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:   March 31, 2024

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
As of and for the three months ended March 31, 2024 and 2023 (unaudited)
Statements of Financial Condition (a)	1
Condensed Schedules of Investments (a)	2
Statements of Operations (b)	6
Statements of Changes in Trust Capital (b)	7
Statements of Financial Highlights (b)	9
Notes to the Financial Statements	10
(a) At March 31, 2024 (unaudited) and December 31, 2023
(b) As of and for the three months ended March 31, 2024 and 2023 (unaudited)

Global Macro Trust
Statements of Financial Condition
		March 31, 2024 (unaudited)		December 31, 2023
ASSETS
EQUITY IN TRADING ACCOUNTS:
Investments in U.S. Treasury notes – at fair value
(amortized cost $14,768,005 and $15,512,210)	$	14,763,893	$	15,507,848
Net unrealized appreciation on open futures and
forward currency contracts		896,886		268,713
Due from brokers, net		2,117,353		1,674,254
Cash denominated in foreign currencies (cost $0
and $820,615)		-		839,582
Total equity in trading accounts		17,778,132		18,290,397
INVESTMENTS IN U.S. TREASURY NOTES – at fair value
(amortized cost $57,924,496 and $56,320,592)		57,911,614		56,377,442
CASH AND CASH EQUIVALENTS		3,668,582		3,315,887
ACCRUED INTEREST RECEIVABLE		502,535		459,476
TOTAL	$	79,860,863	$	78,443,202
LIABILITIES AND TRUST CAPITAL
LIABILITIES:
Net unrealized depreciation on open futures and forward currency contracts	$	128,547	$	1,144,223
Due to Managing Owner		19,241		-
Due to brokers, net		-		3,580
Accrued management fees		158,363		154,448
Accrued installment selling commissions		126,496		122,139
Accrued trade execution and clearing costs		5,131		4,668
Redemptions payable to Unitholders		2,778,035		433,216
Redemption payable to Managing Owner		-		2,741
Accrued expenses		101,641		93,508
Cash overdraft denominated in foreign currencies (cost $242,448 and $300,130)		241,970		306,242
Total liabilities		3,559,424		2,264,765
TRUST CAPITAL:
Managing Owner interest (1,997.006 and 1,966.591 units outstanding)		2,348,100		2,157,842
Series 1 Unitholders (38,763.237 and 42,174.214 units outstanding)		45,578,323		46,275,735
Series 3 Unitholders (6,599.935 and 6,820.101 units outstanding)		13,040,505		12,437,987
Series 4 Unitholders (3,577.117 and 3,889.504 units outstanding)		9,976,067		9,968,358
Series 5 Unitholders (2,936.874 and 3,164.075 units outstanding)		5,358,444		5,338,515
Total trust capital		76,301,439		76,178,437
TOTAL	$	79,860,863	$	78,443,202
NET ASSET VALUE PER UNIT OUTSTANDING:
Series 1 Unitholders	$	1,175.81	$	1,097.25
Series 3 Unitholders	$	1,975.85	$	1,823.72
Series 4 Unitholders	$	2,788.86	$	2,562.89
Series 5 Unitholders	$	1,824.54	$	1,687.23
See notes to financial statements (unaudited)

1

Global Macro Trust
Condensed Schedule of Investments (unaudited)
March 31, 2024
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	%	$	6,815
Energies	0.70			532,362
Grains	0.07			49,662
Interest rates	(0.00)			(1,982)
Livestock	(0.00)			(1,050)
Metals	0.25			193,876
Softs	(0.00)			(3,298)
Stock indices	0.18			134,321
Total long futures contracts	1.21			910,706
Short futures contracts:
Currencies	0.04			33,083
Energies	(0.02)			(13,634)
Grains	0.00			3,256
Interest rates:
2 Year U.S. Treasury Note (298 contracts, settlement date June 2024)	0.07			50,515
Other	(0.22)			(168,310)
Total interest rates	(0.15)			(117,795)
Livestock	0.00			480
Metals	(0.32)			(244,120)
Softs	(0.04)			(30,188)
Stock indices	(0.09)			(67,035)
Total short futures contracts	(0.58)			(435,953)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	0.63			474,753
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	(1.02)			(779,564)
Total short forward currency contracts	1.41			1,073,150
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	0.39			293,586
TOTAL	1.02	%	$	768,339
				(Continued)

2

Global Macro Trust
Condensed Schedule of Investments (unaudited)
March 31, 2024
U.S. TREASURY NOTES
Face Amount		Description	Fair Value ‎as a % of ‎Trust Capital			Fair Value
$	25,621,000	U.S. Treasury notes, 2.500%, 05/15/2024	33.47	%	$	25,532,928
	26,860,000	U.S. Treasury notes, 2.375%, 08/15/2024	34.82			26,570,416
	20,949,000	U.S. Treasury notes, 2.250%, 11/15/2024	26.96			20,572,163
		Total investments in U.S. Treasury notes
		(amortized cost $72,692,501)	95.25	%	$	72,675,507
See notes to financial statements (unaudited)						(Concluded)

‎

3

Global Macro Trust
Condensed Schedule of Investments
December 31, 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)	%	$	(2,207)
Energies	(0.48)			(364,739)
Interest rates	0.54			413,483
Livestock	(0.00)			(2,070)
Metals	0.50			379,266
Softs	(0.01)			(8,606)
Stock indices	0.14			106,930
Total long futures contracts	0.69			522,057
Short futures contracts:
Currencies	(0.04)			(32,532)
Energies	(0.28)			(210,260)
Grains	0.07			56,670
Interest rates	(0.90)			(683,195)
Livestock	0.00			590
Metals	(0.52)			(393,815)
Softs	0.15			113,214
Stock indices	0.08			64,543
Total short futures contracts	(1.44)			(1,084,785)
TOTAL INVESTMENTS IN FUTURES CONTRACTS-Net	(0.75)			(562,728)
FORWARD CURRENCY CONTRACTS
Total long forward currency contracts	2.23			1,698,818
Total short forward currency contracts	(2.64)			(2,011,600)
TOTAL INVESTMENTS IN FORWARD CURRENCY
CONTRACTS-Net	(0.41)			(312,782)
TOTAL	(1.16)	%	$	(875,510)
				(Continued)

4

Global Macro Trust
Condensed Schedule of Investments
December 31, 2023
U.S. TREASURY NOTES
Face Amount		Description	Fair Value ‎as a % of ‎Trust Capital			Fair Value
$	17,655,000	U.S. Treasury notes, 2.750%, 02/15/2024	23.10	%	$	17,599,138
	18,693,000	U.S. Treasury notes, 2.500%, 05/15/2024	24.30			18,511,546
	18,033,000	U.S. Treasury notes, 2.375%, 08/15/2024	23.29			17,738,907
	18,449,000	U.S. Treasury notes, 2.250%, 11/15/2024	23.68			18,035,699
		Total investments in U.S. Treasury notes
		(amortized cost $71,832,802)	94.37	%	$	71,885,290
See notes to financial statements (unaudited)						(Concluded)

5

Global Macro Trust
Statements of Operations (unaudited)
		For the three months ended
		March 31, 2024		March 31, 2023
INVESTMENT INCOME:
Interest income, net	$	997,135	$	877,035
EXPENSES:
Brokerage and management fees:
Management fees		435,474		630,562
Installment selling commissions		420,224		502,082
Trade execution and clearing costs		89,360		108,324
Total brokerage and management fees		945,058		1,240,968
Administrative expenses		113,010		140,687
Custody fees and other expenses		8,384		6,182
Total expenses		1,066,452		1,387,837
Managing Owner commission rebate to Unitholders		(52,183)		(123,002)
Net expenses		1,014,269		1,264,835
NET INVESTMENT LOSS		(17,134)		(387,800)
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on closed positions:
Futures and forward currency contracts		4,321,194		(4,614,274)
Foreign exchange transactions		(14,962)		(67,835)
Net change in unrealized:
Futures and forward currency contracts		1,643,849		(4,253,464)
Foreign exchange translation		(12,377)		36,014
Net gains (losses) from U.S. Treasury notes:
Realized		(2,832)		(74,241)
Net change in unrealized		(69,482)		415,941
TOTAL NET REALIZED AND UNREALIZED GAINS (LOSSES)		5,865,390		(8,557,859)
NET INCOME (LOSS)		5,848,256		(8,945,659)
LESS PROFIT SHARE TO MANAGING OWNER		-		-
NET INCOME (LOSS) AFTER PROFIT SHARE TO MANAGING OWNER	$	5,848,256	$	(8,945,659)
NET INCOME (LOSS) PER UNIT OUTSTANDING
Series 1 Unitholders	$	78.56	$	(107.64)
Series 3 Unitholders	$	152.13	$	(153.46)
Series 4 Unitholders	$	225.97	$	(201.02)
Series 5 Unitholders	$	137.31	$	(146.18)
See notes to financial statements (unaudited)

6

Global Macro Trust
Statements of Changes in Trust Capital (unaudited)
For the three months ended March 31, 2024:
														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, 2024	$	46,275,735	42,174.214	$	12,437,987	6,820.101	$	9,968,358	3,889.504	$	5,338,515	3,164.075	$	-	-	$	2,157,842	1,966.591	$	76,178,437
Subscriptions		-	-		-	-		-	-		-	-		-	-		-	-		-
Redemptions		(4,016,499)	(3,433.081)		(434,308)	(220.166)		(870,412)	(312.387)		(404,035)	(227.201)		-	-		-	-		(5,725,254)
Addt'l units allocated *		-	22.104		-	-		-	-		-	-		-	-		-	30.415		-
Net income
before profit share to Managing Owner		3,319,087	-		1,036,826	-		878,121	-		423,964	-		-	-		190,258	-		5,848,256
Profit share to Managing Owner:		-	-		-	-		-	-		-	-		-	-		-	-		-
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
March 31, 2024	$	45,578,323	38,763.237	$	13,040,505	6,599.935	$	9,976,067	3,577.117	$	5,358,444	2,936.874	$	-	-	$	2,348,100	1,997.006	$	76,301,439
Net asset value per unit outstanding
at March 31, 2024:	$	1,175.81		$	1,975.85		$	2,788.86		$	1,824.54
* 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)

7

Global Macro Trust
Statements of Changes in Trust Capital (unaudited)
For the three months ended March 31, 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		(2,632,507)	(2,279.595)		(1,153,269)	(633.079)		(227,432)	(86.031)		(218,700)	(128.512)		-	-		-	-		(4,231,908)
Transfers		-	-		(49,932)	(25.597)		-	-		49,932	27.461					-	-		-
Addt'l units allocated *		-	55.805		-	-		-	-		-	-		-	-		-	27.251		-
Net loss
before profit share to Managing Owner		(6,078,405)	-		(1,393,050)	-		(799,230)	-		(505,725)	-		-	-		(169,249)	-		(8,945,659)
Profit share to Managing Owner:		-	-		-	-		-	-		-	-		-	-		-	-		-
Transfer of New Profit Memo
Account to Managing Owner		-	-		-	-		-	-		-	-		-	-		-	-		-
Trust capital at
March 31, 2023	$	62,074,175	55,663.537	$	15,358,333	8,545.846	$	9,856,934	3,954.461	$	5,613,244	3,357.092	$	-	-	$	2,098,675	1,881.933	$	95,001,361
Net asset value per unit outstanding
at March 31, 2023:	$	1,115.17		$	1,797.17		$	2,492.61		$	1,672.06
* 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)

8

Global Macro Trust
Statements of Financial Highlights (unaudited)
For the three months ended March 31:	2024									2023
		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)		$           (5.72)		$           10.68		$           26.97		$             6.49			$           (8.65)		$             3.27		$           15.76		$             (0.20)
Net realized and unrealized gains (losses) on trading of futures and forward currency contracts		85.34		143.20		201.49		132.43			(102.90)		(163.01)		(225.41)		(151.84)
Net gains (losses) from U.S. Treasury obligations		(1.06)		(1.75)		(2.49)		(1.61)			3.91		6.28		8.63		5.86
Profit share allocated to Managing Owner		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
Net income (loss) per unit		$           78.56		$         152.13		$         225.97		$         137.31			$       (107.64)		$       (153.46)		$       (201.02)		$         (146.18)
Net asset value per unit, beginning of period		1,097.25		1,823.72		2,562.89		1,687.23			1,222.81		1,950.63		2,693.63		1,818.24
Net asset value per unit, end of period		$      1,175.81		$      1,975.85		$      2,788.86		$      1,824.54			$      1,115.17		$      1,797.17		$      2,492.61		$        1,672.06
Total return and ratios for the three months ended March 31:		2024									2023
		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)		(1.98)	%	2.20	%	3.95	%	1.45	%		(3.00)	%	0.71	%	2.45	%	(0.05)	%
Total expenses (a)		7.00	%	2.81	%	1.06	%	3.57	%		6.47	%	2.76	%	1.01	%	3.51	%
Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL EXPENSES AND PROFIT SHARE ALLOCATION		7.00	%	2.81	%	1.06	%	3.57	%		6.47	%	2.76	%	1.01	%	3.51	%
Total return before profit share allocation (b)		7.16	%	8.34	%	8.82	%	8.14	%		(8.80)	%	(7.87)	%	(7.46)	%	(8.04)	%
Less: Profit share allocation (b)		0.00		0.00		0.00		0.00			0.00		0.00		0.00		0.00
TOTAL RETURN AFTER PROFIT SHARE ALLOCATION		7.16	%	8.34	%	8.82	%	8.14	%		(8.80)	%	(7.87)	%	(7.46)	%	(8.04)	%
(a) Annualized. Ratios are net Managing Owner commission rebate.
(b) Not annualized.
See notes to financial statements (unaudited)

9

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 March 31, 2024 (unaudited) and December 31, 2023 (audited) and the results of its operations for the three months ended March 31, 2024 and 2023 (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, 2023. The December 31, 2023 information has been derived from the audited financial statements as of December 31, 2023.

Effective May 1, 2022, Units in the Trust were no longer offered for sale. For existing investors in the Trust, 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 Trust 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 Trust 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, 2020 to 2023, 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 2023.

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 months ended March 31, 2023. 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

10

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 March 31, 2024 and December 31, 2023 in valuing the Trust’s investments at fair value. During the three and twelve months ended March 31, 2024 and December 31, 2023, the Trust held no assets or liabilities in Level 3. At March 31, 2024 and December 31, 2023, the Trust held no assets or liabilities classified as Level 3.

Financial Assets and Liabilities at Fair Value as of March 31, 2024

		Level 1		Level 2		Total
U.S. Treasury notes (1)	$	72,675,507	$	-	$	72,675,507
Short-term money market fund*		3,418,582		-		3,418,582
Exchange-traded futures contracts
Currencies		39,898		-		39,898
Energies		518,728		-		518,728
Grains		52,918		-		52,918
Interest rates		(119,777)		-		(119,777)
Livestock		(570)		-		(570)
Metals		(50,244)		-		(50,244)
Softs		(33,486)		-		(33,486)
Stock indices		67,286		-		67,286
Total exchange-traded futures contracts		474,753		-		474,753
Over-the-counter forward currency contracts		-		293,586		293,586
Total futures and forward currency contracts (2)		474,753		293,586		768,339
Total financial assets and liabilities at fair value	$	76,568,842	$	293,586	$	76,862,428
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	14,763,893
Investments in U.S. Treasury notes held in custody						57,911,614
Total investments in U.S. Treasury notes					$	72,675,507
(2)
Net unrealized appreciation on open futures and forward currency contracts					$	896,886
Net unrealized depreciation on open futures and forward currency contracts						(128,547)
Total net unrealized appreciation on open futures and forward currency contracts					$	768,339
*The short-term money market fund is included in Cash and Cash Equivalents in the Statements of Financial Condition.

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

		Level 1		Level 2		Total
U.S. Treasury notes (1)	$	71,885,290	$	-	$	71,885,290
Short-term money market fund*		3,065,887		-		3,065,887
Exchange-traded futures contracts
Currencies		(34,739)		-		(34,739)
Energies		(574,999)		-		(574,999)
Grains		56,670		-		56,670
Interest rates		(269,712)		-		(269,712)
Livestock		(1,480)		-		(1,480)
Metals		(14,549)		-		(14,549)
Softs		104,608		-		104,608
Stock indices		171,473		-		171,473
Total exchange-traded futures contracts		(562,728)		-		(562,728)
Over-the-counter forward currency contracts		-		(312,782)		(312,782)
Total futures and forward currency contracts (2)		(562,728)		(312,782)		(875,510)
Total financial assets and liabilities at fair value	$	74,388,449	$	(312,782)	$	74,075,667
Per line item in the Statements of Financial Condition
(1)
Investments in U.S. Treasury notes held in equity trading accounts as collateral					$	15,507,848
Investments in U.S. Treasury notes held in custody						56,377,442
Total investments in U.S. Treasury notes					$	71,885,290
(2)
Net unrealized appreciation on open futures and forward currency contracts					$	268,713
Net unrealized depreciation on open futures and forward currency contracts						(1,144,223)
Total net unrealized depreciation on open futures and forward currency contracts					$	(875,510)
*The short-term money market fund is included in Cash and Cash Equivalents on the Statements of Financial Condition.

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 March 31, 2024, 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.

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

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

Energies – The Trust’s primary energy market exposure is to gas and oil price movements often resulting from political developments in the 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 March 31, 2024 and December 31, 2023. 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 March 31, 2024

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions
Futures contracts:
Currencies	$	6,815	$	-	$	34,158	$	(1,075)	$	39,898
Energies		545,351		(12,989)		5,723		(19,357)		518,728
Grains		54,525		(4,863)		3,316		(60)		52,918
Interest rates		-		(1,982)		269,545		(387,340)		(119,777)
Livestock		1,040		(2,090)		670		(190)		(570)
Metals		264,081		(70,205)		94,966		(339,086)		(50,244)
Softs		5,445		(8,743)		700		(30,888)		(33,486)
Stock indices		177,470		(43,149)		41,515		(108,550)		67,286
Total futures contracts		1,054,727		(144,021)		450,593		(886,546)		474,753
Forward currency contracts		76,920		(856,484)		1,117,245		(44,095)		293,586
Total futures and
forward currency contracts	$	1,131,647	$	(1,000,505)	$	1,567,838	$	(930,641)	$	768,339

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Fair Value of Futures and Forward Currency Contracts at December 31, 2023

										Net Unrealized
		Fair Value - Long Positions				Fair Value - Short Positions				Gain (Loss) on
Sector		Gains		Losses		Gains		Losses		Open Positions
Futures contracts:
Currencies	$	5,413	$	(7,620)	$	3,145	$	(35,677)	$	(34,739)
Energies		-		(364,739)		39,651		(249,911)		(574,999)
Grains		-		-		108,658		(51,988)		56,670
Interest rates		462,107		(48,624)		57,157		(740,352)		(269,712)
Livestock		-		(2,070)		590		-		(1,480)
Metals		425,602		(46,336)		44,301		(438,116)		(14,549)
Softs				(8,606)		116,155		(2,941)		104,608
Stock indices		140,173		(33,243)		72,945		(8,402)		171,473
Total futures contracts		1,033,295		(511,238)		442,602		(1,527,387)		(562,728)
Forward currency contracts		1,772,495		(73,677)		75,859		(2,087,459)		(312,782)
Total futures and
forward currency contracts	$	2,805,790	$	(584,915)	$	518,461	$	(3,614,846)	$	(875,510)

The effect of trading futures and forward currency contracts is represented on the Statements of Operations for the three months ended March 31, 2024 and 2023 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 months ended March 31, 2024 and 2023

		Three months ended:		Three months ended:
Sector		March 31, 2024		March 31, 2023
Futures contracts:
Currencies	$	226,670	$	143,323
Energies		2,196,561		(2,445,027)
Grains		430,371		(170,468)
Interest rates		3,044,824		(6,517,014)
Livestock		(9,200)		3,250
Metals		(364,294)		230,506
Softs		(442,891)		(133,108)
Stock indices		64,764		54,814
Total futures contracts		5,146,805		(8,833,724)
Forward currency contracts		818,238		(34,014)
Total futures and forward currency contracts	$	5,965,043	$	(8,867,738)

The following table presents average notional value by sector in U.S. dollars of open futures and forward currency contracts for the three months ended March 31, 2024 and 2023. The Trust’s average net asset value for the three months ended March 31, 2024 and 2023 was approximately $79,000,000 and $101,000,000, respectively.

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Average notional value by sector of futures and forward currency contracts for the three months ended March 31, 2024 and 2023

		2024				2023
Sector		Long Positions		Short Positions		Long Positions		Short Positions
Futures contracts:
Currencies	$	1,699,414	$	5,177,191	$	3,066,669	$	700,235
Energies		13,256,979		3,393,542		18,417,443		1,652,589
Grains		1,248,963		4,120,680		6,219,861		647,600
Interest rates		24,686,563		97,350,959		20,219,140		115,173,971
Livestock		171,390		202,550		277,180		146,600
Metals		2,913,279		4,148,759		1,426,082		1,812,704
Softs		571,944		1,032,438		1,342,566		1,948,631
Stock indices		28,427,613		10,892,631		32,881,271		25,358,520
Total futures
contracts		72,976,145		126,318,750		83,850,212		147,440,850
Forward currency
contracts		19,132,479		21,281,515		46,612,992		8,512,003
Total average
notional	$	92,108,624	$	147,600,265	$	130,463,204	$	155,952,853

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 March 31, 2024 and 2023. 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 reporting 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 March 31, 2024 and December 31, 2023.

Offsetting of derivative assets and liabilities at March 31, 2024

		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 J	$	352,799	$	(100,828)	$	251,971
Counterparty L		945,403		(594,074)		351,329
Total futures contracts		1,298,202		(694,902)		603,300
Forward currency contracts
Counterparty G		456,685		(260,785)		195,900
Counterparty K		737,480		(639,794)		97,686
Total forward currency contracts		1,194,165		(900,579)		293,586
Total assets	$	2,492,367	$	(1,595,481)	$	896,886
						(Continued)

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		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
Futures contracts
Counterparty C	$	335,665	$	(207,118)	$	128,547
Total liabilities	$	335,665	$	(207,118)	$	128,547
						(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 G	$	195,900	$	-	$	-	$	195,900
Counterparty J		251,971		-		(251,971)		-
Counterparty K		97,686		-		-		97,686
Counterparty L		351,329		-		(351,329)		-
Total	$	896,886	$	-	$	(603,300)	$	293,586
				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 C	$	128,547	$	-	$	(128,547)	$	-
Total	$	128,547	$	-	$	(128,547)	$	-
(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 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 March 31, 2024.

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Offsetting of derivative assets and liabilities at December 31, 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 J	$	433,946	$	(165,233)	$	268,713
Total assets	$	433,946	$	(165,233)	$	268,713
		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
Futures contracts
Counterparty C	$	602,734	$	(319,515)	$	283,219
Counterparty L		1,270,658		(722,436)		548,222
Total futures contracts		1,873,392		(1,041,951)		831,441
Forward currency contracts
Counterparty G		895,463		(744,009)		151,454
Counterparty K		1,265,673		(1,104,345)		161,328
Total forward currency contracts		2,161,136		(1,848,354)		312,782
Total liabilities	$	4,034,528	$	(2,890,305)	$	1,144,223

‎

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				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 J	$	268,713	$	-	$	(268,713)	$	-
Total	$	268,713	$	-	$	(268,713)	$	-
				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 C	$	283,219	$	-	$	(283,219)	$	-
Counterparty G		151,454		-		(151,454)		-
Counterparty K		161,328		-		(161,328)		-
Counterparty L		548,222		-		(548,222)		-
Total	$	1,144,223	$	-	$	(1,144,223)	$	-
(1) Collateral received includes trades made on exchanges. These trades are subject to central counterparty clearing where settlement is
guaranteed by the exchange.
(2) Collateral disclosed is limited to an amount not to exceed 100% of the net amount of assets presented in the Statements of Financial
Condition for each respective counterparty.
(3) Net amount represents the amount that is subject to loss in the event of a counterparty failure as of December 31, 2023.

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.

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 $4,960,029 and $8,641,436 at March 31, 2024 and December 31, 2023, respectively.

4. PROFIT SHARE

The following table indicates the total profit share earned and accrued during the three months ended March 31, 2024 and 2023. 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”).

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	Three months ended:
	March 31,		March 31,
	2024		2023
Profit share earned	$	-	$	-
Profit share accrued		-		-
Total profit share	$	-	$	-

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 March 31, 2024 and December 31, 2023, the Managing Owner is owed $19,241 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 March 31, 2024 or December 31, 2023.

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 March 31,		Date of first issuance
	2024	2023
Series 1	41,359.594	57,000.406	July 23, 2001
Series 3	6,815.196	9,048.736	September 1, 2009
Series 4	3,854.299	4,010.043	November 1, 2010
Series 5	3,071.146	3,442.856	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 months ended March 31, 2024 and 2023, 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 March 31,
	2024	2023
Brokerage fee rebates	$                 52,183	$               123,002

8. SUBSEQUENT EVENTS

The Managing Owner has performed its evaluation of subsequent events from April 1, 2024 to May 14, 2024, 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.

‎

20

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 months ended March 31, 2024, 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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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.

Period ended March 31, 2024
Month Ended:		Total Trust ‎Capital
March 31, 2024	$	76,301,439
December 31, 2023		76,178,437
		Three months ended
Change in Trust Capital	$	123,002
Percent Change		0.16%

THREE MONTHS ENDED MARCH 31, 2024

The increase in the Trust’s net assets of $123,002 was attributable to net income after profit share of $5,848,256, which were partially offset by redemptions of $5,725,254.

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 March 31, 2024 decreased $195,088 and $11,039 (net of Managing Owner commission rebate to Unitholders), respectively, relative to the corresponding period in 2023 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 March 31, 2024 decreased $18,964 relative to the corresponding period in 2023. The decrease was due mainly to a decrease in the Trust’s net assets during the three months ended March 31, 2024 relative to the corresponding period in 2023.

Administrative expenses for the three months ended March 31, 2024 decreased $27,677 relative to the corresponding period in 2023. The decrease was due mainly to a decrease in professional fees during the three months ended March 31, 2024 relative to the corresponding period in 2023.

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 March 31, 2024 increased $120,100 relative to the corresponding period in 2023. This increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2024.

During the three months ended March 31, 2024, the Trust experienced net realized and unrealized gains of $5,865,390 from its trading operations (including foreign exchange translations and Treasury obligations). Total brokerage and management fees of $945,058, administrative expenses of $113,010, custody fees and other expenses of $8,384. The Trust’s gains achieved from trading operations, in addition to interest income of $997,135, and Managing Owner commission rebate to Unitholders of $52,183 were partially offset by the Trust's expenses, resulting in net income after profit share to the Managing Owner of $5,848,256. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	1.36	%
Energies	2.88	%
Grains	0.58	%
Interest rates	3.91	%
Livestock	0.00	%
Metals	(0.44)	%
Softs	(0.55)	%
Stock indices	0.12	%
Trading gain	7.86	%

22

MANAGEMENT DISCUSSION –2024

Three months ended March 31, 2024

The Trust was profitable during the quarter as gains from trading interest rate futures, energy futures, currency forwards and grain futures outdistanced losses from trading soft commodity and metals futures. Trading of equity futures was nearly flat.

Financial and commodity market prices vacillated during the quarter as market participants reacted to impacts of uncertainty about the timing and pace of expected central bank interest rate cuts, disparate regional growth and inflation outlooks and the influence of developments surrounding the use of artificial intelligence (“AI”).

Interest rates were volatile during the quarter. They rose broadly as developed market central banks, led by the Federal Reserve (“Fed”), pushed back against market expectations of early and official interest rate cuts. Concerns about “sticky” inflation and strong wage data and labor markets seemingly helped support this higher-for-longer interest rate narrative. However, interest rates did ease a bit during March as developed market central banks, following recent meetings, seemed more willing to take longer to return to their target inflation levels than had previously been the case to avoid a hard growth landing. Overall, short positions in medium- and long-term U.S. and German note and bond futures were broadly profitable. A short position in the U.S. short-term interest rate future was also profitable. On the other hand, during January, long positions in British, U.S. and European short-term interest rate futures, and in Italian short-term and long-term interest rate futures, registered partially offsetting losses. A short position in the Japanese government bond future was also slightly unprofitable as the Bank of Japan executed a “dovish” end to its zero-interest rate and yield curve control policies.

Relative strength in U.S. growth, equity markets and interest rate differentials seemingly helped buoy the U.S. dollar. Long U.S. dollar positions versus the Japanese, Swiss, New Zealand, Canadian and Australian currencies were profitable. Elsewhere, a short U.S. dollar trade against the euro in January and trading the U.S. dollar relative to the Brazilian real and Singapore dollar produced partially offsetting losses.

Energy prices rose during the quarter as Middle East tensions, including a drone attack by Iran-backed militants that killed U.S. troops in Jordan and an expansion of Houthi missile strikes in the Red Sea on a Trafigura-operated fuel tanker carrying Russian products, stoked fears of supply disruptions. The continuation of production cuts by Organization of the Petroleum Exporting Countries (“OPEC+”) and Ukrainian attacks on Russian oil refineries also likely contributed to supply worries. On the demand side, stronger-than-expected US economic data and fresh stimulus in China seemed to strengthen the outlook in two of the world’s largest oil consumers. In this environment, long positions in Brent crude, WTI crude, RBOB gasoline, London gasoil and heating oil were profitable. A short carbon emissions trade was also profitable as the recent slowdown in the electric vehicle market weighed on demand for emission credits.

Ample supplies of grain from South America, Russia, Ukraine and the U.S. likely impacted prices and short wheat and soybean positions were profitable, especially early in the quarter. In March, amid reports of destructive rain and hail across crucial grain-producing regions in Argentina supporting soybean prices, a long soybean trade was profitable.

Sugar prices, following a sharp drop late last year, rebounded in January amid concerns about hot weather damaging crops in southeast Asia, particularly in India and New Delhi extended its export ban. A short sugar trade was unprofitable as prices rose. Cocoa prices rallied to an historic high as weather and disease afflicted cocoa trees in the world’s main growing regions in West Africa, raising supply concerns. A short cocoa trade was unprofitable. Trading of coffee and cotton were also slightly unprofitable.

Silver prices were buoyed amid expectations that developed market central banks would embark on an interest rate easing cycle. Indeed, the Swiss National Bank announced a quarter point cut in its official interest rate in March. Consequently, a short silver trade was unprofitable. Trading of gold, platinum and zinc also posted small losses.

Trading of stock index futures was mixed and flat during the quarter. Improving growth, inflation and corporate earnings outlooks in Japan seemingly contributed to strong profits on long Japanese equity index futures positions. A long Spanish IBEX equity futures position and a short Brazilian equity index futures trade were also profitable. On the other hand, in the U.S., where AI optimism, growth and central bank rate cut prospects seemed to support equities, losses on short positions in Russell, MIDCAP 400 and Dow Jones index futures outdistanced profits from trading the NASDAQ index futures. Short positions in European, Singaporean and emerging market equity index futures, a long Korean index futures position, and trading of Australian and Canadian index futures registered offsetting losses too.

23

Period ended March 31, 2023
Month Ended:		Total Trust ‎Capital
March 31, 2023	$	95,001,361
December 31, 2022		108,178,928
		Three months ended
Change in Trust Capital	$	(13,177,567)
Percent Change		(12.18)%

THREE MONTHS ENDED MARCH 31, 2023

The decrease in the Trust’s net assets of $13,177,567 was attributable to net loss of $8,945,659 and redemptions of $4,231,908.

Brokerage and custodial 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 and custodial fees for the three months ended March 31, 2023 decreased $14,269 (net of the Managing Owner commission rebate to Unitholders) relative to the corresponding period in 2022 due to a decrease in the Trust’s net assets attributable to Series 1 Units.

Administrative expenses for the three months ended March 31, 2023 decreased $58,155 relative to the corresponding period in 2022. The decrease was due mainly to a decrease in the Trust’s professional fees accrual during the three months ended March 31, 2023 relative to the corresponding period in 2022.

Management fees are calculated on the net asset value of the Series 3 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 March 31, 2023 decreased $4,991 relative to the corresponding period in 2022 due to a decrease in management fee paying assets.

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 March 31, 2023 increased $811,746 relative to the corresponding period in 2022. The increase was due predominantly to an increase in short-term U.S. Treasury yields during the three months ended March 31, 2023.

During the three months ended March 31, 2023, the Trust experienced net realized and unrealized losses of $8,557,859 from its trading operations (including foreign exchange translations and U.S. Treasury notes). Brokerage fees of $1,130,192, administrative expenses of $140,687, custody fees and other expenses of $6,182 and management fees of $110,776 were incurred. Interest income of $877,035, and Managing Owner commission rebate to Unitholders of $123,002 partially offset the Trust’s expenses, resulting in net loss after profit share to the Managing Owner of $8,945,659. An analysis of the trading gain (loss) by sector is as follows:

Sector	% Gain (Loss) of Trust Capital
Currencies	0.10	%
Energies	(2.38)	%
Grains	(0.14)	%
Interest rates	(6.15)	%
Livestock	0.03	%
Metals	0.25	%
Softs	(0.10)	%
Stock indices	0.12	%
Trading loss	(8.27)	%

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MANAGEMENT DISCUSSION –2023

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.

OFF-BALANCE SHEET ARRANGEMENTS

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

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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 March 31, 2024 and December 31, 2023.

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

Not required.

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 March 31, 2024 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 March 31, 2024.

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 March 31, 2024.

	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
January 31, 2024	435.968	$	1,119.41	6.472	$	1,867.30	0.012	$	2,627.96	106.253	$	1,726.46
February 29, 2024	1,569.505		1,178.65	1.947		1,973.32	103.331		2,781.22	67.200		1,823.34
March 31, 2024	1,427.608		1,175.81	211.747		1,975.85	209.044		2,788.86	53.748		1,824.54
Total	3,433.081			220.166			312.387			227.201

ITEM 3. DEFAULTS UPON SENIOR SECURITIES

None.

ITEM 4. MINE SAFETY DISCLOSURES

Not Applicable.

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ITEM 5. OTHER INFORMATION

During the three months ended March 31, 2024, neither the Managing Owner nor its directors or officers adopted or terminated any Rule 10b5 1 trading arrangement or non-Rule 10b5-1 trading arrangement (as such terms are defined in Item 408 of Regulation S-K of the Securities Act of 1933, as amended).

ITEM 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: May 14, 2024
	/s/ Michael W. Carter
	Michael W. Carter
	Vice-President
	(Principal Accounting Officer)

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