c765-20220630x10q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the Quarterly Period Ended: June 30, 2022


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

Commission File Number: 000-50102

GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)


Delaware		36-7362830
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46^th Street, 31^st Floor

New York, NY 10036

(Address of principal executive offices) (Zip code)

(212) 332-7300

(Registrant's telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act:


Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	None	None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes x No o

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).

Yes x No o

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

Large accelerated filer o

Accelerated filer o

Non-accelerated filer o

Smaller reporting company x

Emerging growth company o

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

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

Yes o No x


Global Macro Trust
Statements of Financial Condition


		June 30, 2022 (unaudited)		December 31, 2021
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $17,490,550 and $16,831,384)	$	17,376,290	$	16,826,505
Net unrealized appreciation on open futures and
forward currency contracts		4,193,396		393,615
Due from brokers, net		4,635,967		3,488,546
Cash denominated in foreign currencies (cost $101,645
and $860,563)		97,149		852,118
Total equity in trading accounts		26,302,802		21,560,784

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $79,370,892 and $74,512,865)		79,001,933		74,498,647
CASH AND CASH EQUIVALENTS		8,491,209		7,661,202
ACCRUED INTEREST RECEIVABLE		413,356		610,661
TOTAL	$	114,209,300	$	104,331,294

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	-	$	98,039
Net unrealized depreciation on open futures and forward currency contracts		256,704		651,560
Due to Managing Owner		63,651		-
Due to brokers, net		-		71,047
Accrued brokerage and custodial fees		746,882		353,622
Accrued management fees		85,489		38,778
Redemptions payable to Unitholders		904,875		353,287
Redemption payable to Managing Owner		-		500,000
Accrued expenses		255,457		81,914
Cash overdraft denominated in foreign currencies (cost $162,944 and $58,614)		170,324		57,704
Accrued profit share		427,506		-
Total liabilities		2,910,888		2,205,951


TRUST CAPITAL:
Managing Owner interest (2,397.868 and 2,329.914 units outstanding)		2,894,131		2,499,928
Series 1 Unitholders (59,356.940 and 62,620.242 units outstanding)		71,641,381		67,189,838
Series 3 Unitholders (10,177.079 and 10,514.052 units outstanding)		19,278,583		17,635,045
Series 4 Unitholders (4,130.328 and 3,881.484 units outstanding)		10,666,985		8,660,732
Series 5 Unitholders (3,849.177 and 3,895.148 units outstanding)		6,817,332		6,139,800
Total trust capital		111,298,412		102,125,343

TOTAL	$	114,209,300	$	104,331,294

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,206.96	$	1,072.97
Series 3 Unitholders	$	1,894.31	$	1,677.28
Series 4 Unitholders	$	2,582.60	$	2,231.29
Series 5 Unitholders	$	1,771.11	$	1,576.27

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (unaudited)
June 30, 2022

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized ‎Appreciation/ ‎(Depreciation) ‎as a % of ‎Trust Capital			Net Unrealized ‎Appreciation/ ‎(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Currencies	0.00	%	$	35
Energies	(0.01)			(14,158)
Interest rates:
2 Year U.S. Treasury Note (80 contracts, settlement date September 2022)	0.06			64,398
5 Year U.S. Treasury Note (75 contracts, settlement date September 2022)	0.08			87,625
10 Year U.S. Treasury Note (22 contracts, settlement date September 2022)	0.04			40,781
30 Year U.S. Treasury Bond (10 contracts, settlement date September 2022)	0.03			31,469
Other	1.27			1,424,642

Total interest rates	1.48			1,648,915

Livestock	(0.00)			(5,300)
Metals	(0.94)			(1,049,124)
Softs	(0.00)			(1,977)
Stock indices	(0.05)			(55,049)

Total long futures contracts	0.48			523,342

Short futures contracts:
Currencies	(0.00)			(1,451)
Energies	0.57			636,964
Grains	0.52			581,350
Interest rates	(0.00)			(1,561)
Livestock	(0.00)			(50)
Metals	1.46			1,623,809
Softs	0.05			59,984
Stock indices	0.50			551,319

Total short futures contracts	3.10			3,450,364

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	3.58			3,973,706

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(1.31)			(1,455,035)
Total short forward currency contracts	1.27			1,418,021

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.04)			(37,014)

TOTAL	3.54	%	$	3,936,692

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (unaudited)
June 30, 2022
U.S. TREASURY NOTES

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

$	24,155,000	U.S. Treasury notes, 1.625%, 08/15/2022	21.70	%	$	24,159,246
	30,200,000	U.S. Treasury notes, 1.625%, 11/15/2022	27.07			30,129,809
	20,555,000	U.S. Treasury notes, 2.000%, 02/15/2023	18.40			20,476,714
	21,820,000	U.S. Treasury notes, 1.750%, 05/15/2023	19.42			21,612,454
		Total investments in U.S. Treasury notes
		(amortized cost $96,861,442)	86.59	%	$	96,378,223

See notes to financial statements (unaudited)						(Concluded)

‎


Global Macro Trust
Condensed Schedule of Investments
December 31, 2021

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized ‎Appreciation/ ‎(Depreciation) ‎as a % of ‎Trust Capital			Net Unrealized ‎Appreciation/ ‎(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Currencies	0.00	%	$	3,294
Energies	0.41			423,135
Grains	0.01			10,115
Interest rates	(0.80)			(812,978)
Livestock	(0.00)			(4,720)
Metals	1.03			1,037,670
Softs	(0.02)			(15,784)
Stock indices	0.18			184,467

Total long futures contracts	0.81			825,199

Short futures contracts:
Currencies	0.00			606
Energies	0.06			57,724
Grains	0.01			8,045
Interest rates	0.04			43,595
Livestock	0.00			4,470
Metals	(0.89)			(905,575)
Softs	0.01			5,477
Stock indices	0.03			31,896

Total short futures contracts	(0.74)			(753,762)

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.07			71,437

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.43			1,461,596
Total short forward currency contracts	(1.75)			(1,790,978)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.32)			(329,382)

TOTAL	(0.25)	%	$	(257,945)

				(Continued)


Global Macro Trust
Statements of Operations (unaudited)

		For the three months ended
		June 30, 2022		June 30, 2021
INVESTMENT INCOME:
Interest income, net	$	251,668	$	11,762

EXPENSES:
Brokerage fees		1,233,798		1,334,916
Administrative expenses		183,909		198,621
Custody fees and other expenses		7,458		8,785
Management fees		127,692		128,419
Total expenses		1,552,857		1,670,741

Managing Owner commission rebate to Unitholders		(148,671)		(162,204)

Net expenses		1,404,186		1,508,537

NET INVESTMENT LOSS		(1,152,518)		(1,496,775)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		8,010,860		11,682,979
Foreign exchange transactions		(47,585)		42,670
Net change in unrealized:
Futures and forward currency contracts		1,657,710		(2,630,790)
Foreign exchange translation		(26,119)		(26,888)
Net gains (losses) from U.S. Treasury notes:
Realized		(10,934)		18
Net change in unrealized		(350,056)		(19,629)
TOTAL NET REALIZED AND UNREALIZED GAINS		9,233,876		9,048,360


NET INCOME		8,081,358		7,551,585
LESS PROFIT SHARE TO MANAGING OWNER		394,212		-
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	7,687,146	$	7,551,585

NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	80.93	$	68.39
Series 3 Unitholders	$	118.44	$	120.39
Series 4 Unitholders	$	207.67	$	168.11
Series 5 Unitholders	$	108.39	$	110.69


See notes to financial statements (unaudited)

Global Macro Trust
Statements of Operations (unaudited)


		For the six months ended
		June 30, 2022		June 30, 2021
INVESTMENT INCOME:
Interest income, net	$	316,957	$	20,683

EXPENSES:
Brokerage fees		2,391,728		2,651,222
Administrative expenses		382,751		412,307
Custody fees and other expenses		14,170		13,812
Management fees		243,459		252,651
Total expenses		3,032,108		3,329,992

Managing Owner commission rebate to Unitholders		(285,142)		(331,101)

Net expenses		2,746,966		2,998,891

NET INVESTMENT LOSS		(2,430,009)		(2,978,208)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		12,337,125		18,947,969
Foreign exchange translation		(103,191)		50,444
Net change in unrealized:
Futures and forward currency contracts		4,194,637		(5,853,917)
Foreign exchange translation		(4,341)		(195,676)
Net gains (losses) from U.S. Treasury notes:
Realized		(11,480)		(275)
Net change in unrealized		(464,122)		7,184
TOTAL NET REALIZED AND UNREALIZED GAINS		15,948,628		12,955,729


NET INCOME	$	13,518,619	$	9,977,521
LESS PROFIT SHARE TO MANAGING OWNER		428,083		-
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	13,090,536	$	9,977,521

NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	133.99	$	87.16
Series 3 Unitholders	$	217.03	$	164.07
Series 4 Unitholders	$	351.31	$	234.51
Series 5 Unitholders	$	194.84	$	149.16


See notes to financial statements (unaudited)				(Concluded)


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

For the six months ended June 30, 2022:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2022	$	67,189,838	62,620.242	$	17,635,045	10,514.052	$	8,660,732	3,881.484	$	6,139,800	3,895.148	$	-	-	$	2,499,928	2,329.914	$	102,125,343
Subscriptions		-	-		-	-		692,212	301.177		98,039	62.198		577	0.490		-	-		790,828
Redemptions		(3,824,954)	(3,380.379)		(587,562)	(336.973)		(129,067)	(52.333)		(166,712)	(108.169)		-	-		-	-		(4,708,295)
Addt'l units allocated *		-	117.077		-	-		-	-		-	-		-	0.005		-	67.459		-
Net income
before profit share to Managing Owner		8,276,497	-		2,541,222	-		1,443,108	-		864,166	-		21	-		393,605	-		13,518,619
Profit share to Managing Owner:		-	-		(310,122)	-		-	-		(117,961)	-		-	-		-	-		(428,083)
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
June 30, 2022	$	71,641,381	59,356.940	$	19,278,583	10,177.079	$	10,666,985	4,130.328	$	6,817,332	3,849.177	$	598	0.495	$	2,893,533	2,397.373	$	111,298,412

Net asset value per unit outstanding
at June 30, 2022:	$	1,206.96		$	1,894.31		$	2,582.60		$	1,771.11

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

See notes to financial statements (unaudited)


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

For the six months ended June 30, 2021:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2021	$	76,534,812	72,959.433	$	21,721,634	13,756.807	$	8,221,792	3,983.338	$	4,917,388	3,289.070	$	-	-	$	2,775,067	2,645.415	$	114,170,693
Subscriptions		-	-		69,750	39.867		432,410	205.178		100,000	60.553		-	-		-	-		602,160
Redemptions		(8,169,971)	(7,517.689)		(2,256,839)	(1,392.046)		(130,969)	(64.119)		(197,926)	(122.337)		-	-		-	-		(10,755,705)
Addt'l units allocated *		-	125.858		-	-		-	-		-	-		-	-		-	74.570		-
Net income
before profit share to Managing Owner		6,131,076	-		2,087,262	-		956,937	-		486,948	-		-	-		315,298	-		9,977,521
Profit share to Managing Owner:		-	-		-	-		-	-		-	-		-	-		-	-		-
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
June 30, 2021	$	74,495,917	65,567.602	$	21,621,807	12,404.628	$	9,480,170	4,124.397	$	5,306,410	3,227.286	$	-	-	$	3,090,365	2,719.985	$	113,994,669

Net asset value per unit outstanding
at June 30, 2021:	$	1,136.17		$	1,743.04		$	2,298.56		$	1,644.23

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

See notes to financial statements (unaudited)																				(Concluded)


Global Macro Trust
Statements of Financial Highlights (unaudited)


For the three months ended June 30:	2022									2021
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
Net income from operations:
Net investment loss		$ (16.66)		$ (9.28)		$ (1.26)		$ (12.01)			$ (18.33)		$ (13.16)		$ (7.40)		$ (15.52)
Net realized and unrealized gains on trading of futures and forward currency contracts		101.40		162.08		217.28		147.88			86.90		133.83		175.90		126.49
Net losses from U.S. Treasury obligations		(3.81)		(6.11)		(8.35)		(5.73)			(0.18)		(0.28)		(0.39)		(0.28)
Profit share allocated to Managing Owner		0.00		(28.25)		0.00		(21.75)			0.00		0.00		0.00		0.00
Net income per unit		$ 80.93		$ 118.44		$ 207.67		$ 108.39			$ 68.39		$ 120.39		$ 168.11		$ 110.69

Net asset value per unit, beginning of period		1,126.03		1,775.87		2,374.93		1,662.72			1,067.78		1,622.65		2,130.45		1,533.54

Net asset value per unit, end of period		$ 1,206.96		$ 1,894.31		$ 2,582.60		$ 1,771.11			$ 1,136.17		$ 1,743.04		$ 2,298.56		$ 1,644.23
Total return and ratios for the three months ended June 30:		2022									2021
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
RATIOS TO AVERAGE CAPITAL:
Net investment loss (a)		(5.61)	%	(1.99)	%	(0.20)	%	(2.75)	%		(6.50)	%	(3.06)	%	(1.30)	%	(3.81)	%
Total expenses (a)		6.51	%	2.90	%	1.11	%	3.67	%		6.54	%	3.10	%	1.34	%	3.85	%
Profit share allocation (b)		0.00		1.53		0.00		1.50			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.51	%	4.43	%	1.11	%	5.17	%		6.54	%	3.10	%	1.34	%	3.85	%
Total return before profit share allocation (b)		7.19	%	8.20	%	8.74	%	8.02	%		6.40	%	7.42	%	7.89	%	7.22	%
Less: Profit share allocation (b)		0.00		1.53		0.00		1.50			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		7.19	%	6.67	%	8.74	%	6.52	%		6.40	%	7.42	%	7.89	%	7.22	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.


Global Macro Trust
Statements of Financial Highlights (unaudited)
For the six months ended June 30:	2022									2021
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
Net income from operations:
Net investment loss		$ (33.78)		$ (21.31)		$ (7.44)		$ (26.28)			$ (35.53)		$ (25.35)		$ (14.21)		$ (29.90)
Net realized and unrealized gains on trading of futures and forward currency contracts		172.78		276.26		369.66		259.03			122.62		189.32		248.62		178.99
Net gains (losses) from U.S. Treasury obligations		(5.01)		(7.99)		(10.91)		(7.49)			0.07		0.10		0.10		0.07
Profit share allocated (to) Managing Owner		0.00		(29.93)		0.00		(30.42)			0.00		0.00		0.00		0.00
Net income per unit		$ 133.99		$ 217.03		$ 351.31		$ 194.84			$ 87.16		$ 164.07		$ 234.51		$ 149.16

Net asset value per unit, beginning of period		1,072.97		1,677.28		2,231.29		1,576.27			1,049.01		1,578.97		2,064.05		1,495.07

Net asset value per unit, end of period		$ 1,206.96		$ 1,894.31		$ 2,582.60		$ 1,771.11			$ 1,136.17		$ 1,743.04		$ 2,298.56		$ 1,644.23

Total return and ratios for the six months ended June 30:		2022									2021
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5

RATIOS TO AVERAGE CAPITAL:

Net investment income (loss) (a)		(5.98)	%	(2.40)	%	(0.62)	%	(3.16)	%		(6.52)	%	(3.06)	%	(1.30)	%	(2.18)	%

Total expenses (a)		6.58	%	3.00	%	1.23	%	3.76	%		6.55	%	3.09	%	1.34	%	2.20	%
Profit share allocation (b)		0.00		1.69		0.00		1.83			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.58	%	4.69	%	1.23	%	5.59	%		6.55	%	3.09	%	1.34	%	2.20	%

Total return before profit share allocation (b)		12.49	%	14.63	%	15.74	%	14.19	%		8.31	%	10.39	%	11.36	%	9.98	%
Less: Profit share allocation (b)		0.00		1.69		0.00		1.83			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		12.49	%	12.94	%	15.74	%	12.36	%		8.31	%	10.39	%	11.36	%	9.98	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.
See notes to financial statements (unaudited)																	(Concluded)

‎

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Global Macro Trust’s (the “Trust”) financial condition at June 30, 2022 (unaudited) and December 31, 2021 (audited) and the results of its operations for the three and six months ended June 30, 2022 and 2021 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Trust's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2021. The December 31, 2021 information has been derived from the audited financial statements as of December 31, 2021.

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 3 and Series 4 Units. The only Units offered prior to such date were the Series 1 Units.

With the effectiveness of the Trust’s Prospectus dated September 29, 2017, the Trust began to offer Series 5 Units. Series 5 Units were first sold on April 1, 2018.

Previously offered Series 1 Units are no longer being offered by the Trust.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Trust enters into contracts that contain a variety of indemnification provisions. The Trust’s maximum exposure under these arrangements is unknown. The Trust does not anticipate recognizing any loss related to these arrangements.

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2018 to 2021, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required.

Investment Company Status: The Trust is for U.S. GAAP purposes an investment company in accordance with FASB Codification 946 Financial Services – Investment Companies.

There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2021.

2. FAIR VALUE

Fair Value Measurement (Topic 820) of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

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

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

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

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

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

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

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Financial Assets and Liabilities at Fair Value as of December 31, 2021


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	91,325,152	$	-	$	91,325,152
Short-term money market fund*		7,411,202		-		7,411,202
Exchange-traded futures contracts
Currencies		3,900		-		3,900
Energies		480,859		-		480,859
Grains		18,160		-		18,160
Interest rates		(769,383)		-		(769,383)
Livestock		(250)		-		(250)
Metals		132,095		-		132,095
Softs		(10,307)		-		(10,307)
Stock indices		216,363		-		216,363

Total exchange-traded futures contracts		71,437		-		71,437

Over-the-counter forward currency contracts		-		(329,382)		(329,382)

Total futures and forward currency contracts (2)		71,437		(329,382)		(257,945)

Total financial assets and liabilities at fair value	$	98,807,791	$	(329,382)	$	98,478,409

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	16,826,505
Investments in U.S. Treasury notes held in custody						74,498,647
Total investments in U.S. Treasury notes					$	91,325,152

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	393,615
Net unrealized depreciation on open futures and forward currency contracts						(651,560)
Total net unrealized depreciation on open futures and forward currency contracts					$	(257,945)

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

3. DERIVATIVE INSTRUMENTS

Derivatives and Hedging (Topic 815) of the Codification requires qualitative disclosure about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

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

The Trust engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Trust at June 30, 2022, by market sector:

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

Currencies – Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are

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

Counterparty C	$	322,178	$	-	$	(322,178)	$	-
Counterparty G		298,491		-		(298,491)		-
Counterparty K		30,891		-		(30,891)		-

Total	$	651,560	$	-	$	(651,560)	$	-
								(concluded)

⁽¹⁾ Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is
guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
⁽²⁾ Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial
Condition for each respective counterparty.
⁽³⁾ Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2021.
⁽⁴⁾ Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2021.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and trading counterparties which the Managing Owner believes to be creditworthy. In addition, for OTC forward currency contracts, the Trust enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

The Trust’s forward currency trading activities are cleared through DB and BA. The Trust’s concentration of credit risk associated with DB or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and BA. The amount of such credit risk was $8,713,399 and $7,581,603 at June 30, 2022 and December 31, 2021, respectively.

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4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2022 and 2021. Profit share earned (from Unitholders' redemptions) is credited to the New Profit Memo Account as defined in the Trust’s Declaration of Trust and Trust Agreement (the “Trust Agreement”).


	Three months ended:
	June 30,		June 30,
	2022		2021
Profit share earned	$	577	$	-
Reversal of profit share ⁽¹⁾		(33,871)		-
Profit share accrued		427,506		-
Total profit share	$	394,212	$	-


	Six months ended:
	June 30,		June 30,
	2022		2021
Profit share earned	$	577	$	-
Profit share accrued		427,506		-
Total profit share	$	428,083	$	-

⁽¹⁾ On April 1^st

5. RELATED PARTY TRANSACTIONS

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Trust's Prospectus), as well as extraordinary costs. At June 30, 2022 and December 31, 2021, the Managing Owner is owed $63,651 and $0, respectively, from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the Statements of Financial Condition).

Series 1 Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. There was no redemption charge payable at June 30, 2022 or December 31, 2021.

6. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series 1, Series 3, Series 4 Units and Series 5 is calculated based on Unitholders’ Trust capital for each Series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for each Series is detailed below:


	Three months ended June 30,		Six months ended June 30,		Date of first issuance
	2022	2021	2022	2021

Series 1	60,323.155	67,543.455	61,238.337	69,648.254	July 23, 2001
Series 3	10,285.447	12,585.074	10,361.205	12,950.623	September 1, 2009
Series 4	4,118.899	4,117.727	4,086.398	4,104.522	November 1, 2010
Series 5	3,849.201	3,255.002	3,877.993	3,271.419	April 1, 2018

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7. BROKERAGE AND CUSTODIAL FEES

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 Units sold subsequent to August 12, 2009. During the three and six months ended June 30, 2022 and 2021, the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 Units that remain outstanding, where there is no longer a selling agent associated with such Units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items, included in “Brokerage and custodial fees” in the Statements of Operations, were as follows:



	Three months ending June 30,		Six months ending June 30,
	2022	2021	2022	2021

Brokerage fee rebates	$ 148,671	$ 162,204	$ 285,142	$ 331,101

8. SUBSEQUENT EVENTS

The Managing Owner has performed its evaluation of subsequent events from July 1, 2022 to August 12, 2022, the date this Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statements.

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

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

OPERATIONAL OVERVIEW

Due to the nature of the Trust's business, its results of operations depend on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Trust's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Trust and its past performance is not necessarily indicative of future results. The Managing Owner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Trust has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

The Trust trades futures, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward contracts on currencies. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

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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 or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market. The Managing Owner attempts to control credit risk by causing the Trust to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

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

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

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

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

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

During its operations for the three and six months ended June 30, 2022, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

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

The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions, such as accrual of expenses, that affect the amounts and disclosures reported 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.

RESULTS OF OPERATIONS

Due to the nature of the Trust’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
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Series 1 Units, which were initially issued simply as “Units” beginning in July 23, 2001, were the only Series of Units available prior to 2009. Series 3 Units were first issued on September 1, 2009, Series 4 Units were first issued on November 1, 2010 and Series 5 Units were first issued on April 1, 2018. The Trust’s past performance is not necessarily indicative of how it will perform in the future.


Periods ended June 30, 2022

Month Ended:				Total Trust ‎Capital

June 30, 2022			$	111,298,412
March 31, 2022				105,507,662
December 31, 2021				102,125,343


		Three Months ended		Six Months ended
Change in Trust Capital	$	5,790,750	$	9,173,069
Percent Change		5.49%		8.98%

THREE MONTHS ENDED JUNE 30, 2022

The increase in the Trust’s net assets of $5,790,750 was attributable to subscriptions of $240,482 and net income after profit share of $7,687,146, which were partially offset by redemptions of $2,136,878.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended June 30, 2022 decreased $87,585 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the three months ended June 30, 2022 decreased $14,712 relative to the corresponding period in 2021. The decrease was due mainly to a decrease in service provider costs during the three months ended June 30, 2022 relative to the corresponding period in 2021.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended June 30, 2022 decreased $727 relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended June 30, 2022 increased $239,906 relative to the corresponding period in 2021. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended June 30, 2022.

During the three months ended June 30, 2022, the Trust experienced net realized and unrealized gains of $9,233,876 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $1,233,798, administrative expenses of $183,909, custody fees and other expenses of $7,458 and management fees of $127,692 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $251,668, and Managing Owner commission rebate to Unitholders of $148,671 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $7,687,146. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	2.84	%
Energies	3.44	%
Grains	0.78	%
Interest rates	(4.05)	%
Livestock	0.05	%
Metals	1.37	%
Softs	0.05	%
Stock indices	4.43	%

Trading gain	8.91	%

SIX MONTHS ENDED JUNE 30, 2022

The increase in the Trust’s net assets of $9,173,069 was attributable to subscriptions of $790,828 and net income after profit share of $13,090,536, which were partially offset by redemptions of $4,708,295.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the six months ended June 30, 2022 decreased $213,535 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the six months ended June 30, 2022 decreased $29,556 relative to the corresponding period in 2021. The decrease was due mainly to a decrease in the Trust's net assets during the six months ended June 30, 2022 relative to the corresponding period in 2021.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the six months ended June 30, 2022 decreased $9,192 relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the six months ended June 30, 2022 increased $296,274 relative to the corresponding period in 2021. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2022 relative to the corresponding period in 2021.

During the six months ended June 30, 2022, the Trust experienced net realized and unrealized gains of $15,948,628 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,391,728, administrative expenses of $382,751, custody fees and other expenses of $14,170 and management fees of $243,459 were incurred. Interest income of $316,957, and Managing Owner commission rebate to Unitholders of $285,142 were partially offset by the Trust’s expenses resulting in net income after profit share to the Managing Owner of $13,090,536. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	4.00	%
Energies	10.55	%
Grains	0.41	%
Interest rates	(3.86)	%
Livestock	0.07	%
Metals	(0.59)	%
Softs	0.22	%
Stock indices	5.53	%

Trading gain	16.33	%

MANAGEMENT DISCUSSION –2022

Three months ended June 30, 2022

The Trust was profitable as gains from trading stock index, energy, metal and grain futures, and currency forwards far outweighed losses from trading interest rate futures. Trading of soft and livestock futures were each essentially flat.

As markets faced constant pressure from rising inflation, Russia’s war on Ukraine, persistent supply chain difficulties and expanding U.S.-China tensions, market participants increasingly focused on the uncertainties around three interrelated questions: how fast and how high official interest rates would be raised by global central banks, especially the U.S. Federal Reserve Bank (the “Fed”) and European Central Bank (the “ECB”); when and how quickly inflation would begin to subside; and when and how significantly global growth would begin to decelerate.

Against the background of rising inflation and interest rates, plunging consumer confidence globally, fears of slowing growth and caution concerning the earnings outlook, volatility increased, most global equity markets declined sharply, and trading of equity futures was quite profitable. Short positions in European, British, Korean, Singaporean, Brazilian, Indian, EAFE and emerging markets index futures were profitable. Trading of U.S. equity index futures was profitable too. On the other hand, short positions in Japanese equity index futures, long positions in Canadian and Australian equity index futures, and a short VIX futures trade resulted in partially offsetting losses. Short positions in Chinese stock index futures were also unprofitable late in the quarter as China displayed incipient signs of emerging from its severe first half growth slowdown.

Following sharp increases in the first quarter, energy prices were volatile during the April-June period. Strong demand for refined fuels combined with concerns over increasing restrictions on Russian supplies and a dwindling “supply buffer” within The Organization of the Petroleum Exporting Countries pushed energy prices higher, while increasing recession worries due to tighter monetary policies mitigated the upward pressures, especially late in June. Long natural gas positions were profitable for most of the quarter. Then, in late June, an explosion at one of the biggest US liquefied natural gas export terminals in Texas reduced exports to Europe, thereby significantly raising natural gas supplies available for U.S. domestic consumption. U.S. natural gas prices plunged in June, leading to profits on a short natural gas position. Elsewhere, long positions in RBOB gasoline, heating oil, London gas oil, WTI crude and Brent crude were profitable.

The U.S. dollar, as measured by the Bloomberg DXY index, rose about 7 1/2% in the quarter and about 10% since the start of the year. Considering that the war in Ukraine is expected to have a much greater negative impact on European growth than U.S. growth and that the Fed is likely to remain more hawkish than the ECB, long U.S. dollar positions against the euro and Swiss franc were profitable. A long U.S. dollar trade versus the Japanese yen was profitable too as the Bank of Japan continued to pursue an expansive monetary policy at the same time that the Fed was becoming decidedly more restrictive. As commodity prices stabilized somewhat, albeit at high levels, long U.S. dollar trades versus several commodity currencies such as the Aussie dollar, Canadian dollar, Chilean peso, Norwegian krone and South African rand also resulted in profits. On the other hand, a short U.S. dollar position against the Brazilian real and trading the U.S. dollar versus the British pound and New Zealand dollar generated partially offsetting losses.

Fears of a demand-sapping recession, a stronger U.S. dollar and higher interest rates weighed on metal markets, even though there were incipient signs that China was emerging from its sharp growth slowdown. Indications that supplies of many industrial metals would increase in the next couple of years also dampened the price outlook. Short positions in copper, silver and gold were profitable, while trading of aluminum generated a partially offsetting loss.

Grain prices which hit 10-year highs in March and April following the Russian invasion of Ukraine, were volatile during most of the second quarter, and eased somewhat in June against the backdrop of more favorable weather in the U.S. and South America, near record Russian wheat crops, hopes for Ukrainian exports and slowing demand due to recession fears. A long soybean oil position was profitable in April in the wake of news that Indonesia banned exports of palm oil in a bid to ensure domestic supply. Both palm oil and soybean oil are used for cooking as well as food preparation, and are in high demand as substitutes for sunflower oil, a commodity whose supply has been negatively impacted by the ongoing Russian war on Ukraine. Then, late in June, a short soybean oil trade was also profitable. Short corn and wheat trades were also profitable late in the quarter.

Interest rate volatility, as measured by the Merrill Lynch MOVE Index, increased markedly during the quarter. On the one hand, concerns about inflation and more hawkish central bank policies underpinned rates. On the other hand, weakening economic data underscored worries about recession and sparked speculation that the Fed might not need to raise rates as high as previously estimated, thereby periodically dragging yields lower. Long positions in European, British, Australian, Canadian, Japanese and U.S. note and bond futures were broadly unprofitable, although these losses were reduced by a significant global bond rally near month end. Meanwhile, trading of short-term U.S., German, Canadian and Australian interest rate futures was fractionally profitable.

Three months ended March 31, 2022

The Trust was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.

During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.

Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.

The Fed and other central banks’ embrace of more hawkish policy stances impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses.

Short vix and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.

The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Trust halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.

Led by a seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine war kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.

Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.

Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.


Periods ended June 30, 2021

Month Ended:				Total Trust ‎Capital

June 30, 2021			$	113,994,669
March 31, 2021				111,045,901
December 31, 2020				114,170,693


		Three Months ended		Six Months ended
Change in Trust Capital	$	2,948,768	$	(176,024)
Percent Change		2.66%		(0.15)%

THREE MONTHS ENDED JUNE 30, 2021

The increase in the Trust’s net assets of $2,948,768 was attributable to subscriptions of $227,798 and net income after profit share of $7,551,585, which were partially offset by redemptions of $4,830,615.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended June 30, 2021 decreased $144,036 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2020 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the three months ended June 30, 2021 decreased $13,324 relative to the corresponding period in 2020. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended June 30, 2021 relative to the corresponding period in 2020.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended June 30, 2021 decreased $24,057 relative to the corresponding period in 2020 due to a decrease in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended June 30, 2021 decreased $380,427 relative to the corresponding period in 2020. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended June 30, 2021.

During the three months ended June 30, 2021, the Trust experienced net realized and unrealized gains of $9,048,360 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $1,334,916, administrative expenses of $198,621, custody fees and other expenses of $8,785 and management fees of $128,419 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $11,762, and Managing Owner commission rebate to Unitholders of $162,204 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $7,551,585. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	(1.08)	%
Energies	2.87	%
Grains	(0.56)	%
Interest rates	2.78	%
Livestock	0.03	%
Metals	1.24	%
Softs	(0.45)	%
Stock indices	3.14	%

Trading gain	7.97	%

SIX MONTHS ENDED JUNE 30, 2021

The decrease in the Trust’s net assets of $176,024 was attributable to redemptions of $10,755,705, which were partially offset by net income after profit share of $9,977,521 and subscriptions of $602,160.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the six months ended June 30, 2021 decreased $552,884 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2020 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the six months ended June 30, 2021 decreased $90,145 relative to the corresponding period in 2020. The decrease was due mainly to a decrease in the Trust's net assets during the six months ended June 30, 2021 relative to the corresponding period in 2020.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the six months ended June 30, 2021 decreased $71,952 relative to the corresponding period in 2020 due to a decrease in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the six months ended June 30, 2021 decreased $1,031,702 relative to the corresponding period in 2020. This decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the six months ended June 30, 2021 relative to the corresponding period in 2020.

During the six months ended June 30, 2021, the Trust experienced net realized and unrealized gains of $12,955,729 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $2,651,222, administrative expenses of $412,307, custody fees and other expenses of $13,812 and management fees of $252,651 were incurred. Interest income of $20,683, and Managing Owner commission rebate to Unitholders of $331,101 were partially offset by the Trust’s expenses resulting in net income after profit share to the Managing Owner of $9,977,521. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	(1.97)	%
Energies	3.83	%
Grains	0.27	%
Interest rates	0.20	%
Livestock	(0.07)	%
Metals	1.02	%
Softs	(0.41)	%
Stock indices	9.10	%

Trading gain	11.97	%

MANAGEMENT DISCUSSION –2021

Three months ended June 30, 2021

The Trust was profitable in the quarter as gains from long positions in stock index, interest rate, energy and metals futures outpaced losses from trading currency forwards and grain and soft commodity futures.

For much of the quarter, reflation and reopening dynamics underpinned by expanding COVID-19 vaccinations and accommodative monetary and fiscal policies globally contributed to rising equity prices, commodity prices and interest rates. In May, market participants faced headwinds that at times impacted market sentiment including: declines in Bitcoin and SPAC prices; the Colonial pipeline cyberattack; and geopolitical tensions and/or negotiations between the U.S. and China, the U.S. and Iran, Israel and Hamas, and Russia/Belarus and the West. Importantly, evidence that inflation was increasing raised concerns that global monetary policies might become less accommodative. Central banks in Brazil, Russia, Turkey, Mexico, Hungary and the Czech Republic have raised official rates recently and monetary authorities in Canada, New Zealand and Norway have suggested it may be time to rein in crisis policies soon. The Federal Reserve (the “Fed”) continues to emphasize the “transitory” nature of recent inflation increases but financial markets were impacted following the Fed’s June meeting and indications that a number of Fed policy makers are considering Quantitative easing (“QE”) tapering and interest rates increases earlier than had been previously anticipated.

After peaking late in March, interest rates were volatile but drifted lower during most of the quarter. Following the June Fed meeting, rates fell to their lowest levels since late February and yield curves flattened, inflation expectations eased, real yields rose, gold declined and the U.S. dollar rebounded. Consequently, long positions in long-term U.S., U.K., Japanese, Canadian and Australian government bonds were profitable. On the other hand, trading of the U.S. 5-year note and European long-term interest rate futures produced partially offsetting losses. Against this background of reflation and reopening, long positions in U.S., Canadian and EAFE equity index futures, and trading of European, Chinese and Taiwanese stock index futures were highly profitable. Elsewhere, short positions in Japanese and Brazilian equity futures posted partially offsetting losses.

During the quarter, Brent crude oil hit its highest price level since October 2018 and an increasingly bullish picture contributed to speculation that the price may eventually return to $100 a barrel. Prices drew support from expectations that the OPEC+ alliance – which meets on July 1 – won’t revive production quickly enough to prevent markets from tightening, and from continued production discipline from non-Organization of the Petroleum Exporting Countries’ shale producers who have exerted strong control on additional investments while focusing on returns to investors. Consequently, stockpiles are draining as fuel consumption rebounds in key regions including the U.S. and Europe. At the same time, the prospect of an imminent surge of Iranian oil is diminishing as talks to revive a nuclear deal continue. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short U.S. natural gas position posted a partially offsetting loss. Natural gas prices have risen sharply amid low global natural gas inventories after a long, cold winter; rebounding global demand along with the reopening global economy; and hot summer temperatures.

Reflation and reopening demand contributed to metals’ prices despite some intra-quarter volatility prompted by Chinese efforts to rein in “excessive” speculation and worries about possible changes in monetary policy. Long copper, gold, silver and aluminum positions were profitable, especially in April and May.

The U.S. dollar strengthened during the first quarter amid the U.S.’s vaccine distribution efforts (particularly relative to the rest of the world), fiscal policy support, economic reopening and rising interest rates. Subsequently, as those distinctions eroded, the U.S. dollar declined for much of the second quarter. However, the U.S. currency rebounded sharply in June, particularly after Federal Reserve officials suggested that they were starting to think about QE tapering and interest rate increases. Currency trading was mixed and unprofitable for the quarter. Short U.S. dollar trades against the currencies of Australia and New Zealand were unprofitable especially in the second half of the quarter. Long U.S. dollar trades against the Japanese yen and Norwegian krone posted losses, particularly in April. Trading the U.S. dollar against the euro, Polish zloty, Swedish krona, Brazilian real and Chilean peso added to the losses. On the other hand, during April and May, short U.S. dollar trades versus the British pound, Indian rupee, Israeli shekel, Russian ruble and Swiss franc produced partially offsetting profits.

Grains prices were volatile during the quarter, spiking and plunging along with a variety of events including drought concerns and robust demand from China, the U.S. and elsewhere as the global economy reopened; the multi-year highs reached in May while rains in the U.S. Midwest and Canada eased severe drought concerns; and the release of the USDA grain stocks June 30 report showing sharp inventory declines from a year ago. On balance, trading of wheat, corn and soybean meal registered losses, while a long soybean oil trade posted a partially offsetting gain.

A short coffee position was unprofitable when coffee prices increased as the 2020 drought reduced recent supplies from Brazil, Colombia and Nicaragua, and because logistics and customs issues constrained Brazilian exports. Trading of sugar was slightly unprofitable too.

Three months ended March 31, 2021

The Trust was profitable in the quarter as gains from trading equity, energy and grain futures outpaced losses from trading interest rate futures, metal futures and currency forwards. Trading of livestock and soft commodity futures was marginally negative.

The global reflation trade gathered momentum throughout the quarter amid fiscal stimulus expansion from the Biden Administration; Federal Reserve (the “Fed”) Chairman Powell reiterating in testimony before Congress that the Fed will maintain low interest rates and continue asset purchases until “substantial further progress has been made” toward its employment and inflation goals; the global vaccine rollout; and the resurgence of global trade. Periodically, however, the growth outlook and investor enthusiasm were tamped down and markets experienced increased volatility while concerns about the slow pace of vaccine distribution in Europe, Asia and emerging markets relative to the U.S. and U.K. lingered; evidence of moderating monetary and fiscal policy support came out of China; and the geopolitical conflict between China and the U.S. expanded.

Trading of equity futures was highly profitable. Positive impulses from massive fiscal and monetary policy support globally outweighed the negative impact of higher global interest rates and less synchronous global growth. The Reddit-driven short frenzy in January, Archegos events in March, and the week-long Suez Canal closure in March did not seem to have long-term effects on equity markets. Long positions in U.S., Canadian, European, British, Chinese and EAFE equity index futures were profitable. A short VIX position and trading of the EEM emerging market index future were also profitable. On the other hand, trading of South African, Brazilian and Australian futures registered small offsetting losses.

Energy markets were volatile during the quarter. After exceeding 2-year highs early in March amid strong reflation trade and Organization of the Petroleum Exporting Countries’ production restraint, crude prices dropped sharply as reopening demand expectations receded along with the global growth outlook. For example, Brent crude climbed from just over $50/barrel at the start of the year to nearly $71/barrel on March 7, but plunged to nearly $60/barrel on March 23. Even though the closure of the Suez Canal provided some support to crude prices, Brent closed the month at less than $63/barrel. Overall, long positions in Brent crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short natural gas trade was unprofitable, especially as prices rose in January in response to unusually cold weather across Europe and China and in February in the wake of weather-induced energy market turmoil in Texas. Trading of WTI crude oil was slightly unprofitable as well.

Chinese demand for U.S. exports, a weaker than expected U.S. harvest of row crops and dry weather in South America contributed to profits on long corn, soybean and soybean oil trades. Then, on March 31 the USDA reported that farmers are likely to plant lower-than-expected corn and soybean acreage in 2021, and corn and soybean prices traded limit-up on the day, reinforcing results from earlier in the quarter. Trading of soybean meal was marginally unprofitable.

Interest rates were volatile during the quarter, trading across a broad range in January, spiking higher in February, and then dropping back sharply in March before entering volatile range-trading to close out the period. Amid growth, inflation and government borrowing concerns, global note and bond yields pushed sharply higher during the January-February period as evidenced by the German 10-year Bund yield which rose from about -0.60% at the start of January to as high as -0.23% on February 25. Then, as growth optimism faded somewhat in March, the Bund yield fell to -0.39% on March 21 before closing the quarter at -0.32%. Long positions in U.S., Canadian and Australian long bond futures were unprofitable, especially in February. Trading of German, French, Italian and Japanese bond futures were also unprofitable, particularly in January and March. Trading of U.S., British, Australian, German and Italian short-term interest rate futures registered small losses as well. On the other hand, short positions in the U.S. 5-year note future and in the German ultra-long bond future posted partially offsetting gains in February.

Currency markets too were impacted by the fluid growth, inflation and interest rate developments, and trading of currency forwards was mixed and unprofitable. The euro, which traded toward five-year highs during January and February, declined sharply in March and a long euro position against the dollar was unprofitable. Long Swiss franc and Swedish krona positions were also unprofitable. Trading the U.S. dollar against the currencies of Brazil and Singapore posted losses, as did a long U.S. dollar/short Canadian dollar position as commodity currencies outperformed. On the other hand, long U.S. dollar positions versus the Japanese yen and Israeli shekel, short dollar trades versus the Norwegian krone and South African rand, and trading the dollar against the British pound sterling produced partially offsetting gains.

The improving economic outlook and COVID-19 prognosis together with higher interest rates and a stronger U.S. dollar weighed on precious metal prices and long gold and silver positions posted losses. Meanwhile, long positions in copper and aluminum produced partially offsetting profits, especially in February as prices rose and reflation optimism was high.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot, option, and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at June 30, 2022 and December 31, 2021.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The Managing Owner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Trust as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the

Managing Owner’s internal controls over financial reporting during the quarter ended June 30, 2022 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

Not required

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

(a)There have been no sales of unregistered securities of the Trust during the three months ended June 30, 2022

(b)Pursuant to the Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at then current month-end net asset value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding and Units are not reissued once redeemed.

The following table summarizes the redemptions by Unitholders during the three months ended June 30, 2022. There were no Series 5 redemptions during the three months ended June 30, 2022.


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

April 30, 2022	546.142	$	1,180.13	22.510	$	1,849.41	-	$	2,501.07
May 31, 2022	456.548		1,176.21	4.794		1,849.69	-		2,504.70
June 30, 2022	518.432		1,206.96	97.696		1,894.31	36.429		2,582.60
Total	1,521.122			125.000			36.429

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

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

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

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

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

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Operating Officer

32.04 Section 1350 Certification of Chief Financial Officer

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF XBRL Taxonomy Extension Definition Linkbase Document


PART 1. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS

Global Macro Trust
Financial statements
For the three and six months ended June 30, 2022 and 2021 (unaudited)

Statements of Financial Condition (a)						1
Condensed Schedules of Investments (a)						2
Statements of Operations (b)						6
Statements of Changes in Trust Capital (c)						8
Statements of Financial Highlights (b)						10
Notes to the Financial Statements						12

(a) At June 30, 2022 (unaudited) and December 31, 2021
(b) For the three and six months ended June 30, 2022 and 2021 (unaudited)
(c) For the six months ended June 30, 2022 and 2021 (unaudited)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2021
U.S. TREASURY NOTES

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

$	30,900,000	U.S. Treasury notes, 2.500%, 02/15/2022	30.34	%	$	30,989,321
	37,910,000	U.S. Treasury notes, 2.375%, 03/15/2022	37.29			38,086,222
	22,120,000	U.S. Treasury notes, 1.750%, 05/15/2022	21.79			22,249,609
		Total investments in U.S. Treasury notes
		(amortized cost $91,344,249)	89.42	%	$	91,325,152

See notes to financial statements (unaudited)						(Concluded)


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

Futures contracts:
Currencies	$	1,155	$	(1,120)	$	5,880	$	(7,331)	$	(1,416)
Energies		36,902		(51,060)		638,089		(1,125)		622,806
Grains		-		-		650,147		(68,797)		581,350
Interest rates		1,652,001		(3,086)		796		(2,357)		1,647,354
Livestock		10		(5,310)		20		(70)		(5,350)
Metals		297		(1,049,421)		1,630,203		(6,394)		574,685
Softs		3,863		(5,840)		86,861		(26,877)		58,007
Stock indices		82		(55,131)		673,609		(122,290)		496,270

Total futures contracts		1,694,310		(1,170,968)		3,685,605		(235,241)		3,973,706

Forward currency contracts		491,715		(1,946,750)		2,565,087		(1,147,066)		(37,014)

Total futures and
forward currency contracts	$	2,186,025	$	(3,117,718)	$	6,250,692	$	(1,382,307)	$	3,936,692


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

Futures contracts:
Currencies	$	3,294	$	-	$	3,681	$	(3,075)	$	3,900
Energies		529,921		(106,786)		90,530		(32,806)		480,859
Grains		76,010		(65,895)		57,113		(49,068)		18,160
Interest rates		170,435		(983,413)		48,422		(4,827)		(769,383)
Livestock		-		(4,720)		4,510		(40)		(250)
Metals		1,079,527		(41,857)		21,586		(927,161)		132,095
Softs		5,945		(21,729)		17,898		(12,421)		(10,307)
Stock indices		397,424		(212,957)		155,690		(123,794)		216,363

Total futures contracts		2,262,556		(1,437,357)		399,430		(1,153,192)		71,437

Forward currency contracts		2,051,702		(590,106)		604,678		(2,395,656)		(329,382)

Total futures and
forward currency contracts	$	4,314,258	$	(2,027,463)	$	1,004,108	$	(3,548,848)	$	(257,945)


		Three months ended:		Three months ended:		Six months ended:		Six months ended:
Sector		June 30, 2022		June 30, 2021		June 30, 2022		June 30, 2021

Futures contracts:
Currencies	$	307,478	$	-	$	373,811	$	-
Energies		3,755,744		3,256,178		10,511,484		4,257,308
Grains		879,443		(646,377)		482,708		297,143
Interest rates		(4,567,705)		3,159,842		(4,432,270)		255,219
Livestock		47,500		11,990		39,940		(93,240)
Metals		1,501,834		1,417,430		(472,795)		1,155,434
Softs		42,606		(538,208)		193,789		(485,945)
Stock indices		4,868,817		3,578,389		5,962,351		9,913,631

Total futures contracts		6,835,717		10,239,244		12,659,018		15,299,550

Forward currency contracts		2,832,853		(1,187,055)		3,872,744		(2,205,498)

Total futures and forward currency contracts	$	9,668,570	$	9,052,189	$	16,531,762	$	13,094,052


		Gross amounts of ‎recognized assets		Gross amounts offset in ‎the Statements of Financial ‎Condition		Net amounts of assets ‎presented in the Statements ‎of Financial Condition
Assets
Futures contracts
Counterparty C	$	1,277,235	$	(175,364)	$	1,101,871
Counterparty J		331,227		(35,388)		295,839
Counterparty L		3,771,453		(1,195,457)		2,575,996
Total futures contracts		5,379,915		(1,406,209)		3,973,706

Forward currency contracts
Counterparty K		1,681,969		(1,462,279)		219,690

Total assets	$	7,061,884	$	(2,868,488)	$	4,193,396
						(Continued)

		Gross amounts of ‎recognized liabilities		Gross amounts offset in ‎the Statements of Financial ‎Condition		Net amounts of liabilities ‎presented in the Statements ‎of Financial Condition
Liabilities
Forward currency contracts
Counterparty G		1,631,537		(1,374,833)		256,704

Total liabilities	$	1,631,537	$	(1,374,833)	$	256,704
						(Concluded)


Date: August 12, 2022
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)


		2022				2021
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Currencies	$	745,732	$	3,509,463	$	-	$	-
Energies		11,766,759		3,176,126		18,833,869		1,135,156
Grains		5,888,332		5,417,868		7,741,202		6,395,300
Interest rates		117,768,928		32,681,999		286,931,795		17,390,117
Livestock		491,393		464,427		261,813		447,443
Metals		6,917,231		5,250,309		18,042,049		226,335
Softs		2,097,076		1,838,182		1,212,217		1,707,823
Stock indices		34,861,115		35,065,371		68,691,055		12,519,320

Total futures
contracts		180,536,566		87,403,745		401,714,000		39,821,494

Forward currency
contracts		25,491,908		46,286,441		55,685,723		28,432,199

Total average
notional	$	206,028,474	$	133,690,186	$	457,399,723	$	68,253,693