GLOBAL MACRO TRUST - FORM 10-Q

Attached files

file	filename
EX-32.3 - EX-32.3 - GLOBAL MACRO TRUST	c765-20170331xex32_3.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUST	c765-20170331xex32_2.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUST	c765-20170331xex32_1.htm
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUST	c765-20170331xex31_3.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUST	c765-20170331xex31_2.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUST	c765-20170331xex31_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: March 31, 2017


	☐	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, smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer”, “accelerated filer,” “smaller reporting company”, and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☐

Accelerated filer ☐

Non-accelerated filer (Do not check if a smaller reporting company) ☒

Smaller reporting company ☐

Emerging growth company ☐

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

Yes ☐ No ☐

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 months ended March 31, 2017 and 2016 (unaudited)

Statements of Financial Condition (a)						1
Condensed Schedules of Investments (a)						2
Statements of Operations (b)						6
Statements of Changes in Trust Capital (b)						7
Statements of Financial Highlights (b)						9
Notes to the Financial Statements						10

(a) At March 31, 2017 and December 31, 2016 (unaudited)
(b) For the three months ended March 31, 2017 and 2016 (unaudited)


Global Macro Trust
Statements of Financial Condition (UNAUDITED)


		March 31, 2017		December 31, 2016
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $33,567,364 and $26,072,098)	$	33,544,608	$	26,059,657
Net unrealized appreciation on open futures and
forward currency contracts		4,713,576		5,065,066
Due from brokers		1,132,893		707,507
Cash denominated in foreign currencies (cost $8,375,806
and $4,474,848)		8,416,064		4,330,175
Total equity in trading accounts		47,807,141		36,162,405

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $167,889,278 and $175,434,923)		167,725,035		175,334,307
CASH AND CASH EQUIVALENTS		17,322,444		18,864,248
ACCRUED INTEREST RECEIVABLE		451,471		397,141
TOTAL	$	233,306,091	$	230,758,101

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$	919,800	$	865,500
Net unrealized depreciation on open futures and forward currency contracts		806,119		-
Due to Managing Owner		85,827		-
Due to brokers		-		640,342
Accrued brokerage and custodial fees		1,051,812		1,060,695
Accrued management fees		47,508		41,153
Redemptions payable to Unitholders		4,936,729		2,399,334
Redemption payable to Managing Owner		-		2,452,815
Accrued expenses		172,439		133,534
Accrued profit share		198,645		-
Total liabilities		8,218,879		7,593,373


TRUST CAPITAL:
Managing Owner interest (3,713.270 and 3,653.388 units outstanding)		4,569,513		4,369,854
Series 1 Unitholders (153,066.207 and 158,499.560 units outstanding)		188,362,190		189,583,168
Series 2 Unitholders (6.799 and 6.799 units outstanding)		10,680		10,350
Series 3 Unitholders (16,256.593 and 15,531.699 units outstanding)		25,934,444		23,999,362
Series 4 Unitholders (3,230.302 and 2,828.734 units outstanding)		6,210,385		5,201,994
Total trust capital		225,087,212		223,164,728

TOTAL	$	233,306,091	$	230,758,101

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,230.59	$	1,196.11
Series 2 Unitholders	$	1,570.82	$	1,522.28
Series 3 Unitholders	$	1,595.32	$	1,545.19
Series 4 Unitholders	$	1,922.54	$	1,838.98

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2017

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	%	$	278,226
Interest rates:
2 Year U.S. Treasury Note (185 contracts, settlement date June 2017)	0.03			78,000
5 Year U.S. Treasury Note (170 contracts, settlement date June 2017)	0.05			114,266
10 Year U.S. Treasury Note (102 contracts, settlement date June 2017)	0.06			138,703
30 Year U.S. Treasury Bond (83 contracts, settlement date June 2017)	0.06			137,500
Other interest rates	0.64			1,394,587
Total interest rates	0.84			1,863,056

Livestock	0.00			230
Metals	0.08			176,496
Softs	0.00			6,240
Stock indices	0.41			920,143
Total long futures contracts	1.45			3,244,391

Short futures contracts:
Energies	(0.18)			(408,114)
Grains	0.26			569,360
Livestock	0.00			480
Metals	(0.06)			(126,398)
Softs	0.18			409,491
Stock indices	0.00			4,822
Total short futures contracts	0.20			449,641
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	1.65			3,694,032

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.09			2,461,983
Total short forward currency contracts	(1.00)			(2,248,558)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.09			213,425

TOTAL	1.74	%	$	3,907,457

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (UNAUDITED)
March 31, 2017
U.S. TREASURY NOTES

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

$	49,710,000	U.S. Treasury notes, 0.875%, 05/15/2017	22.09	%	$	49,719,709
	48,260,000	U.S. Treasury notes, 0.875%, 08/15/2017	21.44			48,271,311
	51,220,000	U.S. Treasury notes, 0.875%, 11/15/2017	22.75			51,199,992
	52,100,000	U.S. Treasury notes, 1.000%, 02/15/2018	23.14			52,078,631
		Total investments in U.S. Treasury notes
		(amortized cost $201,456,642)	89.42	%	$	201,269,643

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 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	0.03	%	$	63,669
Grains	(0.00)			(2,530)
Interest rates	1.00			2,235,827
Livestock	0.00			1,910
Metals	0.05			126,739
Softs	(0.00)			(9,610)
Stock indices	0.53			1,180,856
Total long futures contracts	1.61			3,596,861

Short futures contracts:
Energies	(0.04)			(93,838)
Grains	0.01			31,414
Interest rates	(0.01)			(31,386)
Livestock	(0.00)			(2,700)
Metals	0.10			220,431
Softs	(0.00)			(7,206)
Stock indices	(0.14)			(310,145)
Total short futures contracts	(0.08)			(193,430)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	1.53			3,403,431

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.31)			(683,199)
Total short forward currency contracts	1.05			2,344,834
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.74			1,661,635

TOTAL	2.27	%	$	5,065,066

				(Continued)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2016
U.S. TREASURY NOTES

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

$	52,100,000	U.S. Treasury notes, 0.625%, 02/15/2017	23.35	%	$	52,105,088
	49,710,000	U.S. Treasury notes, 0.875%, 05/15/2017	22.30			49,761,458
	48,260,000	U.S. Treasury notes, 0.875%, 08/15/2017	21.64			48,302,416
	51,220,000	U.S. Treasury notes, 0.875%, 11/15/2017	22.95			51,225,002
		Total investments in U.S. Treasury notes
		(amortized cost $201,507,021)	90.24	%	$	201,393,964

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Statements of Operations (UNAUDITED)


		For the three months ended
		March 31, 2017		March 31, 2016
INVESTMENT INCOME:
Interest income	$	333,145	$	168,211

EXPENSES:
Brokerage and custodial fees		3,250,332		3,300,350
Administrative expenses		298,537		290,356
Custody fees and other expenses		10,918		9,563
Management fees		131,123		108,107
Total expenses		3,690,910		3,708,376

Managing Owner commission rebate to Unitholders		(191,820)		(193,666)

Net expenses		3,499,090		3,514,710

NET INVESTMENT LOSS		(3,165,945)		(3,346,499)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		11,273,121		19,054,343
Foreign exchange translation		(41,627)		(26,737)
Net change in unrealized:
Futures and forward currency contracts		(1,157,609)		2,151,321
Foreign exchange translation		184,931		182,397
Net gains (losses) from U.S. Treasury notes:
Net change in unrealized		(73,942)		187,823
TOTAL NET REALIZED AND UNREALIZED GAINS		10,184,874		21,549,147


NET INCOME	$	7,018,929	$	18,202,648
LESS PROFIT SHARE TO MANAGING OWNER		199,738		381,663
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	6,819,191	$	17,820,985

NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	34.48	$	92.50
Series 2 Unitholders	$	48.54	$	105.36
Series 3 Unitholders	$	50.13	$	107.23
Series 4 Unitholders	$	83.56	$	160.88

See notes to financial statements (unaudited)


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

For the three months ended March 31, 2017:
														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, 2017	$	189,583,168	158,499.560	$	10,350	6.799	$	23,999,362	15,531.699	$	5,201,994	2,828.734	$	-	-	$	4,369,854	3,653.388	$	223,164,728
Subscriptions		1,422,500	1,182.019		-	-		3,699,000	2,358.183		737,923	401.568		1,093	0.895		-	-		5,860,516
Redemptions		(8,156,599)	(6,717.357)		-	-		(2,600,624)	(1,633.289)		-	-		-	-		-	-		(10,757,223)
Addt'l units allocated *		-	101.985		-	-		-	-		-	-		-	0.005		-	58.982		-
Net income before profit
share to Managing Owner		5,513,121	-		410	-		1,036,364	-		270,468	-		14	-		198,552	-		7,018,929
Profit share to Managing Owner:		-	-		(80)	-		(199,658)	-		-	-		-	-		-	-		(199,738)
Trust capital at
March 31, 2017	$	188,362,190	153,066.207	$	10,680	6.799	$	25,934,444	16,256.593	$	6,210,385	3,230.302	$	1,107	0.900	$	4,568,406	3,712.370	$	225,087,212

Net asset value per unit outstanding
at March 31, 2017:	$	1,230.59		$	1,570.82		$	1,595.32		$	1,922.54

* 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 three months ended March 31, 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		507,000	435.091		10,000	6.799		1,053,995	737.742		381,158	226.307		9,259	7.798		-	-		1,961,412
Redemptions		(8,226,585)	(6,987.399)		(57,537)	(39.121)		(779,558)	(523.462)		-	-		-	-		-	-		(9,063,680)
Addt'l units allocated *		-	74.726		-	-		-	-		-	-		-	0.043		-	79.118		-
Net income before profit
share to Managing Owner:		15,309,047	-		5,138	-		1,919,373	-		420,535	-		27	-		548,528	-		18,202,648
Managing Owner's profit share:		-	-		(1,014)	-		(380,649)	-		-	-		-	-		-	-		(381,663)
Trust capital at
March 31, 2016	$	187,735,920	158,511.344	$	9,999	6.799	$	21,088,187	14,144.151	$	4,804,028	2,767.996	$	9,286	7.841	$	5,917,253	4,996.118	$	219,564,673

Net asset value per unit outstanding
at March 31, 2016:	$	1,184.37		$	1,470.66		$	1,490.95		$	1,735.56

* 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 March 31:	2017															2016
		Series 1				Series 2				Series 3			Series 4				Series 1				Series 2			Series 3			Series 4
Net income (loss) from operations:
Net investment loss					$ (19.22)				$ (9.44)			$ (8.59)			$ (0.82)					$ (19.64)			$ (10.11)			$ (9.26)			$ (2.00)
Net realized and unrealized gains on trading of futures and forward currency contracts					54.08				70.18			71.37			85.06					111.15			150.27			141.75			161.46
Net gains (losses) from U.S. Treasury obligations					(0.38)				(0.51)			(0.61)			(0.68)					0.99			1.28			1.25			1.42
Profit share allocated to Managing Owner					0.00				(11.69)			(12.04)			0.00					0.00			(36.08)			(26.51)			0.00
Net income per unit					$ 34.48				$ 48.54			$ 50.13			$ 83.56					$ 92.50			$ 105.36			$ 107.23			$ 160.88

Net asset value per unit, beginning of period					1,196.11				1,522.28			1,545.19			1,838.98					1,091.87			1,365.30			1,383.72			1,574.68

Net asset value per unit, end of period					$ 1,230.59				$ 1,570.82			$ 1,595.32			$ 1,922.54					$ 1,184.37			$ 1,470.66			$ 1,490.95			$ 1,735.56
Total return and ratios for the three months ended March 31:			2017																2016
				Series 1				Series 2				Series 3			Series 4					Series 1			Series 2			Series 3			Series 4
RATIOS TO AVERAGE CAPITAL:
Net investment loss (a)				(6.34)			%	(2.44)			%	(2.19)		%	(0.17)			%		(6.69)		%	(2.76)		%	(2.51)		%	(0.47)	%
Total expenses (a)				6.92			%	3.02			%	2.78		%	0.76			%		6.99		%	3.06		%	2.81		%	0.77	%
Profit share allocation (b) (c)				0.00				0.76				0.77			0.00					0.00			2.46			1.79			0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION				6.92			%	3.78			%	3.55		%	0.76			%		6.99		%	5.52		%	4.60		%	0.77	%
Total return before profit share allocation (b)				2.88			%	3.95			%	4.01		%	4.54			%		8.47		%	10.18		%	9.54		%	10.22	%
Less: Profit share allocation (b)				0.00				0.76				0.77			0.00					0.00			2.46			1.79			0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION				2.88			%	3.19			%	3.24		%	4.54			%		8.47		%	7.72		%	7.75		%	10.22	%
(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 during 2016.

See notes to financial statements (unaudited)

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 March 31, 2017 and December 31, 2016 (unaudited) and the results of its operations for the three months ended March 31, 2017 and 2016 (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, 2016. The December 31, 2016 information has been derived from the audited financial statements as of December 31, 2016.

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, 2013 to 2016, 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 2016.

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.

The Trust is an investment company following the accounting and reporting guidance put forth in Accounting Standard Update (“ASU”) 2013-08, “Financial Services — Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements”.

During the three months ended March 31, 2017 and 2016, 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 March 31, 2017 and December 31, 2016 in valuing the Trust’s investments at fair value. At March 31, 2017 and December 31, 2016, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of March 31, 2017


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	201,269,643	$	-	$	201,269,643
Short-term money market fund*		17,097,171		-		17,097,171
Exchange-traded futures contracts
Energies		(129,888)		-		(129,888)
Grains		569,360		-		569,360
Interest rates		1,863,056		-		1,863,056
Livestock		710		-		710
Metals		50,098		-		50,098
Softs		415,731		-		415,731
Stock indices		924,965		-		924,965

Total exchange-traded futures contracts		3,694,032		-		3,694,032

Over-the-counter forward currency contracts		-		213,425		213,425

Total futures and forward currency contracts (2)		3,694,032		213,425		3,907,457

Total financial assets at fair value	$	222,060,846	$	213,425	$	222,274,271

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	33,544,608
Investments in U.S. Treasury notes held in custody						167,725,035
Total investments in U.S. Treasury notes					$	201,269,643

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	4,713,576
Net unrealized depreciation on open futures and forward currency contracts						(806,119)
Total net unrealized appreciation on open futures and forward currency contracts					$	3,907,457

*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, 2016


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	201,393,964	$	-	$	201,393,964
Short-term money market fund*		18,621,676		-		18,621,676
Exchange-traded futures contracts
Energies		(30,169)		-		(30,169)
Grains		28,884		-		28,884
Interest rates		2,204,441		-		2,204,441
Livestock		(790)		-		(790)
Metals		347,170		-		347,170
Softs		(16,816)		-		(16,816)
Stock indices		870,711		-		870,711

Total exchange-traded futures contracts		3,403,431		-		3,403,431

Over-the-counter forward currency contracts		-		1,661,635		1,661,635

Total futures and forward currency contracts (2)		3,403,431		1,661,635		5,065,066

Total financial assets at fair value	$	223,419,071	$	1,661,635	$	225,080,706

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	26,059,657
Investments in U.S. Treasury notes held in custody						175,334,307
Total investments in U.S. Treasury notes					$	201,393,964

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	5,065,066
Net unrealized depreciation on open futures and forward currency contracts						-
Total net unrealized appreciation on open futures and forward currency contracts					$	5,065,066

*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 March 31, 2017, 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 March 31, 2017 and December 31, 2016. 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 March 31, 2017


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

Futures contracts:
Energies	$	284,300	$	(6,074)	$	570	$	(408,684)	$	(129,888)
Grains		-		-		679,597		(110,237)		569,360
Interest rates		2,086,182		(223,126)		-		-		1,863,056
Livestock		230		-		1,830		(1,350)		710
Metals		417,425		(240,929)		232,844		(359,242)		50,098
Softs		6,240		-		411,798		(2,307)		415,731
Stock indices		1,263,780		(343,637)		52,299		(47,477)		924,965

Total futures contracts		4,058,157		(813,766)		1,378,938		(929,297)		3,694,032

Forward currency contracts		3,298,611		(836,628)		883,229		(3,131,787)		213,425

Total futures and
forward currency contracts	$	7,356,768	$	(1,650,394)	$	2,262,167	$	(4,061,084)	$	3,907,457

Fair Value of Futures and Forward Currency Contracts at December 31, 2016


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

Futures contracts:
Energies	$	79,741	$	(16,072)	$	23,290	$	(117,128)	$	(30,169)
Grains		-		(2,530)		89,139		(57,725)		28,884
Interest rates		2,585,506		(349,679)		89		(31,475)		2,204,441
Livestock		1,910		-		-		(2,700)		(790)
Metals		659,138		(532,399)		453,344		(232,913)		347,170
Softs		240		(9,850)		70,445		(77,651)		(16,816)
Stock indices		1,809,601		(628,745)		20,868		(331,013)		870,711

Total futures contracts		5,136,136		(1,539,275)		657,175		(850,605)		3,403,431

Forward currency contracts		466,082		(1,149,281)		2,847,995		(503,161)		1,661,635

Total futures and
forward currency contracts	$	5,602,218	$	(2,688,556)	$	3,505,170	$	(1,353,766)	$	5,065,066

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2017 and 2016 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 months ended March 31, 2017 and 2016


		Three months ended:		Three months ended:
Sector		March 31, 2017		March 31, 2016

Futures contracts:
Energies	$	(1,017,651)	$	920,402
Grains		(489,016)		165,002
Interest rates		67,959		15,368,199
Livestock		(92,110)		11,460
Metals		56,990		(637,773)
Softs		184,670		(662,854)
Stock indices		10,801,645		3,939,671

Total futures contracts		9,512,487		19,104,107

Forward currency contracts		603,025		2,101,557

Total futures and forward currency contracts	$	10,115,512	$	21,205,664

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the three months ended March 31, 2017 and 2016. The Trust’s average net asset value for the three months ended March 31, 2017 and 2016 was approximately $227,000,000 and $223,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2017 and 2016


		2017				2016
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	7,957,082	$	10,158,136	$	3,971,208	$	18,909,995
Grains		158,300		17,098,915		2,489,469		15,591,309
Interest rates		401,596,132		5,150,911		445,419,039		12,751,120
Livestock		41,230		599,760		113,190		1,281,735
Metals		15,380,613		8,560,185		2,055,413		20,402,703
Softs		525,363		5,426,613		2,468,782		2,061,371
Stock indices		172,686,395		14,532,403		82,375,680		17,486,803

Total futures
contracts		598,345,115		61,526,923		538,892,781		88,485,036

Forward currency
contracts		77,486,709		140,104,485		88,193,189		84,936,767

Total average
notional	$	675,831,824	$	201,631,408	$	627,085,970	$	173,421,803

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 March 31, 2017 and 2016. 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.

Offsetting of derivative assets at March 31, 2017


		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	$	3,024,520	$	(558,964)	$	2,465,556
Counterparty I		2,412,575		(1,184,099)		1,228,476
Total futures contracts		5,437,095		(1,743,063)		3,694,032

Forward currency contracts
Counterparty H		3,063,926		(2,044,382)		1,019,544
Total forward currency contracts		3,063,926		(2,044,382)		1,019,544

Total assets	$	8,501,021	$	(3,787,445)	$	4,713,576
						(Continued)

		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 G	$	1,924,033	$	(1,117,914)	$	806,119

Total liabilities	$	1,924,033	$	(1,117,914)	$	806,119
						(Concluded)


				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	$	2,465,556	$	-	$	(2,465,556)	$	-
Counterparty H		1,019,544		-		-		1,019,544
Counterparty I		1,228,476		-		(1,228,476)		-

Total	$	4,713,576	$	-	$	(3,694,032)	$	1,019,544

				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 G	$	806,119	$	-	$	-	$	806,119

Total	$	806,119	$	-	$	-	$	806,119

(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 March 31, 2017.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of March 31, 2017.

Offsetting of derivative assets and liabilities at December 31, 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	$	3,694,763	$	(1,127,511)	$	2,567,252
Counterparty I		2,098,548		(1,262,369)		836,179
Total futures contracts		5,793,311		(2,389,880)		3,403,431

Forward currency contracts
Counterparty G		1,572,076		(681,507)		890,569
Counterparty H		1,742,001		(970,935)		771,066
Total forward currency contracts		3,314,077		(1,652,442)		1,661,635

Total assets	$	9,107,388	$	(4,042,322)	$	5,065,066


				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	$	2,567,252	$	-	$	(2,567,252)	$	-
Counterparty G		890,569		-		-		890,569
Counterparty H		771,066		-		-		771,066
Counterparty I		836,179		-		(836,179)		-

Total	$	5,065,066	$	-	$	(3,403,431)	$	1,661,635

(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, 2016.

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 $14,419,436 and $12,403,596 at March 31, 2017 and December 31, 2016, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2017 and 2016. 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:
	March 31,		March 31,
	2017		2016
Profit share earned	$	1,093	$	9,259
Profit share accrued		198,645		372,404
Total profit share	$	199,738	$	381,663

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 March 31, 2017 and December 31, 2016, The Managing Owner is owed $82,432 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 March 31, 2017 or December 31, 2016.

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 March 31,		Date of first issuance
	2017	2016

Series 1	157,108.874	162,985.543	July 23, 2001
Series 2	6.797	28.103	April 1, 2010
Series 3	16,580.345	14,360.918	September 1, 2009
Series 4	3,160.063	2,671.886	November 1, 2010

7. BROKERAGE AND CUSTODIAL FEES

For the three months ended March 31, 2017 and 2016, brokerage and custodial fees were as follows:


	Three months ending March 31,
	2017	2016

Brokerage fees	$ 3,250,325	$ 3,300,324
Custodial fees	7	26

Total	$ 3,250,332	$ 3,300,350

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 months ended March 31, 2017 and 2016, 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 March 31,
	2017	2016

Brokerage fee rebates	$ 191,820	$ 193,666

8. SUBSEQUENT EVENTS

The Managing Owner has performed its evaluation of subsequent events from April 1, 2017 to May 12, 2017, the date the form 10-Q was filed. Based on such evaluation, no events were discovered that required disclosure or adjustment to the financial statements.

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

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

OPERATIONAL OVERVIEW

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

LIQUIDITY AND CAPITAL RESOURCES

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

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

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

The Trust trades futures, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward contracts on currencies. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally 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 months ended March 31, 2017, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

The Trust records its transactions in futures, forward and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Trust on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the 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 number of Months to Maturity, then identifying the Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The Managing Owner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

RESULTS OF OPERATIONS

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

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


Period ended March 31, 2017

Month Ending:		Total Trust Capital

March 31, 2017	$	225,087,212
December 31, 2016		223,164,728


		Three Months Ended
Change in Trust Capital	$	1,922,484
Percent Change		0.86%

THREE MONTHS ENDED MARCH 31, 2017

The increase in the Trust’s net assets of $1,922,484 for the three months ended March 31, 2017 was attributable to net income after profit share of $6,819,191 and subscriptions of $5,860,516 which were partially offset by redemptions of $10,757,223.

Brokerage and custodial fees are calculated on the net asset value of the series 1 unites 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 March 31, 2017 decreased $48,172 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2016 due to a decrease in the series 1 Trust’s net assets.

Management fees are calculated on the net asset value of series 2 and series 3 units on the last day of each month and are affected by the trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2017 increased $23,016 relative to the corresponding period in 2016 due to the increase in series 2 and series 3 net assets.

Administrative expenses for the three months ended March 31, 2017 increased $8,181 relative to the corresponding period in 2016. The increase was due mainly to an increase in the administrative expense accrual estimate during the three months ended March 31, 2017 relative to the corresponding period in 2016.

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 March 31, 2017 increased $164,934 relative to the corresponding period in 2016. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2017.

During the three months ended March 31, 2017, the Trust experienced net realized and unrealized gains of $10,184,874 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of 3,250,332, administrative

expenses of $298,537, custody fees and other expenses of $10,918 and management fees of $131,123 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $333,145, and the Managing Owner commission rebate to Unitholders of $191,820 was partially offset by the Trust's expenses and profit share of $199,738, resulting in net income after profit share to the Managing Owner of $6,819,191. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.27	%
Energies	(0.44)	%
Grains	(0.22)	%
Interest rates	0.03	%
Livestock	(0.04)	%
Metals	0.02	%
Softs	0.07	%
Stock indices	4.86	%

Trading gain	4.55	%

MANAGEMENT DISCUSSION –2017

Three months ended March 31, 2017

The Trust registered a solid first quarter gain due to profits from long equity futures positions. Trading of currency forwards was slightly profitable, trading of commodity futures was fractionally negative and trading of interest rate futures was essentially flat.

According to the Brookings Institution and the Financial Times, the global economic recovery is now “broad-based and stable.” Morgan Stanley concurs, stating that a “…synchronous global recovery…is exhibiting more self-sustaining characteristics.” Against this background, long positions in U.S., European and Asian equity futures were broadly profitable. A long VIX trade was also profitable. Short positions in Indian and South African stock futures were marginally negative. Neither the fading of the positive impulses from the Trump election victory nor an increase in political and geopolitical tensions was able to blunt this equity advance.

The U.S. dollar, which had risen sharply during 2016’s fourth quarter, was volatile and weakened during the first three months of 2017 as the difficult reality of governing diminished the election euphoria for the Trump administration. Profits from short U.S. dollar trades versus the currencies of Australia, Brazil, India, Mexico, Russia, and Turkey were offset by the losses from long U.S. dollar positions versus the euro and the currencies of Great Britain, Canada, Japan, Korea, New Zealand, Norway, Sweden and Singapore. Meanwhile, a long euro/short Polish zloty trade and a short euro/long Turkish lira position were each slightly profitable.

Interest rates rose early in the period in response to the improving economic outlook and to evidence that central banks worldwide were pulling back from the long era of ultralow interest rates and quantitative easing. Indeed the U.S. Federal Reserve (the “Fed”) did raise its official rate again by ¼% during the quarter. Moreover, Mario Draghi indicated that “there is no longer the sense of urgency in taking further actions.” The People’s Bank of China (the “PBOC”) edged toward a tighter policy during the quarter, as well. Finally, the Bank of England and the Bank of Japan issued improved outlooks for their economies. Later on, however, political tensions in the U.S., Great Britain, the Netherlands, France, Turkey and South Africa and geopolitical tensions and terrorism involving North Korea, South Korea, the U.K., Canada and Syria produced a flight to safety and declining rates. On balance, the sector was flat for the quarter and at month-end the Trust’s interest rate futures positions remained generally long.

Energy prices were volatile and range-bound in the quarter. Production cut efforts by the Organization of the Petroleum Exporting Countries buoyed prices at times, while increasing U.S. shale production weighed on prices at other times. A long RBOB gasoline position was unprofitable as was trading of crude oil and London gas oil.

Trading of metal futures was nearly flat as small profits from long aluminum and zinc positions offset small losses from short gold and silver positions.

Trading of soft and agricultural commodities was marginally unprofitable. Grain trading was unprofitable due to losses from a short corn trade early in the period and from long soybean and soybean meal positions. A short wheat position was profitable in March. A short sugar position was also profitable in March. Trading of livestock was slightly negative.


Period ended March 31, 2016

Month Ending:		Total Trust Capital

March 31, 2016	$	219,564,673
December 31, 2015		208,845,956


		Three Months Ended
Change in Trust Capital	$	10,718,717
Percent Change		5.13%

THREE MONTHS ENDED MARCH 31, 2016

The increase in the Trust’s net assets of $10,718,717 for the three months ended March 31, 2016 was attributable to net income after profit share of $17,820,985 and subscriptions of $1,961,412 which was partially offset by redemptions of $9,063,680.

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 March 31, 2016 decreased (net of $193,666 Managing Owner commission rebate to unitholders) $366,740 relative to the corresponding period in 2015 due to a decrease in the Trust’s net assets.

Administrative expenses for the three months ended March 31, 2016 decreased $16,708 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 March 31, 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 March 31, 2016 increased $95,399 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 March 31, 2016 relative to the corresponding period in 2015.

During the three months ended March 31, 2016, the Trust experienced net realized and unrealized gains of $21,549,147 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage and custodial fees of $3,300,350, administrative expenses of $290,356, custody fees and other expenses of $9,563 and management fees of $108,107 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $168,211, and Managing Owner commission rebate to unitholders of $193,666 partially offset the Trust's expenses and profit share of $381,663, resulting in net income after profit share to the Managing Owner of $17,820,985. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	0.98	%
Energies	0.49	%
Grains	0.10	%
Interest rates	7.37	%
Livestock	0.04	%
Metals	(0.27)	%
Softs	(0.28)	%
Stock indices	1.76	%

Trading gain	10.19	%

MANAGEMENT DISCUSSION –2016

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.

OFF-BALANCE SHEET ARRANGEMENTS

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

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot,

option and swap contracts, both long (contracts to buy) and short (contacts to sell). The Trust may also engage in trading swaps. All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at March 31, 2017.

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 average trading Value at Risk associated with the Trust's open positions by market category for the quarter ended March 31, 2017. During the three months ended March 31, 2017, the Trust's average total capitalization was approximately $227,000,000.

Sector		Average value at risk	% of Average Capitalization		High value at risk		Low value at risk
Currencies	$	6.8	3.0%	$	6.8	$	6.8
Energies		1.3	0.6%		1.3		1.3
Grains		1.2	0.5%		1.2		1.2
Interest rates		5.9	2.6%		5.9		5.9
Livestock		0.0	0.0%		0.0		0.0
Metals		1.1	0.5%		1.1		1.1
Softs		0.5	0.2%		0.5		0.5
Stock indices		9.0	4.0%		9.0		9.0
	$	25.8	11.4%

Average, Value at Risk amounts relate to the quarter-end amounts for the three months ended March 31, 2017. Average capitalization is the average of the Trust's approximate capitalization at the end of each of the three months ended March 31, 2017. 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 its evaluation, has 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 March 31, 2017 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.

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 March 31, 2017.

(b)

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

The following table summarizes the redemptions by Unitholders during the three months ended March 31, 2017.


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

January 31, 2017	1,959.232	$	1,187.21	55.611	$	1,539.36
February 28, 2017	2,626.336		1,221.19	127.570		1,580.70
March 31, 2017	2,131.789		1,230.59	1,450.108		1,595.32
Total	6,717.357			1,633.289

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 President and 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 President and 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: May 12, 2017
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - May 12, 2017

Attached files

GLOBAL MACRO TRUST Reports