10-Q 1 wr10q601.txt UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q [X] Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the Quarterly Period Ended: June 30, 2001 or [ ] Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Commission File Number: 0-26932 THE MILLBURN WORLD RESOURCE TRUST (Exact name of registrant as specified in its charter) Delaware 06-6415-583 (State or other jurisdiction of (I.R.S. Employer incorporation or organization) Identification No.) c/o MILLBURN RIDGEFIELD CORPORATION 411 West Putnam Avenue Greenwich, Connecticut 06830 (Address of principal executive offices) Registrant's telephone number, including area code: (203) 625-7554 Securities registered pursuant to Section 12(b) of the Act: None Securities registered pursuant Units of Beneficial Interest to Section 12(g) of the Act: (Title of Class) Indicate by check mark whether the registrant (1) filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes [X] No [ ] Aggregate market value of the voting and non-voting common equity held by non-affiliates: $29,462,805.00. THE MILLBURN WORLD RESOURCE TRUST INDEX Part I - Financial Information Financial Statements: Pages Statements of Financial Condition at June 30, 2001 and December 31, 2000 (unaudited) 1 Statements of Operations for the Periods Ended June 30, 2001 and 2000 (unaudited) 2 Condensed Schedule of Investments at June 30, 2001 (unaudited) 4 Statements of Changes in Trust Capital for the Periods Ended June 30, 2001 and 2000 (unaudited) 5 Changes in Net Asset Value per Unit (unaudited) 6 Notes to Financial Statements (unaudited) 8 Part II - Other Information 10 PART I. FINANCIAL INFORMATION ITEM I. FINANCIAL STATEMENTS THE MILLBURN WORLD RESOURCE TRUST Statements of Financial Condition (UNAUDITED)

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

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

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

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

Statement of Trust Capital For the six months ended June 30, 2001 (UNAUDITED)

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

Financial highlights for the quarter ended June 30, 2001: Total return: -7.27% Ratio of expenses to average net assets: 9.59% (annualized) Ratio of net income to average net assets: -30.89% (annualized) See accompanying notes to financial statements. Net Asset Value per Unit Changes in net asset value per Unit during the six months ended June 30, 2001 and 2000 (unaudited) were as follows:

Financial highlights for the six months ended June 30, 2001: Total return: -1.88% Ratio of expenses to average net assets: 9.72% (annualized) Ratio of net income to average net assets: -3.12% (annualized) See accompanying notes to financial statements. NOTES TO FINANCIAL STATEMENTS THE MILLBURN WORLD RESOURCE TRUST The accompanying financial statements are unaudited but, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of the Trust's financial condition at June 30, 2001 (unaudited) and December 31, 2000 and the results of its operations for the three month and six month period ended June 30, 2001 and 2000. These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the financial statements and notes included in the Trust's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2000. ITEM II. OTHER INFORMATION Management discussion and analysis of the financial statements for the three months ended June 30, 2001:

Due to the nature of commodity trading, the results of operations for the interim period presented should not be considered indicative of the results that may be expected for the entire year. The Trust's net assets declined 11.43% in the second quarter of 2001. This decrease was attributable to redemptions of $1,740,473 and a net loss of $2,455,180, which was partially offset by subscriptions of $268,862. Brokerage commissions are calculated on the net asset value on the last day of each month and are affected by trading performance and redemptions. Brokerage commissions for the three months ended June 30, 2001 decreased by $142,852, relative to the corresponding period in 2000. The Trust NAV declined in the second quarter of 2001. Losses from trading interest rate futures, foreign exchange, stock index futures, and metals and soft commodity futures overwhelmed gains posted trading energy futures. US interest rate futures were highly volatile during the quarter, following the long downtrend in interest rates that had persisted since the later stages of 2000. Hence, losses were registered from trading US 5 and 10-year notes and 30-year bonds. This interest rate volatility extended into the European sphere as well, and brought with it losses from trading German 5-year notes. Elsewhere in interest rates futures, Eurodollar trading was fractionally profitable, while British gilt trading was somewhat negative. In the currency markets, the downtrend in the yen at first reversed, and then was followed by a period of increased instability. Consequently, sizable losses were recorded trading the dollar/yen, euro/yen, and sterling/yen. Smaller losses were suffered in trading the Canadian, Korean, and Thai units against the dollar. Meanwhile, there were significant gains posted shorting the euro and Swiss franc versus the US dollar, and also from shorting the euro against the British pound and Norwegian krone. Stock index futures displayed nondirectional volatility throughout the quarter and money was lost trading German, Hong Kong, US, and Japanese indices. In the soft commodities, losses from a short sugar position early in the quarter more than offset gains from a short cotton position. Metals trading posted a fractional loss for the period. Finally in energy trading, a short natural gas position and a long unleaded gasoline position at the start of the quarter followed by a short unleaded gasoline position later were all quite profitable. On the other hand, the conflict between slowing demand due to weakening worldwide economic growth, and OPEC efforts to constrain supply injected instability into other energy markets. Hence, trading of crude oil, and to a lesser extent heating oil, was unprofitable. ITEM III. QUANTITATIVE AND QUALITATIVE DISCLOSURES OF MARKET RISK The Trust's a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Trust's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust's main line of business. Market movements result in frequent changes in the fair market value of the Trust's open positions and, consequently, in its earnings and cash flow. The Trust's market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets in which it trades. The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust's past performance is not necessarily indicative of its future results. Value at Risk is a measure of the maximum amount which the Partnership could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of the Trust's speculative trading and the recurrence in the markets traded by the Trust of market movements far exceeding expectations could result in actual trading or non trading losses far beyond the indicated Value at Risk or the Trust's experience to date (i.e., "risk of ruin"). In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Trust's losses in any market sector will be limited to Value at Risk or by the Trust's attempts to manage its market risk. Exchange maintenance margin requirements have been used by the Partnership as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one day intervals. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk. THE TRUST'S TRADING VALUE AT RISK IN DIFFERENT MARKET SECTORS The following table indicates the average, highest and lowest amounts of trading Value at Risk associated with the Trust's open positions by market category for the six months ended June 30, 2001. During the six months ended June 30, 2001, the Trust's average total capitalization was approximately $32,340,167. As of June 30, 2001, the Trust's total capitalization was approximately $30.4 million. Average Value % of Average Highest Value Lowest Value Market Sector at Risk Capitalization at Risk at Risk Interest Rates $ 1.30 3.8% $ 1.30 $ 1.20 Currencies 3.60 10.9% 3.70 3.40 Stock Indices 0.40 1.2% 0.50 0.30 Metals 0.50 1.4% 0.50 0.40 Commodities 0.40 1.1% 0.40 0.30 Energies 0.70 2.0% 0.80 0.50 Total $ 6.90 20.4% Average, highest and lowest Value at Risk amounts relate to the quarter-end amounts for each calendar quarter-end during the quarter ended June 30, 2001. Average capitalization is the average of the Trust's capitalization at the end of each calendar quarter through June 30, 2001. Dollar amounts represent millions of dollars. PART II. OTHER INFORMATION ITEM I. Legal Proceedings - None ITEM 2. Changes in Securities and Use of Proceeds - None ITEM 3. Defaults Upon Senior Securities - None ITEM 4. Submission of Matters to a Vote of Security Holders - None ITEM 5. Other Information - None ITEM 6. (a) Exhibits - None (b) Reports on Form 8-K - None SIGNATURES Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of New York and State of New York on the 30th day of July 2001. THE MILLBURN WORLD RESOURCE TRUST By: Millburn Ridgefield Corporation, Managing Owner By /s/ Tod A. Tanis July 30, 2001 Tod A. Tanis Vice-President

MILLBURN WORLD RESOURCE TRUST 10-Q