The Managing Owner may, however, assert as a defense to claims of breach of fiduciary duty that the conflicts of interest and fees payable to the Managing Owner have been disclosed to you in the Prospectus.

THE TRUST AND THE TRUSTEE

The following summary briefly describes certain aspects of the operation of the Trust. You should carefully review the Declaration of Trust attached hereto as Exhibit A and consult with your own advisors concerning the implications to you of investing in a Delaware statutory trust.

Principal Office; Location of Records

The Trust is organized under the Delaware Statutory Trust Act (formerly, the Delaware Business Trust Act). The Trust is administered, including the performance of transfer agent services, by the Managing Owner, whose office is located at 411 West Putnam

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Avenue, Greenwich, Connecticut 06830 (telephone: (203) 625-8211). The records of the Trust, including a list of the Unitholders and their addresses, is located at the foregoing address, and available for inspection and copying by Unitholders as provided in the Declaration of Trust.

Certain Aspects of the Trust

The Trust is the functional equivalent of a limited partnership. No special custody arrangements are applicable to the Trust that would not be applicable to a limited partnership. You should not anticipate any legal or practical protections under the Delaware Statutory Trust Act greater than those available to limited partners of a limited partnership.

To the greatest extent permissible under Delaware law, the Trustee acts in a passive role, with all authority over the operation of the Trust going to the Managing Owner. The Managing Owner is the functional equivalent of a sole general partner in a limited partnership.

The Declaration of Trust gives Unitholders voting rights comparable to those typically extended to limited partners in publicly-offered futures funds.

The Trustee

Wilmington Trust Company, a Delaware banking corporation, is the sole Trustee of the Trust. The Trustee’s principal offices are located at Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890-0001. The Trustee is not affiliated with either the Managing Owner or the Selling Agents.

The Trustee will accept service of legal process on the Trust in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Trust, the Managing Owner or the Unitholders. The Declaration of Trust provides that the Trustee is compensated by the Trust. The Managing Owner has the discretion to replace the Trustee.

Under the Declaration of Trust, the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Trust. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor shall the Trustee have any liability for the acts or omissions of the Managing Owner. In the course of its management, the Managing Owner may, in its sole and absolute discretion, appoint an affiliate or affiliates of the Managing Owner as additional managing owners and retain such persons, including affiliates of the Managing Owner, as it deems necessary for the efficient operation of the Trust.

The Trustee is not registered in any capacity with the CFTC.

Management of Trust Affairs; Voting by Unitholders

Unitholders will not take any part in the management or control and will have no voice in the operations of the Trust or its business. Unitholders may, however, remove and replace the Managing Owner as managing owner of the Trust, and may amend the Declaration of Trust, except in certain limited respects, by the affirmative vote of a majority of the outstanding Units then owned by Unitholders. The owners of a majority of the outstanding Units then owned by Unitholders may also compel dissolution of the Trust. Although the Trust will not hold any regular, or annual, meetings of the Unitholders, upon receipt of a written proposal signed by the owners of at least 10% of the outstanding Units that a meeting be called, the Managing Owner will call a meeting of the Trust. The details of this procedure are set forth in Section 18 of the Declaration of Trust attached hereto as Exhibit A. The Managing Owner has no power under the Declaration of Trust to restrict any of the Unitholders’ voting rights.

The Managing Owner has the right to amend the Declaration of Trust without the consent of the Unitholders provided that any such amendment is for the benefit of and not adverse to the Unitholders or the Trustee.

In the event that the Managing Owner or the Unitholders vote to amend the Declaration of Trust in any material respect, the amendment will not become effective before all Unitholders have had an opportunity to redeem their Units.

Recognition of the Trust in Certain States

A number of states do not have “business trust” statutes such as that under which the Trust has been formed in the State of Delaware.  In order to protect Unitholders against any possible loss of limited liability, the Declaration of Trust provides that no written obligation may be undertaken by the Trust unless such obligation is explicitly limited so as not to be enforceable against any Unitholder personally.

Possible Repayment of Distributions Received by Unitholders; Indemnification of the Trust by Unitholders

The Units are limited liability investments; you may not lose more than the amount you invest plus any profits recognized on your investment. However, you could be required, as a matter of law, to return to the Trust’s estate any distribution which you received at a time when the Trust was in fact insolvent or in violation of the Declaration of Trust. In addition, although the Managing Owner is not aware of this provision ever

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having been invoked in the case of any public futures fund, Unitholders agree in the Declaration of Trust that they will indemnify the Trust for any harm suffered by it as a result of (1) Unitholders’ actions unrelated to the business of the Trust, (2) transfers of their Units in violation of the Declaration of Trust or (3) taxes imposed on the Trust by the states or municipalities in which such investors reside.

Indemnification and Standard of Liability

The Managing Owner and certain of its affiliates, officers, directors and controlling persons may not be liable to the Trust or any Unitholder for errors in judgment or other acts or omissions not amounting to misconduct or negligence, as a consequence of the indemnification and exculpatory provisions described in the following paragraph. You may, therefore, have more limited rights of action than you would absent such provisions.

The Managing Owner and its affiliates shall not have any liability to the Trust or to any Unitholder for any loss suffered by the Trust which arises out of any action or inaction of the Managing Owner or any such affiliate if the Managing Owner or its affiliates, in good faith, determined that such course of conduct was in the best interests of the Trust, and such course of conduct did not constitute negligence or misconduct.

The Trust has agreed to indemnify the Managing Owner and its affiliates, officers, directors and controlling persons against claims, losses or liabilities based on their conduct relating to the Trust, provided that the conduct resulting in the claims, losses or liabilities for which indemnity is sought did not constitute negligence, misconduct or breach any fiduciary obligation to the Trust and was done in good faith and in a manner the Managing Owner, in good faith, determined to be in the best interests of the Trust.

The Declaration of Trust provides that the Managing Owner, its affiliates and the Selling Agents shall not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of federal or state securities laws unless (1) there has been a successful adjudication on the merits of each count involving alleged securities law violations as to the particular indemnitee and the court approves indemnification of the litigation costs, or (2) such claims have been dismissed with prejudice on the merits by a court of competent jurisdiction as to the particular indemnitee and the court approves indemnification of the litigation costs, or (3) a court of competent jurisdiction approves a settlement of the claims against a particular indemnitee and finds that indemnification of the settlement and related costs should be made. It is the opinion of the SEC and certain States that indemnification for violation of the securities laws is against public policy and unenforceable.

Transfers of Units Restricted

Subject to compliance with applicable securities laws, you may assign your Units upon notice to the Trust and the Managing Owner. No assignment will be effective in respect of the Trust or the Managing Owner until the first day of the month following the month in which such notice is received. An assignee may become a substituted Unitholder only with the consent of the Managing Owner and upon execution and delivery of an instrument of transfer in form and substance satisfactory to the Managing Owner.

There are no certificates for the Units. Transfers of Units are reflected on the books and records of the Trust. Transferors and transferees of Units will each receive notification from the Managing Owner to the effect that such transfers have been duly reflected as notified to the Managing Owner.

Reports to Unitholders

The Managing Owner will provide you with monthly reports in compliance with CFTC requirements. The Managing Owner also distributes, not later than March 15 of each year, audited financial statements and the tax information related to the Trust necessary for the preparation of your annual federal income tax returns.

The Managing Owner will notify all Unitholders of a Series within seven business days of any decline in the Net Asset Value per Unit of such Series to less than 50% of such Net Asset Value as of the previous month-end valuation date. In addition, the Managing Owner will notify all Unitholders of any change in the fees paid by the Trust or of any material changes in the basic investment policies or structure of the Trust. Any such notifications shall include a description of your voting rights.

FEDERAL INCOME TAX ASPECTS

The following constitutes the opinion of Sidley Austin LLP and summarizes the material federal income tax consequences to individual investors in the Trust. Sidley Austin LLP’s opinion is filed as an exhibit to the registration statement related to the Units offered by this Prospectus.

The Trust’s Partnership Tax Status

The Trust will be treated as a partnership and, based on the type of income expected to be earned by the Trust, it will not be treated as a “publicly traded partnership” taxable as a corporation.  Accordingly, the Trust will not pay any federal income tax.

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Taxation of Unitholders on Profits and Losses of the Trust

Each Unitholder (other than Foreign Unitholders and tax-exempt U.S. Unitholders, discussed below) must pay tax on his share of the Trust’s annual income and gains, if any, even if the Trust does not make any cash distributions.

The Trust generally allocates the Trust’s gains and losses equally with respect to each Unit. However, a Unitholder who redeems any Units will be specially allocated the Trust’s gains and losses in order that the amount of cash a Unitholder receives for a redeemed Unit will generally equal the Unitholder’s adjusted tax basis attributable to the redeemed Unit. A Unitholder’s adjusted tax basis in his Units generally equals the amount paid for the Units, increased by income or gains allocated to the Unitholder with respect to the Units and decreased (but not below zero) by distributions, deductions and losses allocated to the Unitholder with respect to the Units.

Deductibility of Trust Losses by Unitholders

A Unitholder may deduct Trust losses only to the extent of his adjusted tax basis in his Units. However, a Unitholder subject to “at-risk” limitations (generally, non-corporate taxpayers and closely-held corporations) can only deduct losses to the extent the Unitholder is “at-risk.” The “at-risk” amount is similar to adjusted tax basis, except that it does not include any amount borrowed on a nonrecourse basis or from someone with an interest in the Trust.

“Passive-Activity Loss Rules” and Their Effect on the Treatment of Income and Loss

The trading activities of the Trust are not a “passive activity.” Accordingly, a Unitholder can deduct Trust losses from taxable income (subject to certain limitations, such as the limitation on deductibility of capital losses, discussed below). However, a Unitholder cannot offset losses from “passive activities” against Trust gains.

Cash Distributions and Unit Redemptions

A Unitholder who receives cash from the Trust, either through a distribution or a partial redemption, will not pay tax on that cash until his adjusted tax basis in the Units is reduced to zero. A Unitholder who receives cash upon the complete redemption of Units will recognize gain or loss for federal income tax purposes. Such gain or loss will generally equal the difference between the amount of cash received and the Unitholder’s adjusted tax basis for his Units.

Potential Trust-Level Consequences of Withdrawals and Transfers of Units

If a Unitholder receives a distribution of property in liquidation of his Units that would, if the Trust had an Internal Revenue Code of 1986, as amended (the “Code”), Section 754 election in effect, require the Trust to make a downward adjustment of more than $250,000 to the basis of its remaining assets, then even if the Trust does not have a Code Section 754 election in effect, the Trust will be required to make a downward adjustment to the basis of its remaining assets.

In addition, if immediately after the transfer of a Unit, the Trust’s adjusted basis in its property exceeds the fair market value by more than $250,000 of such property, the Trust generally will be required to adjust the basis of its property with respect to the transferee Unitholder.

Gain or Loss on Section 1256 Contracts and Non-Section 1256 Contracts

Section 1256 Contracts include certain futures and forward contracts as well as certain option contracts on certain futures contracts traded on United States exchanges. For tax purposes, Section 1256 Contracts that remain open at year-end are marked-to-market and treated as if the position were closed at year-end. The gain or loss on Section 1256 Contracts is characterized as 60% long-term capital gain or loss and 40% short-term capital gain or loss, regardless of how long the position was open.

Non-Section 1256 Contracts include Section 988 transactions, i.e., transactions in which the amount paid or received is denominated by reference to a foreign currency. In general, gain or loss on Section 988 transactions is characterized as ordinary income or loss. However, the Trust elects to treat gain or loss on certain Non-Section 1256 Contracts, such as foreign futures contracts, certain foreign currency forward contracts and non-equity options on foreign currencies, as capital gain or loss.

Trading and Investing in Swaps

The Trust may invest in and trade swaps.  The proper tax treatment of swaps may not be entirely free from doubt.  The Trust expects to mark-to-market its swap positions at the end of each taxable year and to treat any gain or loss on such positions as ordinary income or loss.

Tax on Capital Gains and Losses

A non-corporate Unitholder’s long-term capital gains — net gain on capital assets held more than one year and 60% of the gain on Section 1256 Contracts — are taxed at a maximum rate of 15% for most gains

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recognized in taxable years beginning on or before December 31, 2012. Short-term capital gains — net gain on capital assets held one year or less and 40% of the gain on Section 1256 Contracts — are subject to tax at the same rates as ordinary income.

Individual taxpayers can deduct capital losses only to the extent of their capital gains plus $3,000. Accordingly, the Trust could suffer significant losses and a Unitholder could still be required to pay taxes on his share of the Trust’s interest income. Capital losses generally may not be carried back to offset capital gains in prior years, but can be carried forward indefinitely.

An individual taxpayer can carry back net capital losses on Section 1256 Contracts three years to offset earlier gains on Section 1256 Contracts. To the extent the taxpayer cannot offset past Section 1256 Contract gains, he can carry forward such losses indefinitely as losses on Section 1256 Contracts.

Limited Deduction for Certain Expenses

Individual taxpayers are subject to material limitations on their ability to deduct investment advisory expenses and other expenses of producing income. Sidley Austin LLP has advised the Managing Owner that the amount, if any, of the Trust’s expenses which might be subject to this limitation should be de minimis. Based on such advice, the Managing Owner treats these items as ordinary business deductions, or income allocations not subject to the material deductibility limitations that apply to investment advisory expenses. However, the IRS could take a different position. The IRS could contend that the Brokerage Fee, the management fee, the Profit Share or the ordinary expenses of the Trust should be recharacterized as investment advisory expenses or, alternatively, capitalized. If these items were treated as investment advisory expenses or were capitalized, individual taxpayers would have additional tax liability. See also “— Syndication Expenses,” below.

Interest Income

Interest received by the Trust is taxed as ordinary income. Net capital losses can offset ordinary income only to the extent of $3,000 per year. See “— Tax on Capital Gains and Losses,” above.

Syndication Expenses

Neither the Trust nor any Unitholder is entitled to any deduction for syndication expenses (i.e., expenses incurred in issuing and marketing the Units), nor can these expenses be amortized by the Trust or any Unitholder even though the payment of such expenses reduces Net Asset Value.

The Managing Owner has paid all organization and initial offering costs from its own funds. However, the IRS could take the position that a portion of the Brokerage Fee paid by the Trust to the Managing Owner constitutes non-deductible syndication expenses.

Investment Interest Deductibility Limitation

Individual taxpayers can deduct “investment interest”— interest on indebtedness allocable to property held for investment — only to the extent that it does not exceed net investment income. Net investment income does not include certain net capital gains. A taxpayer can elect to include certain net capital gains in investment income if he forgoes the benefit of the reduced capital gains rate.

Medicare Tax

For taxable years beginning after December 31, 2012, individual Unitholders whose modified adjusted gross income exceeds $200,000 ($250,000 in the case of joint filers) generally will be subject to a 3.8% tax on a portion or all of their “net investment income,” which will include their share of interest, gain and other income derived by the Trust.

IRS Audits of the Trust and Its Unitholders

The IRS audits Trust-related items at the Trust level rather than at the Unitholder level. The Managing Owner acts as “tax matters partner” with the authority to determine the Trust’s responses to an audit. If an audit results in an adjustment, all Unitholders may be required to pay additional taxes, interest, and penalties.

Taxation of Foreign Investors

A Unitholder who is a non-resident alien individual, foreign corporation, foreign trust or foreign estate (a “Foreign Unitholder”) generally is not subject to taxation by the United States on capital gains from commodity trading, provided that such Foreign Unitholder (in the case of an individual) does not spend more than 182 days in the United States during his taxable year, and provided further, that such Foreign Unitholder is not engaged in a trade or business within the United States during a taxable year to which income, gain, or loss of the Trust is treated as “effectively connected.” An investment in the Trust should not, by itself, cause a Foreign Unitholder to be engaged in a trade or business within the United States for the foregoing purposes, assuming that the trading activities of the Trust continue to be conducted as described in this Prospectus. In the event that the Trust were found to be engaged in a United States trade or business, a Foreign Unitholder would be required to file a United States federal income tax return for such year and pay tax at full United States rates. In the case of a Foreign Unitholder which is a foreign

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corporation, an additional 30% “branch profits” tax might be imposed. Furthermore, in such event the Trust would be required to withhold taxes from the income or gain allocable to such a Unitholder under Section 1446 of the Code.

Portfolio interest income (other than so-called “contingent interest”) allocable to a Foreign Unitholder is likewise not subject to federal income tax withholding, provided that such Foreign Unitholder is not engaged in a trade or business within the United States and provides the Trust with a Form W-8BEN or other applicable form. Similarly, a Foreign Unitholder’s allocable share of interest on U.S. bank deposits, certificates of deposit and discount obligations with maturities (from original issue) of 183 days or less is not subject to United States federal income tax withholding. Generally, other interest from United States sources (including original issue discount) paid to the Trust and allocable to Foreign Unitholders will be subject to United States federal income tax withholding at a statutory rate of 30%.  The foregoing discussion of tax consequences to Foreign Unitholders may be subject to applicable treaty modifications.

Recently enacted legislation will (i) require certain foreign entities to enter into an agreement with the IRS to disclose to the IRS the name, address and tax identification number of U.S. persons who own an interest in the foreign entity and require other foreign entities to provide other information and (ii) impose a 30% withholding tax on certain payments of U.S. source income or proceeds from the sale of property to the foreign entity made after December 31, 2012 if it fails to enter into the agreement or satisfy its obligations under the legislation. As a result, Foreign Unitholders may be subject to the 30% withholding tax in respect of certain of the Trust’s investments if they fail to enter into an agreement with the IRS or otherwise fails to satisfy their obligations under the legislation.  Foreign Unitholders are encouraged to consult with their own tax advisors regarding the possible implications of this legislation on an investment in the Trust.

Tax-Exempt U.S. Unitholders

A tax-exempt U.S. Unitholder will not be required to pay tax on its share of income or gains of the Trust, so long as such Unitholder does not use borrowed funds in connection with its purchase of Units.

State and Other Taxes

In addition to the federal income tax consequences described above, the Trust and the Unitholders may be subject to various state and other taxes.

Prospective investors are urged to consult their tax advisors before deciding whether to invest.

PURCHASES BY EMPLOYEE BENEFIT PLANS

Although there can be no assurance that an investment in the Trust, or any other managed futures product, will achieve the investment objectives of an employee benefit plan, such investments have certain features which may be of interest to such plans. For example, the futures markets are one of the few investment fields in which employee benefit plans can participate in leveraged strategies without being required to pay tax on “unrelated business taxable income.” In addition, because they are not taxpaying entities, employee benefit plans are not subject to paying annual tax on their profits, if any, from the Trust despite receiving no distributions from it, as are other Unitholders.

General

The following section sets forth certain consequences under the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), and the Code, which a fiduciary of an “employee benefit plan” as defined in, and subject to the fiduciary responsibility provisions of, ERISA or of a “plan” as defined in and subject to Section 4975 of the Code who has investment discretion should consider before deciding to invest any of such plan’s assets in the Trust (such “employee benefit plans” and “plans” being referred to herein as “Plans,” and such fiduciaries with investment discretion being referred to herein as “Plan Fiduciaries”). The following summary is not intended to be complete, but only to address certain questions under ERISA and the Code which are likely to be raised by the Plan Fiduciary’s own counsel.

In general, the terms “employee benefit plan” as defined in ERISA and “plan” as defined in Section 4975 of the Code together refer to any plan or account of various types which provides retirement benefits or welfare benefits to an individual or to an employer’s employees and their beneficiaries. Such plans and accounts include, but are not limited to, corporate pension and profit sharing plans, “simplified employee pension plans,” Keogh plans for self-employed individuals (including partners), individual retirement accounts described in Section 408 of the Code and medical benefit plans.

Each Plan Fiduciary must give appropriate consideration to the facts and circumstances that are relevant to an investment in the Trust, including the role that an investment in the Trust plays in the Plan’s overall investment portfolio. Each Plan Fiduciary, before deciding to invest in the Trust, must be satisfied that investment in the Trust is a prudent investment for the Plan, that the investments of the Plan, including the investment in the Trust, are diversified so as to minimize

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the risk of large losses and that an investment in the Trust complies with the terms of the Plan and the related trust.

EACH PLAN FIDUCIARY CONSIDERING ACQUIRING UNITS MUST CONSULT ITS OWN LEGAL AND TAX ADVISORS BEFORE DOING SO.

“Plan Assets”

The purchase of Units by a Plan raises the issue of whether that purchase will cause, for purposes of Title I of ERISA and Section 4975 of the Code, the underlying assets of the Trust to constitute assets of such Plan. ERISA and a regulation issued thereunder (the “ERISA Regulation”) contain rules for determining when an investment by a Plan in an entity will result in the underlying assets of such entity being considered assets of such Plan for purposes of ERISA and Section 4975 of the Code (i.e., “plan assets”). Those rules provide that assets of an entity will not be considered plan assets of a Plan which purchases an equity interest in the entity if certain exceptions apply, including an exception applicable if the equity interest purchased is a “publicly-offered security” (the “Publicly-Offered Security Exemption”).

The Publicly-Offered Security Exception applies if the equity interest is a security that is (1) “freely transferable,” (2) part of a class of securities that is “widely held” and (3) either (a) part of a class of securities registered under Section 12(b) or 12(g) of the Securities Exchange Act of 1934, or (b) sold to the Plan as part of a public offering pursuant to an effective registration statement under the Securities Act of 1933 and the class of which such security is a part is registered under the Securities Exchange Act of 1934 within 120 days (or such later time as may be allowed by the SEC) after the end of the fiscal year of the issuer in which the offering of such security occurred.  The ERISA Regulation states that the determination of whether a security is “freely transferable” is to be made based on all relevant facts and circumstances.  The ERISA Regulation specifies that, in the case of a security that is part of an offering in which the minimum investment is $10,000 or less, the following requirements, alone or in combination, ordinarily will not affect a finding that the security is freely transferable: (i) a requirement that no transfer or assignment of the security or rights in respect thereof be made that would violate any federal or state law; (ii) a requirement that no transfer or assignment be made without advance notice given to the entity that issued the security; and (iii) any restriction on substitution of an assignee as “a limited partner of a partnership, including a general partner consent requirement, provided that the economic benefits of ownership of the assignor may be transferred or assigned without regard to such restriction or consent” (other than compliance with any of the foregoing restrictions).  Under the ERISA Regulation, a class of securities is “widely held” only if it is of a class of securities owned by 100 or more investors independent of the issuer and of each other.  A class of securities will not fail to be widely held solely because subsequent to the initial offering the number of independent investors falls below 100 as a result of events beyond the issuer’s control.

The Managing Owner believes that the Publicly-Offered Securities Exception currently applies to the Units for the following reasons.  First, the Units are registered under the Securities Act of 1933 and timely registered under the Securities Exchange Act of 1934.  Second, the Units currently are held by more than 100 investors who the Managing Owner believes are independent of the Trust and of each other.  Lastly, the Managing Owner believes that the Units should be considered to be “freely transferable.”

Ineligible Purchasers

In general, Units may not be purchased with the assets of a Plan if the Managing Owner, the Trustee, any Clearing Broker, Morgan Stanley & Co. Inc., Deutsche Bank AG, any wholesaler, any Selling Agent, or any of their respective affiliates or any of their respective agents or employees either: (1) has investment discretion with respect to the investment of such plan assets; (2) has authority or responsibility to give or regularly gives investment advice with respect to such plan assets, for a fee, and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect to such plan assets and that such advice will be based on the particular investment needs of the Plan; or (3) is an employer maintaining or contributing to such Plan, except as is otherwise permissible under ERISA and Section 4975 of the Code. A party that is described in clause (1) or (2) of the preceding sentence is a fiduciary under ERISA and the Code with respect to the Plan, and any such purchase might result in a “prohibited transaction” under ERISA and the Code.

Except as otherwise set forth, the foregoing statements regarding the consequences under ERISA and the Code of an investment in the Trust are based on the provisions of the Code and ERISA as currently in effect, and the existing administrative and judicial interpretations thereunder. No assurance can be given that administrative, judicial or legislative changes will not occur that may make the foregoing statements incorrect or incomplete.

Acceptance of subscriptions on behalf of plans is in no respect a representation by the Trust, the Managing Owner, any Selling Agent or any other party related to the Trust that this investment meets the relevant legal requirements with respect to investments by any particular plan or that this investment is appropriate for any particular plan. The person with investment discretion should consult with

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his or her financial and legal advisors as to the propriety of an investment in the Trust in light of the circumstances of the particular plan and current tax law.

PLAN OF DISTRIBUTION

Subscription Procedure

The Series 1, Series 2 and Series 3 Units are offered on a “best efforts” basis without any firm underwriting commitment through Selling Agents including, but not limited to, LPL Financial, Stephens Inc. and RBC Capital Markets Corporation, although not all Series are offered through all Selling Agents.  You may purchase Units at Net Asset Value of the applicable Series as of the first business day of each calendar month. The Managing Owner may from time to time cause the Trust to issue Units at intra-month closings. The minimum initial investment is $5,000; $2,000 for trustees or custodians of eligible employee benefit plans and individual retirement accounts. Units are sold in fractions calculated up to three decimal places.

In order to purchase Units, you must complete, sign and deliver to a Selling Agent an original of the Subscription Agreement Signature Page which accompanies this Prospectus, together with a check for the amount of your subscription. Checks should be made payable to “Global Macro Trust.” Subscription proceeds will be deposited in the Trust’s bank account at First Republic Bank, San Francisco, California, and then transferred to a U.S. government instrument-only money market account pending investment in the Trust’s trading accounts.

Clients of certain Selling Agents may make subscription payments by authorizing the Selling Agents to debit their customer securities account for the amount of the subscription. When a subscriber authorizes such a debit, the subscriber will be required to have the amount of his or her subscription payment on deposit in his or her account on a settlement date specified by such Selling Agent. The Selling Agent will debit the account and transmit the debited funds directly to the Trust’s bank account via check or wire transfer made payable to “Global Macro Trust.” The settlement date specified by such Selling Agents shall be no later than the termination of the relevant monthly offering period.

The Managing Owner will determine, in its sole discretion, whether to accept or reject a subscription in whole or in part. The Managing Owner will make its determination within five (5) business days of the submission of a subscription to the Managing Owner, except with respect to plan asset investors, including IRAs, in which case the Managing Owner will make its determination no later than five (5) business days before the end of a month (other than for subscriptions submitted after that date).

The Managing Owner will make every reasonable effort to determine the suitability of prospective Unitholders in the Trust through information received on the Subscription Agreement. Generally, the Managing Owner must receive subscription documents at least five (5) calendar days before the end of a month for them to be accepted as of the first day of the immediately following month.

The Trust will receive any interest earned on subscriptions held in its accounts pending investment in the Trust’s trading account.

There are no fees applicable to subscriptions held pending investment in the Trust’s trading account.

Subscriptions, if rejected, will be returned to investors promptly following the end of the month in which the subscription was rejected or sooner if practicable.

Subscriptions are final and binding on a subscriber as of the close of business on the fifth business day following the submission of the subscriber’s Subscription Agreement to subscriber’s Selling Agent.

The Selling Agents

Neither the Trust nor the Unitholders pay selling commissions in connection with the sale of the Units. The Managing Owner pays the Selling Agents, from its own funds, upfront selling commissions of up to 4% of the gross offering proceeds of all Series 1 Units sold by each Selling Agent. In addition to upfront selling commissions, the Managing Owner will also pay installment selling commissions to the Selling Agents by paying up to 0.3333 of 1% (a 4% annual rate) of the month-end Net Asset Value of all Series 1 Units sold by them which remain outstanding more than twelve months after such Series 1 Units were first issued (not the date that the related subscription was received or accepted by the Trust); provided, however that cumulative selling commissions per Series 1 Unit shall not exceed 9.5% of the gross offering proceeds for such Series 1 Unit sold pursuant to this Prospectus, as described in the compensation grid below.

As illustrated in the table below, The Managing Owner pays the Selling Agents reduced selling commissions of up to 3.5%, 3% and 2.5% of the subscription amount and ongoing compensation at an annual rate of up to 3.5%, 3%, and 2.5% in respect of Series 1 Units purchased by investors investing $100,000, $500,000 or $1,000,000 or more, respectively, in the Trust.

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Reduced Selling Commission/Ongoing Compensation Table

Selling Commission/ Ongoing Compensation	Aggregate Investment per Investor
3.5%	> $100,000 < $499,999
3%	> $500,000 < $999,999
2.5%	> $1,000,000

Investors paying reduced or no selling commissions will pay Brokerage Fees reduced to reflect the reduction or absence of selling commissions. See “Charges — Brokerage Fee Differentials.”

For Series 1 Units on which the Managing Owner pays an upfront selling commission of 4% of the gross offering proceeds of such Units, the Managing Owner will pay a maximum of 5.5% of the gross offering proceeds of such Units in ongoing compensation, as described above.  Likewise, for Series 1 Units on which the Managing Owner pays an upfront selling commission of 3.5%, 3% or 2.5% of the gross offering proceeds of such Units, the Managing Owner will pay a maximum of 6%, 6.5% or 7%, respectively, of the gross offering proceeds of such Units in ongoing compensation, as described above and in the compensation grid below.

The Managing Owner may engage one or more registered broker-dealers to solicit other broker-dealers to become Selling Agents and to assist those Selling Agents with the offering and sale of the Series 1 Units, that is, to act as wholesalers. As compensation for its services, any such wholesaler will receive a portion of the selling commissions and may receive a portion of the ongoing compensation that would otherwise be paid to the Selling Agents.

The Managing Owner may also engage one or more registered broker-dealers, as wholesalers, to assist Selling Agents with the offer and sale of the Units. The Managing Owner, not the Trust, will compensate such broker-dealers from its own funds subject to the limitations of FINRA Rule 2310(b)(4)(B)(i) pertaining to maximum allowable selling commissions.  The maximum compensation payable to wholesalers is illustrated on the compensation grid below.

Series 2 Units and Series 3 Units are available for purchase only by investors participating in a registered investment adviser’s asset-based or fixed fee advisory program through which an investment adviser recommends a portfolio allocation to the Trust.  The Managing Owner may engage one or more registered broker-dealers, as introducing brokers or wholesalers, to assist Selling Agents acting as executing brokers with the offer and sale of the Series 2 Units and Series 3 Units.  The Managing Owner will pay, from its own funds, all compensation due to such broker-dealers, wholesalers and Selling Agents.  Compensation to broker-dealers, wholesalers and Selling Agents due in connection with the sale of Series 2 Units or Series 3 Units will be paid up to 6.3333% and 9.5%, respectively, of the gross offering proceeds of the Series 2 Units and Series 3 Units in monthly installments beginning with the first month following the sale of a Series 2 Unit or Series 3 Unit in an aggregate amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2 Units and Series 3 Units sold by them which remain outstanding.

The Series 2 Units are subject to a custodial fee equal to 0.0208 of 1% of the month-end Net Asset Value of all Series 2 Units (a 0.25% annual rate) before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares.  The maximum amount of custodial fees paid is 3.1667% of the gross offering proceeds of the Series 2 Units.  The Managing Owner will pay the custodial fee on to broker-dealers that act as custodian for Series 2 Units for the benefit of investors in Series 2 Units.

The Selling Agents and brokers will determine the suitability of prospective Unitholders in the Trust, pursuant to FINRA Rule 2310, based upon information contained in the Subscription Agreement and documents furnished to the Selling Agents or brokers by their customers in opening accounts.

No Selling Agent shall make an investment in the Trust on behalf of a client for which it has discretionary trading authority without prior written approval of the investment by the client.

As illustrated on the Items of Compensation chart beginning on page 65, under no circumstances will the maximum compensation paid to the Selling Agents, broker-dealers assisting selling agents and wholesalers, including initial selling commissions, installment selling commissions to selling agents, selling commissions to wholesalers, installment selling commissions to wholesalers, expense reimbursements and custodial fees, exceed 10% of the gross offering proceeds of the sale of the Units, which is the maximum permitted by FINRA in connection with this offering of the Units.

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Selling Agent Compensation Table

Nature of Payment	Recipient	Amount of Payment
Selling Commissions — Series 1 Units	Selling Agents	Selling Agents shall receive from the Managing Owner, in conjunction with the sale of Series 1 Units, initial selling commissions of up to 4% of the gross offering proceeds of Series 1 Units sold by the Selling Agents.
Installment Selling Commissions — Series 1 Units	Selling Agents	Selling Agents will also receive from the Managing Owner installment selling commissions by paying up to 0.3333 of 1% of the month-end Net Asset Value of all Series 1 Units sold which remain outstanding more than twelve months (a 4% annual rate), provided that installment selling commissions plus initial selling commissions in respect of a Series 1 Unit shall not exceed 9.5% of the gross offering proceeds of such Series 1 Unit.
Wholesaling Fees — Series 1 Units	Wholesalers	Wholesalers wholesaling the Series 1 Units to Selling Agents shall receive a portion of the selling commission described above (not to exceed 1% of the gross offering proceeds of the Series 1 Units sold by the Selling Agents solicited by the wholesalers), and may receive a portion of the installment selling commissions described above (not to exceed 0.0833 of 1% of the month-end Net Asset Value of the Series 1 Units sold by the Selling Agents solicited by the Wholesalers — a 1% annual rate).
Wholesaling Fees — Series 2 Units and Series 3 Units	Wholesalers	Wholesalers wholesaling the Series 2 and Series 3 Units to Selling Agents or otherwise assisting with the placement of Series 2 Units and Series 3 Units may receive from the Managing Owner installment selling commissions of up to 6.333% and 9.5%, respectively, of the gross offering proceeds of the Series 2 Units and Series 3 Units by paying an amount not to exceed 0.0417 of 1% (a 0.50% annual rate) of the month-end Net Asset Value of all Series 2 Units and Series 3 Units sold by a Selling Agent selling Series 2 or Series 3 Units which remain outstanding, provided that the Selling Agent does not receive installment selling commissions in connection with the sale of the Series 2 or Series 3 Units.
Custodial Fees — Series 2 Units	Managing Owner/Custodians	The Managing Owner will receive a custodial fee by receiving a payment from the Trust, to be borne solely by the Series 2 Units, equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end Net Asset Value of all Series 2 Units which remain outstanding before accruals for unpaid management fees, custodial fees or Series 2/3 Profit Shares. The Managing Owner will then pay the custodial fees on to broker-dealers serving as custodians of the Series 2 Units. The maximum amount of custodial fees paid depends upon the level of installment selling commissions paid, as discussed on the grid below.

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Nature of Payment	Recipient	Amount of Payment
Expense Reimbursement	Managing Owner	The Managing Owner may, but is not obligated to, reimburse Selling Agents or otherwise pay for reasonable out of pocket expenses incurred in connection with the performance of their duties including, for example, Selling Agents’ legal fees, broker/client seminars or other deemed underwriting expenses. The amount of such reimbursements shall not exceed 0.50% of the gross offering proceeds of all Units sold and the amount of such reimbursements, when aggregated with selling commissions, and installment selling commissions shall not exceed 10% of the gross offering proceeds of all Units sold.

There are no other items of compensation paid in respect of the sale of the Trust’s Units.

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Items of Compensation Pursuant to FINRA Rule 2310

The following table sets forth the items of compensation, and the maximum amounts thereof in respect of the offering of the Units, paid to members of FINRA pursuant to FINRA Rule 2310 on a Series-by-Series basis, with distinctions made for investment amount and the involvement of wholesalers, where appropriate.  These items of compensation are set forth in detail below and are more fully described above:

Series 1 Investors with no Wholesalers

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999	4% of the gross offering proceeds of the Units sold.	0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999	3.5% of the gross offering proceeds of the Units sold.	0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999	3% of the gross offering proceeds of the Units sold.	0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more	2.5% of the gross offering proceeds of the Units sold.	0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.

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Series 1 Investors whose Selling Agents were introduced by Wholesalers (additional services to Selling Agents)

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999	3% of the gross offering proceeds of the Units sold.	0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.125% of the gross offering proceeds of the Units sold	1% of the gross offering proceeds of the Units sold.	0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.375% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999	2.5% of the gross offering proceeds of the Units sold.	0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.2857% of the gross offering proceeds of the Units sold.	1% of the gross offering proceeds of the Units sold.	0.0833% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.7143% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999	2.25% of the gross offering proceeds of the Units sold.	0.1875% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.875% of the gross offering proceeds of the Units sold.	0.75% of the gross offering proceeds of the Units sold.	0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 1.625% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more	1.75% of the gross offering proceeds of the Units sold.	0.1458% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 4.90% of the gross offering proceeds of the Units sold.	0.75% of the gross offering proceeds of the Units sold.	0.0625% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 2.10% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.

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Series 1 Investors whose Selling Agents were introduced by Wholesalers (no additional services to Selling Agents)

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
Investing $5,000 ($2,000 for employee plans / IRAs) - $99,999	3.5% of the gross offering proceeds of the Units sold.	0.3333% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 5.5% of the gross offering proceeds of the Units sold.	0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $100,000 - $499,999	3.0% of the gross offering proceeds of the Units sold.	0.2917% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6% of the gross offering proceeds of the Units sold.	0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $500,000 - $999,999	2.5% of the gross offering proceeds of the Units sold.	0.25% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.5% of the gross offering proceeds of the Units sold.	0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.
Investing $1,000,000 or more	2.0% of the gross offering proceeds of the Units sold.	0.2083% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 7% of the gross offering proceeds of the Units sold.	0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.

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Series 2 Investors whose Wholesalers Receive Installment Selling Commissions of 0.50% per annum

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
All	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 6.3333% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.	Up to 10% of the gross offering proceeds of the Units sold.

Series 2 Investors whose Wholesalers Receive No Installment Selling Commissions

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
All	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	0.0208% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 3.1667% of the gross offering proceeds of the Units sold.	Up to 3.6667% of the gross offering proceeds of the Units sold.

Series 3 Investors whose Wholesalers Receive Installment Selling Commissions of 0.50% per annum

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
All	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	0.0417% of the month-end Net Asset Value of the Units sold and outstanding, subject to a limit of 9.5% of the gross offering proceeds of the Units sold.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 10% of the gross offering proceeds of the Units sold.

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Series 3 Investors whose Wholesalers Receive No Installment Selling Commissions

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
All	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.	This item of compensation not paid by these Units.	Up to 0.5% of the gross offering proceeds of the Units sold.

Series 4 Investors

Investment Amount	Selling Commissions to Selling Agents	Installment Selling Commissions to Selling Agents	Selling Commissions to Wholesalers	Installment Selling Commissions to Wholesalers	Expense Reimbursement	Custodial Fees	TOTAL
All	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.	This item of compensation not paid by these Units.

LEGAL MATTERS

Sidley Austin LLP, Chicago, Illinois, served as legal counsel to the Managing Owner in connection with the preparation of this Prospectus.  Sidley Austin LLP may continue to serve in such capacity in the future, but has not assumed any obligation to update this Prospectus.  Sidley Austin LLP may advise the Managing Owner in matters relating to the operation of the Trust on an ongoing basis.  Sidley Austin LLP does not represent and has not represented the prospective investors or the Trust in negotiation of its business terms, the offering of the Units or in respect of its ongoing operations.  Prospective investors must recognize that, as they have had no representation in the organization process, the terms of the Trust relating to themselves and the Units have not been negotiated at arm’s length.  More specifically, Sidley Austin LLP does not undertake to monitor the compliance of the Managing Owner and its affiliates with the investment program, valuation procedures and other guidelines set forth herein or in the exhibits hereto, nor does it monitor compliance with applicable laws.  In preparing this Prospectus, Sidley Austin LLP relied upon information furnished by the Managing Owner and did not investigate or verify the accuracy and completeness of the information set forth herein concerning the Managing Owner, the Trust’s service providers and their affiliates and personnel.

Sidley Austin LLP’s engagement by the Managing Owner in respect of the Trust is limited to the specific matters as to which it is consulted by the Managing Owner and, therefore, there may exist facts or circumstances which could have a bearing on the Trust’s (or the Managing Owner’s) financial condition or operations with respect to which Sidley Austin LLP has not been consulted and for which Sidley Austin LLP expressly disclaims any responsibility.

Richards, Layton & Finger, P.A. acted as special Delaware counsel to the Trust in connection with assessing the legality of its securities but does not otherwise represent the Trust or the Unitholders.

EXPERTS

The Millburn Ridgefield Corporation Statement of Financial Condition as of December 31, 2010, included in this Prospectus has been included herein in reliance on the report of Arthur F. Bell, Jr. & Associates, L.L.C., an independent registered public accounting firm, given on the authority of that firm as experts in accounting and auditing.

The financial statements of Global Macro Trust included in this Prospectus have been audited by Deloitte & Touche LLP, an independent registered public accounting firm, as stated in their report appearing herein. Such financial statements are included in reliance upon the report of such firm given upon their authority as experts in accounting and auditing.

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REPORTS

CFTC Rules require that this Prospectus be accompanied by summary financial information, which may be a recent Monthly Report of the Trust, current within 60 calendar days.

PRIVACY POLICY

Under CFTC Rules, financial institutions like the Managing Owner are required to provide privacy notices to their clients. As required by such CFTC Rules, we are providing you with the following information.

We collect nonpublic personal information about you from the following sources:

(i)Information the Managing Owner receives from you on Subscription Agreements and related forms (for example, name, address, Social Security number, birth date, assets, income, and investment experience); and

(ii)Information about your transactions with the Managing Owner (for example, account activity and balances).

In order to service your account and process your transactions, the Managing Owner may provide your personal information to its affiliates and to firms that assist the Managing Owner in servicing your account and have a need for such information such as account or fund administrators. The Managing Owner requires third-party service providers to protect the confidentiality of your information and to use the information only for the purposes for which the Managing Owner discloses the information to them.

The Managing Owner does not disclose any nonpublic information about its customers or former customers to anyone other than in connection with the administration, processing and servicing of customer accounts as described above or to its accountants, attorneys and auditors or as otherwise permitted or required by law.

The Managing Owner restricts access to nonpublic personal information about you to its personnel who need to know that information in order to provide products or services to you. The Managing Owner maintains physical, electronic and procedural controls in keeping with federal standards to safeguard your nonpublic personal information.

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This Prospectus is in two parts: a Disclosure Document and a Statement of Additional Information. These parts are bound together and may not be distributed separately.

PART TWO

STATEMENT OF ADDITIONAL INFORMATION

THE FUTURES AND FORWARD MARKETS

Futures and Forward Contracts

Futures contracts in the United States are generally traded on exchanges and call for the future delivery of various commodities. These contractual obligations may be satisfied either by taking or making physical delivery or by making an offsetting sale or purchase of a futures contract on the same exchange.

Forward currency contracts are agreements to make or accept delivery of a currency and are traded off-exchange through banks or dealers. In such instances, the bank or dealer generally acts as principal in the transaction and charges “bid-ask” spreads. These contractual obligations are generally satisfied by making an offsetting agreement.

Swap contracts are agreements to exchange cash flows or periodic payments based on price changes of an underlying commodity, instrument or index and contain terms and conditions specially negotiated by the parties to the agreement.  These agreements are settled in cash, and may be terminated at the expiration of a specific period of time or by making an offsetting agreement.

Unlike an investment in bonds where one expects some consistency of yield or in stocks where one expects to participate in economic growth, futures, forward and swap trading is a “zero-sum,” risk transfer economic activity. For every gain realized by one futures, forward or swap trader, there is an equal and offsetting loss suffered by another.

Hedgers and Speculators

The two broad classifications of persons who trade futures are “hedgers” and “speculators.” Hedging is designed to minimize the losses that may occur because of price changes, for example, between the time a merchandiser contracts to sell a commodity and the time of delivery. The futures and forward markets enable the hedger to shift the risk of price changes to the speculator. The speculator risks capital with the hope of making profits from such changes. Speculators, such as the Trust, rarely take delivery of the physical commodity but rather close out their futures positions through offsetting futures contracts.

Exchanges; Position and Daily Limits; Margins

Commodity exchanges in the United States generally have an associated “clearinghouse.” Once trades made between members of an exchange have been cleared, each clearing broker looks only to the clearinghouse for all payments in respect of such broker’s open positions. The clearinghouse “guarantee” of performance on open positions does not run to customers. If a member firm goes bankrupt, customers could lose money.

The Reform Act will mandate that a substantial portion of over-the-counter derivatives must be executed in regulated markets and submitted for clearing to regulated clearinghouses.  The mandates imposed by the Reform Act may result in the Fund bearing higher upfront and mark-to-market margin, less favorable trade pricing, and the possible imposition of new or increased fees.

The Managing Owner will trade for the Trust on a number of foreign commodity exchanges. Foreign commodity exchanges differ in certain respects from their United States counterparts and are not regulated by any United States agency.

The Reform Act also amended the definition of “eligible contract participant,” and the CFTC is interpreting that definition in a such manner that the Trust may no longer be permitted to engage in forward currency transactions by directly accessing the interbank market.  Rather, when the Reform Act goes into effect in July 2011, the Trust may be limited to engaging in “retail forex transactions” which could limit the Trust’s potential forward currency counterparties to futures commission merchants and retail foreign exchange dealers.  Although the impact of requiring the Trust to conduct forward currency transactions in the “retail” market could be substantial, the full scope is currently unknown and the ultimate effect could also be negligible.

The CFTC and the United States exchanges have established “speculative position limits” on the maximum positions that the Managing Owner may hold or control in futures contracts on some, but not all, commodities. For example, the CFTC limits the number of contracts the Managing Owner can control in corn to 13,500 in a single delivery month, whereas the Chicago Mercantile Exchange limits the number of S&P 500 Index contracts the Managing Owner can control to 20,000 and U.S.

71

Treasury bonds traded on the Chicago Board of Trade are not subject to position limits. In January 2011, the CFTC proposed a separate position limits regime for 28 so-called “exempt” (i.e., metal and energy) and agricultural futures and option contacts and their economically equivalent swap transactions.  All accounts controlled by the Managing Owner, including the account of the Trust, are combined for speculative position limit purposes.  To date, position limits have not been a material imposition on the ability of the Managing Owner to effect its trading method. In the event the Managing Owner controls contracts in excess of the applicable limits, the Managing Owner will equitably reduce the position it controls across affected accounts managed by the Managing Owner, including the Trust, giving due consideration to such factors as account size, position size, account risk/reward parameters and trading portfolio composition.

United States exchanges limit the maximum change in some, but not all, futures prices during any single trading day. Once the “daily limit” has been reached, it becomes very difficult to execute trades in the same direction the market has moved. That is, if a market is “limit up,” it is difficult, or impossible, to buy, but very easy to sell. Because these limits apply on a day-to-day basis, they do not limit ultimate losses, but may reduce or temporarily eliminate liquidity. For example, the Chicago Board of Trade imposes daily limits of 30¢ on corn futures and no daily limits on U.S. Treasury bond futures. The Chicago Mercantile Exchange coordinates trading halts in the S&P 500 Index futures with halts in the trading of the stocks underlying the Index and imposes trading pauses or halts at moves of 5%, 10%, 15% and 20% in the value of the Index.

When a position is established, “initial margin” is deposited. On most exchanges, at the close of each trading day “variation margin,” representing the unrealized gain or loss on the open positions, is either credited to or debited from a trader’s account. If “variation margin” payments cause a trader’s “initial margin” to fall below “maintenance margin” levels, a “margin call” is made, requiring the trader to deposit additional margin or have his position closed out.

72

SUPPLEMENTAL PERFORMANCE INFORMATION

The Trust trades the Millburn Diversified Portfolio (“MDP”).  MDP is the composite performance of all fully-funded accounts which have traded the portfolio since its inception in 1977 through December 2003 and, thereafter, of all accounts (fully-funded and notional), adjusted to reflect the charges applicable to the Trust.  The Trust is separate from MDP and the performance of MDP is not the performance of the Trust.  Moreover, the past performance of MDP is not necessarily indicative of the future performance of the Trust.  The Trust is one account which has traded MDP since July 1, 2002.

The analyses set forth on pages 74 to 76 are derived from the over 30-year history of MDP and reflect the characteristics of the portfolio and strategy traded by the Trust over an extended period which includes rising and falling stock prices, interest rates, dollar exchange rates and inflation plus numerous shocks to global economic and financial systems.

The analyses set forth on pages 77 to 78 are derived from the performance of the Trust since the commencement of its trading operations in July 2002.

The S&P 500 Index, NASDAQ Composite Index, Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE) and Barclays Long-Term Treasury Index are unmanaged indices commonly used as market benchmarks. The performance of the indices does not reflect any fees or transaction costs as these expenses do not apply to market indices.  These indices are compared to MDP and the Trust because they represent asset classes often included in investor portfolios, and are useful in illustrating the potential diversification benefits of the Trust.

The Trust is not a complete investment program, and investment in the Trust should be viewed as a diversification opportunity only, not as a substitute for a well diversified portfolio.

Please see “Note to Supplemental Performance Information” on page 83.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

73

SUPPLEMENTAL TABLE NO. 1

PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO (rounded to the nearest %)
FEBRUARY 1977—MARCH 2011

The pro forma adjustments to MDP’s performance(1) reflect the cost/fee structure of the Trust applicable to investors who purchase Series 1 Units.

	MDP(2)		S&P 500(3)		NASDAQ(4)		EAFE(5)		BONDS(6)
2011(3 months)	-3	%	6	%	5	%	3	%	-1	%
2010	8	%	15	%	17	%	8	%	9	%
2009	-12	%	26	%	44	%	32	%	-13	%
2008	18	%	-37	%	-41	%	-43	%	24	%
2007	12	%	5	%	10	%	12	%	10	%
2006	6	%	16	%	10	%	27	%	2	%
2005	3	%	5	%	1	%	14	%	7	%
2004	-5	%	11	%	9	%	21	%	8	%
2003	-2	%	29	%	50	%	39	%	2	%
2002	24	%	-22	%	-32	%	-16	%	17	%
2001	-8	%	-12	%	-21	%	-21	%	4	%
2000	13	%	-9	%	-39	%	-14	%	20	%
1999	-4	%	21	%	86	%	27	%	-9	%
1998	5	%	29	%	40	%	20	%	14	%
1997	12	%	33	%	22	%	2	%	15	%
1996	15	%	23	%	23	%	6	%	-1	%
1995	27	%	38	%	40	%	12	%	31	%
1994	8	%	1	%	-3	%	8	%	-8	%
1993	8	%	10	%	15	%	33	%	17	%
1992	15	%	8	%	15	%	-12	%	8	%
1991	5	%	30	%	57	%	12	%	19	%
1990	49	%	-3	%	-18	%	-23	%	6	%
1989	-1	%	32	%	19	%	11	%	19	%
1988	5	%	17	%	15	%	29	%	9	%
1987	41	%	5	%	-5	%	25	%	-3	%
1986	-13	%	19	%	7	%	70	%	24	%
1985	27	%	32	%	31	%	57	%	32	%
1984	28	%	6	%	-11	%	8	%	15	%
1983	-6	%	23	%	20	%	25	%	2	%
1982	35	%	22	%	19	%	-1	%	42	%
1981	45	%	-5	%	-3	%	-1	%	0	%
1980	70	%	33	%	34	%	24	%	-3	%
1979	63	%	19	%	28	%	6	%	-1	%
1978	27	%	7	%	12	%	34	%	-1	%
1977 (11 months)	10	%	-3	%	10	%	20	%	4	%

	Compound Annual Return
1977-2011	14	%	11	%	10	%	11	%	9	%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MILLBURN’S DIVERSIFIED
PORTFOLIO AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.

(1)The Millburn Diversified Portfolio (“MDP”), pursuant to which the Trust is traded, has a pro forma compound rate of return of 14% for over 30 years.  MDP has tended to be profitable during periods of stress in equity and bond markets.  The benefit of including MDP in a portfolio of stocks and/or bonds is observable in the table for the years 2008, 2002, 2000, 1994, 1990, 1987 and 1981 when MDP performed well in difficult years for other asset classes.  There can, of course, be no assurance that this pattern will continue or that MDP or the Trust will not incur losses, as MDP did in the full years 2009, 2004, 2003, 2001, 1999, 1989, 1986 and 1983.  The largest monthly loss during the period shown was 15.4% (9/86).

(2)Millburn Diversified Portfolio is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December 2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the highest cost/fee structure applicable to the Series 1 Units. There are material limitations inherent in pro forma comparisons.

(3)S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

(4)NASDAQ Composite Index. Source: PERTRAC Financial Solutions.

(5)Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.

(6)Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.

74

SUPPLEMENTAL TABLE NO. 2

PRO FORMA ANNUAL RETURNS OF THE MILLBURN DIVERSIFIED PORTFOLIO (rounded to the nearest %)
FEBRUARY 1977—MARCH 2011

The following table is similar to the Annual Returns table on the previous page. The pro forma adjustments to MDP’s performance, however, reflect the cost/fee structure of the Trust applicable to investors who purchase Series 2 Units.

	MDP(1)		S&P 500(2)		NASDAQ(3)		EAFE(4)		BONDS(5)
2011(3 months)	-1	%	6	%	5	%	3	%	-1	%
2010	13	%	15	%	17	%	8	%	9	%
2009	-8	%	26	%	44	%	32	%	-13	%
2008	23	%	-37	%	-41	%	-43	%	24	%
2007	15	%	5	%	10	%	12	%	10	%
2006	11	%	16	%	10	%	27	%	2	%
2005	7	%	5	%	1	%	14	%	7	%
2004	-1	%	11	%	9	%	21	%	8	%
2003	3	%	29	%	50	%	39	%	2	%
2002	29	%	-22	%	-32	%	-16	%	17	%
2001	-4	%	-12	%	-21	%	-21	%	4	%
2000	16	%	-9	%	-39	%	-14	%	20	%
1999	0	%	21	%	86	%	27	%	-9	%
1998	9	%	29	%	40	%	20	%	14	%
1997	16	%	33	%	22	%	2	%	15	%
1996	20	%	23	%	23	%	6	%	-1	%
1995	31	%	38	%	40	%	12	%	31	%
1994	12	%	1	%	-3	%	8	%	-8	%
1993	13	%	10	%	15	%	33	%	17	%
1992	19	%	8	%	15	%	-12	%	8	%
1991	9	%	30	%	57	%	12	%	19	%
1990	53	%	-3	%	-18	%	-23	%	6	%
1989	4	%	32	%	19	%	11	%	19	%
1988	9	%	17	%	15	%	29	%	9	%
1987	45	%	5	%	-5	%	25	%	-3	%
1986	-9	%	19	%	7	%	70	%	24	%
1985	32	%	32	%	31	%	57	%	32	%
1984	32	%	6	%	-11	%	8	%	15	%
1983	-1	%	23	%	20	%	25	%	2	%
1982	40	%	22	%	19	%	-1	%	42	%
1981	51	%	-5	%	-3	%	-1	%	0	%
1980	76	%	33	%	34	%	24	%	-3	%
1979	69	%	19	%	28	%	6	%	-1	%
1978	31	%	7	%	12	%	34	%	-1	%
1977 (11 months)	14	%	-3	%	10	%	20	%	4	%
	Compound Annual Return
1977-2011	18	%	11	%	10	%	11	%	9	%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MILLBURN’S DIVERSIFIED
PORTFOLIO AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.

(1)Millburn Diversified Portfolio is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December 2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of the Trust applicable to investors who purchase Series 2 Units. There are material limitations inherent in pro forma comparisons.

(2)S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

(3)NASDAQ Composite Index. Source: PERTRAC Financial Solutions.

(4)Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.

(5)Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.

75

SUPPLEMENTAL TABLE NO. 3

PRO FORMA ANNUAL RETURNS FOR MILLBURN DIVERSIFIED PORTFOLIO (rounded to the nearest %)
FEBRUARY 1977—MARCH 2011

The following table is similar to the Annual Returns tables on the previous pages. The pro forma adjustments to MDP’s performance, however, reflect the cost/fee structure of the Trust applicable to investors who purchase Series 3 Units.

	MDP(1)		S&P 500(2)		NASDAQ(3)		EAFE(4)		BONDS(5)
2011(3 months)	-1	%	6	%	5	%	3	%	-1	%
2010	13	%	15	%	17	%	8	%	9	%
2009	-7	%	26	%	44	%	32	%	-13	%
2008	23	%	-37	%	-41	%	-43	%	24	%
2007	16	%	5	%	10	%	12	%	10	%
2006	11	%	16	%	10	%	27	%	2	%
2005	7	%	5	%	1	%	14	%	7	%
2004	0	%	11	%	9	%	21	%	8	%
2003	3	%	29	%	50	%	39	%	2	%
2002	29	%	-22	%	-32	%	-16	%	17	%
2001	-4	%	-12	%	-21	%	-21	%	4	%
2000	16	%	-9	%	-39	%	-14	%	20	%
1999	0	%	21	%	86	%	27	%	-9	%
1998	9	%	29	%	40	%	20	%	14	%
1997	16	%	33	%	22	%	2	%	15	%
1996	20	%	23	%	23	%	6	%	-1	%
1995	32	%	38	%	40	%	12	%	31	%
1994	13	%	1	%	-3	%	8	%	-8	%
1993	13	%	10	%	15	%	33	%	17	%
1992	20	%	8	%	15	%	-12	%	8	%
1991	9	%	30	%	57	%	12	%	19	%
1990	54	%	-3	%	-18	%	-23	%	6	%
1989	4	%	32	%	19	%	11	%	19	%
1988	9	%	17	%	15	%	29	%	9	%
1987	45	%	5	%	-5	%	25	%	-3	%
1986	-9	%	19	%	7	%	70	%	24	%
1985	32	%	32	%	31	%	57	%	32	%
1984	32	%	6	%	-11	%	8	%	15	%
1983	-1	%	23	%	20	%	25	%	2	%
1982	41	%	22	%	19	%	-1	%	42	%
1981	51	%	-5	%	-3	%	-1	%	0	%
1980	76	%	33	%	34	%	24	%	-3	%
1979	69	%	19	%	28	%	6	%	-1	%
1978	32	%	7	%	12	%	34	%	-1	%
1977 (11 months)	14	%	-3	%	10	%	20	%	4	%
	Compound Annual Return
1977-2011	19	%	11	%	10	%	11	%	9	%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
THE TRUST IS A SINGLE ACCOUNT TRADED PURSUANT TO MILLBURN’S DIVERSIFIED
PORTFOLIO AND IS THUS SEPARATE FROM MDP. THE PAST PERFORMANCE OF MDP IS
NOT NECESSARILY INDICATIVE OF THE FUTURE PERFORMANCE OF THE TRUST.

(1)Millburn Diversified Portfolio is the composite performance of the fully-funded accounts trading in the portfolio since its inception through December 2003 and, thereafter, of all accounts (fully-funded and notional), pro forma to reflect the cost/fee structure of the Trust applicable to investors who purchase Series 3 Units. There are material limitations inherent in pro forma comparisons.

(2)S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

(3)NASDAQ Composite Index. Source: PERTRAC Financial Solutions.

(4)Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.

(5)Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.

76

VALUE OF $1,000 SERIES 1(1) INVESTMENT VS. S&P 500(2), NASDAQ(3) AND EAFE(4)

JULY 2002 — MARCH 2011

The Trust began trading on July 1, 2002.  From inception through March 31, 2011, a $1,000 investment in the Trust would have appreciated to over $1,282, a 2.9% compound annual rate of return.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

(1) Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of profits.

(2) S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

(3) NASDAQ Composite Index. Source: PERTRAC Financial Solutions.

(4) Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.

77

ANNUAL SERIES 1 RETURNS

JULY 2002 — MARCH 2011

The accompanying table shows annual returns for the Series 1 Units from inception on July 1, 2002 and the corresponding returns for the S&P 500, NASDAQ and EAFE (foreign equities). It is important to note that while the Trust has the potential to be profitable in a poor year for stocks, it also has the potential to outperform a portfolio of stocks in other years.  There can, of course, be no assurance that the Trust will, in fact, be profitable during poor years for stocks or outperform stocks in other years or that the Trust will not incur losses.

	Trust Series 1(1)		S&P(2)		NASDAQ(3)		EAFE(4)
	(net of fees)
2011 (JAN-MAR)	-2.46	%	5.92	%	4.83	%	3.45	%
2010	8.43	%	15.06	%	16.91	%	8.21	%
2009	-11.60	%	26.46	%	43.89	%	32.46	%
2008	18.48	%	-37.00	%	-40.54	%	-43.06	%
2007	11.26	%	5.49	%	9.81	%	11.63	%
2006	6.34	%	15.79	%	9.52	%	26.86	%
2005	2.43	%	4.91	%	1.37	%	14.02	%
2004	-5.33	%	10.88	%	8.59	%	20.70	%
2003	-2.10	%	28.68	%	50.01	%	39.17	%
2002 (JUL-DEC)	3.02	%	-10.30	%	-8.73	%	-14.48	%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

(1) Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of profits.

(2) S&P 500 Index includes net dividends.  Source: PERTRAC Financial Solutions.

(3) NASDAQ Composite Index.  Source: PERTRAC Financial Solutions.

(4) Morgan Stanley Capital International EAFE Index includes net dividends.  Source: PERTRAC Financial Solutions.

78

SERIES 1 COMPARATIVE RETURNS

JULY 2002 — MARCH 2011

Over the first 105 months of operations, the Trust generated returns which had low correlation to U.S. and non-U.S. equity markets.  While the Trust may not be a core portfolio holding, its diverse portfolio and objective long/short trading strategies make it a potentially powerful diversification tool for a traditional portfolio of stocks and bonds.  The Trust returns also showed low correlation to the returns from hedge fund investments during the same period. There can, of course, be no assurance that this pattern will continue or that the Trust will not incur losses.

	Trust Series 1(1)		S&P(2)		NASDAQ(3)		EAFE(4)
	(net of fees)
COMPOUND ANNUAL ROR	2.88	%	5.46	%	7.62	%	7.98	%
ANNUAL STDEV(5)	15.53	%	15.84	%	19.91	%	18.74	%
SHARPE RATIO(6) (2% Risk Free Return)	0.06		0.22		0.28		0.32
BEST ROLLING 12-MO	29.62	%	53.62	%	62.45	%	58.15	%
WORST ROLLING 12-MO	-27.70	%	-43.32	%	-42.29	%	-49.94	%
CORRELATION TO GMT(1)	1.00		(0.05	)	(0.02	)	0.05

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

(1) Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of profits.

(2) S&P 500 Index includes net dividends.  Source: PERTRAC Financial Solutions.

(3) NASDAQ Composite Index.  Source: PERTRAC Financial Solutions.

(4) Morgan Stanley Capital International EAFE Index includes net dividends.  Source: PERTRAC Financial Solutions.

(5) Annual STDEV means monthly annualized standard deviation.  Standard deviation is the measure of the variability of return earned by an investment portfolio. Generally, the larger the degree of dispersion, the greater the risk taken to achieve the return.

(6) Sharpe ratio is a measure of risk adjusted return, calculated by dividing the annual compound rate of return minus the risk-free rate noted by monthly standard deviation annualized.

79

SERIES 1(1) QUARTERLY RETURNS VS. S&P 500(2)

JULY 2002 — MARCH 2011

Since its inception, the Trust outperformed the S&P 500 in 18 out of 35 quarters.  Over those 35 quarters, the S&P 500 was down 12 quarters with an average loss of 7.8%.  Over those same 12 quarters, the Trust’s average gain was 0.1%.  The total return of the S&P 500 during the period from July 1, 2002 through October 31, 2007, when the S&P 500 peaked (indicated by the dotted line), was 72%, while the Trust rose by 18%.  From the peak of the S&P 500 on October 31, 2007 through March 31, 2011, the S&P 500 fell 7.6%.  The Trust gained 8.4% over the same period.  There can, of course, be no assurance that the Trust will perform profitably over any particular period of time or that the Trust will not incur losses.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

(1) Trust Series 1 returns presented herein are net of all fees and expenses which are: 7.0% per annum brokerage commissions, administrative expenses incurred which have averaged between 0.25%-0.50% per annum and 20% annual profit share, and reflect reinvestment of profits.

(2) S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

80

WHY MANAGED FUTURES?

THE BENEFITS OF MANAGED FUTURES

·The compound annual return of Managed Futures, represented by the Barclay BTOP50 Index, over the January 1990-March 2011 period compared favorably with the returns of the other asset classes presented below.

·Managed Futures returns had very low correlation to the returns of the other asset classes during this time period.

·Managed Futures frequently performed well during environments that were difficult for other asset classes.  For example, in 1990, during 2000-2002 and in 2008.

·Additionally, Managed Futures performed well during environments that were very profitable for equities such as the period from 1995-1999 when the S&P 500 compounded at 28.56%.  During this period Managed Futures compounded at 10.48%.

COMPARATIVE PERFORMANCE OF ASSET CLASSES RANKED BY ANNUAL RETURN

JANUARY 1990 — MARCH 2011

	MANAGED FUTURES INDEX(1)		S&P(2)		NASDAQ(3)		EAFE(4)		U.S. BONDS(5)		HEDGE FUNDS(6)
COMPOUND ANNUAL RETURN	7.71	%	8.71	%	8.89	%	4.71	%	7.99	%	12.01	%
CORRELATION OF MONTHLY RETURNS TO MANAGED FUTURES INDEX	1.00		(0.11	)	(0.19	)	(0.04	)	0.23		(0.03	)

1990

1991

1992

1993

1994

1995

1996

1997

1998

1999

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

2010

2011

Managed Futures 15.2%

NASDAQ  56.9%

Hedge Funds 21.2%

Int'l Stocks 32.9%

Int'l Stocks 8.1%

NASDAQ 39.9%

S&P 23.0%

S&P 33.4%

NASDAQ  39.6%

NASDAQ 85.6%

U.S. Bonds 20.3%

Hedge Funds 4.6%

U.S. Bonds 16.8%

NASDAQ  50.0%

Int'l Stocks 20.7%

Int'l Stocks 14.0%

Int'l Stocks 26.9%

Int'l Stocks 11.6%

U.S. Bonds 24.0%

NASDAQ  43.9%

NASDAQ  16.9%

S&P 5.9%

U.S. Bonds 6.3%

Hedge Funds 32.2%

NASDAQ 15.5%

Hedge Funds 30.9%

Hedge Funds 4.1%

S&P 37.6%

NASDAQ 22.7%

NASDAQ 21.6%

S&P 28.6%

Hedge Funds 31.3%

Managed Futures 6.6%

U.S. Bonds 4.2%

Managed Futures 13.7%

Int'l Stocks 39.2%

S&P 10.9%

Hedge Funds 9.3%

S&P 15.8%

Hedge Funds 10.0%

Managed Futures 13.6%

Int'l Stocks 32.5%

S&P 15.1%

NASDAQ 4.8%

Hedge Funds 5.8%

S&P 30.5%

U.S. Bonds 8.0%

U.S. Bonds 17.3%

S&P 1.3%

U.S. Bonds 30.7%

Hedge Funds 21.1%

Hedge Funds 16.8%

Int'l Stocks 20.3%

Int'l Stocks 27.3%

Hedge Funds 5.0%

Managed Futures 3.8%

Hedge Funds -1.5%

S&P 28.7%

Hedge Funds 9.0%

U.S. Bonds 6.5%

Hedge Funds 12.9%

U.S. Bonds 9.8%

Hedge Funds -19.0%

S&P 26.5%

Int'l Stocks 8.2%

Int'l Stocks 3.4%

S&P -3.1%

U.S. Bonds 18.5%

S&P 7.6%

NASDAQ 14.7%

Managed Futures -0.2%

Hedge Funds 21.5%

Managed Futures 12.9%

U.S. Bonds 15.1%

U.S. Bonds 13.5%

S&P 21.0%

S&P -9.1%

S&P -11.9%

Int'l Stocks -15.7%

Hedge Funds 19.6%

NASDAQ 8.6%

S&P 4.9%

NASDAQ 9.5%

NASDAQ 9.8%

S&P -37.0%

Hedge Funds 20.0%

Hedge Funds 10.3%

Hedge Funds 1.4%

NASDAQ -17.8%

Managed Futures 14.7%

Managed Futures 2.6%

Managed Futures 13.4%

NASDAQ -3.2%

Managed Futures 14.0%

Int'l Stocks 6.4%

Managed Futures 12.0%

Managed Futures 12.4%

Managed Futures 1.6%

Int'l Stocks -14.0%

NASDAQ -21.1%

S&P -22.1%

Managed Futures 15.6%

U.S. Bonds 7.7%

Managed Futures 2.4%

Managed Futures 5.6%

Managed Futures 7.6%

NASDAQ  -40.5%

Managed Futures -4.8%

U.S. Bonds 9.4%

U.S. Bonds -1.0%

Int'l Stocks -23.2%

Int'l Stocks 12.5%

Int'l Stocks -11.8%

S&P 10.1%

U.S. Bonds -7.6%

Int'l Stocks 11.6%

U.S. Bonds -0.9%

Int'l Stocks 2.1%

Hedge Funds 2.6%

U.S. Bonds -8.7%

NASDAQ  -39.3%

Int'l Stocks -21.2%

NASDAQ -31.5%

U.S. Bonds 2.5%

Managed Futures 0.9%

NASDAQ 1.4%

U.S. Bonds 1.8%

S&P 5.5%

Int'l Stocks -43.1%

U.S. Bonds -12.9%

Managed Futures 6.4%

Managed Futures -2.2%

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

(1) Managed Futures Index refers to Barclay BTOP50 Index, an investable index that seeks to replicate the overall composition of the managed futures industry. The largest investable trading advisor programs, as measured by assets under management, are selected for inclusion in the BTOP50. In each calendar year the selected trading advisor programs represent, in aggregate, no less than 50% of the investable assets of the Barclay CTA Universe. For 2011 there are 28 funds in the Barclay BTOP50 Index. Source: PERTRAC Financial Solutions.

(2) S&P 500 Index includes net dividends. Source: PERTRAC Financial Solutions.

(3) NASDAQ Composite Index. Source: PERTRAC Financial Solutions.

(4) Morgan Stanley Capital International EAFE Index includes net dividends. Source: PERTRAC Financial Solutions.

(5) Barclays Long-Term Treasury Index. Source: PERTRAC Financial Solutions.

(6) HFRI Fund Weighted Composite Index (since 1990).  Source:  Hedge Fund Research, Inc.

81

ENHANCING A TRADITIONAL PORTFOLIO WITH MANAGED FUTURES

JANUARY 1990 — MARCH 2011

The charts above show the result of adding 5% increments of managed futures, represented by the Barclay BTOP50 Index, to U.S. and international portfolios of stocks and bonds, represented by the MSCI World Index, Citi World Government Bond Index, S&P 500 Index and Barclays Long Term Treasury Index, respectively. Over the past 20 years, a portfolio comprised of managed futures plus international stocks and bonds would have had greater returns and lower volatility, and a portfolio of managed futures plus U.S. stocks and bonds would have had lower volatility, than a 60%/40% portfolio comprised of just stocks and bonds.  However, for a portfolio consisting of managed futures plus stocks and bonds to outperform a portfolio consisting of stocks and bonds only, managed futures must outperform stocks and bonds over the period being measured.  There can be no assurance that will, in fact, occur.  Prospective investors should note that the Managing Owner did not manage any account represented by the allocations shown here, and that this chart is presented for illustrative purposes only.  An investment in managed futures is speculative and may not be suitable for all investors.  The illustrations in the charts above are not meant to be, and must not be construed as, a recommendation that any investor should allocate more than 5% of his portfolio to managed futures.

Combining actively managed futures investments, represented by the Barclay BTOP50 Index, with passive investment indices such as the S&P 500 Index, Barclays Long Term Treasury Index, MSCI World Index and Citi World Government Bond Index has material inherent limitations.  Passive indices are unmanaged and do not incur management fees, transaction costs or other expenses associated with a managed futures portfolio.

THE FOREGOING PRESENTATION DOES NOT REPRESENT ANY ACTUAL PORTFOLIO COMPOSITION BUT ONLY THE POSSIBLE RESULTS WHICH MIGHT HAVE OCCURRED HAD MANAGED FUTURES BEEN INCLUDED IN A TRADITIONAL PORTFOLIO DURING THE PERIOD SHOWN.  THE RISK OF A MANAGED FUTURES PORTFOLIO INCURRING SUDDEN, MAJOR LOSSES IS NOT REFLECTED IN THE FOREGOING CHART, WHICH IS BASED ON STATISTICAL AVERAGES OVER TIME.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

82

Note to Supplemental Performance Information

The performance shown on pages 74 to 76 represents the pro forma composite performance of all fully-funded accounts prior to January 2004 and of all accounts beginning with January 2004 traded pursuant to the Managing Owner’s Diversified Portfolio during the period presented. The historical performance of the Diversified Portfolio composite has been retroactively adjusted on a pro forma basis approximately to reflect the highest cost/fee structure applicable to the Series 1 Units (Table 1) and the cost/fee structures applicable to Series 2 Units and Series 3 Units (Tables 2 and 3, respectively). The purpose of this pro forma presentation is to provide an approximation of the rates of return such composite accounts would have achieved had they been traded pursuant to the Trust’s cost/fee structure. However, there are material limitations inherent in pro forma comparisons. It is not feasible to make all the pro forma adjustments necessary to reflect the effect of all the business terms of the Trust on the actual performance of the accounts in the composite. The pro forma performance of the composite accounts should not be considered to be indicative of how any one account in the composite would have performed had it been subject to the cost/fee structure of the relevant Series of Units.

The pro forma calculations were made on a month-to-month basis. That is, the adjustments to fees and income in one month do not affect the actual figures used in the following month for making similar pro forma calculations. Accordingly, the pro forma performance does not reflect on a cumulative basis the effect of the differences between the fees to be charged and interest to be earned by the Trust and the fees charged and interest earned by the accounts in the composite. The following assumptions were made in calculating the pro forma rates of return: a Brokerage Fee of 7% per annum of month-end Net Assets (Supplemental Table No. 1); a management fee of 2%, clearing and execution costs of 0.25% and custodial fees of 0.25% (Supplemental Table No. 2); a management fee of 2% and clearing and execution costs of 0.25% (Supplemental Table No. 3); an annual Profit Share of 20% of New Trading Profit; operating and ongoing offering and administrative expenses of 0.35% per annum of average annual Net Assets; and actual interest income earned by the accounts in the Diversified Portfolio composite.

The performance shown on pages 77 to 80 are derived from the performance of Series 1 since the commencement of its trading operations in July 2002.

The Millburn Diversified Portfolio is an actively managed portfolio of futures and forward contracts and related options. The Managing Owner will trade its Diversified Portfolio on behalf of the Trust and the Trust will pay the fees and expenses and will be subject to the Profit Share as described in this Prospectus. The S&P 500 Index, NASDAQ Composite Index, Morgan Stanley Capital International EAFE Index, Morgan Stanley Capital International World Index, Barclay BTOP50 Index, Citi World Government Bond Index and Barclays Long-Term Treasury Index are unmanaged indices commonly used as market benchmarks. The performance of these indices does not reflect any fees or transaction costs as these expenses do not apply to most market indices (Barclay BTOP50 Index is compiled net of CTA fees). The HFRI Fund Weighted Composite Index is an unmanaged index of actively managed hedge funds and is an internationally recognized benchmark of hedge fund performance.  The performance of the index reflects the fees and transaction costs borne by its underlying hedge fund components but not of the index itself as none apply to the index.

83

INDEX TO FINANCIAL STATEMENTS

	Page
GLOBAL MACRO TRUST
Report of Independent Registered Public Accounting Firm	F-2
Statements of Financial Condition as of December 31, 2010 and 2009	F-3
Condensed Schedule of Investments as of December 31, 2010	F-4
Condensed Schedule of Investments as of December 31, 2009	F-6
Statements of Operations for the years ended December 31, 2010, 2009, and 2008	F-8
Statements of Changes in Trust Capital for the years ended December 31, 2010, 2009, and 2008	F-9
Statements of Financial Highlights for the years ended December 31, 2010, 2009, and 2008 – Series 1	F-10
Statements of Financial Highlights for the period ended December 31, 2010 – Series 2	F-11
Statements of Financial Highlights for the year ended December 31, 2010 and the period ended December 31, 2009 – Series 3	F-12
Statements of Financial Highlights for the period ended December 31, 2010 – Series 4	F-13
Notes to Financial Statements	F-14
MILLBURN RIDGEFIELD CORPORATION:
Independent Auditor’s Report	F-26
Statement of Financial Condition at December 31, 2010	F-27
Notes to Statement of Financial Condition	F-28

Schedules are omitted for the reason that they are not required or are not applicable or that equivalent information has been included in the financial statements or notes thereto.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders of
Global Macro Trust:

We have audited the accompanying statements of financial condition of Global Macro Trust (the “Trust”), including the condensed schedules of investments, as of December 31, 2010 and 2009, and the related statements of operations, changes in trust capital and financial highlights for each of the three years in the period ended December 31, 2010. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Global Macro Trust at December 31, 2010 and 2009, and the results of its operations, changes in its trust capital and its financial highlights for each of the three years in the period ended December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.

Deloitte & Touche LLP

New York, New York

March 15, 2011

F-2

GLOBAL MACRO TRUST

STATEMENTS OF FINANCIAL CONDITION

AS OF DECEMBER 31, 2010 AND 2009

	2010		2009
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost $146,977,164 and $183,990,192)	$	147,055,005	$	184,131,564
Net unrealized appreciation on open futures and forward currency contracts	37,402,229		8,149,438
Due from brokers	14,425,007		8,226,920
Cash denominated in foreign currencies (cost $8,260,299 and $10,850,532)	8,404,398		11,295,744
Total equity in trading accounts	207,286,639		211,803,666
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost $654,167,743 and $637,400,369)	654,498,603		637,870,733
CASH AND CASH EQUIVALENTS	47,954,734		62,306,227
ACCRUED INTEREST RECEIVABLE	1,421,896		7,477,239
TOTAL	$	911,161,872	$	919,457,865
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	6,440,530	$	850,000
Net unrealized depreciation on open futures and forward currency contracts	—		13,006,623
Due to Managing Owner	1,276		5,492
Accrued brokerage fees	4,843,008		4,831,803
Accrued management fees	24,278		3,753
Redemptions payable to Unitholders	5,953,490		10,404,572
Redemption payable to Managing Owner	262,829		40,426
Accrued expenses	239,340		132,135
Cash denominated in foreign currencies (cost $-469,938 and $-69,497)	471,510		69,509
Due to brokers	—		10,958,940
Total liabilities	18,236,261		40,303,253
TRUST CAPITAL:
Managing Owner interest (8,311.477 and 9,024.593 units outstanding)	10,922,729		10,937,574
Series 1 Unitholders (660,222.516 and 714,519.974 units outstanding)	867,646,692		865,980,227
Series 2 Unitholders (75.492 and 0 units outstanding)	101,957		—
Series 3 Unitholders (10,481.102 and 1,831.292 units outstanding)	14,178,784		2,236,811
Series 4 Unitholders (55.233 and 0 units outstanding)	75,449		—
Total trust capital	892,925,611		879,154,612
TOTAL	$	911,161,872	$	919,457,865
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,314.17	$	1,211.97
Series 2 Unitholders	$	1,350.56	$	—
Series 3 Unitholders	$	1,352.80	$	1,221.44
Series 4 Unitholders	$	1,366.01	$	—

See notes to financial statements

F-3

GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2010

	Net Unrealized
	Appreciation
	(Depreciation)		Net Unrealized
	as a % of		Appreciation
	Trust Capital		(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies	0.33	%	$	2,974,672
Grains	0.72		6,435,870
Interest rates:
2 Year U.S. Treasury Note (1,725 contracts, settlement date 03/31/2011)	(0.04	)	(332,016		)
Other interest rates	0.20		1,791,919
Total interest rates	0.16		1,459,903
Livestock	0.07		578,540
Metals	1.18		10,487,557
Softs	0.32		2,892,994
Stock indices	0.57		5,040,779
Total long futures contracts	3.35		29,870,315
Short futures contracts:
Energies	(0.15	)	(1,326,800		)
Grains	(0.08	)	(707,463		)
Interest rates	(0.01	)	(132,113		)
Livestock	(0.03	)	(295,000		)
Metals	(0.13	)	(1,179,968		)
Softs	(0.03	)	(262,312		)
Stock indices	0.05		498,176
Total short futures contracts	(0.38	)	(3,405,480		)
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net	2.97		26,464,835
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.60		14,278,410
Total short forward currency contracts	(0.38	)	(3,341,016		)
TOTAL INVESTMENTS IN FORWARD CURRENCY  CONTRACTS — Net	1.22		10,937,394
TOTAL	4.19	%	$	37,402,229

(Continued)

F-4

GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2010

U. S. TREASURY NOTES

			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value
$	174,000,000	U.S. Treasury notes, 0.875%, 03/31/2011	19.52	%	$	174,299,063
185,700,000		U.S. Treasury notes, 0.875%, 05/31/2011	20.86		186,251,297
219,330,000		U.S. Treasury notes, 1.000%, 08/31/2011	24.69			220,460,920
219,650,000		U.S. Treasury notes, 0.750%, 11/30/2011	24.70		220,542,328
		TOTAL INVESTMENTS IN U.S. TREASURY NOTES (amortized cost $801,144,907)	89.77	%	$	801,553,608

See notes to financial statements (Concluded)

F-5

GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2009

	Net Unrealized
	Appreciation
	(Depreciation)		Net Unrealized
	as a % of		Appreciation
	Trust Capital		(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Energies	1.37	%	$	12,086,666
Grains	0.05		471,763
Interest rates:
2 Year U.S. Treasury Note (1,190 contracts, settlement date 03/31/2010)	(0.15	)	(1,356,983		)
5 Year U.S. Treasury Note (714 contracts, settlement date 03/31/2010)	(0.19	)	(1,625,882		)
10 Year U.S. Treasury Note (404 contracts, settlement date 03/31/2010)	(0.07	)	(606,828		)
30 Year U.S. Treasury Bond (11 contracts, settlement date 03/31/2010)	(0.00	)	(36,000		)
Other interest rates	(0.85	)	(7,412,093		)
Total interest rates	(1.26	)	(11,037,786		)
Metals	0.34		2,993,788
Softs	0.35		3,088,661
Stock indices	1.31		11,402,780
Total long futures contracts	2.16		19,005,872
Short futures contracts:
Energies	(1.17	)	(10,330,324		)
Grains	(0.05	)	(478,937		)
Interest rates	0.00		37,750
Livestock	(0.03	)	(271,610		)
Metals	(0.20	)	(1,755,899		)
Softs	(0.02	)	(142,102		)
Stock indices	(0.03	)	(266,008		)
Total short futures contracts	(1.50	)	(13,207,130		)
TOTAL INVESTMENTS IN FUTURES CONTRACTS — Net	0.66		5,798,742
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(1.72	)	(15,178,661		)
Total short forward currency contracts	0.51		4,522,734
TOTAL INVESTMENTS IN FORWARD CURRENCY CONTRACTS — Net	(1.21	)	(10,655,927		)
TOTAL	(0.55	)%	$	(4,857,185	)

(Continued)

F-6

GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS

AS OF DECEMBER 31, 2009

U.S. TREASURY NOTES

			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value
$	99,500,000	U.S. Treasury notes, 1.750%, 03/31/2010	11.37	%	$	99,904,219
230,000,000		U.S. Treasury notes, 2.625%, 05/31/2010	26.42		232,300,000
244,330,000		U.S. Treasury notes, 3.875%, 07/15/2010	28.33		249,102,070
233,650,000		U.S. Treasury notes, 4.250%, 10/15/2010	27.38		240,696,008
		TOTAL INVESTMENTS IN U.S. TREASURY NOTES (amortized cost $821,390,561)	93.50	%	$		822,002,297

See notes to financial statements (Concluded)

F-7

GLOBAL MACRO TRUST

STATEMENTS OF OPERATIONS

YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008

	2010				2009				2008
INVESTMENT INCOME — Interest income	$		3,235,502		$	9,966,151			$	21,273,709
EXPENSES:
Brokerage fees	57,320,175				63,566,376				54,511,974
Administrative expenses	2,233,354				2,670,335				2,590,867
Custody fees	160,011				193,127				160,055
Management fees	143,533				10,864				—
Total expenses	59,857,073				66,440,702				57,262,896
NET INVESTMENT LOSS	(56,621,571			)	(56,474,551			)	(35,989,187			)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts	87,904,542				(49,280,152			)	214,035,345
Foreign exchange translation	352,202				126,508				(848,741			)
Net change in unrealized:
Futures and forward currency contracts	42,259,414				(9,457,839			)	(8,084,164			)
Foreign exchange translation	(302,673			)	352,661				135,285
Net gains (losses) from U.S. Treasury notes:
Realized	16,976				526,749				—
Net change in unrealized	(203,035			)	(6,705,006			)	4,991,515
Total net realized and unrealized gains (losses)	130,027,426				(64,437,079			)	210,229,240
NET INCOME (LOSS)	73,405,855				(120,911,630			)	174,240,053
LESS PROFIT SHARE TO MANAGING OWNER	262,695				43,187				30,185,853
NET INCOME (LOSS) AFTER PROFIT SHARE TO  MANAGING OWNER	$	73,143,160			$	(120,954,817		)	144,054,200
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER PER UNIT OUTSTANDING (see Note 7):
Series 1 Unitholders	$		102.20		$		(159.03	)	$		213.83
Series 2 Unitholders	$		72.46		$		—		$		—
Series 3 Unitholders	$		131.36		$		40.53		$		—
Series 4 Unitholders	$		50.68		$		—		$		—

See notes to financial statements

F-8

GLOBAL MACRO TRUST

STATEMENTS OF CHANGES IN TRUST CAPITAL

YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008

New Profit Memo

Series 1 Unitholders

Series 2 Unitholders

Series 3 Unitholders

Series 4 Unitholders

Account

Managing Owner

Total

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

Amount

Units

TRUST CAPITAL — January 1, 2008	$	618,384,029		534,394.969		$	—	—	$	—		—		$	—	—	$	—		—		$	6,373,279		5,507.640		$	624,757,308		539,902.609
Subscriptions	341,517,412			272,963.809		—		—	—			—		—		—	—			—		1,900,000			1,461.442		343,417,412			274,425.251
Redemptions	(82,882,368		)	(65,542.043	)	—		—	—			—		—		—	—			—		(29,151,044		)	(21,262.614	)	(112,033,412		)	(86,804.657	)
Additional units allocated*	—			1,306.023		—		—	—			—		—		—	—			28.600		—			635.432		—			1,970.055
Net income after profit share to Managing Owner	141,801,778			—		—		—	—			—		—		—	99,892			—		2,152,530			—		144,054,200			—
Managing Owner’s profit share	—			—		—		—	—			—		—		—	30,185,853			22,061.677		—			—		30,185,853			22,061.677
Transfer of New Profit Memo Account to Managing Owner	—			—		—		—	—			—		—		—	(30,285,745		)	(22,090.277	)	30,285,745			22,090.277		—			—
TRUST CAPITAL — December 31, 2008	1,018,820,851			743,122.758		—		—	—			—		—		—	—			—		11,560,510			8,432.177		1,030,381,361			751,554.935
Subscriptions	78,304,008			59,130.010		—		—	1,727,114			1,444.668		—		—	—			—		—			—		80,031,122			60,574.678
Redemptions	(110,305,815		)	(89,327.054	)	—		—	—			—		—		—	—			—		(40,426		)	(33.356	)	(110,346,241		)	(89,360.410	)
Transfers	(461,258		)	(388.822	)	—		—	461,258			386.624		—		—	—			—		—			—		—			(2.198	)
Additional units allocated*	—			1,983.082		—		—	—			—		—		—	—			1.214		—			592.416		—			2,576.712
Net income (loss) after profit share to Managing Owner	(120,377,559		)	—		—		—	48,439			—		—		—	(2,761		)	—		(622,936		)	—		(120,954,817		)	—
Managing Owner’s profit share	—			—		—		—	—			—		—		—	43,187			32.142		—			—		43,187			32.142
Transfer of New Profit Memo Account to Managing Owner	—			—		—		—	—			—		—		—	(40,426		)	(33.356	)	40,426			33.356		—			—
TRUST CAPITAL — December 31, 2009	865,980,227			714,519.974		—		—	2,236,811			1,831.292		—		—	—			—		10,937,574			9,024.593		879,154,612			725,375.859
Subscriptions	31,438,164			25,234.721		95,530		75.492	11,260,170			8,961.540		71,041		55.233	—			—		—			—		42,864,905			34,326.986
Redemptions	(100,149,285		)	(81,345.253	)	—		—	(387,647		)	(311.730	)	—		—	—			—		(1,962,829		)	(1,528.360	)	(102,499,761		)	(83,185.343	)
Additional units allocated*	—			1,813.074		—		—	—			—		—		—	—			0.022		—			615.248		—			2,428.344
Net income after profit share to Managing Owner	70,377,586			—		6,427		—	1,069,450			—		4,408		—	134			—		1,685,155			—		73,143,160			—
Managing Owner’s profit share	—			—		—		—	—			—		—		—	262,695			199.974		—			—		262,695			199.974
Transfer of New Profit Memo Account to Managing Owner	—			—		—		—	—			—		—		—	(262,829		)	(199.996	)	262,829			199.996		—			—
TRUST CAPITAL — December 31, 2010	$	867,646,692		660,222.516		$	101,957	75.492	$	14,178,784		10,481.102		$	75,449	55.233	$	—		—		$	10,922,729		8,311.477		$	892,925,611		679,145.820

* Additional units are issued to Series 1 Unitholders and the Managing Owner who are charged less than a 7.0% brokerage fee.

See notes to financial statements

F-9

GLOBAL MACRO TRUST

STATEMENTS OF FINANCIAL HIGHLIGHTS — SERIES 1

YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008

	2010			2009			2008
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR):
Net income (loss) from operations:
Net investment loss (a)	$	(82.06	)	$	(75.05	)	$	(57.47	)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts	184.52			(75.84		)	311.42
Net gains (losses) from U.S. Treasury notes (a)	(0.26		)	(8.10		)	7.85
Net income (loss) from operations	102.20			(158.99		)	261.80
Less profit share allocated to Managing Owner	—			0.04			47.97
Net income (loss) after profit allocation	102.20			(159.03		)	213.83
NET ASSET VALUE — Beginning of year	1,211.97			1,371.00			1,157.17
NET ASSET VALUE — End of year	$	1,314.17		$	1,211.97		$	1,371.00
RETURNS:
Total return before profit share allocation	8.43		%	(11.60		)%	22.62		%
Profit share allocation	—			—			(4.14		)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION	8.43		%	(11.60		)%	18.48		%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss	(6.66		)%	(6.00		)%	(4.55		)%
Total expenses	7.03			7.05			7.21
Profit share allocation	—			—			3.80
Total expenses and profit share allocation	7.03		%	7.05		%	11.01		%

(a) Calculated based on the weighted average number of units during the year, see Note 7.

(Continued)

F-10

GLOBAL MACRO TRUST

STATEMENT OF FINANCIAL HIGHLIGHTS — SERIES 2

PERIOD ENDED DECEMBER 31, 2010*

	2010
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):
Net income (loss) from operations:
Net investment loss (a)	$	(23.37	)
Net realized and unrealized gains on trading of futures and forward currency contracts	124.78
Net losses from U.S. Treasury notes (a)	(0.10		)
Net income from operations	101.31
Less profit share allocated to Managing Owner	28.85
Net income after profit allocation	72.46
NET ASSET VALUE — Beginning of period	1,278.10
NET ASSET VALUE — End of period	$	1,350.56
RETURNS:
Total return before profit share allocation	7.20		%
Profit share allocation	(1.53		)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION	5.67		%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss	(2.45		)%
Total expenses	2.80
Profit share allocation	2.27
Total expenses and profit share allocation	5.07		%

(a) Calculated based on the weighted average number of units during the period, see Note 7.

*Series 2 units were first issued on April 1, 2010.  Net investment loss and total expense ratios have been annualized.

(Continued)

F-11

GLOBAL MACRO TRUST

STATEMENTS OF FINANCIAL HIGHLIGHTS — SERIES 3

YEAR ENDED DECEMBER 31, 2010 AND PERIOD ENDED DECEMBER 31, 2009*

	2010			2009
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE YEAR/PERIOD):
Net income (loss) from operations:
Net investment loss (a)	$	(27.90	)	$	(8.71	)
Net realized and unrealized gains on trading of futures and forward currency contracts	206.79			58.50
Net losses from U.S. Treasury notes (a)	(0.41		)	(0.59		)
Net income from operations	178.48			49.20
Less profit share allocated to Managing Owner	47.12			8.67
Net income after profit allocation	131.36			40.53
NET ASSET VALUE — Beginning of year/period	1,221.44			1,180.91
NET ASSET VALUE — End of year/period	$	1,352.80		$	1,221.44
RETURNS:
Total return before profit share allocation	13.71		%	4.17		%
Profit share allocation	(2.96		)	(0.74		)
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION	10.75		%	3.43		%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss	(2.19		)%	(2.14		)%
Total expenses	2.55			2.61		%
Profit share allocation	3.70			0.71
Total expenses and profit share allocation	6.25		%	3.32		%

(a) Calculated based on the weighted average number of units during the year/period, see Note 7.

*Series 3 units were first issued on September 1, 2009.  Net investment loss and total expense ratios have been annualized.

(Continued)

F-12

GLOBAL MACRO TRUST

STATEMENTS OF FINANCIAL HIGHLIGHTS — SERIES 4

PERIOD ENDED DECEMBER 31, 2010*

	2010
PER UNIT OPERATING PERFORMANCE (FOR A UNIT OUTSTANDING THROUGHOUT THE PERIOD):
Net income (loss) from operations:
Net investment loss (a)	$	(0.38	)
Net realized and unrealized gains on trading of futures and forward currency contracts	51.13
Net losses from U.S. Treasury notes (a)	(0.07		)
Net income from operations	50.68
NET ASSET VALUE — Beginning of period	1,315.33
NET ASSET VALUE — End of period	$	1,366.01
TOTAL RETURN	3.85		%
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment loss	(0.17		)%
Total expenses	0.47		%

(a) Calculated based on the weighted average number of units during the year, see Note 7.

*Series 4 units were first issued on November 1, 2010.  Net investment loss and total expense ratios have been annualized.

See notes to financial statements

(Concluded)

F-13

GLOBAL MACRO TRUST

NOTES TO FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, 2010, 2009, AND 2008

1.ORGANIZATION

Global Macro Trust (the “Trust”) was organized on July 23, 2001, under the Delaware Statutory Trust Act. At such time, original capital of $400 by Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by the Initial Unitholder, an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July 1, 2002. The Trust engages in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile and involve a high degree of market risk.

The Managing Owner manages the business of the Trust and makes all trading decisions.

The Managing Owner has agreed to make additional capital contributions, subject to certain possible exceptions, in order to maintain its capital account at not less than 1% of the total outstanding capital contributions in the Trust (including the Managing Owner’s contributions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the “Unitholders”) of the Units of Beneficial Interest (“Units”) issued by the Trust will share in any profits and losses of the Trust in proportion to the percentage interest owned by each before brokerage commissions, management fees and profit share allocations.

The Trust will dissolve on December 31, 2031 or at an earlier date if certain conditions occur set forth in the Fourth Amended and Restated Declaration of Trust and the Trust Agreement (the “Agreement”).

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted in the United States (“U.S.”) as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”).

Investments — The Trust records its transactions in futures and forward currency contracts and U.S. Treasury notes including related income and expenses on a trade date basis.

Open futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on pricing models that consider the time value of money and the current market and contractual prices of the underlying financial instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains (losses) in the Statements of Operations.

Investments in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3 pm EST by Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 6) as collateral for performance of the Trust’s trading obligations with respect to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.

F-14

Cash and Cash Equivalents — Cash and cash equivalents includes cash and investments in short term U.S. government securities and related instruments money market funds: Dreyfus Treasury Prime Cash Management at December 31, 2010 and Dreyfus Treasury & Agency Cash Management at December 31, 2009.

Foreign Currency Translation — Assets and liabilities denominated in foreign currencies are translated to U.S. Dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to U.S. Dollars at the exchange rate prevailing when such transactions occurred.

Income Taxes —The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of a tax position and if that position is more likely than not of not being sustained on audit based on the technical merits of the position. Based on a review of the Trust’s open tax years, 2007 to 2010, for the U.S. Federal jurisdiction, the New York and Delaware State jurisdictions and the New York City jurisdiction, there is no impact on the Trust with regard to uncertainty in tax positions. The Trust is treated as a limited partnership for federal and state income tax reporting purposes and therefore the Unitholders are responsible for the payment of taxes.

Estimates — The preparation of financial statements in conformity with accounting principles generally accepted in the U.S. requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

Right of Offset — The customer agreements between the Trust and each of its brokers give the Trust the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition.

Fair Value of Financial Instruments — The fair value of the Trust’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements and Disclosures topic of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which all significant inputs are observable either directly or indirectly;

Level 3 — Prices or valuations that require inputs that are both significant to the fair value measurement and unobservable.

In determining fair value, the Trust separates its investments into two categories: cash instruments and derivative contracts.

Cash Instruments — The Trust’s cash instruments are generally classified within Level 1 of the fair value hierarchy because they are typically valued using quoted market prices. The types of instruments valued based on quoted market prices in active markets include U.S. government obligations and an investment in a short-term U.S. government securities and related instruments money market fund. The Managing Owner of the Trust does not adjust the quoted price for such instruments even in situations where the Trust holds a large position and a sale could reasonably impact the quoted price.

Derivative Contracts — Derivative contracts can be exchange-traded or over-the-counter (“OTC”). Exchange-traded futures contracts are valued based on quoted closing settlement prices and typically fall within Level 1 of the fair value hierarchy.

F-15

OTC derivatives or forward currency contracts are valued based on pricing models that consider the current market prices (“spot prices”) plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of forward points for the applicable forward currency contract. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

In January 2010, the FASB issued ASU No. 2010-06, “Fair Value Measurements and Disclosures — Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 provides amendments that require new disclosures about transfers in and out of Levels 1 and 2 and activity in Level 3 fair value measurements. ASU No. 2010-06 also clarifies existing disclosures about the level of disaggregation and inputs and valuation techniques. Certain disclosure requirements were effective for the Trust beginning in the first quarter of 2010, while other disclosure requirements are effective for financial statements issued for reporting periods beginning after December 15, 2010. As these amended principles require only additional disclosures concerning fair value measurements, adoption did not and will not affect the Trust’s financial condition or results of operations. During the year ended December 31, 2010 there were no transfers of assets or liabilities between Level 1 and Level 2.

The following table sets forth by level within the fair value hierarchy. At December 31, 2010 and December 31, 2009, the Trust held no assets or liabilities classified in Level 3.

F-16

Financial Assets at Fair Value as of December 31, 2010

	Level 1		Level 2			Total
U.S. Treasury notes	$	801,553,608	$	—		$	801,553,608
Short-term money market fund	47,651,151		—			47,651,151
Exchange-traded futures contracts
Energies	1,647,872		—			1,647,872
Grains	5,728,407		—			5,728,407
Interest rates	1,327,790		—			1,327,790
Livestock	283,540		—			283,540
Metals	9,307,589		—			9,307,589
Softs	2,630,682		—			2,630,682
Stock indices	5,538,955		—			5,538,955
Total exchange-traded futures contracts	26,464,835		—			26,464,835
Over-the-counter forward currency contracts	—		10,937,394			10,937,394
Total financial assets at fair value	$	875,669,594	$	10,937,394		$	886,606,988
Financial Assets at Fair Value as of December 31, 2009
	Level 1		Level 2			Total
U.S. Treasury notes	$	822,002,297	$	—		$	822,002,297
Short-term money market fund	61,919,651		—			61,919,651
Exchange-traded futures contracts	5,798,742		—			5,798,742
Over-the-counter forward currency contracts	—		(10,655,927		)	(10,655,927		)
Total financial assets at fair value	$	889,720,690	$	(10,655,927	)	$	879,064,763

3.TRUST AGREEMENT

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 2, Series 3 and Series 4 units. The only units offered prior to such date were Series 1 units. Series 2, Series 3 and Series 4 units were first issued April 1, 2010, September 1, 2009 and November 1, 2010, respectively.

Series 1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value (prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who make net capital investments into Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged less than the annual brokerage rate of 7.0% as follows:

Net Capital Investments	Brokerage Fee
$100,000–$499,999	6.50	%
$500,000–$999,999	6.00
Greater than $1,000,000	5.50
Asset-based or fixed fee investment programs	4.00

F-17

Brokerage fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.

The Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust’s futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.

The Trust pays the Managing Owner a management fee of 2% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 2 and 3 Units. In addition, Series 2 Unitholders pay an annual custodial fee of 0.25% of their attributable Net Asset Value before management fee and profit share calculations. Series 2, 3 and 4 Units are also charged for their pro rata share of the Trust’s actual trade execution and clearing costs including electronic platform trading costs. Series 4 Unitholders are not charged a management fee.

The Agreement provides that the Managing Owner’s profit share, equal to 20% of New Trading Profits in excess of the highest cumulative level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders’ capital accounts. The highest cumulative level of Trading Profit is maintained separately for Series 1 and Series 2 and 3 Unitholders in the aggregate. Series 4 Unitholders are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders’ redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called New Profit Memo Account. Any profit share charged is added to the Managing Owner’s capital account to the extent that net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year’s profit share, a corresponding amount is transferred from the New Profit Memo Account to the Managing Owner’s capital account.

The Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees’ fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner, at its discretion, may reimburse certain expenses paid by the Trust.

Units may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on the last business day of any calendar month on ten business days’ written notice to the Managing Owner. Series 1 Unitholders who redeem Units at or prior to the end of the first consecutive six-month and five-month periods after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units’ Net Asset Value as of the date of redemption as follows:

	Redemption Charge
Subscriptions	First 6 Months		Second 5 Months
Less than $100,000	4.0	%	3.0	%
$100,000–$499,999	3.5		2.5
$500,000–$999,999	3.0		2.0
Greater than $1,000,000	2.5		1.5

F-18

All redemption charges will be paid to the Managing Owner. At December 31, 2010 and 2009, $1,276 and $5,492, respectively, of redemption charges were owed to the Managing Owner and are included in “Due to Managing Owner” in the Statements of Financial Condition. The aggregate amount of redemption charges paid to the Managing Owner for the years ended December 31, 2010, 2009, and 2008, were $17,207, $266,979, and $137,776, respectively.

4.DUE FROM/TO BROKERS

At December 31, 2010 and 2009, due from and due to brokers balance in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively.

5.TRADING ACTIVITIES

The Trust conducts its futures trading with various futures commission merchants (FCMs) on futures exchanges and its forward currency trading with various banks or dealers (“Dealers”) in the interbank markets. Substantially all assets included in the Trust’s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission’s regulations or held as collateral by the Dealers.

Liabilities in the Statements of Financial Condition that are components of “Total equity in trading accounts” include net unrealized depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers.

The Trust enters into contracts with various financial institutions that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6.DERIVATIVE INSTRUMENTS

The Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures and forward currency contracts which may be traded on an exchange (“exchange-traded contracts”) or over-the-counter (“OTC contracts”).

The Trust records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Trust enters into master netting agreements with its counterparties. Therefore, assets represent the Trust’s unrealized gains less unrealized losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to counterparties on OTC contracts.

Futures contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The Trust bears the market risk that arises from changes in the value of these financial instruments.

Forward currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date.

F-19

Each of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including market risk, credit risk and sovereign risk.

Market risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and the Trust’s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the Statements of Financial Condition.

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange. In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts of the forward and futures contracts do not represent the Trust’s risk of loss due to counterparty nonperformance. The Trust’s exposure to credit risk associated with counterparty nonperformance of these contracts includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by the counterparty. The amount of such credit risk was $90,603,180 and $101,223,534 at December 31, 2010 and 2009, respectively.

The Managing Owner has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance that it will in fact succeed in doing so. The Managing Owner’s market risk control procedures include diversification of the Trust’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Trust are cleared by major securities firms, pursuant to customer agreements, including Merrill Lynch, Pierce, Fenner & Smith Incorporated, Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), J.P. Morgan Futures Inc. and Newedge USA, LLC (a wholly owned subsidiary of Newedge Group which is owned by Société Générale (50%) and Calyon (50%)). For all forward currency transactions, the Trust utilizes two prime brokers, Deutsche Bank AG and Morgan Stanley & Co., Inc.

The Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effect of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S. Dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. Dollars.

Net unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S. Dollars, is detailed below:

F-20

	December 31,
	2010					2009
	Total Net					Total Net
	Unrealized					Unrealized
	Appreciation			Percent		Appreciation			Percent
Currency Type	(Depreciation)			of Total		(Depreciation)			of Total
Australian dollar	$	1,643,420		4.39	%	$	1,470,216		(30.27	)%
British pound	954,935			2.55		(700,215		)	14.42
Canadian dollar	1,325,243			3.54		(2,581,263		)	53.14
Czech koruna	(35,527		)	(0.09	)	—			—
Euro	675,680			1.81		(241,793		)	4.98
Hong Kong dollar	301,679			0.81		836,967			(17.23	)
Hungarian forint	(47,422		)	(0.13	)	(121,301		)	2.50
Japanese yen	(1,118,237		)	(2.99	)	(458,971		)	9.45
Korean won	1,926,819			5.15		776,517			(15.99	)
Mexican peso	48,949			0.13		21,471			(0.44	)
New Zealand dollar	(479,061		)	(1.28	)	805,302			(16.58	)
Norwegian krone	1,572,029			4.20		607,864			(12.51	)
Polish zloty	181,184			0.49		(501,739		)	10.33
Romanian leu	5,336			0.02		—			—
Singapore dollar	173,541			0.46		505,929			(10.42	)
South African rand	384,474			1.03		803,346			(16.54	)
Swedish krona	776,341			2.08		1,608,660			(33.12	)
Swiss franc	(533,492		)	(1.43	)	397,192			(8.18	)
Taiwan dollar	685,814			1.83		1,085,814			(22.35	)
Thai baht	16,258			0.04		2,533			(0.05	)
Turkish lira	(1,344,384		)	(3.59	)	266,494			(5.49	)
U.S. dollar	30,288,650			80.98		(9,440,208		)	194.35
Total	$	37,402,229		100.00	%	$	(4,857,185	)	100.00	%

The Derivatives and Hedging topic of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments and disclosures about credit-risk-related contingent features in derivative agreements. The Trust adopted these changes on January 1, 2009. As a result the Trust has expanded its disclosures regarding derivative instruments.

The Trust’s market risk is influenced by a wide variety of factors including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.

The Trust engages in the speculative trading of futures and forward contracts on agricultural commodities, currencies, energies, interest rates, metals and stock indices. The following were the primary trading risk exposures of the Trust at December 31, 2010 and 2009 by market sector:

Agricultural (grains, livestock and softs) – The Trust’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions.

Currencies – Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes as well as political and general

F-21

economic conditions. The Trust trades in a large number of currencies including cross-rates — e.g., positions between two currencies other than the U.S. dollar.

Energies – The Trust’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the Middle East and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest Rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries may materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in countries or regions including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S., and the Eurozone. However, the Trust also may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary market exposure of the Trust for the foreseeable future.

Metals – The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock Indices – The Trust’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair value of futures and forward currency contracts in an asset position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” .Fair value of futures and forward currency contracts in a liability position are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Trust’s policy regarding fair value measurement is discussed in Note 2.

Since the derivatives held or sold by the Trust are for speculative trading purposes, derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses as well as any change in net unrealized gains or losses on open positions from the preceding period are recognized as part of the Trust’s trading gains and losses in the Statements of Operations.

The following table presents the fair value of open futures and forward currency contracts, held long or sold short, at December 31, 2010 and 2009. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

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Fair Value of Futures and Forward Currency Contracts at December 31, 2010

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	3,578,697	$	(604,025	)	$	—	$	(1,326,800	)	$	1,647,872
Grains	6,435,870		—			—		(707,463		)	5,728,407
Interest rates	1,906,539		(446,636		)	93,822		(225,935		)	1,327,790
Livestock	578,540		—			—		(295,000		)	283,540
Metals	10,487,557		—			—		(1,179,968		)	9,307,589
Softs	2,899,490		(6,496		)	17,158		(279,470		)	2,630,682
Stock indices	6,102,368		(1,061,589		)	504,746		(6,570		)	5,538,955
Total futures contracts	31,989,061		(2,118,746		)	615,726		(4,021,206		)	26,464,835
Forward currency contracts	17,229,470		(2,951,060		)	4,884,986		(8,226,002		)	10,937,394
Total futures and forward currency contracts	$	49,218,531	$	(5,069,806	)	$	5,500,712	$	(12,247,208	)	$	37,402,229

Fair Value of Futures and Forward Currency Contracts at December 31, 2009

											Net Unrealized
	Fair Value - Long Positions					Fair Value - Short Positions					Gain (Loss) on
Sector	Gains		Losses			Gains		Losses			Open Positions
Futures contracts:
Energies	$	12,486,086	$	(399,420	)	$	226,800	$	(10,557,124	)	$	1,756,342
Grains	471,763		—			106,963		(585,900		)	(7,174		)
Interest rates	99,709		(11,137,495		)	96,694		(58,944		)	(11,000,036		)
Livestock	—		—			—		(271,610		)	(271,610		)
Metals	4,051,013		(1,057,225		)	45,513		(1,801,412		)	1,237,889
Softs	3,088,661		—			5,100		(147,202		)	2,946,559
Stock indices	11,867,210		(464,430		)	—		(266,008		)	11,136,772
Total futures contracts	32,064,442		(13,058,570		)	481,070		(13,688,200		)	5,798,742
Forward currency contracts	4,572,427		(19,751,088		)	7,406,520		(2,883,786		)	(10,655,927		)
Total futures and forward currency contracts	$	36,636,869	$	(32,809,658	)	$	7,887,590	$	(16,571,986	)	$	(4,857,185	)

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended December 31, 2010 and 2009 as “Net realized gains (losses) on closed positions: futures and forward currency contracts” and “Net change in unrealized: futures and forward currency contracts.” These trading gains and losses are detailed below:

F-23

Sector	2010			2009
Futures contracts:
Currencies	$	—		$	12,863
Energies	(6,296,617		)	(20,943,376		)
Grains	14,680,492			(6,699,369		)
Interest rates	78,525,936			(19,513,721		)
Livestock	(531,000		)	2,065,620
Metals	12,922,817			(11,958,920		)
Softs	7,618,692			(218,950		)
Stock indices	(2,020,460		)	7,916,951
Total futures contracts	104,899,860			(49,338,902		)
Forward currency contracts	25,264,096			(9,399,089		)
Total futures and forward currency contracts	$	130,163,956		$	(58,737,991	)

The following table presents average notional value by sector in U.S. Dollars of open futures and forward currency contracts for the years ended December 31, 2010 and 2009. The Trust’s average Net Asset Value during 2010 and 2009 was approximately and $866,000,000 and $931,000,000.

	2010				2009
Sector	Long Positions		Short Positions		Long Positions		Short Positions
Futures contracts:
Currencies	$	—	$	—	$	—	$	3,320,750
Energies	183,992,274		116,768,010		109,535,870		113,200,422
Grains	57,678,838		40,281,856		22,378,090		53,157,025
Interest rates	1,274,911,920		47,891,170		936,859,841		38,825,820
Livestock	16,433,746		5,323,786		—		26,230,698
Metals	115,309,169		11,071,090		52,829,526		39,335,538
Softs	29,206,211		7,135,608		20,257,081		13,534,675
Stock indices	478,292,206		14,482,348		344,334,006		85,714,579
Total futures contracts	2,155,824,364		242,953,868		1,486,194,414		373,319,507
Forward currency contracts	876,153,841		358,871,897		473,904,261		200,256,650
Total average notional	$	3,031,978,205	$	601,825,765	$	1,960,098,675	$	573,576,157

Notional values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate futures positions to 10-year equivalent fixed income instruments, translated to U.S. Dollars at each quarter-end during 2010 and 2009. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.

7.FINANCIAL HIGHLIGHTS

Per Unit operating performance for Series 1, 2, 3 and 4 Units is calculated based on Unitholders’ trust capital for each Series taken as a whole utilizing the beginning and ending Net Asset Value per unit and weighted average number of units during the period/year. Weighed average number of units for each Series is detailed below:

F-24

	Years ended December 31,
	2010		2009		2008		Date of issuance
Series 1	687,898.790	(1)	753,054.008	(1)	629,237.394	(1)	July 23, 2001
Series 2	64.584	(2)	n/a		n/a		April 1, 2010
Series 3	5,536.921	(1)	1,322.314	(3)	n/a		September 1, 2009
Series 4	34.462	(4)	n/a		n/a		November 1, 2010

(1) January 1 - December 31

(2) April 1 - December 31

(3) September 1 - December 31

(4) November 1 - December 31

An individual Unitholder’s per unit operating performance may vary based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements. Net investment loss and total expense ratios have been annualized for those reporting periods consisting of less than twelve months.

Returns are calculated for each Series taken as a whole. An individual Unitholder’s returns may vary from these returns based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements (for Series 1, 2 and 3). Returns have not been annualized.

The ratios for each series are calculated based on Unitholders’ trust capital for each Series taken as a whole. The computation of such ratios based on the amount of net investment loss, total expenses and profit share allocation to an individual Unitholder’s trust capital balance may vary from these ratios based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 2 and 3) and profit share allocation arrangements.

8.REDEMPTION PAYABLE TO MANAGING OWNER

At December 31, 2010 and December 31, 2009, redemption payable of $262,829 and $40,426, respectively, was related to profit share allocated to the Managing Owner at each year—end and redeemed.

9.SUBSEQUENT EVENTS

The Trust has performed its evaluation of subsequent events through the issuance date of the financial statements. Based on such evaluation, no events were discovered that required disclosure nor adjustment to the financial statements.

* * * * * *

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INDEPENDENT AUDITOR’S REPORT

To the Stockholders and Board of Directors

Millburn Ridgefield Corporation

We have audited the accompanying statement of financial condition of Millburn Ridgefield Corporation (the Corporation) as of December 31, 2010.  The statement of financial condition is the responsibility of the Corporation’s management.  Our responsibility is to express an opinion on the statement of financial condition based on our audit.

We conducted our audit in accordance with auditing standards generally accepted in the United States of America.  Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the statement of financial condition is free of material misstatement.  An audit includes consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Corporation’s internal control over financial reporting.  Accordingly, we express no such opinion.  An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the statement of financial condition.  An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall statement of financial condition presentation.  We believe that our audit provides a reasonable basis for our opinion.

In our opinion, the statement of financial condition referred to above presents fairly, in all material respects, the financial position of Millburn Ridgefield Corporation as of December 31, 2010, in conformity with accounting principles generally accepted in the United States of America.

Hunt Valley, Maryland

April 14, 2011

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-26

MILLBURN RIDGEFIELD CORPORATION

STATEMENT OF FINANCIAL CONDITION

December 31, 2010

ASSETS
Cash and cash equivalents	$	2,755,218
Commissions and fees receivable	13,178,196
Loans receivable from stockholders and affiliates	1,138,001
Investments in sponsored funds	28,255,454
Investments in other funds	64,050
Redemptions receivable from sponsored funds	4,198,970
Redemptions receivable from other funds	395,586
Furniture, equipment and leasehold improvements net of accumulated depreciation of $360,873	288,121
Total assets	$	50,273,596
LIABILITIES
Accounts payable and accrued expenses	$	4,839,188
Stockholder distributions payable	6,702,570
Due to affiliated companies	7,408,137
Due to First Republic Bank	1,393,158
Total liabilities	20,343,053
STOCKHOLDERS’ EQUITY
Common stock - $.005 par value, 300,000 shares authorized, 210,849 shares issued and outstanding	1,054
Additional paid-in capital	7,936,406
Retained earnings	21,993,083
Total stockholders’ equity	29,930,543
Total liabilities and stockholders’ equity	$	50,273,596

See accompanying notes.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-27

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION

Note 1.ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A.General

Millburn Ridgefield Corporation (the Corporation) was incorporated in the state of Delaware on May 19, 1982.  The Corporation earns commissions and fees as a Commodity Trading Advisor and Commodity Pool Operator and is registered with, and 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.  It is also subject to the rules of the National Futures Association (NFA), an industry self-regulatory organization.  In addition, the Corporation is registered with the United States Securities and Exchange Commission as an Investment Adviser.

The Corporation’s statement of financial condition is presented in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP).  The Financial Accounting Standards Board (FASB) Accounting Standards Codification (the Codification) is the single source of U.S. GAAP.  The preparation of the statement of financial condition in conformity with U.S. GAAP requires management 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 statement of financial condition.  Actual results could differ from those estimates, and those differences may be material to the statement of financial condition.

B.Cash and Cash Equivalents

Cash and cash equivalents includes cash and investments in money market mutual funds.

C.Investments in Sponsored Funds and Other Funds

The Corporation is the general partner, managing owner or managing member of various commodity pools and investment funds (collectively, “sponsored funds”) formed as limited partnerships, limited liability companies or trusts.  As the sponsor, the Corporation has a fiduciary responsibility to the sponsored funds and potential liability beyond amounts recognized as an asset in the statement of financial condition.  The Corporation has not consolidated the assets and liabilities of its sponsored funds and other funds under the voting interest consolidation model due to the unaffiliated equity investors of the sponsored funds and other funds holding kick-out rights.

Investments in sponsored funds and other funds (collectively, “funds”) are reported in the Corporation’s statement of financial condition at fair value.  Fair value ordinarily represents the Corporation’s proportionate share of each fund’s net asset value determined for each fund in accordance with such fund’s valuation policies and reported at the time of the fund’s valuation, which represents a market approach.  Generally, the fair value of the Corporation’s investment in another fund represents the amount that the Corporation could reasonably expect to receive from such fund if the Corporation’s investment was redeemed at the date of the statement of financial condition, based on information reasonably available at the time the valuation is made and that the Corporation believes to be reliable.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-28

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 1.ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

D.Foreign Currency Translation

The Corporation’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 foreign currencies are translated into U.S. dollars at quoted prices of such currencies at the date of the statement of financial condition.

E.Revenue Recognition

Commission income is recognized when earned, in accordance with the related limited partnership agreement or other governing agreement.  Commission income from sponsored funds is based on a fixed percentage of the sponsored funds’ net asset value.

Incentive, management and other fees accrue based on the terms of the respective advisory agreement or other governing agreement.  Incentive fees are based on a percentage of the net profits experienced by the account.  Management fees are based on a fixed percentage of the assets under management.

Deferred revenues are recorded when earned based on the terms of the underlying deferred compensation agreements.

F.Income Taxes

The Corporation has elected S corporation status under the Internal Revenue Code, pursuant to which the Corporation does not pay U.S. Corporate or state income tax on its taxable income.  Instead, the stockholders are liable for individual income tax on their share of the Corporation’s taxable income.  The Corporation files U.S. federal and state tax returns.  The 2007 through 2010 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

The Corporation applies the provisions of Codification Topics 740, Income Taxes; and 835, Interest, which prescribes the minimum recognition threshold a tax position must meet in connection with accounting for uncertainties in income tax positions taken or expected to be taken by an entity before being measured and recognized in the financial statements.  This accounting standard requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Corporation’s statement of financial condition to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority.  Tax positions with respect to tax at the Corporation level not deemed to meet the “more-likely-than-not” threshold would be recorded as a liability in the current year.  The Corporation has concluded there are no liabilities related to uncertainties in income tax positions at December 31, 2010.

G.Furniture, Equipment and Leasehold Improvements

Furniture and equipment are stated at cost, net of accumulated depreciation.  Depreciation is charged to operations over the estimated lives of the furniture and equipment, primarily five or seven years, utilizing accelerated methods.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-29

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 1.ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

G.Furniture, Equipment and Leasehold Improvements (continued)

Leasehold improvements are stated at cost, net of accumulated amortization.  The amortization of the leasehold improvements is charged to operations on a straight-line basis over the remaining term of the lease.

H.Net Income Allocation

Net income is allocated and distributed to each stockholder on a pro rata basis.

I.Recently Issued Accounting Pronouncement

In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06) entitled Fair Value Measurements and Disclosures (Topic 820) — Improving Disclosures about Fair Value Measurements.  ASU 2010-06 amends the Fair Value Measurements and Disclosures Topic of the Codification to add new disclosure requirements 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).  It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value.  ASU 2010-06 is effective for interim and annual reporting periods beginning after December 15, 2009, except for disclosures about purchases, sales, issuances, and settlements in the roll forward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years.  The adoption of ASU 2010-06 did not have a material impact on the Corporation’s statement of financial condition.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-30

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 2.INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS

The Corporation has general partner interests, managing owner interests or managing member interests in sponsored funds.  The Corporation’s investments in such sponsored funds as of December 31, 2010, is as follows:

	Value at			Redemption
	December 31, 2010		Investment Securities	Provisions
Global Macro Trust	$	10,922,729	To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.	Monthly with 10 days prior written notice(1)
Nestor Partners	3,825,704		To achieve capital appreciation through trading a diversified portfolio of futures and forwards contracts on interest rate instruments, stock indices, metals, energy and agricultural commodities.	Monthly with 15 days prior written notice
Apollo Fund	3,222,332		To achieve capital appreciation through the speculative trading of futures and forwards contracts directly and indirectly through investments in other funds.	Monthly with 15 days prior written notice
Millburn MCo Partners L.P.	2,310,671		To achieve capital appreciation by allocating its capital among a number of independent investment advisors acting through investment funds and/or managed accounts.	Quarterly with 75 days prior written notice(2)
Millburn Select Strategies L.P.	1,936,538		To achieve capital appreciation through investments in Millburn MCo Partners L.P. and Apollo Fund.	Quarterly with 75 days prior written notice(3)
Millburn Hedge Fund L.P.	1,998,594		To achieve capital appreciation by investing in publicly traded equity securities, exchange-traded funds and futures and forwards contracts.	Quarterly with 30 days prior written notice
Other investments in managed futures funds	3,573,587		To achieve capital appreciation through the speculative trading of futures and forwards contracts.	Monthly
Other investments in fund of funds	465,299		To achieve capital appreciation through investments in alternative funds, managed accounts and registered investment companies.	Quarterly with 75 days  prior written notice
Total	$	28,255,454

(1)The Corporation has currently agreed to maintain its investment at not less than 1% of the total outstanding capital contributions in Global Macro Trust but in no event shall the Corporation’s investment be less than $500,000.

(2)Approximately $96,000 of the Corporation’s investment is restricted from redemption due to Millburn MCo Partners L.P. holding investments in funds for which redemptions are currently not available.  The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.

(3)Approximately $50,000 of the Corporation’s investment is restricted from redemption due to Millburn Select Strategies L.P. holding investments in funds for which redemptions are currently not available.  The Corporation cannot reasonably estimate when the restrictions on redemption of these investments will be relieved.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-31

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 2.INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)

Summarized financial information for the more significant sponsored funds as of and for the year ended December 31, 2010, is as follows:

									Millburn
	Nestor		Millburn MCo		Global				Multi-Markets
	Partners		Partners L.P.		Macro Trust		Apollo Fund		Trading L.P.
Assets	$	166,151,307	$	148,316,941	$	911,161,872	$	96,293,181	$	304,050,293
Liabilities	3,629,419		2,439,562		18,236,261		1,279,362		6,590,684
Net asset value	$	162,521,888	$	145,877,379	$	892,925,611	$	95,013,819	$	297,459,609

The combined net asset value of other sponsored funds as of December 31, 2010 is $318,571,014.

As the sponsor, the Corporation conducts and manages the respective businesses of the sponsored funds. The governing documents of the sponsored funds typically require the Corporation, as sponsor, to maintain a specified investment in the respective fund.  Such minimum investments generally are 1% of either net assets, total assets or total net contributions or a minimum dollar amount (if greater).  In addition, the governing documents for one of the sponsored funds requires the Corporation to maintain a minimum net worth equal to an amount determined by the total net contributions made to the entity that the Corporation serves as the sponsor, not to exceed one million dollars.  These requirements are defined in each of the respective governing documents of the sponsored funds and the Corporation is in compliance with all such requirements.

For managing the businesses of the sponsored funds, the Corporation earns commissions and fees based on the terms of the respective governing documents of the sponsored funds.  As of December 31, 2010, the Corporation had a receivable of $5,767,000 from the sponsored funds for such commissions and fees.  The Corporation earns an incentive allocation from certain sponsored funds, which are based on 20% of the sponsored fund’s trading profits, as specified in the governing documents of the sponsored funds.

The Corporation also receives administrative fees and reimbursements of certain costs from several of the sponsored funds according to the governing documents of the sponsored funds for direct and indirect expenses paid on their behalf by the Corporation.  The Corporation records an expense when such amounts are incurred and records a receivable from the funds as income when the amounts are due from the sponsored funds.  As of December 31, 2010, the Corporation had a receivable of $807,000 from the sponsored funds for such administrative expenses.

During 2010, the Corporation also invested in various other funds.  At December 31, 2010, the value of such investments is $64,050.

The Corporation has an investment in a fund for which it serves as the investment adviser. Management fees from the fund of approximately $35,000 were outstanding at year end. The Corporation receives reimbursements from the fund for certain direct expenses paid on its behalf. Revenue related to reimbursements from the fund of approximately $39,000 was outstanding at year end. The Corporation earns an incentive allocation from this fund, which is based on 20% of the fund’s trading profits, as specified in the governing documents of the fund.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-32

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 2.INVESTMENTS IN SPONSORED FUNDS AND OTHER FUNDS (CONTINUED)

Generally, all investments in other funds can be redeemed from the other funds on a monthly basis.  In addition, these funds generally attempt to achieve capital appreciation through investing in stocks, futures contracts, forward currency contracts and interest rate instruments.

At December 31, 2010, the Corporation has no explicit unfunded commitments related to its investments in sponsored funds and other funds.

Note 3.FAIR VALUE

Fair value, as defined in the Fair Value Measurements and Disclosures Topic of the Codification, is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.  The fair value hierarchy, as set forth in the Fair Value Measurements and Disclosures Topic of the Codification, prioritizes the inputs to valuation techniques used to measure fair value into three broad levels:  quoted market prices in active markets for identical assets or 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 an asset or liability (Level 3).  If the inputs used to measure a financial instrument fall within different levels of the fair value hierarchy, the categorization is based on the lowest level input that is significant to the measurement of that financial instrument.  The Corporation recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. During the year ended December 31, 2010, there were no transfers between fair value hierarchy levels.

The Fair Value Measurements and Disclosures Topic of the Codification provides that if the reporting entity has the ability to redeem its investment in another fund at net asset value at the measurement date, the investment shall be categorized as a Level 2 fair value measurement, and if the reporting entity cannot redeem its investment in another fund at net asset value at the measurement date but the investment may be redeemable at a future date, the reporting entity shall consider the length of time until the investment will be redeemable in determining whether it will be categorized as a Level 2 or Level 3 fair value measurement.  Accordingly, at December 31, 2010, the Corporation’s investments in other funds are categorized as Level 2 fair value measurements.

The following summarizes the Corporation’s assets accounted for at fair value at December 31, 2010 using the fair value hierarchy:

	December 31, 2010
	Level 1		Level 2		Level 3		Total
Assets
Investments in sponsored funds(1)	$	0	$	28,255,454	$	0	$	28,255,454
Investments in other funds(1)	0		64,050		0		64,050
Total	$	0	$	28,319,504	$	0	$	28,319,504

(1)See Note 2. for the fair value of the more significant funds within this category.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-33

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 4.RELATED PARTY TRANSACTIONS

The Corporation has extensive transactions and relationships with affiliated companies.  The Millburn Corporation (TMC) provides administrative, accounting, research and other services to the Corporation and the Corporation pays TMC a consulting fee for these services.  Additionally, CommInVest Research Limited Partnership (CIVR) owns the trading algorithms used by the Corporation in managing client assets.  The Corporation pays CIVR a licensing fee to use the trading algorithms.The Corporation owes $6,975,556 to TMC at December 31, 2010 for consulting fees.  The Corporation owes $429,347 for license fees to CIVR as of December 31, 2010.

The Corporation has loaned funds to TMC in connection with construction and furnishing costs incurred by TMC for its offices located in New York City.  The loan is due on demand with interest accruing at an annualized rate of 2.0% above the three-month U.S. Treasury Bill rate.  The outstanding balance of the loan is $1,000,054 at December 31, 2010.

The Corporation has agreed to advance up to $200,000 to an affiliate, Millburn International LLC (“International”), for start up and organization expenses. At December 31, 2010, outstanding advances to International totaled $128,680.

Note 5.DUE TO FIRST REPUBLIC BANK

The Corporation has a $5 million revolving credit facility (loan agreement) with First Republic Bank (the Bank).  Borrowings under the loan are limited to the lesser of $5 million or Total Anticipated Commissions, as defined in the loan agreement.  The loan bears interest at the prime rate, as announced by Bank of America, but is subject to a minimum interest rate of 4.5% per year.  The loan matures July 31, 2011.  Repayment of the loan has been guaranteed by CIVR and certain stockholders of the Corporation.  The Corporation is required to remain in compliance with certain financial and other covenants throughout the term of the loan.  The amount due to the Bank under this loan agreement at December 31, 2010 is $1,393,158.

Note 6.DEFERRED FEES

The Corporation had previously entered into a deferred compensation agreement with Millburn International (Cayman) Limited (”Cayman”).  The Corporation acted as the investment adviser for this entity.  The agreement allowed the Corporation to defer the receipt of all or a portion of the management and incentive fees and/or net brokerage commissions earned in its capacity as investment adviser.

Effective September 30, 2010, Cayman was liquidated and the deferred compensation agreement was terminated.  During 2010, the Corporation received proceeds of $20,519,224 due under the terms, and termination of the agreement, and paid them to a certain former stockholder and to CIVR for providing the trading algorithms the Corporation uses in managing client assets (see Note 4.).

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-34

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 7.INVESTING ACTIVITIES AND RELATED RISKS

The Corporation’s investments in sponsored funds and other funds are subject to the market and credit risks of futures contracts, options on futures contracts, forward currency contracts and other financial instruments (collectively, “derivatives”).  Additionally, the sponsored funds and other funds invest in stocks and United States government securities.  As such, the Corporation is exposed, to the extent of its investments in sponsored funds and other funds, to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.  The Corporation is subject to the risk of loss to the extent of the fair value of its investments in sponsored funds and other funds and, in certain specific circumstances, distributions, dividends and redemptions received.

For derivatives, risks arise from changes in the fair value of the contracts.  Theoretically, the Corporation is exposed, to the extent of its investments, to a market risk equal to the notional contract value of futures, forward currency and other derivative contracts purchased and liability on such contracts sold short. As both a buyer and seller of options, the sponsored funds and other funds receive a premium at the outset and then bear the risk of unfavorable changes in the price of the contract underlying the option.  Written options expose the Corporation, to the extent of its investments in sponsored funds and other funds, to potential liability, and purchased options expose the Corporation, to the extent of its investments in sponsored funds and other funds, to a risk of loss of the premiums paid.  In addition, since forward currency contracts are traded in unregulated markets between principals, the Corporation, to the extent of its investments in sponsored funds and other funds, also assumes the risk of loss from counterparty non performance.

In addition, the Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments, to various trading activities including investments in stocks that are typically traded on an exchange or in the over-the-counter market.  The sponsored funds and other funds also sell stock not owned at the time of sale (a “short sale”).  Risks arise from short sales due to the possible illiquidity of the securities markets and from potential adverse movements in stock values.  Theoretically, short sales expose the sponsored funds and other funds to potentially unlimited liability as the sponsored funds’ and other funds’ ultimate obligation to purchase a stock sold short may exceed the amount recorded.

The Corporation, through its investments in sponsored funds and other funds, is exposed to the extent of its investments, to U.S. government securities.  Risks arise from investments in U.S. government securities due to possible illiquidity and the potential for default by the issuer.  U.S. government securities are also particularly sensitive to changes in interest rates, economic conditions and conditions specific to the issuer.

Lastly, the Corporation, through its investments in sponsored funds and other funds, invests in fund of funds.  The Corporation’s investments in fund of funds are subject to the market and credit risk of securities and financial instruments held or sold short by these entities.

The Corporation has established procedures to actively monitor market risk and minimize credit risk of the sponsored funds and other funds, although there can be no assurance that it will, in fact, succeed in doing so.

The Corporation maintains its cash and cash equivalents at financial institutions.  Balances on deposit at such financial institutions are frequently in excess of available federal deposit insurance.  In the event of a financial institution’s insolvency, recovery of the Corporation’s assets on deposit may be limited to available federal deposit insurance or other protection afforded such deposits.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-35

MILLBURN RIDGEFIELD CORPORATION

NOTES TO STATEMENT OF FINANCIAL CONDITION (CONTINUED)

Note 7.INVESTING ACTIVITIES AND RELATED RISKS (CONTINUED)

Additionally, the Corporation, in its capacity as general partner, managing owner or managing member of the sponsored funds, is subject to certain additional risks of loss and liability for the activities of the sponsored funds.

Note 8.LEASE COMMITMENT

The Corporation has a noncancelable lease for office space in Greenwich, Connecticut.  The term of the lease is five years and expires on June 30, 2012.  The future minimum lease payments under this noncancelable lease are as follows:

2011	$	230,144
2012	115,072
	$	345,216

Note 9.INDEMNIFICATIONS

In the normal course of business, the Corporation enters into contracts and agreements that contain a variety of representations and warranties and which provide general indemnifications.  The Corporation’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Corporation that have not yet occurred.  The Corporation expects the risk of any future obligation under these indemnifications to be remote.

Note 10.EMPLOYEE BENEFIT PLAN

The Corporation sponsors a 401(k) profit sharing and savings plan (the Plan) for the benefit of its employees.  The Corporation is the Plan administrator and three of the Corporation’s officers are the Trustees of the Plan.  Under the terms of the Plan, employees may elect to defer a portion of their compensation and the Corporation may make discretionary contributions to the Plan on behalf of its participants.

Note 11.SUBSEQUENT EVENTS

The Corporation has evaluated subsequent events through April 14, 2011, the date the financial statements were available to be issued, and determined there were no subsequent events that require disclosure.

PURCHASERS OF UNITS OF GLOBAL MACRO TRUST WILL NOT RECEIVE ANY INTEREST IN MILLBURN RIDGEFIELD CORPORATION

F-36

EXHIBIT A

GLOBAL MACRO TRUST

FOURTH AMENDED AND RESTATED

DECLARATION OF TRUST AND TRUST AGREEMENT

Dated as of August 12, 2009

GLOBAL MACRO TRUST

FOURTH AMENDED AND RESTATED

DECLARATION OF TRUST AND TRUST AGREEMENT

TABLE OF CONTENTS

			Page
1.	Declaration of Trust		TA-1
2.	The Trustee		TA-1
	(a)	Term; Resignation	TA-1
	(b)	Powers	TA-2
	(c)	Compensation and Expenses of the Trustee	TA-2
	(d)	Indemnification	TA-2
	(e)	Successor Trustee	TA-2
	(f)	Liability of the Trustee	TA-3
	(g)	Reliance by the Trustee and the Managing Owner; Advice of Counsel	TA-3
	(h)	Not Part of Trust Estate	TA-4
3.	Principal Office		TA-4
4.	Business		TA-4
5.	Term, Dissolution, Fiscal Year, Series of Units and Net Asset Value		TA-4
	(a)	Term	TA-4
	(b)	Dissolution	TA-5
	(c)	Fiscal Year	TA-5
	(d)	Series of Units	TA-5
	(e)	Net Asset Value	TA-5
6.	Net Worth of Managing Owner		TA-6
7.	Capital Contributions; Units; Managing Owner’s Liability		TA-7
	(a)	Types of Beneficial Interests	TA-7
	(b)	Managing Owner’s Liability	TA-7
	(c)	No Certificates	TA-7
	(d)	Unitholder Consent	TA-7
8.	Allocation of Profits and Losses		TA-7
	(a)	Capital Accounts and Allocations	TA-7
	(b)	Allocation of Profit and Loss for Federal Income Tax Purposes	TA-10
	(c)	Profit Share; New Profits Memo Account	TA-12
	(d)	Expenses; Interest Income	TA-12
	(e)	Limited Liability of Unitholders	TA-13
	(f)	Return of Capital Contributions	TA-14
9.	Management of the Trust		TA-14
	(a)	Authority of the Managing Owner	TA-14
	(b)	Notification of Basic Changes	TA-14
	(c)	Certain Agreements	TA-15
	(d)	Fiduciary Duties	TA-15
	(e)	Brokerage Arrangements	TA-15
	(f)	Prohibited Activities	TA-15
	(g)	Freedom of Action	TA-16
10.	Audits and Reports to Unitholders		TA-16
11.	Assignability of Units		TA-17
12.	Redemptions		TA-17
13.	Offering of Units		TA-19
14.	Special Power of Attorney		TA-20
15.	Withdrawal of a Unitholder		TA-20
16.	Benefit Plan Investors		TA-20
17.	Standard of Liability; Indemnification		TA-21

i

	(a)	Standard of Liability for the Managing Owner	TA-21
	(b)	Indemnification of the Managing Owner by the Trust	TA-21
	(c)	Indemnification by the Unitholders	TA-22
18.	Amendments; Meetings		TA-22
	(a)	Amendments with Consent of the Managing Owner	TA-22
	(b)	Amendments and Actions without Consent of the Managing Owner	TA-23
	(c)	Meetings; Other	TA-23
	(d)	Consent by Trustee	TA-24
19.	Governing Law		TA-24
20.	Miscellaneous		TA-24
	(a)	Notices	TA-24
	(b)	Binding Effect	TA-24
	(c)	Captions	TA-24
21.	Certain Definitions		TA-24
22.	No Legal Title to Trust Estate		TA-26
23.	Legal Title		TA-26
24.	Creditors		TA-26
	Testimonium		TA-27
	Signatures		TA-27
	Schedule A—Certificate of Trust		TA-28
	Annex—Request for Redemption		RR-1

ii

GLOBAL MACRO TRUST

FOURTH AMENDED AND RESTATED

DECLARATION OF TRUST AND TRUST AGREEMENT

This FOURTH AMENDED AND RESTATED DECLARATION OF TRUST AND TRUST AGREEMENT (“Declaration of Trust”) of Global Macro Trust (the “Trust”) is made and entered into as of this 12th day of August, 2009 by and among Millburn Ridgefield Corporation, a Delaware corporation, as managing owner (the “Managing Owner”), Wilmington Trust Company, a Delaware banking corporation, as trustee (the “Trustee”), and each other party who shall execute a counterpart of this Declaration of Trust as an owner of a unit (“Unit”) of beneficial interest of the Trust or who becomes a party to this Declaration of Trust as a Unitholder by execution of a Subscription Agreement and Power of Attorney Signature Page or otherwise and who is shown in the books and records of the Trust as a Unitholder (individually, a “Unitholder” and, collectively, the “Unitholders”).

W I T N E S S E T H:

WHEREAS, the parties hereto desire to continue the Trust for the business and purpose of issuing Units, the capital of which shall be used to engage in speculative trading, buying, selling or otherwise acquiring, holding or disposing of futures and forward contracts on currencies, interest rate, energy and agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, with the objective of capital appreciation through speculative trading, and to amend and restate the original Declaration of Trust and Trust Agreement of the Trust in its entirety.

NOW THEREFORE, the parties hereto agree as follows:

1.  Declaration of Trust.

The Trustee hereby declares the investments in the Trust shall be held in trust upon and subject to the conditions set forth herein for the use and benefit of the Unitholders. It is the intention of the parties hereto that the Trust shall be a statutory trust under the Act, and that this Declaration of Trust shall constitute the governing instrument of the Trust. The Trustee has filed the Certificate of Trust required by Section 3810 of the Delaware Statutory Trust Act, 12 Del. C. § 3801, et seq., as amended from time to time (the “Act”).

Nothing in this Declaration of Trust shall be construed to make the Unitholders partners or members of a joint stock association except to the extent that such Unitholders, as constituted from time to time, are deemed to be partners under the Internal Revenue Code of 1986, as amended (the “Code”), and applicable state and local tax laws. Notwithstanding the foregoing, it is the intention of the parties hereto that the Trust be treated as a partnership for purposes of taxation under the Code and applicable state and local tax laws. Effective as of the date hereof, the Trustee shall have all of the rights, powers and duties set forth herein and in the Act with respect to accomplishing the purposes of the Trust.

2.  The Trustee.

(a)  Term; Resignation.  (i) Wilmington Trust Company has been appointed and has agreed to serve as the Trustee of the Trust. The Trust shall have only one trustee unless otherwise determined by the Managing Owner. The Trustee shall serve until such time as the Managing Owner removes the Trustee or the Trustee resigns and a successor Trustee is appointed by the Managing Owner in accordance with the terms of Section 2(e) hereof.

(ii)The Trustee may resign at any time upon the giving of at least sixty (60) days’ advance written notice to the Managing Owner; provided, that such resignation shall not become

TA-1

effective unless and until a successor Trustee shall have been appointed by the Managing Owner in accordance with Section 2(e) hereof. If the Managing Owner does not act within such sixty (60) day period, the Trustee may apply to the Court of Chancery of the State of Delaware for the appointment of a successor Trustee.

(b)  Powers.  Except to the extent expressly set forth in this Section 2, the duty and authority of the Trustee to manage the business and affairs of the Trust are hereby delegated to the Managing Owner. The Trustee shall have only the rights, obligations or liabilities specifically provided for herein and in the Act and shall have no implied rights, obligations or liabilities with respect to the business or affairs of the Trust. The Trustee shall have the power and authority to execute, deliver, acknowledge and file all necessary documents, including any amendments to or cancellation of the Certificate of Trust, and to maintain all necessary records of the Trust as required by the Act. The Trustee shall provide prompt notice to the Managing Owner of its performance of any of the foregoing. The Managing Owner shall keep the Trustee informed of any actions taken by the Managing Owner with respect to the Trust that affect the rights, obligations or liabilities of the Trustee hereunder or under the Act.

(c)  Compensation and Expenses of the Trustee.  The Trustee shall be entitled to receive from the Trust or, if the assets of the Trust are insufficient, from the Managing Owner reasonable compensation for its services hereunder in accordance with a separate fee agreement between the Managing Owner and the Trustee, and shall be entitled to be reimbursed by the Trust or, if the assets of the Trust are insufficient, by the Managing Owner for reasonable out-of-pocket expenses incurred by the Trustee in the performance of its duties hereunder, including without limitation, the reasonable compensation, out-of-pocket expenses and disbursements of counsel and such other agents as the Trustee may employ in connection with the exercise and performance of its rights and duties hereunder, to the extent attributable to the Trust.

(d)  Indemnification.  The Managing Owner agrees, whether or not any of the transactions contemplated hereby shall be consummated, to assume liability for, and does hereby indemnify, protect, save and keep harmless the Trustee and its successors, assigns, legal representatives, officers, directors, agents, employees and servants (the “Indemnified Parties”) from and against any and all liabilities, obligations, losses, damages, penalties, taxes (excluding any taxes payable by the Trustee on or measured by any compensation received by the Trustee for its services hereunder or as indemnity payments pursuant to this Section 2(d)), claims, actions, suits, costs, expenses or disbursements (including legal fees and expenses) of any kind and nature whatsoever (collectively, “Expenses”), which may be imposed on, incurred by or asserted against the Indemnified Parties in any way relating to or arising out of the formation, operation or termination of the Trust, the execution, delivery and performance of any other agreements to which the Trust is a party or the action or inaction of the Trustee hereunder or thereunder, except for Expenses resulting from the gross negligence or willful misconduct of the Indemnified Parties. The indemnities contained in this Section 2(d) shall survive the termination of this Declaration of Trust or the removal or resignation of the Trustee. In addition, the Indemnified Parties shall be entitled to indemnification from any cash, net equity in any commodity futures, forward and option contracts, all funds on deposit in the accounts of the Trust, any other property held by the Trust, and all proceeds therefrom, including any rights of the Trust pursuant to any agreements to which the Trust is a party (the “Trust Estate”) to the extent such expenses are attributable to the formation, operation or termination of the Trust as set forth above, and to secure the same the Trustee shall have a lien against the Trust Estate which shall be prior to the rights of the Managing Owner and the Unitholders to receive distributions from the Trust Estate. The Trustee nevertheless agrees that it will, at its own cost and expense, promptly take all action as may be necessary to discharge any liens on any part of the Trust Estate which result from claims against the Trustee personally that are not related to the ownership or the administration of the Trust Estate or the transactions contemplated by any documents to which the Trust is a party.

(e)  Successor Trustee.  Upon the resignation or removal of the Trustee, the Managing Owner shall appoint a successor Trustee by delivering a written instrument to the outgoing Trustee. Any successor Trustee must satisfy the requirements of Section 3807 of the Act. Any resignation or removal of the Trustee and appointment of a successor Trustee shall not become effective until a written acceptance of appointment is delivered by the successor Trustee to the outgoing Trustee and the Managing Owner and any fees and expenses due to the outgoing Trustee are paid. Following compliance with the preceding sentence, the successor Trustee shall become fully vested with all of the rights, powers, duties and obligations of the outgoing Trustee under

TA-2

this Declaration of Trust, with like effect as if originally named as Trustee, and the outgoing Trustee shall be discharged of its duties and obligations under this Declaration of Trust.

(f)  Liability of the Trustee.  Except as otherwise provided in this Section 2, in accepting the trust created hereby, Wilmington Trust Company acts solely as Trustee hereunder and not in its individual capacity, and all persons having any claim against the Trustee by reason of the transactions contemplated by this Declaration of Trust and any other agreement to which the Trust is a party shall look only to the Trust Estate for payment or satisfaction thereof. The Trustee shall not be liable or accountable hereunder or under any other agreement to which the Trust is a party, except for the Trustee’s own gross negligence or willful misconduct. In particular, but not by way of limitation:

(i)the Trustee shall have no liability or responsibility for the validity or sufficiency of this Declaration of Trust or for the form, character, genuineness, sufficiency, value or validity of the Trust Estate;

(ii)the Trustee shall not be liable for any actions taken or omitted to be taken by it in accordance with the instructions of the Managing Owner;

(iii)the Trustee shall not have any liability for the acts or omissions of the Managing Owner;

(iv)the Trustee shall not be liable for its failure to supervise the performance of any obligations of the Managing Owner, any commodity broker or any selling agent;

(v)no provision of this Declaration of Trust shall require the Trustee to expend or risk funds or otherwise incur any financial liability in the performance of any of its rights or powers hereunder if the Trustee shall have reasonable grounds for believing that repayment of such funds or adequate indemnity against such risk or liability is not reasonably assured or provided to it;

(vi)under no circumstances shall the Trustee be liable for indebtedness evidenced by or other obligations of the Trust arising under this Declaration of Trust or any other agreements to which the Trust is a party;

(vii)the Trustee shall be under no obligation to exercise any of the rights or powers vested in it by this Declaration of Trust, or to institute, conduct or defend any litigation under this Declaration of Trust or any other agreements to which the Trust is a party, at the request, order or direction of the Managing Owner or any Unitholders unless the Managing Owner or such Unitholders have offered to the Trustee security or indemnity satisfactory to it against the costs, expenses and liabilities that may be incurred by the Trustee (including, without limitation, the reasonable fees and expenses of its counsel) therein or thereby; and

(viii)notwithstanding anything contained herein to the contrary, the Trustee shall not be required to take any action in any jurisdiction other than in the State of Delaware if the taking of such action will (a) require the consent or approval or authorization or order of or the giving of notice to, or the registration with or taking of any action in respect of, any state or other governmental authority or agency of any jurisdiction other than the State of Delaware, (b) result in any fee, tax or other governmental charge under the laws of any jurisdiction or any political subdivision thereof in existence as of the date hereof other than the State of Delaware becoming payable by the Trustee or (c) subject the Trustee to personal jurisdiction other than in the State of Delaware for causes of action arising from personal acts unrelated to the consummation by the Trustee of the transactions contemplated hereby.

(g)  Reliance by the Trustee and the Managing Owner; Advice of Counsel.  (i) In the absence of negligence or misconduct on the part of the Managing Owner or bad faith on the part of the Trustee, the Trustee and the Managing Owner may conclusively rely upon certificates or opinions furnished to the Trustee

TA-3

or the Managing Owner and conforming to the requirements of this Declaration of Trust in determining the truth of the statements and the correctness of the opinions contained therein, and shall incur no liability to anyone in acting on any signature, instrument, notice, resolution, request, consent, order, certificate, report, opinion, bond or other document or paper which is believed to be genuine and believed to be signed by the proper party or parties, and need not investigate any fact or matter pertaining to or in any such document; provided, however, that the Trustee or the Managing Owner shall have examined any certificates or opinions so as to determine compliance of the same with the requirements of this Declaration of Trust. The Trustee or the Managing Owner may accept a certified copy of a resolution of the board of directors or other governing body of any corporate party as conclusive evidence that such resolution has been duly adopted by such body and that the same is in full force and effect. As to any fact or matter the method of the determination of which is not specifically prescribed herein, the Trustee or the Managing Owner may for all purposes hereof rely on a certificate, signed by the president or any vice-president or by the treasurer or other authorized officers of the relevant party, as to such fact or matter, and such certificate shall constitute full protection to the Trustee or the Managing Owner for any action taken or omitted to be taken by either of them in good faith in reliance thereon.

(ii)In the exercise or administration of the trust hereunder and in the performance of its duties and obligations under this Declaration of Trust, the Trustee, at the expense of the Trust, (i) may act directly or through its agents, attorneys, custodians or nominees pursuant to agreements entered into with any of them, and the Trustee shall not be liable for the conduct or misconduct of such agents, attorneys, custodians or nominees if such agents, attorneys, custodians or nominees shall have been selected by the Trustee with reasonable care and (ii) may consult with counsel, accountants and other skilled professionals to be selected with reasonable care by the Trustee; provided that the Trustee shall not allocate any of its internal expenses or overhead to the account of the Trust. The Trustee shall not be liable for anything done, suffered or omitted in good faith by it in accordance with the opinion or advice of any such counsel, accountant or other such persons.

(h)  Not Part of Trust Estate.  Amounts paid to the Trustee from the Trust Estate, if any, pursuant to this Section 2 shall not be deemed to be part of the Trust Estate immediately after such payment.

3.  Principal Office.

The address of the principal office of the Trust is c/o the Managing Owner, 411 West Putnam Avenue, Greenwich, Connecticut 06830; telephone: (203) 625-8211. The Trustee is located at Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration. The Trustee shall receive service of process on the Trust in the State of Delaware at the foregoing address. In the event Wilmington Trust Company resigns or is removed as the Trustee, the Trustee of the Trust in the State of Delaware shall be the successor Trustee.

4.  Business.

The Trust’s business and purpose is to engage in speculative trading, buying, selling or otherwise acquiring, holding or disposing of futures and forward contracts on currencies, interest rate, energy and agricultural products, metals, stock and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, and to engage in all activities necessary, convenient or incidental thereto. The objective of the Trust’s business is appreciation of its assets through speculative trading. The Trust shall have the power to engage in all activities which are necessary, suitable, desirable, convenient or incidental to the accomplishment to the foregoing business and purposes. The Trust shall do so under the direction of the Managing Owner.

5.  Term, Dissolution, Fiscal Year, Series of Units and Net Asset Value.

(a)  Term.  The term of the Trust commenced on the day on which the Certificate of Trust was filed with the Secretary of State of the State of Delaware pursuant to the provisions of the Act. The Trust shall dissolve upon the first to occur of the following: (1) December 31, 2031; (2) receipt by the Managing Owner of an approval to dissolve the Trust at a specified time by Unitholders owning Units representing more than

TA-4

fifty percent (50%) of the total number of outstanding Units then owned by Unitholders, notice of which is sent by certified mail return receipt requested to the Managing Owner not less than 90 days prior to the effective date of such dissolution; (3) death, insanity, bankruptcy, retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner or any other event that causes the Managing Owner to cease to be a managing owner unless, (i) at the time of such event there is at least one remaining managing owner of the Trust who carries on the business of the Trust (and each remaining managing owner of the Trust is hereby authorized to carry on the business of the Trust in such an event), or (ii) within 90 days after such event Unitholders owning at least fifty percent (50%) of the total number of outstanding Units then owned by Unitholders agree in writing to continue the business of the Trust and to the appointment, effective as of the date of such event, of one or more managing owners of the Trust pursuant to the terms of Sections 18(b) and 18(c); (4) a decline in the aggregate Net Assets of the Trust to less than $250,000; (5) a decline in the Net Asset Value per Unit to $250 or less; or (6) any other event which shall make it unlawful for the existence of the Trust to be continued or shall require dissolution of the Trust.

(b)  Dissolution.  Upon the occurrence of an event causing the dissolution of the Trust, the Trust shall be dissolved and its affairs wound up. Upon dissolution, the New Profits Memo Account will be added to the Managing Owner’s capital account.

Upon the dissolution of the Trust, the Managing Owner (or, if the Managing Owner has withdrawn, such person as the Unitholders may, by majority vote of the Units, select) shall wind up the Trust’s affairs and, in connection therewith, shall distribute the Trust’s assets in the following manner and order:

(i)FIRST TO pay or make reasonable provision to pay (all claims of the Trustee and then all other claims and obligations, including all contingent, conditional or unmatured claims and obligations, for which the Managing Owner (or its successor) may create a reserve, known to the Trust (including claims of Unitholders) and all claims and obligations which are known to the Trust but for which the identity of the claimant is unknown; and

(ii)SECOND TO distribution in cash of the remaining assets to the Unitholders in proportion to their capital accounts, after giving effect to the allocations pursuant to Section 8 hereof as if the date of distribution were the end of a calendar year.

The Trust shall terminate when (i) all assets of the Trust shall have been distributed in the manner provided for in this Agreement and (ii) the Certificate of Trust shall have been canceled in the manner required by the Act.

(c)  Fiscal Year.  The fiscal year of the Trust shall begin on January 1 of each year and end on the following December 31.

(d)  Series of Units.   The Units may be issued in series (each, a “Series”).  The only difference between Units of each Series shall be the applicable fees and expenses described herein.  Otherwise, the Units of each Series shall be identical to the Units of the other Series and shall share pro rata in the profits and losses of the Trust.  “Series of Units” shall include outstanding Units issued prior to the date hereof (unless the context dictates otherwise).  The Series are not of a type contemplated by the last sentence of Section 3804(a) of the Act.

(e)  Net Asset Value.  The Net Assets of the Trust are its assets less its liabilities determined in accordance with generally accepted accounting principles.  A Series’ Net Assets in aggregate are the Trust’s assets attributable to that Series minus its liabilities attributable to that Series.  If a futures, forward or other contract cannot be liquidated on the day with respect to which Net Assets are being determined, the settlement price on the first subsequent day on which the contract can be liquidated shall be the basis for determining the liquidating value of such contract for such day, or such other value as the Managing Owner may deem fair and reasonable. The liquidating value of a commodity futures or option contract not traded on a United States commodity exchange shall mean its liquidating value as determined by the Managing Owner on a basis consistently applied for each different variety of contract.

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The Brokerage Fee shall be charged to Series 1 Units at the basic rate of 7.0% per annum of the average month-end Net Assets of the Trust attributable to Series 1 Units (prior to reduction for accrued but unpaid fees), and additional Series 1 Units shall be allocated to Series 1 Unitholders subject to reduced Brokerage Fees as described in Section 8(a)(3) hereof. Brokerage Fees, accrued as well as paid, shall reduce Net Asset Value of Series 1 Units.  The Managing Owner compensates selling agents in connection with the sale of Series 1 Units out of the Brokerage Fee in an amount up to 4% per annum of the Net Asset Value of Series 1 Units but not to exceed 9.5% of the purchase price paid by purchasers of the Series 1 Units.  Once the 9.5% threshold is reached with respect to a Series 1 Unit issued on or after the date hereof, amounts that would otherwise be paid to the selling agent for that Series 1 Unit shall instead be rebated to the Trust and shall be allocated equally among all Series 1 Units (inclusive of outstanding Units issued prior to the date hereof).

The Management Fee shall be charged to Series 2 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior to reduction for accrued but unpaid fees).  The Custodial Fee shall also be charged to Series 2 Units at the basic rate of 0.25% per annum of the average month-end Net Assets of the Trust attributable to Series 2 Units (prior to reduction for accrued but unpaid fees).  The Custodial Fee shall be paid to brokers acting as custodian of Series 2 Units for the benefit of Series 2 Unitholders.  The maximum amount of Custodial Fees paid to brokers that act as custodian of Series 2 Units shall not exceed 3.1667% of the purchase price paid by purchasers of Series 2 Units (or such lower amount as described in the Prospectus).  Once the maximum threshold is reached with respect to a Series 2 Unit, Custodial Fees that would otherwise be paid to the custodian for such Series 2 Unit shall instead be rebated to the Trust and shall be allocated equally among all Series 2 Units.  Series 2 Units shall also be subject to their pro rata share of the Trust’s routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and “give-up” fees).  Management Fees, Custodial Fees and trading costs, accrued as well as paid, shall reduce Net Asset Value of Series 2 Units.

The Management Fee shall be charged to Series 3 Units at the basic rate of 2.0% per annum of the average month-end Net Assets of the Trust attributable to Series 3 Units (prior to reduction for accrued but unpaid fees).  Series 3 Units shall also be subject to their pro rata share of the Trust’s routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and “give-up” fees).  Management Fees and trading costs, accrued as well as paid, shall reduce Net Asset Value of Series 3 Units.

Series 4 Units shall be subject to their pro rata share of the Trust’s routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and “give-up” fees).  Trading costs, accrued as well as paid, shall reduce Net Asset Value of Series 4 Units.

Accrued Profit Shares (as described in Section 8 hereof) shall reduce Net Asset Value, even though such Profit Shares may never, in fact, be paid.  Accrued Profit Shares shall be calculated on a basis which reflects any aggregate New Trading Profit (as defined in Section 8(c)), accrued equally in respect of each Series 1 Unit (except as necessary to reflect the difference in the Brokerage Fees charged certain Unitholders) and accrued equally in respect of the Series 2 and 3 Units in the aggregate (except as necessary to reflect the Custodial Fee charged to the Series 2 Unitholders) but not in respect of the Series 4 Units, the Managing Owner’s capital account or the New Profits Memo Account (see Section 8(a)).

6.  Net Worth of Managing Owner.

The Managing Owner agrees that at all times so long as it remains managing owner of the Trust, it will maintain its Net Worth at an amount not less than the greater of $50,000 or 5% of the total contributions to the Trust and to all other entities of which it is managing owner or general partner. In no event shall the Managing Owner be required to maintain a net worth in excess of $1,000,000.

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7.  Capital Contributions; Units; Managing Owner’s Liability.

(a)  Types of Beneficial Interests.  The beneficial interests in the Trust shall consist of two types: a general liability interest and limited liability Units. The Managing Owner shall acquire the general liability interest, and investors shall all acquire limited liability Units.

(b)  Managing Owner’s Liability.  Upon the initial contribution by the Managing Owner to the Trust, the Managing Owner became the holder of the general liability interest of the Trust. The Managing Owner’s general liability interest shall be accounted for on a Unit-equivalent basis, but may receive allocations on an aggregate basis so as to simplify the Trust’s accounting. The Managing Owner’s general liability interest will not be subject to full Brokerage Fees, but rather only to actual execution costs, nor shall it be subject to Management Fees, Custodial Fees or Profit Shares.

(c)  No Certificates.  No certificates or other evidences of beneficial ownership of the Units will be issued.

(d)  Unitholder Consent.  Every Unitholder, by virtue of having purchased or otherwise acquired Units, shall be deemed to have expressly consented and agreed to be bound by the terms of this Declaration of Trust.

The Unitholders’ respective capital contributions to the Trust shall be as shown on the books and records of the Trust.

The Managing Owner shall have unlimited liability for the repayment, satisfaction and discharge of all debts, liabilities and obligations of the Trust to the full extent, and only to the extent, of the Managing Owner’s assets.

The Managing Owner shall be liable for the acts, omissions, obligations and expenses of the Trust, to the extent not paid out of the assets of the Trust, to the same extent that the Managing Owner would be so liable if the Trust were a partnership under the Delaware Revised Uniform Limited Partnership Act and the Managing Owner were a general partner of such partnership. The obligations of the Managing Owner under this paragraph shall be evidenced by its ownership of the general liability interest.

The Managing Owner, so long as it is generally liable for the obligations of the Trust, shall invest in the Trust, as a general liability interest, no less than 1% of the net capital contributions to the Trust (including the Managing Owner’s contributions) but in no event shall the Managing Owner invest less than $500,000 of the total capital contributions to the Trust. The Managing Owner may withdraw any interest it may have in excess of such requirement as of any month-end on the same terms as any Unitholder, provided the Managing Owner’s interest in the Trust remains equal to or greater than the greater of (i) 1% of the Trust’s then current Net Assets or (ii) $500,000.

Any Units acquired by the Managing Owner or any of its principals or their respective affiliates will be non-voting, and will not be considered outstanding for purposes of determining whether the majority approval of the outstanding Units has been obtained.

The general liability interest in the Trust held by the Managing Owner will be non-voting.

8.  Allocation of Profits and Losses.

(a)  Capital Accounts and Allocations.  A capital account shall be established for each Unit of each Series and for the Managing Owner. In addition, a New Profits Memo Account shall be established on the books of the Trust for bookkeeping purposes only. The initial balance of each capital account shall be the amount contributed to the Trust in respect of a Unit or by the Managing Owner. As of the close of business (as determined by the Managing Owner) on the last day of each month, the following determinations and allocations shall be made:

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(1)The Net Assets of the Trust will be determined without regard to Brokerage Fees, Management Fees, Custodial Fees, the Trust’s actual trade execution and clearing costs or Profit Shares.

(2)Any increase or decrease in the Trust’s Net Assets (as determined pursuant to Paragraph 1 above), as compared to the last such determination of Net Assets, shall then be credited or charged pro rata to the capital account of each Unit, to the capital account of the Managing Owner and to the New Profits Memo Account.

(3)Brokerage Fees shall be charged equally to all Series 1 Units at the rate of 0.5833 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid fees or Profit Shares) allocable to such Series 1 Units (a 7.0% annual rate).  Such Brokerage Fees shall be paid out to the Managing Owner; provided that in respect of Series 1 Units which are subject to per annum Brokerage Fees of 6.5%, 6.0%, or 5.5% (or as otherwise reduced to reflect reduced sales commissions) of the average month-end Trust assets allocable to such Series 1 Units, the difference between the 0.5833 of 1% Brokerage Fees charged and the reduced Brokerage Fee due as of the end of each month shall not be paid out to the Managing Owner but shall instead be credited to a Suspense Account which shall not be included in the Net Asset Value of the Series 1 Units, and shall be used solely as a means of efficiently accounting for the reduction in the Brokerage Fee payable by such Series 1 Unitholders while maintaining a uniform Net Asset Value per Series 1 Unit.

Management Fees shall be charged equally to all Series 2 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid fees or Profit Shares) allocable to such Series 2 Units (a 2.0% annual rate) and Custodial Fees shall be charged equally to all Series 2 Units at the rate of 0.0208 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid fees or Profit Shares) allocable to such Series 2 units (a 0.25% annual rate).  Actual costs of executing and clearing the Trust’s futures trades attributable to Series 2 Units, including prime brokerage fees in respect of currency forward contracts attributable to Series 2 Units, shall also be charged equally to all Series 2 Units.

Management Fees shall be charged equally to all Series 3 Units at the rate of 0.166 of 1% of the month-end Trust assets (prior to reduction for any accrued but unpaid fees or Profit Shares) allocable to such Series 3 Units (a 2% annual rate).  Actual costs of executing and clearing the Trust’s futures trades attributable to Series 3 Units, including prime brokerage fees in respect of currency forward contracts attributable to Series 3 Units, shall also be charged equally to all Series 3 Units.

Actual costs of executing and clearing the Trust’s futures trades attributable to Series 4 Units, including prime brokerage fees in respect of currency forward contracts attributable to Series 4 Units, shall also be charged equally to all Series 4 Units.

Brokerage Fees, Management Fees and Custodial Fees will not be charged to (or calculated on a basis of average month-end Trust assets which include) capital accounts of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates or the New Profits Memo Account. The capital accounts of the Series 4 Unitholders, the Managing Owner, its principals, their respective affiliates and the New Profits Memo Account shall be charged for their respective pro rata shares of the costs of executing and clearing the Trust’s futures trades as well as for prime brokerage fees in respect of currency forward contracts, but not for any Brokerage Fees, Management Fees or Custodial Fees.

(4)The Managing Owner’s Series 1 Profit Share will equal 20% of any Series 1 New Trading Profit (as defined in Section 8(c)). The Managing Owner’s Series 2/3 Profit Share will equal 20% of any aggregate Series 2 and Series 3 New Trading Profit (as defined in Section 8(c)). As of the end of each month, the amount of any such Series 1 Profit Share or Series 2/3 Profit Share, as applicable, shall be calculated and shall reduce the Net Asset Value per Unit of Series 1 or Series 2 and Series 3, as applicable, pro rata. The Series 4 Units shall not be subject to a Profit Share. The amount of any such Profit Share shall be deducted from each Unit’s capital account (other than the Series 4 Units, as

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described above) and credited to the New Profits Memo Account, as a bookkeeping entry only, as of the end of each calendar year. The capital accounts of the Managing Owner, its principals, their respective affiliates and the New Profits Memo Account will not be subject to the Profit Share.  (For the avoidance of doubt, the amount of any Series 1 Profit Share accrual reversal shall be credited to the Series 1 Units only and the amount of any Series 2/3 Profit Share accrual reversal shall be credited, pro rata, to Series 2 and Series 3 Units only.)

(5)The amounts credited to the Suspense Account as provided in Paragraph 3 above as of the end of any month shall be reduced by the 20% Series 1 Profit Share if there is an accrued Profit Share in respect of the Series 1 Units as of the month-end that such amounts are so credited. If such month-end is also a year-end, the amount of such Series 1 Profit Share shall be credited to the New Profits Memo Account, as a bookkeeping entry only, and the remainder of the Suspense Account shall be reinvested in Series 1 Units as of such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders.  If such month-end is not also a year-end, the Series 1 Profit Share accrual, as well as the remainder of the Suspense Account, shall be reinvested in Series 1 Units as of such month-end, at Net Asset Value, for the benefit of the appropriate Series 1 Unitholders.

(6)The Managing Owner’s Series 1 Profit Share or Series 2/3 Profit Share with respect to Units redeemed as of a month-end which is not the end of a calendar year shall be computed as though such month-end were the end of a calendar year, and the amount of the Series 1 Profit Share or Series 2/3 Profit Share so computed (if any) shall be deducted from the redeemed Units’ capital accounts and credited to the New Profits Memo Account, as a bookkeeping entry only.

(7)When Series 1 Units subject to reduced per annum Brokerage Fees are redeemed: (i) if a Series 1 Profit Share is then accrued, the difference between the 7.0% per annum and reduced per annum Brokerage Fee attributable to such Series 1 Units for the month-end of redemption shall be assessed a 20% Series 1 Profit Share which shall be credited to the New Profits Memo Account, as a bookkeeping entry only; and (ii) the Series 1 Profit Share, if any, due in respect of such Series 1 Units shall be calculated on the same basis as in respect of all other Series 1 Units, as set forth in Paragraph 4 above, and credited to the New Profits Memo Account, as a bookkeeping entry only.

If no Series 1 Profit Share is accrued as of the date of redemption, then no New Profits Memo Account credits shall be made in respect of any portion of the Series 1 Units redeemed.

(8)The amount of any distributions made in respect of a Unit as of the end of such month and any amount (not reduced by any early redemption charges) paid upon partial redemption of Units or upon withdrawal of the Managing Owner’s interest as of the end of such month shall be charged against the capital account of such Unit or of the Managing Owner. The capital account of any Unit fully redeemed shall be eliminated.

(9)Brokerage Fees, Management Fees and Custodial Fees shall be treated as if paid or payable to a third party and shall not be credited to the capital account of the general liability interest held by the Managing Owner.

(10)Persons who make a net capital investment in the Series 1 Units, including both initial and subsequent investments and without regard to profits or losses, of $100,000, $500,000, $1,000,000 or more or who acquired Series 1 Units through asset-based fee or fixed-fee investment programs (such as broker or trust company “wrap accounts”) shall be entitled to pay Brokerage Fees of 6.5%, 6.0%, 5.5% or 4% per annum, respectively, of the average month-end assets of their respective capital accounts; provided that, if after any redemption of Series 1 Units, the aggregate net capital contributions for Series 1 Units (subscriptions less redemptions, but assuming redemptions to be made first from accumulated net profits, not capital contributions) of an investor is less than $100,000, $500,000 or $1,000,000, such Series 1 Unitholder will no longer be eligible for the level of per annum Brokerage Fee such investor was paying but rather shall be subject to the higher Brokerage Fee applicable to the aggregate Net Asset Value of such investor’s Series 1 Units as if that amount were such investor’s initial investment in the Series 1 Units. Should such person subsequently make

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an additional subscription, if the amount of such subsequent subscription plus such Series 1 Unitholder’s remaining net capital contributions (subscriptions less redemptions, but assuming redemptions to be made first from accumulated net profits, not capital contributions) equals $100,000, $500,000 or $1,000,000 or more, such person will pay the Brokerage Fee applicable to such person’s net capital investment in the Series 1 Units described in this Paragraph 10.  Redemptions of Series 1 Units shall not cause investors who invest through asset-based fee or fixed-fee investment programs to pay increased Brokerage Fees.

Reduced Brokerage Fees apply to a Series 1 Unitholder’s entire capital account attributable to Series 1 Units, not just that part of such capital account corresponding to capital contributions of $100,000, $500,000 and $1,000,000 or more.

(b)  Allocation of Profit and Loss for Federal Income Tax Purposes.  Each of the parties hereto, by entering into this Declaration of Trust, (i) expresses its intention that the Units will qualify under applicable tax law as though the Units were interests in a partnership which holds the Trust Estate for their benefit, (ii) agrees that it will file its own federal, state and local income, franchise and other tax returns in a manner that is consistent with the treatment of the Trust as though it were a partnership in which each of the Unitholders is a partner and (iii) agrees to use reasonable efforts to notify the Managing Owner promptly upon a receipt of any notice from any taxing authority having jurisdiction over such Unitholder with respect to the treatment of the Units as anything other than interests in a partnership. As of the end of each fiscal year, income and expense and capital gain or loss of the Trust shall be allocated among the Unitholders pursuant to the following provisions of this Section 8(b) for federal income tax purposes. Such allocations shall be pro rata from short-term capital gain or loss and long-term capital gain or loss. For purposes of this Section 8(b), capital gain and capital loss shall be allocated separately and not netted.

(1)Items of ordinary income and expenses attributable to the Trust (other than Brokerage Fees, Management Fees, Custodial Fees, and allocable execution and clearing costs (including prime brokerage fees), which shall be allocated as set forth in Section 8(b)(2)), shall be allocated pro rata among all Units of the Trust (based on Net Asset Value per Unit) outstanding as of the end of each calendar month (including Units being then redeemed), and pro rata to the capital account of the Managing Owner.

(2)Deductions attributable to Brokerage Fees, Management Fees, Custodial Fees and allocable execution and clearing costs (including prime brokerage fees) shall be allocated to each Unitholder and the Managing Owner in the same manner as such Brokerage Fees, Management Fees, Custodial Fees and allocable execution and clearing costs are allocated for financial purposes pursuant to Section 8(a).

(3)Capital Gain or Loss (as defined in Section 8(b)(3)(H)) shall be allocated as follows:

(A)There shall be established a tax account with respect to each outstanding Unit and with respect to the Managing Owner. The initial balance of each tax account shall be the net amount paid to the Trust for each Unit and the amount contributed to the Trust by the Managing Owner. Amounts reinvested in Series 1 Units from the Suspense Account, as described in Section 8(a) hereof, shall not increase the aggregate tax basis of the affected Series 1 Unitholders in their Series 1 Units; rather the Series 1 Units acquired upon reinvestment will have an initial tax basis of $0. As of the end of each fiscal year:

(i)Each tax account for the Units and the Managing Owner shall be increased by the amount of income or gain allocated to such tax account pursuant to Sections 8(b)(1), 8(b)(3)(B) and 8(b)(3)(D).

(ii)Each tax account for the Units shall be decreased by the amount of expense or loss allocated to each Unit pursuant to Sections 8(b)(1), 8(b)(2) and 8(b)(3)(F) and by the amount of any distributions paid out with respect to such Units other than upon redemption.

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(iii)When a Unit is redeemed, the tax account attributable to such Unit (determined after making all allocations described in this Section 8(b)) shall be eliminated.

(B)The Managing Owner shall be allocated Capital Gain, if any, up to the amount of any bookkeeping credit to the New Profits Memo Account, including any credits made as of the end of the fiscal year of allocation. To the extent any such tax allocation is made, the balance in the New Profits Memo Account shall be reduced, and the balance in the Managing Owner’s capital account, for financial purposes, correspondingly increased.

(C)Each Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year) shall be allocated Capital Gain, if any, up to the amount of the excess, if any, of the amount received in respect of the Units so redeemed over the sum of the tax accounts (determined after making the allocation described in Sections 8(b)(1) and 8(b)(2), but prior to making the allocations described in this Section 8(b)(3)(C)) allocable to such Units (an “Excess”). In the event that the aggregate amount of Capital Gain available to be allocated pursuant to this Section 8(b)(3)(C) is less than the aggregate amount of Capital Gain required to be so allocated, the aggregate amount of available Capital Gain shall be allocated among all such Unitholders in the ratio which each such Unitholder’s Excess bears to the aggregate Excess of all such Unitholders.

(D)Capital Gain remaining after the allocation described in Section 8(b)(3)(C) shall be allocated among all Unitholders who hold Units outstanding as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose capital accounts with respect to such Units are in excess of the related tax accounts (determined after making the allocations described in Sections 8(b)(1) and 8(b)(2)) allocable to such Units, in the ratio that each such Unitholder’s Excess bears to the aggregate Excess of all such Unitholders. Capital Gain remaining after the allocation described in the preceding sentence shall be allocated among all Unitholders described in said sentence in proportion to their holdings of such Units.

(E)Each Unitholder who redeems a Unit during a fiscal year (including Units redeemed as of the end of the last day of such fiscal year) shall be allocated Capital Loss, if any, up to the amount of the sum of the excess of the tax accounts (determined after making the allocations described in Sections 8(b)(1) and 8(b)(2), but prior to making the allocations described in this Section 8(b)(3)(E)) allocable to the Units so redeemed over the amount received in respect of such Units (a “Negative Excess”). In the event that the aggregate amount of available Capital Loss required to be allocated pursuant to this Section 8(b)(3)(E) is less than the aggregate amount required to be so allocated, the aggregate amount of available Capital Loss shall be allocated among all such Unitholders in the ratio that each such Unitholder’s Negative Excess bears to the aggregate Negative Excess of all such Unitholders.

(F)Capital Loss remaining after the allocation described in Section 8(b)(3)(E) shall be allocated among all Unitholders who hold Units outstanding as of the end of the applicable fiscal year (other than Units redeemed as of the end of the last day of such fiscal year) whose tax accounts with respect to such Units are in excess of their capital accounts (determined after making the allocations described in Sections 8(b)(1) and 8(b)(2) with respect to such Units, in the ratio that each such Unitholder’s Negative Excess bears to the aggregate Negative Excess of all such Unitholders. Capital Loss remaining after the allocation described in the preceding sentence shall be allocated among all Unitholders described in such sentence in proportion to their holdings of such Units.

(G)For purposes of this Section 8(b), the Managing Owner’s interest in the Trust will be treated as if it were a single Unit.

(H)For purposes of this Section 8(b), “Capital Gain” or “Capital Loss” shall mean gain or loss characterized as gain or loss from the sale or exchange of a capital asset by the Code,

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including, but not limited to, gain or loss required to be taken into account pursuant to Section 1256 thereof.

(4)The allocation of profit and loss for federal income tax purposes set forth herein allocates taxable profit and loss among the Unitholders in the ratio and to the extent that financial profit and loss are allocated to such Unitholders and so as to eliminate, to the maximum practicable extent, any disparity between a Unit’s capital account and its tax account, consistent with principles set forth in Section 704 of the Code, including without limitation a “Qualified Income Offset.”

(5)The allocations of profit and loss to the Unitholders in respect of their Units shall not exceed the allocations permitted under Subchapter K of the Code, as determined by the Managing Owner, whose determination shall be binding.

(c)  Profit Share; New Profits Memo Account.  The Managing Owner’s Profit Share will equal 20% of any cumulative trading profits (“New Trading Profit”), not including interest income, after deduction of all accrued but unpaid fees and expenses other than the Profit Share itself (“Trading Profit”), over the highest level of such cumulative Trading Profit as of any previous calendar year-end, or $0, if higher (the “Profit Share High Water Mark”). Profit Shares shall be determined separately (i) in respect of Series 1 Units (“Series 1 Profit Share”) and (ii) in respect of Series 2 and 3 Units in the aggregate (“Series 2/3 Profit Share”). Trading Profit does not include profits allocable to the Managing Owner’s capital account or to the New Profits Memo Account. (For the avoidance of doubt, Series 1 Profit Shares will be calculated on Series 1 Units subject to reduced per annum as well as on those subject to a 7.0% per annum Brokerage Fee in the manner described in Section 8(a) hereof.)

New Trading Profit is reduced by routine administrative expenses.

If Series 1 Units are redeemed when there is a loss carryforward for Series 1 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for Series 1 is below the Profit Share High Water Mark for Series 1), such loss carryforward will be reduced in proportion to the proportion of the total outstanding Series 1 Units. If Series 2 Units or Series 3 Units are redeemed when there is a loss carryforward for Series 2/3 Profit Share calculation purposes (i.e., the current level of cumulative Trading Profit for Series 2 and Series 3 is below the Profit Share High Water Mark for Series 2 and Series 3), such loss carryforward will be reduced in proportion to the proportion of the total Net Assets of Series 2 and Series 3 Units.

Neither any Unitholder nor the Managing Owner shall have any interest in the New Profits Memo Account, except as described in Section 5(b) hereof. However, as described in Section 8(b)(3)(B), bookkeeping entries in the New Profits Memo Account shall be reduced, and the Managing Owner’s capital account correspondingly increased to the extent that priority allocations of Capital Gain are made to the Managing Owner pursuant to said Section 8(b)(3)(B).

In the event that the Net Asset Value per Unit of any Series is less than $400 as of any calendar month-end, the balance of any bookkeeping entries to the New Profits Memo Account then outstanding will be cancelled, and an amount equal to such balance shall be allocated pro rata among all outstanding Units (based on Net Asset Value per Unit), but not to the Managing Owner’s capital account.

(d)  Expenses; Interest Income.  The Trust shall bear all of any taxes applicable to it. The Series 1 Units shall pay the Managing Owner a Brokerage Fee equal to 0.5833 of 1% (a 7.0% annual rate) of the month-end assets of the Trust (prior to reduction for any accrued but unpaid Brokerage Fees and Series 1 Profit Shares) attributable to the Series 1 Units; provided that in the case of subscribers who invest $100,000, $500,000 or $1,000,000 or more in the Series 1 Units, such Brokerage Fee shall be reduced to 0.5417 of 1% (a 6.5% annual rate), 0.50 of 1% (a 6% annual rate) or 0.4583 of 1% (a 5.5% annual rate), respectively, of such month-end assets of the Trust attributable to each such Series 1 Unitholder’s capital account, as contemplated by Section 8(a)(10) above.

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The Series 2 Units and Series 3 Units shall pay the Managing owner a Management Fee equal to 0.166 of 1% (a 2.0% annual rate) of the month-end assets of the Trust (prior to any accrued but unpaid Custodial Fee, Management Fees and Profit Shares) attributable to the Series 2 Units and Series 3 Units, respectively.

The Series 2 Units shall pay the Managing Owner a Custodial Fee equal to 0.0208 of 1% (a 0.25% annual rate) of the month-end assets of the Trust attributable to the Series 2 Units.

The Managing Owner shall pay all routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and “give-up” fees) attributable to the Series 1 Units. The Series 2 Units, Series 3 Units and Series 4 Units shall pay all routine charges incidental to trading (including, without limitation, brokerage commissions, prime brokerage fees, exchange, clearinghouse, regulatory, floor brokerage, electronic platform trading costs and “give-up” fees) attributable to the Series 2 Units, Series 3 Units and Series 4 Units, respectively. Any extraordinary charges incidental to trading (for example, insurance or delivery charges) will be paid by the Trust.

The Trust’s organizational and offering expenses, including redemption fees, are limited to 15% of the capital contributions to the Trust.

The Trust will pay its ongoing administrative expenses, including the fees of the Trustee. All of the expenses which are for the account of the Trust shall be billed directly to the Trust. The Trust shall bear all of its own legal, accounting and administrative expenses, but none of the Managing Owner’s “overhead” expenses incurred in connection with the administration of the Trust (including, but not limited to, salaries and rent) shall be charged to the Trust.

Appropriate reserves may be created, accrued and charged against the Net Assets for contingent liabilities, if any, as of the date any such contingent liability becomes known to the Managing Owner. Such reserves shall reduce Net Asset Value for all purposes.

Any goods and services provided to the Trust by the Managing Owner shall be provided at rates and terms at least as favorable as those which may be obtained from third parties in arm’s-length negotiations.

In the event that the Trust shall be subject to taxation by any state or local or by any foreign taxing authority, the Trust shall be obligated to pay such taxes to such jurisdiction. In the event that the Trust shall be required to make payments to any federal, state or local or any foreign taxing authority in respect of any Unitholder’s allocable share of the Trust’s income, the amount of such taxes shall be considered a loan by the Trust to such Unitholder, and such Unitholder shall be liable for, and shall pay to the Trust, any taxes so required to be withheld and paid over by the Trust within ten (10) days after the Managing Owner’s request therefor. Such Unitholder shall also be liable for (and the Managing Owner shall be entitled to redeem Units of such Unitholder as necessary to satisfy) interest on the amount of taxes paid over by the Trust to the Internal Revenue Service (“IRS”) or other taxing authority, from the date of the Managing Owner’s request for payment to the date of payment or redemption, as the case may be, at the rate of two percent (2%) per annum over the prime rate charged from time to time by FBR National Bank & Trust, Bethesda, Maryland. Any amount payable by the Trust to such Unitholder shall be reduced by any obligations owed to the Trust by the Unitholder, including, without limitation, the amount of any taxes required to be paid over by the Trust to the IRS or other taxing authority and interest thereon as aforesaid. Amounts, if any, deducted by the Trust from any actual distribution or redemption payment to such Unitholder shall be treated as an actual distribution to such Unitholder for all purposes of this Declaration of Trust.

The Trust will receive all interest income earned on its assets.

(e)  Limited Liability of Unitholders.  Each Unit, when purchased in accordance with this Declaration of Trust, shall, except as otherwise provided by law, be fully-paid and nonassessable. Any provisions of this Declaration of Trust to the contrary notwithstanding, Unitholders (including the Managing Owner, except to

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the extent otherwise provided herein) shall be entitled to the same limitation on personal liability extended to stockholders of private corporations for profit organized under the General Corporation Law of the State of Delaware.

The Trust will indemnify, to the full extent permitted by law, each Unitholder (other than the Managing Owner in the event that the Managing Owner acquires Units) against any claims of liability asserted against such Unitholder solely because such Unitholder is a beneficial owner of the Trust (other than in respect of taxes due from such Unitholder as such a beneficial owner).

Every written note, bond, contract, instrument, certificate or undertaking made or issued by the Managing Owner shall give notice to the effect that the same was executed or made by or on behalf of the Trust and that the obligations of any of the foregoing are not binding upon the Unitholders individually but are binding only upon the assets and property of the Trust, and that no resort shall be had to the Unitholders’ personal property for the satisfaction of any obligation or claim thereunder, and appropriate references may be made to this Declaration of Trust and may contain any further recital which the Managing Owner deems appropriate, but the omission thereof shall not operate to bind the Unitholders individually or otherwise invalidate any such note, bond, contract, instrument, certificate or undertaking.

(f)  Return of Capital Contributions.  No Unitholder or subsequent assignee shall have any right to demand the return of his or her capital contribution or any profits added thereto, except through redeeming Units or upon dissolution of the Trust, in each case as provided herein. In no event shall a Unitholder or subsequent assignee be entitled to demand or receive property other than cash.

9.  Management of the Trust.

(a)  Authority of the Managing Owner.  Pursuant to Section 3806 of the Act, the Trust shall be managed by the Managing Owner, and the conduct of the Trust’s business (including the maintenance of accounts and allocations) shall be controlled and conducted solely by the Managing Owner in accordance with this Declaration of Trust.

The Managing Owner, to the exclusion of all other Unitholders, shall control, conduct and manage the business of the Trust. The Managing Owner shall have sole discretion in determining what distributions of profits and income, if any, shall be made to the Unitholders (subject to the allocation provisions hereof), shall execute various documents on behalf of the Trust and the Unitholders pursuant to powers of attorney and shall supervise the liquidation of the Trust if an event causing dissolution of the Trust occurs.

The Managing Owner may, in furtherance of the business of the Trust, cause the Trust to buy, sell, hold or otherwise acquire or dispose of commodities, futures contracts, forward contracts on currencies and options traded on exchanges or otherwise, swaps, hybrid instruments, arbitrage positions, repurchase agreements, interest-bearing securities, deposit accounts and similar instruments and other assets, and cause the trading of the Trust to be limited to only certain of the foregoing instruments.

The Managing Owner may take such other actions on behalf of the Trust as the Managing Owner deems necessary or desirable to manage the business of the Trust.

The Managing Owner is hereby authorized to perform all duties imposed by Sections 6221 through 6232 of the Code on the Managing Owner as the “tax matters partner” of the Trust.

(b)  Notification of Basic Changes.  The Managing Owner shall send to all Unitholders and assignees prior notice of any change in the basic investment approach of the Trust and of any increase in its charges. Such notifications shall contain a ballot and a description of Unitholder’s voting and redemption rights and a description of any material effect of such change or increase. The Managing Owner is hereby specifically authorized to enter into, on behalf of the Trust, the Customer Agreements, the Selling Agreements and the Additional Selling Agent Agreements as described in the Prospectus.  For the avoidance of doubt, the business

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terms applicable to Units issued prior to the date hereof including, but not limited to fee terms and redemption terms, shall continue with respect to such Units while such Units remain outstanding.

(c)  Certain Agreements.  In addition to any specific contract or agreements described herein, the Trust, and the Managing Owner on behalf of the Trust, may enter into any other contracts or agreements specifically described in or contemplated by the Prospectus without any further act, approval or vote of any Unitholder other than the Managing Owner, notwithstanding any other provisions of this Declaration of Trust, the Act or any applicable law, rule or regulations.

(d)  Fiduciary Duties.  The Managing Owner shall be under a fiduciary duty to conduct the affairs of the Trust in the best interests of the Trust, provided that the Managing Owner shall not be obligated to engage in any conduct on behalf of the Trust to the detriment of any other commodity pool to which the Managing Owner owes similar fiduciary duties. The Unitholders will under no circumstances be deemed to have contracted away the fiduciary obligations owed them by the Managing Owner under the common law. The Managing Owner’s fiduciary duty includes, among other things, the safekeeping of all funds and assets of the Trust and the use thereof for the benefit of the Trust. The Managing Owner shall at all times act with integrity and good faith and exercise due diligence in all activities relating to the conduct of the business of the Trust and in resolving conflicts of interest. The Managing Owner will take no actions with respect to the property of the Trust which do not benefit the Trust, and the Managing Owner will not use the assets of the Trust as compensating balances for the Managing Owner’s exclusive benefit.

(e)  Brokerage Arrangements.  The Trust’s brokerage arrangements shall be non-exclusive, and the brokerage commissions paid by the Trust shall be competitive. Such brokerage commissions may not exceed 14% annually of the average net assets of the Trust, excluding Trust assets not directly related to trading activity. The Trust shall seek the best price and services available for its commodity transactions.

The Brokerage Fees (in respect of Series 1 Units) and Management Fees (in respect of Series 2 Units and Series 3 Units) paid by the Trust may not exceed the amount permitted under applicable North American Securities Administrators Association, Inc. Guidelines for the Registration of Commodity Pool Programs (“Blue Sky Guidelines”) in effect as of the date hereof.

(f)  Prohibited Activities.  The Trust shall make no loans to any party, and the funds of the Trust will not be commingled with the funds of any other person or entity (deposit of funds with a commodity broker, clearinghouse or forward dealer or entering into joint ventures or partnerships shall not be deemed to constitute “commingling” for these purposes). The Managing Owner shall make no loans to the Trust.

The Trust shall not employ the trading technique commonly known as “pyramiding.” The Managing Owner taking into account the Trust’s open trade equity on existing positions in determining generally whether to acquire additional commodity positions on behalf of the Trust will not be considered to be engaging in “pyramiding.”

No person or entity may receive, directly or indirectly, any advisory, management or incentive fees, or any profit-sharing allocation from joint ventures, partnerships or similar arrangements in which the Trust participates, for investment advice or management who shares or participates in any per-trade commodity brokerage commissions paid by the Trust; no broker may pay, directly or indirectly, rebates or give-ups to any trading advisor or manager or to the Managing Owner or any of their respective affiliates; and such prohibitions may not be circumvented by any reciprocal business arrangements.

The maximum period covered by any contract entered into by the Trust, except for the various provisions of the Selling Agreement which survive, shall not exceed one year. Any material change in the basic investment policies or structure of the Trust shall require the approval of Unitholders owning Units representing more than fifty percent (50%) of the total outstanding Units owned by Unitholders as of a record date established for a vote thereon. Any agreements between the Trust and the Managing Owner or any affiliate of the Managing Owner shall be terminable by the Trust upon no more than 60 days’ written notice.

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(g)  Freedom of Action.  The Managing Owner is engaged, and may in the future engage, other business activities and shall not be required to refrain from any other activity nor forego any profits from any such activity, whether or not in competition with the Trust. The Trustee and the Unitholders may similarly engage in any such other business activities. The Managing Owner shall devote to the Trust such time as the Managing Owner may deem advisable to the conduct of the Trust’s business and affairs.

10.  Audits and Reports to Unitholders.

The Trust’s books shall be audited annually by an independent certified public accountant. The Trust will use its best efforts to cause each Unitholder to receive (i) within 90, but in no event later than 120 days, after the close of each fiscal year certified financial statements for the fiscal year then ended, (ii) within 90 days of the end of each fiscal year (but in no event later than March 15 of each year) such tax information as is necessary for a Unitholder to complete his or her federal income tax return and (iii) such other annual and monthly information as the Commodity Futures Trading Commission may by regulation require. Unitholders or their duly authorized representatives may inspect the books and records of the Trust during normal business hours upon reasonable written notice to the Managing Owner and obtain copies of such records upon payment of reasonable reproduction costs; provided, however, that upon request by the Managing Owner, the requesting Unitholder shall represent that the inspection and/or copies of such records will not be used for commercial purposes unrelated to such Unitholder’s interest as an investor in the Trust.

The Managing Owner shall calculate the Net Asset Value per Unit of each Series on a monthly basis and sell and redeem Units of each Series at such Net Asset Value.

The Brokerage Fees, Management Fees, Custodial Fees and Profit Share may not be increased without prior written notice to any affected Unitholders within sufficient time for the exercise of their redemption rights prior to any such increase becoming effective. The Brokerage Fees and the Profit Share may not be increased during any period when a redemption charge is in effect with respect to any Series 1 Units.

The Managing Owner shall notify the Unitholders of (i) changes to the trading method of the Managing Owner which the Managing Owner believes to be material, (ii) changes in Brokerage Fees, Management Fee, Custodial Fees, Profit Share or other fees paid by the Trust or (iii) material changes in the basic investment policies or structure of the Trust. The Managing Owner shall so notify Unitholders, by certified mail or other means of notification providing for evidence of delivery, prior to any such change. Such notification shall set forth the Unitholders’ voting and redemption rights. The Managing Owner will send written notice to each Unitholder of a Series within seven days of any decline in the Net Asset Value per Unit of such Series to 50% or less of such value as of the previous month-end. Any such notice shall contain a description of the Unitholders’ voting and redemption rights. The Managing Owner, not the Trust, shall pay the cost of any notification delivered pursuant to this paragraph.

The Managing Owner shall prepare or cause to be prepared and shall file on or before the due date (or any extension thereof) any federal, state or local tax returns required to be filed by the Trust. The Managing Owner shall cause the Trust to pay any taxes payable by the Trust; provided, however, that such taxes need not be paid if the Managing Owner or the Trust are in good faith and by appropriate legal proceedings contesting the validity, applicability or amount thereof, and such contest does not materially endanger any right or interest of the Trust.

The Managing Owner shall maintain and preserve all required records relating to the Trust for a period of not less than six (6) years from the receipt of such records.

In particular, and not by way of limitation, the Managing Owner will retain all Subscription Agreement and Power of Attorney Signature Pages submitted by persons admitted as Unitholders, and all other records necessary to substantiate that Units are sold only to purchasers for whom the Units are a suitable investment, for at least six (6) years after Units are sold to such persons.

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The Managing Owner shall seek the best price and services for the Trust’s trading, and will, with the assistance of the Trust’s commodity broker(s), make an annual review of the commodity brokerage arrangements applicable to the Trust. Not by way of qualifying the Managing Owner’s obligations to ensure that the Trust’s brokerage arrangements are competitive, but rather as a means of providing additional information to the Unitholders, in connection with such review, the Managing Owner will ascertain, to the extent practicable, the commodity brokerage rates charged to other major commodity pools whose trading and operations are, in the opinion of the Managing Owner, comparable to those of the Trust, in order to assess whether the rates charged the Trust are reasonable in light of the services it receives and the terms upon which the Trust was promoted to subscribers. If, as a result of such review, the Managing Owner determines that such rates are unreasonable in light of the services provided to the Trust and the terms upon which the Trust was promoted, the Managing Owner will notify the Unitholders, setting forth the rates charged to the Trust and several funds which are, in the Managing Owner’s opinion, comparable to the Trust. The Managing Owner shall also make an annual review of the forward trading arrangements for the Trust in an attempt to determine whether such arrangements are competitive with those of other comparable pools in light of the circumstances.

In addition to the undertakings in the preceding paragraph, the Trust will seek the best price and services available on its commodity brokerage transactions. All brokerage transactions will be effected at competitive rates. Brokerage commissions may not exceed the cap set forth in Section 9(e). The Managing Owner will annually review the brokerage rates paid by the Trust to guarantee that the criteria set forth in this paragraph are followed. The Managing Owner may not rely solely on the rates charged by other major commodity pools in complying with this paragraph.

11.  Assignability of Units.

Each Unitholder expressly agrees that he or she will not assign, transfer or dispose of, by gift or otherwise, any of his or her Units or any part or all of his or her right, title and interest in the capital or profits of the Trust in violation of any applicable federal or state securities laws or without giving written notice to the Managing Owner. No assignment, transfer or disposition by an assignee of Units or of any part of his or her right, title and interest in the capital or profits of the Trust shall be effective against the Trust, the Trustee or the Managing Owner until the Managing Owner receives the written notice of the assignment; the Managing Owner shall not be required to give any assignee any rights hereunder prior to receipt of such notice. The Managing Owner may, in its sole discretion, waive any such notice. No such assignee, except with the consent of the Managing Owner (such consent to be withheld only in the event that such assignment could give rise to negative legal or tax consequences), may become a substituted Unitholder, nor will the estate or any beneficiary of a deceased Unitholder or assignee have any right to redeem Units from the Trust except by redemption as provided in Section 12 hereof. Each Unitholder agrees that with the consent of the Managing Owner any assignee may become a substituted Unitholder without need of the further act or approval of any Unitholder. If the Managing Owner withholds consent, an assignee shall not become a substituted Unitholder, and shall not have any of the rights of a Unitholder, except that the assignee shall be entitled to receive that share of capital and profits and shall have that right of redemption to which his or her assignor would otherwise have been entitled. No assignment, transfer or disposition of Units shall be effective against the Trust, the Trustee or the Managing Owner until the first business day of the calendar month following the month in which the Managing Owner receives notice of such assignment, transfer or disposition. The Managing Owner will send written confirmation to both the transferors and transferees of Units that the transfers in question have been duly recorded on the Trust’s books and records. The Managing Owner will not permit the assignment, transfer or disposition of Units where, after the assignment, transfer or disposition, either the Unitholder or the assignee would hold less than the minimum number of Units equivalent to an initial minimum purchase (as stated in the then-current prospectus in respect of the Units), except for assignments, transfers or dispositions by gift, inheritance, intrafamily transfers, family dissolutions or transfers to Affiliates of the Unitholder.

12.  Redemptions.

A Unitholder (including the Managing Owner except to the extent that its power to redeem is limited by any other provision of this Declaration of Trust) or any assignee of Units of whom the Managing Owner has received written notice, may redeem all or any of his or her Units, effective as of the close of business (as

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determined by the Managing Owner) on the last business day of any calendar month, provided that (i) all liabilities, contingent or otherwise, of the Trust (including the Trust’s allocable share of the liabilities, contingent or otherwise, of any entities in which the Trust invests), except any liability to Unitholders on account of their capital contributions, have been paid or there remains property of the Trust sufficient to pay them and (ii) the Managing Owner shall have received a redemption request at least ten business days prior to the date of redemption, or such later time as shall be acceptable to the Managing Owner. Series 1 Unitholders who redeem Series 1 Units on or prior to the end of the first successive six-month and five-month periods after such Series 1 Units are sold will be assessed redemption charges of 4% and 3%, respectively (3.5% and 2.5%, 3% and 2% and 2.5% and 1.5%, respectively, in the case of Series 1 Unitholders who have invested $100,000, $500,000 or $1,000,000 or more, respectively, in the Trust), of their Series 1 Units’ Net Asset Value as of the date of redemption. Series 1 Units purchased by the same Series 1 Unitholder on different closing dates will be treated on a “first-in, first-out” basis for purposes of calculating the foregoing six-month periods. Additional Series 1 Units issued to Series 1 Unitholders subject to a reduced rather than a 7.0% annual Brokerage Fee will be deemed all to have been issued as of the date of the longest outstanding Series 1 Units held by a particular Series 1 Unitholder. All redemption charges will be paid to the Managing Owner.

Redemption charges shall not apply to Series 2 Units, Series 3 Units or Series 4 Units.

Any number of whole Units may be redeemed. Fractional Units may only be redeemed upon redemption of a Unitholder’s entire interest in the Trust.

Redemption requests must be in writing unless the Managing Owner determines otherwise.

The Managing Owner may declare additional redemption dates upon notice to the Unitholders as well as to those assignees of whom the Managing Owner has received notice as described above.

Redemption payments will be made (by mailing a check or crediting a customer securities account) within 15 business days after the date of redemption, except that under special circumstances, including, but not limited to, inability to liquidate commodity positions or default or delay in payments due from commodity brokers, banks or other persons or entities, the Trust may in turn delay payment to Unitholders or assignees requesting redemption of their Units of the proportionate part of the Net Asset Value of such Units equal to that proportionate part of the aggregate Net Asset Value of the Trust represented by the sums which are the subject of such default or delay.

All redemptions will be made at Net Asset Value as of the effective date of the redemption (the “Valuation Date”).

The Managing Owner may require a Unitholder to redeem all or a portion of such Unitholder’s Units if the Managing Owner considers doing so to be desirable for the protection of the Trust, and will use its best efforts to do so to the extent necessary to prevent the Trust from being deemed to hold “plan assets” under the provisions of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), or Section 4975 of the Code with respect to any “employee benefit plan” as defined in and subject to ERISA or with respect to any “plan” as defined in Section 4975 of the Code.

If at the close of business (as determined by the Managing Owner) on any business day, the Net Asset Value per Unit of a Series has decreased to (i) $500 or less or (ii) less than 50% of the Net Asset Value per Unit of such Series on the most recent Valuation Date, after adding back all distributions, whichever is greater, the Trust will liquidate all open positions as expeditiously as possible and suspend trading. Within 7 business days after any such suspension of trading, the Managing Owner shall declare a “Special Redemption Date.” Such Special Redemption Date shall be a business day within 30 business days from the date of suspension of trading by the Trust, and the Managing Owner shall mail notice of such date to each Unitholder and assignee of Units of whom it has received written notice, by first class mail, postage prepaid, not later than 7 business days of the date of the decline of the Net Asset Value of the applicable Series precipitating such Special Redemption Date, together with instructions as to the procedure such Unitholder or assignee must follow to have such Unitholder’s or assignee’s interest (only entire, not partial, interests may be so redeemed unless otherwise determined by the Managing Owner) in the Trust redeemed on such date. Upon redemption pursuant

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to a Special Redemption Date, a Unitholder or any other assignee of whom the Managing Owner has received written notice, shall receive from the Trust an amount equal to the Net Asset Value of such Unitholder’s interest, determined as of the close of business (as determined by the Managing Owner) on such Special Redemption Date. No redemption charges shall be assessed on any such Special Redemption Date. As in the case of a regular redemption, an assignee shall not be entitled to redemption on any Special Redemption Date until the Managing Owner has received written notice (see Section 11) of the assignment, transfer or disposition under which the assignee claims an interest in the Units to be redeemed. If, after such Special Redemption Date, the Net Assets of the Trust are at least $250,000 and the Net Asset Value per Unit of each Series is in excess of $250, the Trust may, in the discretion of the Managing Owner, resume trading. If the preceding conditions are not met or the Managing Owner determines not to resume trading, the Trust will be dissolved and terminated.

The Managing Owner may declare additional Special Redemption Dates upon notice to the Unitholders and assignees of whom the Managing Owner has received notice. In the event the Managing Owner does, in its discretion, declare a Special Redemption Date, the Managing Owner may, in its notice of such Special Redemption Date modify the circumstances under which the Managing Owner is again required to declare a Special Redemption Date, as set forth in the preceding paragraph.

13.  Offering of Units.

The Managing Owner on behalf of the Trust shall (i) cause to be filed from time to time a Registration Statement or Registration Statements, and such amendments thereto as the Managing Owner may deem advisable, with the Securities and Exchange Commission for the registration and ongoing public offering of Units, (ii) use its best efforts to qualify Units for sale from time to time under the securities laws of such states of the United States or other jurisdictions as the Managing Owner shall deem advisable and (iii) take such action with respect to the matters described in (i) and (ii) as the Managing Owner shall deem advisable or necessary.

The Managing Owner shall not accept any subscriptions for Units if doing so would cause the Trust to be considered to hold “plan assets” for any purpose of ERISA or Section 4975 of the Code with respect to any “employee benefit plan” as defined in and subject to ERISA or with respect to any “plan” as defined in and subject to Section 4975 of the Code.

All Units subscribed for upon transfer of funds from a subscriber’s account (or receipt of a check in the subscription amount) are issued subject to the collection of the funds represented by such transfer (or check). In the event that a transfer (or check) of a subscriber is not honored, the Trust shall cancel the Units issued to such subscriber in consideration of such dishonored transfer (or check); provided that the Managing Owner may waive such cancellation upon receipt of what it believes to be reasonable assurances that such transfer (or check) will be honored or replaced by another transfer (or check) which will be honored within 10 business days of original dishonor. Any losses or profits sustained by the Trust in connection with its trading allocable to cancelled Units shall be deemed an increase or decrease in the Net Assets of the Trust and allocated as described above in Section 8, not a liability of the Managing Owner. Each subscriber agrees to reimburse the Trust for any expense or losses incurred in connection with any such cancellation of Units issued to him or her.

Units will be sold as of the first day of each calendar month subject to the Managing Owner’s discretion to hold intra-month closings and to suspend or terminate the offering of Units.

Each Unitholder consents, by the act of purchasing Units, to the Trust issuing to such Unitholder additional Units of the same Series purchased (in fractions calculated up to three decimal places) in lieu of all interest earned on such Unitholder’s subscription while held pending investment in the Units.

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14.  Special Power of Attorney.

Each Unitholder by virtue of having purchased or otherwise acquired Units does hereby irrevocably constitute and appoint the Managing Owner and each officer of the Managing Owner, with full power of substitution, as his or her true and lawful attorney-in-fact, in his or her name, place and stead, to execute, acknowledge, swear to (and deliver as may be appropriate) on his or her behalf and file and record in the appropriate public offices and publish (as may in the reasonable judgment of the Managing Owner be required by law): (i) this Declaration of Trust, including any amendments and/or restatements hereto duly adopted as provided herein; (ii) certificates in various jurisdictions, and amendments and/or restatements thereto; (iii) all conveyances and other instruments which the Managing Owner deems appropriate to qualify or continue the Trust in the State of Delaware and the jurisdictions in which the Trust may conduct business, or which may be required to be filed by the Trust or the Unitholders under the laws of any jurisdiction or under any amendments or successor statutes to the Act, to reflect the dissolution or termination of the Trust or the Trust being governed by any amendments or successor statutes to the Act or to reorganize or refile the Trust in a different jurisdiction; and (iv) to file, prosecute, defend, settle or compromise litigation, claims or arbitrations on behalf of the Trust. The Power of Attorney granted herein shall be irrevocable and deemed to be a power coupled with an interest (including, without limitation, the interest of the other Unitholders in the Managing Owner being able to rely on the Managing Owner’s authority to act as contemplated by this Section 14) and shall survive and shall not be affected by the subsequent incapacity, disability or death of a Unitholder.

15.  Withdrawal of a Unitholder.

The Trust shall be dissolved upon the death, insanity, bankruptcy, retirement, resignation, expulsion, withdrawal, insolvency or dissolution of the Managing Owner, or any other event that causes the Managing Owner to cease to be the managing owner of the Trust, unless the Trust is continued pursuant to the terms of Section 5(a)(3). In addition, the Managing Owner may withdraw from the Trust, without any breach of this Declaration of Trust, at any time upon 120 days’ written notice by first class mail, postage prepaid, to the Trustee, each Unitholder and each assignee of whom the Managing Owner has notice. In the event of the Managing Owner’s removal or withdrawal from the Trust, the Managing Owner shall be entitled to a redemption of its interest in the Trust at its Net Asset Value as of the close of business on the last business day of the month following the date of removal or withdrawal. If the Managing Owner withdraws from the Trust and the Trust’s business is continued, the withdrawing Managing Owner shall pay all expenses incurred as a result of its withdrawal.

The Managing Owner may not assign its general liability interest or its obligation to direct the trading of the Trust without the consent of each Unitholder. The Managing Owner will notify all Unitholders of any change in the principals of the Managing Owner.

The death, incompetency, withdrawal, insolvency or dissolution of a Unitholder or any other event that causes a Unitholder to cease to be a beneficial owner (within the meaning of the Act) in the Trust shall not terminate or dissolve the Trust, and a Unitholder, his or her estate, custodian or personal representative shall have no right to redeem or value such Unitholder’s interest except as provided in Section 12 hereof. Each Unitholder expressly agrees that in the event of his or her death, he or she waives on behalf of himself or herself and his or her estate, and directs the legal representatives of his or her estate and any person interested therein to waive, the furnishing of any inventory, accounting or appraisal of the assets of the Trust and any right to an audit or examination of the books of the Trust. Nothing in this Section 15 shall, however, waive any right given elsewhere in this Declaration of Trust for a Unitholder to be informed of the Net Asset Value of his or her Units, to receive periodic reports, audited financial statements and other information from the Managing Owner or the Trust or to redeem or transfer Units.

16.  Benefit Plan Investors.

Each Unitholder that is an “employee benefit plan” as defined in, and subject to the fiduciary responsibility provisions of, ERISA or a “plan” as defined in and subject to Section 4975 of the Code (each such employee benefit plan and plan, a “Plan”), and each fiduciary thereof who has caused the Plan to become a Unitholder (a “Plan Fiduciary”), represents and warrants that: (a) the Plan Fiduciary has considered an

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investment in the Trust for such Plan in light of the risks relating thereto; (b) the Plan Fiduciary has determined that, in view of such considerations, the investment in the Trust by such Plan is consistent with such Plan Fiduciary’s responsibilities under ERISA; (c) the investment in the Trust by the Plan does not violate and is not otherwise inconsistent with the terms of any legal document constituting the Plan or any trust agreement entered into thereunder; (d) the Plan’s investment in the Trust has been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any selling agent, Morgan Stanley & Co. Inc., Deutsche Bank AG, any wholesaler, any clearing broker, the Trustee, any of their respective affiliates or any of their respective agents or employees: (i) has investment discretion with respect to the investment of the assets of the Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect to the Plan and that such advice will be based on the particular investment needs of the Plan; or (iii) is an employer maintaining or contributing to the Plan, except in the case of a Plan where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code; and (f) the Plan Fiduciary: (i) is authorized to make, and is responsible for, the decision for the Plan to invest in the Trust, including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that Plan investments be diversified so as to minimize the risks of large losses; (ii) is independent of the Managing Owner, each selling agent, Morgan Stanley & Co. Inc., Deutsche Bank AG, each wholesaler, each clearing broker, the Trustee, and each of their respective affiliates, except in the case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code; and (iii) is qualified to make such investment decision.

17.  Standard of Liability; Indemnification.

(a)  Standard of Liability for the Managing Owner.  The Managing Owner and its Affiliates, as defined below, shall have no liability to the Trust or to any Unitholder for any loss suffered by the Trust which arises out of any action or inaction of the Managing Owner or its Affiliates, if the Managing Owner, in good faith, determined that such course of conduct was in the best interests of the Trust, and such course of conduct did not constitute negligence or misconduct of the Managing Owner or its Affiliates.

(b)  Indemnification of the Managing Owner by the Trust.  To the fullest extent permitted by law, subject to this Section 17, the Managing Owner and its Affiliates shall be indemnified by the Trust, solely from the assets of the Trust, against any losses, judgments, liabilities, expenses and amounts paid in settlement of any claims sustained by them in connection with the Trust; provided that such claims were not the result of negligence or misconduct on the part of the Managing Owner or its Affiliates, and the Managing Owner, in good faith, determined that such conduct was in the best interests of the Trust; and provided further that Affiliates of the Managing Owner shall be entitled to indemnification only for losses incurred by such Affiliates in performing the duties of the Managing Owner and acting wholly within the scope of the authority of the Managing Owner.

Notwithstanding anything to the contrary contained in the preceding two paragraphs, the Managing Owner and its Affiliates and any persons acting as selling agent for the Units shall not be indemnified for any losses, liabilities or expenses arising from or out of an alleged violation of federal or state securities laws unless (1) there has been a successful adjudication on the merits of each count involving alleged securities law violations as to the particular indemnitee and the court approves indemnification of the litigation costs, or (2) such claims have been dismissed with prejudice on the merits by a court of competent jurisdiction as to the particular indemnitee and the court approves indemnification of the litigation costs, or (3) a court of competent jurisdiction approves a settlement of the claims against a particular indemnitee and finds that indemnification of the settlement and related costs should be made.

In any claim for indemnification for federal or state securities law violations, the party seeking indemnification shall place before the court the position of the Securities and Exchange Commission, the California Department of Corporations, the Massachusetts Securities Division, the Pennsylvania Securities

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Commission, the Tennessee Securities Division, the Texas Securities Board and any other state or applicable regulatory authority with respect to the issue of indemnification for securities law violations.

The Trust shall not bear the cost of that portion of any insurance which insures any party against any liability the indemnification of which is herein prohibited.

For the purposes of this Section 17, the term “Affiliates” shall mean any person acting on behalf of or performing services on behalf of the Trust who: (1) directly or indirectly controls, is controlled by, or is under common control with the Managing Owner; or (2) owns or controls 10% or more of the outstanding voting securities of the Managing Owner; or (3) is an officer or director of the Managing Owner; or (4) if the Managing Owner is an officer, director, partner or trustee, is any entity for which the Managing Owner acts in any such capacity.

Advances from the funds of the Trust to the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of any legal action initiated against the Managing Owner by a Unitholder are prohibited.

Advances from the funds of the Trust to the Managing Owner or its Affiliates for legal expenses and other costs incurred as a result of a legal action will be made only if the following three conditions are satisfied: (1) the legal action relates to the performance of duties or services by the Managing Owner or its Affiliates on behalf of the Trust; (2) the legal action is initiated by a third party who is not a Unitholder; and (3) the Managing Owner or its Affiliates undertake to repay the advanced funds, with interest from the initial date of such advance, to the Trust in cases in which they would not be entitled to indemnification under the standard of liability set forth in Section 17(a).

In no event shall any indemnity or exculpation provided for herein be more favorable to the Managing Owner or any Affiliate than that contemplated by the Blue Sky Guidelines as in effect on the date of this Declaration of Trust.

In no event shall any indemnification permitted by this subsection (b) of Section 17 be made by the Trust unless all provisions of this Section for the payment of indemnification have been complied with in all respects. Furthermore, it shall be a precondition of any such indemnification that the Trust receive a determination of qualified independent legal counsel in a written opinion that the party which seeks to be indemnified hereunder has met the applicable standard of conduct set forth herein. Receipt of any such opinion shall not, however, in itself, entitle any such party to indemnification unless indemnification is otherwise proper hereunder. Any indemnification payable by the Trust hereunder shall be made only as provided in the specific case.

In no event shall any indemnification obligations of the Trust under this subsection (b) of Section 17 subject a Unitholder to any liability in excess of that contemplated by subsection (e) of Section 8 hereof.

(c)  Indemnification by the Unitholders.  In the event that the Trust is made a party to any claim, dispute or litigation or otherwise incurs any loss or expense as a result of or in connection with any activities of a Unitholder, obligations or liabilities unrelated to the business of the Trust or as a result of or in connection with a transfer, assignment or other disposition or an attempted transfer, assignment or other disposition by a Unitholder or an assignee of its Units or of any part of its right, title and interest in the capital or profits of the Trust in violation of this Declaration of Trust, such Unitholder shall indemnify and reimburse the Trust for all loss and expense incurred, including reasonable attorneys’ fees.

18.  Amendments; Meetings.

(a)  Amendments with Consent of the Managing Owner.  If at any time during the term of the Trust the Managing Owner shall deem it necessary or desirable to amend this Declaration of Trust, the Managing Owner may proceed to do so, provided that such amendment shall be effective only if embodied in an instrument approved by the Managing Owner and, pursuant to a vote called by the Managing Owner, by the holders of

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Units representing a majority of the outstanding Units. Such vote shall be taken at least 30 but not more than 60 days after delivery by the Managing Owner to each Unitholder of record by certified mail of notice of the proposed amendment and voting procedures. Notwithstanding the foregoing, the Managing Owner may amend this Declaration of Trust without the consent of the Unitholders in order (i) to clarify any clerical inaccuracy or ambiguity or reconcile any inconsistency (including any inconsistency between this Declaration of Trust and the Prospectus), (ii) to effect the intent of the allocations proposed herein to the maximum extent possible in the event of a change in the Code or the interpretations thereof affecting such allocations, (iii) to attempt to ensure that the Trust is not treated as an association taxable as a corporation for federal income tax purposes, (iv) to qualify or maintain the qualification of the Trust as a trust in any jurisdiction, (v) to delete or add any provision of or to this Declaration of Trust required to be deleted or added by the Staff of the Securities and Exchange Commission or any other federal agency or any state “Blue Sky” or similar official or in order to opt to be governed by any amendment or successor statute to the Act, (vi) to make any amendment to this Declaration of Trust which the Managing Owner deems advisable, provided that such amendment is for the benefit of and not adverse to the Unitholders or the Trustee, or that is required by law, (vii) to make any amendment that is appropriate or necessary, in the opinion of the Managing Owner, to prevent the Trust or the Managing Owner or its directors, officers or controlling persons from in any manner being subjected to the provisions of the Investment Company Act of 1940, as amended, and (viii) to make any amendment that is appropriate or necessary, in the opinion of the Managing Owner, to avoid causing the assets of the Trust from being considered for any purpose of ERISA or Section 4975 of the Code to constitute assets of any Plan, or to avoid the Trust’s engaging in a prohibited transaction as defined in Section 406 of ERISA or Section 4975(c) of the Code.

(b)  Amendments and Actions without Consent of the Managing Owner.  In any vote called by the Managing Owner or pursuant to subsection (c) of this Section 18, upon the affirmative vote (which may be in person or by proxy) of more than fifty percent (50%) of the Units then owned by Unitholders, the following actions may be taken with respect to the Trust, irrespective of whether the Managing Owner concurs: (i) this Declaration of Trust may be amended, provided, however, that approval of all Unitholders shall be required in the case of amendments changing or altering this Section 18, extending the term of the Trust, or materially changing the Trust’s basic investment policies or structure; in addition, reduction of the capital account of any Unitholder or assignee or modification of the percentage of profits, losses or distributions to which a Unitholder or an assignee is entitled hereunder shall not be effected by any amendment or supplement to this Declaration of Trust without such Unitholder’s or assignee’s written consent; (ii) the Trust may be dissolved; (iii) the Managing Owner may be removed and replaced; (iv) a new managing owner or managing owners may be elected if the Managing Owner withdraws from the Trust; (v) the sale of all or substantially all of the assets of the Trust may be approved; and (vi) any contract with the Managing Owner or any affiliate thereof may be disapproved and, as a result, terminated upon 60 days’ notice.

(c)  Meetings; Other.  Any Unitholder upon request addressed to the Managing Owner shall be entitled to obtain from the Managing Owner, upon payment in advance of reasonable reproduction and mailing costs, a list of the names and addresses of record of all Unitholders and the number of Units held by each (which shall be mailed by the Managing Owner to the Unitholder within ten days of the receipt of the request); provided, that the Managing Owner may require any Unitholder requesting such information to submit written confirmation that such information will not be used for commercial purposes. Upon receipt of a written proposal, signed by Unitholders owning Units representing at least 10% of all Units then owned by Unitholders, that a meeting of the Trust be called to vote upon any matter upon which the Unitholders may vote pursuant to this Declaration of Trust, the Managing Owner shall, by written notice to each Unitholder of record sent by certified mail within 15 days after such receipt, call a meeting of the Trust. Such meeting shall be held at least 30 but not more than 60 days after the mailing of such notice, and such notice shall specify the date of, a reasonable place and time for, and the purpose of such meeting. Such notice shall establish a record date for Units entitled to vote at the meeting, which shall be not more than 15 days prior to the date established for such meeting.

The Managing Owner may not restrict the voting rights of Unitholders as set forth herein.

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In the event that the Managing Owner or the Unitholders vote to amend this Declaration of Trust in any material respect, the amendment will not become effective prior to all Unitholders having an opportunity to redeem their Units.

(d)  Consent by Trustee.  The Trustee’s written consent to any amendment of this Declaration of Trust shall be required, such consent not to be unreasonably withheld; provided, however, that the Trustee may, in its sole discretion, withhold its consent to any such amendment that would adversely affect any right, duty or liability of, or immunity or indemnity in favor of, the Trustee under this Declaration of Trust or any of the documents contemplated hereby to which the Trustee is a party, or would cause or result in any conflict with or breach of any terms, conditions or provisions of, or default under, the charter documents or by-laws of the Trustee or any document contemplated hereby to which the Trustee is a party; provided further, that the Trustee may not withhold consent for any action listed in subsections 18(b)(ii)-(vi). Notwithstanding anything to the contrary contained in this Declaration of Trust, the Trustee may immediately resign if, in its sole discretion, the Trustee determines that the Unitholders’ actions pursuant to subsections 18(b)(i)-(vi) would adversely affect the Trustee in any manner.

19.  Governing Law.

The validity and construction of this Declaration of Trust shall be determined and governed by the laws of the State of Delaware without regard to principles of conflicts of law; provided, that the foregoing choice of law shall not restrict the application of any state’s securities laws to the sale of Units to its residents or within such state.

20.  Miscellaneous.

(a)  Notices.  All notices under this Declaration of Trust shall be in writing and shall be effective upon personal delivery, or if sent by first class mail, postage prepaid, addressed to the last known address of the party to whom such notice is to be given, upon the deposit of such notice in the United States mails.

(b)  Binding Effect.  This Declaration of Trust shall inure to and be binding upon all of the parties, their successors and assigns, custodians, estates, heirs and personal representatives. For purposes of determining the rights of any Unitholder or assignee hereunder, the Trust and the Managing Owner may rely upon the Trust records as to who are Unitholders and assignees, and all Unitholders and assignees agree that their rights shall be determined and they shall be bound thereby.

(c)  Captions.  Captions in no way define, limit, extend or describe the scope of this Declaration of Trust nor the effect of any of its provisions. Any reference to “persons” in this Declaration of Trust shall also be deemed to include entities, unless the context otherwise requires.

21.  Certain Definitions.

This Declaration of Trust contains certain provisions required by the Blue Sky Guidelines. The terms used in such provisions are defined as follows (the following definitions are included verbatim from such Guidelines and, accordingly, may not in all cases be relevant to this Declaration of Trust):

Administrator.  The official or agency administering the securities laws of a state.

Advisor.  Any Person who for any consideration engages in the business of advising others, either directly or indirectly, as to the value, purchase, or sale of Commodity Contracts or commodity options.

Affiliate.  An Affiliate of a Person means: (a) any Person directly or indirectly owning, controlling or holding with power to vote 10% or more of the outstanding voting securities of such Person; (b) any Person 10% or more of whose outstanding voting securities are directly or indirectly owned, controlled or held with power to vote, by such Person; (c) any Person, directly or indirectly,

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controlling, controlled by, or under common control of such Person; (d) any officer, director or partner of such Person; or (e) if such Person is an officer, director or partner, any Person for which such Person acts in any such capacity.

Capital Contributions.  The total investment in a Program by a Participant or by all Participants, as the case may be.

Commodity Broker.  Any Person who engages in the business of effecting transactions in Commodity Contracts for the account of others or for his or her own account.

Commodity Contract.  A contract or option thereon providing for the delivery or receipt at a future date of a specified amount and grade of a traded commodity at a specified price and delivery point.

Cross Reference Sheet.  A compilation of the Guidelines sections, referenced to the page of the prospectus, Program agreement, or other exhibits, and justification of any deviation from the Guidelines.

Net Assets.  The total assets, less total liabilities, of the Program determined on the basis of generally accepted accounting principles. Net Assets shall include any unrealized profits or losses on open positions, and any fee or expense including Net Asset fees accruing to the Program.

Net Asset Value Per Program Interest.  The Net Assets divided by the number of Program Interests outstanding.

Net Worth.  The excess of total assets over total liabilities as determined by generally accepted accounting principles. Net Worth shall be determined exclusive of home, home furnishings and automobiles.

New Trading Profits.  The excess, if any, of Net Assets at the end of the period over Net Assets at the end of the highest previous period or Net Assets at the date trading commences, whichever is higher, and as further adjusted to eliminate the effect on Net Assets resulting from new Capital Contributions, redemptions, or capital distributions, if any, made during the period decreased by interest or other income, not directly related to trading activity, earned on Program assets during the period, whether the assets are held separately or in a margin account.

Organizational and Offering Expenses.  All expenses incurred by the Program in connection with and in preparing a Program for registration and subsequently offering and distributing it to the public, including, but not limited to, total underwriting and brokerage discounts and commissions (including fees of the underwriters’ attorneys), expenses for printing, engraving, mailing, salaries of employees while engaged in sales activity, charges of transfer agents, registrars, trustees, escrow holders, depositories, experts, expenses of qualification of the sale of its Program Interest under federal and state law including taxes and fees, accountants’ and attorneys’ fees. (Organizational and Offering Expenses as used in this Declaration of Trust does not include selling commissions).

Participant.  The holder of a Program Interest.

Person.  Any natural Person, partnership, corporation, association or other legal entity.

Pit Brokerage Fee.  Pit Brokerage Fee shall include floor brokerage, clearing fees, National Futures Association fees, and exchange fees.

Program.  A limited partnership, joint venture, corporation, trust or other entity formed and operated for the purpose of investing in Commodity Contracts.

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Program Broker.  A Commodity Broker that effects trades in Commodity Contracts for the account of a Program.

Program Interest.  A limited partnership interest or other security representing ownership in a Program.

Pyramiding.  A method of using all or a part of an unrealized profit in a Commodity Contract position to provide margin for any additional Commodity Contracts of the same or related commodities.

Sponsor.  Any Person directly or indirectly instrumental in organizing a Program or any Person who will manage or participate in the management of a Program, including a Commodity Broker who pays any portion of the Organizational and Offering Expenses of the Program, and the general partner(s) and any other Person who regularly performs or selects the Persons who perform services for the Program. Sponsor does not include wholly independent third parties such as attorneys, accountants and underwriters whose only compensation is for professional services rendered in connection with the offering of the units. The term “Sponsor” shall be deemed to include its Affiliates.

Valuation Date.  The date as of which the Net Assets of the Program are determined.

Valuation Period.  A regular period of time between Valuation Dates.

Certain terms not defined herein are used with the respective meanings set forth in the Prospectus.

22.  No Legal Title to Trust Estate.

The Unitholders shall not have legal title to any part of the Trust Estate.

23.  Legal Title.

Legal title to all the Trust Estate shall be vested in the Trust as a separate legal entity; except where applicable law in any jurisdiction requires any part of the Trust Estate to be vested otherwise, the Managing Owner (or the Trustee, if required by law) may cause legal title to the Trust Estate of any portion thereof to be held by or in the name of the Managing Owner or any other person as nominee.

24.  Creditors.

No creditors of any Unitholders shall have any right to obtain possession of, or otherwise exercise legal or equitable remedies with respect to, the Trust Estate.

*********

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IN WITNESS WHEREOF, the undersigned have duly executed this Fourth Amended and Restated Declaration of Trust and Trust Agreement as of the day and year first above written.

WILMINGTON TRUST COMPANY, not in its individual capacity but solely as Trustee
By:	/s/ JOSEPH B. FEIL
	Name: Joseph B. Feil
	Title: Vice President
MILLBURN RIDGEFIELD CORPORATION as
Managing Owner
By:	/s/ HARVEY BEKER
	Harvey Beker
	Co-Chief Executive Officer and Co-Chairman
All Unitholders admitted as Unitholders of the Trust, pursuant to powers of attorney executed in favor of, and granted and delivered to, the Managing Owner.
MILLBURN RIDGEFIELD CORPORATION as
Attorney-in-Fact
By:	/s/ GEORGE E. CRAPPLE
	George E. Crapple
	Co-Chief Executive Officer and Co-Chairman

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Schedule A

CERTIFICATE OF TRUST
OF
GLOBAL MACRO TRUST

THIS Certificate of Trust of GLOBAL MACRO TRUST (the “Trust”), dated July 23, 2001, is being duly executed and filed by Wilmington Trust Company, a Delaware banking corporation, as trustee, to form a business trust under the Delaware Business Trust Act (12 Del.C. § 3801 et seq.).

1.  Name.  The name of the business trust formed hereby is GLOBAL MACRO TRUST.

2.  Delaware Trustee.  The name and business address of the trustee of the Trust in the State of Delaware is Wilmington Trust Company, Rodney Square North, 1100 North Market Street, Wilmington, Delaware 19890, Attention: Corporate Trust Administration.

IN WITNESS WHEREOF, the undersigned, being the sole trustee of the Trust, has executed this Certificate of Trust as of the date first above written.

WILMINGTON TRUST COMPANY, as Trustee
By:	/s/ PATRICIA A. EVANS
	Patricia A. Evans
	Senior Financial Services Officer

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ANNEX

GLOBAL MACRO TRUST
REQUEST FOR REDEMPTION

GLOBAL MACRO TRUST
c/o	Millburn Ridgefield Corporation	Date
	Managing Owner
411 West Putnam Avenue
Greenwich, Connecticut 06830

Dear Sirs:

The undersigned (trust account number GM-            ) hereby requests redemption subject to all the terms and conditions of the Declaration of Trust and Trust Agreement (the “Declaration of Trust”) of GLOBAL MACRO TRUST (the “Trust”) of              Series              Units of Beneficial Interest (“Units”) in the Trust. (Insert number of whole Units to be redeemed and the Series of Units to be redeemed; subscribers may redeem any number of whole Units, they need not redeem all or any minimum number of their Units in order to redeem certain of their Units; however, if no number is indicated, all Units held of record by the undersigned will be redeemed; fractional Units may only be redeemed upon complete redemption of the undersigned’s interest in the Trust.) Units of a Series are redeemed at the Net Asset Value per Unit of such Series, as defined in the Declaration of Trust, less any applicable redemption charge (see below). Redemption shall be effective as of the end of the current calendar month; provided that this Request for Redemption is received at least ten (10) days prior to the end of such month. Payment of the redemption price of Units will generally be made within fifteen (15) business days of the date of redemption.

The undersigned hereby represents and warrants that the undersigned is the true, lawful and beneficial owner of the Units to which this Request for Redemption relates, with full power and authority to request redemption of such Units. Such Units are not subject to any pledge or otherwise encumbered in any fashion.

Redemption charges of 4% and 3% (3.5% and 2.5%, 3% and 2%, and 2.5% and 1.5% in the case of subscriptions for $100,000, $500,000 or $1,000,000 or more, respectively) of the Net Asset Value of Series 1 Units redeemed on or before the end of the 6th and after the end of the 6th but on or before the end of the 11th full calendar months, respectively, after the undersigned has purchased the Series 1 Units being redeemed will be deducted from the redemption price of all such Series 1 Units and paid to the Managing Owner. If the undersigned has purchased Units at more than one closing, such Series 1 Units will be treated on a first-in/first-out basis for purposes of determining whether redemption charges continue to be applicable to such Series 1 Units. Redemption charges do not apply to Series 2 Units, Series 3 Units or Series 4 Units.

Signatures must be identical to name(s) in which units are registered

Credit my customer securities account		Send to the address below
Name	Street	City, State and Zip Code
Entity Unitholder		Individual Unitholder(s)
(or assignee)		(or assignee(s))
(Name of Entity)
By:
(Authorized corporate officer, partner or trustee)		(Signature(s) of all Unitholder(s) or assignee(s))
Social Security or Taxpayer ID Number

RR-1

EXHIBIT B

GLOBAL MACRO TRUST

SUBSCRIPTION REQUIREMENTS

By executing a Subscription Agreement Signature Page for Global Macro Trust (the “Trust”), each purchaser (“Purchaser”) of units of beneficial interest (“Units”) of a series (a “Series”) in the Trust irrevocably subscribes for Units of the applicable Series at the Net Asset Value per Unit of such Series, as described in the Trust’s Prospectus dated [          ] (the “Prospectus”). The minimum initial subscription is $5,000; $2,000 for trustees or custodians of employee benefit plans.  Units are sold in fractions calculated to three decimal places.

Purchaser is herewith delivering to Purchaser’s Selling Agent (hereinafter, “Selling Agent”) an executed Subscription Agreement Signature Page and either (i) delivering a check in the full amount of the Purchaser’s subscription or (ii) hereby authorizing such Selling Agent to debit Purchaser’s customer securities account maintained with such Selling Agent for the full amount of Purchaser’s subscription in accordance with the procedures described under “Plan of Distribution — Subscription Procedure” in the Prospectus. If Purchaser’s Subscription Agreement is accepted, Purchaser agrees to contribute Purchaser’s subscription to the Trust and to be bound by the terms of the Trust’s Fourth Amended and Restated Declaration of Trust and Trust Agreement (Exhibit A to the Prospectus). Purchaser agrees to reimburse the Trust and Millburn Ridgefield Corporation (the “Managing Owner”) for any expense or loss incurred by either as a result of the cancellation of Purchaser’s Units due to a failure of the Purchaser to deliver good funds in the amount of the subscription price of any or all of such Units.

If Purchaser is, or is acting on behalf of, an “employee benefit plan,” as defined in, and subject to the fiduciary responsibility provisions of, the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), or a “plan,” as defined in and subject to Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”) (such an “employee benefit plan” or a “plan” being hereinafter referred to as the “Plan”) or an entity (“Plan Assets Entity”) deemed for any purpose of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following must be true with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing the Subscription Agreement on behalf of the Purchaser hereby represents and warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing Units (the “Plan Fiduciary”) that: the Plan Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; the Plan Fiduciary has determined that, in view of such considerations, the Plan’s investment in the Trust is consistent with the Plan Fiduciary’s responsibilities under ERISA; the Plan’s investment in the Trust does not violate and is not otherwise inconsistent with the terms of any legal document constituting the Plan or any trust agreement thereunder; the Plan’s investment in the Trust has been duly authorized and approved by all necessary parties; none of the Managing Owner, any clearing broker, Wilmington Trust Company, Morgan Stanley & Co. Inc., Deutsche Bank AG, any selling agent, any wholesaler, any of their respective affiliates or any of their respective agents or employees: (a) has investment discretion with respect to the investment of the assets of the Plan used to purchase Units; (b) has authority or responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect to the Plan and that such advice will be based on the particular investment needs of the Plan; or (c) is an employer maintaining or contributing to the Plan, except in the case of a Plan where the Managing Owner is described in clause (a), (b) or (c), the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code, and the Plan Fiduciary (i) is authorized to make, and responsible for, the decision to invest in the Trust, including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that Plan investments be diversified so as to minimize the risks of large losses, (ii) is independent of the Managing Owner, Wilmington Trust Company, each clearing broker, Morgan Stanley & Co. Inc., Deutsche Bank AG, each selling agent, each wholesaler and each of their respective affiliates, except in the case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code, and (iii) is qualified to make such investment decision.  The Purchaser understands

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that it must, at the request of the Managing Owner, furnish the Managing Owner with such information as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does not violate any provision of ERISA or the Code including, without limitation, those provisions relating to “prohibited transactions” by “parties in interest” or “disqualified persons,” as defined therein.

Prevention of Money Laundering

By submitting an executed Subscription Agreement Signature Page, Purchaser represents and warrants to the Trust, the Managing Owner, Purchaser’s Selling Agent and their respective affiliates as follows: Purchaser’s subscription funds were not derived from activities that may contravene United States (federal or state) or international anti-money laundering laws and regulations. Purchaser is not (i) an individual, entity or organization named on a United States Office or Foreign Assets Control (“OFAC”) “watch list” and does not have any affiliation with any kind of such individual, (ii) a foreign shell bank, (iii) a person or entity resident in or whose subscription funds are transferred from or through a jurisdiction identified as non-cooperative by the U.S. Financial Action Task Force, or (iv) a senior foreign political figure, an immediate family member or close associate of a senior foreign political figure.  Purchaser agrees to promptly notify the Managing Owner should the Purchaser become aware of any change in the information set forth in this representation.  Purchaser acknowledges that, by law, the Managing Owner may be obligated to “freeze” Purchaser’s account, either by prohibiting additional subscriptions, declining any redemption requests and/or segregating the assets in the account in compliance with governmental regulations, and the Managing Owner may also be required to report such action and to disclose Purchaser’s identity to OFAC.  Purchaser represents and warrants that all of the information which Purchaser has provided to the Trust in connection with the Subscription Agreement is true and correct, and Purchaser agrees to provide any information the Managing Owner or its agents, including the Selling Agents, deem necessary to comply with their anti-money laundering and related responsibilities from time to time.  If Purchaser has indicated in the Subscription Agreement that Purchaser is an intermediary subscribing in the Trust as a record owner in the Purchaser’s capacity as agent, representative or nominee on behalf of one or more underlying investors (“Underlying Investors”), Purchaser agrees that the representations, warranties and covenants are made by the Purchaser on behalf of Purchaser and the Underlying Investors.

For purposes of the preceding paragraph, the following definitions shall apply:

A “senior foreign political figure” means a senior official in the executive, legislative, administrative, military or judicial branches of a non-U.S. government (whether elected or not), a senior official of a major non-U.S. political party, or a senior executive of a non-U.S. government-owned corporation.  In addition, a “senior foreign political figure” includes any corporation, business or other entity that has been formed by, or for the benefit of, a senior foreign political figure.

“Immediate family” of a senior foreign political figure includes the figure’s parents, siblings, spouse, children and in-laws.

A “close associate” of a senior foreign political figure is a person who is widely and publicly known to maintain an unusually close relationship with the senior foreign political figure, and includes a person who is in a position to conduct substantial domestic and international financial transactions on behalf of the senior foreign political figure.

Investor Suitability

Purchaser understands that the purchase of Units may be made only by persons who, at a minimum have (i) a net worth of at least $250,000 (exclusive of home, furnishings and automobiles) or (ii) an annual gross income of at least $70,000 and a net worth (similarly calculated of at least $70,000).

Residents of the following states must meet the specific requirements set forth below (net worth, is in all cases, to be calculated exclusive of home, furnishings and automobiles). No Purchaser should invest more than 10% of his or net worth (exclusive of home, furnishings and automobiles) in the Units.

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No entity, including ERISA plans, should invest more than 10% of its liquid net worth (readily marketable securities) in the Units.

1.Iowa —  Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000.

2.Kansas — The Office of the Kansas Securities Commissioner recommends that you should limit your aggregate investment in the Fund and other managed futures investments to not more than 10% of your liquid net worth.  “Liquid net worth” is that portion of your total net worth (total assets minus liabilities) that is comprised of cash, cash equivalents and readily marketable securities.

3.Kentucky — Net worth of at least $300,000 or a net worth of at least $85,000 and an annual taxable income of $85,000.  Kentucky investors should limit their investment in any commodity pool program to not more than 10% of their liquid net worth (cash, cash equivalents and readily marketable securities).

4.Minnesota — Minnesota investors are deemed not to (i) represent that they are legally competent to execute the Subscription Agreement and (ii) make the representation in respect of risk tolerance in Section 2 on page SA-1.

5.New Hampshire — Net worth of at least $250,000 or a net worth of at least $125,000 and an annual taxable income of at least $70,000.

6.Pennsylvania — Net worth of at least $250,000 or a net worth of at least $100,000 and an annual income of at least $70,000.

7.South Carolina — Net worth of at least $250,000 or a net income in the preceding year some portion of which was subject to maximum federal and state income tax.

In the case of IRA and SEP plans, the foregoing suitability standards are applicable to the beneficiary of the plan for whose account the Units are being acquired.

The foregoing suitability standards are regulatory minimums only. Merely because Purchaser meets such requirements does not necessarily mean that a high risk, speculative and illiquid investment such as the Units is, in fact, suitable for the Purchaser.

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EXHIBIT C

The execution copy of the Subscription Agreement accompanies this Prospectus as a separate document.

GLOBAL MACRO TRUST
UNITS OF BENEFICIAL INTEREST

By executing this Subscription Agreement,
subscribers are not waiving any rights under the
federal securities laws.

SUBSCRIPTION AGREEMENT

GLOBAL MACRO TRUST

c/o Millburn Ridgefield Corporation

Managing Owner

411 West Putnam Avenue, Suite 305

Greenwich, Connecticut 06830

Dear Sirs:

1.  Subscription for Units.  I hereby subscribe for the dollar amount of units of beneficial interest (“Units”) in such series (“Series”) in Global Macro Trust (the “Trust”) set forth in the Subscription Agreement Signature Page attached hereto (minimum $5,000; $2,000 for trustees or custodians of employee benefit plans), at a purchase price per Unit of Net Asset Value of the relevant Series. Fractional Units will be issued to three decimal places. The terms of the offering of the Units are described in the current Prospectus of the Trust (the “Prospectus”) dated [         ].  I have either (i) authorized my selling agent to debit my customer securities account in the amount of my subscription or (ii) delivered a check to my selling agent made out to “Global Macro Trust.” If I have chosen to subscribe by account debit, I acknowledge that I must have my subscription payment in such account no later than such time as required by my selling agent. My registered representative (“Registered Representative”) shall inform me of such settlement date, on which date my account will be debited and the amounts so debited will be transmitted, in the form of a selling agent check or wire transfer made out to “Global Macro Trust” directly to the Trust’s account at First Republic Bank (for wire instructions, contact Eileen Grace at 203-625-8216). Millburn Ridgefield Corporation (the “Managing Owner”) may, in its sole and absolute discretion, accept or reject this subscription in whole or in part. Subscriptions are revocable for five business days after submission. All Units are offered subject to prior sale.

Subscriptions generally must be submitted no later than five business days prior to the end of a month in order to be invested in the Units as of the beginning of the immediately following month.

2.  Representations and Warranties of Subscriber.  I have received the current Prospectus together with a recent Monthly Report of the Trust. I am of legal age and am legally competent to execute this Subscription Agreement. I understand that certain investor suitability standards must be met as a condition of my investment in the Units. I acknowledge that I satisfy the applicable requirements relating to net worth and annual income and, if applicable, indicated risk tolerance, as set forth in “Exhibit B — Subscription Requirements” to the Prospectus. If the undersigned is, or is acting on behalf of, an “employee benefit plan,” as defined in, and subject to the fiduciary responsibility provisions of, the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), or a “plan,” as defined in and subject to Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”) (each employee benefit plan and plan, a “Plan”), or an entity (“Plan Assets Entity”) deemed for any purpose of ERISA or Section 4975 of the Code to hold the assets of any Plan (in which case, the following representations and warranties are made with respect to each Plan holding an interest in such Plan Assets Entity), the individual signing below represents and warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing Units (the “Plan Fiduciary”) that: (a) the Plan

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Fiduciary has considered an investment in the Trust for such Plan in light of the risks relating thereto; (b) the Plan Fiduciary has determined that, in view of such considerations, this investment in the Trust is consistent with the Plan Fiduciary’s responsibilities under ERISA; (c) the Plan’s investment in the Trust neither violates nor is inconsistent with the terms of any legal document constituting the Plan or any trust agreement thereunder; (d) the Plan’s investment in the Trust has been duly authorized and approved by all necessary parties; (e) none of the Managing Owner, any clearing broker, Wilmington Trust Company, Morgan Stanley & Co. Inc., Deutsche Bank AG, any selling agent, any wholesaler, any of their respective affiliates or any of their respective agents or employees (i) has investment discretion with respect to the investment of assets of the Plan used to purchase Units; (ii) has authority or responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decisions with respect to the Plan and that such advice will be based on the particular investment needs of the Plan; or (iii) is an employer maintaining or contributing to the Plan, except in the case of a Plan where the Managing Owner is described in this clause (e), the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code; and (f) the Plan’s Fiduciary (i) is authorized and qualified to make, and is responsible for, the decision to invest in the Trust including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that Plan investments be diversified so as to minimize the risks of large losses, and (ii) is independent of the Managing Owner, each clearing broker, Wilmington Trust Company, Morgan Stanley & Co. Inc., Deutsche Bank AG, each selling agent, each wholesaler, and each of their respective affiliates, except in the case of the Managing Owner where the fees payable to the Managing Owner are waived and the purchase and holding of Units would not result in a prohibited transaction under ERISA and Section 4975 of the Code.  The undersigned will, at the request of the Managing Owner, furnish the Managing Owner with such information as the Managing Owner may reasonably require to establish that the purchase of Units by the Plan does not violate any provision of ERISA or the Code, including, without limitation, those provisions relating to “prohibited transactions” by “parties in interest” or “disqualified persons,” as defined therein.  If subscriber is not an individual, the person signing the Subscription Agreement Signature Page on behalf of subscriber is duly authorized to execute such Signature Page and subscriber has full power and authority to purchase the Units. This subscription, if made as custodian for a minor, is a gift I have made to such minor, or if not a gift, such minor satisfies the requirements relating to net worth and annual income set forth in “Exhibit B — Subscription Requirements.” I am not required to be registered with the Commodity Futures Trading Commission (“CFTC”) or to be a member of the National Futures Association (“NFA”) or, if required to be so registered, I am duly registered with the CFTC and am a member in good standing of the NFA, and I agree to provide the Managing Owner with such information as the Managing Owner may request to verify the foregoing statement.  I understand that by submitting this Subscription Agreement, I am making the representations and warranties set forth in Exhibit B, “Subscription Requirements,” to the Prospectus with respect to the prevention of money laundering.  I covenant that I will (i) provide any form, certification or other information reasonably requested by and acceptable to the Trust that is necessary for the Trust to (A) prevent withholding or qualify for a reduced rate of withholding or backup withholding in any jurisdiction from or through which the Trust receives payments or (B) satisfy reporting or other obligations under the Code and the U.S. Treasury regulations, (ii) update or replace such form, certification or other information in accordance with its terms or subsequent amendments or as requested by the Trust, and (iii) otherwise comply with any reporting obligations imposed by the United States or any other jurisdiction, including reporting obligations that may be imposed by future legislation. The information set forth on the Subscription Agreement Signature Page is correct and complete as of the date of such Subscription Agreement, and, should there be any material change in such information prior to my admission to the Trust as a Unitholder, I will immediately furnish revised or corrected information to the Managing Owner.

3.  Acceptance of Trust Agreement.  I hereby agree to each and every term of the Trust’s Fourth Amended and Restated Declaration of Trust and Trust Agreement dated August 12, 2009, as amended or supplemented from time to time (the “Trust Agreement”), a copy of which has been provided to me together with the Trust’s Prospectus.  By execution of this Subscription Agreement, I agree that I shall be deemed to have executed the Trust Agreement.

4.  Governing Law.  Subscriber hereby acknowledges and agrees that this Subscription Agreement shall be governed by and be interpreted in accordance with the laws of the State of Delaware, without regard to

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principles of conflicts of laws; provided, that the foregoing choice of law shall not restrict the application of any state’s securities laws to the sale of Units to its residents or within such state.

5.  Risks.  (i) The Trust is speculative. You may lose all or substantially all of your investment in the Trust; (ii) the Trust is leveraged. Leverage magnifies the impact of both profit and loss; (iii) the performance of the Trust is expected to be volatile; (iv) you will sustain losses if the Trust is unable to generate sufficient trading profits and interest income to offset its fees and expenses; and (v) the Units are not liquid. No secondary market exists for the Units and you may redeem Units only as of a month-end. No investor should invest more than 10% of his or her net worth (exclusive of home, furnishings and automobiles) in the Trust.

See the section titled “The Risks You Face” in the Prospectus beginning at page 10.

Please complete the separate Subscription Agreement Signature Page which accompanies this prospectus carefully, and ensure that your Registered Representative knows whether you are subscribing by check or account debit.

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Not For Use After [        ]

(Unless the Prospectus has been Supplemented)

GLOBAL MACRO TRUST
Units of Beneficial Interest
Subscription Agreement
Specimen Signature Page (not to be completed)

Please complete the separate Subscription Agreement Signature Page which
accompanies this prospectus.

The investor named below, by execution and delivery of this Subscription Agreement Signature Page for purchase of Units in the Trust — and by either (i) enclosing a check payable to Global Macro Trust or (ii) authorizing the selling agent (“Selling Agent”) to debit investor’s securities account in the amount set forth below — hereby subscribes for the purchase of Units, at the price of the Net Asset Value per Unit.

The named investor further acknowledges receipt of the Prospectus together with a recent Monthly Report of the Trust.  The Prospectus includes the Trust’s Fourth Amended and Restated Declaration of Trust and Trust Agreement, the Subscription Requirements and the Subscription Agreement, the terms of which govern the investment in the Units being subscribed for hereby.

By my signature below, I represent that I satisfy the requirements relating to net worth and annual income and, if applicable, indicated risk tolerance as set forth in Exhibit B to the Prospectus and acknowledge that I am making the representations in Exhibit B regarding the prevention of money laundering.

1)

Total $ Amount                                  (minimum of $5,000, except $2,000 minimum for IRAs and other qualified accounts)

2)

Series of Units:

o Series 1 o Series 3

o Series 2 o Series 4

o

check here if this is an addition to an existing investment

3)

Account #                                            (must be completed)

4)

o

Taxable Investors

o

if payment is to be made by debit from investor’s securities account, check Box

(check only one):

o

Individual Ownership/Sole Proprietor

o

Trust other than a Grantor or Revocable Trust

o

Joint Tenants with Right of Survivorship

o

Estate

o

UGMA/UTMA (Minor)

o

Tenants in Common

o

Community Property

o

Partnership

oo

Grantor or Other Revocable Trust Other (specify)

oo

C Corporation S Corporation

o

Limited Liability Company (Enter the tax classification (C=C corporation, S=S corporation, P=partnership)                  ))

o

Non-Taxable Investors

(check only one)

o

IRA

o

Profit Sharing

o

Defined Benefit

o

Pension

o

SEP

o

Other (specify)

o

Exempt payee (check this box if the investor is exempt from backup withholding

5)

Investor’s Name

Telephone No.

Social Security #

-

-

Taxpayer ID#

-

Business Name /disregarded entity name, if different from above

6)

Additional Information (for Estates, Partnerships, LLCs, Trusts and Corporations — name and title of authorized signatures, date of trust, etc.)

7)

Resident Address of

Investor

Street (P.O. Box not acceptable)

City

State

Zip Code

8)

Mailing Address

(if different)

Street

City

State

Zip Code

9)

Custodian Name and

Mailing Address

Name

Street

City

State

Zip Code

10)

o  The Commodity Futures Trading Commission requires the Trust to provide you with annual audited financial statements and unaudited interim account statements, and to provide other investor notices as well.  I hereby consent to have the required annual audited financial statements and unaudited interim account statements (as well as such other required investor notices) made available to me via e-mail (at the address provided below) or at the Managing Owner’s secure website (at such time as secure website access is available) rather than in hardcopy.  I understand that my consent shall be effective until revoked and that I may revoke this consent and receive such statements in hardcopy at any time by written notice to the Managing Owner.  My e-mail address is                                     .

11)

If the investor is making an investment in the Trust as part of the investor’s participation in a registered investment adviser’s asset-based fee or fixed fee advisory program through which the investor’s investment adviser recommended a portfolio allocation to the Trust, the investor must provide the name and address of the investor’s investment adviser.  The investor will accordingly be issued Series 2 or Series 3 Units.

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Adviser Name

and Mailing Address

Name

Street

City

State

Zip Code

United States investors should cross out the language under the heading “NON-UNITED STATES INVESTORS ONLY,” below.  Non-United States investors should cross out the language under the heading “UNITED STATES INVESTORS ONLY,” below. UNITED STATES INVESTORS ONLY Under penalties of perjury, I certify that:  (1) The number shown on this form is my correct taxpayer identification number (or I am waiting for a number to be issued to me), and (2) I am not subject to backup withholding because: (a) I am exempt from backup withholding, or (b) I have not been notified by the Internal Revenue Service (“IRS”) that I am subject to backup withholding as a result of a failure to report all interest or dividends, or (c) the IRS has notified me that I am no longer subject to backup withholding, and (3) I am a U.S. citizen or other U.S. person (defined in the instructions). You must cross out item (2) above if you have been notified by the IRS that you are currently subject to backup withholding because you have failed to report all interest and dividends on your tax return. NON-UNITED STATES INVESTORS ONLY I hereby certify that (i) (a) I am not a citizen or resident of the United States or (b) (in the case of an investor which is not an individual) the investor is not a United States corporation, partnership, estate or trust and (ii) I have herewith delivered my W-8 (if an individual) or delivered the investor’s W-8 (if not an individual). SIGNATURE(S) — Do not sign without familiarizing yourself with the information in the Prospectus, including:  (i) the fundamental risks and financial hazards of this investment, including the risk of losing your entire investment; (ii) the Trust’s substantial charges; (iii) the Trust’s highly leveraged trading activities; (iv) the lack of liquidity of the Units; (v) the existence of actual and potential conflicts of interest in the structure and operation of the Trust; (vi) that unitholders may not take part in the management of the Trust; and (vii) the tax consequences of an investment in the Trust. The Internal Revenue Service does not require your consent to any provision of this document other than the certifications required to avoid backup withholding.

INVESTOR(S) MUST SIGN

12)

X

X

Signature of Investor

Date

Signature of Joint Investor (if any)

Date

Executing and delivering this Subscription Agreement shall in no respect be deemed to constitute a waiver of any rights under the Securities Act of 1933, as amended or under the Securities Exchange Act of 1934, as amended.

REGISTERED REPRESENTATIVE MUST SIGN

13)

I hereby certify that I have informed the investor of all pertinent facts relating to the:  risks; tax consequences; liquidity and marketability; management; and control of the Managing Owner with respect to an investment in the Units, as set forth in the Prospectus.  I have also informed the investor of the unlikelihood of a public trading market developing for the Units.  I do not have discretionary authority over the account of the investor.

I have reasonable grounds to believe, based on information obtained from the investor concerning his/her investment objectives, other investments, financial situation and needs and any other information known by me, that an investment in the Trust is suitable for such investor in light of his/her financial position, net worth and other suitability characteristics.

The Registered Representative MUST sign below in order to substantiate compliance with FINRA Rule 2310.

X

X

Registered Representative Signature

Date

Office Manager Signature

Date

(if required by Selling Agent procedures)

14)

Selling Agent

Registered Representative

Name (please print)

First

M.I.

Last

Reg. Rep. Number

Registered Representative

Address

(for confirmations)

Street (P.O. Box not acceptable)

City

State

Zip Code

Registered Representative

Phone and E-Mail

Phone Number

E-Mail Address

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No dealer, salesman or any other person has been authorized to give any information or to make any representation not contained in this Prospectus, and, if given or made, such other information or representation must not be relied upon as having been authorized by Millburn Ridgefield Corporation or any other person.  This Prospectus does not constitute an offer to sell or a solicitation of an offer to buy the securities offered hereby to any person or by anyone in any jurisdiction in which such offer or solicitation may not be lawfully made.  The delivery of this Prospectus at any time does not imply that the information contained herein is correct as of any time subsequent to the date of its issue.

All selling agents must deliver to prospective investors any supplemented or amended Prospectus issued by Global Macro Trust during the ongoing offering period.

PART II

INFORMATION NOT REQUIRED IN PROSPECTUS

Item 13. Other Expenses of Issuance and Distribution.

The following is an estimate of the costs incurred in connection with preparing and filing this Post-Effective Amendment to Registration Statement.  Such costs to be borne by the Issuer.

	Approximate Amount
Printing Expenses	100,000
Fees of Certified Public Accountants	25,000
Blue Sky Expenses (Excluding Legal Fees)	5,000
Fees of Counsel	50,000
Miscellaneous Offering Costs	20,000
Total	$	200,000

Item 14. Indemnification of Directors and Officers.

Section 17 of the Issuer’s Fourth Amended and Restated Declaration of Trust and Trust Agreement (a form of which is attached as Exhibit A to the Prospectus which forms a part of this Registration Statement), as may be amended from time to time, provides for the indemnification of the Managing Owner, certain of its affiliates and certain of its directors, officers and controlling persons by the registrant (the “Registrant”) in certain circumstances. Such indemnification is limited to claims sustained by such persons in connection with the Registrant; provided that such claims were not the result of negligence or misconduct on the part of a Managing Owner or its affiliates, directors, officers and controlling persons. The Registrant is prohibited from incurring the cost of any insurance covering any indemnification prohibited by the Fourth Amended and Restated Declaration of Trust and Trust Agreement. Advances of Registrant funds to cover legal expenses and other costs incurred as a result of any legal action initiated against the Managing Owner by a Unitholder are prohibited.

Item 15. Recent Sales of Unregistered Securities.

There have been no sales of unregistered securities of the Registrant within the past three years.

Item 16. Exhibits and Financial Statement Schedules.

The following documents (unless indicated) are filed herewith and made a part of this Post-Effective Amendment to the Registration Statement.

(a)Exhibits.

Exhibit Number	Description of Document
1.01	Form of Selling Agreement (Series 1 Units).*
1.02	Form of Selling Agreement (Series 2 Units and Series 3 Units).*
3.01	Certificate of Trust of Registrant.*
3.03	Form of Fourth Amended and Restated Declaration and Agreement of Trust of Registrant.*
5.01	Opinion of Richards, Layton & Finger, P.A. relating to the legality of the Units.*
8.01	Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.*
10.01	Form of Subscription Agreement.*
10.02	Form of Services Agreement.*

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23.01	(a)	Consent of Sidley Austin LLP.
23.01	(b)	Consent of Richards, Layton & Finger, P.A.
23.02		Consent of Arthur F. Bell, Jr. & Associates, L.L.C.

23.03 Consent of Deloitte & Touche LLP.

*Previously filed

Item 17. Undertakings.

The undersigned registrant hereby undertakes:

(a)(1)To file, during any period in which offers or sales are being made, a post effective amendment to this registration statement;

(i)To include any prospectus required by Section 10(a)(3) of the Securities Act of 1933;

(ii)To reflect in the prospectus any facts or events arising after the effective date of the registration statement (or the most recent post-effective amendment thereof) which, individually or in the aggregate, represent a fundamental change in the information set forth in the registration statement. Notwithstanding the foregoing, any increase or decrease in volume of securities offered (if the total dollar value of securities offered would not exceed that which was registered) and any deviation from the low or high and of the estimated maximum offering range may be reflected in the form of prospectus filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the changes in volume and price represent no more than a 20 percent change in the maximum aggregate offering price set forth in the “Calculation of Registration Fee” table in the effective registration statement.

(iii)To include any material information with respect to the plan of distribution not previously disclosed in the registration statement or any material change to such information in the registration statement.

(A) Paragraphs (a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration statement is on Form S-8, and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934, as amended (“Securities Exchange Act of 1934”) (15 U.S.C. 78m or 78o(d)) that are incorporated by reference in the registration statement; and

(B) Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if the registration statement is on Form S-3 or Form F-3 and the information required to be included in a post-effective amendment by those paragraphs is contained in reports filed with or furnished to the Commission by the registrant pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934 that are incorporated by reference in the registration statement, or is contained in a form of prospectus filed pursuant to Rule 424(b) that is part of the registration statement.

(2)That, for the purpose of determining any liability under the Securities Act of 1933, as amended (“Securities Exchange Act of 1933”) each such post-effective amendment shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof.

(3)To remove from registration by means of a post-effective amendment any of the securities being registered which remain unsold at the termination of the offering.

(4)That, for the purpose of determining any liability under the Securities Act of 1933, each Prospectus filed pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than Prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness. Provided, however, that no statement made in a registration statement or Prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or Prospectus that is part of the

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registration statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that was made in the registration statement or Prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use.

(5)That, for the purpose of determining liability under the Securities Act of 1933 to any purchaser:

(ii)If the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule 424(b) as part of a registration statement relating to an offering, other than registration statements relying on Rule 430B or other than prospectuses filed in reliance on Rule 430A, shall be deemed to be part of and included in the registration statement as of the date it is first used after effectiveness.  Provided, however, that no statement made in a registration statement or prospectus that is part of the registration statement or made in a document incorporated or deemed incorporated by reference into the registration statement or prospectus that is part of the registration statement will, as to a purchaser with a time of contract of sale prior to such first use, supersede or modify any statement that was made in the registration statement or prospectus that was part of the registration statement or made in any such document immediately prior to such date of first use.

(6)That, for the purpose of determining liability of the registrant under the Securities Act of 1933 to any purchaser in the initial distribution of the securities: The undersigned registrant undertakes that in a primary offering of securities of the undersigned registrant pursuant to this registration statement, regardless of the underwriting method used to sell the securities to the purchaser, if the securities are offered or sold to such purchaser by means of any of the following communications, the undersigned registrant will be a seller to the purchaser and will be considered to offer or sell such securities to such purchaser:

(i)Any preliminary prospectus or prospectus of the undersigned registrant relating to the offering required to be filed pursuant to Rule 424;

(ii)Any free writing prospectus relating to the offering prepared by or on behalf of the undersigned registrant or used or referred to by the undersigned registrant;

(iii)The portion of any other free writing prospectus relating to the offering containing material information about the undersigned registrant or its securities provided by or on behalf of the undersigned registrant; and

(iv)Any other communication that is an offer in the offering made by the undersigned registrant to the purchaser.

(b)  The undersigned registrant hereby undertakes that:

(1)For purposes of determining any liability under the Securities Act of 1933, the information omitted from the form of prospectus filed as part of this registration statement in reliance upon Rule 430A and contained in a form of prospectus filed by the registrant pursuant to Rule 424(b)(1) or (4), or 497(h) under the Securities Act shall be deemed to be part of this registration statement as of the time it was declared effective.

(2)For the purpose of determining any liability under the Securities Act of 1933, each post-effective amendment that contains a form of prospectus shall be deemed to be a new registration statement relating to the securities offered therein, and the offering of such securities at that time shall be deemed to be the initial bona fide offering thereof.

(c)Insofar as indemnification for liabilities under the Securities Act of 1933 may be permitted to directors, officers and controlling persons of the Registrant pursuant to the provisions described in Item 14 above, or otherwise, the Registrant had been advised that in the opinion of the Securities and Exchange Commission such indemnification is against public policy as expressed in the Securities Act of 1933 and is, therefore, unenforceable. In the event that a claim for indemnification against such liabilities (other than the payment by the Registrant of expenses incurred or paid by a director, officer or controlling person of the Registrant in the successful defense of any such action, suit or proceeding) is asserted by such director, officer or controlling person in connection with the securities being registered, the Registrant will, unless in the opinion of its counsel the matter has been settled by controlling precedent, submit to a court of appropriate jurisdiction the question whether such indemnification by it is against public policy as expressed in the Securities Act of 1933 and will be governed by the final adjudication of such issue.

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SIGNATURES

Pursuant to the requirements of the Securities Act of 1933, the Managing Owner of the Registrant has duly caused this Registration Statement Amendment to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Greenwich in the State of Connecticut on the 21st day of April, 2011.

GLOBAL MACRO TRUST
By:	Millburn Ridgefield Corporation
	Managing Owner
By	/s/ HARVEY BEKER
	Harvey Beker
	Co-Chief Executive Officer

Pursuant to the requirements of the Securities Act of 1933, this Registration Statement Amendment has been signed below by the following persons on behalf of Millburn Ridgefield Corporation, Managing Owner of the Registrant, in the capacities and on the date indicated.

/s/ GEORGE E. CRAPPLE	Co-Chief Executive Officer	April 21, 2011
George E. Crapple	and Co-Chairman (Principal
	Executive Officer)
/s/ HARVEY BEKER	Co-Chief Executive Officer	April 21, 2011
Harvey Beker	and Co-Chairman (Principal
	Executive Officer)
/s/ GREGG R. BUCKBINDER	Senior Vice President	April 21, 2011
Gregg R. Buckbinder	(Principal Financial Officer)
/s/ TOD A. TANIS	Vice President (Principal	April 21, 2011
Tod A. Tanis	Accounting Officer)

(Being the principal executive officers, principal financial officer, principal accounting officer and a majority of the directors of Millburn Ridgefield Corporation.)

EXHIBIT INDEX

Exhibit Number		Description of Document
1.01		Form of Selling Agreement (Series 1 Units).*
1.02		Form of Selling Agreement (Series 2 Units and Series 3 Units).*
3.01		Certificate of Trust of Registrant.*
3.03		Form of Fourth Amended and Restated Declaration and Agreement of Trust of Registrant.*
5.01		Opinion of Richards, Layton & Finger, P.A. relating to the legality of the Units.*
8.01		Opinion of Sidley Austin LLP with respect to Federal Income Tax Aspects.*
10.01		Form of Subscription Agreement.*
10.02		Form of Services Agreement.*
23.01	(a)	Consent of Sidley Austin LLP.
23.01	(b)	Consent of Richards, Layton & Finger, P.A.
23.02		Consent of Arthur F. Bell, Jr. & Associates, L.L.C.

23.03 Consent of Deloitte & Touche LLP.

*Previously filed