UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

For the Quarterly Period Ended:   September 30, 2023

or

o 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 46^th Street, 31^st Floor

New York, NY 10036

(Address of principal executive offices) (Zip code)

(212) 332-7300

(Registrant's telephone number, including area code)

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

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

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

Yes x          No o

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 x          No o

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

Large accelerated filer o	Accelerated filer o
Non-accelerated filer o	Smaller reporting company x Emerging growth company o

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. o

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes o          No x

PART 1. FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
Global Macro Trust
Financial statements
For the three and nine months ended September 30, 2023 and 2022 (unaudited)
Statements of Financial Condition (a)	1
Condensed Schedules of Investments (a)	2
Statements of Operations (b)	6
Statements of Changes in Trust Capital (c)	8
Statements of Financial Highlights (b)	10
Notes to the Financial Statements	12
(a) At September 30, 2023 (unaudited) and December 31, 2022
(b) For the three and nine months ended September 30, 2023 and 2022 (unaudited)
(c) For the nine months ended September 30, 2023 and 2022 (unaudited)

Global Macro Trust
Statements of Financial Condition
		September 30, 2023 (unaudited)		December 31, 2022
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $21,037,632 and $21,631,687)	$	20,983,515	$	21,481,593
Net unrealized appreciation on open futures and
forward currency contracts		4,277,899		5,339,722
Due from brokers, net		5,179,394		5,460,903
Total equity in trading accounts		30,440,808		32,282,218
INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $68,927,288 and $73,404,374)		68,830,947		73,025,294
CASH AND CASH EQUIVALENTS		4,412,769		6,518,465
ACCRUED INTEREST RECEIVABLE		618,533		584,235
TOTAL	$	104,303,057	$	112,410,212
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	92,817	$	-
Due to Managing Owner		56,931		-
Accrued management fees		216,696		231,456
Accrued installment selling commissions		168,110		181,153
Accrued trade execution and clearing costs		6,037		5,176
Redemptions payable to Unitholders		12,508,182		1,083,735
Redemption payable to Managing Owner		-		1,298,478
Accrued expenses		129,804		133,385
Cash overdraft denominated in foreign currencies (cost $994,262 and $1,255,479)		978,295		1,297,901
Accrued profit share		95,740		-
Total liabilities		14,252,612		4,231,284
TRUST CAPITAL:
Managing Owner interest (1,937.717 and 1,854.682 units outstanding)		2,421,700		2,267,924
Series 1 Unitholders (43,671.888 and 57,887.327 units outstanding)		54,579,906		70,785,087
Series 3 Unitholders (7,564.720 and 9,204.522 units outstanding)		15,477,610		17,954,584
Series 4 Unitholders (3,939.518 and 4,040.492 units outstanding)		11,331,122		10,883,596
Series 5 Unitholders (3,286.150 and 3,458.143 units outstanding)		6,240,107		6,287,737
Total trust capital		90,050,445		108,178,928
TOTAL	$	104,303,057	$	112,410,212
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,249.77	$	1,222.81
Series 3 Unitholders	$	2,046.03	$	1,950.63
Series 4 Unitholders	$	2,876.27	$	2,693.63
Series 5 Unitholders	$	1,898.91	$	1,818.24
See notes to financial statements (unaudited)

1

Global Macro Trust
Condensed Schedule of Investments (unaudited)
September 30, 2023
FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized ‎Appreciation/ ‎(Depreciation) ‎as a % of ‎Trust Capital			Net Unrealized ‎Appreciation/ ‎(Depreciation)
FUTURES CONTRACTS
Long futures contracts:
Currencies	0.00	%	$	1,220
Energies	0.35			318,301
Grains	(0.01)			(11,788)
Interest rates	(0.01)			(9,998)
Livestock	(0.01)			(12,960)
Metals	0.29			263,431
Softs	(0.01)			(7,117)
Stock indices	(0.10)			(93,330)
Total long futures contracts	0.50			447,759
Short futures contracts:
Currencies	0.07			60,346
Energies	0.02			21,753
Grains	0.36			322,021
Interest rates:
2 Year U.S. Treasury Note (313 contracts, settlement date December 2023)	0.22			196,156
5 Year U.S. Treasury Note (188 contracts, settlement date December 2023)	0.00			1,313
30 Year U.S. Treasury Bond (65 contracts, settlement date December 2023)	0.21			191,719
Other	2.84			2,559,545
Total interest rates	3.27			2,948,733
Metals	0.32			288,144
Softs	0.08			71,324
Stock indices	(0.02)			(17,729)
Total short futures contracts	4.10			3,694,592
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	4.60			4,142,351
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(0.90)			(813,748)
Total short forward currency contracts	0.95			856,479
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.05			42,731
TOTAL	4.65	%	$	4,185,082
				(Continued)

2

Global Macro Trust
Condensed Schedule of Investments (unaudited)
September 30, 2023
U.S. TREASURY NOTES
Face Amount		Description	Fair Value ‎as a % of ‎Trust Capital			Fair Value
$	28,849,000	U.S. Treasury notes, 2.750%, 11/15/2023	31.94	%	$	28,758,847
	21,855,000	U.S. Treasury notes, 2.750%, 02/15/2024	24.03			21,637,731
	18,693,000	U.S. Treasury notes, 2.500%, 05/15/2024	20.38			18,355,285
	21,633,000	U.S. Treasury notes, 2.375%, 08/15/2024	23.39			21,062,599
		Total investments in U.S. Treasury notes
		(amortized cost $89,964,920)	99.74	%	$	89,814,462
See notes to financial statements (unaudited)						(Concluded)

‎

3

Global Macro Trust
Condensed Schedule of Investments
December 31, 2022
FUTURES AND FORWARD CURRENCY CONTRACTS	Net Unrealized ‎Appreciation/ ‎(Depreciation) ‎as a % of ‎Trust Capital			Net Unrealized ‎Appreciation/ ‎(Depreciation)
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)

4

Global Macro Trust
Condensed Schedule of Investments
December 31, 2022
U.S. TREASURY NOTES
Face Amount		Description	Fair Value ‎as a % of ‎Trust Capital			Fair 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 (unaudited)						(Concluded)

5

Global Macro Trust
Statements of Operations (unaudited)
		For the three months ended
		September 30, 2023		September 30, 2022
INVESTMENT INCOME:
Interest income, net	$	1,126,021	$	427,010
EXPENSES:
Brokerage and management fees:
Management fees		607,770		683,560
Installment selling commissions		484,347		545,315
Trade execution and clearing costs		92,935		105,492
Total brokerage and management fees		1,185,052		1,334,367
Administrative expenses		134,739		125,973
Custody fees and other expenses		6,112		7,151
Total expenses		1,325,903		1,467,491
Managing Owner commission rebate to Unitholders		(123,869)		(145,944)
Net expenses		1,202,034		1,321,547
NET INVESTMENT LOSS		(76,013)		(894,537)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		8,469,099		7,960,583
Foreign exchange transactions		(92,132)		72,015
Net change in unrealized:
Futures and forward currency contracts		1,529,984		(486,697)
Foreign exchange translation		34,511		(36,909)
Net gains (losses) from U.S. Treasury notes:
Realized		(8,904)		(26,967)
Net change in unrealized		80,530		(267,652)
TOTAL NET REALIZED AND UNREALIZED GAINS		10,013,088		7,214,373
NET INCOME		9,937,075		6,319,836
LESS PROFIT SHARE TO MANAGING OWNER		95,740		306,416
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	9,841,335	$	6,013,420
NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	115.58	$	63.01
Series 3 Unitholders	$	199.50	$	98.37
Series 4 Unitholders	$	303.97	$	174.59
Series 5 Unitholders	$	184.16	$	89.23
See notes to financial statements (unaudited)

6

Global Macro Trust
Statements of Operations (unaudited)
		For the nine months ended
		September 30, 2023		September 30, 2022
INVESTMENT INCOME:
Interest income, net	$	2,991,612	$	743,967
EXPENSES:
Brokerage and management fees:
Management fees		1,834,418		1,998,427
Installment selling commissions		1,453,901		1,605,561
Trade execution and clearing costs		295,980		365,566
Total brokerage and management fees		3,584,299		3,969,554
Administrative expenses		410,382		508,724
Custody fees and other expenses		18,412		21,321
Total expenses		4,013,093		4,499,599
Managing Owner commission rebate to Unitholders		(373,220)		(431,086)
Net expenses		3,639,873		4,068,513
NET INVESTMENT LOSS		(648,261)		(3,324,546)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		4,640,966		20,297,708
Foreign exchange translation		(164,309)		(31,176)
Net change in unrealized:
Futures and forward currency contracts		(1,154,640)		3,707,940
Foreign exchange translation		58,389		(41,250)
Net gains (losses) from U.S. Treasury notes:
Realized		(83,145)		(38,447)
Net change in unrealized		378,716		(731,774)
TOTAL NET REALIZED AND UNREALIZED GAINS		3,675,977		23,163,001
NET INCOME	$	3,027,716	$	19,838,455
LESS PROFIT SHARE TO MANAGING OWNER		95,740		734,499
NET INCOME AFTER PROFIT SHARE TO MANAGING OWNER	$	2,931,976	$	19,103,956
NET INCOME PER UNIT OUTSTANDING
Series 1 Unitholders	$	26.96	$	197.00
Series 3 Unitholders	$	95.40	$	315.40
Series 4 Unitholders	$	182.64	$	525.90
Series 5 Unitholders	$	80.67	$	284.07
See notes to financial statements (unaudited)				(Concluded)

7

Global Macro Trust
Statements of Changes in Trust Capital (unaudited)
For the nine months ended September 30, 2023:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount
Trust capital at
January 1, 2023	$	70,785,087	57,887.327	$	17,954,584	9,204.522	$	10,883,596	4,040.492	$	6,287,737	3,458.143	$	-	-	$	2,267,924	1,854.682	$	108,178,928
Subscriptions		-	-		-	-		-	-		-	-		-	-		-	-		-
Redemptions		(17,477,415)	(14,387.223)		(3,019,304)	(1,639.722)		(268,780)	(100.974)		(294,960)	(171.993)		-	-		-	-		(21,060,459)
Transfers		-	-		(4,024)	(0.080)		-	-		4,024	-		-	-		-	-		-
Addt'l units allocated *		-	171.784		-	-		-	-		-	-		-	-		-	83.035		-
Net income
before profit share to Managing Owner		1,272,234	-		620,634	-		716,306	-		264,766	-		-	-		153,776	-		3,027,716
Profit share to Managing Owner:		-	-		(74,280)	-		-	-		(21,460)	-		-	-		-	-		(95,740)
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
September 30, 2023	$	54,579,906	43,671.888	$	15,477,610	7,564.720	$	11,331,122	3,939.518	$	6,240,107	3,286.150	$	-	-	$	2,421,700	1,937.717	$	90,050,445
Net asset value per unit outstanding
at September 30, 2023:	$	1,249.77		$	2,046.03		$	2,876.27		$	1,898.91
* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and to the Managing Owner.																				(Continued)
See notes to financial statements (unaudited)

8

Global Macro Trust
Statements of Changes in Trust Capital (unaudited)
For the nine months ended September 30, 2022:
														New Profit
		Series 1 Unitholders			Series 3 Unitholders			Series 4 Unitholders			Series 5 Unitholders			Memo Account			Managing Owner			Total
		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount	Units		Amount
Trust capital at
January 1, 2022	$	67,189,838	62,620.242	$	17,635,045	10,514.052	$	8,660,732	3,881.484	$	6,139,800	3,895.148	$	-	-	$	2,499,928	2,329.914	$	102,125,343
Subscriptions		-	-		-	-		704,340	306.092		98,039	62.198		4,222	3.542		-	-		806,601
Redemptions		(4,576,009)	(4,008.181)		(1,016,674)	(561.090)		(143,776)	(57.668)		(166,712)	(108.169)		-	-		-	-		(5,903,171)
Addt'l units allocated *		-	175.458		-	-		-	-		-	-		-	0.052		-	102.531		-
Net income
before profit share to Managing Owner		12,044,401	-		3,752,078	-		2,165,627	-		1,286,803	-		342	-		589,204	-		19,838,455
Profit share to Managing Owner:		-	-		(537,336)	-		-	-		(197,163)	-		-	-		-	-		(734,499)
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
September 30, 2022	$	74,658,230	58,787.519	$	19,833,113	9,952.962	$	11,386,923	4,129.908	$	7,160,767	3,849.177	$	4,564	3.594	$	3,089,132	2,432.445	$	116,132,729
Net asset value per unit outstanding
at September 30, 2022:	$	1,269.97		$	1,992.68		$	2,757.19		$	1,860.34
* Additional units are issued to Series 1 Unitholders who are charged less than a 7% brokerage fee and to the Managing Owner.
See notes to financial statements (unaudited)																				(Concluded)

9

Global Macro Trust
Statements of Financial Highlights (unaudited)
For the three months ended September 30:	2023									2022
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
Net income (loss) from operations:
Net investment income (loss)		$           (5.29)		$             8.86		$           24.56		$             5.10			$         (14.16)		$           (5.18)		$             4.46		$             (8.15)
Net realized and unrealized gains on trading of futures and forward currency contracts		119.99		197.97		277.45		184.12			80.34		130.98		177.02		122.71
Net gains (losses) from U.S. Treasury obligations		0.88		1.48		1.96		1.32			(3.17)		(5.09)		(6.89)		(4.78)
Profit share allocated to Managing Owner		0.00		(8.81)		0.00		(6.38)			0.00		(22.34)		0.00		(20.55)
Net income per unit		$         115.58		$         199.50		$         303.97		$         184.16			$           63.01		$           98.37		$         174.59		$             89.23
Net asset value per unit, beginning of period		1,134.19		1,846.53		2,572.30		1,714.75			1,206.96		1,894.31		2,582.60		1,771.11
Net asset value per unit, end of period		$      1,249.77		$      2,046.03		$      2,876.27		$      1,898.91			$      1,269.97		$      1,992.68		$      2,757.19		$        1,860.34
Total return and ratios for the three months ended September 30:		2023									2022
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
RATIOS TO AVERAGE CAPITAL:
Net investment income (loss) (a)		(1.78)	%	1.91	%	3.65	%	1.16	%		(4.75)	%	(1.08)	%	0.68	%	(1.85)	%
Total expenses (a)		6.41	%	2.72	%	0.96	%	3.47	%		6.30	%	2.65	%	0.86	%	3.42	%
Profit share allocation (b)		0.00		0.49		0.00		0.36			0.00		1.19		0.00		1.17
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.41	%	3.21	%	0.96	%	3.83	%		6.30	%	3.84	%	0.86	%	4.59	%
Total return before profit share allocation (b)		10.19	%	11.29	%	11.82	%	11.10	%		5.22	%	6.38	%	6.76	%	6.21	%
Less: Profit share allocation (b)		0.00		0.49		0.00		0.36			0.00		1.19		0.00		1.17
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		10.19	%	10.80	%	11.82	%	10.74	%		5.22	%	5.19	%	6.76	%	5.04	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.																	(Continued)

‎

10

Global Macro Trust
Statements of Financial Highlights (unaudited)
For the nine months ended September 30:	2023									2022
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
Net income (loss) from operations:
Net investment income (loss)		$          (20.21)		$            18.45		$            60.29		$              7.68			$          (47.94)		$          (26.49)		$            (2.98)		$           (34.43)
Net realized and unrealized gains on trading of futures and forward currency contracts		43.69		79.94		114.78		74.17			253.12		407.24		546.68		381.74
Net gains (losses) from U.S. Treasury obligations		3.48		5.82		7.57		5.20			(8.18)		(13.08)		(17.80)		(12.27)
Profit share allocated to Managing Owner		0.00		(8.81)		0.00		(6.38)			0.00		(52.27)		0.00		(50.97)
Net income per unit		$            26.96		$            95.40		$          182.64		$            80.67			$          197.00		$          315.40		$          525.90		$           284.07
Net asset value per unit, beginning of period		1,222.81		1,950.63		2,693.63		1,818.24			1,072.97		1,677.28		2,231.29		1,576.27
Net asset value per unit, end of period		$       1,249.77		$       2,046.03		$       2,876.27		$       1,898.91			$       1,269.97		$       1,992.68		$       2,757.19		$        1,860.34
Total return and ratios for the nine months ended September 30:		2023									2022
		Series 1		Series 3		Series 4		Series 5			Series 1		Series 3		Series 4		Series 5
RATIOS TO AVERAGE CAPITAL:
Net investment income (loss) (a)		(2.34)	%	1.32	%	3.10	%	0.59	%		(5.57)	%	(1.95)	%	(0.16)	%	(2.71)	%
Total expenses (a)		6.43	%	2.74	%	0.98	%	3.49	%		6.48	%	2.88	%	1.10	%	3.65	%
Profit share allocation (b)		0.00		0.47		0.00		0.37			0.00		2.89		0.00		3.01
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		6.43	%	3.21	%	0.98	%	3.86	%		6.48	%	5.77	%	1.10	%	6.66	%
Total return before profit share allocation (b)		2.20	%	5.36	%	6.78	%	4.81	%		18.36	%	21.69	%	23.57	%	21.03	%
Less: Profit share allocation (b)		0.00		0.47		0.00		0.37			0.00		2.89		0.00		3.01
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		2.20	%	4.89	%	6.78	%	4.44	%		18.36	%	18.80	%	23.57	%	18.02	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.
See notes to financial statements (unaudited)
																	(Concluded)

11

NOTES TO FINANCIAL STATEMENTS (UNAUDITED)

1. BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The accompanying financial statements, in the opinion of management, include all adjustments (consisting only of normal recurring adjustments) necessary for a fair presentation of Global Macro Trust’s (the “Trust”) financial condition at September 30, 2023 (unaudited) and December 31, 2022 (audited) and the results of its operations for the three and nine months ended September 30, 2023 and 2022 (unaudited). These financial statements present the results of interim periods and do not include all disclosures normally provided in annual financial statements. It is suggested that these financial statements be read in conjunction with the audited financial statements and notes included in the Trust's annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2022. The December 31, 2022 information has been derived from the audited financial statements as of December 31, 2022.

Effective May 1, 2022, Units in the Trust were no longer offered for sale. For existing investors in the Fund, business has been and will be conducted as usual. There was no change in trading, operations, monthly statements and other reporting, and redemptions will continue to be offered on a monthly basis.

As a registrant with the Securities and Exchange Commission (the “SEC”), the Fund is subject to the regulatory requirements under the Securities Exchange Act of 1934. Prior to May 1, 2022, the Trust was also subject to the regulatory requirements under the Securities Act of 1933. As a commodity investment pool, the Fund is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions.

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (the “U.S. GAAP”), as detailed in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”), requires management to make estimates and assumptions that affect the amounts and disclosures reported in the financial statements. Actual results could differ from these estimates.

The Trust enters into contracts that contain a variety of indemnification provisions. The Trust’s maximum exposure under these arrangements is unknown. The Trust does not anticipate recognizing any loss related to these arrangements.

Income Taxes (Topic 740) of the Codification clarifies the accounting for uncertainty in tax positions. This requires that the Trust recognize in its financial statements the impact of any uncertain tax positions. Based on a review of the Trust’s open tax years, 2019 to 2022, Millburn Ridgefield Corporation (the “Managing Owner”) determined that no reserves for uncertain tax positions were required. 

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

There have been no material changes with respect to the Trust's critical accounting policies, off-balance sheet arrangements or disclosure of contractual obligations as reported in the Trust's Annual Report on Form 10-K for fiscal year 2022.

Certain prior year items in the financial statements have been reclassified to conform to the current year presentation. The Trust reclassified amounts previously included in “Brokerage fees” to “Management fees”, “Installment selling commissions” and “Trade execution and clearing costs” in the Statements of Operations for the three and nine months ended September 30, 2022. Further, the Trust reclassified amounts previously included in “Accrued brokerage fees” to “Accrued management fees”, “Accrued installment selling commissions” and “Accrued trade execution and clearing costs” in the Statements of Financial Condition at December 31, 2022. Any mention of “brokerage fees” or “accrued brokerage fees” subsequently in these footnotes are understood to represent the newly classified line items.

2. FAIR VALUE

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

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

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

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

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

12

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

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

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

The following tables represent the Trust’s investments by hierarchical level as of September 30, 2023 and December 31, 2022 in valuing the Trust’s investments at fair value. During the nine and twelve months ended September 30, 2023 and December 31, 2022, the Trust held no assets or liabilities in Level 3. At September 30, 2023 and December 31, 2022, the Trust held no assets or liabilities classified in Level 3.

Financial Assets and Liabilities at Fair Value as of September 30, 2023

		Level 1		Level 2		Total
U.S. Treasury notes (1)	$	89,814,462	$	-	$	89,814,462
Short-term money market fund*		4,162,769		-		4,162,769
Exchange-traded futures contracts
Currencies		61,566		-		61,566
Energies		340,054		-		340,054
Grains		310,233		-		310,233
Interest rates		2,938,735		-		2,938,735
Livestock		(12,960)		-		(12,960)
Metals		551,575		-		551,575
Softs		64,207		-		64,207
Stock indices		(111,059)		-		(111,059)
Total exchange-traded futures contracts		4,142,351		-		4,142,351
Over-the-counter forward currency contracts		-		42,731		42,731
Total futures and forward currency contracts (2)		4,142,351		42,731		4,185,082
Total financial assets and liabilities at fair value	$	98,119,582	$	42,731	$	98,162,313
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	20,983,515
Investments in U.S. Treasury notes held in custody						68,830,947
Total investments in U.S. Treasury notes					$	89,814,462
(2)
Net unrealized appreciation on open futures and forward currency contracts					$	4,277,899
Net unrealized depreciation on open futures and forward currency contracts						(92,817)
Total net unrealized appreciation on open futures and forward currency contracts					$	4,185,082
*The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition.

13

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

		Level 1		Level 2		Total
U.S. Treasury notes (1)	$	94,506,887	$	-	$	94,506,887
Short-term money market fund*		6,268,465		-		6,268,465
Exchange-traded futures contracts
Currencies		7,601		-		7,601
Energies		1,682,442		-		1,682,442
Grains		66,523		-		66,523
Interest rates		3,101,405		-		3,101,405
Livestock		(5,330)		-		(5,330)
Metals		23,543		-		23,543
Softs		(31,350)		-		(31,350)
Stock indices		(28,255)		-		(28,255)
Total exchange-traded futures contracts		4,816,579		-		4,816,579
Over-the-counter forward currency contracts		-		523,143		523,143
Total futures and forward currency contracts (2)		4,816,579		523,143		5,339,722
Total financial assets and liabilities at fair value	$	105,591,931	$	523,143	$	106,115,074
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	21,481,593
Investments in U.S. Treasury notes held in custody						73,025,294
Total investments in U.S. Treasury notes					$	94,506,887
(2)
Net unrealized appreciation on open futures and forward currency contracts					$	5,339,722
Net unrealized depreciation on open futures and forward currency contracts						-
Total net unrealized appreciation on open futures and forward currency contracts					$	5,339,722
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

3. DERIVATIVE INSTRUMENTS

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

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

The Trust engages in the speculative trading of futures and forward contracts on currencies, energies, grains, interest rates, livestock, metals, softs and stock indices. The following were the primary trading risk exposures of the Trust at September 30, 2023, by market sector:

Agricultural (grains, livestock and softs) – The Trust’s primary exposure is to agricultural price movements which are often directly affected by severe or unexpected weather conditions, as well as supply and demand factors.

Currencies – Exchange rate risk is a principal market exposure of the Trust. The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. The fluctuations are

influenced by interest rate changes, as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates—e.g., positions between two currencies other than the U.S. dollar.

14

Energies – The Trust’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the oil producing countries and economic conditions worldwide. Energy prices are volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Interest Rates – Interest rate movements directly affect the price of the sovereign bond futures positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country, as well as relative interest rate movements between countries, may materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in countries or regions, including Australia, Canada, Japan, Switzerland, the United Kingdom, the U.S. and the Eurozone. However, the Trust also may take positions in futures contracts on the government debt of other nations. The Managing Owner anticipates that interest rates in these industrialized countries or areas, both long-term and short-term, will remain the primary interest rate market exposure of the Trust for the foreseeable future.

Metals – The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, platinum, silver, tin and zinc.

Stock Indices – The Trust’s equity exposure, through stock index futures, is to equity price risk in the major industrialized countries, as well as other countries.

The Derivatives and Hedging topic of the Codification requires entities to recognize in the Statements of Financial Condition all derivative contracts as assets or liabilities. Fair values of futures and forward currency contracts in an asset position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized appreciation on open futures and forward currency contracts.” Fair values of futures and forward currency contracts in a liability position by counterparty are recorded in the Statements of Financial Condition as “Net unrealized depreciation on open futures and forward currency contracts.” The Trust’s policy regarding fair value measurement is discussed in the Fair Value note, contained herein.

Since the derivatives held or sold by the Trust are for speculative trading purposes, the derivative instruments are not designated as hedging instruments under the provisions of the Derivatives and Hedging guidance. Accordingly, all realized gains and losses, as well as any change in net unrealized gains or losses on open positions from the preceding period, are recognized as part of the Trust’s trading gains and losses in the Statements of Operations.

The following tables present the fair value of open futures and forward currency contracts, held long or sold short, at September 30, 2023 and December 31, 2022. Fair value is presented on a gross basis even though the contracts are subject to master netting agreements and qualify for net presentation in the Statements of Financial Condition.

Fair Value of Futures and Forward Currency Contracts at September 30, 2023

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions
Futures contracts:
Currencies	$	1,245	$	(25)	$	68,409	$	(8,063)	$	61,566
Energies		513,587		(195,286)		23,022		(1,269)		340,054
Grains		-		(11,788)		322,679		(658)		310,233
Interest rates		-		(9,998)		3,153,907		(205,174)		2,938,735
Livestock		-		(12,960)		-		-		(12,960)
Metals		339,558		(76,127)		627,671		(339,527)		551,575
Softs		-		(7,117)		71,804		(480)		64,207
Stock indices		13,843		(107,173)		157,567		(175,296)		(111,059)
Total futures contracts		868,233		(420,474)		4,425,059		(730,467)		4,142,351
Forward currency contracts		175,728		(989,476)		1,212,473		(355,994)		42,731
Total futures and
forward currency contracts	$	1,043,961	$	(1,409,950)	$	5,637,532	$	(1,086,461)	$	4,185,082

15

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

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions
Futures contracts:
Currencies	$	22,489	$	(10,289)	$	30	$	(4,629)	$	7,601
Energies		1,009,697		(37,450)		711,715		(1,520)		1,682,442
Grains		131,465		(41,967)		-		(22,975)		66,523
Interest rates		-		(43,377)		3,223,978		(79,196)		3,101,405
Livestock		500		(5,830)		-		-		(5,330)
Metals		272,333		(137,540)		127,482		(238,732)		23,543
Softs		67		(20,877)		10,269		(20,809)		(31,350)
Stock indices		25,085		(87,194)		113,753		(79,899)		(28,255)
Total futures contracts		1,461,636		(384,524)		4,187,227		(447,760)		4,816,579
Forward currency contracts		1,682,220		(538,241)		317,553		(938,389)		523,143
Total futures and
forward currency contracts	$	3,143,856	$	(922,765)	$	4,504,780	$	(1,386,149)	$	5,339,722

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three and nine months ended September 30, 2023 and 2022 as “Net realized gains (losses) on closed positions: Futures and forward currency contracts” and “Net change in unrealized: Futures and forward currency contracts.” These trading gains and losses are detailed below:

Trading gains (losses) of futures and forward currency contracts for the three and nine months ended September 30, 2023 and 2022

		Three months ended:		Three months ended:		Nine months ended:		Nine months ended:
Sector		September 30, 2023		September 30, 2022		September 30, 2023		September 30, 2022
Futures contracts:
Currencies	$	48,271	$	272,014	$	383,559	$	645,825
Energies		4,797,101		(3,874,562)		(529,525)		6,636,922
Grains		267,687		(849,578)		67,438		(366,870)
Interest rates		5,069,081		8,149,787		1,621,555		3,717,517
Livestock		(4,060)		(31,150)		35,130		8,790
Metals		755,706		328,287		863,082		(144,508)
Softs		(43,080)		(295,984)		30,649		(102,195)
Stock indices		(711,207)		1,717,731		429,415		7,680,082
Total futures contracts		10,179,499		5,416,545		2,901,303		18,075,563
Forward currency contracts		(180,416)		2,057,341		585,023		5,930,085
Total futures and forward currency contracts	$	9,999,083	$	7,473,886	$	3,486,326	$	24,005,648

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the nine months ended September 30, 2023 and 2022. The Trust’s average net asset value for the nine months ended September 30, 2023 and 2022 was approximately $98,000,000 and $107,000,000, respectively.

‎

16

Average notional value by sector of futures and forward currency contracts for the nine months ended September 30, 2023 and 2022

		2023				2022
Sector		Long Positions		Short Positions		Long Positions		Short Positions
Futures contracts:
Currencies	$	1,612,148	$	5,756,575	$	694,077	$	4,462,664
Energies		17,349,558		1,414,715		13,607,083		2,873,009
Grains		3,345,144		3,489,711		4,701,305		6,923,569
Interest rates		10,872,263		157,738,480		89,835,908		62,221,383
Livestock		513,608		128,860		456,775		424,545
Metals		832,856		6,926,682		5,327,527		6,452,504
Softs		762,166		1,810,485		1,692,274		1,758,404
Stock indices		26,696,962		24,064,694		26,696,455		37,762,557
Total futures
contracts		61,984,705		201,330,202		143,011,404		122,878,635
Forward currency
contracts		28,429,348		29,491,766		21,078,010		52,271,530
Total average
notional	$	90,414,053	$	230,821,968	$	164,089,414	$	175,150,165

Notional values in the interest rate sector were calculated by converting the notional value in local currency of open interest rate futures positions with maturities less than 10 years to 10-year equivalent fixed income instruments and translated to U.S. dollars at September 30, 2023 and 2022. The 10-year note is often used as a benchmark for many types of fixed-income instruments and the Managing Owner believes it is a more meaningful representation of notional values of the Trust’s open interest rate positions.

The averages have been calculated based on the amounts outstanding at the end of each quarter during the calculation period.

The customer agreements between the Trust, the futures clearing brokers, including Deutsche Bank Securities Inc. (a wholly-owned subsidiary of Deutsche Bank AG), BofA Securities, Inc. (formerly Merrill Lynch Pierce, Fenner & Smith Inc.) and Goldman Sachs & Co. LLC, as well as the FX prime brokers, Deutsche Bank AG (“DB”) and Bank of America, N.A. (“BA”), give the Trust the legal right to net unrealized gains and losses on open futures and foreign currency contracts. The Trust netted, for financial reporting purposes, the unrealized gains and losses on open futures and forward currency contracts on the Statements of Financial Condition as the criteria under Balance Sheet (Topic 210) of the codification were met.

The following tables present gross amounts of assets or liabilities which qualify for offset as presented in the Statements of Financial Condition as of September 30, 2023 and December 31, 2022.

Offsetting of derivative assets and liabilities at September 30, 2023

		Gross amounts of ‎recognized assets		Gross amounts offset in ‎the Statements of Financial ‎Condition		Net amounts of assets ‎presented in the Statements ‎of Financial Condition
Assets
Futures contracts
Counterparty C	$	1,461,729	$	(285,040)	$	1,176,689
Counterparty J		1,059,557		(110,460)		949,097
Counterparty L		2,772,006		(755,441)		2,016,565
Total futures contracts		5,293,292		(1,150,941)		4,142,351
Forward currency contracts
Counterparty G		645,630		(510,082)		135,548
Total forward currency contracts		645,630		(510,082)		135,548
Total assets	$	5,938,922	$	(1,661,023)	$	4,277,899
						(Continued)

17

		Gross amounts of ‎recognized liabilities		Gross amounts offset in ‎the Statements of Financial ‎Condition		Net amounts of liabilities ‎presented in the Statements ‎of Financial Condition
Liabilities
Forward currency contracts
Counterparty K	$	835,388	$	(742,571)	$	92,817
Total liabilities	$	835,388	$	(742,571)	$	92,817
						(Concluded)

				Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net amounts of assets ‎presented in the Statements ‎of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)
Counterparty C	$	1,176,689	$	-	$	(1,176,689)	$	-
Counterparty G		135,548		-		-		135,548
Counterparty J		949,097		-		(949,097)		-
Counterparty L		2,016,565		-		(2,016,565)		-
Total	$	4,277,899	$	-	$	(4,142,351)	$	135,548
				Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net amounts of liabilities ‎presented in the Statements ‎of Financial Condition		Financial Instruments		Collateral Pledged(1)(2)		Net Amount
Counterparty K	$	92,817	$	-	$	(92,817)	$	-
Total	$	92,817	$	-	$	(92,817)	$	-
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is
guaranteed by the exchange. Collateral pledged includes both cash and U.S. Treasury notes held at each respective counterparty.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets and liabilities presented in the Statements
of Financial Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of September 30, 2023.

18

Offsetting of derivative assets and liabilities at December 31, 2022

		Gross amounts of ‎recognized assets		Gross amounts offset in ‎the Statements of Financial ‎Condition		Net amounts of assets ‎presented in the Statements ‎of Financial Condition
Assets
Futures contracts
Counterparty C	$	2,550,899	$	(189,199)	$	2,361,700
Counterparty J		685,580		(127,878)		557,702
Counterparty L		2,412,384		(515,207)		1,897,177
Total futures contracts		5,648,863		(832,284)		4,816,579
Forward currency contracts
Counterparty G		726,184		(519,638)		206,546
Counterparty K		1,273,589		(956,992)		316,597
Total forward currency contracts		1,999,773		(1,476,630)		523,143
Total assets	$	7,648,636	$	(2,308,914)	$	5,339,722

				Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net amounts of assets ‎presented in the Statements ‎of Financial Condition		Financial Instruments		Collateral Received(1)(2)		Net Amount(3)
Counterparty C	$	2,361,700	$	-	$	(2,361,700)	$	-
Counterparty G		206,546		-		-		206,546
Counterparty J		557,702		-		(557,702)		-
Counterparty K		316,597		-		-		316,597
Counterparty L		1,897,177		-		(1,897,177)		-
Total	$	5,339,722	$	-	$	(4,816,579)	$	523,143
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is
guaranteed by the exchange.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial
Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2022.

CONCENTRATION OF CREDIT RISK

Credit risk is the possibility that a loss may occur due to the failure of a counterparty to perform according to the terms of a contract. Credit risk is normally reduced to the extent that an exchange or clearing organization acts as a counterparty to futures transactions since typically the collective credit of the members of the exchange is pledged to support the financial integrity of the exchange.

The Managing Owner seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and trading counterparties which the Managing Owner believes to be creditworthy. In addition, for OTC forward currency contracts, the Trust enters into master netting agreements with its counterparties. Collateral posted at the various counterparties for trading of futures and forward currency contracts includes cash and U.S. Treasury notes.

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The Trust’s forward currency trading activities are cleared through DB and BA. The Trust’s concentration of credit risk associated with DB or BA nonperformance includes unrealized gains inherent in such contracts, which are recognized in the Statements of Financial Condition plus the value of margin or collateral held by DB and BA. The amount of such credit risk was $6,596,986 and $8,701,393 at September 30, 2023 and December 31, 2022, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three and nine months ended September 30, 2023 and 2022. Profit share earned (from Unitholders' redemptions) is credited to the New Profit Memo Account as defined in the Trust’s Declaration of Trust and Trust Agreement (the “Trust Agreement”).

	Three months ended:
	September 30,		September 30,
	2023		2022
Profit share earned	$	-	$	3,645
Reversal of profit share (1)		-		(427,506)
Profit share accrued		95,740		730,277
Total profit share	$	95,740	$	306,416
	Nine months ended:
	September 30,		September 30,
	2023		2022
Profit share earned	$	-	$	4,222
Profit share accrued		95,740		730,277
Total profit share	$	95,740	$	734,499
(1) On July 1st

5. RELATED PARTY TRANSACTIONS

The Trust pays all routine expenses, such as legal, accounting, printing, postage and similar administrative expenses (including the Trustee's fees, the charges of an outside accounting services agency and the expenses of updating the Trust's Prospectus), as well as extraordinary costs. At September 30, 2023 and December 31, 2022, the Managing Owner is owed $56,931 and $0, respectively, from the Trust in connection with such expenses it has paid on the Trust's behalf (and is included in "Due to Managing Owner" in the Statements of Financial Condition).

Series 1 Unitholders who redeem Units at or prior to the end of the first eleven months after such Units are sold shall be assessed redemption charges calculated based on their redeemed Units' net asset value as of the date of redemption. All redemption charges will be paid to the Managing Owner. There was no redemption charge payable at September 30, 2023 or December 31, 2022.

6. FINANCIAL HIGHLIGHTS

Per unit operating performance for Series 1, Series 3, Series 4 Units and Series 5 is calculated based on Unitholders’ Trust capital for each Series taken as a whole utilizing the beginning and ending net asset value per unit and weighted average number of Units during the period. Weighted average number of Units for each Series is detailed below:

	Three months ended September 30,		Nine months ended September 30,		Date of first issuance
	2023	2022	2023	2022
Series 1	54,004.750	59,198.816	55,403.519	60,551.026	July 23, 2001
Series 3	7,862.292	10,120.422	8,434.077	10,280.062	September 1, 2009
Series 4	3,950.174	4,132.847	3,970.477	4,102.051	November 1, 2010
Series 5	3,295.408	3,849.201	3,361.568	3,868.290	April 1, 2018

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7. BROKERAGE AND CUSTODIAL FEES

Per the Trust agreement, selling agents are prohibited from receiving amounts in excess of 9.5% of the gross offering proceeds of Series 1 Units sold subsequent to August 12, 2009. During the three and nine months ended September 30, 2023 and 2022, the Managing Owner rebated to the Trust for the benefit of all holders of Series 1 Units, all amounts that would have otherwise been due to selling agents but for the 9.5% cap. Further, in certain cases, there are Series 1 Units that remain outstanding, where there is no longer a selling agent associated with such Units. Beginning in August 2014, the Managing Owner rebated such amounts to the Trust for the benefit of all holders of Series 1 Units. The total amounts rebated to the Trust for both of these items, included in “Installment selling commissions” in the Statements of Operations, were as follows:

	Three months ending September 30,		Nine months ending September 30,
	2023	2022	2023	2022
Brokerage fee rebates	$                123,869	$                145,944	$                373,220	$                431,086

8. SUBSEQUENT EVENTS

The Managing Owner has performed its evaluation of subsequent events from October 1, 2023 to November 13, 2023, the date this Form 10-Q was filed. Based on such evaluation, no further events were discovered that required disclosure or adjustment to the financial statements.

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Reference is made to Item 1, "Financial Statements." The information contained therein is essential to, and should be read in connection with, the following analysis.

OPERATIONAL OVERVIEW

Due to the nature of the Trust's business, its results of operations depend on the Managing Owner’s ability to recognize and capitalize on trends and other profit opportunities in different sectors of the global capital and commodity markets. The Managing Owner's investment and trading methods are confidential so that substantially the only information that can be furnished regarding the Trust's results of operations is contained in the performance record of its trading. Unlike operating businesses, general economic or seasonal conditions do not directly affect the profit potential of the Trust and its past performance is not necessarily indicative of future results. The Managing Owner believes, however, that there are certain market conditions, for example, markets with strong price trends, in which the Trust has a better likelihood of being profitable than in others.

LIQUIDITY AND CAPITAL RESOURCES

Units may be offered for sale as of the beginning, and may be redeemed as of the end, of each month.

The amount of capital raised for the Trust should not have a significant impact on its operations, as the Trust has no significant capital expenditure or working capital requirements other than for monies to pay trading losses, brokerage commissions and charges. Within broad ranges of capitalization, the Managing Owner’s trading positions should increase or decrease in approximate proportion to the size of the Trust.

The Trust raises additional capital only through the sale of Units and capital is increased through trading profits (if any). The Trust does not engage in borrowing.

The Trust trades futures, forward and spot contracts, and may trade swap and options contracts, on interest rates, agricultural commodities, currencies, metals, energy and stock indices and forward contracts on currencies. Risk arises from changes in the value of these contracts (market risk) and the potential inability of counterparties or brokers to perform under the terms of their contracts (credit risk). Market risk is generally measured by the face amount of the futures positions acquired and the volatility of the markets traded. The credit risk from counterparty non-performance associated with these instruments is the net unrealized gain, if any, on these positions plus the value of the margin or collateral held by the counterparty. The risks associated with exchange-traded contracts are generally perceived to be less than those associated with OTC transactions because exchanges typically (but not universally) provide clearinghouse arrangements in which the collective credit (in some cases limited in amount, in some cases not) of the members of the exchange is pledged to support the financial integrity of the exchange. In most OTC transactions, on the other hand, traders must rely (typically but not universally) solely on the credit of their respective individual counterparties. Margins which may be subject to loss in the event of a default are generally required in exchange trading and counterparties may require margin or collateral in the OTC markets.

‎

21

The Managing Owner has procedures in place to control market risk, although there can be no assurance that they will, in fact, succeed in doing so. These procedures primarily focus on: (1) real time monitoring of open positions; (2) diversifying positions among various markets; (3) limiting the assets committed as margin or collateral, generally within a range of 5% to 35% of an account’s net assets, though the amount may at any time be higher; and (4) prohibiting pyramiding – that is, using unrealized profits in a particular market as margin for additional positions in the same market. The Managing Owner attempts to control credit risk by causing the Trust to deal exclusively with large, well-capitalized financial institutions as brokers and counterparties.

The financial instruments traded by the Trust contain varying degrees of off-balance sheet risk whereby changes in the market values of the futures, forward, and spot contracts or the Trust’s satisfaction of the obligations may exceed the amount recognized in the Statements of Financial Condition of the Trust.

Due to the nature of the Trust’s business, substantially all its assets are represented by cash, cash equivalents, and U.S. government obligations while the Trust maintains its market exposure through open futures, forward and spot contract positions.

The Trust’s futures contracts are settled by offset and are cleared by the exchange clearinghouse function. Open futures positions are marked to market each trading day and the Trust’s trading accounts are debited or credited accordingly. Options on futures contracts are settled either by offset or by exercise. If an option on a future is exercised, the Trust is assigned a position in the underlying future which is then settled by offset. The Trust’s spot and forward currency transactions conducted in the interbank market are settled by netting offsetting positions or payment obligations and by cash payments.

The value of the Trust’s cash and financial instruments is not materially affected by inflation. Changes in interest rates, which are often associated with inflation, could cause the value of certain of the Trust’s debt securities to decline but only to a limited extent. More importantly, changes in interest rates could cause periods of strong up or down market price trends during which the Trust’s profit potential generally increases. However, inflation can also give rise to markets which have numerous short price trends followed by rapid reversals, markets in which the Trust is likely to suffer losses.

The Trust’s assets are generally held as cash or cash equivalents, including 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 for the three and nine months ended September 30, 2023, the Trust experienced no meaningful periods of illiquidity in any of the numerous markets traded by the Managing Owner.

CRITICAL ACCOUNTING ESTIMATES

The Trust records its transactions in futures, forwards and spot contracts, including related income and expenses, on a trade date basis. Open futures contracts traded on an exchange are valued at fair value, which is based on the closing settlement price on the exchange where the futures contract is traded by the Trust on the day with respect to which net assets are being determined. Open spot currency contracts are valued based on the current Spot Price. Open forward currency contracts are recorded at fair value, based on pricing models that consider the Spot Price and Forward Point. Spot Prices and Forward Points for open forward currency contracts are generally based on the median of the average midpoint of bid/ask quotations at the last minute ending at 3:00 P.M. New York time provided by widely used quotation service providers on the day with respect to which net assets are being determined. Forward Points from the quotation service providers are generally in periods of one month, two months, three months, six months, nine months and twelve months forward while the contractual forward delivery dates for the forward currency contracts traded by the Trust may be in between these periods. The Managing Owner’s policy to determine fair value for forward currency contracts involves first calculating the Months to Maturity then identifying Forward Month Contracts. Linear interpolation is then performed between the dates of these two Forward Month Contracts to calculate the interpolated Forward Point. The Managing Owner will also compare the calculated price to the forward currency prices provided by dealers to determine whether the calculated price is fair and reasonable.

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

RESULTS OF OPERATIONS

Due to the nature of the Trust’s trading, the results of operations for the interim periods presented should not be considered indicative of the results that may be expected for the entire year.
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22

Series 1 Units, which were initially issued simply as “Units” beginning in July 23, 2001, were the only Series of Units available prior to 2009. Series 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.

Periods ended September 30, 2023
Month Ended:				Total Trust ‎Capital
September 30, 2023			$	90,050,445
June 30, 2023				94,888,573
December 31, 2022				108,178,928
		Three months ended		Nine months ended
Change in Trust Capital	$	(4,838,128)	$	(18,128,483)
Percent Change		(5.10)%		(16.76)%

THREE MONTHS ENDED SEPTEMBER 30, 2023

The decrease in the Trust’s net assets of $4,838,128 was attributable to redemptions of $14,679,463, which were partially offset by net income after profit share of $9,841,335.

Management fees and installment selling commissions are calculated on the net asset value of the Series 1 Units, Series 3 Units and Series 5 on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees and installment selling commissions for the three months ended September 30, 2023 decreased $75,790 and $38,893 (net of Managing Owner commission rebate to Unitholders), respectively, relative to the corresponding period in 2022 due to a decrease in the Trust’s Series 1, Series 3 and Series 5 average net assets.

Trade execution and clearing costs for the three months ended September 30, 2023 decreased $12,557 relative to the corresponding period in 2022. The decrease was due mainly to a decrease in the Trust’s net assets during the three months ended September 30, 2023 relative to the corresponding period in 2022.

Administrative expenses for the three months ended September 30, 2023 increased $8,766 relative to the corresponding period in 2022. The increase was due mainly to a reduction in the administrative expense accrual in 2022, which was made in September 2022.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2023 increased $699,011 relative to the corresponding period in 2022. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2023.

During the three months ended September 30, 2023, the Trust experienced net realized and unrealized gains of $10,013,088 from its trading operations (including foreign exchange translations and Treasury obligations). Total brokerage and management fees of $1,185,052, administrative expenses of $134,739, custody fees and other expenses of $6,112 and accrued profit share to the Managing Owner of $95,740 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $1,126,021, and Managing Owner commission rebate to Unitholders of $123,869 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $9,841,335. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	(0.13)	%
Energies	5.17	%
Grains	0.30	%
Interest rates	5.39	%
Livestock	0.01	%
Metals	0.83	%
Softs	(0.03)	%
Stock indices	(0.74)	%
Trading gain	10.80	%

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NINE MONTHS ENDED SEPTEMBER 30, 2023

The decrease in the Trust’s net assets of $18,128,483 was attributable to redemptions of $21,060,459, which were partially offset by net income after profit share of $2,931,976.

Management fees and installment selling commissions are calculated on the net asset value of the Series 1 Units, Series 3 Units and Series 5 on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees and installment selling commissions for the nine months ended September 30, 2023 decreased $164,009 and $93,794 (net of the Managing Owner commission rebate to Unitholders), respectively, relative to the corresponding period in 2022 due to a decrease in the Trust’s Series 1, Series 3 and Series 5 average net assets. 

Trade execution and clearing costs for the nine months ended September 30, 2023 decreased $69,586 relative to the corresponding period in 2022. The decrease was due mainly to a decrease in the Trust’s net assets during the nine months ended September 30, 2023 relative to the corresponding period in 2022.

Administrative expenses for the nine months ended September 30, 2023 decreased $98,342 relative to the corresponding period in 2022. The decrease was due mainly to an elimination of costs related to maintaining an effective registration statement during the nine months ended September 30, 2023 relative to the corresponding period in 2022.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2023 increased $2,247,645 relative to the corresponding period in 2022. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2023 relative to the corresponding period in 2022.

During the nine months ended September 30, 2023, the Trust experienced net realized and unrealized gains of $3,675,977 from its trading operations (including foreign exchange translations and Treasury obligations). Total brokerage and management fees of $3,584,299, administrative expenses of $410,382, custody fees and other expenses of $18,412 and accrued profit share to the Managing Owner of $95,740 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $2,991,612, and Managing Owner commission rebate to Unitholders of $373,220 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $2,931,976. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	0.99	%
Energies	(0.48)	%
Grains	0.09	%
Interest rates	2.13	%
Livestock	0.04	%
Metals	0.91	%
Softs	0.04	%
Stock indices	0.47	%
Trading gain	4.19	%

MANAGEMENT DISCUSSION –2023

Three months ended September 30, 2023

The Trust was profitable during the quarter predominantly due to sizable gains from long energy futures positions and short interest rate futures positions. Elsewhere, the profit from trading non-energy commodity futures was largely offset by the loss from trading equity index futures. Currency trading was mixed and flat for the quarter.

Crude oil prices, advanced during the quarter, amid tightening global supplies and optimism about Chinese demand for refining, with Brent crude climbing from around $75/barrel at the start of July to about $93/barrel by the end of September. Voluntary output cuts by Saudi Arabia and Russia, which were extended to year-end 2023, impacted the supply outlook and drained inventories, and Organization of the Petroleum Exporting Countries indicated a willingness to take further action to support the oil market if needed. Hence, long Brent crude and WTI crude positions were profitable. A long heating oil position was profitable as prices were seemingly buoyed by seasonal pre-winter demand for inventory building. A long London gas oil trade was profitable as solid industrial and transportation demand helped maintain distillate prices, particularly after Russia announced a diesel export ban in late September.

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Developed market central banks, led by the Federal Reserve (“Fed”), continued to raise official interest rates during the quarter. Even when pauses in hiking cycles did occur, they were viewed as somewhat hawkish since they included indications that developed market central banks would keep interest rates higher for longer to get inflation under control, particularly amid increases in energy prices and rising fiscal needs in the U.S. and Europe. Adjustments to Japan’s yield curve control program also contributed to higher interest rates globally during the quarter.

On the other hand, signs of easing inflation in the U.S. and Eurozone on the last trading day of September likely contributed to some reduction in the quarter’s interest rate increases as some position squaring occurred at quarter-end. Still, short positions in U.S., German, French, Italian and Canadian interest rate futures were highly profitable. On the other hand, a short position in short-term British interest rate futures was unprofitable, including after the Bank of England announced a dovish pause. Trading of Japanese government bonds was slightly unprofitable too.

Rising interest rates, a stronger U.S. dollar and weak growth in China and Europe seemingly impacted metal prices, and short gold and silver positions were profitable, especially during August and September.

Short wheat, corn and soybean positions were profitable, especially in August and September as prices declined amid improved supplies from Russia and the U.S. and reduced demand from China and Europe. Meanwhile, a long soybean oil trade generated a small, partially offsetting loss.

Hawkish messaging from the Fed and the economic outlook for the U.S. versus Europe, China and South America likely helped to buoy the U.S. dollar during the quarter. Consequently, long U.S. dollar positions versus the Japanese yen, Korean won, Singapore dollar, Australian dollar, New Zealand dollar, Swiss franc, Norwegian krone and South African rand were profitable. On the other hand, short U.S. dollar trades against the European Union euro, Swedish krona, and high yielding Brazilian, Indian and Polish currencies produced offsetting losses.

Equity markets were volatile during the quarter, rising during July and then declining during August and September. 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 and Europe seemingly weighed on equity prices. In addition, by September, U.S. economic outlook dampened amid concerns about the UAW strike, a potential U.S. government shutdown, oil price increases and resumption of student loan payments . On balance, trading of European stock index futures was unprofitable. A long Japanese equity index future position was also unprofitable. On the other hand, a long Singaporean equity index future position was profitable in July and provided a partial offset.

Three months ended June 30, 2023

The Trust was profitable during the quarter as gains from trading financial futures and currency forwards outpaced losses from trading energy futures. Trading of non-energy commodity futures was nearly flat.

Diverging narratives concerning the future paths of growth, inflation and monetary policy within and across various economic regions, including the U.S., Europe, China, and Asia (excluding China), and the bifurcation between weakening manufacturing and booming service sectors globally contributed to rattled financial and commodity markets during most of the quarter. U.S. regional banking stresses, political discussions around the U.S. debt ceiling, a late June spike of hawkish activity by global central banks and the attempted coup by the Wagner Group in Russia also contributed to market turmoil.

Interest rate volatility remained elevated during the quarter as persistent global inflation leant support to increased rates while concerns about slowing growth and/or a recession weakened the push for rate increases. Market participants expressed some uncertainty about how central banks would respond to strong inflation, labor markets and consumer spending in the U.S. and Europe, juxtaposed against weaker than expected growth in China and slowing manufacturing globally. Developed market central banks enacted higher official interest rates and more hawkish policy. Consequently, interest rates rose and short positions in U.S., European, British, Canadian and Australian interest rate futures, particularly shorter-term futures, were quite profitable. On the other hand, short positions in French, Italian and German longer-term interest rate futures posted small partially offsetting losses.

Stocks were unsettled with widely divergent results by region, sector and individual security during the quarter amid divergent views about inflation, monetary policy, growth and earnings. In Japan, strong domestic demand and the de-risking and friend-shoring of supply chains seemingly contributed to the strength of Japanese stocks, and long positions in Japanese equity index futures were profitable, as was a long Taiwanese stock index futures trade. Trading of European equity index futures—German, French, British, Spanish and Italian—also posted gains. Short VIX and VSTOXX volatility index futures were also profitable. On the other hand, excitement about AI and tech, persistently strong consumer spending, and investor optimism about a soft or no landing U.S. growth scenario seemed to support U.S. stocks, and short positions in U.S. equity futures registered losses. Trading of China-related equity index futures was also slightly negative. A short Brazilian equity index trade was also unprofitable as equity futures rose amid the fiscal policy outlook and inflation expectations improving in Brazil.

Foreign exchange trading was mixed but quite profitable. A long position in the high yield Brazilian real versus the U.S. dollar and a short position in the low yield Japanese yen versus the U.S. dollar were particularly profitable. Long positions in high yield Polish, Mexican and Chilean currencies against the U.S. dollar were also profitable. Trading the U.S. dollar against the United Kingdom pound sterling and South African rand also registered gains. On the other hand, short U.S. dollar trades versus the European Union euro, Israeli shekel and New Zealand dollar and long U.S. dollar trades versus the Canadian dollar, Korean won, and Swedish krona posted partially offsetting losses.

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Crude oil and crude product prices were impacted by conflicting forces during the quarter. Fears of sluggish global growth, particularly in China, and evidence that diesel and gasoline demand was being negatively impacted by increasing EV usage and government fuel economy standards contributed to down prices, while the U.S. outlook, continuing production cuts from Organization of the Petroleum Exporting Countries (“OPEC+”) and news that the U.S. was commencing a rebuild of its strategic petroleum reserve seemed to support prices. Overall prices did decline during the quarter and long positions in Brent crude and WTI crude, and trading of RBOB gasoline, London gas oil and heating oil were unprofitable. Following the sharp declines in natural gas prices during the first quarter amid weak demand, larger-than-usual inventories and mild weather, prices and demand increased during the second quarter amid unexpectedly hot weather in Europe and the U.S., especially in June. Hence, short U.S. and European natural gas positions were slightly unprofitable for the quarter.

Finally, small gains from trading soft and livestock commodity futures were largely offset by small losses from trading metal and grain futures.

Three months ended March 31, 2023

The Trust was unprofitable in the quarter predominantly due to losses from trading interest rate and energy futures. Elsewhere, trading of non-energy commodity futures was marginally unprofitable, trading of equity index futures was flat and trading of currency forwards was marginally profitable.

During January, February and into early March, markets were volatile as the negative impulses from tightening of monetary policies and sluggish manufacturing and housing sectors globally clashed with the positive impulses from better than expected employment, consumption and service sector growth globally. Then, during the last three weeks of the quarter, the banking crisis evidenced by the sudden collapses of Silicon Valley Bank and Signature Bank in the U.S., the Swiss government’s brokered sale of Credit Suisse to UBS in Europe, and the challenges of other European and small and mid-sized U.S. banks rattled trading in financial and commodity markets.

Interest rates were volatile during the quarter. In January, global interest rates declined as many market participants came to believe that a further easing of price and wage inflation may lead to an easing of monetary policy in the second half of the year. During February and into early March, however, the global bond market rally stalled as signs of continued inflation, the “hot” U.S. labor market, better-than-expected economic data in the U.S. and Europe, and Congressional testimony by Federal Reserve (“Fed”) Chairman Powell on March 7th and 8th led some investors to believe that global interest rates were primed to go still higher as central banks continued to address inflation. However, the next day global interest rates collapsed amid historic levels of interest rate volatility as risks of economic slowdown and/or recession rose in the wake of the banking crisis. For example, the U.S. 2-year note, which was yielding near 5 1/8% on March 8th following the Fed Chairman’s testimony, plunged to about 3.5% before recovering to around 4 1/8% at month-end. Overall, short positions in U.S., German, French, Italian, British, Canadian and Japanese interest futures were highly unprofitable.

For much of the quarter, energy prices as measured by WTI crude oil were influenced by conflicting forces and traded in a range between $73 and $82 per barrel. In general, global supply and demand fundamentals saw mixed results amid a number of global events: Russian supply did not fall as steeply as some expected; Iraq exports through Turkey were reduced significantly late in the quarter; Chinese demand did not pick up as quickly as many forecast; concerns about slowing growth in Europe and the U.S. likely impacted fundamentals; strikes at French refineries seemingly weakened crude consumption; the U.S. government did not replenish its Strategic Petroleum Reserve; and developed world commercial oil inventories rose. OPEC+ appeared unwilling to change policy until it better understood the mixed results. Then, in March as recession risks increased in the wake of the banking sector crisis, energy prices fell with WTI crude plunging from $80 per barrel on March 6 to $65 per barrel on March 20, before recovering to close the month near $70/barrel. On balance, long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were unprofitable. On the other hand, short natural gas positions were quite profitable as prices declined amid warmer than typical weather in Europe and the U.S. and expanding inventories.

Equity markets, although also rattled by the mix of positive and negative factors discussed above, were steady during the quarter and results were mixed and flat. Long positions in European, Chinese, Taiwanese and Australian stock index futures were profitable. Short positions in Brazilian, Indian and U.S. Russell equity index futures, and trading of Singaporean futures were profitable. On the other hand, short U.S. NASDAQ, S&P and Mid-Cap 400 positions, and trading of Korean, Japanese and EAFE equity index futures posted offsetting losses.

A short silver position was profitable in February, possibly impacted by higher interest rates, a stronger U.S. dollar and sluggish manufacturing globally. In March, safe haven demand and a weaker U.S. dollar likely affected precious metal prices and a long gold trade was profitable. These gains slightly outpaced the loss from a short copper trade. Turning to grain futures, strong supply expectations from major producers of wheat, corn and soybeans seemingly weighed down grain prices. Losses on long corn and soybean trades outdistanced the profit from a short wheat position. Among soft commodities, small losses on short coffee, cotton and cocoa positions marginally outdistanced the profit from a long sugar trade.

Varying expectations about relative growth and monetary policy outlooks across countries likely caused fluctuations in the U.S. dollar during the quarter. Trading results were mixed, though marginally positive overall. Short U.S. dollar positions versus high yield currencies—Chile, Mexico and Poland—were profitable, particularly in March. Long U.S. dollar positions against the Japanese yen and Swiss franc posted gains in January and February. On the other hand, short U.S. dollar trades relative to the Korean won and Brazilian real in February were unprofitable, as was trading the U.S. dollar against the Australian, Canadian and New Zealand dollars, respectively, and trading the Norwegian krone versus the euro and U.S. dollar.

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Periods ended September 30, 2022
Month Ended:				Total Trust ‎Capital
September 30, 2022			$	116,132,729
June 30, 2022				111,298,412
December 31, 2021				102,125,343
		Three months ended		Nine months ended
Change in Trust Capital	$	4,834,317	$	14,007,386
Percent Change		4.34%		13.72%

THREE MONTHS ENDED SEPTEMBER 30, 2022

The increase in the Trust’s net assets of $4,834,317 was attributable to subscriptions of $15,773 and net income after profit share of $6,013,420, which were partially offset by redemptions of $1,194,876.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the three months ended September 30, 2022 decreased $33,531 (net of Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 1 net assets during the respective periods.

Administrative expenses for the three months ended September 30, 2022 decreased $110,021 relative to the corresponding period in 2021. The decrease was due mainly to an elimination of costs related to maintaining an effective registration statement during the three months ended September 30, 2022 relative to the corresponding period in 2021.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the three months ended September 30, 2022 increased $3,133 relative to the corresponding period in 2021 due to an increase in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the three months ended September 30, 2022 increased $423,758 relative to the corresponding period in 2021. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended September 30, 2022.

During the three months ended September 30, 2022, the Trust experienced net realized and unrealized gains of $7,214,373 from its trading operations (including foreign exchange translations and Treasury obligations). Brokerage fees of $1,206,775, administrative expenses of $125,973, custody fees and other expenses of $7,151 and management fees of $127,592 were incurred. The Trust’s gains achieved from trading operations, in addition to interest income of $427,010, and Managing Owner commission rebate to Unitholders of $145,944 were partially offset by the Trust's expenses and profit share of $306,416, resulting in net income after profit share to the Managing Owner of $6,013,420. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	2.19	%
Energies	(3.59)	%
Grains	(0.87)	%
Interest rates	7.75	%
Livestock	(0.09)	%
Metals	0.25	%
Softs	(0.35)	%
Stock indices	1.50	%
Trading gain	6.79	%

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NINE MONTHS ENDED SEPTEMBER 30, 2022

The increase in the Trust’s net assets of $14,007,386 was attributable to subscriptions of $806,601 and net income after profit share of $19,103,956, which were partially offset by redemptions of $5,903,171.

Brokerage fees are calculated on the net asset value of the Series 1 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Brokerage fees for the nine months ended September 30, 2022 decreased $247,066 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 1 net assets during the respective periods. 

Administrative expenses for the nine months ended September 30, 2022 decreased $139,577 relative to the corresponding period in 2021. The decrease was due mainly to an elimination of costs related to maintaining an effective registration statement during the nine months ended September 30, 2022 relative to the corresponding period in 2021.

Management fees are calculated on the net asset value of the Series 3 Units and Series 5 Units on the last day of each month and are affected by trading performance, subscriptions and redemptions. Management fees for the nine months ended September 30, 2022 decreased $6,059 relative to the corresponding period in 2021 due to a decrease in the Trust’s Series 3 and Series 5 net assets during the respective periods.

Interest income is derived from cash and U.S. Treasury instruments held at the Trust's brokers and custodian. Interest income for the nine months ended September 30, 2022 increased $720,032 relative to the corresponding period in 2021. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the nine months ended September 30, 2022 relative to the corresponding period in 2021.

During the nine months ended September 30, 2022, the Trust experienced net realized and unrealized gains of $23,163,001 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $3,598,503, administrative expenses of $508,724, custody fees and other expenses of $21,321 and management fees of $371,051 were incurred. Interest income of $743,967, and Managing Owner commission rebate to Unitholders of $431,086 were partially offset by the Trust’s expenses and profit share of $734,499, resulting in net income after profit share to the Managing Owner of $19,103,956. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	6.62	%
Energies	6.92	%
Grains	(0.21)	%
Interest rates	3.70	%
Livestock	0.19	%
Metals	(0.10)	%
Softs	0.09	%
Stock indices	7.42	%
Trading gain	24.63	%

MANAGEMENT DISCUSSION –2022

Three months ended September 30, 2022

The Trust was profitable during the quarter as gains from trading interest rate futures, stock index futures and currency forwards outweighed losses from trading commodity futures, especially energy futures.

During the quarter, market participants wavered between risk on and risk off actions as they attempted to decide how persistently aggressive global central banks, led by the Federal Reserve Bank (the “Fed”), would be in tightening financial conditions to control high inflation, particularly if it led to slowing growth, recession or rising unemployment. In addition, markets faced pressures from Russia’s war on Ukraine, the energy crisis and recession in Europe, expanding U.S.-China geopolitical tensions, and slower Chinese growth in part due to the property market slump and zero-Covid lockdowns.

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Global stocks, which had rallied sharply between mid-June and mid-August while the market hoped the Fed was pivoting toward less restrictive monetary policy, tumbled after numerous Federal Open Market Committee members led by Chairman Powell emphasized their unwavering resolve to raise interest rates to curb inflation even though “…consumers and business will feel economic pain.” Equity markets plunged while global interest rates surged, and worries about slowing global growth and a rising dollar potentially portended significant earnings declines. Short positions in U.S., Chinese, Korean, EAFE and emerging markets index futures were profitable. A short VIX trade was also profitable during the first half of the quarter. Meanwhile, short positions in Brazilian, Australian, French, Spanish and Indian index futures, and trading of Canadian and Japanese futures produced partially offsetting losses, especially early in the quarter.

Interest rates declined in July and investors perhaps felt that recession risks would keep central banks from hiking rates aggressively. Subsequently, however, global interest rates rose sharply and global central banks appeared intent on raising official interest rates faster and holding them at higher terminal levels for longer than previously expected in order to reduce inflation, even at the potential expense of slower growth, recession and rising unemployment. The new UK government’s late September announcement of a controversial debt-fueled economic policy of energy subsidies and tax cuts hitting the markets at the same time as the Bank of England was readying QT likely contributed to the upward pressure on rates. Short positions in U.S., European and U.K. interest rate futures, especially short-term futures, were profitable. In addition, long positions in British, Japanese, Canadian and Australian interest rate futures were profitable in July.

Long U.S. dollar trades were profitable during the quarter as the Bloomberg DXY index rose about 7 1/2% and touched 20-year highs against the backdrop of a hawkish Fed, relatively better U.S. growth outlook as compared to Europe and China, and amidst continuing geopolitical unrest. Long U.S. dollar positions versus the European Union euro, Swiss franc, Norwegian krone, Swedish krona, United Kingdom pound sterling, Japanese yen and Canadian, Australian, and New Zealand dollars were profitable. On the other hand, trading the U.S. dollar against the Brazilian, Indian, Korean, South African, Israeli and Polish currencies generated partially offsetting losses.

Although energy supplies remained tight during the quarter, crude oil and crude product prices declined amid higher interest rates and tighter monetary policy, a stronger U.S. dollar, concern about probable European and U.S. recessions, and China’s persistent efforts to tame COVID-19 and repair the property sector. Long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil and heating oil were unprofitable. In addition, a short U.S. natural gas trade was unprofitable in July when prices jumped in the wake of increased restrictions on flows of Russian gas to Europe through the Nord Stream 1 pipeline.

Grain prices rose following the USDA’s report of worsening crop conditions owing in part to heatwaves in the U.S. Midwest and plains. Meanwhile, the European Union's crop monitoring service, MARS, lowered its yield forecasts for summer crops in the European Union as it expected further damage in part from recent dry and hot weather, particularly with a major cut in corn. In addition, higher import demand from China, a major consumer, underpinned grain prices. Short corn and soybean meal positions were unprofitable. Trading of soybean oil was also slightly unprofitable.

Despite weakening demand and a global growth slowdown, cotton prices were impacted by a drought in the U.S. and heavy rains and pests in India which severely damaged cotton crops. Hence, a short cotton trade was unprofitable. Trading of coffee and sugar were also marginally unprofitable.

Rising interest rates, a strengthening U.S. dollar, evolving sanctions on Russia, Europe’s energy crisis and recession worries impacted metal prices. Short positions in aluminum, gold, London copper and silver were profitable. Silver prices were also affected by declining sales of silver jewelry in China and India as stores closed amid COVID outbreaks. On the other hand, a short zinc trade was unprofitable.

Three months ended June 30, 2022

The Trust was profitable as gains from trading stock index, energy, metal and grain futures, and currency forwards far outweighed losses from trading interest rate futures. Trading of soft and livestock futures were each essentially flat.

As markets faced constant pressure from rising inflation, Russia’s war on Ukraine, persistent supply chain difficulties and expanding U.S.-China tensions, market participants increasingly focused on the uncertainties around three interrelated questions: how fast and how high official interest rates would be raised by global central banks, especially the U.S. Federal Reserve Bank (the “Fed”) and European Central Bank (the “ECB”); when and how quickly inflation would begin to subside; and when and how significantly global growth would begin to decelerate.

Against the background of rising inflation and interest rates, plunging consumer confidence globally, fears of slowing growth and caution concerning the earnings outlook, volatility increased, most global equity markets declined sharply, and trading of equity futures was quite profitable. Short positions in European, British, Korean, Singaporean, Brazilian, Indian, EAFE and emerging markets index futures were profitable. Trading of U.S. equity index futures was profitable too. On the other hand, short positions in Japanese equity index futures, long positions in Canadian and Australian equity index futures, and a short VIX futures trade resulted in partially offsetting losses. Short positions in Chinese stock index futures were also unprofitable late in the quarter as China displayed incipient signs of emerging from its severe first half growth slowdown.

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Following sharp increases in the first quarter, energy prices were volatile during the April-June period. Strong demand for refined fuels combined with concerns over increasing restrictions on Russian supplies and a dwindling “supply buffer” within The Organization of the Petroleum Exporting Countries pushed energy prices higher, while increasing recession worries due to tighter monetary policies mitigated the upward pressures, especially late in June. Long natural gas positions were profitable for most of the quarter. Then, in late June, an explosion at one of the biggest US liquefied natural gas export terminals in Texas reduced exports to Europe, thereby significantly raising natural gas supplies available for U.S. domestic consumption. U.S. natural gas prices plunged in June, leading to profits on a short natural gas position. Elsewhere, long positions in RBOB gasoline, heating oil, London gas oil, WTI crude and Brent crude were profitable.

The U.S. dollar, as measured by the Bloomberg DXY index, rose about 7 1/2% in the quarter and about 10% since the start of the year. Considering that the war in Ukraine is expected to have a much greater negative impact on European growth than U.S. growth and that the Fed is likely to remain more hawkish than the ECB, long U.S. dollar positions against the euro and Swiss franc were profitable. A long U.S. dollar trade versus the Japanese yen was profitable too as the Bank of Japan continued to pursue an expansive monetary policy at the same time that the Fed was becoming decidedly more restrictive. As commodity prices stabilized somewhat, albeit at high levels, long U.S. dollar trades versus several commodity currencies such as the Aussie dollar, Canadian dollar, Chilean peso, Norwegian krone and South African rand also resulted in profits. On the other hand, a short U.S. dollar position against the Brazilian real and trading the U.S. dollar versus the British pound and New Zealand dollar generated partially offsetting losses.

Fears of a demand-sapping recession, a stronger U.S. dollar and higher interest rates weighed on metal markets, even though there were incipient signs that China was emerging from its sharp growth slowdown. Indications that supplies of many industrial metals would increase in the next couple of years also dampened the price outlook. Short positions in copper, silver and gold were profitable, while trading of aluminum generated a partially offsetting loss.

Grain prices which hit 10-year highs in March and April following the Russian invasion of Ukraine, were volatile during most of the second quarter, and eased somewhat in June against the backdrop of more favorable weather in the U.S. and South America, near record Russian wheat crops, hopes for Ukrainian exports and slowing demand due to recession fears. A long soybean oil position was profitable in April in the wake of news that Indonesia banned exports of palm oil in a bid to ensure domestic supply. Both palm oil and soybean oil are used for cooking as well as food preparation, and are in high demand as substitutes for sunflower oil, a commodity whose supply has been negatively impacted by the ongoing Russian war on Ukraine. Then, late in June, a short soybean oil trade was also profitable. Short corn and wheat trades were also profitable late in the quarter.

Interest rate volatility, as measured by the Merrill Lynch MOVE Index, increased markedly during the quarter. On the one hand, concerns about inflation and more hawkish central bank policies underpinned rates. On the other hand, weakening economic data underscored worries about recession and sparked speculation that the Fed might not need to raise rates as high as previously estimated, thereby periodically dragging yields lower. Long positions in European, British, Australian, Canadian, Japanese and U.S. note and bond futures were broadly unprofitable, although these losses were reduced by a significant global bond rally near month end. Meanwhile, trading of short-term U.S., German, Canadian and Australian interest rate futures was fractionally profitable.

Three months ended March 31, 2022

The Trust was profitable in the quarter as gains from trading energy futures, stock index futures and currency forwards outpaced losses from trading metal futures. Elsewhere, trading of interest rate futures and softs futures were marginally positive while trading of agricultural commodity futures was marginally negative.

During the quarter, market prices experienced significant volatility as market participants endeavored to understand the impacts of recent events—including the increasingly hawkish Federal Reserve (the “Fed”) and global central bank monetary policies; the Russia-Ukraine war and accompanying sanctions; and the Chinese growth slowdown, which was exacerbated by recent COVID-19 lockdowns—on individual markets and on growth/inflation outlooks for various regions of the world.

Disciplined supply management from both Organization of the Petroleum Exporting Countries (“OPEC+”) and non-OPEC producers together with oil consumption recovering toward pre-pandemic levels underpinned a rise in Brent crude oil prices from $77/barrel at the end of 2021 to around $90/barrel on January 31 amid concerns that the market may face an oil-market squeeze triggered by too little investment and quickly rebounding demand. Then, as the Russia-Ukraine war erupted, energy prices, represented by Brent crude oil, surge to nearly $130/barrel on March 8 amid fears that Russian energy supplies would be negatively impacted. Russia is among the top three global producers of crude oil and natural gas. Over the last three weeks of the quarter, energy prices were extremely volatile with Brent crude plunging to $98/barrel on March 16 and jumping to $122/barrel on March 24 before closing the month at $108/barrel. The price drop near month-end followed news that the U.S. would release a million barrels per day from the Strategic Petroleum Reserve for up to six months. Overall, long positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were profitable. In addition, periodic short positions in Brent crude, RBOB gasoline and London gas oil posted small gains. On the other hand, a short position in U.S. natural gas was unprofitable and shifted to a long position late in the quarter.

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The Fed and other central banks’ embrace of more hawkish policy stances impacted global financial markets, contributing to increased volatility and significant losses for global equities, despite a modest recovery at quarter-end. China’s growth slowdown and property market distress also weighed on equities, as did Europe’s struggles with high energy prices, supply bottlenecks and personnel shortages. The potential stagflationary impacts of the Russia-Ukraine war also contributed to uncertainty in global equity markets. Overall, short positions in Chinese, Hong Kong, Korean, Singaporean, German, Italian, South African, and the EEM and EAFE index futures were profitable. Trading of the S&P Mid-Cap index, and long positions in Australian and British index futures late in the quarter were also profitable. On the other hand, long positions in most U.S. equity index futures and trading of Dutch, French, and the Euro Stoxx index futures posted partially offsetting losses.

Short vix and Brazilian index futures positions, a long Canadian equity index future position, and trading of the Taiwanese stock index future were also unprofitable.

The U.S. dollar was volatile for most of the quarter, but it spiked about 3% higher during the first week of the Russian invasion of Ukraine and as market participants anticipated a hawkish tilt for the mid-March Federal Open Market Committee meeting. A long U.S. dollar trade versus the Japanese yen was particularly profitable as the Bank of Japan continued to pursue an expansive monetary policy while the Fed was becoming decidedly more restrictive. A long Brazilian real/short dollar trade benefitted from high level of Brazilian interest rates and from rising commodity prices. Given that the war in Ukraine is likely to have a much greater negative impact on Europe than the U.S., a long U.S. dollar position against the Euro was profitable. A short U.S. dollar trade versus the Russian ruble was closed out at a loss during February when the Trust halted trading of the Russian currency. Elsewhere, trading the U.S. dollar against the currencies of Switzerland, Sweden, the U.K. and India; long U.S. dollar trades against the Australian and Canadian currencies; and a short U.S. dollar/ long New Zealand dollar position posted partially offsetting losses.

Led by a seemingly increasingly hawkish Fed, global interest rates increased throughout the quarter as Chairman Powell indicated that the March start to official rate increases and end to Quantitative Easing would be followed shortly thereafter by Quantitate Tightening (“QT”) as the Fed seeks to rein in inflation without derailing strong GDP and employment growth. Following this news, the 10-year U.S. government bond yield, which ended 2021 near 1.50%, soared to nearly 2.50% on March 28 before settling back to about 2.30% at month-end. Concerns that higher rates and QT would slow growth nor safe haven demand deriving from the Russian-Ukraine war kept rates down. On balance, short positions in shorter-term U.S., European, Canadian and Italian interest rate futures were profitable. In addition, short positions in the U.S. ultra-bond future and the 10-year Italian bond future were profitable. On the other hand, trading of Australian, Canadian, French, Japanese and U.S. note futures posted largely offsetting losses.

Geopolitical developments, the Chinese growth slowdown, monetary policy uncertainties and dollar volatility impacted metal markets, which experienced an overall sector loss. Trading of silver, gold, platinum and copper futures produced losses. On the other hand, a long nickel position was profitable as rising demand—especially for EV batteries, and low inventories buoyed prices. Trading of zinc was also slightly profitable.

Finally, turning to soft and agricultural commodities, losses from a short wheat position and from trading soybean oil, sugar and coffee outdistanced the profits from long soybean, soybean meal and cotton positions.

OFF-BALANCE SHEET ARRANGEMENTS

The Trust does not engage in off-balance sheet arrangements with other entities.

CONTRACTUAL OBLIGATIONS

The Trust does not enter into any contractual obligations or commercial commitments to make future payments of a type that would be typical for an operating company or that would affect its liquidity or capital resources. The Trust’s sole business is trading futures, forward currency, spot, option, and swap contracts, both long (contracts to buy) and short (contracts to sell). All such contracts are settled by offset, not delivery. Substantially all such contracts are for settlement within four months of the trade date and substantially all such contracts are held by the Trust for less than four months before being offset or rolled over into new contracts with similar maturities. The Trust’s financial statements present a Condensed Schedule of Investments setting forth net unrealized appreciation (depreciation) of the Trust’s open futures and forward currency contracts, both long and short, at September 30, 2023 and December 31, 2022.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

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ITEM 4. CONTROLS AND PROCEDURES

The Managing Owner, with the participation of its principal executive officers and principal financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures with respect to the Trust as of the end of the period covered by this quarterly report, and, based on their evaluation, have concluded that these disclosure controls and procedures are effective. There were no changes in the

Managing Owner’s internal controls over financial reporting during the quarter ended September 30, 2023 that have materially affected, or are reasonably likely to materially affect, the Managing Owner’s internal controls over financial reporting with respect to the Trust.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS

None.

ITEM 1A. RISK FACTORS

Not required 

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES, USE OF PROCEEDS, AND ISSUER PURCHASES OF EQUITY SECURITIES

(a)There have been no sales of unregistered securities of the Trust during the three months ended September 30, 2023

(b)Pursuant to the Trust Agreement, Unitholders may redeem their Units at the end of each calendar month at then current month-end net asset value per Unit. The redemption of Units has no impact on the value of Units that remain outstanding and Units are not reissued once redeemed.

The following table summarizes the redemptions by Unitholders during the three months ended September 30, 2023.

	Series 1			Series 3			Series 4			Series 5
Date of ‎Redemption	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit	Units Redeemed		NAV per Unit
July 31, 2023	635.252	$	1,121.76	342.789	$	1,832.50	-	$	2,556.50	-	$	1,700.67
August 31, 2023	538.606		1,154.09	110.444		1,891.71	-		2,642.95	-		1,754.51
September 30, 2023	9,793.669		1,249.77	107.608		2,046.03	10.653		2,876.27	9.236		1,898.91
Total	10,967.527			560.841			10.653			9.236

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

ITEM 5. OTHER INFORMATION

None.

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ITEM 6. EXHIBITS

The following exhibits are included herewith:

31.01 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.02 Rule 13(a)-14(a)/15(d)-14(a) Certification of Co-Chief Executive Officer

31.03 Rule 13(a)-14(a)/15(d)-14(a) Certification of Chief Operating Officer

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

32.01 Section 1350 Certification of Co-Chief Executive Officer

32.02 Section 1350 Certification of Co-Chief Executive Officer

32.03 Section 1350 Certification of Chief Operating Officer

32.04 Section 1350 Certification of Chief Financial Officer

101.INS  XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema Document

101.CAL XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF  XBRL Taxonomy Extension Definition Linkbase Document

101.LAB XBRL Taxonomy Extension Label Linkbase Document

101.PRE  XBRL Taxonomy Extension Presentation Linkbase Document

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

By:	Millburn Ridgefield Corporation,
	Managing Owner

Date: November 13, 2023
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

33