GLOBAL MACRO TRUST - FORM 10-Q

Attached files

file	filename
EX-32.3 - EX-32.3 - GLOBAL MACRO TRUST	c765-20160630xex32_3.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUST	c765-20160630xex32_2.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUST	c765-20160630xex32_1.htm
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUST	c765-20160630xex31_3.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUST	c765-20160630xex31_2.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUST	c765-20160630xex31_1.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q


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

For the Quarterly Period Ended: June 30, 2016


	☐	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 six months ended June 30, 2016 and 2015 (unaudited)

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

(a) At June 30, 2016 and December 31, 2015 (unaudited)
(b) For the three and six months ended June 30, 2016 and 2015 (unaudited)
(c) For the six months ended June 30, 2016 and 2015 (unaudited)


Global Macro Trust
Statements of Financial Condition (UNAUDITED)


		June 30, 2016		December 31, 2015
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $29,667,908 and $36,557,560)	$	29,681,277	$	36,536,889
Net unrealized appreciation on open futures and
forward currency contracts		9,190,118		4,388,065
Due from brokers		7,381,825		7,458,565
Cash denominated in foreign currencies (cost $5,809,705
and $5,080,323)		5,725,751		5,003,029
Total equity in trading accounts		51,978,971		53,386,548

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $155,818,038 and $148,952,529)		155,896,629		148,800,124
CASH AND CASH EQUIVALENTS		23,563,217		11,740,322
ACCRUED INTEREST RECEIVABLE		413,145		295,838
TOTAL	$	231,851,962	$	214,222,832

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	1,389,600	$	572,663
Net unrealized depreciation on open futures and forward currency contracts		-		128,211
Due to Managing Owner		98,802		-
Accrued brokerage and custodial fees		1,081,707		1,030,173
Accrued management fees		39,026		32,662
Redemptions payable to Unitholders		1,957,627		2,561,637
Redemption payable to Managing Owner		-		828,683
Accrued expenses		71,367		222,847
Accrued profit share		646,010		-
Total liabilities		5,284,139		5,376,876


TRUST CAPITAL:
Managing Owner interest (5,091.198 and 4,917.000 units outstanding)		6,351,880		5,368,725
Series 1 Unitholders (154,133.804 and 164,988.926 units outstanding)		192,300,255		180,146,458
Series 2 Unitholders (6.799 and 39.121 units outstanding)		10,524		53,412
Series 3 Unitholders (14,466.795 and 13,929.871 units outstanding)		22,713,132		19,275,026
Series 4 Unitholders (2,795.024 and 2,541.689 units outstanding)		5,192,032		4,002,335
Total trust capital		226,567,823		208,845,956

TOTAL	$	231,851,962	$	214,222,832

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,247.62	$	1,091.87
Series 2 Unitholders	$	1,547.87	$	1,365.30
Series 3 Unitholders	$	1,570.02	$	1,383.72
Series 4 Unitholders	$	1,857.60	$	1,574.68

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
June 30, 2016

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	0.12	%	$	268,084
Grains	0.16			363,588
Interest rates:
2 Year U.S. Treasury Note (368 contracts, settlement date September 2016)	0.18			406,469
5 Year U.S. Treasury Note (430 contracts, settlement date September 2016)	0.06			129,024
Other interest rates	1.48			3,351,685
Total interest rates	1.72			3,887,178

Metals	0.38			862,519
Softs	0.04			99,774
Stock indices	1.39			3,159,630
Total long futures contracts	3.81			8,640,773

Short futures contracts:
Energies	(0.05)			(112,840)
Grains	0.28			643,521
Interest rates	(0.00)			(169)
Livestock	0.01			25,970
Metals	(0.41)			(956,976)
Softs	(0.01)			(24,726)
Stock indices	0.00			10,042
Total short futures contracts	(0.18)			(415,178)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	3.63			8,225,595

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.88)			(2,003,833)
Total short forward currency contracts	1.31			2,968,356
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.43			964,523

TOTAL	4.06	%	$	9,190,118

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
June 30, 2016
U.S. TREASURY NOTES

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

$	44,260,000	U.S. Treasury notes, 0.625%, 07/15/2016	19.54	%	$	44,268,645
	47,220,000	U.S. Treasury notes, 0.875%, 09/15/2016	20.87			47,282,714
	48,100,000	U.S. Treasury notes, 0.625%, 02/15/2017	21.26			48,163,883
	45,710,000	U.S. Treasury notes, 0.875%, 05/15/2017	20.24			45,862,664
		Total investments in U.S. Treasury notes
		(amortized cost $185,485,946)	81.91	%	$	185,577,906

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2015

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Grains	0.00	%	$	48
Interest rates	(0.14)			(298,622)
Metals	0.19			397,044
Softs	0.02			41,390
Stock indices	0.28			583,002
Total long futures contracts	0.35			722,862

Short futures contracts:
Energies	0.72			1,506,235
Grains	0.16			336,795
Interest rates	(0.00)			(1,156)
Livestock	(0.04)			(88,790)
Metals	0.08			173,334
Softs	(0.03)			(73,715)
Stock indices	0.04			86,606
Total short futures contracts	0.93			1,939,309
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	1.28			2,662,171

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.53)			(1,104,035)
Total short forward currency contracts	1.29			2,701,718
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.76			1,597,683

TOTAL	2.04	%	$	4,259,854

				(Continued)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2015
U.S. TREASURY NOTES

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

$	48,100,000	U.S. Treasury notes, 0.375%, 04/30/2016	23.03	%	$	48,096,242
	45,710,000	U.S. Treasury notes, 0.250%, 05/15/2016	21.87			45,684,110
	44,260,000	U.S. Treasury notes, 0.625%, 07/15/2016	21.20			44,272,102
	47,220,000	U.S. Treasury notes, 0.875%, 09/15/2016	22.64			47,284,559
		Total investments in U.S. Treasury notes
		(amortized cost $185,510,089)	88.74	%	$	185,337,013

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the three months ended
		June 30, 2016		June 30, 2015
INVESTMENT INCOME:
Interest income	$	194,382	$	110,796

EXPENSES:
Brokerage and custodial fees		3,211,835		3,399,611
Administrative expenses		292,270		303,450
Custody fees and other expenses		10,037		14,036
Management fees		110,522		95,544
Total expenses		3,624,664		3,812,641

Managing Owner commission rebate to Unitholders		(193,450)		(210,156)

Net expenses		3,431,214		3,602,485

NET INVESTMENT LOSS		(3,236,832)		(3,491,689)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		12,476,395		(12,506,530)
Foreign exchange translation		116,444		(93,107)
Net change in unrealized:
Futures and forward currency contracts		2,778,943		(4,109,646)
Foreign exchange translation		(189,057)		(13,831)
Net gains from U.S. Treasury notes:
Realized		-		11,004
Net change in unrealized		77,213		1,661
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		15,259,938		(16,710,449)


NET INCOME (LOSS)	$	12,023,106	$	(20,202,138)
LESS PROFIT SHARE TO MANAGING OWNER		281,584		(247,926)
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	11,741,522	$	(19,954,212)

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	63.25	$	(97.10)
Series 2 Unitholders	$	77.21	$	(88.77)
Series 3 Unitholders	$	79.07	$	(89.10)
Series 4 Unitholders	$	122.04	$	(110.62)

				(Continued)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the six months ended
		June 30, 2016		June 30, 2015
INVESTMENT INCOME:
Interest income	$	362,593	$	183,608

EXPENSES:
Brokerage and custodial fees		6,512,185		7,095,597
Administrative expenses		582,626		610,514
Custody fees and other expenses		19,600		27,375
Management fees		218,629		193,721
Total expenses		7,333,040		7,927,207

Managing Owner commission rebate to Unitholders		(387,116)		(432,718)

Net expenses		6,945,924		7,494,489

NET INVESTMENT LOSS		(6,583,331)		(7,310,881)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		31,530,738		2,007,968
Foreign exchange translation		89,707		(354,154)
Net change in unrealized:
Futures and forward currency contracts		4,930,264		(1,348,178)
Foreign exchange translation		(6,660)		182,624
Net gains from U.S. Treasury notes:
Realized		-		11,004
Net change in unrealized		265,036		46,508
TOTAL NET REALIZED AND UNREALIZED GAINS		36,809,085		545,772


NET INCOME (LOSS)	$	30,225,754	$	(6,765,109)
LESS PROFIT SHARE TO MANAGING OWNER		663,247		4,643
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	29,562,507	$	(6,769,752)

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	155.75	$	(37.90)
Series 2 Unitholders	$	182.57	$	(19.89)
Series 3 Unitholders	$	186.30	$	(18.76)
Series 4 Unitholders	$	282.92	$	(6.03)

See notes to financial statements (unaudited)				(Concluded)


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

For the six months ended June 30, 2016:
														New Profit
		Series 1 Unitholders			Series 2 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2016	$	180,146,458	164,988.926	$	53,412	39.121	$	19,275,026	13,929.871	$	4,002,335	2,541.689	$	-	-	$	5,368,725	4,917.000	$	208,845,956
Subscriptions		1,428,700	1,227.080		10,000	6.799		1,770,494	1,222.491		427,665	253.335		17,238	14.607		-	-		3,654,097
Redemptions		(14,420,742)	(12,228.705)		(57,537)	(39.121)		(1,016,458)	(685.567)		-	-		-	-		-	-		(15,494,737)
Addt'l units allocated *		-	146.503		-	-		-	-		-	-		-	0.266		-	159.325		-
Net income before profit
share to Managing Owner		25,145,839	-		5,792	-		3,346,174	-		762,032	-		1,317	-		964,600	-		30,225,754
Profit share to Managing Owner:		-	-		(1,143)	-		(662,104)	-		-	-		-	-		-	-		(663,247)
Trust capital at
June 30, 2016	$	192,300,255	154,133.804	$	10,524	6.799	$	22,713,132	14,466.795	$	5,192,032	2,795.024	$	18,555	14.873	$	6,333,325	5,076.325	$	226,567,823

Net asset value per unit outstanding
at June 30, 2016:	$	1,247.62		$	1,547.87		$	1,570.02		$	1,857.60

* 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 six months ended June 30, 2015:
														New Profit
		Series 1 Unitholders			Series 2 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2015	$	213,611,159	199,292.051	$	50,872	39.121	$	18,216,525	13,848.201	$	3,213,861	2,216.197	$	-	-	$	5,496,789	5,128.014	$	240,589,206
Subscriptions		1,845,553	1,700.341		-	-		1,397,691	1,050.567		426,286	290.535		4,643	4.220		-	-		3,674,173
Redemptions		(21,942,310)	(20,270.671)		-	-		(1,027,310)	(768.026)		-	-		-	-		-	-		(22,969,620)
Addt'l units allocated *		-	189.054		-	-		-	-		-	-		-	0.039		-	166.212		-
Net loss before profit
share to Managing Owner:		(6,461,988)	-		(778)	-		(259,213)	-		(20,067)	-		(220)	-		(22,843)	-		(6,765,109)
Managing Owner's profit share:		-	-		-	-		(4,643)	-		-	-		-	-		-	-		(4,643)
Trust capital at
June 30, 2015	$	187,052,414	180,910.775	$	50,094	39.121	$	18,323,050	14,130.742	$	3,620,080	2,506.732	$	4,423	4.259	$	5,473,946	5,294.226	$	214,524,007

Net asset value per unit outstanding
at June 30, 2015:	$	1,033.95		$	1,280.49		$	1,296.68		$	1,444.14

* 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 June 30:	2016										2015
		Series 1			Series 2		Series 3		Series 4			Series 1			Series 2		Series 3		Series 4
Net income (loss) from operations:
Net investment loss		$ (19.67)			$ (10.11)		$ (9.31)		$ (1.89)			$ (18.09)			$ (9.31)		$ (8.58)		$ (2.14)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		82.50			115.55		107.32		123.32			(79.08)			(96.63)		(97.79)		(108.55)
Net gains from U.S. Treasury obligations		0.42			0.99		0.55		0.61			0.07			0.06		0.07		0.07
Profit share allocated to Managing Owner		0.00			(29.22)		(19.49)		0.00			0.00			17.11		17.20		0.00
Net income (loss) per unit		$ 63.25			$ 77.21		$ 79.07		$ 122.04			$ (97.10)			$ (88.77)		$ (89.10)		$ (110.62)

Net asset value per unit, beginning of period		1,184.37			1,470.66		1,490.95		1,735.56			1,131.05			1,369.26		1,385.78		1,554.76

Net asset value per unit, end of period		$ 1,247.62			$ 1,547.87		$ 1,570.02		$ 1,857.60			$ 1,033.95			$ 1,280.49		$ 1,296.68		$ 1,444.14
Total return and ratios for the three months ended June 30:		2016										2015
			Series 1		Series 2		Series 3		Series 4				Series 1		Series 2		Series 3		Series 4
RATIOS TO AVERAGE CAPITAL:
Net investment loss (a)			(6.64)	%	(2.74)	%	(2.48)	%	(0.43)	%			(6.79)	%	(2.84)	%	(2.59)	%	(0.58)	%
Total expenses (a)			6.99	%	3.10	%	2.84	%	0.79	%			6.99	%	3.04	%	2.79	%	0.78	%
Profit share allocation (b)			0.00		1.24		1.30		0.00				0.00		(1.31)		(1.30)		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION			6.99	%	4.34	%	4.14	%	0.79	%			6.99	%	1.73	%	1.49	%	0.78	%
Total return before profit share allocation (b)			5.34	%	6.49	%	6.60	%	7.03	%			(8.58)	%	(7.79)	%	(7.73)	%	(7.11)	%
Less: Profit share allocation (b)			0.00		1.24		1.30		0.00				0.00		(1.31)		(1.30)		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION			5.34	%	5.25	%	5.30	%	7.03	%			(8.58)	%	(6.48)	%	(6.43)	%	(7.11)	%
(a) annualized
(b) not annualized

(Continued)


Global Macro Trust
Statements of Financial Highlights (UNAUDITED)

For the six months ended June 30:	2016									2015
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

Net income (loss) from operations:
Net investment loss		$ (39.31)		$ (20.22)		$ (18.57)		$ (3.89)			$ (36.85)		$ (19.10)		$ (17.64)		$ (4.62)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		193.65		265.82		249.07		284.78			(1.32)		(1.10)		(1.12)		(1.75)
Net gains from U.S. Treasury obligations		1.41		2.27		1.80		2.03			0.27		0.31		0.32		0.34
Profit share allocated to Managing Owner		0.00		(65.30)		(46.00)		0.00			0.00		0.00		(0.32)		0.00
Net income (loss) per unit		$ 155.75		$ 182.57		$ 186.30		$ 282.92			$ (37.90)		$ (19.89)		$ (18.76)		$ (6.03)

Net asset value per unit, beginning of period		1,091.87		1,365.30		1,383.72		1,574.68			1,071.85		1,300.38		1,315.44		1,450.17

Net asset value per unit, end of period		$ 1,247.62		$ 1,547.87		$ 1,570.02		$ 1,857.60			$ 1,033.95		$ 1,280.49		$ 1,296.68		$ 1,444.14

Total return and ratios for the six months ended June 30:		2016									2015
		Series 1		Series 2		Series 3		Series 4			Series 1		Series 2		Series 3		Series 4

RATIOS TO AVERAGE CAPITAL:

Net investment loss (a)		(6.66)	%	(2.76)	%	(2.49)	%	(0.45)	%		(6.81)	%	(2.89)	%	(2.64)	%	(0.62)	%

Total expenses (a)		6.99	%	3.07	%	2.83	%	0.78	%		6.97	%	3.05	%	2.79	%	0.78	%
Profit share allocation (b) (c)		0.00		4.45		3.09		0.00			0.00		0.00		0.02		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.99	%	7.52	%	5.92	%	0.78	%		6.97	%	3.05	%	2.81	%	0.78	%

Total return before profit share allocation (b)		14.26	%	17.82	%	16.55	%	17.97	%		(3.54)	%	(1.53)	%	(1.41)	%	(0.42)	%
Less: Profit share allocation (b)		0.00		4.45		3.09		0.00			0.00		0.00		0.02		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		14.26	%	13.37	%	13.46	%	17.97	%		(3.54)	%	(1.53)	%	(1.43)	%	(0.42)	%

(a) annualized
(b) not annualized

(c) the combination of a February 2016 redemption reducing the average capital for Series 2, along with crystallized fees on that redemption, contributed to a larger profit share allocation ratio for Series 2 compared to Series 3.

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 June 30, 2016 and December 31, 2015 (unaudited) and the results of its operations for the three and six months ended June 30, 2016 and 2015 (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, 2015. The December 31, 2015 information has been derived from the audited financial statements as of December 31, 2015.

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, 2012 to 2015, 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 2015.

2. FAIR VALUE

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

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

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

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

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

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

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

Spot currency contracts are valued based on current market prices (“Spot Price”). Forward currency contracts are valued based on pricing models that consider the Spot Price, plus the financing cost or benefit (“Forward Point”). Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the number of months from the date the forward currency contract is being valued to its maturity date (“Months to Maturity”), then identifying the forward currency contracts for the two forward months that are closest to the Months to Maturity (“Forward Month Contracts”). Linear interpolation is then performed between the dates of these two Forward Month

Contracts to calculate the interpolated forward point. Model inputs can generally be verified and model selection does not involve significant management judgment. Such instruments are typically classified within Level 2 of the fair value hierarchy.

Investment Company Status: The Trust adopted Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” and based on the Managing Owner’s assessment, the Trust has been deemed to be an investment company since inception. Accordingly, the Trust follows the investment company accounting and reporting guidance of Topic 946 and reflects its investments at fair value with unrealized gains and losses resulting from changes in fair value reflected in the Statements of Operations and Changes in Trust Capital.

During the three and six months ended June 30, 2016 and 2015, 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 June 30, 2016 and December 31, 2015 in valuing the Trust’s investments at fair value. At June 30, 2016 and December 31, 2015, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of June 30, 2016


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	185,577,906	$	-	$	185,577,906
Short-term money market fund*		23,313,217		-		23,313,217
Exchange-traded futures contracts
Energies		155,244		-		155,244
Grains		1,007,109		-		1,007,109
Interest rates		3,887,009		-		3,887,009
Livestock		25,970		-		25,970
Metals		(94,457)		-		(94,457)
Softs		75,048		-		75,048
Stock indices		3,169,672		-		3,169,672

Total exchange-traded futures contracts		8,225,595		-		8,225,595

Over-the-counter forward currency contracts		-		964,523		964,523

Total futures and forward currency contracts (2)		8,225,595		964,523		9,190,118

Total financial assets at fair value	$	217,116,718	$	964,523	$	218,081,241

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	29,681,277
Investments in U.S. Treasury notes held in custody						155,896,629
Total investments in U.S. Treasury notes					$	185,577,906

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	9,190,118
Net unrealized depreciation on open futures and forward currency contracts						-
Total net unrealized appreciation on open futures and forward currency contracts					$	9,190,118

*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, 2015


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	185,337,013	$	-	$	185,337,013
Short-term money market fund*		11,490,322		-		11,490,322
Exchange-traded futures contracts
Energies		1,506,235		-		1,506,235
Grains		336,843		-		336,843
Interest rates		(299,778)		-		(299,778)
Livestock		(88,790)		-		(88,790)
Metals		570,378		-		570,378
Softs		(32,325)		-		(32,325)
Stock indices		669,608		-		669,608

Total exchange-traded futures contracts		2,662,171		-		2,662,171

Over-the-counter forward currency contracts		-		1,597,683		1,597,683

Total futures and forward currency contracts (2)		2,662,171		1,597,683		4,259,854

Total financial assets at fair value	$	199,489,506	$	1,597,683	$	201,087,189

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	36,536,889
Investments in U.S. Treasury notes held in custody						148,800,124
Total investments in U.S. Treasury notes					$	185,337,013

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	4,388,065
Net unrealized depreciation on open futures and forward currency contracts						(128,211)
Total net unrealized appreciation on open futures and forward currency contracts					$	4,259,854

*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 June 30, 2016, 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 June 30, 2016 and December 31, 2015. 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 June 30, 2016


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

Futures contracts:
Energies	$	382,290	$	(114,206)	$	-	$	(112,840)	$	155,244
Grains		363,913		(325)		657,775		(14,254)		1,007,109
Interest rates		3,994,772		(107,594)		-		(169)		3,887,009
Livestock		-		-		29,210		(3,240)		25,970
Metals		863,111		(592)		4,840		(961,816)		(94,457)
Softs		111,362		(11,588)		520		(25,246)		75,048
Stock indices		3,284,403		(124,773)		16,122		(6,080)		3,169,672

Total futures contracts		8,999,851		(359,078)		708,467		(1,123,645)		8,225,595

Forward currency contracts		2,297,319		(4,301,152)		4,609,201		(1,640,845)		964,523

Total futures and
forward currency contracts	$	11,297,170	$	(4,660,230)	$	5,317,668	$	(2,764,490)	$	9,190,118

Fair Value of Futures and Forward Currency Contracts at December 31, 2015


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

Futures contracts:
Energies	$	-	$	-	$	1,935,820	$	(429,585)	$	1,506,235
Grains		48		-		347,695		(10,900)		336,843
Interest rates		1,030,409		(1,329,031)		-		(1,156)		(299,778)
Livestock		-		-		-		(88,790)		(88,790)
Metals		449,863		(52,819)		657,070		(483,736)		570,378
Softs		115,553		(74,163)		100		(73,815)		(32,325)
Stock indices		857,616		(274,614)		119,246		(32,640)		669,608

Total futures contracts		2,453,489		(1,730,627)		3,059,931		(1,120,622)		2,662,171

Forward currency contracts		736,739		(1,840,774)		3,851,664		(1,149,946)		1,597,683

Total futures and
forward currency contracts	$	3,190,228	$	(3,571,401)	$	6,911,595	$	(2,270,568)	$	4,259,854

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and six months ended June 30, 2016 and 2015 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 six months ended June 30, 2016 and 2015


		Three months ended:		Three months ended:		Six months ended:		Six months ended:
Sector		June 30, 2016		June 30, 2015		June 30, 2016		June 30, 2015

Futures contracts:
Energies	$	(1,326,985)	$	(5,079,204)	$	(406,583)		(5,195,443)
Grains		2,994,283		(243,943)		3,159,285		(1,048,308)
Interest rates		12,579,362		(6,483,289)		27,947,561		1,540,774
Livestock		25,320		36,900		36,780		112,350
Metals		(1,104,657)		723,201		(1,742,430)		804,993
Softs		125,151		(189,977)		(537,703)		302,585
Stock indices		927,569		(1,093,538)		4,867,240		5,618,368

Total futures contracts		14,220,043		(12,329,850)		33,324,150		2,135,319

Forward currency contracts		1,035,295		(4,286,326)		3,136,852		(1,475,529)

Total futures and forward currency contracts	$	15,255,338	$	(16,616,176)	$	36,461,002	$	659,790

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the six months ended June 30, 2016 and 2015. The Trust’s average net asset value for the six months ended June 30, 2016 and 2015 was approximately $221,000,000 and $235,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the six months ended June 30, 2016 and 2015


		2016				2015
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	9,885,686	$	13,083,750	$	2,400,698	$	17,352,451
Grains		5,699,917		15,034,753		7,157,217		5,819,582
Interest rates		433,868,811		8,546,357		366,332,156		32,040,926
Livestock		75,460		1,308,067		521,297		1,398,047
Metals		3,391,534		16,259,462		2,134,616		27,001,221
Softs		2,867,192		1,660,076		1,229,307		5,988,522
Stock indices		96,130,398		12,223,624		179,734,210		8,874,210

Total futures
contracts		551,918,998		68,116,089		559,509,501		98,474,959

Forward currency
contracts		95,290,849		80,625,190		78,351,852		84,906,976

Total average
notional	$	647,209,847	$	148,741,279	$	637,861,353	$	183,381,935

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 June 30, 2016 and 2015. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.

The customer agreements between the Trust, the futures clearing brokers including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), and SG Americas Securities, LLC., as well as the FX prime broker, Deutsche Bank AG, and the swap dealer, Morgan Stanley & Co., LLC, gives the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under ASC 210-20, “Balance Sheet,” were met. The Trust ceased clearing trades through J.P. Morgan Securities LLC during September 2015.

Offsetting of derivative assets and liabilities at June 30, 2016


		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	$	3,806,071	$	(372,593)	$	3,433,478
Counterparty I		5,902,247		(1,110,130)		4,792,117
Total futures contracts		9,708,318		(1,482,723)		8,225,595

Forward currency contracts
Counterparty G		5,465,804		(5,035,283)		430,521
Counterparty H		1,440,716		(906,714)		534,002
Total forward currency contracts		6,906,520		(5,941,997)		964,523

Total assets	$	16,614,838	$	(7,424,720)	$	9,190,118


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

Counterparty C	$	3,433,478	$	-	$	(3,433,478)	$	-
Counterparty G		430,521		-		-		430,521
Counterparty H		534,002		-		-		534,002
Counterparty I		4,792,117		-		(4,792,117)		-

Total	$	9,190,118	$	-	$	(8,225,595)	$	964,523

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.
(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 June 30, 2016.

Offsetting of derivative assets and liabilities at December 31, 2015


		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	$	1,820,652	$	(1,308,411)	$	512,241
Counterparty I		3,692,768		(1,542,838)		2,149,930
Total futures contracts		5,513,420		(2,851,249)		2,662,171

Forward currency contracts
Counterparty G		3,495,118		(1,769,224)		1,725,894
Total forward currency contracts

Total assets	$	9,008,538	$	(4,620,473)	$	4,388,065


		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	$	1,221,496	$	(1,093,285)	$	128,211

Total liabilities	$	1,221,496	$	(1,093,285)	$	128,211


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

Counterparty C	$	512,241	$	-	$	(512,241)	$	-
Counterparty G		1,725,894		-		-		1,725,894
Counterparty I		2,149,930		-		(2,149,930)		-

Total	$	4,388,065	$	-	$	(2,662,171)	$	1,725,894
								(Continued)

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

Counterparty H	$	128,211	$	-	$	(128,211)	$	-

Total	$	128,211	$	-	$	(128,211)	$	-
								(Concluded)
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the 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, 2015.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2015.

CONCENTRATION OF CREDIT RISK

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

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

A significant portion of the Trust’s forward currency trading activities are cleared by Deutsche Bank AG (“DB”) and Morgan Stanley & Co. LLC (“MS”). The Trust’s concentration of credit risk associated with DB or MS nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by DB and MS. The amount of such credit risk was $17,240,335 and $23,025,005 at June 30, 2016 and December 31, 2015, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and six months ended June 30, 2016 and 2015. Profit share earned (from Unitholders' redemptions) is credited to the New Profit Memo Account as defined in the Trust’s Declaration of Trust and Trust Agreement (the “Trust Agreement”).


	Three months ended:
	June 30,		June 30,
	2016		2015
Profit share earned	$	7,978	$	3850
Reversal of profit share (2)		(372,404)		(251,776)
Profit share accrued (1)		646,010		0
Total profit share	$	281,584	$	(247,926)



	Six months ended:
	June 30,		June 30,
	2016		2015
Profit share earned	$	17,237	$	4,643
Profit share accrued (1)		646,010		0
Total profit share	$	663,247	$	4,643

(1) Included in “Other liabilities” in the Statements of Financial Condition.
(2) On April 1st.

5. RELATED PARTY TRANSACTIONS

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Trust's Prospectus), as well as extraordinary costs. At June 30, 2016 and December 31, 2015, the Managing Owner is owed $98,802 and $0, respectively, from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the Statements of Financial Condition).

Series 1 Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. There was no redemption charge payable at June 30, 2016 or December 31, 2015.

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 June 30,		Six months ended June 30,		Date of first issuance
	2016	2015	2016	2015

Series 1	157,094.496	185,775.441	160,040.020	190,738.876	July 23, 2001
Series 2	6.797	39.121	17.460	39.121	April 1, 2010
Series 3	14,425.482	14,319.043	14,393.200	14,347.478	September 1, 2009
Series 4	2,789.892	2,488.441	2,730.889	2,453.437	November 1, 2010

7. BROKERAGE AND CUSTODIAL FEES

For the three and six months ended June 30, 2016 and 2015, brokerage and custodial fees were as follows:


	Three months ending June 30,		Six months ending June 30,
	2016	2015	2016	2015

Brokerage fees	$ 3,211,829	$ 3,399,579	$ 6,512,152	$ 7,095,532
Custodial fees	6	32	33	65

Total	$ 3,211,835	$ 3,399,611	$ 6,512,185	$ 7,095,597

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 units sold subsequent to August 12, 2009. During the three and six months ended June 30, 2016 and 2015, the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 units that remain outstanding, where there is no longer a selling agent associated with such units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items, included in “Brokerage and custodial fees” in the Statements of Operations, were as follows:



	Three months ending June 30,		Six months ending June 30,
	2016	2015	2016	2015

Brokerage fee rebates	$ 193,450	$ 210,155	$ 387,116	$ 432,718

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

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

OPERATIONAL OVERVIEW

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

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

The Trust trades futures, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward contracts on currencies. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally to be measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral

held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases

limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

The Managing Owner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market. The Managing Owner attempts to control credit risk by causing the Trust to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

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

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

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

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

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

During its operations for the three and six months ended June 30, 2016, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

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

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 23, 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 June 30, 2016

Month Ending:			Total Trust Capital

June 30, 2016		$	226,567,823
March 31, 2016			219,564,673
December 31, 2015			208,845,956


	Three Months ended		Six Months Ended
Change in Trust Capital	7,003,150	$	17,721,867
Percent Change	3.19%		8.49%

THREE MONTHS ENDED JUNE 30, 2016

The increase in the Trust’s net assets of $7,003,150 was attributable to net income after profit share of $11,741,522 and subscriptions of $1,692,685 which was partially offset by redemptions of $6,431,057.

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 June 30, 2016 decreased $171,070 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2015 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the three months ended June 30, 2016 decreased $11,180 relative to the corresponding period in 2015. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended June 30, 2016 relative to the corresponding period in 2015.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended June 30, 2016 increased $83,586 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended June 30, 2016.

During the three months ended June 30, 2016, the Trust experienced net realized and unrealized gains of $15,259,938 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $3,211,835, administrative expenses of $292,270, custody fees and other expenses of $10,037 and management fees of $110,522 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $194,382, and Managing Owner commission rebate to Unitholders of $193,450 partially offset the Trust's expenses and profit share of $281,584, resulting in net income after profit share to the Managing Owner of $11,741,522. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.48	%
Energies	(0.63)	%
Grains	1.40	%
Interest rates	5.92	%
Livestock	0.00	%
Metals	(0.50)	%
Softs	0.05	%
Stock indices	0.44	%

Trading gain	7.16	%

SIX MONTHS ENDED JUNE 30, 2016

The increase in the Trust’s net assets of $17,721,867 was attributable to net income after profit share of $29,562,507 and subscriptions of $3,654,097 which was partially offset by redemptions of $15,494,737.

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 six months ended June 30, 2016 decreased $537,810 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2015 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the six months ended June 30, 2016 decreased $27,888 relative to the corresponding period in 2015. The decrease was due mainly to a decrease in the Trust's net assets during the six months ended June 30, 2016 relative to the corresponding period in 2015.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the six months ended June 30, 2016 increased $178,985 relative to the corresponding period in 2015. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the six months ended June 30, 2016 relative to the corresponding period in 2015.

During the six months ended June 30, 2016, the Trust experienced net realized and unrealized gains of $36,809,085 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $6,512,185, administrative expenses of $582,626, custody fees and other expenses of $19,600 and management fees of $218,629 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $362,593, and Managing Owner commission rebate to Unitholders of $387,116 partially offset the Trust's expenses and profit share of $663,247, resulting in net income after profit share to the Managing Owner of $29,562,507. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	1.51	%
Energies	(0.10)	%
Grains	1.54	%
Interest rates	13.77	%
Livestock	0.08	%
Metals	(0.73)	%
Softs	(0.19)	%
Stock indices	2.25	%

Trading gain	18.13	%

MANAGEMENT DISCUSSION –2016

Three months ended June 30, 2016

The Trust was profitable during the second quarter with gains from long interest rate futures positions again leading the way. Trading of equity futures and foreign exchange forwards added fractionally to the gain. Meanwhile, trading of commodity futures was also slightly profitable as the gains from trading grain and soft commodity futures outdistanced the losses from the energy and metals sectors.

Long positions in U.S., German, French, British, Canadian and Australian interest rate futures were profitable, particularly after the U.K. voters’ surprise vote to have the U.K. leave the European Union (the “EU”) produced a flight to safety and an expectation that easier monetary policy would be forthcoming rather broadly going forward. The weak June employment report in the U.S. that prompted another delay in the Federal Reserve (“Fed”) rate rise program had underpinned the prices of note, bond and short term interest rate futures earlier. The fact that growth and inflation have failed to accelerate convincingly, and that the World Bank, International Monetary Fund and Organization for Economic Co-operation and Development among others have lowered their global growth projections also supported fixed income prices.

Currency trading was particularly volatile as the U.S. dollar was buffeted to and fro during the quarter. The U.S. currency would strengthen whenever Fed Governors hinted that a rate increase was possible, such as in late April-early May and in late May-early June, but fall when those expectations faded. For example, after an extraordinarily weak U.S. June jobs report, such expectations were put on hold and the U.S. dollar weakened. Then, when Fed Chair Janet Yellen cited real concerns that the “temporary headwinds” that had blunted the Fed’s rate rise program might actually reflect Lawrence Summers’ “secular stagnation” rather than just passing concerns, the U.S. dollar softened further. However,

following the surprise decision of the British electorate to leave the EU, a flight to safety and quality prompted an upward U-turn for the U.S. dollar. Overall, long U.S. dollar trades against the pound sterling and Swiss franc, and short U.S. dollar trades relative to the Brazilian real, New

Zealand dollar and South African rand were profitable. On the other hand, short U.S. dollar trades versus the Australian, Israeli, Mexican, Polish and Swedish currencies produced losses. Trading the euro against the U.S. dollar, Polish zloty and Turkish lira was also unprofitable.

Trading of equity futures was fractionally profitable after a volatile quarter. Following a strong rebound from the February lows, equity trading was unsettled periodically by currency turmoil, the uncertainty surrounding the monetary policies of the Bank of Japan, the Fed, European Central Bank and the Bank of England, worries about future growth and inflation outlooks, and actualized weakness in corporate profits. Still, gains on long positions in non-tech U.S., Canadian and British stock futures and from a short VIX trade outpaced the losses from trading of a number of European and Asian indices.

Long positions in soybeans and soybean meal were profitable as bad weather in Brazil and Argentina underpinned prices for most of the period. A long sugar position posted a gain when prices rose as production in Thailand, India and Brazil was hurt by El Niño weather influences.

A short natural gas trade registered a loss as warmer than normal weather boosted prices, especially in June. Trading of London gas oil, heating oil, RBOB gasoline and WTI crude were also unprofitable, while a long position in Brent crude produced a partially offsetting gain.

Short positions in gold, silver, platinum, palladium and copper were each slightly unprofitable.

Three months ended March 31, 2016

During a quarter of extreme market volatility, the Trust registered a strong performance led by gains on long interest rate futures positions. Trading of equity futures and foreign exchange forwards were also profitable. Meanwhile, commodity futures were essentially flat as a fractional gain from trading energy futures was offset by small losses from trading metal and agricultural futures.

Concerns about global growth that International Monetary Fund Managing Director Christine Lagarde described as ‘…too low, too fragile and facing increased risks to its durability…”, combined with doubts about policy makers’ competence and capabilities, generated strong demand for government securities for most of the quarter. The demand for this debt was underpinned when: the Bank of Japan moved official interest rates into negative territory at the end of January; the Bank of England delayed any potential rate increase; the European Central Bank (the “ECB”) and People’s Bank of China (the “PBOC”) eased monetary policy in March; and a speech by Federal Reserve (“Fed”) Chair Janet Yellen squashed expectations for a near term Fed rate increase. Consequently, long positions in U.S., German, French, Italian, British, Japanese, Australian and Canadian notes and bonds were profitable. Long positions in short-term dollar and sterling interest rate futures were also profitable.

Equity markets were particularly volatile during the first quarter of 2016, tracing out a classic V-shaped path. The tumultuous first half of the period saw many equity indices experiencing multiyear lows before rebounding impressively over the second half of the quarter. Early on, weak economic data out of China and concerns about official policy decisions generated a renewed rout in Chinese equities and the yuan. These events, combined with a further collapse in energy prices; worries that Fed interest rate increases and a stronger dollar might impede global growth; and a halt in corporate profit growth, produced a broad, sharp equity selloff. Later, equity prices recovered as energy prices rebounded, the ECB, PBOC and Fed displayed easier policy tendencies, the U.S. dollar eased and growth concerns moderated. On balance, short positions in Chinese, Hong Kong, Japanese, Singaporean, Indian, and Spanish futures were profitable. Trading of U.S. and Canadian stock index futures also posted gains. On the other hand, short positions in Dutch and South African futures, a long U.K stock futures position, and trading of the European stoxx future resulted in somewhat offsetting losses.

Foreign exchange trading was also volatile. At the beginning of the year, given the search for safety, declining oil prices and the Fed’s “relatively hawkish” policy position, the U.S. dollar strengthened. Thus, during January and February, long U.S. dollar trades versus the pound sterling, Canadian dollar, Korean won, Russian Ruble and Mexican peso were profitable. The pound fell precipitously when the possibility of Britain’s exit from the European Union (the “EU”) became more likely as Boris Johnson, the mayor of London, endorsed the move. As the quarter unfolded, however, the PBOC aggressively implemented measures to support the yuan; the G-20 Shanghai Communique in late February signaled a strong stance against currency competition that took some steam out of the U.S. dollar; and the likelihood of a near term increase in interest rates by the Fed diminished, prompting a U.S. dollar decline, especially against emerging market currencies where interest rates tend to be higher. A stabilization of commodity prices also helped the commodity producing countries. A series of events abroad further encouraged the U.S. dollar slippage: Mexico’s surprise February 50 basis point hike in official interest rates; the increasing likelihood of an ouster of President Dilma Rousseff in Brazil; an increase in official rates in South Africa; and rising oil prices and high interest rates supporting the Russian ruble. Consequently, short U.S. dollar positions against the currencies of Australia, Brazil, Canada, Columbia, India, Israel, Mexico, New Zealand, Russia, South Africa, and Turkey were profitable. On the other hand, long U.S. dollar trades versus the euro, yen, Swiss franc, Swedish krona, Norwegian kroner, Czech koruna, Polish zloty and Chilean peso were unprofitable.

With the International Energy Agency suggesting that the “…world could drown in [oil] oversupply…”; with crude oil production at or near recent record levels in many countries—e.g., Saudi Arabia, Russia, the U.S., and Iraq; with Iranian exports ramping up; and with global demand still sluggish, crude prices slumped below $30 per barrel in January. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were profitable. Subsequently, reports that Saudi Arabia, Russia and a number of other producers were discussing plans for a production freeze and would meet in Doha in April sparked an oil price rebound. Indeed, oil prices reached a three month high above

$40 per barrel on March 18. Consequently, losses were suffered on these same short crude oil, crude products and natural gas trades, and positions were reduced and/or reversed. Overall, energy trading was fractionally profitable for the quarter due to gains from WTI crude and natural gas.

Industrial metal prices vacillated during the quarter but did move up somewhat in synchrony with energy prices, and short positions in industrial metals were unprofitable. Safe haven demand pushed up gold prices, especially in February, and a small long trade was fractionally profitable, providing a partial offset.

Trading of sugar was unprofitable, as was a long cocoa trade in January, and a short Arabica coffee position in March. The profits from short corn and wheat trades basically offset the losses from trading soybeans and soybean meal.


Periods ended June 30, 2015

Month Ending:			Total Trust Capital

June 30, 2015		$	214,524,007
March 31, 2015			242,145,402
December 31, 2014			240,589,206


	Three Months ended		Six Months Ended
Change in Trust Capital	(27,621,395)	$	(26,065,199)
Percent Change	(11.41)%		(10.83)%

THREE MONTHS ENDED JUNE 30, 2015

The decrease in the Trust’s net assets of $27,621,395 was attributable to net loss after profit share of $19,954,212 and redemptions of $9,630,934 which was partially offset by subscriptions of $1,963,751.

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 June 30, 2015 decreased $731,056 relative to the corresponding period in 2014 due to a decrease in the Trust’s net assets as well as an increase in brokerage fee rebates to the Trust.

Administrative expenses for the three months ended June 30, 2015 decreased $53,905 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the Trust's net assets during the three months ended June 30, 2015 relative to the corresponding period in 2014.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended June 30, 2015 increased $37,083 relative to the corresponding period in 2014. This increase was due predominantly to an increase in interest rates during the three months ended June 30, 2015.

The Trust experienced net realized and unrealized losses of $16,710,449 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $3,189,455, administrative expenses of $303,450, custody fees and other expenses of $14,036 and management fees of $95,544, were incurred. Interest income of $110,796 and the reversal of accrued profit share to the General Partner of $247,926 partially offset the Trust's expenses resulting in net loss after profit share to the General Partner of $19,954,212. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(1.80)	%
Energies	(2.07)	%
Grains	(0.09)	%
Interest rates	(2.73)	%
Livestock	0.04	%
Metals	0.36	%
Softs	(0.06)	%
Stock indices	(0.60)	%

Trading loss	(6.95)	%

SIX MONTHS ENDED JUNE 30, 2015

The decrease in the Trust’s net assets of $26,065,199 was attributable to net loss after profit share of $6,769,752 and redemptions of $22,969,620 which was partially offset by subscriptions of $3,674,173.

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 six months ended June 30, 2015 decreased $1,420,214 relative to the corresponding period in 2014 due to a decrease in the Trust’s net assets as well as an increase in brokerage fee rebates to the Trust.

Administrative expenses for the six months ended June 30, 2015 decreased $113,830 relative to the corresponding period in 2014. The decrease was due mainly to a decrease in the Trust's net assets during the six months ended June 30, 2015 relative to the corresponding period in 2014.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the six months ended June 30, 2015 increased $30,293 relative to the corresponding period in 2014. This increase was due predominantly to an increase in interest rates during the six months ended June 30, 2015 relative to the corresponding period in 2014.

The Trust experienced net realized and unrealized gains of $545,772 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $6,662,879, administrative expenses of $610,514, custody fees and other expenses of $27,375, management fees of $193,721 and an accrued profit share to the General Partner of $4,643 were incurred. Interest income of $183,608 partially offset the Trust's expenses resulting in net loss after profit share to the General Partner of $6,769,752. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(0.65)	%
Energies	(2.12)	%
Grains	(0.45)	%
Interest rates	0.54	%
Livestock	0.03	%
Metals	0.36	%
Softs	0.12	%
Stock indices	2.11	%

Trading loss	(0.06)	%

MANAGEMENT DISCUSSION –2015

Three months ended June 30, 2015

The Trust sustained a loss as a number of profitable, consensus trades from the first quarter proved unprofitable in the second quarter. Long positions in interest rate futures, equity futures, and U.S. dollar forwards and short euro currency trades were unprofitable. Short energy futures trades were unprofitable as well. On the other hand, trading of metal futures was profitable, while trading of soft and agricultural commodities was nearly flat.

The sanguine attitude towards Greece from the first quarter became a second quarter ebb and flow of meetings, proposals, information and recriminations around the Greek crisis, culminating in the imposition of capital controls; a week-long bank holiday; and a nationwide referendum that rattled equity, bond and currency markets. The U.S. economy rebounded from its poor first quarter performance, although inflation and wages did not register explicit improvements. Consequently, the on-again, off-again prospects for a Federal Reserve rate increase added to market anxiety. Finally, uncertainty about China’s growth prospects were compounded late in the period by the sudden, precipitous collapse in Chinese equity markets.

The price of German, French, and Italian note and bond futures, which had risen precipitously in the wake of the European Central Bank’s quantitative easing program, reversed course abruptly, driving rates sharply higher as analysts questioned the extraordinarily low levels they had reached particularly as EU economic data was improving and the Greek situation seemed to defy solution. Consequently, long positions in Continental European note and bond futures were unprofitable. Though the path was not a straight line partly due to reduced global bond market liquidity, better U.S. economic news pushed U.S. interest rates higher, producing losses from long positions in U.S. note and bond futures. Long

positions in Japanese bond futures, U.K. bond futures, and short sterling futures also registered losses. Long positions in U.S. 2-year notes and short term euro dollar futures did register small gains.

The path of equity prices during the quarter was uneven across time and markets. Equity futures were buffeted in a positive way by improving economic data from the U.S. and Europe, and in a negative way by the unfolding Greek tragedy; by economic growth concerns and wild swings in equity markets in China that prompted a Bank of China rate cut; and by worries about the timing of possible Fed rate increases. In the end, the negative influences carried the day. Long positions in European, British, Canadian, Australian, Korean and Taiwanese equity futures posted losses, especially in June. Meanwhile, long positions in Chinese, Hong Kong and Japanese futures remained profitable even after posting losses in May and June. As volatility spiked in June, the gain from a short VIX position was pared back.

Currency trading was also volatile during the quarter. In April and early May, poor results from the U.S. first quarter GDP report raised the likelihood that an anticipated Federal Reserve interest rate increase would be delayed. Consequently, long dollar positions registered losses and were reduced or reversed. Later on, the U.S. dollar steadied as U.S. economic data recovered and as the situations in China and Greece deteriorated. On balance, trading the U.S. dollar against the currencies of Australia, the U.K., Canada, Brazil, Chile, Columbia, Czech Republic, Sweden, and Korea was unprofitable. Short euro trades versus several currencies were also unprofitable. The gain from a long U.S. dollar/short Japanese yen trade provided a partial offset.

Energy prices moved higher in April amid signs of a growth improvement in Europe and a weakening dollar. Consequently, short positions in crude oil, crude oil products and natural gas generated losses and were scaled back.

Short positions in aluminum, copper, palladium, platinum, and silver were profitable, particularly in May and June, as China’s slowdown and equity turmoil led to reduced demand and some increased supplies on world markets. Increased palladium and platinum production from South Africa also weighed on prices. Meanwhile, a sharp swing in the price of zinc led to a loss on a long position, and trading of gold was also unprofitable.

Grain prices, which have been falling rather persistently, rose somewhat late in the period as heavy rains in the U.S. threatened to delay harvests of some crops and planting of others. Consequently, losses on short corn and wheat positions outweighed the gains from long soybean and soybean meal trades.

The loss on a short sugar trade slightly outweighed the gains from a long cocoa position and a short coffee trade.

Three months ended March 31, 2015

Solid first quarter performance was led by gains from trading of financial markets—interest rate and equity futures, and currency forwards. Commodity futures trading was nearly flat as losses from trading grain futures were countered by gains from trading soft, metal and livestock futures.

The European Central Bank’s historic quantitative easing announcement, several easing moves by the People’s Bank of China and more than 20 other official interest rate reductions led to sharp gains on long positions in U.S. interest rate futures across the yield curve. Long positions in German, Italian, French, Canadian and Australian notes and bonds also registered profits. A long position in short-term sterling rates was profitable as events suggested that any tightening of U.K. monetary policy would be delayed.

The more accommodative monetary policy environment and some improvement in growth indicators for Europe led to gains on long positions in Continental European, Chinese, Hong Kong, Japanese, and Australian equity futures. On the other hand, a short Korean kospi futures trade was unprofitable. Meanwhile, U.S. equity futures, after reaching record levels, stagnated in the wake of the stronger U.S. dollar, disappointing earnings reports, and a first quarter growth slowdown.

Currency markets were volatile during the quarter, although a solid U.S. economic outlook, generally higher relative interest rates, and some safe haven cachet underpinned the U.S. dollar. Still, a tentative Russia/ Ukraine ceasefire and temporary bouts of sanity around the Greek crisis periodically took some steam out of the dollar. Overall, long U.S. dollar positions versus the euro, Czech koruna, Swedish krona, Turkish lira, Brazilian real and Canadian dollar were profitable. On the other hand, a long U.S. dollar/short Swiss franc trade sustained a large loss when, on January 15th, the Swiss National Bank unexpectedly ended the franc’s peg to the euro and the franc soared 15%. Long dollar trades against the South African, Norwegian and New Zealand currencies produced small losses.

Grain prices recovered a bit after the USDA projected a reduction in planting acreage for the current crop year. Consequently, short wheat positions, and to a lesser extent trading of corn, soybeans, soybean meal and bean oil produced minor losses. Coffee and sugar prices continued to fall and short positions in both were profitable. A short hog trade was marginally positive.

Energy trading was flat as the gains from short WTI crude and natural gas positions offset the losses from short Brent crude, heating oil and London gas oil trades. Metal trading was also nearly flat with gains from short aluminum, silver and nickel positions and trading of gold marginally outpacing the losses from short copper, zinc, and platinum positions and trading of palladium.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot, option, and swap contracts, both long (contracts to buy) and short (contacts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at June 30, 2016.

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 six months ended June 30, 2016. During the six months ended June 30, 2016, the Trust's average total capitalization was approximately $221,000,000.


Sector		Average value at risk	% of Average Capitalization		High value at risk		Low value at risk
Currencies	$	6.4	2.9%	$	6.9	$	5.8
Energies		1.5	0.7%		1.7		1.2
Grains		1.4	0.6%		1.5		1.2
Interest rates		5.8	2.6%		6.1		5.5
Livestock		0.0	0.0%		0.1		0.0
Metals		1.2	0.5%		1.4		1.0
Softs		0.2	0.1%		0.3		0.2
Stock indices		6.8	3.1%		7.2		6.4
	$	23.3	10.5%

Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for the six months ended June 30, 2016. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the six months ended June 30, 2016. 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 June 30, 2016 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

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

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

Additionally, the computer systems, networks and devices used by the Managing Owner, the Trust and service providers that carry out routine business operations employ a variety of protections designed to prevent damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons and security breaches. Cybersecurity breaches can include unauthorized access to systems, networks or devices; infection from computer viruses or other malicious software code; and attacks that shut down, disable, slow or otherwise disrupt operations, business processes or website access and/or functionality.

Despite the various protections utilized to protect against cybersecurity threats, systems, networks and/or devices potentially can be breached. Such cybersecurity breaches may cause disruptions and impact business operations, potentially resulting in financial losses to the Trust and Unitholders; interference with the Managing Owner’s ability to calculate the value of an investment; impediments to trading; the inability of the Trust and its service providers to transact business; violations of applicable privacy and other laws; regulatory fines, penalties, reputational damage, reimbursement or other compensation costs or additional compliance costs; as well as the inadvertent release of confidential information.

Similar adverse consequences could result from cybersecurity breaches affecting counterparties with which the Trust engages in transactions; governmental and other regulatory authorities; exchange and other financial market operators, banks, brokers, dealers, insurance companies and other financial institutions; and other parties. In addition, substantial costs may be incurred by these entities in order to prevent any cybersecurity breaches in the future.

Not required.

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 June 30, 2016.

(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 June 30, 2016.


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

April 30, 2016	2,012.081	$	1,148.31	157.669	$	1,458.35
May 31, 2016	1,665.718		1,160.48	-		1,475.31
June 30, 2016	1,563.507		1,247.62	4.436		1,570.02
Total	5,241.306			162.105

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: August 12, 2016
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - August 12, 2016

Attached files

GLOBAL MACRO TRUST Reports