UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-K

 Annual Report Pursuant to Section 13 or 15(d)

of the Securities Exchange Act of 1934

For the Fiscal Year Ended: December 31, ~~2022~~2023

 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, New York 10036

(Address of principal executive offices) (Zip Code)

Registrant’s telephone number, including area code: (212) 332-7300

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

Securities registered pursuant to Section 12(g) of the Act: Units of Beneficial Interest

(Title of Class)

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes  No 

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes  No 

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 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. 

Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of its

internal control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public

accounting firm that prepared or issued its audit report. 

If securities are registered pursuant to Section 12(b) of the Act, indicate by check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. 

Indicate by check mark whether any of those error corrections are restatements that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). 

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act). Yes  No 

State the aggregate market value of the voting and non-voting common equity held by non-affiliates computed by reference to the price at which the common equity was last sold, or the average bid and asked price of such common equity, as of the last business day of the registrant’s most recently completed second fiscal quarter.

Not applicable.

Documents Incorporated by Reference

Registrant’s Financial Statements for the years ended December 31, ~~2022~~2023 and ~~2021~~2022 and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the fiscal year ended December 31, ~~2022~~2023, is incorporated by reference into Part II Item 8 and Part IV hereof and filed as an exhibit herewith.

‎

PART I

Item 1. Business

(a) General development of business

Global Macro Trust (the “Trust”) is a Delaware statutory trust organized on July 23, 2001 pursuant to a Declaration of Trust and Trust Agreement (the “Trust Agreement”), under the Delaware Statutory Trust Act. The Trust originally filed a registration statement, under the Securities Act of 1933, as amended (the “Securities Act”), with the Securities and Exchange Commission (“SEC”) to register units of beneficial interest (the “Units”), which registration statement became effective March 26, 2002. Between April 1, 2002 and June 30, 2002, the Units were publicly offered at an initial price of $1,000 per Unit. The Trust commenced operations on July 1, 2002. The Trust has subsequently registered additional Units with the SEC. The net asset value of a Series 1 Unit that originally sold for $1,000 as of July 1, 2002 was $1,~~222~~097.8125 as of December 31, ~~2022~~2023. The net asset value of a Series 3 Unit that originally sold for $1,180.91 as of September 1, 2009 was $1,~~950~~823.6372 as of December 31, ~~2022~~2023. The net asset value of a Series 4 Unit that originally sold for $1,315.33 as of November 1, 2010 was $2,~~693~~562.6389 as of December 31, ~~2022~~2023. The net asset value of a Series 5 Unit that originally sold for $1,500.00 as of April 1, 2018 was $1,~~818~~687.2423 as of December 31, ~~2022~~2023.

Effective September 29, 2017, previously offered Series 1 and Series 2 Units are not being offered by the Trust. All Series 2 Units have been redeemed as of August 31, 2017, while outstanding Series 1 Units remain subject to their original terms.

As of December 31, ~~2022~~2023, Units were being offered on a monthly basis at net asset value per Unit. The Units are offered through a number of registered broker-dealer selling agents on a best efforts basis.

The Trust engages in speculative trading in the futures, forward and spot currency markets and may trade options thereon as well as swap contracts. 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 to pay trading losses, brokerage fees and charges.

Millburn Ridgefield Corporation (the “Managing Owner”), a Delaware corporation operating in New York, New York, organized in May 1982, is the managing owner and the commodity trading advisor (“CTA”) for the Trust. It and its principals have been trading in the futures and forwards markets pursuant to systematic quantitative, trading and risk management methods since 1971. The Managing Owner has been registered with the Commodity Futures Trading Commission (the “CFTC”) as a commodity pool operator (“CPO”) since July 1, 1982, as a CTA since September 13, 1984 and has been a member of the National Futures Association (the “NFA”) since July 1, 1982. The Managing Owner has been an approved swaps firm with the NFA since December 26, 2012. The Millburn Corporation, a former affiliate of the Managing Owner that, prior to January 1, 2019, performed certain research, trading, technology, operations, marketing, accounting, tax, legal, compliance, human resources, and other administrative functions for the Trust and other commodity pools and investment partnerships managed by the Managing Owner, merged with and into the Managing Owner on December 31, 2018, and the Managing Owner now performs the functions formerly performed by The Millburn Corporation.

The Managing Owner invested $400 in the Trust as an initial capital contribution to the Trust and $2,000,000 in the Trust at the outset of trading and subsequently has contributed an additional $3,812,100 and has redeemed $51,~~497~~499,~~257~~998 as of December 31, ~~2022~~2023. After reflecting net income of $8,~~634~~523,~~163~~764 and profit share of $39,~~318~~321,~~518~~576 from inception up to and including December 31, ~~2022~~2023, this investment totaled $2,~~267~~157,~~924~~842, as of December 31, ~~2022~~2023.

The Trust engages in the speculative trading of futures, forward and spot currency contracts and may trade options thereon as well as swap contracts. The Trust’s sole trading advisor is the Managing Owner. The Managing Owner trades the Trust’s assets in the agricultural, metals, energy, interest rate and stock indices futures markets and in the currency markets, trading primarily forward contracts in the interbank market. The Managing Owner makes its systematically-based trading decisions pursuant to its investment and trading methodology, based on signals generated from an analysis of a range of quantitative data as well as certain money management principles, each of which may be revised from time to time. The objective of the Managing Owner’s investment and trading methods is to consider these multiple data inputs, or “factors,” in order to arrive at relatively near-term forecasts for each traded instrument and take appropriate risk-managed positions.

Trades generated by quantitative models may be profitable or unprofitable. Since the Managing Owner is well aware that many trades will ultimately lose money, its objective is to generate more frequent and/or larger profitable trades than losing trades. During periods in which market behavior differs significantly from that analyzed to build the models, or periods where data inputs important to predicting price movements were not included in those analyzed to build the models, substantial losses are possible, and even likely.

The Managing Owner is engaged in an ongoing research effort to improve its investment and trading methods and to apply its quantitative analytic expertise to new financial products, markets and instruments.

F-2

Successful systematic trading depends on several elements. Two of the main elements are the development and selection of the trading systems used in each market and the allocation of portfolio risk among the markets available for trading.

Market environments change over time, and particular systems may perform well in one environment but poorly in another. Likewise, market sectors and individual markets go through periods where systematic trading is profitable and other periods where no system is able to generate any profits.

The goal of the Managing Owner’s research has been to develop and select a mix of systems in each market and to allocate risk across a wide array of markets, so as to contain overall portfolio risk within a targeted range, while allowing exposure to profitable opportunities.

Over approximately 5253 years, the Managing Owner and its predecessor entities have developed hundreds of trading systems. These trading systems generate buy or sell decisions in a particular market based on the analysis of a range of quantitative data, and the interactions of such data, in the particular market or in markets in general.

Of course, systems can be materially different — better in some periods and worse in others. Some of the main distinguishing characteristics include: the time frame over which systems work (e.g., intra-day to long-term); the granularity of data fed into them (e.g., tick data to daily, weekly or monthly frequencies); the amount of historical data used to learn the market structure; the statistical methods used to make forecasts; the type of data (e.g., price, price-derivative, fundamental and other quantitative data); and the source of data (e.g., cash, futures, option or equity markets-generated data or government-, and industry- or company-generated statistical information). No single system will work all the time. Therefore, the Managing Owner’s objective is to have several systems operating in conjunction with one another.

When arriving at the portfolio allocation, the Managing Owner generally seeks maximum diversification, subject to liquidity and sector concentration constraints, the mandate of the strategy, and the Managing Owner’s judgment and experience. Each instrument is traded using a diversified set of systems, which may be optimized for groups of markets, sectors or specific markets. The markets traded and allocations are reviewed at least monthly, although changes may occur more or less frequently. The following factors, among others, are considered in constructing a universe of markets to trade for the Trust: profitability, liquidity of markets, professional judgment, desired diversification, transaction costs, and exchange and other regulations. The current allocation to any market in the Trust’s portfolio does not exceed 3.0% of total market exposure, measured by risk allocation. These allocation levels may be exceeded in the future at the discretion of the Managing Owner.

Risk is a function of both price level and price volatility. For example, for any given level of volatility, a 100,000 barrel crude oil position is worth more and is, therefore, probably more risky with oil at $90 per barrel than with oil at $50 per barrel. Similarly, oil would be more risky if prices are moving in a 5% daily range than if prices are moving in a 1% daily range. The Managing Owner sizes the position in each market taking into account its measurement of risk based on price level and volatility in that market. Market exposure is then managed by the position-sizing models which measure the risk in the portfolio’s position in each market. In the event the model determines that the risk has changed beyond an acceptable threshold, it will signal a change in the position — a decrease in position size when risk increases and an increase in position size when risk decreases. The Managing Owner’s position-sizing models seek to maintain overall portfolio risk and distribution of risk across markets within designated ranges. The position-sizing model manages the position traded in the aggregate through the combination of the (directional) trading systems discussed above.

In addition, the Managing Owner’s risk management processes focus on money management principles applicable to the portfolio as a whole and also to individual markets. The first principle is portfolio diversification, which attempts to improve the quality of profits by reducing volatility.

Additional money management principles applicable to the portfolio as a whole include: (1) 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 substantially higher or lower and (2) prohibiting pyramiding — that is, using unrealized profits in a particular market as margin for additional positions solely in the same market.

Another important risk management function is the careful control of leverage or total portfolio exposure. Leverage levels are determined by simulating the entire portfolio — all markets, all systems, all risk control models, the exact weightings of the markets in the portfolio and the proposed level of leverage — over multiple years to determine the portfolio’s simulated risk and return characteristics as well as the simulated worst-case drawdown experienced by the portfolio in the simulation period. The simulated worst-case drawdown, or peak-to-trough drawdown, is measured from a daily high in portfolio assets to the subsequent daily low whether that occurs days, weeks or months after the daily high. If the Managing Owner considers this simulated drawdown too severe or the portfolio’s simulated volatility too high, it can set the leverage or level of the actual portfolio accordingly so as to reduce the total portfolio exposure. There are, however, no restrictions on the amount of leverage the Trust may use at any given time.

Decisions whether to trade a particular market require the exercise of judgment. The decision not to trade certain markets for certain periods, or to reduce the size of a position in a particular market, may result at times in missing significant profit opportunities.

The Managing Owner’s discretion and expertise in the execution of trades plays a role in timing of orders and, from time to time, the Managing Owner may adjust the size of a position, long or short, in any given market indicated by its systematic trading strategies. This exercise of discretion (other than in trade execution) has historically been very rare and would generally occur only in response to unusual market

conditions that may not have been factored into the design of the trading systems. Such adjustments would be done with the intention of reducing risk exposures as opposed to seeking additional risk. Decisions to make such adjustments also require the exercise of judgment and may include consideration of the volatility of the particular market; the pattern of price movements, both inter-day and intra-day; open interest; volume of trading; changes in spread relationships between various forward contracts; and overall portfolio balance and risk exposure.

The Trust is open-ended and may offer Units issued in difference Series. Currently, the Trust is offering Series 3, Series 4 and Series 5 Units at their respective net asset values as of the first day of each month. The only differences between the Units of each Series are the applicable fees and expenses. Otherwise, the Units of each Series are identical to the Units of such other Series and share pro rata in the profits and losses of the Trust. Series 3 Units are available only to investors participating in a registered investment adviser’s asset-based fee or fixed fee advisory program through which an investment adviser recommends a portfolio allocation to the Trust. Series 4 Units are available only to employees and former employees of the Managing Owner and its affiliates who purchase their Units through the Managing Owner’s 401(k) and Profit Sharing Plan. Unitholders (“Unitholders”) may redeem any or all of their Units upon 10 days’ written notice to the Managing Owner at their net asset value as of the last day of any month. An investor acquiring Series 5 Units through certain selling agents may be required to pay to such selling agents an upfront selling commission of up to 3% of the amount intended to be invested in Series 5 Units. Any such upfront selling commission will be deducted by the selling agent directly from the investor’s investment account maintained by the selling agent and will not be considered in calculating the profit shares attributable to Series 5 Units as described below. Requests for redemption will be honored and payment will be made, except in the event of highly unusual market disruptions, within 15 business days of the effective date of redemption.

Pursuant to the Trust Agreement, the Managing Owner receives a flat-rate monthly brokerage fee equal to 0.583% of the month-end Series 1 net assets (a 7.0% annual rate). The Managing Owner charges less than the annual brokerage rate of 7% to those subscribers who invested in amounts of $100,000 or more in the Series 1 Units or subscribed without incurring the selling commissions paid by the Managing Owner. These reductions have no effect on other investors. From this amount, the Managing Owner pays approximately 0.50% to the Trust’s executing and clearing brokers, and up to 4% to the selling agents. For Series 1 Units sold after June 4, 2009, the amount paid to selling agents shall not, however, exceed 9.5% of the gross offering proceeds. Once the 9.5% threshold is reached with respect to a Series 1 Unit, the selling agent will receive no future compensation and the up to 4% amount that would otherwise be paid to the selling agent for that Series 1 Unit will instead be rebated to the Trust for the benefit of all holders of Series 1 Units. The Managing Owner also receives a profit share equal to 20% of any new trading profit of Series 1 Units, determined as of the end of each calendar year. The annual profit share is calculated net of brokerage fees and administrative expenses and excluding interest income. The Managing Owner pays all the routine costs of executing and clearing the Trust’s trades and all compensation due to the selling agents with respect to the Series 1 Units.

The Trust pays the Managing Owner an annual management fee equal to 1.75% of the average month-end net assets attributable to the Series 3 Units after reduction for expenses but before reduction for any accrued but unpaid management fees or Series 3 profit share. Series 3 Units are also charged for their pro rata share of the Trust’s actual trade execution, clearing costs and foreign currency prime brokerage fees, including electronic platform trading costs, estimated at approximately 0.6545% of the Trust’s average month-end net assets per year attributable to the Series 3 Units. The Trust pays the Managing Owner a profit share attributed to the Series 3 Units equal to 20% of any cumulative new trading profit of the Series 3 Units in the aggregate, determined as of the end of each calendar year. The annual Series 3 profit share is calculated net of management fees, execution and clearing costs, and ongoing offering and administrative expenses and excluding interest income.

Series 4 Units are charged for their pro rata share of the Trust’s actual trade execution, clearing costs and foreign currency prime brokerage fees, including electronic platform trading costs, estimated at approximately 0.6545% of the Trust’s average month-end net assets per year attributable to the Series 4 Units. Series 4 Units are not charged a management fee or profit share.

With respect to the Series 5 Units, the Trust pays the Managing Owner an annual management fee equal to 2.50% of the average month-end net assets attributable to the Series 5 Units after reduction for expenses but before reduction for any accrued but unpaid management fees or Series 5 profit share. From this amount, the Managing Owner will pay up to 0.75% per year of the Trust’s net assets attributable to Series 5 Units to the selling agents, provided that cumulative compensation paid to selling agents for Series 5 Units will not exceed 9.5% of the gross offering proceeds from the sale of Series 5 Units. Once the 9.5% threshold is reached with respect to a Series 5 Unit, the selling agent will receive no future compensation and the up to 0.75% amount that would otherwise be paid to the selling agent for that Series 5 Unit will instead be rebated to the Trust for the benefit of all Series 5 Unitholders. Series 5 Units are also charged for their pro rata share of the Trust’s actual trade execution clearing costs and foreign currency prime brokerage fees, including electronic platform trading costs, estimated at approximately 0.6545% of the Trust’s average month-end net assets per year attributable to the Series 5 Units. The Trust pays the Managing Owner a profit share attributed to the Series 5 Units equal to 20% of any cumulative new trading profit of the Series 5 Units in the aggregate, determined as of the end of each calendar year. The annual Series 5 profit share is calculated net of management fees, execution and clearing costs, and ongoing offering and administrative expenses and excluding interest income.

The Trust’s organizational and initial offering costs were paid by the Managing Owner without reimbursement from the Trust or the Unitholders. The Trust pays all of its expenses incurred in the ordinary course of its business and any extraordinary expenses, if applicable.

Deutsche Bank Securities Inc. (“Deutsche Bank”), BofA Securities Inc. (“BofA”) and Goldman Sachs & Co. LLC (“GS&Co”) act as the futures brokers for the Trust. The Trust also currently engages in currency forward trading with Deutsche Bank AG and Bank of America, N.A., which serve as the Trust’s prime brokers for such transactions, but may utilize the services of additional prime brokers or engage in such trading with other banks and dealers as well. At the present time, the Trust clears its currency forward trades with Deutsche Bank AG and Bank

of America, N.A. The Trust pays “bid ask” spreads on its forward trades, as such spreads are incorporated into the pricing of forward contracts. The Managing Owner monitors the Trust’s trades to ensure that the prices it receives are competitive.

The Trust’s cash and short-term United States (“U.S.”) Treasury instruments are used by the Trust to engage in its trading activities and as reserves to support that trading. The Trust’s assets deposited with the Trust’s futures brokers as margin are maintained in “customer segregated funds accounts” or “foreign futures and foreign options secured amount accounts” and are held in cash, or U.S. Treasury instruments. Trust assets not deposited as margin are maintained in bank or brokerage accounts and are held primarily in bank money market funds or short-term U.S. Treasury instruments or a U.S. government securities and related instruments money market fund.

The Trust does not engage in lending (other than through permitted securities investments).

Regulation

Under the Commodity Exchange Act, as amended (the “CEA”), commodity exchanges and futures trading are subject to regulation by the CFTC. NFA, a “registered futures association” under the CEA, is the only non-exchange self-regulatory organization for futures industry professionals. The CFTC has delegated to NFA responsibility for the registration of CTAs, CPOs, “futures commission merchants,” “introducing brokers,” “swap dealers” and their respective associated persons and “floor brokers” and “floor traders.” The CEA requires CPOs and CTAs, such as the Managing Owner, and commodity brokers or futures commission merchants (“FCMs”) and swap dealers, such as Deutsche Bank, Deutsche Bank AG, BofA, Bank of America, N.A. and GS&Co to be registered and to comply with various reporting and record keeping requirements. The CFTC may suspend a CPO’s or CTA’s registration if it finds that its trading practices tend to disrupt orderly market conditions or in certain other situations. In the event that the registration of the Managing Owner as a CPO or a CTA were terminated or suspended, the Managing Owner would be unable to continue to manage the business of the Trust. Should the Managing Owner’s registration be suspended, termination of the Trust might result.

In addition to such registration requirements, the CFTC and certain commodity exchanges have established limits on the maximum net long or net short positions which any person may hold or control in certain futures contracts. Most exchanges also limit the changes in futures contract prices that may occur during a single trading day. The CFTC has also proposed, but not yet adopted, additional position limit rules governing energy, metals and agricultural derivative contracts. All accounts controlled by the Managing Owner are likely to be combined for speculative position limit purposes. The Managing Owner could be required to liquidate positions it holds for the Trust or may not be able to fully implement trading instructions generated by its trading models, in order to comply with the new position limits regime. Any such liquidation or limited implementation could result in substantial costs to the Trust. It is as yet unclear whether the rules will have an adverse effect on the Trust.

The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) mandates that a substantial portion of over-the-counter derivatives be executed in regulated markets and be submitted for clearing to regulated clearinghouses, subject to margin requirements. Associated dealer costs are generally passed through to other market participants in the form of clearing account maintenance fees and less favorable dealer marks.

The Trust may also trade forward contracts in the inter-bank currency market. Such forward contracts are not currently traded on exchanges; rather, banks and dealers act as principals in these markets. As a result of the Reform Act, the CFTC regulates non-deliverable forwards (including many deliverable forwards where the parties do not take delivery), although currency forward contracts are generally not otherwise subject to regulation by any other U.S. government agency. Changes in the forward markets may entail increased costs and result in burdensome reporting requirements. There is currently no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to the Reform Act might limit such forward trading to less than that which the Managing Owner would otherwise recommend, to the possible detriment of the Trust.

(1)(i) through (v) - not applicable.

(2)(i) - not applicable.

2(ii) - the Trust has no employees.

Item 1A. Risk Factors

Not required.

Item 1B. Unresolved Staff Comments

Not required.

Item 1C. Cybersecurity

The Managing Owner has written procedures and policies that govern the Trust’s general cybersecurity program. These policies and procedures include, among other things, the identification of risks, locations of information, management of third party risk and incident response, among other factors, and are designed to address real world concerns.

The Cybersecurity Committee (the “Committee”) of the Managing Owner is responsible for overseeing cyber and information security. The Committee meets at least quarterly to discuss cybersecurity risks and frequently holds more informal discussions in the interim. The Committee is subject to oversight by the board of directors of the Managing Owner (the “Board”). The Committee is co-chaired by the Managing Owner’s President/Chief Operating Officer, Chief Technology Officer/Co-Head of Trading, and General Counsel/Chief Compliance Officer who oversee day-to-day implementation of cyber and information security by employees with specialized expertise and experience in such matters. The Board is kept apprised of the cybersecurity policies and procedures on a formal basis at least annually, and is kept informed on a less formal basis through participation in training and policy updates. The Committee meets at least quarterly to discuss and review testing, cybersecurity risks/events and all other relevant matters. Committee members are given the opportunity at these meetings to ask questions of all relevant personnel.

The Managing Owner utilizes a combination of statistics, data and testing by third party service providers and software in order to monitor and identify cybersecurity threats. To the extent those threats require immediate attention, they are dealt with and reported to the Committee thereafter in accordance with the procedures outlined in the Managing Owner’s incident response plan. Other threats, as well as follow ups once threats are properly dealt with, are then discussed and analyzed by the Committee. Reports on these activities are discussed with the Board on at least an annual basis, with any material issues raised promptly to the Board as well.

To assess the effectiveness of the Managing Owner’s cybersecurity programs and to mitigate exposure, the Managing Owner has consulted with strategic partners, such as outside counsel specializing in this subject matter as well as the Managing Owner’s cyber insurance provider. The Managing Owner also undertook a table top exercise designed to identify and mitigate issues and train personnel.

The Managing Owner’s head of risk management (who is also mentioned above as one of the co-chairmen of the Committee) participates in all Committee meetings and, as part of the risk management function, the Committee applies principles of risk management to its information security program. As with all risks identified by the Managing Owner, risks are identified and evaluated, with higher risk items receiving priority attention.

The Managing Owner has undertaken efforts to mitigate cyber risks and their impact, including, but not limited to, certain implementation of firewalls, anti-virus/anti-malware, controls around remote network access, multi-factor authentication, system event monitoring and notifications and electronic surveillance, frequent backups, encryption and password protection, education and testing, supervision of third parties, limitations on access, vulnerability scanning, patch installation, physical safeguards, virus scanning, and penetration testing.

Employees are required to complete initial cybersecurity training upon commencement of employment and, thereafter, on an annual basis. The training is designed by a third party service provider. The Managing Owner carries cyber insurance. The Managing Owner maintains formal cybersecurity procedures that are considered during contract review with respect to third party vendors handling and having access to information.

The Managing Owner has not identified any risks from cybersecurity threats, including as a result of any previous cybersecurity incidents, that have materially affected the Managing Owner or the Trust’s business strategy, results of operation or financial condition. Nonetheless, there is no guarantee that a future cyber incident would not materially affect the Managing Owner or the Trust’s business strategy, results of operations or financial condition. Despite the various efforts the Managing Owner has undertaken to mitigate cyber risks and their impact, systems, networks and/or devices potentially can be breached. Such cybersecurity breaches may cause: (i) disruptions and impacts to business operations, potentially resulting in financial losses to the Trust and Unitholders; (ii) interference with the Managing Owner’s ability to calculate the value of an investment; (iii) impediments to trading; (iv) the inability of the Trust and its service providers to transact business; (v) violations of applicable privacy and other laws; (vi) regulatory fines, penalties, reputational damage, reimbursement or other compensation costs or additional compliance costs; and (vii) 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. The nature of malicious cyber-attacks is becoming increasingly sophisticated and the Trust cannot control the cyber systems and cybersecurity systems of counterparties or third party service providers. While, to date, we have not been subject to cyberattacks that, individually or in the aggregate, have been material to our operations or financial condition, the preventive actions we take to reduce the risks associated with cyberattacks may be insufficient to repel or mitigate the effects of a major cyberattack in the future.

Item 2. Properties

The Trust does not own or use any physical properties in the conduct of its business. The Managing Owner performs administrative services for the Trust from its offices.

Item 3. Legal Proceedings

The Managing Owner is not aware of any pending legal proceedings to which either the Trust is a party or to which any of its assets are subject. In addition there are no pending material legal proceedings involving the Managing Owner.

Item 4. Mine Safety Disclosures

Not required.

PART II

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities

(a) Market Information

There is no trading market for the Units, and none is likely to develop. Units may be redeemed upon 10 days’ written notice to the Managing Owner at their net asset value as of the last day of any month.

(b) Holders

As of December 31, ~~2022~~2023, there were 21,~~034~~772 holders of Series 1 Units, ~~284~~208 holders of Series 3 Units, 1 holder of Series 4 Units and 7365 holders of Series 5 Units.

No distributions or dividends have been made on the Units, and the Managing Owner has no present intention to make any.

(d) Securities Authorized for Issuance Under Equity Compensation Plans

None.

(e) Recent Sales of Unregistered Securities; Use of Proceeds from Registered Securities

There have been no sales of unregistered securities of the Trust during ~~2020,~~2022 ~~2021~~ or ~~2022~~2023.

(f) Purchases of Equity Securities by the Issuer

Pursuant to the Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at the 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 Series 1, Series 3, Series 4 and Series 5 Unitholders during the fourth calendar quarter of ~~2022~~2023.

	Series 1 Units	Series 1	Series 3 Units	Series 3	Series 4 Units	Series 4	Series 5 Units	Series 5
Redemption Date	Redeemed	Unit NAV	Redeemed	Unit NAV	Redeemed	Unit NAV	Redeemed	Unit NAV
October 31, 2022	(99.674)	1,288.85	(383.540)	2,023.47	0.000	2,811.93	(206.681)	1,888.13
October 31, 2023	(413.166)	1,232.82	(537.215)	2,030.74	(4.376)	2,850.60	0.000	1,883.80
November 30, 2022	(547.774)	1,156.43	(161.400)	1,858.09	0.000	2,535.06	(171.861)	1,732.81
November 30, 2023	(783.388)	1,160.59	(207.404)	1,922.04	(15.361)	2,697.11	(122.075)	1,779.30
December 31, 2022	(311.190)	1,222.81	(203.500)	1,950.63	(105.267)	2,693.63	(12.491)	1,818.24
December 31, 2023	(324.103)	1,097.25	0.000	1,823.72	(30.277)	2,562.89	0.000	1,687.23
	(958.638)		(748.440)		(105.267)		(391.033)
	(1,520.657)		(744.619)		(50.014)		(122.075)

Item 6. [Reserved.]

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Reference is made to “Item 8. Financial Statements and Supplementary Data.” The information contained therein is essential to, and should be read in conjunction with, the following analysis.

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 substantially higher; and (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market. The Trust controls credit risk by dealing 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 important, 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 through December 31, ~~2022~~2023, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

Results of Operations

The Trust’s success depends 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 its performance record. Unlike most operating businesses, general economic or seasonal conditions have no direct effect on the profit potential of the Trust, while, at the same time, its past performance is not necessarily indicative of future results. Because of the speculative nature of its trading, operational or economic trends have little relevance to the Trust’s 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 opportunity of being profitable than in others.

little relevance to the Trust’s 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 opportunity of being profitable than in others.

The performance summary set forth below is an outline description of how the Trust performed in the past trading in a wide variety of markets. The Trust’s futures and currency forward contract prices are marked-to-market every trading day, and the Trust’s trading accounts are credited or debited with its daily gains or losses. Accordingly, there is no material economic distinction between realized gains or losses on closed positions and unrealized gains or losses on open positions.

Series 1 Units, which were initially issued simply as “Units” beginning in July 2002, were the only Series of Units available prior to 2009. 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.

2023

During 2023, the Trust experienced net realized and unrealized losses of $6,791,465 from its trading operations (including foreign exchange transactions and translations). Brokerage fees and management fees of $4,576,076, administrative expenses of $479,352 and custody fees and other expenses of $23,676 were paid or accrued. The Trust allocated $3,058 in profit share to the New Profits Memo Account for the benefit of the Managing Owner. Interest income of $4,089,483 and Managing Owner commission rebate to Unitholders of $455,884 partially offset the Trust’s expenses resulting in a net loss after profit share to the Managing Owner of $7,328,260.

An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	(0.96)	%
Energies	(3.85)	%
Grains	(0.05)	%
Interest rates	(4.47)	%
Livestock	0.02	%
Metals	(0.35)	%
Softs	(0.07)	%
Stock indices	1.17	%

Total	(8.56)	%

The Trust was unprofitable for the year largely due to losses from trading interest rate and energy futures. Trading of currency forwards and non-energy futures were each also unprofitable, but to a lesser extent. On the other hand, trading of stock index futures was profitable.

A factor influencing markets in 2023 was the effort by global central banks, led by the Federal Reserve, to tighten monetary policy to bring down high inflation. However, this drive to higher interest rates was not linear. During the first half of the year, the March banking crisis impacted trading in financial and commodity markets and contributed to lower interest rates. Persistent negative reports from global manufacturing and housing sectors also seemingly periodically reversed the upward thrust of interest rates. During that time, the U.S. Treasury 10-year interest rate traded in a 3¼% to 4% range. In the second half of the year, the U.S. 10-year Treasury yield rose from around 3.75% at the start of the summer to around 5% in late October as inflation, tight labor markets, growth, and debt supply fears seemingly contributed to central banks maintaining a hawkish path. Subsequently, however, increasing evidence that global inflation rates were falling faster than expected, that labor market tightness and wages were moderating, and that global growth, especially in manufacturing, was slowing seemingly caused market participants to drive global interest rates lower. Amid this data and market action, global central banks shifted their policy stances from hawkish to neutral, if not dovish, and the U.S. Treasury 10-year interest rate plunged back under 4% by mid-December. In this environment, short positions in global interest rate futures were broadly unprofitable, especially when interest rates declined in March and again late in the year. Overall, short positions in German, French, Italian, British and Canadian note and bond futures were unprofitable. A short position in a short-term U.S. dollar interest rate future was also unprofitable in the fourth quarter. Trading of Japanese government bond futures was also unprofitable. On the other hand, short positions in U.S. note and bond futures and Canadian bankers’ acceptance futures registered partially offsetting gains, especially in the May through October timeframe. A long Euribor futures trade was profitable late in the year as well.

Energy prices, impacted by conflicting forces, were volatile throughout the year. For example, WTI crude, which opened the year near $77/barrel, traded above $90/barrel in late September, before ending the year near $72/barrel. Concerns about anemic growth in China and recession fears in Europe possibly weighed on energy demand and prices. A threat of significant demand destruction for distillate fuels due to high prices, the EV revolution and environmental regulations also seemingly impacted energy prices and demand. Increased non-OPEC+

production also likely impacted energy prices. At the same time, the willingness of OPEC+, led by Saudi Arabia, to expand production cuts in both quantity and duration supported energy prices throughout the year. Moreover, the Hamas attacks in Israel and follow-on Israeli siege of Gaza, and disruptions to global trade amid increased Houthi attacks on ships in the Red Sea contributed to periodic price surges. Falling interest rates and a declining U.S. dollar also supported energy prices late in the year. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, heating oil and London gas oil were unprofitable. On the other hand, short U.S. natural gas positions were quite profitable as prices declined amid warmer-than-normal winter weather in Europe and the U.S., weak industrial demand in China and Germany, and ample global supplies.

Vacillating expectations about relative growth, inflation, interest rates and monetary policy outlooks across countries likely contributed to volatile fluctuations in the U.S. dollar during the year. Trading results were mixed, though fractionally unprofitable overall. Long U.S. dollar positions versus the Australian dollar, Canadian dollar, New Zealand dollar, Swiss franc, Swedish krona and Norwegian krone were unprofitable, especially late in the year when U.S. interest rates plunged. Trading the U.S. unit against the euro, Korean won, Indian rupee and Israeli shekel was also unprofitable. Meanwhile, a long U.S. dollar/Japanese yen trade and short U.S. dollar positions relative to the high-yielding Mexican peso, Chilean peso, Brazilian real and Polish zloty registered partially offsetting profits. Trading the U.S. dollar against the Singapore dollar and South African rand was modestly profitable as well.

Trading of metal futures was mixed but fractionally unprofitable. A short silver position was profitable during the first three quarters of 2023 as higher interest rates, a stronger U.S. dollar and sluggish manufacturing globally seemingly impacted silver prices. Trading of aluminum and zinc were also slightly profitable. On the other hand, late in the year, declining interest rates and a weaker U.S. dollar underpinned most metal prices, and a short gold position was highly unprofitable. Trading of copper was also unprofitable.

Ample grain supplies seemingly weighed on grain prices during the year, but weather worries and concerns around the Russia-Ukraine war seemed to support periodic rallies. Volatile macroeconomic developments globally also likely impacted grain markets in 2023. Overall, losses from trading soybeans and soybean oil were largely countered by gains from short wheat and corn positions and trading of soybean meal.

Among soft commodities, losses on short coffee, cotton and cocoa positions marginally outdistanced the profits from a long sugar trade early in the year and a short sugar position in December.

Against a background of changing and disparate views about inflation, monetary policy, growth and earnings outlooks across countries, and numerous geopolitical uncertainties, equity markets were volatile during the year. Following the sustained gains in equity markets during the first seven months of 2023, high and rising interest rates and worries about growth dynamics in China, Europe and the U.S. seemingly weighed on equity prices from August through October. Then, declining interest rates and a dovish policy pivot by global central banks, hopes that the U.S. economy could avoid a recession and a persistent boost from AI and tech enthusiasm possibly contributed to a broad equity rally. For the year, performance was mixed though profitable. Short VIX and VSTOXX volatility index futures positions were profitable. Long positions in Japanese, Taiwanese, Australian, French, Italian and Dutch stock index futures were profitable. Trading of the U.S. Russell, Singaporean, Indian, British, Chinese and South African equity index futures were also profitable. On the other hand, trading of several U.S. non-Russell stock index futures and Korean, Spanish and EAFE stock index futures produced partially offsetting losses.

2022

During 2022, the Trust achieved net realized and unrealized gains of $19,846,529 from its trading operations (including foreign exchange transactions and translations). Brokerage fees of $4,822,238, management fees of $497,268, administrative expenses of $550,692 and custody fees and other expenses of $29,984 were paid or accrued. The Trust allocated $549,499 in profit share to the New Profits Memo Account for the benefit of the Managing Owner. Interest income of $1,489,408 and Managing Owner commission rebate to Unitholders of $586,089 partially offset the Trust’s expenses resulting in a net income after profit share to the Managing Owner of $15,472,345.

An analysis of the trading gain (loss) by sector is as follows:


Sector	% Gain (Loss)
Currencies	5.10	%
Energies	8.91	%
Grains	(0.88)	%
Interest rates	4.62	%
Livestock	0.06	%
Metals	(0.76)	%
Softs	0.12	%
Stock indices	3.69	%

Total	20.86	%

The Trust was profitable for the period under review as gains from trading energy futures, interest rate futures, equity futures and currency forwards far outpaced losses from trading non-energy futures.

From the start of the year through mid-June, market participants grew gloomy, equity and bonds prices plunged, the U.S. dollar soared and commodity prices neared record highs before beginning a descent. These market actions were likely impacted by: rising inflation and an increasingly hawkish monetary policy response from global central banks; recession fears; Russia’s war on Ukraine; turbulent commodity markets; China’s growth slowdown, property market slump and ZERO COVID lockdowns; and growing tensions between the U.S. and China. Thereafter, from mid-June through year-end, market participants alternated between periods of optimistic/risk-on and pessimistic/risk-off actions. Investors’ risk appetite seemingly improved as the market seemed to believe that improving inflation data may lead global central banks to follow a less hawkish policy path and China signaled increased support for its depressed real estate sector, an end to its ZERO COVID policy and a friendlier stance toward private sector businesses. On the other hand, some factors that impacted the first half of the year —tight money, recession fears, the energy crisis, Russia’s war on Ukraine, and U.S.-China tensions — contributed to selling pressures affecting equity, fixed income, commodity and currency markets. Market volatility was impacted by the rollout of a U.K. fiscal policy proposal by short-lived Prime Minister Truss in September and by Xi Jinping’s consolidation of power at the Communist Party Congress in early October.

During the first half of 2022, crude oil prices rose amid concerns of entering an oil-market squeeze triggered by too little investment and disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers juxtaposed against oil consumption recovering toward pre-pandemic levels as economies started to reopen and as the Russia-Ukraine war generated fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were solidly profitable. Also, a long natural gas position was profitable during the second quarter. Although energy supplies remained limited during the second half of 2022, energy prices were volatile, and crude oil and crude product prices declined amid higher interest rates and tighter monetary policy, a stronger U.S. dollar, concern about possible European and U.S. recessions, China’s persistent COVID-19 control and property sector efforts, and a significant release of oil from the U.S. strategic petroleum reserve. During the July-December period, trading of energy futures was unprofitable as losses from Brent crude, WTI crude, London gas oil and natural gas outdistanced profits from RBOB gasoline and heating oil, thereby reducing somewhat the overall yearly gain from energy trading.

natural gas. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were solidly profitable. Also, a long natural gas position was profitable during the second quarter. Although energy supplies remained limited during the second half of 2022, energy prices were volatile, and crude oil and crude product prices declined amid higher interest rates and tighter monetary policy, a stronger U.S. dollar, concern about possible European and U.S. recessions, China’s persistent COVID-19 control and property sector efforts, and a significant release of oil from the U.S. strategic petroleum reserve. During the July-December period, trading of energy futures was unprofitable as losses from Brent crude, WTI crude, London gas oil and natural gas outdistanced profits from RBOB gasoline and heating oil, thereby reducing somewhat the overall yearly gain from energy trading.

Global central banks’ embrace of hawkish monetary policy stances in an effort to control high inflation; China’s growth slowdown and property market distress; Europe’s struggles with high energy prices; and the stagflationary impacts of the Russia-Ukraine war raised fears of a global recession, contributing to increased volatility and significant losses for global equities during 2022. Consequently, short positions in Chinese, Hong Kong, Korean, Singaporean, EAFE, Emerging market, U.K., German, Italian, and Brazilian equity index futures were profitable. On the other hand, trading of U.S., Dutch, French, EURO STOXX, Japanese, Taiwanese, Australian, Canadian and the VIX stock index futures posted partially offsetting losses.

Led by central banks, including the Federal Reserve (“Fed”), European Central Bank (“ECB”), Bank of England and the Bank of Japan (“BOJ”), global interest rates increased throughout the year. Short positions in U.S., European, British and Canadian short-term interest rate futures were particularly profitable. Short positions in the German bund and U.S., British and Italian notes and bonds were also profitable, especially during the second half of the year. On the other hand, during the first half of 2022, long positions in German, Australian, Canadian and Japanese longer-term interest rate futures and trading of the U.S. 5-year note and French 10-year bond registered partially offsetting losses.

The Bloomberg BBDXY dollar index gained about 15% over the first nine months of 2022 against the backdrop of a hawkish Fed, a relatively stronger U.S. growth outlook as compared to Europe and China, and continuing geopolitical unrest. During the fourth quarter, the U.S. dollar declined about 8.5% through year-end as the Fed reduced the pace of its interest rate increases at its December meeting while the ECB and BOJ were relatively more hawkish than the Fed at their December meetings, perhaps impacted by the cumulative effect of past central bank FX market interventions against the U.S. dollar and Chinese efforts to speed up the reopening of their economy. Overall, long U.S. dollar positions versus the European Union euro, Japanese yen, Australian dollar, Canadian dollar and Chilean peso were profitable. Short U.S. dollar trades versus the high yielding Mexican peso and Brazilian real were profitable as well. On the other hand, trading the U.S. dollar against the currencies of New Zealand, the U.K., Sweden, India and Israel produced partially offsetting losses. Finally, a short U.S. dollar/long Russian ruble trade was closed out at a loss during February when the Trust halted trading of the Russian currency.

Metals markets were turbulent during the year amid a variety of forces including post-pandemic economic reopening, Russia’s invasion of Ukraine and ensuing sanctions, rising interest rates, recession fears and dollar volatility. Overall, trading of metal futures was unprofitable as losses from short gold and silver positions and from trading of aluminum and platinum outdistanced profits from a long nickel trade and a short copper trade.

Grain prices were also highly volatile during 2022. A short wheat trade was unprofitable during February-May as the Russian invasion of Ukraine impacted prices. A short soybean meal position was unprofitable during the summer when prices rose after the USDA and the European Union’s crop monitoring service reported worsening crop conditions due to damage from hot, dry weather. Trading of soybean oil, Kansas City wheat and soybeans was also unprofitable.

2021

During 2021, the Trust achieved net realized and unrealized gains of $10,476,409 from its trading operations (including foreign exchange transactions and translations). Brokerage fees of $5,112,825, management fees of $498,572, administrative expenses of $818,138 and custody fees and other expenses of $27,043 were paid or accrued. Interest income of $25,784 and Managing Owner commission rebate to Unitholders of $616,944 partially offset the Trust’s expenses resulting in a net income after profit share to the Managing Owner of $4,662,559.

An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss)
Currencies	(4.56)	%
Energies	5.33	%
Grains	(0.44)	%
Interest rates	1.90	%
Livestock	(0.05)	%
Metals	0.15	%
Softs	(0.68)	%
Stock indices	8.07	%
Total	9.72	%

The Trust was profitable for the period under review as gains from long equity and energy futures positions and trading of interest rate futures outdistanced the losses from trading currency forwards and non-energy commodity futures.

The global reflation trade improved throughout most of the first half of 2021 in response to monetary and fiscal policy actions from global authorities—especially in the U.S.; improvements in economic activity as economies cautiously reopened; and positive news concerning COVID-19 therapies and vaccines. However, during the second half of the year the global growth outlook was jolted periodically by the spread first of the COVID-19 Delta variant and later by the spread of the COVID-19 Omicron variant; by China’s multi-pronged regulatory actions in support of its Common Prosperity, national security, financial stability and environmental goals; by supply chain difficulties, labor market shortages and soaring inflation that impacted consumer demand. The growth outlook was also impacted by a reduction of fiscal stimulus globally and by central banks beginning the process of scaling back ultra-accommodative policies. Geopolitical conflicts between the U.S. on the one hand and China, Russia and Iran on the other also worried market participants.

Trading of equity futures was highly profitable during the January-June period when the reflation story was strongest. Equity markets were unaffected by the negative effects of the January Reddit and March Archegos events, as well as the week-long Suez Canal closure. During the summer, concerns about the durability of the global economic recovery and China’s regulatory crackdown contributed to turbulence in global equity markets that were at near all-time highs. Later in the year, shifting central bank policies, Omicron variant worries, geopolitical tensions and global growth concerns periodically impacted the enthusiasm for equities. Still, massive liquidity, negative real yields, and strong actual and expected earnings growth contributed to the bull case for stocks. On balance, long positions in U.S., Canadian, European, British and EAFE stock index futures were profitable. Short positions in Brazilian and VIX futures, and trading of Chinese, Hong Kong and the MSCI emerging markets index futures were also profitable. Meanwhile, trading of Japanese and South African index futures were slightly unprofitable.

Energy prices, despite a few sharp retrenchments amid growth worries, climbed during the January-November period. The price of Brent crude oil climbed from around $50/barrel at the start of the year to more than $86/barrel in late November amid a bullish picture that sparked speculation the price may return to $100 a barrel. There were demand increases for oil and natural gas as economies reopened, and as market participants viewed growth slowdowns as temporary. A surge in natural gas prices led to “gas to oil” switching in the power business, especially in Europe. On the supply side, prices drew some support from continued production discipline by both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers. Consequently, inventories drained rapidly. However, the post-Thanksgiving emergence of the Omicron strain of COVID-19; Senator Manchin’s unexpected “NO” on the Biden administration’s “Build Back Better” legislation; and the Chinese growth slowdown contributed to the collapse of energy prices and Brent crude plunging below $70/barrel before closing the year near $78/barrel. On balance, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were profitable. On the other hand, a short U.S. natural gas position was unprofitable, particularly during the first eight months of the year.

Interest rates were volatile during the period as evidenced by the U.S. 10-year government bond rate that spiked from around 0.90% at the start of the year to 1.75% at the end of March, fell back to about 1.10% at the start of August, and jumped again to near 1.70% in late October before closing the year around 1.50%. This path for interest rates reflected the ebb and flow of actual and anticipated moves in global growth and inflation which in turn was similar to the timing of COVID-19 pandemic spikes, global monetary, fiscal and regulatory policy shifts and the heightening of geopolitical tensions particularly involving the U.S., China, Russia and Iran. On balance, trading of U.S. and, to a lesser extent, Canadian, British, Japanese and Australian interest rate futures were profitable. Meanwhile, trading of European interest rate futures produced partially offsetting losses.

Although the U.S. dollar did advance in 2021, especially late in the year, trading of individual currency pairs was volatile and trading of currency forwards was broadly unprofitable. Currency markets were impacted by fluid growth, inflation, and interest rate developments. Commodity price swings, the evolution of the COVID-19 pandemic and political uncertainties involving various countries also contributed to exchange rate volatility. Trading the U.S. dollar against the Australian, Canadian, New Zealand, Brazilian, British, Swiss, and Swedish currencies, the euro and a few other currencies was unprofitable. Trading the euro against other European currencies was also unprofitable. On the other hand, a long U.S. dollar/short Japanese yen trade, a short U.S. dollar/long Russian ruble position and trading the dollar versus the Israeli and South African units registered somewhat offsetting gains.

Finally, trading of non-energy commodities was fractionally negative. A short coffee position was unprofitable in April and May as prices increased in part because the 2020 drought reduced supplies from Brazil, Columbia and Nicaragua, and logistics and customs issues further constrained Brazilian exports. Trading of sugar was also slightly unprofitable. Wheat prices were volatile during the year and trading of wheat was unprofitable. On the other hand, long soybean and soybean oil trades were profitable during the first half of the year amid strong Chinese demand, weaker than expected U.S. harvests and dry weather in South America. Late in the year, a long soybean meal trade was profitable. Reflation and reopening demand positively impacted metal prices and long copper and aluminum trades were profitable early in the year. In addition, a short silver position was profitable near year end. Conversely, trading of gold, nickel and zinc produced partially offsetting losses.

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 contracts are recorded at fair value based on current market prices (“spot prices”). Open forward currency contracts are recorded at fair value, based on pricing models that consider the current market prices plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments.

910

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 contracts are recorded at fair value based on current market prices (“spot prices”). Open forward currency contracts are recorded at fair value, based on pricing models that consider the current market prices plus the time value of money (“forward points”) and contractual prices of the underlying financial instruments. The spot prices and forward points for open forward currency contracts are generally based on the 3:00 P.M. New York time prices provided by widely used quotation service providers on the day with respect to which net assets are being determined. The forward points from the quotation service providers are generally in periods of one month, two months, three months and six months forward while the contractual forward delivery dates for the foreign currency contracts traded by the Trust may be in between these periods.

The Managing Owner’s policy is to calculate the forward points for each contract being valued by determining the number of days from the date the forward currency contract is being valued to its maturity date and then using straight-line interpolation to calculate the valuation of forward points for the applicable forward currency contract. 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 accounting principles generally accepted in the U.S. (“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.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

Not required.

Item 8. Financial Statements and Supplementary Data

Financial statements required by this item, including the report of Deloitte & Touche LLP (PCAOB ID: 34) for the fiscal years ended December 31, ~~2022~~2023 and ~~2021~~2022, are included as Exhibit 13.01 to this report. Supplementary data is not required.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

None.

Item 9A. Controls and Procedures

The Managing Owner, with the participation of the Managing Owner’s 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 fiscal year for which this Annual Report on Form 10-K is being filed, and, based on its evaluation, has concluded that these disclosure controls and procedures are effective. There were no significant changes in the Managing Owner’s internal controls with respect to the Trust or in other factors applicable to the Trust that could significantly affect these controls subsequent to the date of their evaluation.

Management’s Annual Report on Internal Control over Financial Reporting

The Managing Owner is responsible for establishing and maintaining adequate internal control over the Trust’s financial reporting. Internal control over financial reporting is defined in Rules 13a-15(f) and 15d-15(f) under the Exchange Act as a process designed by, or under the supervision of, a company’s principal executive and principal financial officers and effected by a company’s board of directors, management and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with U.S. GAAP. The Managing Owner’s internal control over financial reporting includes those policies and procedures that:

• pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the Trust’s assets;

• provide reasonable assurance that transactions are recorded as necessary to permit preparation of the Trust’s financial statements in accordance with U.S. GAAP, and that the Trust’s receipts and expenditures are being made only in accordance with authorizations of the Managing Owner’s management and directors; and

• provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust’s assets that could have a material effect on the Trust’s financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

10The Managing Owner assessed the effectiveness of its internal control over financial reporting with respect to the Trust as of December 31, 2023. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control — Integrated Framework (2013). Based on its assessment, management has concluded that, as of December 31, 2023, the Managing Owner’s internal control over financial reporting with respect to the Trust is effective based on those criteria.

The Managing Owner assessed the effectiveness of its internal control over financial reporting with respect to the Trust as of December 31, 2022. In making this assessment, management used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control — Integrated Framework (2013). Based on its assessment, management has concluded that, as of December 31, 2022, the Managing Owner’s internal control over financial reporting with respect to the Trust is effective based on those criteria.

Changes in Internal Control over Financial Reporting

Section 404 of the Sarbanes-Oxley Act of 2002 requires the Managing Owner to evaluate annually the effectiveness of its internal controls over financial reporting as of the end of each fiscal year, and to include a management report assessing the effectiveness of its internal control over financial reporting in all annual reports. There were no changes in the Trust’s internal control over financial reporting ~~during~~for the ~~quarter~~year ended December 31, ~~2022~~2023 that ~~have~~ materially affected, or ~~are~~is reasonably likely to materially affect, our internal control over financial reporting.

Item 9B. Other Information

(a)None.

(b)During the year ended December 31, 2023, neither the Managing Owner nor its directors or officers adopted or terminated any Rule 10b5-1 trading arrangement or non-Rule 10b5-1 trading arrangement (as such terms are defined in Item 408 of Regulation S-K of the Securities Act of 1933, as amended).

Item 9C. Disclosure Regarding Foreign Jurisdictions that Prevent Inspections

Not applicable.

‎

1112

PART III

Item 10. Directors, Executive Officers and Corporate Governance

(a, b) Identification of Directors and Executive Officers

The Trust has no directors or executive officers. The Trust is controlled and managed by the Managing Owner under a delegation of authority by Wilmington Trust Company (the “Trustee”).

Millburn Ridgefield Corporation, the Managing Owner, is a Delaware corporation operating in New York, New York, organized in May 1982 to manage discretionary accounts primarily in futures, forward and spot markets. It is the corporate successor to a futures trading and advisory organization which has been continuously managing assets in the currency and futures markets using quantitative, systematic techniques since 1971.

The principals and senior officers of the Managing Owner as of December 31, ~~2022~~2023 are as follows:

Harvey Beker, age 6970. Mr. Beker is Chairman of the Managing Owner and serves as a member of the Managing Owner’s Investment Committee. He received a Bachelor of Arts degree in economics from New York University (“NYU”) in 1974 and a Master of Business Administration degree in finance from NYU in 1975. From June 1975 to July 1977, Mr. Beker was employed by the investment bank Loeb Rhoades, Inc. where he developed and traded silver arbitrage strategies. From July 1977 to June 1978, Mr. Beker was a futures trader at the commodities and securities brokerage firm of Clayton Brokerage Co. of St. Louis. Mr. Beker joined The Millburn Corporation in June 1978. He initially served as the Director of Operations for its affiliate, Millburn Partners, and most recently thereafter served as Co-Chief Executive Officer of the Managing Owner and Chairman and Chief Executive Officer of The Millburn Corporation until November 1, 2015. During his tenure at the Managing Owner (including its former affiliates, The Millburn Corporation, Millburn Partners and CommInVest Research Limited Partnership (“CommInVest”)), he has been instrumental in the development of the research, trading and operations areas. Mr. Beker became a principal of the firm in June 1982, and a partner in the predecessor to ShareInVest Research L.P. (“ShareInVest”) in April 1982. Mr. Beker became registered as an Associated Person and a Swap Associated Person of the Managing Owner effective November 25, 1986 and March 8, 2013, respectively. He was also listed as a Principal and registered as an Associated Person of ShareInVest effective February 20, 1986 until February 25, 2007. Since March 20, 2020 Mr. Beker has also served as Chairman of Millburn Asia, LLC and Millburn International, LLC (collectively, “Millburn International Group”) and prior to that date served as Co-Chairman of each such entity since its inception.

Gregg R. Buckbinder, age 6465. Mr. Buckbinder is President and Chief Operating Officer of the Managing Owner. He joined the Managing Owner and The Millburn Corporation in January 1998 from Odyssey Partners, L.P., an investment management firm, where he was responsible for the operation, administration and accounting of the firm’s merchant banking and managed account businesses from July 1990 through December 1997. Mr. Buckbinder was employed by Tucker Anthony, a securities broker and dealer, from June 1985 to July 1990 where he was First Vice President and Controller, and from August 1983 to June 1984 where he designed and implemented various operations and accounting systems. He was with the public accounting firm of Ernst & Whinney from June 1984 to June 1985 as a manager in the tax department and from September 1980 to August 1983 as a senior auditor, with an emphasis on clients in the financial services business. Mr. Buckbinder graduated cum laude from Pace University (“Pace”) in 1980 with a B.B.A. in accounting and received an M.S. in taxation from Pace in 1988. He is a Certified Public Accountant and a member of the American Institute of Certified Public Accountants. Mr. Buckbinder served as Senior Vice-President of the Managing Owner and The Millburn Corporation until November 1, 2015, the Chief Financial Officer of the Managing Owner until February 1, 2020, and has since served as the President and Chief Operating Officer of both entities with his affiliation with The Millburn Corporation ceasing on December 31, 2018 upon The Millburn Corporation’s merger into the Managing Owner. Mr. Buckbinder has also served as Senior Vice President, Chief Operating Officer and a Director of each entity in Millburn International Group since inception. Mr. Buckbinder became listed as a Principal of the Managing Owner effective February 5, 1999. He became listed as a Principal of The Millburn Corporation effective March 23, 1998 until January 17, 2019 following The Millburn Corporation’s merger into the Managing Owner. Mr. Buckbinder became a partner in ShareInVest in January 2000. He was also listed as a Principal of ShareInVest effective February 28, 2001 until February 25, 2007.

Michael W. Carter, age 5354. Mr. Carter is a Vice President, Director of Operations and Principal Accounting Officer of the Managing Owner. He is responsible for overseeing operations and accounting for the firm’s commodity pools. Mr. Carter has served as Principal Accounting Officer of the Managing Owner since May 2014, and prior to the merger of The Millburn Corporation into the Managing Owner on December 31, 2018, also served as Vice President and Director of Operations of The Millburn Corporation since January 2011, maintaining responsibility for the entity’s operations. Mr. Carter previously held the positions of Fund Controller (February 2001 until February 2011) and Senior Accountant (March 2000 until February 2001) with The Millburn Corporation. He graduated from Rutgers, The State University of New Jersey – Newark in May 1997 with a B.S. in Accounting. Prior to joining the Managing Owner and its affiliates in March 2000, he was employed with the accounting firm Rothstein Kass & Company, P.C., as a fund accountant from March 1997 until September 1997 and as a staff auditor from September 1997 until June 1999, and then an equity analyst covering restaurants with the brokerage firm of Sidoti & Company, LLC, which conducts independent small-cap equity research for institutional investors, from June 1999 until February 2000. He is a Certified Public Accountant. Mr. Carter became listed as Principal of the Managing Owner effective April 22, 2014. Mr. Carter’s affiliation with The Millburn Corporation ceased on December 31, 2018 upon its merger into the Managing Owner.

Steven M. Felsenthal, age 5354. Mr. Felsenthal is General Counsel and Chief Compliance Officer of the Managing Owner. Prior to joining the Managing Owner and its affiliates (including its former affiliate The Millburn Corporation) in January 2004, Mr. Felsenthal was a senior

associate in the investment management group at the law firm of Schulte Roth & Zabel LLP (September 1999 to January 2004), where he represented and advised hedge funds, registered investment companies, investment advisers, broker-dealers and banks in connection with all facets of their asset management businesses, and a member of the tax department of the law firm of Kramer, Levin, Naftalis & Frankel LLP (October 1996 to September 1999). He graduated cum laude from Yeshiva University in 1991 with a B.A. in political science, and order of the coif from Fordham University School of Law in 1996, where he also served as an editor of the Fordham Environmental Law Journal. Mr. Felsenthal received an LL.M degree in taxation from NYU School of Law in 2001 and has written and been quoted in numerous published articles, and frequently speaks at conferences, on various topics related to investment management. Mr. Felsenthal is a member of the New York State Bar (since August 1997), a member of NFA’s Compliance and Risk Committee (since May 2014), a member of MFA’s CTA, CPO and Futures Committee, serving as a Chair (since April 2018) and Vice Chair (February 2017 to April 2018), a former member of the Steering Committee of MFA’s Chief Compliance Officer Forum (June 2014 to December 2015), former Chairman of MFA’s CPO/CTA Advisory Committee (November 2006 to June 2010) and former Co-Chairman of the Steering Committee of MFA’s CPO/CTA Forum (June 2010 to January 2013), is currently a member of the Editorial Boards of the Journal of Securities Operations & Custody (formerly known as the Journal of Securities Law, Regulation and Compliance) (since February 2007) and the Journal of Financial Compliance (since August 2017) and a regular lecturer for the Regulatory Compliance Association’s Chief Compliance Officer University (since May 2009). Mr. Felsenthal also served as General Counsel, Chief Compliance Officer and Secretary of each entity in Millburn International Group since inception. Mr. Felsenthal became listed as a Principal of the Managing Owner effective June 24, 2004. Mr. Felsenthal also served as General Counsel and Chief Compliance Officer of ShareInVest. Mr. Felsenthal’s affiliation with The Millburn Corporation ceased on December 31, 2018 upon its merger into the Managing Owner.

Mark B. Fitzsimmons, age 75. Mr. Fitzsimmons is a Senior Vice President of the Managing Owner. His responsibilities mainly involve business development. He joined the Managing Owner and its affiliates (including its former affiliate The Millburn Corporation) in January 1990 from the brokerage firm of Morgan Stanley & Co. Incorporated, a global financial services firm, where he was a Principal and Manager of institutional foreign exchange sales and was involved in strategic trading for the firm from October 1987 until January 1990. From September 1977 to October 1987, he was with the financial institution Chemical Bank New York Corporation (“Chemical”), first as a Senior Economist in Chemical’s Foreign Exchange Advisory Service and later as a Vice President and Manager of Chemical’s Corporate Trading Group. While at Chemical he also traded both foreign exchange and fixed income products. From September 1973 to September 1977, Mr. Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing his time between the International Research Department and the Foreign Exchange Department. He graduated summa cum laude from the University of Bridgeport, Connecticut in 1970 with a B.S. degree in economics. His graduate work was done at the University of Virginia, where he received a certificate of candidacy for a Ph.D. in economics in 1973. Mr. Fitzsimmons became listed as a Principal and registered as an Associated Person and a Swap Associated Person of the Managing Owner effective July 2, 1993, April 15, 2009, and March 8, 2013, respectively. Mr. Fitzsimmons was a partner in ShareInVest beginning in January 2000. He was also a listed Principal of ShareInVest effective May 19, 1999 until February 25, 2007. Mr. Fitzsimmons also served as a Senior Vice President of The Millburn Corporation until December 31, 2011 with his main responsibilities including business development and investment strategy.

Barry Goodman, age 65. Mr. Goodman is Co-Chief Executive Officer and Executive Director of Trading of the Managing Owner, and serves as a member of the Managing Owner’s Investment Committee. Mr. Goodman plays an integral role in business and product development, and in the strategic direction of the firm as a whole. Mr. Goodman joined the Managing Owner (including its former affiliate The Millburn Corporation) and Millburn Partners in November 1982 as Assistant Director of Trading and thereafter served as Executive Vice President of the Managing Owner and The Millburn Corporation until November 1, 2015. Mr. Goodman has since served as Co-Chief Executive Officer and Executive Director of Trading of both entities with his affiliation with The Millburn Corporation ceasing on December 31, 2018 upon the merger of The Millburn Corporation into the Managing Owner. His responsibilities include overseeing the firm’s trading operations and managing its trading relationships, as well as the design and implementation of trading systems. From September 1980 through October 1982, he was a commodity trader at the brokerage firm of E. F. Hutton & Co., Inc. (“E.F. Hutton”). At E.F. Hutton, he also designed and maintained various technical indicators and coordinated research projects pertaining to the futures markets. Mr. Goodman graduated magna cum laude from Harpur College of the State University of New York in 1979 with a B.A. in economics. Mr. Goodman has also served as President and a Director of each entity in Millburn International Group since inception. Mr. Goodman became listed as a Principal and registered as an Associated Person and a Swap Associated Person of the Managing Owner effective December 19, 1991, May 23, 1989 and January 14, 2013, respectively. He became a partner in ShareInVest in January 1994. Mr. Goodman was a listed Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

Grant N. Smith, age 71. Mr. Smith is Co-Chief Executive Officer and Chief Investment Officer of the Managing Owner, and serves as a member of the Managing Owner’s Investment Committee. He is responsible for the design, testing and implementation of quantitative trading strategies, as well as for planning and overseeing the computerized decision-support systems of the firm. He received a B.S. degree from the Massachusetts Institute of Technology (“MIT”) in 1974 and an M.S. degree from MIT in 1975. While at MIT, he held several teaching and research positions in the computer science field and participated in various projects relating to database management. He joined the predecessor entity to The Millburn Corporation in June 1975, and has been continuously associated with the Managing Owner and its affiliates since that time. Mr. Smith served as the Executive Vice President of the Managing Owner and The Millburn Corporation until November 1, 2015 and as the Director of Research of both such entities until May 31, 2016. He has since served as the Co-Chief Executive Officer and Chief Investment Officer of both entities with his affiliation with The Millburn Corporation ceasing on December 31, 2018 upon the merger of The Millburn Corporation into the Managing Owner. He has also served as a Director of each entity in Millburn International Group since inception, where he, along with the other Directors of each of those entities, is responsible for its overall management. Mr. Smith became listed as a Principal and registered as an Associated Person and Swap Associated Person of the Managing Owner, effective December 19, 1991, April 15, 2009 and March 8, 2013, respectively. Mr. Smith also became a partner in ShareInVest in January 1994. He also was listed as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

~~Ilon~~associate Wuin the investment management group at the law firm of Schulte Roth & Zabel LLP (September 1999 to January 2004), ~~age~~where ~~46.~~he ~~Ms.~~represented Wuand isadvised ahedge ~~Vice~~funds, ~~President~~registered investment companies, investment advisers, broker-dealers and ~~Chief~~banks ~~Financial~~in ~~Officer~~connection with all facets of ~~the~~their ~~Managing~~asset ~~Owner. Her~~management ~~areas~~businesses, and a member of ~~responsibility~~the ~~include~~tax ~~overseeing~~department of the ~~accounting~~law ~~and~~firm ~~finance~~of ~~for~~Kramer, ~~the~~Levin, ~~Managing~~Naftalis ~~Owner~~& ~~and~~Frankel ~~accounting~~LLP (October 1996 to September 1999). He graduated cum laude from Yeshiva University in 1991 with a B.A. in political science, and ~~administration~~order of ~~many~~the coif from Fordham University School of ~~the~~Law ~~investment~~in ~~vehicles~~1996, ~~managed~~where byhe also served as an editor of the ~~Managing~~Fordham ~~Owner~~Environmental Law Journal. Ms Mr. WuFelsenthal ~~has~~received ~~served~~an asLL.M ~~Chief~~degree ~~Financial~~in ~~Officer~~taxation from NYU School of ~~the~~Law ~~Managing~~in ~~Owner~~2001 ~~since~~and ~~January~~has ~~2020~~written and been quoted in numerous published articles, ~~before~~and ~~which~~frequently ~~she~~speaks ~~served~~at asconferences, ~~Controller~~on various topics related to investment management. Mr. Felsenthal is a member of ~~The~~the ~~Millburn~~New ~~Corporation~~York State Bar (since ~~January~~August ~~2011~~1997), a ~~position~~member ~~she~~of ~~held~~NFA’s ~~prior~~Compliance toand ~~the~~Risk ~~merger~~Committee of(since ~~The~~May ~~Millburn~~2014), ~~Corporation~~a ~~into~~member ~~the~~of ~~Managing~~MFA’s ~~Owner~~CTA, onCPO ~~December~~and 31Futures Committee, serving as a Chair (since April 2018,) and ~~then~~Vice inChair ~~the~~(February ~~same~~2017 ~~capacity~~to atApril 2018), a former member of the ~~Managing~~Steering ~~Owner.~~Committee ~~Ms.~~of WuMFA’s ~~previously~~Chief ~~held~~Compliance ~~the~~Officer ~~positions~~Forum (June 2014 to December 2015), former Chairman of ~~Assistant~~MFA’s ~~Controller~~CPO/CTA Advisory Committee (~~August~~November ~~2005~~2006 ~~until~~to ~~December~~June 2010) and ~~Senior~~former ~~Financial~~Co-Chairman ~~Accountant~~of the Steering Committee of MFA’s CPO/CTA Forum (June ~~2000~~2010 ~~until~~to ~~August~~January ~~2006~~2013), ~~with~~is ~~The~~currently ~~Millburn~~a ~~Corporation. She~~member ~~graduated~~of ~~from~~the ~~Baruch~~Editorial ~~College,~~Boards ~~The~~of ~~City~~the ~~University~~Journal of ~~New~~Securities ~~York~~Operations in& ~~May~~Custody ~~1998~~(formerly ~~with~~known aas ~~B.B.A.~~the inJournal ~~Accounting.~~of ~~Prior~~Securities toLaw, ~~joining~~Regulation ~~the~~and ~~Managing~~Compliance) ~~Owner~~(since February 2007) and ~~its~~the ~~affiliates~~Journal inof ~~June~~Financial ~~2000,~~Compliance ~~she~~(since ~~was~~August ~~employed~~2017) ~~with~~and a regular lecturer for the ~~accounting~~Regulatory ~~firm~~Compliance ~~Grant~~Association’s ~~Thornton~~Chief ~~LLP,~~Compliance Officer University (since May 2009). Mr. Felsenthal also served as aGeneral ~~staff~~Counsel, ~~accountant~~Chief ~~from~~Compliance ~~October~~Officer ~~1998~~and toSecretary ~~June~~of ~~2000.~~each ~~She~~entity isin aMillburn ~~Certified~~International ~~Public~~Group ~~Accountant~~since inception. MsMr. WuFelsenthal became listed as a Principal of the Managing Owner effective ~~March~~June 924, ~~2020~~2004. MsMr. WuFelsenthal also served as General Counsel and Chief Compliance Officer of ShareInVest. Mr. Felsenthal’s affiliation with The Millburn Corporation ceased on December 31, 2018 upon its merger into the Managing Owner.

Mark B. Fitzsimmons, age 76. Mr. Fitzsimmons is a Senior Vice President of the Managing Owner. His responsibilities mainly involve business development. He joined the Managing Owner and its affiliates (including its former affiliate The Millburn Corporation) in January 1990 from the brokerage firm of Morgan Stanley & Co. Incorporated, a global financial services firm, where he was a Principal and Manager of institutional foreign exchange sales and was involved in strategic trading for the firm from October 1987 until January 1990. From September 1977 to October 1987, he was with the financial institution Chemical Bank New York Corporation (“Chemical”), first as a Senior Economist in Chemical’s Foreign Exchange Advisory Service and later as a Vice President and Manager of Chemical’s Corporate Trading Group. While at Chemical he also traded both foreign exchange and fixed income products. From September 1973 to September 1977, Mr. Fitzsimmons was employed by the Federal Reserve Bank of New York, dividing his time between the International Research Department and the Foreign Exchange Department. He graduated summa cum laude from the University of Bridgeport, Connecticut in 1970 with a B.S. degree in economics. His graduate work was done at the University of Virginia, where he received a certificate of candidacy for a Ph.D. in economics in 1973. Mr. Fitzsimmons became listed as a Principal and registered as an Associated Person and a Swap Associated Person of the Managing Owner effective July 2, 1993, April 15, 2009, and March 8, 2013, respectively. Mr. Fitzsimmons was a partner in ShareInVest beginning in January 2000. He was also a listed Principal of ShareInVest effective May 19, 1999 until February 25, 2007. Mr. Fitzsimmons also served as a Senior Vice President of The Millburn Corporation until December 31, 2011 with his main responsibilities including business development and investment strategy.

Barry Goodman, age 66. Mr. Goodman is Co-Chief Executive Officer and Executive Director of Trading of the Managing Owner, and serves as a member of the Managing Owner’s Investment Committee. Mr. Goodman plays an integral role in business and product development, and in the strategic direction of the firm as a whole. Mr. Goodman joined the Managing Owner (including its former affiliate The Millburn Corporation) and Millburn Partners in November 1982 as Assistant Director of Trading and thereafter served as Executive Vice President of the Managing Owner and The Millburn Corporation until November 1, 2015. Mr. Goodman has since served as Co-Chief Executive Officer and Executive Director of Trading of both entities with his affiliation with The Millburn Corporation ceasing on December 31, 2018 upon the merger of The Millburn Corporation into the Managing Owner. His responsibilities include overseeing the firm’s trading operations and managing its trading relationships, as well as the design and implementation of trading systems. From September 1980 through October 1982, he was a commodity trader at the brokerage firm of E. F. Hutton & Co., Inc. (“E.F. Hutton”). At E.F. Hutton, he also designed and maintained various technical indicators and coordinated research projects pertaining to the futures markets. Mr. Goodman graduated magna cum laude from Harpur College of the State University of New York in 1979 with a B.A. in economics. Mr. Goodman has also served as President and a Director of each entity in Millburn International Group since inception. Mr. Goodman became listed as a Principal and registered as an Associated Person and a Swap Associated Person of the Managing Owner effective December 19, 1991, May 23, 1989 and January 14, 2013, respectively. He became a partner in ShareInVest in January 1994. Mr. Goodman was a listed Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

Grant N. Smith, age 72. Mr. Smith is Co-Chief Executive Officer and Chief Investment Officer of the Managing Owner, and serves as a member of the Managing Owner’s Investment Committee. He is responsible for the design, testing and implementation of quantitative trading strategies, as well as for planning and overseeing the computerized decision-support systems of the firm. He received a B.S. degree from the Massachusetts Institute of Technology (“MIT”) in 1974 and an M.S. degree from MIT in 1975. While at MIT, he held several teaching and research positions in the computer science field and participated in various projects relating to database management. He joined the predecessor entity to The Millburn Corporation in June 1975, and has been continuously associated with the Managing Owner and its affiliates since that time. Mr. Smith served as the Executive Vice President of the Managing Owner and The Millburn Corporation until November 1, 2015 and as the Director of Research of both such entities until May 31, 2016. He has since served as the Co-Chief Executive Officer and Chief Investment Officer of both entities with his affiliation with The Millburn Corporation ceasing on December 31, 2018 upon the merger of The Millburn Corporation into the Managing Owner. He has also served as a Director of each entity in Millburn International Group since inception, where he, along with the other Directors of each of those entities, is responsible for its overall management. Mr. Smith became listed as a Principal and registered as an Associated Person and Swap Associated Person of the Managing Owner, effective December 19, 1991, April 15, 2009 and March 8, 2013, respectively. Mr. Smith also became a partner in ShareInVest in January 1994. He also was listed as a Principal of ShareInVest, effective May 19, 1999 until February 25, 2007.

Ilon Wu, age 47. Ms. Wu is a Vice President and Chief Financial Officer of the Managing Owner. Her areas of responsibility include overseeing the accounting and finance for the Managing Owner and accounting and administration of many of the investment vehicles managed by the Managing Owner. Ms. Wu has served as Chief Financial Officer of the Managing Owner since January 2020, before which she served as Controller of The Millburn Corporation (since January 2011), a position she held prior to the merger of The Millburn Corporation into the Managing Owner on December 31, 2018, and then in the same capacity at the Managing Owner. Ms. Wu previously held the positions of Assistant Controller (August 2005 until December 2010) and Senior Financial Accountant (June 2000 until August 2006) with The Millburn Corporation. She graduated from Baruch College, The City University of New York in May 1998 with a B.B.A. in Accounting. Prior to joining the Managing Owner and its affiliates in June 2000, she was employed with the accounting firm Grant Thornton LLP, as a staff accountant from October 1998 to June 2000. She is a Certified Public Accountant. Ms. Wu became listed as Principal of the Managing Owner effective March 9, 2020. Ms. Wu’s affiliation with The Millburn Corporation ceased on December 31, 2018 upon its merger into the Managing Owner.

None of the individuals listed above currently serves as a director of a public company.

None.

(d) Family Relationships

None.

(e) Business Experience

See Item 10 (a, b) above.

(f) Involvement in Certain Legal Proceedings

None.

(g) Code of Ethics

The Trust has no employees, officers or directors and is managed by the Managing Owner. The Managing Owner has adopted an Executive Code of Ethics that applies to its principal executive officers, principal financial officer and principal accounting officer. A copy of this Executive Code of Ethics may be obtained at no charge by written request to Millburn Ridgefield Corporation, 55 West 46th Street, 31st Floor, New York, New York 10036 or by calling 212-332-7300 (ask for Client Services).

(h) Audit Committee Financial Expert

Because the Trust has no employees, officers or directors, the Trust has no audit committee. The Trust is managed by the Managing Owner. Gregg Buckbinder serves as the Managing Owner’s “audit committee financial expert.” Mr. Buckbinder is not independent of the management of the Managing Owner. The Managing Owner is a privately owned corporation managed by its shareholders. It has no independent directors.

Item 11. Executive Compensation

The Trust has no directors, officers or employees. None of the directors, officers or employees of the Managing Owner receive compensation from the Trust. The Managing Owner makes all investment decisions on behalf of the Trust. The Managing Owner receives monthly brokerage commissions of 0.5833 of 1% of the Trust’s net assets attributable to Series 1 Units (which is reduced to 0.542 of 1%, 0.5 of 1% or 0.458 of 1% of net assets for Series 1 Unitholders who invest amounts of $100,000, $500,000 or $1,000,000 or more, respectively, in the Trust and to 0.33 of 1% of Unitholders who invested through selling agent fee based accounts) and an annual profit share of 20% of any new trading profits (net of brokerage commissions and administrative expenses and excluding interest income). The Managing Owner receives a monthly management fee of 0.14583 of 1% of the Trust’s net assets attributable to Series 3 Units. The Managing Owner also receives a Series 3 profit share equal to 20% of any cumulative new trading profit of the Series 3 Units in the aggregate, determined as of the end of each calendar year. The Managing Owner receives a monthly management fee of 0.20833 of 1% of the Trust’s net assets attributable to Series 5 Units and a Series 5 profit share equal to 20% of any cumulative new trading profit of the Series 5 Units in the aggregate, determined as of the end of each calendar year. The annual profit share attributed to the Series 3 Units and Series 5 Units is calculated net of such Series respective management fees, execution and clearing costs, custodial fees, and ongoing offering and administrative expenses and excluding interest income.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

(a) Security Ownership of Certain Beneficial Owners

1415

All of the Trust’s managing owner interest is held by the Managing Owner.

(b) Security Ownership of Management

The Trust has no officers or directors. Under the terms of the Trust Agreement, the Trust’s affairs are managed by the Managing Owner, which has discretionary authority over the Trust’s trading. The Managing Owner’s managing owner interest was valued at $2,~~267~~157,~~924~~842 as of December 31, ~~2022~~2023, 2.1083% of the Trust’s total capital.

As of December 31, 2023, the directors and executive officers of the Managing Owner beneficially owned Interests as follows:


					Percentage of Unitholder
Name	Value of Interest				Interests
			Held
	Held Directly		Indirectly ¹		% Directly			% Indirectly

Harvey Beker	$	0	$	357,343		0.00	%		0.48	%

Gregg Buckbinder	$	0	$	820,420		0.00	%		1.11	%

Steven M. Felsenthal	$	0	$	523,469		0.00	%		0.71	%

Mark Fitzsimmons	$	0	$	4,482		0.00	%		0.01	%

Barry Goodman	$	0	$	241,380		0.00	%		0.33	%

Grant Smith	$	0	$	1,651		0.00	%		0.00	%

Ilon Wu	$	0	$	600,566		0.00	%		0.81	%

Michael Carter	$	0	$	119,878		0.00	%		0.16	%

Directors and executive officers of the General Partner as a group	$	0	$	2,669,189		0.00	%		3.61	%

¹ Interests held indirectly include Interests with respect to which a person holds voting or disposition power: (i) by virtue of serving as one of two or fewer trustees, custodian or officer of the beneficial owner which is a charitable entity, benefit plan or custody account for the benefit of a minor; (ii) with respect to certain Interests owned by members of a person’s immediate family; or (iii) through a self-directed benefit plan.

None.

(d) Securities Authorized for Issuance Under Equity Compensation Plans

None.

Item 13. Certain Relationships and Related Transactions, and Director Independence

See “Item 11. Executive Compensation” and “Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters.” The Trust allocated to the Managing Owner $4,~~236~~120,~~149~~192 (net of $~~586~~455,~~089~~884 Managing Owner commission rebate to Unitholders) in brokerage and ~~custodial fees and $497,268 in~~ management fees and $~~549~~3,~~499~~058 in profit share for the year ended December 31, ~~2022~~2023. The Managing Owner’s capital interest was allocated net ~~income~~loss of $~~517~~110,~~996~~399 for the year ended December 31, ~~2022~~2023. The Trust allocated to the Managing Owner $4,~~495~~733,~~881~~417 (net of $~~616~~586,~~944~~089 Managing Owner commission rebate to Unitholders) in brokerage and ~~custodial~~management fees and $~~498~~549,~~572~~499 in ~~management~~profit ~~fees~~share for the year ended December 31, ~~2021~~2022. The Managing Owner’s capital interest was allocated net income of $~~224~~516,~~861~~975 for the year ended December 31, ~~2021~~2022. The Managing Owner has paid certain administrative expenses to third-parties on behalf of the Trust, related to legal, accounting, auditing, printing, postage and similar administrative expenses, and has been or will be reimbursed without interest by the Trust. The Trust is prohibited from making any loans.

Item 14. Principal Accountant Fees and Services

(1) Audit Fees

The aggregate fees for professional services rendered by Deloitte & Touche LLP in connection with their audit of the Trust’s financial statements and reviews of the financial statements included in the quarterly reports on Form 10-Q and in connection with the statutory and regulatory filings for the years ended December 31, 2022 and 2021 were approximately $95,000 and $88,000, respectively.16

The aggregate fees for professional services rendered by Deloitte & Touche LLP in connection with their audit of the Trust’s financial statements and reviews of the financial statements included in the quarterly reports on Form 10-Q and in connection with the statutory and regulatory filings for the years ended December 31, 2023 and 2022 were approximately $90,000 and $95,000, respectively.

(2) Audit-Related Fees

The Trust did not engage Deloitte & Touche LLP for internal control consulting services.

(3) Tax Fees

The Trust did not engage Deloitte & Touche LLP for professional services for tax compliance, advice or planning services.

(4) All Other Fees

There were no other fees for the years ended December 31, ~~2022~~2023 and ~~2021~~2022.

(5) Pre-Approval Policies

The board of directors of the Managing Owner pre-approves the engagement of the Trust’s auditor for all services to be provided by the auditor.

‎

1517

PART IV

Item 15. Exhibits and Financial Statement Schedules

(a)(1) Financial Statements

The following are included with the 2022 Annual Report to Security Holders, a copy of which is filed herewith as Exhibit 13.01.

Affirmation of Millburn Ridgefield Corporation

Report of Independent Registered Public Accounting Firm

Statements of Financial Condition

Condensed Schedules of Investments

Statements of Operations

Statements of Changes in Trust Capital

Statements of Financial Highlights

Notes to Financial Statements

(a)(2) Financial Statement Schedules

All Schedules are omitted for the reason that they are not required or are not applicable because equivalent information has been included in the financial statements or the notes thereto.

(a)(3) Exhibits as required by Item 601 of Regulation S-K

The following exhibits are included herewith.

Designation		Description
13.01		~~2022~~2023 Annual Report to Security Holders
31.01		Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer
31.02		Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer
31.03		Rule 13a-14(a)/15d-14(a) Certification of President and Chief Operating Officer
31.04		Rule 13a-14(a)/15d-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
104		Cover Page Interactive Data File (formatted as Inline XBRL and contained inExhibit 101).

‎

1618

The following exhibits are incorporated by reference from the exhibits of the same number and description filed with the Trust’s Registration Statement (File. No. 333-229651) filed on March 26, 2021 on Form S-1 under the Securities Act of 1933.


	1.01	Form of Selling Agreement.

	3.01	Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).

	3.03	Sixth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included in Exhibit A to the Prospectus).

	10.01	Form of Subscription Agreement (included as Exhibit C to the Prospectus).

	10.02	Form of Services Agreement.

Item 16. Form 10-K Summary

None.

1719

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, on the ~~31st~~29th day of March, ~~2023~~2024.


	GLOBAL MACRO TRUST

	By:	Millburn Ridgefield Corporation,
		Managing Owner

	By:	/s/ Harvey Beker
		Harvey Beker
		Chairman (Director)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Managing Owner of the Registrant and in the capacities and on the date indicated.

	Title with
Signature	Managing Owner	Date
/s/ Harvey Beker	Chairman	March 3129, ~~2023~~2024
Harvey Beker	(Director)
/s/ Barry Goodman	Co-Chief Executive Officer	March 3129, ~~2023~~2024
Barry Goodman	(Principal Executive Officer)
/s/ Grant N. Smith	Co-Chief Executive Officer	March 3129, ~~2023~~2024
Grant N. Smith	(Principal Executive Officer)
/s/ Gregg Buckbinder	President and Chief Operating Officer	March 3129, ~~2023~~2024
Gregg Buckbinder	(Principal Executive Officer)
/s/ Michael W. Carter	Vice President	March 3129, ~~2023~~2024
Michael W. Carter	(Principal Accounting Officer)

3
/s/ Ilon Wu	Chief Financial Officer	March 3129, ~~2023~~2024
Ilon Wu	(Principal Financial Officer)

(Being the principal executive officers, the principal financial officer and principal accounting officer, and a majority of the directors of Millburn Ridgefield Corporation)

‎

1820

EXHIBIT INDEX

The following exhibits are included herewith

Designation		Description
13.01		~~2022~~2023 Annual Report to Security Holders
31.01		Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer‎
31.02		Rule 13a-14(a)/15d-14(a) Certification of Co-Chief Executive Officer
31.03		Rule 13a-14(a)/15d-14(a) Certification of President and Chief Operating Officer
31.04		Rule 13a-14(a)/15d-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
104		Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).


	1.01	Form of Selling Agreement.

	3.01	Certificate of Trust of Registrant (included as Schedule A to Exhibit A to the Prospectus).

	3.03	Sixth Amended and Restated Declaration of Trust and Trust Agreement of Registrant (included in Exhibit A to the Prospectus).

	10.01	Form of Subscription Agreement (included as Exhibit C to the Prospectus).

	10.02	Form of Services Agreement.

‎

1921

Exhibit 13.1

Delaware Statutory Trust) Global Macro Trust(A Delaware Statutory Trust)Financial Statements as of and for the Years Ended December 31, ~~2022~~2023 and ~~2021~~2022, and Report of Independent Registered Public Accounting Firm

F-2

GLOBAL MACRO TRUST

TABLE OF CONTENTS

		Page(s)
AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION		F-2
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM		F-3
FINANCIAL STATEMENTS AS OF DECEMBER 31, 2022 AND 2021 AND FOR THE YEARS ENDED DECEMBER 31, 2022, and 2021:
FINANCIAL STATEMENTS AS OF DECEMBER 31, 2023 AND 2022 AND FOR THE YEARS ENDED DECEMBER 31, 2023, and 2022:
Statements of Financial Condition		F-4
Condensed Schedules of Investments		F-5 -– F-8
Statements of Operations		F-9
Statements of Changes in Trust Capital		F-10
Statements of Financial Highlights		F-11
Notes to Financial Statements		F-212 - F-29

F-1

AFFIRMATION OF MILLBURN RIDGEFIELD CORPORATION

In compliance with the Commodity Futures Trading Commission’s regulations, I hereby affirm that to the best of my knowledge and belief, the information contained in the Statements of Financial Condition of Global Macro Trust, including the Condensed Schedules of Investments, as of December 31, ~~2022~~2023 and ~~2021~~2022, and the related Statements of Operations, Changes in Trust Capital and Financial Highlights for each of the two years in the period ended December 31, ~~2022~~2023 are complete and accurate.

Gregg Buckbinder, President
‎Millburn Ridgefield Corporation
‎Managing Owner of Global Macro Trust

‎

F-2

A picture containing text, clipart

Description automatically generated

Deloitte & Touche LLP

30 Rockefeller Plaza

New York, NY 10112-0015

USA

Tel: +1 212 492 4000
‎Fax: +1 212 489 1687
‎www.deloitte.com

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Unitholders of Global Macro Trust:

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of financial condition of Global Macro Trust (the “Trust”), including the condensed schedules of investments, as of December 31, ~~2022~~2023 and ~~2021~~2022, the related statements of operations, changes in trust capital, and the financial highlights for each of the two years in the period ended December 31, ~~2022~~2023, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Trust as of December 31, ~~2022~~2023 and ~~2021~~2022, the results of its operations, the changes in trust capital, and the financial highlights for each of the two years in the period ended December 31, ~~2022~~2023, in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Trust's financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of December 31, ~~2022~~2023, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matters

Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.

~~/s/ Deloitte & Touche LLP~~‎‎March 2018, ~~2023~~2024 ‎

We have served as the auditor of one or more Millburn Ridgefield Corporation investment companies since 2004.

F-3

GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL CONDITION
AS OF DECEMBER 31, 2022 AND 2021
AS OF DECEMBER 31, 2023 AND 2022
	2022	2021
	2023	2022
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost
$21,631,687 and $16,831,384)	$ 21,481,593	$ 16,826,505
$15,512,210 and $21,631,687)	$ 15,507,848	$ 21,481,593
Net unrealized appreciation on open futures and forward currency contracts	5268,~~339,722~~713	~~393~~5,~~615~~339,722
Due from brokers	51,~~460~~674,~~903~~254	35,~~488~~460,~~546~~903
Cash denominated in foreign currencies (cost $0 and $860,563)	-	852,118
Cash denominated in foreign currencies (cost $820,615 and $0)	839,582	-
Total equity in trading accounts	3218,~~282~~290,~~218~~397	2132,~~560~~282,~~784~~218
INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost
$73,404,374 and $74,512,865)	73,025,294	74,498,647
$56,320,592 and $73,404,374)	56,377,442	73,025,294
CASH AND CASH EQUIVALENTS	63,~~518~~315,~~465~~887	76,~~661~~518,~~202~~465
ACCRUED INTEREST RECEIVABLE	~~584~~459,~~235~~476	~~610~~584,~~661~~235
TOTAL	$ ~~112~~78,~~410~~443,~~212~~202	$ ~~104~~112,~~331~~410,~~294~~212
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Subscriptions by Unitholders received in advance	$ -	$ 98,039
Net unrealized depreciation on open futures and forward currency contracts	$ 1,144,223	$ -
Net unrealized depreciation on open futures and forward currency contracts	-	651,560
Due to brokers	3,580	-
Due to brokers	-	71,047
Accrued management fees	154,448	231,456
Accrued brokerage fees	377,000	353,622
Accrued installment selling commissions	122,139	181,153
Accrued management fees	40,785	38,778
Accrued trade execution and clearing costs	4,668	5,176
Redemptions payable to Unitholders	1433,~~083,735~~216	~~353~~1,~~287~~083,735
Redemptions payable to Managing Owner	12,~~298,478~~741	~~500~~1,~~000~~298,478
Accrued expenses	~~133~~93,~~385~~508	81133,~~914~~385
Cash overdraft denominated in foreign currencies (cost $1,255,479 and $58,614)	1,297,901	57,704
Cash overdraft denominated in foreign currencies (cost $300,130 and $1,255,479)	306,242	1,297,901
Total liabilities	42,~~231~~264,~~284~~765	24,~~205~~231,~~951~~284
TRUST CAPITAL:
Managing Owner interest (1,854.682 and 2,329.914 units outstanding)	2,267,924	2,499,928
Managing Owner interest (1,966.591 and 1,854.682 units outstanding)	2,157,842	2,267,924
Series 1 Unitholders (57,887.327 and 62,620.242 units outstanding)	70,785,087	67,189,838
Series 1 Unitholders (42,174.214 and 57,887.327 units outstanding)	46,275,735	70,785,087
Series 3 Unitholders (9,204.522 and 10,514.052 units outstanding)	17,954,584	17,635,045
Series 3 Unitholders (6,820.101 and 9,204.522 units outstanding)	12,437,987	17,954,584
Series 4 Unitholders (4,040.492 and 3,881.484 units outstanding)	10,883,596	8,660,732
Series 4 Unitholders (3,889.504 and 4,040.492 units outstanding)	9,968,358	10,883,596
Series 5 Unitholders (3,458.143 and 3,895.148 units outstanding)	6,287,737	6,139,800
Series 5 Unitholders (3,164.075 and 3,458.143 units outstanding)	5,338,515	6,287,737
Total trust capital	~~108~~76,178,~~928~~437	~~102~~108,~~125~~178,~~343~~928
TOTAL	$ ~~112~~78,~~410~~443,~~212~~202	$ ~~104~~112,~~331~~410,~~294~~212
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$ 1,~~222~~097.8125	$ 1,~~072~~222.9781
Series 3 Unitholders	$ 1,~~950~~823.6372	$ 1,~~677~~950.2863
Series 4 Unitholders	$ 2,~~693~~562.6389	$ 2,~~231~~693.2963
Series 5 Unitholders	$ 1,~~818~~687.2423	$ 1,~~576~~818.2724
See notes to financial statements

‎

F-4

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2022
AS OF DECEMBER 31, 2023
	Net Unrealized
	Appreciation
	(Depreciation)		Net Unrealized
	as a % of		Appreciation
	Trust Capital		(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Currencies	(0.0100)	%		$ 12(2,~~200~~207)
Energies	(0.9048)			~~972~~(364,~~247~~739)
Grains	0.08			89,498
Interest rates	0.54			413,483
Interest rates	(0.04)			(43,377)
Livestock	(0.00)			(2,070)
Livestock	(0.00)			(5,330)
Metals	0.50			379,266
Metals	0.12			134,793
Softs	(0.01)			(8,606)
Softs	(0.02)			(20,810)
Stock indices	0.14			106,930
Stock indices	(0.06)			(62,109)
Total long futures contracts	0.69			522,057
Total long futures contracts	0.99			1,077,112
Short futures contracts:
Currencies	(0.0004)			(432,~~599~~532)
Energies	(0.6628)			~~710~~(210,~~195~~260)
Grains	(0.~~02)~~07			~~(22~~56,~~975)~~670
Interest rates:
Interest rates	(0.90)			(683,195)
2 Year U.S. Treasury Note (184 contracts, settlement date March 2023)	0.06			65,500
Livestock	0.00			590
30 Year U.S. Treasury Bond (61 contracts, settlement date March 2023)	0.01			11,969
Metals	(0.52)			(393,815)
Other	2.83			3,067,313
Softs	0.15			113,214
Total interest rates	2.90			3,144,782
Stock indices	0.08			64,543
Metals	(0.10)			(111,250)
Total short futures contracts	(1.44)			(1,084,785)
Softs	(0.01)			(10,540)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	(0.75)			(562,728)
Stock indices	0.03			33,854
Total short futures contracts	3.46			3,739,467
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	4.45			4,816,579
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	12.0623			1,~~143~~698,~~979~~818
Total short forward currency contracts	(02.5764)			(~~620~~2,~~836~~011,600)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.4941)			~~523~~(312,~~143~~782)
TOTAL	4(1.9416)	%		$ 5(875,~~339,722~~510)
				(Continued)

‎

F-5

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2022
AS OF DECEMBER 31, 2023
U. S. TREASURY NOTES
			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value
$	1817,~~255~~655,000	U.S. Treasury notes, 2.~~000~~750%, 02/15/~~2023~~2024	1623.8310	%	$	1817,~~206~~599,~~867~~138
	19,420,000	U.S. Treasury notes, 1.750%, 05/15/2023	17.76			19,217,455
	18,693,000	U.S. Treasury notes, 2.500%, 05/15/2024	24.30			18,511,546
	33,255,000	U.S. Treasury notes, 2.500%, 08/15/2023	30.32			32,800,342
	18,033,000	U.S. Treasury notes, 2.375%, 08/15/2024	23.29			17,738,907
	24,700,000	U.S. Treasury notes, 2.750%, 11/15/2023	22.45			24,282,223
	18,449,000	U.S. Treasury notes, 2.250%, 11/15/2024	23.68			18,035,699
		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $95,036,061)	87.36	%	$	94,506,887
		NOTES (amortized cost $71,832,802)	94.37	%	$	71,885,290
See notes to financial statements						(Concluded)

‎

F-6

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2021
AS OF DECEMBER 31, 2022
	Net Unrealized
	Appreciation
	(Depreciation)		Net Unrealized
	as a % of		Appreciation
	Trust Capital		(Depreciation)
FUTURES AND FORWARD CURRENCY CONTRACTS
FUTURES CONTRACTS
Long futures contracts:
Currencies	0.0001	%		$ 312,~~294~~200
Energies	0.4190			~~423~~972,~~135~~247
Grains	0.0108			1089,~~115~~498
Interest rates	(0.8004)			(~~812~~43,~~978~~377)
Livestock	(0.00)			(45,~~720~~330)
Metals	10.0312			1134,~~037,670~~793
Softs	(0.02)			(1520,~~784~~810)
Stock indices	(0.1806)			~~184~~(62,~~467~~109)
Total long futures contracts	0.8199			~~825~~1,~~199~~077,112
Short futures contracts:
Currencies	(0.00)			~~606~~(4,599)
Energies	0.0666			57710,~~724~~195
Grains	(0.0102)			8(22,~~045~~975)
Interest rates	0.04			43,595
Interest rates:
Livestock	0.00			4,470
2 Year U.S. Treasury Note (184 contracts, settlement date March 2023)	0.06			65,500
Metals	(0.89)			(905,575)
30 Year U.S. Treasury Bond (61 contracts, settlement date March 2023)	0.01			11,969
Softs	0.01			5,477
Other	2.83			3,067,313
Stock indices	0.03			31,896
Total interest rates	2.90			3,144,782
Total short futures contracts	(0.74)			(753,762)
Metals	(0.10)			(111,250)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.07			71,437
Softs	(0.01)			(10,540)
Stock indices	0.03			33,854
Total short futures contracts	3.46			3,739,467
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	4.45			4,816,579
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	1.4306			1,~~461~~143,~~596~~979
Total short forward currency contracts	(10.7557)			(1620,~~790,978~~836)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.~~32)~~49			~~(329~~523,~~382)~~143
TOTAL	(04.~~25)~~94	%		$ ~~(257~~5,~~945)~~339,722
				(Continued)

F-7

GLOBAL MACRO TRUST
CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2021
AS OF DECEMBER 31, 2022
U. S. TREASURY NOTES
			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value
$	3018,~~900~~255,000	U.S. Treasury notes, 2.~~500~~000%, 02/15/~~2022~~2023	3016.3483	%	$	3018,~~989~~206,~~321~~867
	37,910,000	U.S. Treasury notes, 2.375%, 03/15/2022	37.29			38,086,222
	19,420,000	U.S. Treasury notes, 1.750%, 05/15/2023	17.76			19,217,455
	22,120,000	U.S. Treasury notes, 1.750%, 05/15/2022	21.79			22,249,609
	33,255,000	U.S. Treasury notes, 2.500%, 08/15/2023	30.32			32,800,342
	24,700,000	U.S. Treasury notes, 2.750%, 11/15/2023	22.45			24,282,223
		TOTAL INVESTMENTS IN U.S. TREASURY
		NOTES (amortized cost $91,344,249)	89.42	%	$	91,325,152
		NOTES (amortized cost $95,036,061)	87.36	%	$	94,506,887
See notes to financial statements						(Concluded)

F-8

GLOBAL MACRO TRUST
STATEMENTS OF OPERATIONS
YEARS ENDED DECEMBER 31, 2022 AND 2021
YEARS ENDED DECEMBER 31, 2023 AND 2022
	2022	2021
	2023	2022
INVESTMENT INCOME — Interest income, net	$ 14,~~489~~089,~~408~~483	$ 251,~~784~~489,408
EXPENSES:
Brokerage fees	4,822,238	5,112,825
Brokerage and management fees:
Administrative expenses	550,692	818,138
Management fees	2,289,891	2,709,324
Custody fees and other expenses	29,984	27,043
Installment selling commissions	1,894,771	2,147,212
Management fees	497,268	498,572
Trade execution and clearing costs	391,414	462,970
Total expenses	5,900,182	6,456,578
Total brokerage and management fees	4,576,076	5,319,506
Managing Owner commission rebate to unitholders	(586,089)	(616,944)
Administrative expenses	479,352	550,692
Net expenses	5,314,093	5,839,634
Custody fees and other expenses	23,676	29,984
NET INVESTMENT LOSS	(3,824,685)	(5,813,850)
Total expenses	5,079,104	5,900,182
Managing Owner commission rebate to unitholders	(455,884)	(586,089)
Net expenses	4,623,220	5,314,093
NET INVESTMENT LOSS	(533,737)	(3,824,685)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts	14(989,~~912,145~~088)	14,~~300~~912,~~986~~145
Foreign exchange transaction	6(133,~~603~~094)	~~(213~~6,~~409)~~603
Net change in unrealized:
Futures and forward currency contracts	5(6,~~597~~215,~~667~~232)	(35,~~461~~597,~~559)~~667
Foreign exchange translation	~~(34~~55,~~887)~~277	(~~140~~34,~~091~~887)
Net losses from U.S. Treasury notes:
Net gains (losses) from U.S. Treasury notes:
Realized	(~~124~~90,~~922~~990)	(~~785~~124,922)
Net change in unrealized	~~(510~~581,~~077)~~662	(8510,~~733~~077)
Total net realized and unrealized gains	19,846,529	10,476,409
Total net realized and unrealized gains (losses)	(6,791,465)	19,846,529
NET INCOME	16,021,844	4,662,559
NET INCOME (LOSS)	(7,325,202)	16,021,844
LESS PROFIT SHARE TO MANAGING OWNER	~~549~~3,~~499~~058	-549,499
NET INCOME AFTER PROFIT SHARE TO
NET INCOME (LOSS) AFTER PROFIT SHARE TO
MANAGING OWNER	$ 15(7,~~472~~328,~~345~~260)	$ 415,~~662~~472,~~559~~345
Series 1 Unitholders	$ ~~149~~(125.8456)	$ 23149.9684
Series 3 Unitholders	$ ~~273~~(126.3591)	$ 98273.3135
Series 4 Unitholders	$ ~~462~~(130.3474)	$ ~~167~~462.2434
Series 5 Unitholders	$ ~~241~~(131.9701)	$ 81241.2097
See notes to financial statements

F-9

GLOBAL MACRO TRUST
STATEMENTS OF CHANGES IN TRUST CAPITAL
YEARS ENDED DECEMBER 31, 2022 AND 2021
YEARS ENDED DECEMBER 31, 2023 AND 2022
									New Profit Memo
	Series 1 Unitholders		Series 3 Unitholders		Series 4 Unitholders		Series 5 Unitholders		Account		Managing Owner		Total
	Amount	Units	Amount	Units	Amount	Units	Amount	Units	Amount	Units	Amount	Units	Amount
TRUST CAPITAL — 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
TRUST CAPITAL — January 1, 2022	67,189,838	62,620.242	17,635,045	10,514.052	8,660,732	3,881.484	6,139,800	3,895.148	-	-	2,499,928	2,329.914	102,125,343
Subscriptions	-	-	449,750	263.266	439,926	208.519	1,287,058	804.929	-	-	-	-	2,176,734
Redemptions	(11,528,909)	(10,583.340)	(5,863,002)	(3,506.021)	(672,271)	(310.373)	(320,461)	(198.851)	-	-	(500,000)	(465.997)	(18,884,643)
Additional units allocated*	-	244.149	-	-	-	-	-	-	-	-	-	150.496	-
Net income after profit share to
Managing Owner	2,183,935	-	1,326,663	-	671,285	-	255,815	-	-	-	224,861	-	4,662,559
TRUST CAPITAL — December 31, 2021	67,189,838	62,620.242	17,635,045	10,514.052	8,660,732	3,881.484	6,139,800	3,895.148	-	-	2,499,928	2,329.914	102,125,343
Subscriptions	-	-	-	-	745,030	321.943	98,039	62.197	-	-	-	-	843,069
Redemptions	(5,718,452)	(4,966.819)	(2,489,605)	(1,309.530)	(427,324)	(162.935)	(877,469)	(499.202)	-	-	(1,298,478)	(1,063.183)	(10,811,328)
Additional units allocated*	-	233.904	-	-	-	-	-	-	-	0.469	-	138.108	-
Net income (loss) after profit share to
Managing Owner	9,313,701	-	2,809,144	-	1,905,158	-	927,367	-	(1,021)	-	517,996	-	15,472,345
Managing Owner’s profit share	-	-	-	-	-	-	-	-	549,499	449.374	-	-	549,499
Transfer of New Profit Memo Account
to Managing Owner	-	-	-	-	-	-	-	-	(548,478)	(449.843)	548,478	449.843	-
TRUST CAPITAL — December 31, 2022	$ 70,785,087	57,887.327	$ 17,954,584	9,204.522	$ 10,883,596	4,040.492	$ 6,287,737	3,458.143	$ -	-	$ 2,267,924	1,854.682	$ 108,178,928
Subscriptions	-	-	-	-	-	-	-	-	-	-	-	-	-
Redemptions	(19,251,215)	(15,907.880)	(4,508,887)	(2,384.341)	(400,278)	(150.988)	(512,168)	(294.068)	-	-	(2,741)	(2.787)	(24,675,289)
Transfers	-	-	(4,024)	(0.080)	-	-	4,024	-	-	-	-	-	-
Additional units allocated*	-	194.767	-	-	-	-	-	-	-	0.029	-	111.909	-
Net loss after profit share to
Managing Owner	(5,258,137)	-	(1,003,686)	-	(514,960)	-	(441,078)	-	(317)	-	(110,082)	-	(7,328,260)
Managing Owner’s profit share	-	-	-	-	-	-	-	-	3,058	2.758	-	-	3,058
Transfer of New Profit Memo Account
to Managing Owner	-	-	-	-	-	-	-	-	(2,741)	(2.787)	2,741	2.787	-
TRUST CAPITAL — December 31, 2023	$ 46,275,735	42,174.214	$ 12,437,987	6,820.101	$ 9,968,358	3,889.504	$ 5,338,515	3,164.075	$ -	-	$ 2,157,842	1,966.591	$ 76,178,437
* Additional units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee and the Managing Owner. See note 3.
See notes to financial statements

‎

F-10

GLOBAL MACRO TRUST
STATEMENTS OF FINANCIAL HIGHLIGHTS
YEARS ENDED DECEMBER 31, 2022 AND 2021
YEARS ENDED DECEMBER 31, 2023 AND 2022
		2022								2021
		2023								2022
		Series 1		Series 3		Series 4		Series 5		Series 1		Series 3		Series 4		Series 5
PER UNIT OPERATING PERFORMANCE (FOR A UNIT
OUTSTANDING THROUGHOUT THE YEAR)
Net income (loss) from operations:
Net investment income (loss) (a)	$	(5824.1305)	$	~~(25~~31.~~11)~~22	$	1191.4324	$	~~(36~~16.~~59)~~82	$	(7158.6213)	$	(5225.5111)	$	~~(30~~11.~~62)~~43	$	(6136.5759)
Net realized and unrealized gains on trading
Net realized and unrealized gains (losses) on trading
of futures and forward currency contracts		~~214~~(107.7746)		~~349~~(167.4476)		~~465~~(235.3694)		~~327~~(157.0715)		95214.6777		~~150~~349.9544		~~198~~465.1036		~~142~~327.9707
Net losses from U.S. Treasury notes (a)		(6.80)		(11.05)		(14.45)		(10.40)		(0.09)		(0.13)		(0.24)		(0.20)
Net gains (losses) from U.S. Treasury notes (a)		5.95		10.00		13.96		9.34		(6.80)		(11.05)		(14.45)		(10.40)
Net income from operations		149.84		313.28		462.34		280.08		23.96		98.31		167.24		81.20
Net income (loss) from operations		(125.56)		(126.54)		(130.74)		(130.99)		149.84		313.28		462.34		280.08
Less: profit share allocated to Managing Owner		0.00		(390.9337)		0.00		(380.1102)		0.00		0(39.0093)		0.00		0(38.0011)
Net income after profit share allocation		149.84		273.35		462.34		241.97		23.96		98.31		167.24		81.20
Net income (loss) after profit share allocation		(125.56)		(126.91)		(130.74)		(131.01)		149.84		273.35		462.34		241.97
Net asset value, beginning of year		1,~~072~~222.9781		1,~~677~~950.2863		2,~~231~~693.2963		1,~~576~~818.2724		1,~~049~~072.0197		1,~~578~~677.9728		2,~~064~~231.0529		1,~~495~~576.0727
Net asset value, end of year	$	1,~~222~~097.8125	$	1,~~950~~823.6372	$	2,~~693~~562.6389	$	1,~~818~~687.2423	$	1,~~072~~222.9781	$	1,~~677~~950.2863	$	2,~~231~~693.2963	$	1,~~576~~818.2724
RATIOS TO AVERAGE TRUST CAPITAL:
Net investment income (loss)		(42.9809)	%	(1.~~36)~~66	%	03.4648	%	(20.~~12)~~96	%	(64.5798)	%	(31.1436)	%	(10.~~38)~~46	%	(32.9012)	%
Total expenses		6.3543	%	2.7468	%	0.9591	%	3.5142	%	6.5935	%	32.1674	%	10.4195	%	3.9251	%
Profit share allocation		0.00		20.1702		0.00		20.2100		0.00		02.0017		0.00		02.0021
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.3543	%	42.9170	%	0.9591	%	53.7242	%	6.5935	%	34.1691	%	10.4195	%	35.9272	%
Total return before profit share allocation		13(10.9627)	%	18(6.4749)	%	20(4.7285)	%	17(7.5621)	%	213.2896	%	618.2347	%	820.1072	%	517.4356	%
Less profit share allocation		0.00		20.1702		0.00		20.2100		0.00		02.0017		0.00		02.0021
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		13(10.9627)	%	16(6.3051)	%	20(4.7285)	%	15(7.3521)	%	213.2896	%	616.2330	%	820.1072	%	515.4335	%
(a) Calculated based on the weighted average number of units during the year, see Note 7.
See notes to financial statements

F-11

Global Macro Trust

NOTES TO FINANCIAL STATEMENTS

YEARS ENDED DECEMBER 31, ~~2022~~2023 and ~~2021~~2022

1. ORGANIZATION

Global Macro Trust (the “Trust”) was organized on July 23, 2001, under the Delaware Statutory Trust Act. At such time, original capital of $400 by Millburn Ridgefield Corporation (the “Managing Owner”) and $1,600 by the Initial Unitholder, an affiliated entity, was contributed to the Trust. The Trust commenced trading operations on July 1, 2002. The Trust engages in the speculative trading of futures and forward currency contracts. The instruments that are traded by the Trust are volatile and involve a high degree of market risk.

The Managing Owner manages the business of the Trust and makes all trading decisions, as stated in Trust agreement.

The Managing Owner has agreed to make additional capital subscriptions, subject to certain possible exceptions, in order to maintain its capital account at not less than 1% of the total outstanding capital subscriptions in the Trust (including the Managing Owner’s subscriptions) but in no event shall the Managing Owner invest less than $500,000. The Managing Owner and the holders (the “Unitholders”) of the Units of Beneficial Interest (“Units”) issued by the Trust will share in any profits and losses of the Trust in proportion to the percentage interest owned by each before brokerage commissions, custodial fee, management fees and profit share allocations.

The Trust will dissolve on December 31, 2031 or at an earlier date if certain conditions occur set forth in the Sixth Amended and Restated Declaration of Trust and the Trust Agreement (the “Agreement”).

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation — The financial statements have been prepared in conformity with accounting principles generally accepted (“U.S. GAAP”) in the United States (the “U.S.”) as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”). Certain reclassifications have been made to the prior period financial statements to conform to the current period presentation.

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

Certain prior year items in the financial statements have been reclassified to conform to the current year presentation. The Trust reclassified amounts previously included in “Brokerage fees” to “Management fees”, “Installment selling commissions” and “Trade execution and clearing costs” in the Statements of Operations for the years ended December 31, 2023 and December 31, 2022. Further, the Trust reclassified amounts previously included in “Accrued brokerage fees” to “Accrued management fees”, “Accrued installment selling commissions” and “Accrued trade execution and clearing costs” in the Statements of Financial Condition at December 31, 2023 and December 31, 2022. Any mention of “brokerage fees” or “accrued brokerage fees” subsequently in these footnotes are understood to represent the newly classified line items.

F-12

Investments — The Trust records its transactions in futures and forward currency contracts and U.S. Treasury notes including related income and expenses on a trade date basis.

Open futures contracts are valued at quoted market values. Open forward currency contracts are valued at fair value which is based on pricing models that consider the time value of money and the current market and contractual prices of the underlying financial instruments. Brokerage commissions on futures contracts are expensed when contracts are opened. Realized gains (losses) and changes in unrealized appreciation (depreciation) on futures and forward currency contracts are recognized in the periods in which the contracts are closed or the changes in the value of open contracts occur and are included in net realized and unrealized gains (losses) in the Statements of Operations.

Investments in U.S. Treasury notes are valued at fair value based on the midpoint of bid/ask quotations reported daily at 3 pm EST by Bloomberg. The Trust amortizes premiums and accretes discounts on U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 6) as collateral for performance of the Trust’s trading obligations with respect to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.

~~F-12~~Cash and Cash Equivalents — Cash includes cash held at First Republic Bank, which became part of JP Morgan Chase Bank, N.A. effective May 1, 2023. Cash equivalents includes investments in Dreyfus Treasury Securities Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

U.S. Treasury notes. Such securities are normally on deposit with financial institutions (see Note 6) as collateral for performance of the Trust’s trading obligations with respect to derivative contracts or are held for safekeeping in a custody account at HSBC Bank USA, N.A.

Cash and Cash Equivalents — Cash and cash equivalents includes cash and investments in Dreyfus Treasury Prime Cash Management, a short term U.S. government securities money market fund, that is readily convertible to cash and has an original maturity of 90 days or less.

Cash Denominated in Foreign Currencies — Includes foreign currency cash held at the Trust’s trading counterparties. Foreign cash deficits, if applicable, are presented in the liabilities section of the Statements of Financial Condition.

Foreign Currency Translation — Assets and liabilities denominated in foreign currencies are translated to U.S. dollars at prevailing exchange rates of such currencies. Purchases and sales of investments are translated to U.S. dollars at the exchange rate prevailing when such transactions occurred.

Income Taxes — The Trust is treated as a limited partnership for federal and state income tax reporting purposes. Accordingly, the Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the Unitholders their allocable units of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as the Unitholders are responsible for the payment of taxes.

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, ~~2019~~2020 to ~~2022~~2023, the Managing Owner has determined that no reserves for uncertain tax positions were required.

Estimates — The preparation of financial statements in conformity with U.S. GAAP 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.

F-13

Right of Offset — The customer agreements between the Trust and its brokers give the Trust the legal right to net unrealized gains and losses with each broker. Unrealized gains and losses related to offsetting transactions with these brokers are reflected on a net basis in the equity in trading accounts in the Statements of Financial Condition as the criteria under Balance Sheet (Topic 210) of the Codification were met.

Fair Value of Financial Instruments — The fair value of the Trust’s assets and liabilities which qualify as financial instruments under the Fair Value Measurements (Topic 820) of the Codification approximates the carrying amounts presented in the Statements of Financial Condition. The topic defines fair value, establishes a framework for measurement of 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;

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

F-13

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 of the Trust 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.

‎

F-14

The following table represents the Trust’s investments by hierarchical level as of December 31, ~~2022~~2023 and ~~2021~~2022 in valuing the Trust’s investments at fair value. AtAs of and during the years ended December 31, ~~2022~~2023 and ~~2021~~2022, the Trust held no assets or liabilities classified in Level 3..

Financial Assets and Liabilities at Fair Value as of December 31, ~~2022~~2023

	Level 1	Level 2	Total
U.S. Treasury notes (1)	$ 9471,~~506~~885,~~887~~290	$ -	$ 9471,~~506~~885,~~887~~290
Short-term money market fund*	63,~~268~~065,~~465~~887	-	63,~~268~~065,~~465~~887
Exchange-traded futures contracts
Currencies	7(34,~~601~~739)	-	7(34,~~601~~739)
Energies	1(574,~~682,442~~999)	-	1(574,~~682,442~~999)
Grains	6656,~~523~~670	-	6656,~~523~~670
Interest rates	3(269,~~101,405~~712)	-	3(269,~~101,405~~712)
Livestock	(51,~~330~~480)	-	(51,~~330~~480)
Metals	23(14,~~543~~549)	-	23(14,~~543~~549)
Softs	~~(31~~104,~~350)~~608	-	~~(31~~104,~~350)~~608
Stock indices	~~(28~~171,~~255)~~473	-	~~(28~~171,~~255)~~473
Total exchange-traded futures contracts	4(562,~~816,579~~728)	-	4(562,~~816,579~~728)
Over-the-counter forward currency contracts	-	~~523~~(312,~~143~~782)	~~523~~(312,~~143~~782)
Total futures and forward currency contracts (2)	4(562,~~816,579~~728)	~~523~~(312,~~143~~782)	5(875,~~339,722~~510)
Total financial assets and liabilities at fair value	$ ~~105~~74,~~591~~388,~~931~~449	$ ~~523~~(312,~~143~~782)	$ ~~106~~74,~~115~~075,~~074~~667
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral			$ 2115,~~481~~507,~~593~~848
Investments in U.S. Treasury notes			7356,~~025~~377,~~294~~442
Total investments in U.S. Treasury notes			$ 9471,~~506~~885,~~887~~290
(2)
Net unrealized appreciation on open futures and forward currency contracts			$ 5268,~~339,722~~713
Net unrealized depreciation on open futures and forward currency contracts			-(1,144,223)
Total net unrealized appreciation on open futures and forward currency contracts			$ 5,339,722
Total net unrealized depreciation on open futures and forward currency contracts			$ (875,510)
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements
of Financial Condition.

‎

F-15

Financial Assets and Liabilities at Fair Value as of December 31, ~~2021~~2022

	Level 1	Level 2	Total
U.S. Treasury notes (1)	$ 9194,~~325~~506,~~152~~887	$ -	$ 9194,~~325~~506,~~152~~887
Short-term money market fund*	76,~~411~~268,~~202~~465	-	76,~~411~~268,~~202~~465
Exchange-traded futures contracts
Currencies	37,~~900~~601	-	37,~~900~~601
Energies	~~480~~1,~~859~~682,442	-	~~480~~1,~~859~~682,442
Grains	1866,~~160~~523	-	1866,~~160~~523
Interest rates	~~(769~~3,~~383)~~101,405	-	~~(769~~3,~~383)~~101,405
Livestock	(~~250~~5,330)	-	(~~250~~5,330)
Metals	~~132~~23,~~095~~543	-	~~132~~23,~~095~~543
Softs	(1031,~~307~~350)	-	(1031,~~307~~350)
Stock indices	~~216~~(28,~~363~~255)	-	~~216~~(28,~~363~~255)
Total exchange-traded futures contracts	714,~~437~~816,579	-	714,~~437~~816,579
Over-the-counter forward currency contracts	-	~~(329~~523,~~382)~~143	~~(329~~523,~~382)~~143
Total futures and forward currency contracts (2)	714,~~437~~816,579	~~(329~~523,~~382)~~143	~~(257~~5,~~945)~~339,722
Total financial assets and liabilities at fair value	$ 98105,~~807~~591,~~791~~931	$ ~~(329~~523,~~382)~~143	$ 98106,~~478~~115,~~409~~074
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral			$ 1621,~~826~~481,~~505~~593
Investments in U.S. Treasury notes			7473,~~498~~025,~~647~~294
Total investments in U.S. Treasury notes			$ 9194,~~325~~506,~~152~~887
(2)
Net unrealized appreciation on open futures and forward currency contracts			$ ~~393~~5,~~615~~339,722
Net unrealized depreciation on open futures and forward currency contracts			~~(651,560)~~-
Total net unrealized depreciation on open futures and forward currency contracts			$ (257,945)
Total net unrealized appreciation on open futures and forward currency contracts			$ 5,339,722
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements
of Financial Condition.

3. TRUST AGREEMENT

With the effectiveness of the Trust’s Registration Statement on August 12, 2009, the Trust began to offer Series 3 and Series 4 units. The only units offered prior to such date were Series 1 units. Series 3 and Series 4 units were first issued September 1, 2009 and November 1, 2010, respectively. Subsequent to August 2017, Series 1 Units are no longer being offered.

With the effectiveness of the Trust’s Registration Statement on September 29, 2017, the Trust in addition to offering Series 3 and Series 4 Units, began offering Series 5 Units. Series 5 Units were first issued on April 1, 2018.

F-16

Series 1 Unitholders pay brokerage fees to the Managing Owner at the annual rate of up to 7.0% of their average month-end Net Assets Value (prior to reduction for accrued brokerage commissions or Profit Share). Series 1 Unitholders who made net capital investments into Series 1 of $100,000 or more or who had previously invested through asset-based fee or fixed fee investment programs are charged less than the annual brokerage rate of 7.0% as follows:


Net Capital Investments	Brokerage Fees

$100,000–$499,999	6.50	%
$500,000–$999,999	6.00
Greater than $1,000,000	5.50
Asset-based or fixed fee investment programs	4.00

Brokerage fees are charged to capital accounts of the Managing Owner, its principals, their respective affiliates or the New Profit Memo Account only to the extent of charges paid to third party executing and clearing brokers. In order to maintain a uniform Net Asset Value per Unit, additional Units are issued to Series 1 Unitholders who are charged less than a 7.0% brokerage fee.

The Managing Owner, not the Trust, pays the allocable share to Series 1 of all routine costs of executing and clearing the Trust’s futures trades including brokerage commissions payable to the clearing brokers and electronic platform trading costs. The Managing Owner also pays, from its own funds, selling commissions on all sales of Series 1 Units.

The Trust pays the Managing Owner a management fee of 1.75% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 3 Units. Series 3, 4 and 5 Units are also charged for their pro rata share of the Trust’s actual trade execution and clearing costs including electronic platform trading costs. Series 4 Unitholders are related-party investors and, therefore, are not charged a management fee.

The Trust pays the Managing Owner a management fee of 2.50% per year of the Trust’s Net Asset Value (before management fee and profit share calculations) attributable to Series 5 Units.

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 years ended December 31, ~~2022~~2023 and ~~2021~~2022, 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 during the years ended December 31, ~~2022~~2023 and ~~2021~~2022, were $~~586~~455,~~089~~884, and $~~616~~586,~~944~~089, respectively, are presented in “Managing Owner commission rebate to unitholders” in the Statements of Operations.

The Agreement provides that the Managing Owner’s profit share, equal to 20% of New Trading Profits in excess of the highest cumulative level of Trading Profit as of any previous calendar year-end, is charged to the Unitholders’ capital accounts. The highest cumulative level of Trading Profit is maintained separately for Series 1, Series 3 and Series 5. Series 4 Unitholders are related-party investors and, therefore, are not charged profit share. New Trading Profits include realized and unrealized trading profits (losses), brokerage fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders’ redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called New Profit Memo Account. Any profit share charged is added to the Managing

F-17

profits (losses), brokerage fees, trading-related expenses and administrative expenses. New Trading Profits do not include interest income. For Unitholders’ redemptions during the year, the profit share calculation shall be computed as though the redemption occurred at year-end. Profit share attributable to interests redeemed during a year is tentatively credited to an account maintained for bookkeeping purposes called New Profit Memo Account. Any profit share charged is added to the Managing Owner’s capital account to the extent that net taxable capital gains are allocated to the Managing Owner. The remainder of such profit share, if any, is added to the New Profit Memo Account. The Managing Owner may not make any withdrawal from the balance in the New Profit Memo Account. If, at the end of a subsequent year, net taxable gains are allocated to the Managing Owner in excess of such year’s profit share, a corresponding amount is transferred from the New Profit Memo Account to the Managing Owner’s capital account.

The Trust will pay its legal, accounting, auditing, printing, postage and similar administrative expenses (including Trustees’ fees, accounting services fees and the expenses of updating the Prospectus) as well as extraordinary costs. The Managing Owner, at its discretion, may reimburse certain expenses paid by the Trust.

Units may be redeemed at the option of any Unitholder at Net Asset Value (as defined in the Agreement) as of the close of business on the last business day of any calendar month on ten business days written notice to the Managing Owner.

4. DUE FROM/TO BROKERS

At December 31, ~~2022~~2023 and ~~2021~~2022, due from and due to brokers balances, if applicable, in the Statements of Financial Condition include net cash receivable from each broker and net cash payable to each broker, respectively. The due from broker balance also includes cash held as collateral at Bank of America, N.A.

5. TRADING ACTIVITIES

The Trust conducts its futures trading with various futures commission merchants (“FCMs”) on futures exchanges and its forward currency trading with various banks or dealers (“Dealers”) in the interbank markets. Substantially all assets included in the Trust’s equity in trading accounts and certain liability accounts, as discussed below, were held as collateral by such FCMs in either U.S. regulated segregated accounts (for futures contracts traded on U.S. exchanges) or non-U.S. secured accounts (for futures contracts traded on non-U.S. exchanges) as required by U.S. Commodity Futures Trading Commission’s regulations or held as collateral by the Dealers.

Liabilities in the Statements of Financial Condition that are components of “Total equity in trading accounts” include net unrealized depreciation on open futures and forward currency contracts, cash denominated in foreign currencies and due to brokers, if any.

The Trust enters into contracts with various institutions that contain a variety of indemnifications. The Trust’s maximum exposure under these arrangements is unknown. However, the Trust has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

6. DERIVATIVE INSTRUMENTS

The Trust is party to derivative financial instruments in the normal course of its business. These financial instruments include futures and forward currency contracts which may be traded on an exchange or OTC.

The Trust records its derivative activities on a mark-to-market basis as described in Note 2. For OTC contracts, the Trust enters into master netting agreements with its counterparties. Therefore, assets represent the Trust’s unrealized gains less unrealized losses for OTC contracts in which the Trust has a master netting agreement. Similarly, liabilities represent net amounts owed to counterparties on OTC contracts.

F-18

Futures contracts are agreements to buy or sell an underlying asset or index for a set price in the future. Initial margin deposits are made upon entering into futures contracts and can be either in cash or treasury securities. Open futures contracts are revalued on a daily basis to reflect the market value of the contracts at the end of each trading day. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When a contract is closed, the Trust records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. The Trust bears the market risk that arises from changes in the value of these financial instruments.

Forward currency contracts entered into by the Trust represent a firm commitment to buy or sell an underlying currency at a specified value and point in time based upon an agreed or contracted quantity. The ultimate gain or loss is equal to the difference between the value of the contract at the onset and the value of the contract at settlement date.

Each of these financial instruments is subject to various risks similar to those related to the underlying financial instruments including market risk, credit risk and sovereign risk.

Market risk is the potential change in the value of the instruments traded by the Trust due to market changes including interest and foreign exchange rate movements and fluctuations in futures or security prices. Market risk is directly impacted by the volatility and liquidity in the markets in which the related underlying assets are traded. The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward currency contracts and the Trust’s satisfaction of its obligations related to such market value changes may exceed the amount recognized in the Statements of Financial Condition.

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. In the case of OTC transactions, the Trust must rely solely on the credit of the individual counterparties. The contract amounts of the forward and futures contracts do not represent the Trust’s risk of loss due to counterparty nonperformance. The Trust’s exposure to credit risk associated with counterparty nonperformance of these forward currency contracts includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition, plus the value of margin or collateral held in cash and U.S. Treasury Notes by the counterparty. The amount of such credit risk was $8,~~701~~641,~~393~~436 and $78,~~581~~701,~~603~~393 at December 31, ~~2022~~2023 and ~~2021~~2022, respectively.

The Managing Owner has established procedures to actively monitor market risk and minimize credit risk although there can be no assurance that it will in fact succeed in doing so. The Managing Owner’s market risk control procedures include diversification of the Trust’s portfolio and continuously monitoring the portfolio’s open positions, historical volatility and maximum historical loss. The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which the Managing Owner believes to be creditworthy. The Trust’s trading activities are primarily with brokers and other financial institutions located in North America, Europe and Asia. All futures transactions of the Trust are cleared by major securities firms, pursuant to customer agreements, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), Goldman Sachs & Co. and BofA Securities, Inc., collectively the “Futures Clearing Brokers.” For all forward currency transactions, the Trust utilizes two prime brokers, Deutsche Bank AG, and Bank of America, N.A. collectively the “FX Prime Brokers.”

F-19

America, Europe and Asia. All futures transactions of the Trust are cleared by major securities firms, pursuant to customer agreements, including Deutsche Bank Securities Inc. (a wholly owned subsidiary of Deutsche Bank AG), Goldman Sachs & Co. and BofA Securities, Inc., collectively the “Futures Clearing Brokers.” For all forward currency transactions, the Trust utilizes two prime brokers, Deutsche Bank AG, and Bank of America, N.A. collectively the “FX Prime Brokers.”

The Trust is subject to sovereign risk such as the risk of restrictions being imposed by foreign governments on the repatriation of cash and the effect of political or economic uncertainties. Net unrealized appreciation (depreciation) on futures and forward currency contracts are denominated in the functional currency (U.S. dollar). Cash settlement of futures and forward currency contracts is made in the local currency (settlement currency) and then translated to U.S. dollars.

Net unrealized appreciation (depreciation) on futures and forward currency contracts by settlement currency type, denominated in U.S. dollars, is detailed below:

	As of December 31,
	2022			2021
	2023			2022
	Total Net			Total Net
	Unrealized			Unrealized
	Appreciation	Percent		Appreciation	Percent
Currency Type	(Depreciation)	of Total		(Depreciation)	of Total
Australian dollar	$ ~~126~~(26,~~244~~935)	23.3608	%	$ ~~(60~~126,~~710)~~244	232.5436	%
Brazilian real	(29,~~485)~~803	(01.0512)		1(2,~~784~~485)	(0.6905)
British pound	8323,~~756~~652	1(2.5770)		~~(340~~83,~~215)~~756	~~131~~1.8957
Canadian dollar	~~127~~9,~~120~~304	2(1.3806)		~~151~~127,~~929~~120	~~(58~~2.~~90)~~38
Euro	2(116,~~494,981~~901)	4613.7235		~~(96~~2,~~332)~~494,981	3746.3572
Hong Kong dollar	(51,~~376~~287)	(0.~~10)~~15		(65,~~182~~376)	2(0.4010)
Japanese yen	~~225~~4,~~079~~892	4(0.2256)		~~(110~~225,~~891)~~079	424.9922
Korean won	1556,~~576~~839	0(6.2949)		1015,~~399~~576	(40.~~03)~~29
Malaysian ringgit	(~~142~~2,431)	(0.~~00)~~28		~~6,615~~(142)	(20.5600)
Norwegian krone	~~32,884~~-	~~0.62~~-		2332,~~788~~884	(90.~~22)~~62
Polish zloty	~~25,393~~-	~~0.48~~-		3225,~~686~~393	~~(12~~0.~~67)~~48
Singapore dollar	36,~~348~~627	(0.0676)		63,~~976~~348	(20.~~70)~~06
South African rand	(~~1,305~~108)	(0.~~02)~~01		(461,~~341~~305)	17(0.9702)
Swedish krona	~~24,117~~-	~~0.45~~-		~~125~~24,~~959~~117	~~(48~~0.~~83)~~45
Thai baht	16(2,~~416~~689)	0.31		~~(669)~~16,416	0.2631
U.S. dollar	2(836,~~174,116~~276)	4095.7151		432,~~259~~174,116	~~(16~~40.~~80)~~71
Total	$ 5(875,~~339,722~~510)	100.00	%	$ ~~(257~~5,~~945)~~339,722	100.00	%

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 agricultural commodities, currencies, energies, interest rates, metals and stock indices. The following were the primary trading risk exposures of the Trust at December 31, 2022 and 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.

F-20

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 Middle East 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 countries. 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, palladium, 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 value of futures and forward currency contracts in a net asset position are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair value of futures and forward currency contracts in a net liability position 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 Note 2.

Since the derivatives held or sold by the Trust are for speculative trading purposes, derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging (Topic 815) of the Codification. 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 December 31, 2022 and 2021. Fair value, below, 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.

‎

F-21

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 December 31, 2023 and 2022. Fair value, below, 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 December 31, 2023


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

Futures contracts:
Currencies	$ 5,413	$ (7,620)	$ 3,145	$ (35,677)	$ (34,739)
Energies	-	(364,739)	39,651	(249,911)	(574,999)
Grains	-	-	108,658	(51,988)	56,670
Interest rates	462,107	(48,624)	57,157	(740,352)	(269,712)
Livestock	-	(2,070)	590	-	(1,480)
Metals	425,602	(46,336)	44,301	(438,116)	(14,549)
Softs	-	(8,606)	116,155	(2,941)	104,608
Stock indices	140,173	(33,243)	72,945	(8,402)	171,473

Total futures contracts	1,033,295	(511,238)	442,602	(1,527,387)	(562,728)

Forward currency contracts	1,772,495	(73,677)	75,859	(2,087,459)	(312,782)

Total futures and
forward currency contracts	$ 2,805,790	$ (584,915)	$ 518,461	$ (3,614,846)	$ (875,510)

‎

F-22

Fair Value of Futures and Forward Currency Contracts at December 31, 2022


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

Futures contracts:
Currencies	$ 22,489	$ (10,289)	$ 30	$ (4,629)	$ 7,601
Energies	1,009,697	(37,450)	711,715	(1,520)	1,682,442
Grains	131,465	(41,967)	-	(22,975)	66,523
Interest rates	-	(43,377)	3,223,978	(79,196)	3,101,405
Livestock	500	(5,830)	-	-	(5,330)
Metals	272,333	(137,540)	127,482	(238,732)	23,543
Softs	67	(20,877)	10,269	(20,809)	(31,350)
Stock indices	25,085	(87,194)	113,753	(79,899)	(28,255)

Total futures contracts	1,461,636	(384,524)	4,187,227	(447,760)	4,816,579

Forward currency contracts	1,682,220	(538,241)	317,553	(938,389)	523,143

Total futures and
forward currency contracts	$ 3,143,856	$ (922,765)	$ 4,504,780	$ (1,386,149)	$ 5,339,722

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended 2023 and 2022 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 years ended 2023 and 2022


Sector	2023	2022

Futures contracts:
Currencies	$ 213,504	$ 640,252
Energies	(3,510,725)	8,855,412
Grains	(40,356)	(972,809)
Interest rates	(3,843,596)	4,618,969
Livestock	24,920	26,930
Metals	(229,183)	(705,591)
Softs	(72,981)	81,230
Stock indices	1,083,978	3,591,101

Total futures contracts	(6,374,439)	16,135,494

Forward currency contracts	(829,881)	4,374,318

Total futures and forward currency contracts	$ (7,204,320)	$ 20,509,812

‎

F-22

Fair Value of Futures and Forward Currency Contracts at December 31, 2021

					Net Unrealized
	Fair Value - Long Positions		Fair Value - Short Positions		Gain (Loss) on
Sector	Gains	Losses	Gains	Losses	Open Positions
Futures contracts:
Currencies	$ 3,294	$ -	$ 3,681	$ (3,075)	$ 3,900
Energies	529,921	(106,786)	90,530	(32,806)	480,859
Grains	76,010	(65,895)	57,113	(49,068)	18,160
Interest rates	170,435	(983,413)	48,422	(4,827)	(769,383)
Livestock	-	(4,720)	4,510	(40)	(250)
Metals	1,079,527	(41,857)	21,586	(927,161)	132,095
Softs	5,945	(21,729)	17,898	(12,421)	(10,307)
Stock indices	397,424	(212,957)	155,690	(123,794)	216,363
Total futures contracts	2,262,556	(1,437,357)	399,430	(1,153,192)	71,437
Forward currency contracts	2,051,702	(590,106)	604,678	(2,395,656)	(329,382)
Total futures and
forward currency contracts	$ 4,314,258	$ (2,027,463)	$ 1,004,108	$ (3,548,848)	$ (257,945)

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the years ended 2022 and 2021 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 years ended 2022 and 2021

Sector	2022	2021
Futures contracts:
Currencies	$ 640,252	$ 53,604
Energies	8,855,412	5,750,585
Grains	(972,809)	(387,914)
Interest rates	4,618,969	2,381,115
Livestock	26,930	(55,680)
Metals	(705,591)	242,941
Softs	81,230	(761,420)
Stock indices	3,591,101	8,804,418
Total futures contracts	16,135,494	16,027,649
Forward currency contracts	4,374,318	(5,188,222)
Total futures and forward currency contracts	$ 20,509,812	$ 10,839,427

‎

F-23

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the years ended December 31, ~~2022~~2023 and ~~2021~~2022. The Trust’s average net asset value for the years ended ~~2022~~2023 and ~~2021~~2022 was approximately $~~108~~94,000,000, and $~~111~~108,000,000, respectively.

	2022		2021
	2023		2022
Sector	Long Positions	Short Positions	Long Positions	Short Positions
Futures contracts:
Currencies	$ 1,~~392~~794,~~942~~479	$ 35,~~704~~210,~~272~~842	$ ~~507~~1,~~413~~392,942	$ 13,~~551~~704,~~660~~272
Energies	1415,~~902~~908,~~708~~745	21,~~839~~851,~~684~~858	2014,~~861~~902,~~257~~708	12,~~608~~839,~~167~~684
Grains	52,~~813~~676,~~108~~115	54,~~760~~354,~~615~~788	5,~~699~~813,~~106~~108	75,~~589~~760,~~449~~615
Interest rates	7218,~~332~~187,~~690~~537	86139,~~623~~166,~~955~~974	~~222~~72,~~190~~332,~~366~~690	3486,~~847~~623,~~789~~955
Livestock	~~476~~421,~~292~~762	~~339~~143,~~636~~528	~~362~~476,~~640~~292	~~406~~339,~~468~~636
Metals	41,~~433~~347,~~399~~073	5,~~289~~847,~~699~~805	144,~~811~~433,~~181~~399	15,~~272~~289,~~557~~699
Softs	1652,~~574,128~~101	1,~~811~~712,~~237~~398	1,~~331~~574,~~390~~128	1,~~587~~811,~~749~~237
Stock indices	2327,~~737~~450,~~335~~507	3720,~~036~~199,~~763~~674	6223,~~427~~737,~~990~~335	1837,~~716~~036,~~905~~763
Total futures
contracts	~~124~~68,~~662~~438,~~602~~319	~~143~~178,~~405~~487,~~861~~867	~~328~~124,~~191~~662,~~343~~602	67143,~~580~~405,~~744~~861
Forward currency
contracts	2628,~~501~~190,~~754~~254	4327,~~067~~015,~~813~~159	4426,~~917~~501,~~764~~754	4243,~~986~~067,~~899~~813
Total average
notional	$ ~~151~~96,~~164~~628,~~356~~573	$ ~~186~~205,~~473~~503,~~674~~026	$ ~~373~~151,~~109~~164,~~107~~356	$ ~~110~~186,~~567~~473,~~643~~674

Notional values in the interest rate sector were calculated by converting the notional value in local currency of all open interest rate futures positions to 10-year equivalent fixed income instruments, translated to U.S. dollars at each quarter-end during ~~2022,~~2023 and ~~2021~~2022. 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 following tables summarize the valuation of the Trust’s investments by counterparty as of December 31, ~~2022~~2023 and ~~2021~~2022.

‎

F-24

Offsetting of derivative assets and liabilities at December 31, ~~2022~~2023

	Gross amounts of‎recognized Assets	Gross amounts offset in‎the Statements of Financial‎Condition	Net amounts of Assets‎presented in the Statements‎of Financial Condition
Assets
Futures contracts
Counterparty C	$ 2,550,899	$ (189,199)	$ 2,361,700
Counterparty J	$ 433,946	$ (165,233)	$ 268,713
Counterparty J	685,580	(127,878)	557,702
Total assets	$ 433,946	$ (165,233)	$ 268,713
Counterparty L	2,412,384	(515,207)	1,897,177
	Gross amounts of‎recognized Liabilities	Gross amounts offset in‎the Statement of Financial‎Condition	Net amounts of Liabilities‎presented in the Statement‎of Financial Condition
Total futures contracts	$ 5,648,863	$ (832,284)	$ 4,816,579
Liabilities
Futures contracts
Counterparty C	$ 602,734	$ (319,515)	$ 283,219
Counterparty L	1,270,658	(722,436)	548,222
Total futures contracts	1,873,392	(1,041,951)	831,441
Forward currency contracts
Counterparty G	~~726~~895,~~184~~463	(~~519~~744,~~638~~009)	~~206~~151,~~546~~454
Counterparty K	1,~~273~~265,~~589~~673	(~~956~~1,~~992~~104,345)	~~316~~161,~~597~~328
Total forward currency contracts	12,~~999~~161,~~773~~136	(1,~~476~~848,~~630~~354)	~~523~~312,~~143~~782
Total assets	$ 7,648,636	$ (2,308,914)	$ 5,339,722
Total liabilities	$ 4,034,528	$ (2,890,305)	$ 1,144,223

‎

F-25

		Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net amounts of Assets‎presented in the Statements‎of Financial Condition	Financial Instruments	Collateral Received(1)(2)	Net Amount(3)
Counterparty C	$ 2,361,700	$ -	$ (2,361,700)	$ -
Counterparty J	$ 268,713	$ -	$ (268,713)	$ -
Counterparty G	206,546	-	-	206,546
Total	$ 268,713	$ -	$ (268,713)	$ -
Counterparty J	557,702	-	(557,702)	-
		Amounts Not Offset in the Statement of Financial Condition
Counterparty K	316,597	-	-	316,597
Counterparty	Net amounts of Liabilities‎presented in the Statement‎of Financial Condition	Financial Instruments	Collateral Pledged(1)(2)	Net Amount
Counterparty L	1,897,177	-	(1,897,177)	-
Counterparty C	$ 283,219	$ -	$ (283,219)	$ -
Total	$ 5,339,722	$ -	$ (4,816,579)	$ 523,143
Counterparty G	151,454	-	(151,454)	-
Counterparty K	161,328	-	(161,328)	-
Counterparty L	548,222	-	(548,222)	-
Total	$ 1,144,223	$ -	$ (1,144,223)	$ -
(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
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, 2022.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2023.

‎

F-26

Offsetting of derivative assets and liabilities at December 31, ~~2021~~2022

	Gross amounts of‎recognized Assets	Gross amounts offset in‎the Statements of Financial‎Condition	Net amounts of Assets‎presented in the Statements‎of Financial Condition
Assets
Futures contracts
Counterparty J	$ 427,739	$ (276,360)	$ 151,379
Counterparty C	$ 2,550,899	$ (189,199)	$ 2,361,700
Counterparty L	1,803,193	(1,560,957)	242,236
Counterparty J	685,580	(127,878)	557,702
Total assets	$ 2,230,932	$ (1,837,317)	$ 393,615
Counterparty L	2,412,384	(515,207)	1,897,177
	Gross amounts of‎recognized Liabilities	Gross amounts offset in‎the Statements of Financial‎Condition	Net amounts of Liabilities‎presented in the Statements‎of Financial Condition
Total futures contracts	5,648,863	(832,284)	4,816,579
Liabilities
Futures contracts
Counterparty C	$ 753,232	$ (431,054)	$ 322,178
Total futures contracts	753,232	(431,054)	322,178
Forward currency contracts
Counterparty G	1726,~~329,917~~184	(1519,~~031,426~~638)	~~298~~206,~~491~~546
Counterparty K	1,~~655~~273,~~845~~589	(1956,~~624,954~~992)	30316,~~891~~597
Total forward currency contracts	21,~~985~~999,~~762~~773	(21,~~656~~476,~~380~~630)	~~329~~523,~~382~~143
Total liabilities	$ 3,738,994	$ (3,087,434)	$ 651,560
Total assets	$ 7,648,636	$ (2,308,914)	$ 5,339,722

‎

F-27

		Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net amounts of Assets‎presented in the Statements‎of Financial Condition	Financial Instruments	Collateral Received(1)(2)	Net Amount(3)
Counterparty J	$ 151,379	$ -	$ (151,379)	$ -
Counterparty C	$ 2,361,700	$ -	$ (2,361,700)	$ -
Counterparty L	242,236	-	(242,236)	-
Counterparty G	206,546	-	-	206,546
Total	$ 393,615	$ -	$ (393,615)	$ -
Counterparty J	557,702	-	(557,702)	-
		Amounts Not Offset in the Statements of Financial Condition
Counterparty K	316,597	-	-	316,597
Counterparty	Net amounts of Liabilities‎presented in the Statements‎of Financial Condition	Financial Instruments	Collateral Pledged(1)(2)	Net Amount(4)
Counterparty L	1,897,177	-	(1,897,177)	-
Counterparty C	$ 322,178	$ -	$ (322,178)	$ -
Total	$ 5,339,722	$ -	$ (4,816,579)	$ 523,143
Counterparty G	298,491	-	(298,491)	-
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is guaranteed by the exchange.
Counterparty K	30,891	-	(30,891)	-
Total	$ 651,560	$ -	$ (651,560)	$ -
(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, 2021.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2022.
(4) Net amount represents the amounts owed by the Trust to each counterparty as of December 31, 2021.

‎

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7. FINANCIAL HIGHLIGHTS

Unit operating performance for Series 1, 3, 4 and 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 year. Weighted average number of units for each Series is detailed below:

	Years ended December 31,		Date of first issuance
	2022	2021
	2023	2022
Series 1	6052,~~048~~312.~~422~~918	6660,~~860~~048.~~519~~422	July 23, 2001
Series 3	108,~~119~~107.~~818~~562	1210,~~299~~119.~~707~~818	September 1, 2009
Series 4	43,~~110~~960.~~569~~639	4,~~045~~110.~~920~~569	November 1, 2010
Series 5	3,~~814~~332.~~340~~196	3,~~476~~814.~~818~~340	April 1, 2018

Ratios are calculated for each Series taken as a whole. Total return for Series 1 investors are presented for Unitholders charged 7% brokerage fee. An individual Unitholder’s per unit operating performance may vary based on the timing of capital transactions and differences in individual Unitholder’s brokerage fee (for Series 1), management fee (for Series 3 and 5) and profit share allocation arrangements.

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8. REDEMPTION PAYABLE TO MANAGING OWNER

At December 31, ~~2022~~2023 and ~~2021~~2022, redemption payable were $12,~~298,478~~741 (of which $~~548~~2,~~478~~741 was related to profit share earned during the year) and $~~500~~1,~~000~~298,478 (of which $0548,478 was related to profit share earned during the year), respectively.

9. SUBSEQUENT EVENTS

During the period from January 1, ~~2023~~2024 to March 2018, ~~2023~~2024, redemptions of $2,~~668~~947,~~953~~219 were made from the Trust. The Managing Owner has performed its evaluation of subsequent events through March 2018, ~~2023~~2024, the date the financial statements were issued. Based on such evaluation, no further events were discovered that required adjustment to or disclosure in the financial statements.

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Filing Compare · GLOBAL MACRO TRUST