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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, 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, 2023 and 2022 and Report of Independent Registered Public Accounting Firm, the annual report to security holders for the fiscal year ended December 31, 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 $1,097.25 as of December 31, 2023. The net asset value of a Series 3 Unit that originally sold for $1,180.91 as of September 1, 2009 was $1,823.72 as of December 31, 2023. The net asset value of a Series 4 Unit that originally sold for $1,315.33 as of November 1, 2010 was $2,562.89 as of December 31, 2023. The net asset value of a Series 5 Unit that originally sold for $1,500.00 as of April 1, 2018 was $1,687.23 as of December 31, 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, 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 $51,499,998 as of December 31, 2023. After reflecting net income of $8,523,764 and profit share of $39,321,576 from inception up to and including December 31, 2023, this investment totaled $2,157,842, as of December 31, 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 53 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 0.45% 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 0.45% 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 0.45% 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, 2023, there were 1,772 holders of Series 1 Units, 208 holders of Series 3 Units, 1 holder of Series 4 Units and 65 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 2022 or 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 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, 2023	(413.166)	1,232.82	(537.215)	2,030.74	(4.376)	2,850.60	0.000	1,883.80
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, 2023	(324.103)	1,097.25	0.000	1,823.72	(30.277)	2,562.89	0.000	1,687.23
	(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, 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.

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.

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.

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. 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, 2023 and 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.

The 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.

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 for the year ended December 31, 2023 that materially affected, or 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.

‎

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, 2023 are as follows:

Harvey Beker, age 70. 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 65. 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 54. 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 54. 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 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

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 $2,157,842 as of December 31, 2023, 2.83% 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 $4,120,192 (net of $455,884 Managing Owner commission rebate to Unitholders) in brokerage and management fees and $3,058 in profit share for the year ended December 31, 2023. The Managing Owner’s capital interest was allocated net loss of $110,399 for the year ended December 31, 2023. The Trust allocated to the Managing Owner $4,733,417 (net of $586,089 Managing Owner commission rebate to Unitholders) in brokerage and management fees and $549,499 in profit share for the year ended December 31, 2022. The Managing Owner’s capital interest was allocated net income of $516,975 for the year ended December 31, 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, 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, 2023 and 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.

‎

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		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).

‎

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.

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 29th day of March, 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 29, 2024
Harvey Beker	(Director)

/s/ Barry Goodman	Co-Chief Executive Officer	March 29, 2024
Barry Goodman	(Principal Executive Officer)

/s/ Grant N. Smith	Co-Chief Executive Officer	March 29, 2024
Grant N. Smith	(Principal Executive Officer)

/s/ Gregg Buckbinder	President and Chief Operating Officer	March 29, 2024
Gregg Buckbinder	(Principal Executive Officer)

/s/ Michael W. Carter	Vice President	March 29, 2024
Michael W. Carter	(Principal Accounting Officer)

3
/s/ Ilon Wu	Chief Financial Officer	March 29, 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)

‎

EXHIBIT INDEX

The following exhibits are included herewith


Designation		Description

13.01		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.

‎

Exhibit 13.1

Delaware Statutory Trust)

Global Macro Trust

(A Delaware Statutory Trust)

Financial Statements as of and for the Years Ended December 31, 2023 and 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, 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-12 - 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, 2023 and 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, 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, 2023 and 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, 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, 2023 and 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, 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, 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.

‎
‎March 18, 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, 2023 AND 2022


	2023	2022
ASSETS

EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes — at fair value (amortized cost
$15,512,210 and $21,631,687)	$ 15,507,848	$ 21,481,593
Net unrealized appreciation on open futures and forward currency contracts	268,713	5,339,722
Due from brokers	1,674,254	5,460,903
Cash denominated in foreign currencies (cost $820,615 and $0)	839,582	-

Total equity in trading accounts	18,290,397	32,282,218

INVESTMENTS IN U.S. TREASURY NOTES — at fair value (amortized cost
$56,320,592 and $73,404,374)	56,377,442	73,025,294

CASH AND CASH EQUIVALENTS	3,315,887	6,518,465

ACCRUED INTEREST RECEIVABLE	459,476	584,235

TOTAL	$ 78,443,202	$ 112,410,212

LIABILITIES AND TRUST CAPITAL

LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$ 1,144,223	$ -
Due to brokers	3,580	-
Accrued management fees	154,448	231,456
Accrued installment selling commissions	122,139	181,153
Accrued trade execution and clearing costs	4,668	5,176
Redemptions payable to Unitholders	433,216	1,083,735
Redemptions payable to Managing Owner	2,741	1,298,478
Accrued expenses	93,508	133,385
Cash overdraft denominated in foreign currencies (cost $300,130 and $1,255,479)	306,242	1,297,901

Total liabilities	2,264,765	4,231,284

TRUST CAPITAL:
Managing Owner interest (1,966.591 and 1,854.682 units outstanding)	2,157,842	2,267,924
Series 1 Unitholders (42,174.214 and 57,887.327 units outstanding)	46,275,735	70,785,087
Series 3 Unitholders (6,820.101 and 9,204.522 units outstanding)	12,437,987	17,954,584
Series 4 Unitholders (3,889.504 and 4,040.492 units outstanding)	9,968,358	10,883,596
Series 5 Unitholders (3,164.075 and 3,458.143 units outstanding)	5,338,515	6,287,737

Total trust capital	76,178,437	108,178,928

TOTAL	$ 78,443,202	$ 112,410,212

NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$ 1,097.25	$ 1,222.81
Series 3 Unitholders	$ 1,823.72	$ 1,950.63
Series 4 Unitholders	$ 2,562.89	$ 2,693.63
Series 5 Unitholders	$ 1,687.23	$ 1,818.24

See notes to financial statements

‎

F-4


GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS
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	(0.00)	%		$ (2,207)
Energies	(0.48)			(364,739)
Interest rates	0.54			413,483
Livestock	(0.00)			(2,070)
Metals	0.50			379,266
Softs	(0.01)			(8,606)
Stock indices	0.14			106,930

Total long futures contracts	0.69			522,057

Short futures contracts:
Currencies	(0.04)			(32,532)
Energies	(0.28)			(210,260)
Grains	0.07			56,670
Interest rates	(0.90)			(683,195)
Livestock	0.00			590
Metals	(0.52)			(393,815)
Softs	0.15			113,214
Stock indices	0.08			64,543

Total short futures contracts	(1.44)			(1,084,785)

TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	(0.75)			(562,728)

FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	2.23			1,698,818
Total short forward currency contracts	(2.64)			(2,011,600)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.41)			(312,782)

TOTAL	(1.16)	%		$ (875,510)

				(Continued)

‎

F-5


GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2023


U. S. TREASURY NOTES
			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value

$	17,655,000	U.S. Treasury notes, 2.750%, 02/15/2024	23.10	%	$	17,599,138
	18,693,000	U.S. Treasury notes, 2.500%, 05/15/2024	24.30			18,511,546
	18,033,000	U.S. Treasury notes, 2.375%, 08/15/2024	23.29			17,738,907
	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 $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, 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	0.01	%		$ 12,200
Energies	0.90			972,247
Grains	0.08			89,498
Interest rates	(0.04)			(43,377)
Livestock	(0.00)			(5,330)
Metals	0.12			134,793
Softs	(0.02)			(20,810)
Stock indices	(0.06)			(62,109)

Total long futures contracts	0.99			1,077,112

Short futures contracts:
Currencies	(0.00)			(4,599)
Energies	0.66			710,195
Grains	(0.02)			(22,975)
Interest rates:
2 Year U.S. Treasury Note (184 contracts, settlement date March 2023)	0.06			65,500
30 Year U.S. Treasury Bond (61 contracts, settlement date March 2023)	0.01			11,969
Other	2.83			3,067,313

Total interest rates	2.90			3,144,782

Metals	(0.10)			(111,250)
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	1.06			1,143,979
Total short forward currency contracts	(0.57)			(620,836)

TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.49			523,143

TOTAL	4.94	%		$ 5,339,722

				(Continued)

F-7


GLOBAL MACRO TRUST

CONDENSED SCHEDULE OF INVESTMENTS
AS OF DECEMBER 31, 2022


U. S. TREASURY NOTES
			Fair Value
Face			as a % of		Fair
Amount		Description	Trust Capital		Value

$	18,255,000	U.S. Treasury notes, 2.000%, 02/15/2023	16.83	%	$	18,206,867
	19,420,000	U.S. Treasury notes, 1.750%, 05/15/2023	17.76			19,217,455
	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 $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, 2023 AND 2022


	2023	2022

INVESTMENT INCOME — Interest income, net	$ 4,089,483	$ 1,489,408

EXPENSES:
Brokerage and management fees:
Management fees	2,289,891	2,709,324
Installment selling commissions	1,894,771	2,147,212
Trade execution and clearing costs	391,414	462,970
Total brokerage and management fees	4,576,076	5,319,506

Administrative expenses	479,352	550,692
Custody fees and other expenses	23,676	29,984

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	(989,088)	14,912,145
Foreign exchange transaction	(133,094)	6,603
Net change in unrealized:
Futures and forward currency contracts	(6,215,232)	5,597,667
Foreign exchange translation	55,277	(34,887)
Net gains (losses) from U.S. Treasury notes:
Realized	(90,990)	(124,922)
Net change in unrealized	581,662	(510,077)

Total net realized and unrealized gains (losses)	(6,791,465)	19,846,529

NET INCOME (LOSS)	(7,325,202)	16,021,844

LESS PROFIT SHARE TO MANAGING OWNER	3,058	549,499

NET INCOME (LOSS) AFTER PROFIT SHARE TO
MANAGING OWNER	$ (7,328,260)	$ 15,472,345

GLOBAL MACRO TRUST 10-K