GLOBAL MACRO TRUST - FORM 10-Q

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EX-31.01 - EX-31.01 - GLOBAL MACRO TRUST	c765-20140930ex31016cb46.htm
EX-31.03 - EX-31.03 - GLOBAL MACRO TRUST	c765-20140930ex3103a3203.htm
EX-32.02 - EX-32.02 - GLOBAL MACRO TRUST	c765-20140930ex3202121bd.htm
EX-31.02 - EX-31.02 - GLOBAL MACRO TRUST	c765-20140930ex3102ef52e.htm
EX-32.03 - EX-32.03 - GLOBAL MACRO TRUST	c765-20140930ex32036dbc1.htm
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EX-32.01 - EX-32.01 - GLOBAL MACRO TRUST	c765-20140930ex3201b0079.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the Quarterly Period Ended: September 30, 2014


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

Commission File Number: 000-50102

GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)


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

c/o MILLBURN RIDGEFIELD CORPORATION

411 West Putnam Avenue

Greenwich, Connecticut 06830

(Address of principal executive offices) (Zip code)

Registrant's telephone number, including area code: (203) 625-7554

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

Yes ☒ No ◻

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

Yes ☒ No ◻

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


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

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

Yes ◻ No ☒


PART 1. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS

Global Macro Trust
Financial statements
For the three and nine months ended September 30, 2014 and 2013 (unaudited)

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

(a) At September 30, 2014 and December 31, 2013 (unaudited)
(b) For the three and nine months ended September 30, 2014 and 2013 (unaudited)
(c) For the nine months ended September 30, 2014 and 2013 (unaudited)


Global Macro Trust
Statements of Financial Condition (UNAUDITED)


		September 30, 2014		December 31, 2013
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $49,158,659 and $71,463,383)	$	49,176,141	$	71,472,453
Net unrealized appreciation on open futures and
forward currency contracts		2,372,884		7,842,259
Due from brokers		3,000,323		4,384,023
Cash denominated in foreign currencies (cost $8,400,031
and $8,299,507)		8,249,741		8,309,276
Total equity in trading accounts		62,799,089		92,008,011

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $169,364,690 and $205,231,935)		169,416,137		205,256,695
CASH AND CASH EQUIVALENTS		19,374,844		8,447,500
ACCRUED INTEREST RECEIVABLE		92,100		622,175
TOTAL	$	251,682,170	$	306,334,381

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	100,000	$	641,973
Net unrealized depreciation on open futures and forward currency contracts		153,662		544,585
Due to Managing Owner		115,445		536
Accrued brokerage and custodial fees		1,191,008		1,444,229
Accrued management fees		30,383		37,971
Redemptions payable to Unitholders		3,789,336		10,798,213
Accrued expenses		233,940		242,308
Due to brokers		2,796,523		4,386,837
Total liabilities		8,410,297		18,096,652


TRUST CAPITAL:
Managing Owner interest (5,599.212 and 7,168.282 units outstanding)		5,858,861		6,833,096
Series 1 Unitholders (206,669.354 and 269,666.902 units outstanding)		216,253,307		257,057,401
Series 2 Unitholders (39.121 and 139.796 units outstanding)		49,474		156,016
Series 3 Unitholders (14,107.110 and 19,432.989 units outstanding)		18,037,221		21,885,706
Series 4 Unitholders (2,205.124 and 1,906.624 units outstanding)		3,073,010		2,305,510
Total trust capital		243,271,873		288,237,729

TOTAL	$	251,682,170	$	306,334,381

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,046.37	$	953.24
Series 2 Unitholders	$	1,264.64	$	1,116.03
Series 3 Unitholders	$	1,278.59	$	1,126.21
Series 4 Unitholders	$	1,393.58	$	1,209.21

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
September 30, 2014

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	(0.00)	%	$	(7,509)
Interest rates
U.S. Treasury Bonds (402 contracts, settlement date December 2014)	0.07			175,875
Other interest rates	0.51			1,248,240
Total interest rates	0.58			1,424,115

Livestock	0.03			64,260
Metals	(0.31)			(758,273)
Softs	0.04			97,908
Stock indices	(1.49)			(3,634,046)
Total long futures contracts	(1.15)			(2,813,545)

Short futures contracts:
Energies	0.62			1,517,969
Grains	0.62			1,516,986
Livestock	0.00			1,360
Metals	0.33			812,863
Softs	0.10			232,242
Stock indices	(0.07)			(182,040)
Total short futures contracts	1.60			3,899,380
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.45			1,085,835

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(2.65)			(6,441,748)
Total short forward currency contracts	3.11			7,575,135
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.46			1,133,387

TOTAL	0.91	%	$	2,219,222

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
September 30, 2014
U.S. TREASURY NOTES

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

$	68,100,000	U.S. Treasury notes, 0.375%, 03/15/2015	28.04	%	$	68,203,746
	50,710,000	U.S. Treasury notes, 0.250%, 05/15/2015	20.87			50,771,406
	52,260,000	U.S. Treasury notes, 0.250%, 07/15/2015	21.51			52,333,490
	47,220,000	U.S. Treasury notes, 0.250%, 09/15/2015	19.44			47,283,636
		Total investments in U.S. Treasury notes
		(amortized cost $218,523,349)	89.86	%	$	218,592,278

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2013

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	(0.06)	%	$	(175,907)
Grains	(0.30)			(852,934)
Interest rates	(0.80)			(2,295,130)
Livestock	0.02			51,710
Metals	1.33			3,829,439
Softs	(0.02)			(70,129)
Stock indices	2.58			7,439,892
Total long futures contracts	2.75			7,926,941
Short futures contracts:
Energies	(0.05)			(146,735)
Grains	0.24			687,063
Interest rates
5 Year U.S. Treasury Note (-610 contracts, settlement date March 2014)	0.00			10,508
10 Year U.S. Treasury Note (-108 contracts, settlement date March 2014)	0.00			14,063
Other interest rates	(0.04)			(139,609)
Total interest rates	(0.04)			(115,038)

Livestock	(0.01)			(18,670)
Metals	(0.46)			(1,340,658)
Softs	0.03			98,528
Stock indices	0.05			153,580
Total short futures contracts	(0.24)			(681,930)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	2.51			7,245,011
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.09)			(269,086)
Total short forward currency contracts	0.11			321,749
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.02			52,663

TOTAL	2.53	%	$	7,297,674

				(Continued)

Global Macro Trust
Condensed Schedule of Investments
December 31, 2013
U.S. TREASURY NOTES

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

$	74,100,000	U.S. Treasury notes, 1.250%, 03/15/2014	25.77	%	$	74,276,567
	50,710,000	U.S. Treasury notes, 1.000%, 05/15/2014	17.65			50,881,344
	78,060,000	U.S. Treasury notes, 0.625%, 07/15/2014	27.16			78,282,593
	73,220,000	U.S. Treasury notes, 0.250%, 09/15/2014	25.43			73,288,644
		Total investments in U.S. Treasury notes
		(amortized cost $276,695,318)	96.01	%	$	276,729,148

See notes to financial statements						(Concluded)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the three months ended
		September 30, 2014		September 30, 2013
INVESTMENT INCOME:
Interest income	$	71,375	$	135,346

EXPENSES:
Brokerage and custodial fees		3,719,672		5,453,173
Administrative expenses		353,645		392,305
Custody fees and other expenses		14,743		19,909
Management fees		98,381		129,023
Total expenses		4,186,441		5,994,410

NET INVESTMENT LOSS		(4,115,066)		(5,859,064)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains on closed positions:
Futures and forward currency contracts		13,742,591		3,906,634
Foreign exchange translation		117,731		15,792
Net change in unrealized:
Futures and forward currency contracts		(5,448,615)		(5,742,282)
Foreign exchange translation		(151,755)		84,702
Net gains from U.S. Treasury notes:
Realized		108		1,120
Net change in unrealized		28,797		31,894
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		8,288,857		(1,702,140)


NET INCOME (LOSS)	$	4,173,791	$	(7,561,204)

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	15.44	$	(21.60)
Series 2 Unitholders	$	31.75	$	(13.28)
Series 3 Unitholders	$	32.88	$	(12.69)
Series 4 Unitholders	$	42.62	$	(7.58)

				(Continued)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the nine months ended
		September 30, 2014		September 30, 2013
INVESTMENT INCOME:
Interest income	$	224,690	$	534,772

EXPENSES:
Brokerage and custodial fees		11,802,765		19,111,133
Administrative expenses		1,077,989		1,255,614
Custody fees and other expenses		47,350		68,163
Management fees		312,006		457,197
Total expenses		13,240,110		20,892,107

NET INVESTMENT LOSS		(13,015,420)		(20,357,335)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		43,609,724		(16,499,492)
Foreign exchange translation		71,870		(380,621)
Net change in unrealized:
Futures and forward currency contracts		(5,078,452)		(5,989,510)
Foreign exchange translation		(160,059)		88,714
Net gains (losses) from U.S. Treasury notes:
Realized		7,945		16,859
Net change in unrealized		35,099		(1,086)
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		38,486,127		(22,765,136)


NET INCOME (LOSS)	$	25,470,707	$	(43,122,471)

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	93.13	$	(114.19)
Series 2 Unitholders	$	148.61	$	(94.14)
Series 3 Unitholders	$	152.38	$	(92.68)
Series 4 Unitholders	$	184.37	$	(79.92)

See notes to financial statements (unaudited)				(Concluded)


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

For the nine months ended September 30, 2014:

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

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

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

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


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

For the nine months ended September 30, 2013:

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

Trust capital at
January 1, 2013	$	428,867,469	404,080.828	$	289,447	242.952	$	33,520,653	27,951.367	$	1,669,445	1,322.742	$	9,313,020	8,774.775	$	473,660,034
Subscriptions		3,504,400	3,384.525		-	-		4,651,514	4,042.612		729,175	575.425		-	-		8,885,089
Redemptions		(96,582,932)	(95,828.414)		(100,110)	(84.624)		(12,216,396)	(10,650.340)		(7,136)	(5.998)		(600,000)	(621.189)		(109,506,574)
Addt'l units allocated *		-	625.059		-	-		-	-		-	-		-	428.566		-
Net loss		(40,030,229)	-		(15,613)	-		(2,337,604)	-		(154,590)	-		(584,435)	-		(43,122,471)
Trust capital at
September 30, 2013	$	295,758,708	312,261.998	$	173,724	158.328	$	23,618,167	21,343.639	$	2,236,894	1,892.169	$	8,128,585	8,582.152	$	329,916,078

Net asset value per unit outstanding
at September 30, 2013:	$	947.15		$	1,097.24		$	1,106.57		$	1,182.19

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

See notes to financial statements (unaudited)																	(Concluded)


Global Macro Trust
Statements of Financial Highlights (UNAUDITED)


For the three months ended September 30:	2014									2013
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

Net income (loss) from operations:
Net investment loss		$ (18.42)		$ (9.36)		$ (8.94)		$ (2.95)			$ (16.93)		$ (8.49)		$ (7.80)		$ (2.33)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		33.75		41.02		41.69		45.40			(4.75)		(4.87)		(4.98)		(5.36)
Net gains from U.S. Treasury obligations		0.11		0.09		0.13		0.17			0.08		0.08		0.09		0.11
Profit share allocated to Managing Owner		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
Net income (loss) per unit		$ 15.44		$ 31.75		$ 32.88		$ 42.62			$ (21.60)		$ (13.28)		$ (12.69)		$ (7.58)

Net asset value per unit, beginning of period		1,030.93		1,232.89		1,245.71		1,350.96			968.75		1,110.52		1,119.26		1,189.77

Net asset value per unit, end of period		$ 1,046.37		$ 1,264.64		$ 1,278.59		$ 1,393.58			$ 947.15		$ 1,097.24		$ 1,106.57		$ 1,182.19


Total return and ratios for the three months ended September 30:		2014									2013
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(7.14)	%	(3.11)	%	(2.86)	%	(0.86)	%		(7.06)	%	(3.05)	%	(2.79)	%	(0.79)	%

Total expenses (a)		7.25	%	3.23	%	2.97	%	0.97	%		7.21	%	3.20	%	2.94	%	0.94	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.25	%	3.23	%	2.97	%	0.97	%		7.21	%	3.20	%	2.94	%	0.94	%

Total return before profit share allocation (b)		1.50	%	2.58	%	2.64	%	3.15	%		(2.23)	%	(1.20)	%	(1.13)	%	(0.64)	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		1.50	%	2.58	%	2.64	%	3.15	%		(2.23)	%	(1.20)	%	(1.13)	%	(0.64)	%

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


Global Macro Trust
Statements of Financial Highlights (UNAUDITED)


For the nine months ended September 30:	2014									2013
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

Net income (loss) from operations:
Net investment loss		$ (53.41)		$ (27.18)		$ (25.59)		$ (8.26)			$ (53.60)		$ (26.39)		$ (24.30)		$ (7.11)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		146.38		175.63		177.78		192.40			(60.63)		(67.81)		(68.42)		(72.85)
Net gains from U.S. Treasury obligations		0.16		0.16		0.19		0.23			0.04		0.06		0.04		0.04
Profit share allocated to Managing Owner		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
Net income (loss) per unit		$ 93.13		$ 148.61		$ 152.38		$ 184.37			$ (114.19)		$ (94.14)		$ (92.68)		$ (79.92)

Net asset value per unit, beginning of period		953.24		1,116.03		1,126.21		1,209.21			1,061.34		1,191.38		1,199.25		1,262.11

Net asset value per unit, end of period		$ 1,046.37		$ 1,264.64		$ 1,278.59		$ 1,393.58			$ 947.15		$ 1,097.24		$ 1,106.57		$ 1,182.19


Total return and ratios for the nine months ended September 30:		2014									2013
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(7.15)	%	(3.10)	%	(2.85)	%	(0.85)	%		(7.01)	%	(3.01)	%	(2.76)	%	(0.77)	%

Total expenses (a)		7.26	%	3.21	%	2.96	%	0.96	%		7.18	%	3.18	%	2.93	%	0.94	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.26	%	3.21	%	2.96	%	0.96	%		7.18	%	3.18	%	2.93	%	0.94	%

Total return before profit share allocation (b)		9.77	%	13.32	%	13.53	%	15.25	%		(10.76)	%	(7.90)	%	(7.73)	%	(6.33)	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		9.77	%	13.32	%	13.53	%	15.25	%		(10.76)	%	(7.90)	%	(7.73)	%	(6.33)	%

(a) annualized
(b) not annualized

See notes to financial statements (unaudited)																	(Concluded)

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying unaudited financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Global Macro Trust’s (the “Trust”) financial condition at September 30, 2014 and December 31, 2013 (unaudited) and the results of its operations for the three and nine months ended September 30, 2014 and 2013 (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, 2013. The December 31, 2013 information has been derived from the audited financial statements as of December 31, 2013.

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 2, Series 3 and Series 4 Units. The only Units offered prior to such date were the Series 1 Units.

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

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

The Income Taxes topic of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2010 to 2013, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required.

There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2013.

2. FAIR VALUE

The Fair Value Measurements and Disclosures topic of the Codification defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. The three levels of the fair value hierarchy are described below:

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

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

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

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

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

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

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated forward point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

During the three and nine months ended September 30, 2014 and 2013, there were no transfers of assets or liabilities between Level 1 and Level 2. The following tables represent the Trust’s investments by hierarchical level as of September 30, 2014 and December 31, 2013 in valuing the Trust’s investments at fair value. At September 30, 2014 and December 31, 2013, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of September 30, 2014


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	218,592,278	$	-	$	218,592,278
Short-term money market fund*		19,329,174		-		19,329,174
Exchange-traded futures contracts
Energies		1,510,460		-		1,510,460
Grains		1,516,986		-		1,516,986
Interest rates		1,424,115		-		1,424,115
Livestock		65,620		-		65,620
Metals		54,590		-		54,590
Softs		330,150		-		330,150
Stock indices		(3,816,086)		-		(3,816,086)

Total exchange-traded futures contracts		1,085,835		-		1,085,835

Over-the-counter forward currency contracts		-		1,133,387		1,133,387

Total futures and forward currency contracts (2)		1,085,835		1,133,387		2,219,222

Total financial assets at fair value	$	239,007,287	$	1,133,387	$	240,140,674

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts (as collateral)					$	49,176,141
Investments in U.S. Treasury notes						169,416,137
Total investments in U.S. Treasury notes					$	218,592,278

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	2,372,884
Net unrealized depreciation on open futures and forward currency contracts						(153,662)
Total unrealized appreciation on open futures and forward currency contracts					$	2,219,222

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

Financial Assets and Liabilities at Fair Value as of December 31, 2013


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	276,729,148	$	-	$	276,729,148
Short-term money market fund*		8,281,834		-		8,281,834
Exchange-traded futures contracts
Energies		(322,642)		-		(322,642)
Grains		(165,871)		-		(165,871)
Interest rates		(2,410,168)		-		(2,410,168)
Livestock		33,040		-		33,040
Metals		2,488,781		-		2,488,781
Softs		28,399		-		28,399
Stock indices		7,593,472		-		7,593,472

Total exchange-traded futures contracts		7,245,011		-		7,245,011

Over-the-counter forward currency contracts		-		52,663		52,663

Total futures and forward currency contracts (2)		7,245,011		52,663		7,297,674

Total financial assets at fair value	$	292,255,993	$	52,663	$	292,308,656

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts (as collateral)					$	71,472,453
Investments in U.S. Treasury notes						205,256,695
Total investments in U.S. Treasury notes					$	276,729,148

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	7,842,259
Net unrealized depreciation on open futures and forward currency contracts						(544,585)
Total unrealized appreciation on open futures and forward currency contracts					$	7,297,674

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

3. DERIVATIVE INSTRUMENTS

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

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

The Trust engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Trust at September 30, 2014, by market sector:

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

Currencies – Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are influenced by interest rate changes, as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

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

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

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

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

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

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

See “Item 3. Quantitative and Qualitative Disclosures About Market Risk” for additional derivative-related information.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2014 and December 31, 2013. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

Fair Value of Futures and Forward Currency Contracts at September 30, 2014


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

Futures contracts:
Energies	$	-	$	(7,509)	$	1,740,549	$	(222,580)	$	1,510,460
Grains		-		-		1,525,230		(8,244)		1,516,986
Interest rates		2,806,710		(1,382,595)		-		-		1,424,115
Livestock		64,800		(540)		1,360		-		65,620
Metals		143,466		(901,739)		828,493		(15,630)		54,590
Softs		105,843		(7,935)		239,516		(7,274)		330,150
Stock indices		565,106		(4,199,152)		-		(182,040)		(3,816,086)

Total futures contracts		3,685,925		(6,499,470)		4,335,148		(435,768)		1,085,835

Forward currency contracts		125,410		(6,567,158)		8,076,292		(501,157)		1,133,387

Total futures and
forward currency contracts	$	3,811,335	$	(13,066,628)	$	12,411,440	$	(936,925)	$	2,219,222

Fair Value of Futures and Forward Currency Contracts at December 31, 2013


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

Futures contracts:
Energies	$	388,742	$	(564,649)	$	141,550	$	(288,285)	$	(322,642)
Grains		11,122		(864,056)		699,110		(12,047)		(165,871)
Interest rates		353,905		(2,649,035)		113,396		(228,434)		(2,410,168)
Livestock		55,840		(4,130)		6,860		(25,530)		33,040
Metals		4,158,465		(329,026)		153,641		(1,494,299)		2,488,781
Softs		15,020		(85,149)		129,991		(31,463)		28,399
Stock indices		7,480,395		(40,503)		179,079		(25,499)		7,593,472

Total futures contracts		12,463,489		(4,536,548)		1,423,627		(2,105,557)		7,245,011

Forward currency contracts		2,348,138		(2,617,224)		937,404		(615,655)		52,663

Total futures and
forward currency contracts	$	14,811,627	$	(7,153,772)	$	2,361,031	$	(2,721,212)	$	7,297,674

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and nine months ended September 30, 2014 and 2013 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below:

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2014 and 2013


		Three months ended:		Three months ended:		Nine months ended:		Nine months ended:
Sector		September 30, 2014		September 30, 2013		September 30, 2014		September 30, 2013

Futures contracts:
Energies	$	625,765	$	(440,328)	$	3,021,163	$	(7,572,073)
Grains		4,951,308		1,955,826		5,621,524		2,498,567
Interest rates		6,615,418		(2,573,875)		25,113,367		(25,726,335)
Livestock		11,400		144,510		913,300		164,050
Metals		1,062,941		(8,036,661)		(2,460,805)		(3,282,507)
Softs		1,734,085		(117,442)		2,076,704		1,632,830
Stock indices		(4,379,183)		7,343,582		2,243,743		25,016,290

Total futures contracts		10,621,734		(1,724,388)		36,528,996		(7,269,178)

Forward currency contracts		(2,327,758)		(111,260)		2,002,276		(15,219,824)

Total futures and forward currency contracts	$	8,293,976	$	(1,835,648)	$	38,531,272	$	(22,489,002)

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the nine months ended September 30, 2014 and 2013. The Trust’s average net asset value for the nine months ended September 30, 2014 and 2013 was approximately $264,000,000 and $416,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the nine months ended September 30, 2014 and 2013


		2014				2013
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	73,132,675	$	39,900,141	$	63,529,750	$	53,258,223
Grains		21,860,990		21,673,759		24,754,523		29,969,293
Interest rates		760,064,480		30,823,739		824,759,772		92,948,531
Livestock		7,139,505		3,173,938		2,564,448		8,385,630
Metals		38,906,383		14,900,085		21,890,990		45,427,594
Softs		7,052,058		7,285,994		9,812,430		19,854,411
Stock indices		295,649,104		2,747,451		410,900,962		4,625,034

Total futures
contracts		1,203,805,195		120,505,107		1,358,212,875		254,468,716

Forward currency
contracts		274,943,800		58,744,449		412,254,692		167,715,301

Total average
notional	$	1,478,748,995	$	179,249,556	$	1,770,467,567	$	422,184,017

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at September 30, 2014 and 2013. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.

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

On January 1, 2013, the Trust adopted Accounting Standard Update (“ASU”) 2011-11, “Disclosures about Offsetting Assets and Liabilities” and ASU 2013-01, “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities.” ASU 2011-11 created a new disclosure requirement about the nature of an entity’s rights of setoff and the related arrangements associated with its financial instruments and derivative instruments, while ASU 2013-01 clarified the types of instruments and transactions that are subject to the offsetting disclosure requirements established by ASU 2011-11. Entities are required to disclose both gross information and net information about both instruments and transactions eligible for offset in the Statement of Financial Position and instruments and transactions subject to an agreement similar to a master netting arrangement. The objective of these disclosures is to facilitate comparison between those entities that prepare their financial statements on the basis of U.S. GAAP and those entities that prepare their financial statements on the basis of International Financial Reporting Standards. The new guidance did not have a significant impact on the Trust’s financial statements.

Effective January 1, 2014, the Trust adopted ASU 2013-08, “Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.” ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. ASU 2013-08 is effective for interim and annual reporting periods beginning after December 15, 2013. The adoption of this ASU did not have a material impact on the Trust’s financial statements. Based on management’s assessment, the Trust has been deemed to be an investment company since inception. It has all of the fundamental characteristics of an investment company. Although the Trust does not possess all of the typical characteristics of an investment company, its activities are consistent with those of an investment company.

Offsetting of derivative assets and liabilities at September 30, 2014


		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty C	$	3,415,686	$	(3,250,086)	$	165,600
Counterparty D		4,605,387		(3,685,152)		920,235
Total futures contracts		8,021,073		(6,935,238)		1,085,835

Forward currency contracts
Counterparty H		6,536,127		(5,249,078)		1,287,049
Total forward currency contracts		6,536,127		(5,249,078)		1,287,049

Total assets	$	14,557,200	$	(12,184,316)	$	2,372,884

		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty F		1,488,827		(1,431,909)		56,918
Counterparty G	$	330,410	$	(233,666)	$	96,744

Total liabilities	$	1,819,237	$	(1,665,575)	$	153,662


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

Counterparty C	$	165,600	$	-	$	(165,600)	$	-
Counterparty D		920,235		-		(920,235)		-
Counterparty H		1,287,049		-		(1,287,049)		-

Total	$	2,372,884	$	-	$	(2,372,884)	$	-

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

Counterparty F	$	56,918	$	-	$	(56,918)	$	-
Counterparty G	$	96,744	$	-	$	(96,744)	$	-

Total	$	153,662	$	-	$	(153,662)	$	-

(1) Collateral received and pledged includes both cash and U.S. Treasury notes held at each respective broker.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in
the Statement of Financial Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of
September 30, 2014.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of September 30,
2014.

Offsetting of derivative assets and liabilities at December 31, 2013


		Gross amounts of recognized assets		Gross amounts offset in the Statement of Financial Condition		Net amounts of assets presented in the Statement of Financial Condition
Assets
Futures contracts
Counterparty A	$	3,555,891	$	(1,239,418)	$	2,316,473
Counterparty C		6,832,140		(3,220,492)		3,611,648
Counterparty D		3,499,085		(2,182,195)		1,316,890
Total futures contracts		13,887,116		(6,642,105)		7,245,011

Forward currency contracts
Counterparty F		1,074,713		(695,295)		379,418
Counterparty G		487,686		(269,856)		217,830
Total forward currency contracts		1,562,399		(965,151)		597,248

Total assets	$	15,449,515	$	(7,607,256)	$	7,842,259


		Gross amounts of recognized liabilities		Gross amounts offset in the Statement of Financial Condition		Net amounts of liabilities presented in the Statement of Financial Condition
Liabilities
Forward currency contracts
Counterparty H	$	2,267,728	$	(1,723,143)	$	544,585

Total liabilities	$	2,267,728	$	(1,723,143)	$	544,585


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

Counterparty A	$	2,316,473	$	-	$	(2,316,473)	$	-
Counterparty C		3,611,648		-		(3,611,648)		-
Counterparty D		1,316,890		-		(1,316,890)		-
Counterparty F		379,418		-		(379,418)		-
Counterparty G		217,830		-		(217,830)		-

Total	$	7,842,259	$	-	$	(7,842,259)	$	-

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

Counterparty H	$	544,585	$	-	$	(544,585)	$	-

Total	$	544,585	$	-	$	(544,585)	$	-

(1) Collateral received and pledged includes both cash and U.S. Treasury notes held at each respective broker.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in
the Statement of Financial Condition, for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of
December 31, 2013.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31,
2013.

CONCENTRATION OF CREDIT RISK

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

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

A significant portion of the Trust’s forward currency trading activities are cleared by Barclays Bank PLC (“BB”), Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Trust’s concentration of credit risk associated with BB, DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by BB, DB and MS. The amount of such credit risk was $18,215,682 and $24,711,870 at September 30, 2014 and December 31, 2013, respectively.

4. PROFIT SHARE

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”). No profit share was earned or accrued during the three and nine months ended September 30, 2014 or 2013.

5. RELATED PARTY TRANSACTIONS

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Trust's Prospectus), as well as extraordinary costs. At September 30, 2014 and December 31, 2013, the Managing Owner is owed $115,445 and $536, respectively, from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the Statements of Financial Condition).

Series 1 Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. There was no redemption charge payable at September 30, 2014 or December 31, 2013.

6. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series 1, Series 2, Series 3 and Series 4 Units is calculated based on Unitholders’ Trust capital for each Series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for each Series is detailed below:


	Three months ended September 30,		Nine months ended September 30,		Date of first issuance
	2014	2013	2014	2013

Series 1	213,880.956	337,298.848	234,187.443	366,845.459	July 23, 2001
Series 2	39.111	165.734	82.295	199.859	April 1, 2010
Series 3	15,568.745	23,105.333	17,253.798	25,741.584	September 1, 2009
Series 4	2,200.654	1,882.804	2,193.473	1,847.096	November 1, 2010

7. BROKERAGE AND CUSTODIAL FEES

For the three and nine months ended September 30, 2014 and 2013, brokerage and custodial fees were as follows:


	Three months ending September 30,		Nine months ending September 30,
	2014	2013	2014	2013

Brokerage fees	$ 3,719,641	$ 5,453,059	$ 11,802,584	$ 19,110,694
Custodial fees	31	114	181	439

Total	$ 3,719,672	$ 5,453,173	$ 11,802,765	$ 19,111,133

During the three and nine months ended September 30, 2014 and 2013, amounts paid to selling agents on Series 1 units sold subsequent to August 12, 2009 exceeded 9.5% of the gross offering proceeds of the Series 1 Units sold. As a result, the amounts that otherwise would be paid to selling agents for that Series 1 Unit were instead rebated to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for the three and nine months ended September 30, 2014 were $90,008 and $224,464, respectively. The total amounts rebated to the Trust for the three and nine months ended September 30, 2013 were $43,191 and $98,027, respectively. These rebates were included in “Brokerage and custodial fees” in the Statements of Operations.

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

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

OPERATIONAL OVERVIEW

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

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

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

The Managing Owner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market; and (5) changing the equity utilized for trading by an account solely on a controlled periodic basis not automatically due to an increase in equity from trading profits. 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 nine months ended September 30, 2014, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

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

RESULTS OF OPERATIONS

Due to the nature of the Trust’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.

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


Periods ended September 30, 2014

Month Ending:				Total Trust Capital

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


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

THREE MONTHS ENDED SEPTEMBER 30, 2014

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

Brokerage and custodial fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the three months ended September 30, 2014 decreased $1,733,501 relative to the corresponding period in 2013 due to a decrease in the Trust’s net assets.

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

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2014 decreased $63,971 relative to the corresponding period in 2013. This decrease was due predominantly to a decrease in average net assets during the three months ended September 30, 2014.

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


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

Trading gain	3.41	%

NINE MONTHS ENDED SEPTEMBER 30, 2014

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

Brokerage and custodial fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the nine months ended September 30, 2014 decreased $7,308,368 relative to the corresponding period in 2013 due to a decrease in the Trust’s net assets.

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

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2014 decreased $310,082 relative to the corresponding period in 2013. This decrease was due predominantly to a decrease in average net assets during the nine months ended September 30, 2014.

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


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

Trading gain	16.02	%

MANAGEMENT DISCUSSION – 2014

Three months ended September 30, 2014

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

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

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

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

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

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

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

Entering the quarter, the Trust was short the U.S. dollar versus a number of currencies that had higher interest rates and/or apparently better growth prospects. As it became evident that U.S economic activity was accelerating and that the U.S. Federal Reserve was moving toward tighter policy, the U.S. dollar started to climb and losses were sustained during July and into August. Thereafter, long U.S. dollar trades produced somewhat offsetting profits. Short U.S. dollar trades against New Zealand, Canada, Switzerland, Korea, Brazil, Mexico, India and Singapore registered losses. The fact that New Zealand officials suggested that the rise in the New Zealand dollar was “unjustified and unsustainable”; that the Reserve Bank of Australia claimed that the Australian dollar was “overvalued”; that the Reserve Bank of India intervened to buy U.S. dollars; and that the IMF suggested that the pound sterling was “overvalued” added to the U.S. dollar’s advance. Heightened political tensions worldwide also underpinned the U.S. currency. Consequently, long U.S. dollar positions against the euro, Swedish krona, Czech koruna, Chilean peso, and Japanese yen were profitable. A long British pound trade was profitable in the wake of the Scottish independence “No” vote. Non-U.S. dollar cross rate trading was marginally profitable, largely due to a few short euro trades early in the quarter.

Three months ended June 30, 2014

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

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

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

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

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

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

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

Three months ended March 31, 2014

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

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

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

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

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

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

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

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


Periods ended September 30, 2013

Month Ending:				Total Trust Capital

September 30, 2013			$	329,916,078
June 30, 2013				377,025,133
December 31, 2012				473,660,034


		Three Months ended		Nine Months Ended
Change in Trust Capital	$	(47,109,055)	$	(143,743,956)
Percent Change		(12.49)%		(30.35)%

THREE MONTHS ENDED SEPTEMBER 30, 2013

The decrease in the Trust’s net assets of $47,109,055 for the three months ended September 30, 2013 was attributable to redemptions of $42,449,545 and a net loss of $7,561,204 which was partially offset by subscriptions of $2,901,694.

Brokerage and custodial fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the three months ended September 30, 2013 decreased $3,471,093 relative to the corresponding period in 2012 due to a decrease in the Trust’s net assets.

Administrative expenses for the three months ended September 30, 2013 decreased $96,707 relative to the corresponding period in 2012. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended September 30, 2013 relative to the corresponding period in 2012.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2013 decreased $41,398 relative to the corresponding period in 2012. This decrease was due predominantly to a decrease in average net assets during the three months ended September 30, 2013.

The Trust experienced net realized and unrealized losses of $1,702,140 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $5,453,173, administrative expenses of $392,305, custody fees and other expenses of $19,909 and management fees of $129,023 were incurred. Interest income of $135,346 partially offset the Trust's expenses resulting in net loss of $7,561,204. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(0.00)	%
Energies	(0.16)	%
Grains	0.56	%
Interest rates	(0.72)	%
Livestock	0.04	%
Metals	(2.23)	%
Softs	(0.03)	%
Stock indices	2.02	%

Trading loss	(0.52)	%

NINE MONTHS ENDED SEPTEMBER 30, 2013

The decrease in the Trust’s net assets of $143,743,956 for the nine months ended September 30, 2013 was attributable to redemptions of $109,506,574 and a net loss of $43,122,471 which was partially offset by subscriptions of $8,885,089.

Brokerage and custodial fees are calculated on the net asset value on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the nine months ended September 30, 2013 decreased $11,104,089 relative to the corresponding period in 2012 due to a decrease in the Trust’s net assets.

Administrative expenses for the nine months ended September 30, 2013 decreased $274,322 relative to the corresponding period in 2012. The decrease was due mainly to a decrease in the Trust's net assets during the nine months ended September 30, 2013, relative to the corresponding period in 2012.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2013 decreased $121,293 relative to the corresponding period in 2012. This decrease was due predominantly to a decrease in average net assets during the nine months ended September 30, 2013.

The Trust experienced net realized and unrealized losses of $22,765,136 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $19,111,133, administrative expenses of $1,255,614, custody fees and other expenses of $68,163 and management fees of $457,197 were incurred. Interest income of $534,772 partially offset the Trust's expenses resulting in net loss of $43,122,471. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(3.44)	%
Energies	(1.78)	%
Grains	0.67	%
Interest rates	(5.96)	%
Livestock	0.03	%
Metals	(1.12)	%
Softs	0.33	%
Stock indices	5.51	%

Trading loss	(5.76)	%

MANAGEMENT DISCUSSION – 2013

Three months ended September 30, 2013

The Trust posted a small loss during the third quarter as gains from trading stock index and grain futures fell short of losses sustained from trading metals, energy and interest rates futures. Trading of currency forwards and soft and livestock futures were essentially flat for the period.

Market participants struggled to balance the impact of improving economic factors with the uncertainty surrounding monetary and fiscal policy in the U.S. and geopolitical risks emanating from the Middle East, especially Syria and Iran.

With the U.S. economy continuing to grow, Europe apparently emerging from recession and Chinese growth strengthening in the third quarter, equity markets generally advanced. Hence, long positions in U.S., European, Japanese, Australian and South African stock index futures were profitable. A short CBOE VIX trade was also profitable. On the other hand, short positions in Chinese, Korean and Hong Kong equity indices registered losses and were reversed.

Long soybean and soybean meal trades were profitable as Chinese demand increased and weather related factors dampened the supply outlook. A short soybean oil trade was profitable, as was a short corn trade that benefitted from an improved USDA forecast. A short wheat trade was unprofitable.

Metal prices rose on the better growth outlook and short positions in both precious and industrial metals generated losses.

Energy prices were volatile during the quarter due to the heightened then reduced tensions in the Middle East, and to the changing economic outlook. Losses from trading RBOB gasoline, London gas oil, heating oil and natural gas were fractionally larger than the gains from trading crude oil.

Interest rates were volatile as uncertainty about U.S. monetary policy ended in September with a surprise “no-taper” decision by the Federal Reserve. Long positions in short-term German, U.S. and Australian instruments and in the JGB were slightly profitable. However, trading of European, Australian and U.K. notes and bonds produced somewhat larger losses.

Currency trading was flat as the U.S. dollar weakened during the quarter apparently due to U.S. fiscal and monetary policy uncertainty. Short U.S. dollar trades versus the pound sterling, Swiss franc, Swedish krona, Korean won and New Zealand dollar and long U.S. dollar trades against the currencies of Brazil and India were profitable, as was a long Euro/short Turkish lira position. These gains were offset, however, by losses from long U.S. dollar positions against the currencies of Australia, Canada, Colombia, Japan, Norway, South Africa and Turkey.

Three months ended June 30, 2013

The Trust net asset value declined sharply as losses from trading financial futures, currency forwards, and, to a lesser extent, energy futures outdistanced the gains from trading metals and agricultural commodity futures.

Market dynamics shifted dramatically during the second quarter. Global markets were roiled by concerns about an earlier than expected Federal Reserve exit from its quantitative easing program and about slowing Chinese growth amid a credit squeeze sanctioned by the People’s Bank of China.

During the first four months of 2013, long interest rate futures positions had been profitable and, in fact, the low yield on the U.S. ten-year note for 2013 was hit on May 2 at 1.63%. Subsequently, however, testimony before Congress by Federal Reserve Chairman Bernanke and comments by several other Federal Reserve officials raised concerns that the quantitative easing policy might be ended or at least tapered off sooner than had previously been expected. In addition, favorable U.S. employment data and housing market statistics and several other solid economic reports pointed to continued U.S. growth. In response, yields on U.S. notes and bonds reversed abruptly and moved sharply higher. There was also a sympathetic move higher in yields on Canadian, European and Australian notes and bonds. Finally, in Japan, the aggressive monetary policy change announced in April seemed to trigger a shift of funds out of Japanese government bonds to equities domestically or to higher yielding investments offshore, which led to rising Japanese Government Bond yields. Sizable losses were suffered on long positions in U.S., German, British, Canadian, Australian and Japanese interest rate futures. By quarter-end, U.S., Australian, Canadian and British note and bond positions had been reversed to short positions, and German note and bond positions were mixed. Long positions in short-term interest rate futures for the U.S., Canada, Australia, Germany and the United Kingdom were also unprofitable, and were reduced or reversed.

Foreign exchange trading was unprofitable. The abrupt upward turn in U.S. interest rates also triggered an upturn in the U.S. dollar, and short U.S. dollar trades versus a number of currencies posted losses. A number of commodity currencies fell sharply after Chinese economic reports came in weaker than anticipated, further dampening the growth prospects of those countries. Thus short U.S. dollar trades against the currencies of New Zealand, Australia, Canada and Mexico generated losses and were reduced or reversed. Short U.S. dollar trades against Chile, Switzerland, Sweden, Poland and the Euro also were unprofitable and were reduced or reversed. Long Australian dollar trades versus the Euro, yen and pound sterling produced losses. Short Euro trades relative to the currencies of Poland, Sweden and Turkey produced losses as did trading the Swiss franc against the Norwegian krone. Meanwhile, long U.S. dollar trades against the Japanese yen, Indian rupee, Indonesian rupiah, Turkish lira and South African rand were profitable. On the other hand, long U.S. dollar trades relative to the British Pound Sterling, Czech koruna and Norwegian krone were unprofitable.

The threat of an early end to the liquidity from quantitative easing, higher interest rates and worries about slower Chinese growth prompted an equity selloff, leading to losses on long equity futures positions. Losses were widespread, including European, Asian, North American and South African indices. A short CBOE VIX trade was unprofitable as well. Long positions in Japanese indices were profitable.

Energy trading was unprofitable as small short positions in Brent crude oil, WTI crude oil, and RBOB gasoline registered marginal losses when prices drifted higher in the wake of increasing unrest in the Middle East. Trading of natural gas was unprofitable.

Short positions in gold, silver, aluminum, copper and nickel produced profits that far outdistanced losses from trading lead and zinc.

Trading of agricultural commodities was marginally profitable. Profits from short coffee, sugar soybean oil and cattle positions, and from a long soybean position marginally outweighed the losses from a long cotton trade and short corn and hog trades.

Three months ended March 31, 2013

The Trust produced a profit during the quarter predominantly due to gains from long equity positions. There was also a fractional gain from trading soft commodities. Currency trading was nearly flat. On the other hand, trading of interest rate, energy, metal and agricultural commodity futures generated losses.

During the quarter, market participants were encouraged by an improvement in U.S. economic conditions, by signs that China’s growth was recovering after having bottomed in the third quarter of 2012, by continued monetary ease worldwide, and by evidence that some grudging progress was being made on the banking and fiscal problems that have plagued developed economies in recent years. At times, however, this enthusiasm was dampened by a variety of factors including: ongoing debate about the future direction of monetary policies and quantitative easing; discussion about the efficacy of continued austerity in the developed world; the possible impact of the U.S. sequestration; talk of political scandals in Spain; labor unrest in Greece; the unexpected Italian election results; and the Cypriot crisis.

With U.S. manufacturing, housing and employment data remaining positive, long positions in U.S. equity futures were profitable as well as a short position in the VIX index. Long positions in Japanese equity futures were profitable in the wake of the Bank of Japan’s accommodative rhetoric. Long Swedish, German, Dutch, Australian, South African, Singaporean and Taiwanese equity index trades were also positive. On the other hand, long positions in Italian, Spanish, Chinese, Korean and Hong Kong equity futures produced partially offsetting losses.

Currency trading was mixed and essentially flat for the quarter. Long U.S. and Australian dollar trades against the Japanese yen were quite profitable as Japan’s leaders forged ahead with promises of monetary accommodation. Long Australian positions relative to British Pound Sterling and the Euro, and long U.S. dollar and Euro trades against the South African rand also posted gains. Finally, short Euro trades versus Romanian Leu, Swedish Krone and Turkish Lira, and short U.S. dollar trades versus Chilean and Mexican Peso and Israeli Shekel were profitable. On the other hand, short U.S. dollar trades versus the currencies of the United Kingdom, Canada, Colombia, South Korea, Singapore, Norway, Poland and Switzerland registered losses and were reduced as were short Euro trades against the currencies of Norway, Poland, Hungary and the Czech Republic.

In January when growth prospects brightened and risk aversion dissipated, interest rates rose and long positions in German, U.S., Australian, Canadian, British and French note and bond futures—which had been highly profitable for the last two years—produced losses and were reduced. In late February and March, increasing worry increased the purchase of government securities, and the long—though reduced—positions produced profits that fell short of earlier losses. For the quarter, long U.S. note and bond positions were profitable, as was a long JGB trade. On the other hand, trading of German, British, Canadian and Australian interest rate futures was unprofitable.

Trading of commodities was fractionally unprofitable. Among soft commodities, short positions in coffee and sugar were profitable due to the weight of abundant supplies on price. Also, a long cotton trade produced a gain. In grains, the losses from trading corn and the soybean complex outdistanced the gain from a short wheat position. Energy prices were volatile during the quarter and the losses from trading crude oil, heating oil and London gas oil were greater than the profits from a long RBOB gasoline position and from trading natural gas. In metals, profits from short copper and aluminum positions fell short of the losses from long gold, silver, platinum, zinc, lead and nickel trades.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot, option and swap contracts, both long (contracts to buy) and short (contacts to sell). The Trust may also engage in trading swaps. All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at September 30, 2014.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Value at Risk is a measure of the maximum amount which the Trust could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Trust's speculative trading and the recurrence in the markets traded by the Trust of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated value at risk or the Trust's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Trust's losses in any market sector will be limited to Value at Risk or by the Trust's attempts to manage its market risk.

Materiality, as used in this section "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of the Trust's market sensitive instruments.

Quantifying the Trust's Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Trust's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.

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

Exchange maintenance margin requirements have been used by the Trust as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed 95-99% of the maximum one-day losses in the fair value of any given contract incurred during the time period over which historical price fluctuations are researched for purposes of establishing margin levels. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation.

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

In quantifying the Trust’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that the Trust’s positions are rarely, if ever, 100% positively correlated have not been reflected.

The Trust's Trading Value at Risk in Different Market Sectors

The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for the quarter ended September 30, 2014. During the nine months ended September 30, 2014, the Trust's average total capitalization was approximately $264,000,000.


Sector		Average value at risk	% of Average Capitalization	High value at risk	Low value at risk
Currencies	$	13.4	5.1%	16.2	10.0
Energies		1.9	0.7%	2.2	1.6
Grains		1.3	0.5%	1.5	1.1
Interest rates		11.3	4.3%	11.7	11.1
Livestock		0.1	0.0%	0.2	0.1
Metals		2.8	1.1%	4.2	1.9
Softs		0.5	0.2%	0.5	0.4
Stock indices		14.6	5.5%	15.4	13.2
	$	45.9	17.4%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the nine months ended September 30, 2014. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the nine months ended September 30, 2014. Dollar amounts represent millions of dollars.

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

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

Non-Trading Risk

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

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

Qualitative Disclosures

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

ITEM 4. CONTROLS AND PROCEDURES

The Managing Owner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Trust as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the Managing Owner’s internal controls over financial reporting during the quarter ended September 30, 2014 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

There are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 27, 2014.

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

(a)

There have been no sales of unregistered securities of the Trust during the three months ended September 30, 2014

(c)

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

The following table summarizes the redemptions by Unitholders during the three months ended September 30, 2014.


	Series 1			Series 2			Series 3			Series 4
Date of Redemption	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit

July 31, 2014	4,562.322	$	1,016.67	-	$	1,220.19	468.283	$	1,233.13	-	$	1,339.55
August 31, 2014	3,668.150		1,043.56	-		1,256.90	1,804.078		1,270.50	-		1,382.45
September 30, 2014	3,507.019		1,046.37	-		1,264.64	88.016		1,278.59	5.138		1,393.58
Total	11,737.491			-			2,360.377			5.138

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

ITEM 6. EXHIBITS

The following exhibits are included herewith:

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

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

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

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Financial Officer

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF XBRL Taxonomy Extension Definition Linkbase Document

101.LAB XBRL Taxonomy Extension Label Linkbase Document

101.PRE XBRL Taxonomy Extension Presentation Linkbase Document

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


By:	Millburn Ridgefield Corporation,
	Managing Owner


Date: November 12, 2014
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - November 12, 2014

Attached files

GLOBAL MACRO TRUST Reports