10-Q 1 wr10q901.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q [X] Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the Quarterly Period Ended: September 30, 2001 or [ ] Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 0-26932 THE MILLBURN WORLD RESOURCE TRUST (Exact name of registrant as specified in its charter) Delaware 06-6415-583 (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) Registrant's telephone number, including area code: (203) 625-7554 Securities registered pursuant to Section 12(b) of the Act: None Securities registered pursuant Units of Beneficial Interest to Section 12(g) of the Act: (Title of Class) Indicate by check mark whether the registrant (1) filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes [X] No [ ] Aggregate market value of the voting and non-voting common equity held by non-affiliates: $27,070,615.00. THE MILLBURN WORLD RESOURCE TRUST INDEX Part I - Financial Information Financial Statements: Pages Statements of Financial Condition at September 30, 2001 and December 31, 2000 (unaudited) 1 Statements of Operations for the Periods Ended September 30, 2001 and 2000 (unaudited) 2 Condensed Schedule of Investments at September 30, 2001 (unaudited) 4 Statements of Changes in Trust Capital for the Periods Ended September 30, 2001 (unaudited) 5 Changes in Net Asset Value per Unit for the periods ended September 30, 2001 and 2000 (unaudited) 6 Notes to Financial Statements (unaudited) 8 Part II - Other Information 11 PART I. FINANCIAL INFORMATION ITEM I. FINANCIAL STATEMENTS THE MILLBURN WORLD RESOURCE TRUST Statements of Financial Condition (UNAUDITED)

See accompanying notes to financial statements. THE MILLBURN WORLD RESOURCE TRUST Statements of Operations For the three months ended September 30, 2001 and 2000 (UNAUDITED)

See accompanying notes to financial statements. THE MILLBURN WORLD RESOURCE TRUST Statements of Operations For the nine months ended September 30, 2001 and 2000 (UNAUDITED)

See accompanying notes to financial statements. THE MILLBURN WORLD RESOURCE TRUST Condensed Schedule of Investments at September 30, 2001 (UNAUDITED)

THE MILLBURN WORLD RESOURCE TRUST Statement of Trust Capital For the three months ended September 30, 2001 (UNAUDITED)

Statement of Trust Capital For the nine months ended September 30, 2001 (UNAUDITED)

Net Asset Value per Unit Changes in net asset value per Unit during the three months ended September 30, 2001 and 2000 (unaudited) were as follows:

Financial highlights for the quarter ended September 30, 2001 (UNAUDITED): Total return: -5.56% Ratio of expenses to average net assets: 9.82% (annualized) Ratio of net income to average net assets: -23.55% (annualized) See accompanying notes to financial statements. Net Asset Value per Unit Changes in net asset value per Unit during the nine months ended September 30, 2001 and 2000 (unaudited) were as follows:

Financial highlights for the nine months ended September 30, 2001 (UNAUDITED): Total return: -7.34% Ratio of expenses to average net assets: 9.71% (annualized) Ratio of net income to average net assets: -9.28% (annualized) See accompanying notes to financial statements. NOTES TO FINANCIAL STATEMENTS THE MILLBURN WORLD RESOURCE TRUST The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Trust's financial condition at September 30, 2001 (unaudited) and December 31, 2000 and the results of its operations for the three month and nine month period ended September 30, 2001 and 2000. 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 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, 2000. ITEM II. OTHER INFORMATION Management discussion and analysis of the financial statements for the three months ended September 30, 2001:

Due to the nature of commodity trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year. The Trust's net assets declined 7.98% in the third quarter of 2001. This decrease was attributable to redemptions of $1,036,424 and a net loss of $1,660,544, which was partially offset by subscriptions of $270,066. Brokerage commissions are calculated on the net asset value on the last day of each month and are affected by trading performance and redemptions. Brokerage commissions for the three months ended September 30, 2001 decreased by $79,438, relative to the corresponding period in 2000. The fund NAV declined during the July-September quarter. Losses from energy and currency trading outdistanced the sizable profits produced in the interest rate, stock index and metals sectors. Energy prices were highly volatile during the quarter. The demand dampening effects of the worldwide economic slowdown on the one hand, collided with the potential supply control efforts of OPEC on the other to make crude oil and oil product prices erratic throughout the period. The September 11th terrorist attack added to the uncertain landscape as market participants wondered whether supply disruptions or deeper recession-reduced demand cutbacks were more likely in its aftermath. As a result, the fund suffered heavy losses on both long and short positions in crude oil, heating oil, London gas oil, and unleaded gasoline. Currency trading was not profitable either. Exchange rates were volatile in broad ranges as market participants were buffeted to and fro by the deteriorating economic environment, the differing economic policy responses of different countries, and the aftershock of the September 11th attacks. Hence, there were losses on both long and short dollar positions against the euro, yen, Korean won and Thai baht. A long Swiss franc/short US dollar position did register a gain. Non-dollar cross currency trading was also unprofitable. Both long and short euro positions versus the pound sterling and Norwegian krone, as well as both long and short pound sterling positions versus the yen were unprofitable. As economic activity continued to decelerate in the third quarter, Central Banks worldwide eased their monetary policies. Furthermore, in the wake of the September 11th terrorist attacks in the US, there was a pronounced flight to "safer" investments that included government fixed income securities, particularly those with shorter maturity. Consequently, long futures positions in US bonds, notes and eurodollars were very profitable. A long position in the 5-year German note future also produced a gain. On the other hand, trading of Japanese and British interest rate futures generated losses on both long and short positions. Global equity markets were weak prior to September 11th, and dropped substantially further afterward. Hence, short positions in the German DAX, Hong Kong Hang Seng, Japanese Topix and NASDAQ 100 indices were highly profitable this quarter. Weakening industrial activity during the 3Q led to significant gains from short aluminum and copper positions, while the flight to safety produced a sizable gain on a long gold position in September. Finally, trading of soft commodities had no appreciable impact on the quarterly results. Gains on short positions in cotton, coffee, and sugar were offset by losses from a long corn position and a long sugar position. ITEM III. QUANTITATIVE AND QUALITATIVE DISCLOSURES OF MARKET RISK The Trust's a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Trust's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust's main line of business. Market movements result in frequent changes in the fair market value of the Trust's open positions and, consequently, in its earnings and cash flow. 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 rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Partnership 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. Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one day intervals. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk. THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for the nine months ended September 30, 2001. During the nine months ended September 30, 2001, the Trust's average total capitalization was approximately $31,098,887. As of September 30, 2001, the Trust's total capitalization was approximately $28.0 million. Average Value % of Average Highest Value Lowest Value Market Sector at Risk Capitalization at Risk at Risk Interest Rates $ 1.30 3.9% $ 1.30 $ 1.20 Currencies 3.60 11.1% 3.70 3.40 Stock Indices 0.40 1.3% 0.50 0.30 Metals 0.50 1.4% 0.50 0.40 Commodities 0.40 1.1% 0.40 0.30 Energies 0.70 2.1% 0.80 0.50 Total $ 6.90 20.9% Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for each calendar quarter-end during the period ended September 30, 2001. Average capitalization is the average of the Trust's capitalization at the end of each calendar quarter through September 30, 2001. Dollar amounts represent millions of dollars. PART II. OTHER INFORMATION ITEM I. Legal Proceedings - None ITEM 2. Changes in Securities and Use of Proceeds - None ITEM 3. Defaults Upon Senior Securities - None ITEM 4. Submission of Matters to a Vote of Security Holders - None ITEM 5. Other Information - None ITEM 6. (a) Exhibits - None (b) Reports on Form 8-K - None SIGNATURES Pursuant to the requirements of Section 13 or 15(d) 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, in the City of New York and State of New York on the 30th day of October 2001. THE MILLBURN WORLD RESOURCE TRUST By: Millburn Ridgefield Corporation, Managing Owner By /s/ Tod A. Tanis October 30, 2001 Tod A. Tanis Vice-President

MILLBURN WORLD RESOURCE TRUST 10-Q