GLOBAL MACRO TRUST - FORM 10-Q

Attached files

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EX-32.4 - EX-32.4 - GLOBAL MACRO TRUST	c765-20210331xex32_4.htm
EX-32.3 - EX-32.3 - GLOBAL MACRO TRUST	c765-20210331xex32_3.htm
EX-32.2 - EX-32.2 - GLOBAL MACRO TRUST	c765-20210331xex32_2.htm
EX-32.1 - EX-32.1 - GLOBAL MACRO TRUST	c765-20210331xex32_1.htm
EX-31.4 - EX-31.4 - GLOBAL MACRO TRUST	c765-20210331xex31_4.htm
EX-31.3 - EX-31.3 - GLOBAL MACRO TRUST	c765-20210331xex31_3.htm
EX-31.2 - EX-31.2 - GLOBAL MACRO TRUST	c765-20210331xex31_2.htm
EX-31.1 - EX-31.1 - GLOBAL MACRO TRUST	c765-20210331xex31_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, 2021


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

Commission File Number: 000-50102

GLOBAL MACRO TRUST

(Exact name of registrant as specified in its charter)


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

c/o MILLBURN RIDGEFIELD CORPORATION

55 West 46th Street, 31st Floor

New York, NY 10036

(Address of principal executive offices) (Zip code)

(212) 332-7300

(Registrant's telephone number, including area code)

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


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

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

Yes ☒ No ☐

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

Yes ☒ No ☐

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

Large accelerated filer ☐

Accelerated filer ☐

Non-accelerated filer ☐

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, 2021 and 2020 (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, 2021 (unaudited) and December 31, 2020
(b) For the three months ended March 31, 2021 and 2020 (unaudited)


Global Macro Trust
Statements of Financial Condition


		March 31, 2021 (unaudited)		December 31, 2020
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $14,270,635 and $16,247,126)	$	14,274,833	$	16,247,017
Net unrealized appreciation on open futures and
forward currency contracts		548,307		3,225,128
Due from brokers, net		4,140,974		3,489,150
Cash denominated in foreign currencies (cost $6,221,169
and $2,563,244)		6,184,937		2,695,800
Total equity in trading accounts		25,149,051		25,657,095

INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $81,505,045 and $81,311,242)		81,517,296		81,300,987
CASH AND CASH EQUIVALENTS		7,707,990		8,896,731
ACCRUED INTEREST RECEIVABLE		699,652		718,302
TOTAL	$	115,073,989	$	116,573,115

LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	567,820	$	21,514
Due to Managing Owner		54,868		-
Due to brokers, net		701,187		62
Accrued brokerage and custodial fees		392,366		404,092
Accrued management fees		41,191		43,291
Redemptions payable to Unitholders		2,098,942		1,830,466
Accrued expenses		171,714		102,997
Total liabilities		4,028,088		2,402,422


TRUST CAPITAL:
Managing Owner interest (2,682.525 and 2,645.415 units outstanding)		2,864,347		2,775,067
Series 1 Unitholders (68,964.778 and 72,959.433 units outstanding)		73,639,289		76,534,812
Series 3 Unitholders (12,791.984 and 13,756.807 units outstanding)		20,756,974		21,721,634
Series 4 Unitholders (4,105.288 and 3,983.338 units outstanding)		8,746,118		8,221,792
Series 5 Unitholders (3,285.964 and 3,289.070 units outstanding)		5,039,173		4,917,388
Total trust capital		111,045,901		114,170,693

TOTAL	$	115,073,989	$	116,573,115

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,067.78	$	1,049.01
Series 3 Unitholders	$	1,622.65	$	1,578.97
Series 4 Unitholders	$	2,130.45	$	2,064.05
Series 5 Unitholders	$	1,533.54	$	1,495.07

See notes to financial statements (unaudited)


Global Macro Trust
Condensed Schedule of Investments (unaudited)
March 31, 2021

FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized Appreciation/ (Depreciation) as a % of Trust Capital			Net Unrealized Appreciation/ (Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Energies	(0.34)	%	$	(373,123)
Grains	0.27			298,652
Interest rates	(0.58)			(639,963)
Metals	0.13			145,039
Softs	(0.01)			(11,515)
Stock indices	0.34			375,818

Total long futures contracts	(0.19)			(205,092)

Short futures contracts:
Grains	0.08			84,425
Interest rates	0.02			21,172
Livestock	(0.01)			(14,660)
Metals	0.08			89,358
Softs	0.13			146,420
Stock indices	0.28			310,012

Total short futures contracts	0.58			636,727

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.39			431,635

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(3.27)			(3,632,503)
Total short forward currency contracts	2.86			3,181,355

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.41)			(451,148)

TOTAL	(0.02)	%	$	(19,513)

				(Continued)


Global Macro Trust
Condensed Schedule of Investments (unaudited)
March 31, 2021
U.S. TREASURY NOTES

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

$	28,200,000	U.S. Treasury notes, 2.625%, 05/15/2021	25.47	%	$	28,289,226
	20,620,000	U.S. Treasury notes, 2.750%, 08/15/2021	18.76			20,831,838
	46,110,000	U.S. Treasury notes, 2.000%, 11/15/2021	42.03			46,671,065
		Total investments in U.S. Treasury notes
		(amortized cost $95,775,680)	86.26	%	$	95,792,129

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2020

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	%	$	138,030
Grains	0.51			581,390
Interest rates:
2 Year U.S. Treasury Note (69 contracts, settlement date March 2021)	0.00			2,242
5 Year U.S. Treasury Note (410 contracts, settlement date March 2021)	0.04			40,109
10 Year U.S. Treasury Note (338 contracts, settlement date March 2021)	0.03			33,031
30 Year U.S. Treasury Bond (95 contracts, settlement date March 2021)	0.02			17,500
Other	0.23			264,392

Total interest rates	0.32			357,274

Metals	0.93			1,059,925
Softs	0.05			56,726
Stock indices	0.69			787,606

Total long futures contracts	2.62			2,980,951

Short futures contracts:
Energies	0.08			95,700
Grains	(0.05)			(55,413)
Interest rates	(0.00)			(4,183)
Livestock	(0.00)			(1,230)
Metals	(0.19)			(216,397)
Softs	(0.02)			(19,818)
Stock indices	0.11			123,731

Total short futures contracts	(0.07)			(77,610)

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	2.55			2,903,341

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.43			1,637,406
Total short forward currency contracts	(1.17)			(1,337,133)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.26			300,273

TOTAL	2.81	%	$	3,203,614

				(Continued)


Global Macro Trust
Condensed Schedule of Investments
December 31, 2020
U.S. TREASURY NOTES

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

$	48,010,000	U.S. Treasury notes, 2.250%, 02/15/2021	42.15	%	$	48,131,900
	28,200,000	U.S. Treasury notes, 2.625%, 05/15/2021	24.93			28,459,418
	20,620,000	U.S. Treasury notes, 2.750%, 08/15/2021	18.36			20,956,686
		Total investments in U.S. Treasury notes
		(amortized cost $97,558,368)	85.44	%	$	97,548,004

See notes to financial statements (unaudited)						(Concluded)


Global Macro Trust
Statements of Operations (unaudited)

		For the three months ended
		March 31, 2021		March 31, 2020
INVESTMENT INCOME:
Interest income, net	$	8,921	$	660,196

EXPENSES:
Brokerage fees		1,316,306		1,703,196
Administrative expenses		213,686		290,507
Custody fees and other expenses		5,027		7,199
Management fees		124,232		172,127
Total expenses		1,659,251		2,173,029

Managing Owner commission rebate to Unitholders		(168,897)		(146,939)

Net expenses		1,490,354		2,026,090

NET INVESTMENT LOSS		(1,481,433)		(1,365,894)

NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		7,264,990		(30,086,957)
Foreign exchange transactions		7,774		(175,890)
Net change in unrealized:
Futures and forward currency contracts		(3,223,127)		3,967,472
Foreign exchange translation		(168,788)		(213,057)
Net gains (losses) from U.S. Treasury notes:
Realized		(293)		95,548
Net change in unrealized		26,813		544,570
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		3,907,369		(25,868,314)


NET INCOME (LOSS)		2,425,936		(27,234,208)
LESS PROFIT SHARE TO MANAGING OWNER		-		-
NET INCOME (LOSS) AFTER PROFIT SHARE TO (FROM) MANAGING OWNER	$	2,425,936	$	(27,234,208)

NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	18.77	$	(212.16)
Series 3 Unitholders	$	43.68	$	(291.02)
Series 4 Unitholders	$	66.40	$	(365.56)
Series 5 Unitholders	$	38.47	$	(280.26)


See notes to financial statements (unaudited)


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

For the three months ended March 31, 2021:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2021	$	76,534,812	72,959.433	$	21,721,634	13,756.807	$	8,221,792	3,983.338	$	4,917,388	3,289.070	$	-	-	$	2,775,067	2,645.415	$	114,170,693
Subscriptions		-	-		-	-		374,362	179.537		-	-		-	-		-	-		374,362
Redemptions		(4,278,794)	(4,059.301)		(1,525,553)	(964.823)		(115,955)	(57.587)		(4,788)	(3.106)		-	-		-	-		(5,925,090)
Addt'l units allocated *		-	64.646		-	-		-	-		-	-		-	-		-	37.110		-
Net income
before profit share to Managing Owner		1,383,271	-		560,893	-		265,919	-		126,573	-		-	-		89,280	-		2,425,936
Profit share to Managing Owner:		-	-		-	-		-	-		-	-		-	-		-	-		-
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
March 31, 2021	$	73,639,289	68,964.778	$	20,756,974	12,791.984	$	8,746,118	4,105.288	$	5,039,173	3,285.964	$	-	-	$	2,864,347	2,682.525	$	111,045,901

Net asset value per unit outstanding
at March 31, 2021:	$	1,067.78		$	1,622.65		$	2,130.45		$	1,533.54

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

See notes to financial statements (unaudited)


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

For the three months ended March 31, 2020:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount

Trust capital at
January 1, 2020	$	107,565,649	88,422.039	$	34,128,621	19,430.353	$	9,261,037	4,104.713	$	4,624,421	2,759.746	$	-	-	$	4,230,810	3,477.855	$	159,810,538
Subscriptions		-	-		1,233,000	713.599		624,200	276.403		939,655	569.413		-	-		-	-		2,796,855
Redemptions		(5,437,964)	(5,155.530)		(927,207)	(625.532)		(277,993)	(130.337)		(43,089)	(30.880)		-	-		(1,200,000)	(989.238)		(7,886,253)
Addt'l units allocated *		-	74.230		-	-		-	-		-	-		-	-		-	42.320		-
Net loss
before profit share to Managing Owner		(18,424,832)	-		(5,831,377)	-		(1,570,571)	-		(918,539)	-		-	-		(488,889)	-		(27,234,208)
Profit share to Managing Owner:		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
March 31, 2020	$	83,702,853	83,340.739	$	28,603,037	19,518.420	$	8,036,673	4,250.779	$	4,602,448	3,298.279	$	-	-	$	2,541,921	2,530.937	$	127,486,932

Net asset value per unit outstanding
at March 31, 2020:	$	1,004.34		$	1,465.44		$	1,890.64		$	1,395.41

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

See notes to financial statements (unaudited)																				(Concluded)


Global Macro Trust
Statements of Financial Highlights (unaudited)


For the three months ended March 31:	2021									2020
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
Net income (loss) from operations:
Net investment income (loss)		$ (17.20)		$ (12.19)		$ (6.81)		$ (14.38)			$ (14.33)		$ (5.06)		$ 2.65		$ (7.74)
Net realized and unrealized gains (loss) on trading of futures and forward currency contracts		35.72		55.49		72.72		52.50			(202.67)		(293.10)		(377.32)		(279.62)
Net gains from U.S. Treasury obligations		0.25		0.38		0.49		0.35			4.84		7.14		9.11		7.10
Profit share allocated (to) from Managing Owner		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
Net income (loss) per unit		$ 18.77		$ 43.68		$ 66.40		$ 38.47			$ (212.16)		$ (291.02)		$ (365.56)		$ (280.26)

Net asset value per unit, beginning of period		1,049.01		1,578.97		2,064.05		1,495.07			1,216.50		1,756.46		2,256.20		1,675.67

Net asset value per unit, end of period		$ 1,067.78		$ 1,622.65		$ 2,130.45		$ 1,533.54			$ 1,004.34		$ 1,465.44		$ 1,890.64		$ 1,395.41
Total return and ratios for the three months ended March 31:		2021									2020
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
RATIOS TO AVERAGE CAPITAL:
Net investment income (loss) (a)		(6.53)	%	(3.06)	%	(1.30)	%	(3.81)	%		(5.12)	%	(1.25)	%	0.51	%	(2.00)	%
Total expenses (a)		6.56	%	3.09	%	1.33	%	3.84	%		6.91	%	3.03	%	1.28	%	3.79	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.56	%	3.09	%	1.33	%	3.84	%		6.91	%	3.03	%	1.28	%	3.79	%
Total return before profit share allocation (b)		1.79	%	2.77	%	3.22	%	2.57	%		(17.44)	%	(16.57)	%	(16.20)	%	(16.73)	%
Less: Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		1.79	%	2.77	%	3.22	%	2.57	%		(17.44)	%	(16.57)	%	(16.20)	%	(16.73)	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.

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, 2021 and December 31, 2020 (audited) and the results of its operations for the three months ended March 31, 2021 and 2020 (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, 2020. The December 31, 2020 information has been derived from the audited financial statements as of December 31, 2020.

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.

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

Previously offered Series 1 Units and Series 2 Units are no longer being offered by the Trust, and as of August 31, 2017, all Series 2 Units issued by the Trust have been redeemed.

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.

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2017 to 2020, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required.

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

There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2020.

2. FAIR VALUE

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

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

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

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

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

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

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

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

During the three months ended March 31, 2021 and 2020, 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, 2021 and December 31, 2020 in valuing the Trust’s investments at fair value. At March 31, 2021 and December 31, 2020, the Trust held no assets or liabilities classified in Level 3.

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


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	95,792,129	$	-	$	95,792,129
Short-term money market fund*		7,457,990		-		7,457,990
Exchange-traded futures contracts
Energies		(373,123)		-		(373,123)
Grains		383,077		-		383,077
Interest rates		(618,791)		-		(618,791)
Livestock		(14,660)		-		(14,660)
Metals		234,397		-		234,397
Softs		134,905		-		134,905
Stock indices		685,830		-		685,830

Total exchange-traded futures contracts		431,635		-		431,635

Over-the-counter forward currency contracts		-		(451,148)		(451,148)

Total futures and forward currency contracts (2)		431,635		(451,148)		(19,513)

Total financial assets and liabilities at fair value	$	103,681,754	$	(451,148)	$	103,230,606

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	14,274,833
Investments in U.S. Treasury notes held in custody						81,517,296
Total investments in U.S. Treasury notes					$	95,792,129

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	548,307
Net unrealized depreciation on open futures and forward currency contracts						(567,820)
Total net unrealized depreciation on open futures and forward currency contracts					$	(19,513)

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

Financial Assets and Liabilities at Fair Value as of December 31, 2020


		Level 1		Level 2		Total

U.S. Treasury notes (1)	$	97,548,004	$	-	$	97,548,004
Short-term money market fund*		8,646,731		-		8,646,731
Exchange-traded futures contracts
Energies		233,730		-		233,730
Grains		525,977		-		525,977
Interest rates		353,091		-		353,091
Livestock		(1,230)		-		(1,230)
Metals		843,528		-		843,528
Softs		36,908		-		36,908
Stock indices		911,337		-		911,337

Total exchange-traded futures contracts		2,903,341		-		2,903,341

Over-the-counter forward currency contracts		-		300,273		300,273

Total futures and forward currency contracts (2)		2,903,341		300,273		3,203,614

Total financial assets and liabilities at fair value	$	109,098,076	$	300,273	$	109,398,349

Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	16,247,017
Investments in U.S. Treasury notes held in custody						81,300,987
Total investments in U.S. Treasury notes					$	97,548,004

(2)
Net unrealized appreciation on open futures and forward currency contracts					$	3,225,128
Net unrealized depreciation on open futures and forward currency contracts						(21,514)
Total net unrealized appreciation on open futures and forward currency contracts					$	3,203,614

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

3. DERIVATIVE INSTRUMENTS

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

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

The Trust engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Trust at March 31, 2021, 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.

Derivatives and Hedging (Topic 815) 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 a net 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 net 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 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.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at March 31, 2021 and December 31, 2020. 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, 2021


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

Futures contracts:
Energies	$	6,120	$	(379,243)	$	-	$	-	$	(373,123)
Grains		298,772		(120)		148,888		(64,463)		383,077
Interest rates		51,644		(691,607)		25,522		(4,350)		(618,791)
Livestock		-		-		-		(14,660)		(14,660)
Metals		698,938		(553,899)		368,979		(279,621)		234,397
Softs		620		(12,135)		150,619		(4,199)		134,905
Stock indices		468,307		(92,489)		388,937		(78,925)		685,830

Total futures contracts		1,524,401		(1,729,493)		1,082,945		(446,218)		431,635

Forward currency contracts		605,851		(4,238,354)		3,997,104		(815,749)		(451,148)

Total futures and
forward currency contracts	$	2,130,252	$	(5,967,847)	$	5,080,049	$	(1,261,967)	$	(19,513)

Fair Value of Futures and Forward Currency Contracts at December 31, 2020


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

Futures contracts:
Energies	$	161,072	$	(23,042)	$	139,340	$	(43,640)	$	233,730
Grains		581,440		(50)		-		(55,413)		525,977
Interest rates		432,675		(75,401)		-		(4,183)		353,091
Livestock		-		-		370		(1,600)		(1,230)
Metals		1,210,410		(150,485)		111,678		(328,075)		843,528
Softs		56,897		(171)		170		(19,988)		36,908
Stock indices		886,471		(98,865)		128,824		(5,093)		911,337

Total futures contracts		3,328,965		(348,014)		380,382		(457,992)		2,903,341

Forward currency contracts		2,106,424		(469,018)		505,995		(1,843,128)		300,273

Total futures and
forward currency contracts	$	5,435,389	$	(817,032)	$	886,377	$	(2,301,120)	$	3,203,614

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2021 and 2020 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, 2021 and 2020


		Three months ended:		Three months ended:
Sector		March 31, 2021		March 31, 2020

Futures contracts:
Energies	$	1,001,130	$	7,255,347
Grains		943,520		556,901
Interest rates		(2,904,623)		(2,448,455)
Livestock		(105,230)		292,590
Metals		(261,996)		(14,790)
Softs		52,263		(3,726)
Stock indices		6,335,242		(32,683,495)

Total futures contracts		5,060,306		(27,045,628)

Forward currency contracts		(1,018,443)		926,143

Total futures and forward currency contracts	$	4,041,863	$	(26,119,485)

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, 2021 and 2020. The Trust’s average net asset value for the three months ended March 31, 2021 and 2020 was approximately $113,000,000 and $148,000,000, respectively.

Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2021 and 2020


		2021				2020
Sector		Long Positions		Short Positions		Long Positions		Short Positions

Futures contracts:
Energies	$	16,101,552	$	1,611,960	$	13,993,988	$	8,540,602
Grains		11,611,803		3,286,913		1,988,530		6,149,337
Interest rates		255,928,130		11,675,007		101,137,390		111,766,915
Livestock		-		505,965		180,225		-
Metals		20,062,064		339,503		15,138,688		3,568,681
Softs		1,182,458		2,219,652		845,910		1,741,083
Stock indices		72,313,373		10,643,448		64,263,674		16,307,166

Total futures
contracts		377,199,380		30,282,448		197,548,405		148,073,784

Forward currency
contracts		55,470,962		33,930,631		16,406,527		41,456,735

Total average
notional	$	432,670,342	$	64,213,079	$	213,954,932	$	189,530,519

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, 2021 and 2020. 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), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust ceased clearing futures trades through SG Americas Securities, LLC. during November 2020. 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 FASB Accounting Standards Codification Topic 210, “Balance Sheet,” were met.

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition at March 31, 2021 and December 31, 2020.

Offsetting of derivative assets and liabilities at March 31, 2021


		Gross amounts of recognized assets		Gross amounts offset in the Statements of Financial Condition		Net amounts of assets presented in the Statements of Financial Condition
Assets
Futures contracts
Counterparty C	$	698,164	$	(460,845)	$	237,319
Counterparty J		238,009		(183,310)		54,699
Counterparty L		1,671,173		(1,531,556)		139,617
Total futures contracts		2,607,346		(2,175,711)		431,635

Forward currency contracts
Counterparty K		3,203,642		(3,086,970)		116,672

Total assets	$	5,810,988	$	(5,262,681)	$	548,307
						(Continued)

		Gross amounts of recognized liabilities		Gross amounts offset in the Statements of Financial Condition		Net amounts of liabilities presented in the Statements of Financial Condition
Liabilities
Forward currency contracts
Counterparty G		1,967,133		(1,399,313)		567,820

Total liabilities	$	1,967,133	$	(1,399,313)	$	567,820
						(Concluded)


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

Counterparty C	$	237,319	$	-	$	(237,319)	$	-
Counterparty J		54,699		-		(54,699)		-
Counterparty K		116,672		-				116,672
Counterparty L		139,617		-		(139,617)		-

Total	$	548,307	$	-	$	(431,635)	$	116,672

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

Counterparty G		567,820		-		(567,820)		-

Total	$	567,820	$	-	$	(567,820)	$	-

(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 and liabilities presented in the Statements
of Financial Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of March 31, 2021.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of March 31, 2021.

Offsetting of derivative assets and liabilities at December 31, 2020


		Gross amounts of recognized assets		Gross amounts offset in the Statements of Financial Condition		Net amounts of assets presented in the Statements of Financial Condition
Assets
Futures contracts
Counterparty C	$	715,230	$	(132,014)	$	583,216
Counterparty J		424,187		(43,675)		380,512
Counterparty L		2,569,930		(630,317)		1,939,613
Total futures contracts		3,709,347		(806,006)		2,903,341

Forward currency contracts
Counterparty G		1,205,861		(884,074)		321,787

Total assets	$	4,915,208	$	(1,690,080)	$	3,225,128

		Gross amounts of recognized liabilities		Gross amounts offset in the Statements of Financial Condition		Net amounts of liabilities presented in the Statements of Financial Condition
Liabilities
Forward currency contracts
Counterparty K	$	1,428,072	$	(1,406,558)	$	21,514

Total liabilities	$	1,428,072	$	(1,406,558)	$	21,514


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

Counterparty C	$	583,216	$	-	$	(583,216)	$	-
Counterparty G		321,787		-		-		321,787
Counterparty J		380,512		-		(380,512)		-
Counterparty L		1,939,613		-		(1,939,613)		-

Total	$	3,225,128	$	-	$	(2,903,341)	$	321,787
								(continued)
				Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net amounts of liabilities presented in the Statements of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount (4)

Counterparty K	$	21,514	$	-	$	(21,514)	$	-

Total	$	21,514	$	-	$	(21,514)	$	-
								(concluded)

(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is
guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial
Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2020.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2020.

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 DB and BA. The Trust’s concentration of credit risk associated with DB or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held by DB and BA. The amount of such credit risk was $10,601,045 and $6,959,196 at March 31, 2021 and December 31, 2020, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2021 and 2020. 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,
	2021		2020
Profit share earned	$	-	$	-
Profit share accrued		-		-
Total profit share	$	-	$	-

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, 2021 and December 31, 2020, The Managing Owner is owed $54,868 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, 2021 or December 31, 2020.

6. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series 1, Series 3, Series 4 and Series 5 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
	2021	2020

Series 1	71,776.439	87,700.811	July 23, 2001
Series 3	13,320.234	19,903.154	September 1, 2009
Series 4	4,091.171	4,296.139	November 1, 2010
Series 5	3,288.019	3,143.350	April 1, 2018

7. BROKERAGE AND CUSTODIAL FEES

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 units sold subsequent to August 12, 2009. During the three months ended March 31, 2021 and 2020, 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,
	2021	2020

Brokerage fee rebates	$ 168,897	$ 146,939

8. SUBSEQUENT EVENTS

The Managing Owner has performed its evaluation of subsequent events from April 1, 2021 to May 14, 2021, the date this 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 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 U.S. government securities or securities issued by federal agencies (or, to a limited extent, foreign government securities in connection with trading on non-U.S. exchanges), other Commodity Futures Trading Commission authorized investments or bank held or certain other money market instruments (e.g., bankers acceptances and Eurodollar or other time deposits), 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 to limited open interest in certain futures markets or to daily price fluctuation limits, for example, 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, 2021, 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.

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

RESULTS OF OPERATIONS

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

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, Series 4 Units were first issued on November 1, 2010 and Series 5 Units were first issued on April 1, 2018. The Trust’s past performance is not necessarily indicative of how it will perform in the future.


Period ended March 31, 2021

Month Ended:		Total Trust Capital

March 31, 2021	$	111,045,901
December 31, 2020		114,170,693


		Three Months ended
Change in Trust Capital	$	(3,124,792)
Percent Change		(2.74)%

THREE MONTHS ENDED MARCH 31, 2021

The decrease in the Trust’s net assets of $3,124,792 was attributable to redemptions of $5,925,090, which were partially offset by subscriptions of $374,362 and net income after profit share of $2,425,936.

Brokerage and custodial fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the three months ended March 31, 2021 decreased $408,848 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2020 due to a decrease in the Trust’s net assets attributable to Series 1 Units.

Administrative expenses for the three months ended March 31, 2021 decreased $76,821 relative to the corresponding period in 2020. The decrease was due mainly to a decrease in the Trust’s professional fees accrual during the three months ended March 31, 2021 relative to the corresponding period in 2020.

Management fees are calculated on the net asset value of the Series 3 and Series 5 units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2021 decreased $47,895 relative to the corresponding period in 2020 due to a decrease in management fee paying assets.

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, 2021 decreased $651,275 relative to the corresponding period in 2020. The decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2021.

During the three months ended March 31, 2021, the Trust experienced net realized and unrealized gains of $3,907,369 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,316,306, administrative expenses of $213,686, custody fees and other expenses of $5,027 and management fees of $124,232 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $8,921, and Managing Owner commission rebate to Unitholders of $168,897 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $2,425,936. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	(0.93)	%
Energies	0.91	%
Grains	0.80	%
Interest rates	(2.53)	%
Livestock	(0.12)	%
Metals	(0.24)	%
Softs	0.01	%
Stock indices	5.76	%

Trading gain	3.66	%

MANAGEMENT DISCUSSION –2021

Three months ended March 31, 2021

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

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

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

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

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

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

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

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


Period ended March 31, 2020

Month Ended:		Total Trust Capital

March 31, 2020	$	127,486,932
December 31, 2019		159,810,538


		Three Months ended
Change in Trust Capital	$	(32,323,606)
Percent Change		(20.23)%

THREE MONTHS ENDED MARCH 31, 2020

The decrease in the Trust’s net assets of $32,323,606 for the three months ended March 31, 2020 was attributable to redemptions of $7,886,253 and net loss after profit share of $27,234,208, which were partially offset by and subscriptions of $2,796,855.

Brokerage and custodial fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage and custodial fees for the three months ended March 31, 2020 decreased $493,455 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2019 due to a decrease in the Trust’s net assets attributable to Series 1 Units.

Management fees are calculated on the net asset value of the Series 3 and Series 5 units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended March 31, 2020 increased $25,093 relative to the corresponding period in 2019 due to an increase in management fee paying assets.

Administrative expenses for the three months ended March 31, 2020 increased $39,427 relative to the corresponding period in 2019. The increase was due mainly to an increase in the Trust’s professional fees accrual during the three months ended March 31, 2020 relative to the corresponding period in 2019.

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, 2020 decreased $302,630 relative to the corresponding period in 2019. The decrease was due predominantly to a decrease in short-term U.S. Treasury yields during the three months ended March 31, 2020 relative to the corresponding period in 2019.

During the three months ended March 31, 2020, the Trust experienced net realized and unrealized losses of $25,868,314 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,703,196, administrative expenses of $290,507, custody fees and other expenses of $7,199 and management fees of $172,127 were incurred. Interest income of $660,196, and Managing Owner commission rebate to Unitholders of $146,939 were partially offset by the Trust’s expenses resulting in net loss after profit share to the Managing Owner of $27,234,208. An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss) of Trust Capital
Currencies	0.57	%
Energies	4.83	%
Grains	0.31	%
Interest rates	(1.71)	%
Livestock	0.16	%
Metals	(0.07)	%
Softs	(0.03)	%
Stock indices	(20.54)	%

Trading loss	(16.48)	%

MANAGEMENT DISCUSSION –2020

Three months ended March 31, 2020

The Trust posted a sizable loss in the first quarter as the COVID-19 pandemic and its economic impacts spread across the globe, roiling financial and commodity markets. The onset of the oil price war between Saudi Arabia and Russia in early March added significantly to the market turmoil. Losses from long equity futures positions and, to a much lesser extent, from trading interest rate and metal futures far outpaced the profits from trading energy futures, currency forwards and soft and agricultural commodity futures.

Equity futures, which had been underpinned early in January by the U.S.-China trade deal, accommodative global monetary policy and the conservative election victory in Great Britain, collapsed as COVID-19 spread from China to the Middle East to Europe to the U.S.A. and became a global pandemic. As the potential scope and duration of the damage to global demand became evident, the selling of equities and other financial investments cascaded violently. In response, strong, coordinated and unprecedented monetary and fiscal measures were implemented by countries across the globe. For example in the U.S., the Federal Reserve (the “Fed”), at two emergency meetings, cut interest rates by 1.5% to near zero; the Fed also expanded the magnitude and scope of its QE, swap lines and other lending facilities well beyond that seen during the Global Financial Crisis; and a fiscal stimulus package measured at about 10% of GDP was assembled in about a week and was added to two smaller packages announced early in March. While these policy efforts did give a fillip to financial markets and help to stabilize them, the damage to equity prices and markets remained large. Broad-based losses were sustained on a short vix trade and on long positions in U.S., Canadian, European, British, Japanese, non-Japan Asian and emerging markets equity index futures, especially in the second half of the quarter.

Interest rates on government debt were buffeted by a variety of cross currents during the quarter including: the actual and anticipated negative impact of the pandemic on global growth; a flight to safety that boosted demand for government debt; a rush for liquidity and U.S. dollars that at times led to a forced liquidation of government debt; 27 central banks cutting official rates 68 times during March, according to centralbankrates.com; and central banks creating numerous massive liquidity provision and QE programs in order to stabilize struggling financial markets globally. Overall, short positions in U.S., German and Canadian note and bond futures posted losses and were reversed to long positions. Trading of British Gilts, long positions in French and Australian bond futures and a long position in the short-term euribor future were also unprofitable, particularly in mid-March, when market participants sought liquidity. Long positions in short-term British, Italian and U.S. dollar interest rate futures and in Japanese government bond futures produced partially offsetting profits. A long position in the 5-year U.S. note in January was also profitable.

Metal trading was fractionally unprofitable. Industrial metal prices declined and the price of silver, which had been supported for a time as a safe haven precious metal, succumbed to profit-taking and to a dramatic weakening in industrial demand and a long position was unprofitable. A long platinum position was also unprofitable. On the other hand, short copper, aluminum, nickel and zinc positions were profitable and a long gold trade also posted a gain.

Oil prices fell to their lowest levels in 17 years as demand collapsed due to shelter-in-place orders, travel bans and other efforts to mitigate the pandemic, and as supply surged due to the unrelenting price war between Saudi Arabia and Russia. The price of WTI crude oil, which had eased down from $61/barrel at the end of 2019 to about $54/barrel on February 20, plunged precipitously thereafter, falling to under $20/barrel on March 30. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, heating oil and natural gas were highly profitable, particularly in March.

Foreign exchange rates were buffeted by a variety of cross currents from interest rate, liquidity, safe haven and energy price influences during the quarter. Performance in these instruments was mixed but slightly profitable. Long U.S. dollar trades against the Brazilian real, Russian ruble, Aussie dollar and a few other emerging market currencies were profitable. A long euro/short Norway trade was also profitable in the wake of the oil price collapse. On the other hand, long U.S. dollar trades versus the euro, yen, Singapore dollar, and Swedish krona were unprofitable, as was trading versus the British, Canadian, Indian, South African, Norwegian, Polish and New Zealand currencies.

Trading of soft and agricultural commodity futures was fractionally profitable.

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 Schedules 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, 2021 and December 31, 2020.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

ITEM 4. CONTROLS AND PROCEDURES

The Managing Owner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Trust as of the end of the period covered by this quarterly report, and, based on 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, 2021 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

Not required.

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

(a)

There have been no sales of unregistered securities of the Trust during the three months ended March 31, 2021.

(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, 2021.


	Series 1			Series 3			Series 4			Series 5
Date of Redemption	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit

January 31, 2021	1,304.013	$	1,018.59	501.412	$	1,538.13	57.587	$	2,013.59	-	$	1,455.48
February 28, 2021	1,017.676		1,076.15	313.314		1,630.19	-		2,137.22	3.106		1,541.63
March 31, 2021	1,737.612		1,067.78	150.097		1,622.65	-		2,130.45	-		1,533.54
Total	4,059.301			964.823			57.587			3.106

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 Operating Officer

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

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of President and Chief Operating Officer

32.04 Section 1350 Certification of Chief Financial Officer

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF XBRL Taxonomy Extension Definition Linkbase Document

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 14, 2021
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

GLOBAL MACRO TRUST - FORM 10-Q - May 14, 2021

Attached files

GLOBAL MACRO TRUST Reports