World Monitor Trust III - Series J 10-Q 2010 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

(Mark One)

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarter ended:     March 31, 2010

or

¨ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from     to  

Commission File Number:     000-51651

WORLD MONITOR TRUST III – SERIES J

(Exact name of registrant as specified in its charter)

Delaware	20-2446281
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

900 King Street, Suite 100, Rye Brook, New York	10573
(Address of principal executive offices)	(Zip Code)

(914) 307-7000

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether 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 Registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes  x    No  ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted 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 and post such files).

Yes  ¨    No  ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See definition of “accelerated filer”, “large accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer  ¨	Accelerated filer  ¨
Non-accelerated filer  x	Smaller Reporting Company  ¨

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

Yes  ¨    No  x

WORLD MONITOR TRUST III – SERIES J

INDEX TO QUARTERLY REPORT ON FORM 10-Q

MARCH 31, 2010

		Page
PART I – FINANCIAL INFORMATION		4
Item 1.	Financial Statements	5
	World Monitor Trust III - Series J
	Condensed Statements of Financial Condition as of March 31, 2010 (Unaudited) and December 31, 2009	6
	Condensed Schedules of Investments as of March 31, 2010 (Unaudited) and December 31, 2009	7
	Condensed Statements of Operations (Unaudited) for the Three Months Ended March 31, 2010 and 2009	8
	Condensed Statements of Changes in Unitholders’ Capital (Unaudited) for the Three Months Ended March 31, 2010 and 2009	9
	Notes to Condensed Financial Statements (Unaudited)	10
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	25
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	36
Item 4.	Controls and Procedures	39
PART II – OTHER INFORMATION		39
Item 1.	Legal Proceedings	39
Item 1.A.	Risk Factors	39
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	40
Item 3.	Defaults Upon Senior Securities	40
Item 4.	Reserved
Item 5.	Other Information	40
Item 6.	Exhibits:	40

3

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

[REMAINDER OF PAGE INTENTIONALLY LEFT BLANK;

FINANCIAL STATEMENTS TO FOLLOW]

4

WORLD MONITOR TRUST III – SERIES J

FINANCIAL STATEMENTS

March 31, 2010

5

WORLD MONITOR TRUST III – SERIES J

CONDENSED STATEMENTS OF FINANCIAL CONDITION

March 31, 2010 (Unaudited) and December 31, 2009

	March 31, 2010		December  31, 2009
ASSETS
Cash and cash equivalents (See Note 2)	$	134,366,863	$	127,893,953
Net unrealized gain on open futures contracts		1,814,161		1,378,396
Commodity options owned, at fair value (premiums paid $1,426,789 and $2,111,559 at March 31, 2010 and December 31, 2009, respectively)		1,345,156		2,183,652
Net unrealized gain on open forward contracts		1,048,300		0
Total assets	$	138,574,480	$	131,456,001
LIABILITIES
Accrued expenses payable	$	173,083	$	146,256
Commissions payable		7,837		12,974
Interest payable		159		1,092
Trading advisor management fees payable		223,277		214,539
Trading advisor incentive fees payable		256,855		62,430
Offering costs payable		8,857		12,990
Net unrealized loss on open forward contracts		0		701,135
Commodity options written, at fair value (premiums received $17,250 and $18,100 at March 31, 2010 and December 31, 2009, respectively)		13,500		10,400
Service fees payable		150,922		209,582
Redemptions payable		1,373,718		735,148
Subscriptions received in advance		2,919,930		1,793,322
Total liabilities		5,128,138		3,899,868
UNITHOLDERS’ CAPITAL (Net Asset Value)
Class I Units:
Unitholders’ Units – 962,539.708 and 895,406.461 Units outstanding at March 31, 2010 and December 31, 2009, respectively		117,287,279		111,649,834
Managing Owner’s Units – none and none outstanding at March 31, 2010 and December 31, 2009 respectively
Class II Units:
Unitholders’ Units – 115,496.224 and 111,441.024 Units outstanding at March 31, 2010 and December 31, 2009, respectively		14,805,308		14,529,426
Managing Owner’s Units – 10,560.643 and 10,560.643 Units outstanding at March 31, 2010 and December 31, 2009, respectively		1,353,755		1,376,873
Total unitholders’ capital (Net Asset Value)		133,446,342		127,556,133
Total liabilities and unitholders’ capital	$	138,574,480	$	131,456,001
NET ASSET VALUE PER UNIT
Class I	$	121.85	$	124.69
Class II	$	128.19	$	130.38

See accompanying notes.

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WORLD MONITOR TRUST III – SERIES J

CONDENSED SCHEDULES OF INVESTMENTS

March 31, 2010 (Unaudited) and December 31, 2009

	March 31, 2010					December 31, 2009
	Net Unrealized Gain (Loss) as a % of Unitholders’ Capital		Net as a %  of Unrealized Gain (Loss)			Net Unrealized Gain (Loss) Net Unitholders’ Capital		Net as a %  of Unrealized Gain (Loss)
Futures and Forward Contracts
Futures contracts purchased:
Commodities	(0.15	)%	$	(201,951	)	0.23	%	$	289,625
Currencies	0.04	%		53,445		0.00	%		0
Energy	0.19	%		255,139		0.18	%		228,104
Interest rates	0.13	%		173,022		(0.48	)%		(605,606	)
Metals	3.72	%		4,960,748		4.68	%		5,966,762
Stock indices	0.55	%		736,311		0.50	%		634,115
Net unrealized gain on futures contracts purchased	4.48	%		5,976,714		5.11	%		6,513,000
Futures contracts sold:
Commodities	0.25	%		336,701		(0.07	)%		(90,706	)
Currencies	(0.02	)%		(20,463	)	0.18	%		232,889
Energy	0.41	%		544,710		(0.31	)%		(392,930	)
Interest rates	0.00	%		4,521		0.14	%		179,376
Metals	(3.76	)%		(5,025,882	)	(3.92	)%		(5,002,295	)
Stock indices	0.00	%		(2,140	)	(0.05	)%		(60,938	)
Net unrealized loss on futures contracts sold	(3.12	)%		(4,162,553	)	(4.03	)%		(5,134,604	)
Net unrealized gain on open futures contracts	1.36	%	$	1,814,161		1.08	%	$	1,378,396
Forward currency contracts purchased:
Net unrealized gain on forward contracts purchased	0.45	%	$	597,117		0.03	%	$	35,552
Forward currency contracts sold:
Net unrealized gain (loss) on forward contracts sold	0.34	%		451,183		(0.58	)%		(736,687	)
Net unrealized gain (loss) on open forward contracts	0.79	%	$	1,048,300		(0.55	)%	$	(701,135	)
	Fair Value as a % of Unitholders’ Capital		Fair Value			Fair Value as a % of Unitholders’ Capital		Fair Value
Purchased Options on Futures Contracts
Fair value on options purchased:
Commodities	0.24	%	$	326,406		0.33	%	$	423,237
Energy	0.56	%		736,321		1.36	%		1,738,150
Interest rates	0.00	%		0		0.02	%		22,265
Metals	0.21	%		282,429		0.00	%		0
Total commodity options owned, at fair value (premiums paid $1,426,789 and $2,111,559 at March 31, 2010 and December 31, 2009, respectively)	1.01	%	$	1,345,156		1.71	%	$	2,183,652
Written Options on Futures Contracts
Fair value on options written:
Commodities	0.00	%	$	0		0.00	%	$	(1,120	)
Energy	(0.01	)%		(13,500	)	(0.01	)%		(9,280	)
Total commodity options written, at fair value (premiums received $17,250 and $18,100 at March 31, 2010 and December 31, 2009, respectively)	(0.01	)%	$	(13,500	)	(0.01	)%	$	(10,400	)

See accompanying notes.

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WORLD MONITOR TRUST III – SERIES J

CONDENSED STATEMENTS OF OPERATIONS

For the Three Months Ended March 31, 2010 and 2009

(Unaudited)

	For the Three Months Ended March 31,
	2010			2009
REVENUES
Realized	$	(2,253,236	)	$	(6,387,301	)
Change in unrealized		2,027,524			1,071,032
Interest income		20,465			19,929
Total losses		(205,247	)		(5,296,340	)
EXPENSES
Brokerage commissions		233,713			103,515
Management fees		163,554			155,069
Advisor management fees		650,677			667,607
Advisor incentive fees		256,855			2,324
Service fees – Class I Units (See Note 5)		692,742			543,276
Sales commission		327,108			310,139
Offering costs		20,381			128,413
Operating expenses		166,978			157,849
Total expenses		2,512,008			2,068,192
NET LOSS	$	(2,717,255	)	$	(7,364,532	)
NET LOSS PER WEIGHTED AVERAGE UNITHOLDER AND MANAGING OWNER UNIT
Net loss per weighted average Unitholder and Managing Owner Unit
Class I	$	(2.64	)	$	(7.24	)
Class II	$	(2.08	)	$	(6.81	)
Weighted average number of Units outstanding – Class I		932,611			900,096
Weighted average number of Units outstanding – Class II		124,307			124,111

See accompanying notes.

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WORLD MONITOR TRUST III – SERIES J

CONDENSED STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL

For the Three Months Ended March 31, 2010 and 2009

(Unaudited)

	Class I									Class II
	Unitholders					Managing Owner Interests				Unitholders					Managing Owner Interests				Total
	Units		Amount			Units	Amount			Units		Amount			Units	Amount			Units		Amount
Three Months Ended March 31, 2010
Unitholders’ capital at December 31, 2009	895,406.461		$	111,649,834		0.000	$	0		111,441.024		$	14,529,426		10,560.643	$	1,376,873		1,017,408.128		$	127,556,133
Additions	83,158.137			10,038,124		0.000		0		5,721.795			722,600		0.000		0		88,879.932			10,760,724
Redemptions	(16,024.890	)		(1,941,691	)	0.000		0		(1,666.595	)		(211,569	)	0.000		0		(17,691.485	)		(2,153,260	)
Net loss				(2,458,988	)			0					(235,149	)			(23,118	)				(2,717,255	)
Unitholders’ capital at March 31, 2010	962,539.708		$	117,287,279		0.000	$	0		115,496.224		$	14,805,308		10,560.643	$	1,353,755		1,088,596.575		$	133,446,342
Three Months Ended March 31, 2009
Unitholders’ capital at December 31, 2008	893,067.142		$	107,680,197		9,467.578	$	1,141,538		125,313.352		$	15,462,954		1,437.417	$	177,369		1,029,285.489		$	124,462,058
Additions	35,440.864			4,207,634		0.000		0		862.214			105,000		0.000		0		36,303.078			4,312,634
Redemptions	(44,222.424	)		(5,130,135	)	0.000		0		(8,978.088	)		(1,058,663	)	0.000		0		(53,200.512	)		(6,188,798	)
Net loss				(6,451,584	)			(67,614	)				(835,671	)			(9,663	)				(7,364,532	)
Unitholders’ capital at March 31, 2009	884,285.582		$	100,306,112		9,467.578	$	1,073,924		117,197.478		$	13,673,620		1,437.417	$	167,706		1,012,388.055		$	115,221,362

See accompanying notes.

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS

(Unaudited)

Note 1. ORGANIZATION

A. General Description of the Trust

World Monitor Trust III (the “Trust”) is a business trust organized under the laws of Delaware on September 28, 2004. The Trust consisted of four separate and distinct series (“Series”): Series G, H, I and J. Series G, H, I and J commenced trading operations on December 1, 2005. Effective March 31, 2007, Series H and Series I were no longer offered and on April 30, 2007 Series H and Series I were dissolved. Effective December 31, 2007, Series G was no longer offered and was dissolved. Series J will continue to exist unless terminated pursuant to the provisions of Article XIII of the Trust’s Third Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The assets of each Series have been segregated from those of the other Series, separately valued and independently managed, and separate financial statements have been prepared for each Series. Each Series was formed to engage in the speculative trading of a diversified portfolio of futures, forward and options contracts and may, from time to time, engage in cash and spot transactions. The fiscal year end of Series J is December 31.

Effective May 5, 2009, Preferred Investment Solutions Corp. changed its name to Kenmar Preferred Investments Corp. (“Preferred” or the “Managing Owner”). Preferred or Managing Owner refers to either Preferred Investment Solutions Corp. or Kenmar Preferred Investments Corp., depending on the applicable period discussed. As the Managing Owner of the Trust and of each Series, Preferred conducts and manages the business of the Trust and each Series.

Each Series is initially divided into two classes: Class I Units and Class II Units. The Class I and Class II Units are identical except for the applicable service fee charged to each Class.

From January 1, 2008 through June 30, 2009, Series J allocated its assets to three managed accounts separately managed by the following trading advisors: Eagle Trading Systems Inc. (“Eagle”) pursuant to its Momentum Program, Ortus Capital Management Limited (“Ortus”) pursuant to its Major Currency Program, and Graham Capital Management, L.P. (“Graham”) pursuant to its Global Diversified Program at 150% leverage. Effective July 1, 2009, Series J entered into trading agreements with GLC Ltd. (“GLC”) pursuant to both its Behavioral Trend and Directional Programs, Krom River Investment Management (Cayman) Limited (“Krom”) pursuant to its Diversified Program and Crabel Capital Management, LLC (“Crabel”) pursuant to its Two Plus (1.5x) Program (collectively with Eagle, Ortus and Graham, the “Trading Advisors”). Beginning July 1, 2009, Series J allocated approximately one-sixth of its net assets to each Trading Advisor’s managed account (collectively, the “Managed Accounts”), with such allocations to be re-balanced quarterly. Effective March 31, 2010, the Managing Owner terminated the managed account agreement with GLC (See Note 10).

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 1. ORGANIZATION (CONTINUED)

B. Regulation

As a registrant with the Securities and Exchange Commission (“SEC”), the Trust and each Series are subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity pool, the Trust and each Series are subject to the regulations of the Commodity Futures Trading Commission (“CFTC”), an agency of the U.S. government which regulates most aspects of the commodity futures industry; rules of the National Futures Association (“NFA”), an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust through the Trading Vehicles and/or Managed Accounts executes transactions.

C. The Offering

Up to $281,250,000 Series J, Class I and $93,750,000 Series J, Class II Units are being offered (totaling $375,000,000) (“Subscription Maximum”). Units are being offered to investors who meet certain established suitability standards. Prior to November 30, 2008, investments required a minimum aggregate initial subscription of $5,000 and $2,000 for certain Benefit Plan Investors (including IRAs), although the minimum purchase for any single series was $500.

Effective November 30, 2008, the Board of Directors of the Managing Owner of Series J determined that the Units would no longer be publicly offered and would only be available on a private placement basis to “accredited investors” pursuant to Regulation D under the Securities Act of 1933.

For new subscribers, the minimum initial investment is $25,000 ($10,000 for benefit plan investors (including IRAs)). The minimum additional subscription amount for current investors is $5,000.

Initially, the Units for each Series were offered for a period ending November��30, 2005 (“Initial Offering Period”) at $100 per Interest.

The subscription minimum of $30,000,000 for Series J was reached during the Initial Offering Period permitting all Series G, H, I and J to commence trading operations. Series J completed its initial offering on December 1, 2005 with gross proceeds of $31,024,443 which was fully allocated to the Trading Vehicles. Series H and I Units were fully redeemed as of April 30, 2007 and Series G’s Units as of December 31, 2007. Until the Subscription Maximum for Series J is reached, Series J’s Units will continue to be offered on a monthly basis at the then current net asset value per Unit.

D. Exchanges, Redemptions and Termination

Following Series H and I’s liquidations on April 30, 2007 and Series G’s liquidation on December 31, 2007, Series J unitholders are no longer able to effect exchanges from Series J into Series G, H or I.

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 1. ORGANIZATION (CONTINUED)

D. Exchanges, Redemptions and Termination (Continued)

Redemptions from Series J are permitted on a monthly basis. For Class I Units issued from July 1, 2008 through June 1, 2009, Kenmar Securities Inc. is entitled to a redemption charge for Class I Units redeemed prior to the first anniversary of their purchase of up to 2% of the Net Asset Value per Unit at which they were redeemed. Class I Units issued beginning July 1, 2009 will not be subject to a redemption charge. There is no redemption charge associated with the Class II Units.

In the event that the net asset value of a Series, after adjustments for distributions, contributions and redemptions, declines by 50% or more since the commencement of trading activities or the first day of a fiscal year, the Series will automatically terminate. Should the Managing Owner make a determination that Series J’s aggregate net assets in relation to its operating expenses make it unreasonable or imprudent to continue the business of Series J, or, in the exercise of its reasonable discretion, if the aggregate net asset value of Series J as of the close of business on any business day declines below $10 million, the Managing Owner may dissolve Series J. In addition, in the event that the net asset value of the allocated assets, after adjustments for distributions, contributions and redemptions, for the Managed Accounts traded by any of the Trading Advisors declines by 40% or more since the commencement of trading activities or the first day of a fiscal year, that Managed Account will automatically terminate.

E. Foreign Currency Transactions

Series J’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the condensed statements of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in operations currently under the caption realized in the condensed statements of operations.

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. Basis of Accounting

The condensed statements of financial condition, including the condensed schedule of investments, as of March 31, 2010, the condensed statements of operations for the three months ended March 31, 2010 (“First Quarter 2010”) and for the three months ended March 31, 2009 (“First Quarter 2009”) and the condensed statements of changes in trust capital for the First Quarter 2010 and First Quarter 2009 are unaudited. In the opinion of the Managing Owner, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial position of Series J as of March 31, 2010 and the results of its operations for the First Quarter 2010 and First Quarter 2009. The operating results for these interim periods may not be indicative of the results expected for a full year.

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

A. Basis of Accounting (Continued)

The financial statements of Series J are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). Such principles require the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.

Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with accounting principles generally accepted in the United States of America (“US”) have been omitted. It is suggested that these financial statements be read in conjunction with the financial statements and notes thereto included in Series J’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009.

Commodity futures, options and foreign exchange forward contracts are reflected in the accompanying financial statements on the trade date basis. Net unrealized gain or loss on open contracts (the difference between contract trade price and market price) are offset when reflected in the condensed financial statements since the contracts are executed with the same counter party under a master netting arrangement. The market value of futures (exchange-traded) contracts is based upon the closing quotation on the various futures exchanges on which the contract is traded. The values which will be used by Series J for open forward and option positions will be provided by its administrator, who obtains market quotes from data vendors and third parties. Any change in net unrealized gain or loss during the current period is reported in the condensed statements of operations. Realized gains and losses on transactions are recognized in the period in which the contracts are closed. Brokerage commissions include other trading fees and are charged to expense when incurred.

The weighted average number of Units outstanding was computed for purposes of disclosing net income per weighted average Unit. The weighted average number of Units is equal to the number of Units outstanding during the period, adjusted proportionately for Units subscribed and redeemed based on their respective time outstanding during the period.

Series J has elected not to provide a Statement of Cash Flows since substantially all of Series J’s investments are highly liquid and carried at fair value, Series J has little or no debt and a condensed statements of changes in unitholders’ capital is provided.

Consistent with standard business practices in the normal course of business, Series J has provided general indemnifications to the Managing Owner, and others when they act, in good faith, in the best interests of Series J. Series J is unable to develop an estimate of the maximum potential amount of future payments that could potentially result from any hypothetical future claim, but expects the risk of having to make any payments under these general business indemnifications to be remote.

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

A. Basis of Accounting (Continued)

Series J accounts for financial assets and liabilities using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels: quoted market prices in active markets for identical assets and liabilities (Level 1), inputs other than quoted market prices that are observable for the asset or liability, either directly or indirectly (Level 2), and unobservable inputs for the asset or liability (Level 3).

Series J considers prices for exchange traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps and certain options contracts for which market quotations are not readily available are priced by Super Derivatives, Bloomberg, Reuters, and or other third party data vendors or pricing services who derive fair values for those assets from observable inputs (Level 2). There are no Level 3 investments on March 31, 2010 or December 31, 2009.

The following table summarizes the assets and liabilities measured at fair value using the fair value hierarchy:

March 31, 2010	Level 1		Level 2			Level 3		Total
Assets:
Net unrealized gain on open futures contracts	$	1,814,161	$			$	0	$	1,814,161
Net unrealized gain on open forward contracts	$	0	$	1,048,300		$	0	$	1,048,300
Commodity options owned, at fair value	$	0	$	1,345,156		$	0	$	1,345,156
Liabilities:
Commodity options written, at fair value	$	0	$	(13,500	)	$	0	$	(13,500	)
December 31, 2009	Level 1		Level 2			Level 3		Total
Assets:
Net unrealized gain on open futures contracts	$	1,378,396	$	0		$	0	$	1,378,396
Commodity options owned, at fair value	$	0	$	2,183,652		$	0	$	2,183,652
Liabilities:
Net unrealized loss on open forward contracts	$	0	$	(701,135	)	$	0	$	(701,135	)
Commodity options written, at fair value	$	0	$	(10,400	)	$	0	$	(10,400	)

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WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

B. Recent Accounting Pronouncements

During January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update (ASU) to improve disclosure about fair value measurements, requiring new disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). Existing disclosure requirements were clarified relating to the levels of disaggregation for fair value measurements and inputs and valuation techniques used to measure fair value. The guidance in the ASU is effective for Series J beginning January 1, 2010 except for the disclosures about purchases, sales, issuances and settlements in the roll forward of activity in Level 3 fair value measurements, which will be effective for Series J beginning January 1, 2011. Series J’s adoption of the guidance and its impact on the financial statements and disclosures was immaterial.

C. Cash and Cash Equivalents

Cash represents amounts deposited with clearing brokers and a bank, a portion of which is restricted for purposes of meeting margin requirements, which typically range from 0% to 35% of the notional amounts of the derivatives traded. As of March 31, 2010 and December 31, 2009, restricted cash totaled $5,723,679 and $9,367,166, respectively. Series J receives interest on all cash balances held by the clearing brokers and bank at prevailing rates.

D. Income Taxes

Series J is treated as a partnership for Federal income tax purposes. As such, Series J is not required to provide for, or pay, any Federal or state income taxes. Income tax attributes that arise from its operations are passed directly to the individual Unitholders including the Managing Owner. Series J may be subject to other state and local taxes in jurisdictions in which it operates.

Series J recognizes tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions are “more likely than not” to be sustained assuming examination by tax authorities. The Managing Owner has reviewed Series J’s tax positions for all open years (after December 31, 2006) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. Series J has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2006 through 2009 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

E. Profit and Loss Allocations and Distributions

Income and expenses (excluding the service fee and upfront sales commissions further discussed in Note 5) are allocated pro rata to the Class I Units and Class II Units monthly based on the units outstanding during the month. Class I Units are charged with the service fee and upfront sales commission applicable to such units. Distributions (other than redemptions of units) may be made at the sole discretion of the Managing Owner on a pro rata basis in accordance with the respective capital balances of the Unitholders. The Managing Owner has not and does not presently intend to make any distributions.

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15

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

F. Organization and Offering Costs

In accordance with the Trust’s Agreement and Prospectus, organization and initial offering costs were paid by the Managing Owner, subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months of Series J’s operations, provided that the Managing Owner shall not be entitled to reimbursement for such expenses in an aggregated amount in excess of 2.5% of the aggregate amount of all subscriptions accepted by Series J during the initial offering period and the first 36 months of Series J’s operations (the “Continuous Offering Period”).

In addition, Series J shall not reimburse the Managing Owner for organization and offering expenses (both initial and ongoing) in excess of 0.50% per annum of Series J’s net asset value. Organization and initial offering costs (exclusive of the initial selling fee), totaling $1,454,441 for all Series of the Trust were paid by the Managing Owner. Series J’s allocable portion of such costs was $1,304,181 of which $1,120,668 was reimbursed by Series J to the Managing Owner through March 31, 2010.

The Managing Owner is also responsible for the payment of all offering expenses of Series J incurred after the Initial Offering Period (“ongoing offering costs”), provided that the amount of such ongoing offering costs paid by the Managing Owner are subject to reimbursement by the Trust, without interest, in up to 36 monthly payments during each of the first 36 months following the month in which such expenses were paid by the Managing Owner. Through March 31, 2010, the Managing Owner has paid $1,811,724 in ongoing offering costs, of which $1,754,562 has been allocated to Series J. Ongoing offering costs incurred through November 30, 2006 in the amount of $599,062 will not be reimbursed to the Managing Owner. For the period December 1, 2006 through March 31, 2010, the Managing Owner incurred and Series J was allocated ongoing offering costs in the amount of $1,175,105 and $1,155,499, respectively. Of the $1,155,499, allocated to Series J, $635,144 will not be reimbursable to the Managing Owner.

Series J will only be liable for payment of ongoing offering costs on a monthly basis. If a Series terminates prior to completion of payment of such amounts to the Managing Owner, the Managing Owner will not be entitled to any additional payments, and Series J will have no further obligation to the Managing Owner.

During the First Quarter March 31, 2010 and First Quarter 2009, Series J’s allocable portion of organization and initial and ongoing offering costs did not exceed 0.50% per annum of the Net Asset Value of Series J.

For the three months ended March 31, 2008 and for the year ended December 31, 2007, Series J charged the amount reimbursable to Preferred for organizational and initial offering costs as a charge against capital monthly based upon the limitation noted above. Moreover, because Series J did not reimburse Preferred for ongoing offering costs, ongoing offering costs were neither charged against capital nor against expense. Generally accepted accounting principles provide that (a) organization

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16

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)

F. Organization and Offering Costs (continued)

costs should have been expensed as incurred and a liability for their reimbursement recorded, (b) a liability and deferred asset should have been recorded on December 1, 2005 (date of commencement of investment operations) for the amount of initial offering costs estimated to be reimbursed to Preferred, (c) such deferred asset should have been amortized to expense over a twelve month period (from the date of commencement of investment operations through November 30, 2006) on a straight line basis, (d) such estimated liability should have been reviewed and adjusted on a periodic basis through the end of the repayment period for initial offering costs which ends on November 30, 2008, (e) the liability should have been reduced as Series J reimbursed Preferred for initial offering costs and (f) ongoing offering costs should have been expensed and recorded as a liability as incurred.

Series J has evaluated the difference in accounting methods and concluded that the impact was not material to Series J’s financial statements. Effective April 1, 2008, Series J recorded a liability and expense for the remaining initial costs expected to be reimbursed and expensed any additional ongoing costs as incurred in the statement of operations and recorded a corresponding liability in the statement of financial condition.

At March 31, 2010, of the $8,857 of offering cost payable listed on the condensed statements of financial condition, $0 is initial offering costs and $8,857 represents ongoing offering cost.

G. Interest Income

Interest income is recorded on an accrual basis.

Note 3. RELATED PARTIES

Series J reimburses the Managing Owner for services it performs for Series J, which include, but are not limited to: management, legal, accounting, registrar, transfer and assignment functions, investor communications, printing, and other administrative services.

The expenses incurred by Series J for services performed by the Managing Owner for Series J were:

	First Quarter 2010		First Quarter 2009
Management	$	163,554	$	155,069
Operating Expenses		53,386		24,945
Total	$	216,940	$	180,014

Expenses payable to the Managing Owner and its affiliates as of March 31, 2010 and December 31, 2009 were $31,500 and $36,271, respectively. Such amounts are included in accrued expenses payable on the condensed statements of financial condition.

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17

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 4. MANAGING OWNER

As of March 31, 2010, the Managing Owner and or its affiliates have purchased and maintained an interest in Series J in an amount not less than 1% of the net asset value of Series J. The Managing Owner is not required under the terms of the amended and restated Trust agreement to maintain a 1% interest.

The Managing Owner is paid a monthly management fee of 1/12 of 0.5% (0.5% annually) of Series J’s net asset value at the beginning of the month.

Note 5. SERVICE FEES AND SALES COMMISSIONS

Through June 30, 2009, Series J paid a service fee with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Unit of the outstanding Class I Units as of the beginning of the month. The service fee was paid directly by Series J to Kenmar Securities Inc. (“Selling Agent”), an affiliate of the Managing Owner. The Selling Agent was responsible for paying all commissions owing to the correspondent selling agents, who were entitled to receive from the Selling Agent an initial commission equal to 2% of the initial Net Asset Value per Unit of each Class I Unit sold by them, payable on the date such Class I Units are purchased. Commencing with the 13^th month after the purchase of a Class I Unit, the correspondent selling agent received an ongoing monthly commission equal to 1/12^th of 2% (2% per annum) of the Net Asset Value per Class I Unit as of the beginning of each month of the Class I Units sold by them. Beginning July 1, 2009, Series J (rather than the Selling Agent) pays its service fee on Class I Units directly to the correspondent selling agents.

Class II Unitholders are not assessed service fees.

Starting July 1, 2009, Service fee – Class I Units disclosed on the statements of operations represents the monthly 1/12 of 2% service fee calculated on all Class I Units, the initial upfront sales commission of 2% and a deduction for Series J’s recapture of the 1/12 of 2% service fee on all Units owned for less than 12 months that have received the 2% upfront sales commission, and a recapture of the service fee on Units held with no Correspondent Selling Agent (“CSA”).

For the First Quarter 2010, the Service Fee – Class I Units is composed of the following:

	First Quarter 2010
Monthly 1/12 of 2% service fee calculated on all Class I Units	$	574,383
Initial upfront 2% sales commission		210,033
Series J’s recapture of 1/12 of 2% service fee on select Units and recapture of the service fee on Units held with no CSA		(91,674	)
Total	$	692,742

Series J will also pay the Selling Agent a monthly sales commission equal to 1/12^th of 1% (1% annually) of the Net Asset Value of the outstanding units as of the beginning of each month.

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18

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 6. TRUSTEE

The trustee of the Trust is Wilmington Trust Company, a Delaware banking corporation. The trustee has delegated to the Managing Owner the power and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.

Note 7. COSTS, FEES AND EXPENSES

A. Operating Expenses

Operating expenses of Series J are paid for by Series J.

B. Management and Incentive Fees

Series J pays Ortus, Eagle, Graham, GLC, Krom and Crabel monthly management fees at the annual rate of 2.0%, 2.0%, 2.5%, 2.0%, 2.0% and 1.0%, respectively, of their Managed Accounts’ allocated assets as defined in their respective Advisory Agreements. Additionally, Series J pays Ortus, Eagle, Graham, GLC, Krom and Crabel an incentive fee accrued monthly and paid quarterly of 20%, 20%, 20%, 20%, 20% and 25%, respectively, for achieving “New High Net Trading Profits” in their specific Managed Accounts as defined in their respective Advisory Agreements. For the First Quarter 2010 and 2009, incentive fees earned by the Trading Advisors were $256,855 and $2,324, respectively, of which $256,855 remains payable by Series J at March 31, 2010.

Note 8. MARKET AND CREDIT RISK

The fair value of Series J’s derivatives by instrument type, as well as the location of those instruments on the statement of financial condition as of December 31, 2009, are included in the condensed schedule of investments, all of which are deemed derivatives not designated as hedging instruments under ASC Topic 815, “Derivatives and Hedging.”

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19

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 8. MARKET AND CREDIT RISK (CONTINUED)

The trading revenue of Series J’s derivatives by instrument type, as well as the location of those gains and losses on the statement of operations, for the First Quarter 2010 and 2009 is as follows:

	Trading Revenue for			Trading Revenue for
Type of Instrument	the First Quarter 2010			the First Quarter 2009
Commodities Contracts	$	(522,051	)	$	(1,667,830	)
Currencies Contracts		368,574			(1,540,890	)
Energy Contracts		254,019			728,197
Interest Rate Contracts		279,087			(360,498	)
Metals Contracts		(760,056	)		(710,355	)
Stock Indices Contracts		(1,250,918	)		(1,168,215	)
Forward Currency Contracts		1,769,394			(596,678	)
Purchased Options on Futures Contracts		(468,451	)		0
Written Options on Futures Contracts		104,690			0
Total	$	(225,712	)	$	(5,316,269	)
Line item in Condensed Statements of Operations
Realized	$	(2,253,236	)	$	(6,387,301	)
Change in unrealized		2,027,524			1,071,032
Total	$	(225,712	)	$	(5,316,269	)

Series J’s investments in Managed Accounts are subject to the market and credit risks of the futures contracts, options on futures contracts, forward currency contracts and other financial instruments held or sold short by them. Series J bears the risk of loss only to the extent of the market value of its investment and, in certain specific circumstances, distributions and redemptions received.

Series J has cash on deposit with financial institutions and in broker trading accounts. In the event of a financial institution’s insolvency, recovery of cash on deposit may be limited to account insurance or other protection afforded such deposits.

Series J is exposed to various types of risks associated with the derivative instruments and related markets in which it directly invests through its Managed Accounts. These risks include, but are not limited to, risk of loss from fluctuations in the value of derivative instruments held (market risk) and the inability of counterparties to perform under the terms of Series J’s investment activities (credit risk).

The Managing Owner has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. The Unitholders bear the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

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20

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 8. MARKET AND CREDIT RISK (CONTINUED)

Market Risk

Trading in futures and forward contracts (including foreign exchange) involves entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The gross or face amount of the contracts, which is typically many times that of Series J’s net assets being traded, significantly exceeds Series J’s future cash requirements since Series J intends to close out its open positions prior to settlement. As a result, Series J is generally subject only to the risk of loss arising from the change in the value of the contracts. As such, Series J considers the fair value of its derivative instruments to be the net unrealized gain or loss on the contracts. The market risk associated with Series J’s commitments to purchase commodities is limited to the gross or face amount of the contracts held. However, when Series J enters into a contractual commitment to sell commodities, it must make delivery of the underlying commodity at the contract price and then repurchase the contracts at prevailing market prices or settle in cash. Since the repurchase price to which a commodity can rise is unlimited, entering into commitments to sell commodities exposes Series J to unlimited risk. In addition, as both a buyer and seller of options, Series J pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose Series J to potentially unlimited liability, and purchased options expose Series J to a risk of loss limited to the premiums paid.

Market risk is influenced by a wide variety of factors, including government programs and policies, political and economic events, the level and volatility of interest rates, foreign currency exchange rates, the diversification effect among the derivative instruments Series J holds and the liquidity and inherent volatility of the markets in which Series J trades.

Credit Risk

When entering into futures or forward contracts, Series J is exposed to credit risk that the counterparty to the contract will not meet its obligations. The counterparty for futures contracts traded on United States and most foreign futures exchanges is the clearinghouse associated with the particular exchange. In general, clearinghouses are backed by their corporate members who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members (i.e., some foreign exchanges), it is normally backed by a consortium of banks or other financial institutions. On the other hand, there is concentration risk on forward transactions entered into by Series J, as Series J’s clearing broker is the sole counterparty.

Series J has entered into master netting agreements with its clearing brokers and, as a result, when applicable, presents unrealized gains and losses on open forward positions as a net amount in the statements of financial condition. The amount at risk associated with counterparty non-performance of all of Series J’s contracts is the net unrealized gain (loss) included in the condensed statements of financial condition; however, counterparty non-performance on only certain of Series J’s contracts may result in greater loss than non-performance on all of Series J’s contracts. There can be no assurance that any counterparty, clearing member or clearinghouse will meet its obligations to Series J.

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21

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 8. MARKET AND CREDIT RISK (CONTINUED)

The Managing Owner attempts to minimize both credit and market risks by requiring Series J and its Trading Advisors to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies, which include, but are not limited to, executing and clearing all trades with creditworthy counterparties; limiting the amount of margin or premium required for any one commodity or all commodities combined; and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and liquidating of positions.

Series J’s futures commission merchants, in accepting orders for the purchase or sale of domestic futures contracts, are required by CFTC regulations to separately account for and segregate as belonging to Series J all assets of Series J relating to domestic futures trading and are not allowed to commingle such assets with its other assets.

At March 31, 2010 and December 31, 2009, such segregated assets totaled $18,253,926 and $20,316,765, respectively, which are included in cash and cash equivalents on the condensed statements of financial condition. Part 30.7 of the CFTC regulations also requires Series J’s futures commission merchants to secure assets of Series J related to foreign futures trading, which totaled $3,411,089 and $3,135,943 at March 31, 2010 and December 31, 2009, respectively. There are no segregation requirements for assets related to forward trading.

As of March 31, 2010, all of Series J’s open futures contracts mature within twenty-seven months.

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22

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 9. FINANCIAL HIGHLIGHTS

The following information presents per Unit operating performance data and other supplemental financial data for the First Quarter 2010 and 2009. This information has been derived from information presented in the financial statements.

	Class I						Class II
	First Quarter						First Quarter
	2010			2009			2010			2009
Per Unit Performance (for a Unit outstanding throughout the entire period)
Net asset value per Unit at beginning of period	$	124.69		$	120.57		$	130.38		$	123.39
Income loss from operations:
Net realized and change in unrealized loss(1)		(0.40	)		(5.07	)		(0.42	)		(5.20	)
Interest income(1)		0.02			0.02			0.02			0.01
Expenses(1)		(2.46	)		(2.09	)		(1.79	)		(1.53	)
Total loss from operations		(2.84	)		(7.14	)		(2.19	)		(6.72	)
Net asset value per Unit at end of period	$	121.85		$	113.43		$	128.19		$	116.67
Total Return(4)
Total return before incentive fees		(2.08	)%		(5.92	)%		(1.49	)%		(5.45	)%
Incentive fee		(0.20	)%		0.00	%		(0.19	)%		0.00	%
Total return after incentive fees		(2.28	)%		(5.92	)%		(1.68	)%		(5.45	)%
Supplemental Data
Ratios to average net asset value:
Net investment loss before incentive fees(2),(3)		(7.22	)%		(7.02	)%		(4.75	)%		(5.00	)%
Incentive fee(4)		(0.20	)%		0.00	%		(0.20	)%		0.00	%
Net investment loss after incentive fees		(7.42	)%		(7.02	)%		(4.95	)%		(5.00	)%
Interest income(3)		0.06	%		0.07	%		0.05	%		0.05	%
Incentive fees(4)		0.20	%		0.00	%		0.20	%		0.00	%
Other expenses(3)		7.28	%		7.09	%		4.80	%		5.05	%
Total expenses		7.48	%		7.09	%		5.00	%		5.05	%

Total returns are calculated based on the change in value of a Unit during the period. An individual unitholders’ total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

⁽¹⁾ Interest income per Unit, expenses per Unit and offering costs per Unit are calculated by dividing interest income, expenses and offering costs applicable to each class by the weighted average number of Units of each class outstanding during the period. Net realized and change in unrealized loss is a balancing amount necessary to reconcile the change in net asset value per Unit of each class with the other per Unit information.

⁽²⁾ Represents interest income less total expenses (exclusive of incentive fees).

⁽³⁾ Annualized.

⁽⁴⁾ Not annualized.

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23

WORLD MONITOR TRUST III – SERIES J

NOTES TO CONDENSED FINANCIAL STATEMENTS (CONTINUED)

(Unaudited)

Note 10. SUBSEQUENT EVENTS

From April 1, 2010 through May 14, 2010, there were subscriptions and redemptions of $2,762,523 and $1,337,591, respectively.

Effective April 1, 2010, Series J entered into trading advisory agreements with Tudor Investment Corporation (“Tudor”) (pursuant to its Tudor Mercis Program), and Paskewitz Asset Management, LLC (“Paskewitz”) (pursuant to its Contrarian Stock Index Program) (collectively, the “New Trading Advisors”).

As a result of adding these New Trading Advisors, Series J will allocate approximately one seventh of its net assets to each Trading Advisor, including the existing trading advisors, with such allocations to be re-balanced quarterly.

Series J will pay Tudor and Paskewitz monthly management fees at an annual rate 2.0% and 2.0% respectively, of their Managed Accounts’ allocated assets as defined in their respective Advisory Agreements. Additionally, Series J will pay Tudor and Paskewitz an incentive fee accrued monthly and paid quarterly of 20%, and 20%, respectively, for achieving “New High Net Trading Profits” in their specific Managed Accounts as defined in their respective Advisory Agreements

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24

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations

This report on Form 10-Q (the “Report”) for the quarter ending March 31, 2010 (“First Quarter 2010”) includes forward-looking statements that reflect the current expectations of Kenmar Preferred Investments Corp., the managing owner of World Monitor Trust III – Series J (“Registrant”), about the future results, performance, prospects and opportunities of Registrant. The managing owner has tried to identify these forward-looking statements by using words such as “may,” “will,” “expect,” “anticipate,” “believe,” “intend,” “should,” “estimate” or the negative of those terms or similar expressions. These forward-looking statements are based on information currently available to the managing owner and are subject to a number of risks, uncertainties and other factors, both known, such as those described in this Report, and unknown, that could cause Registrant’s actual results, performance, prospects or opportunities to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, the managing owner undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

General

World Monitor Trust III (the “Trust”) was formed as a Delaware Statutory Trust on September 28, 2004, with separate series (each, a “Series”) of units of beneficial interest (“Units” or “Interests”). Its term will expire on December 31, 2054 (unless terminated earlier in certain circumstances). The trustee of the Trust is Wilmington Trust Company. The Trust’s fiscal year for book and tax purposes ends on December 31.

The Trust’s Units were initially offered in four (4) separate and distinct Series: Series G, Series H, Series I, and Series J. The Trust may issue additional Series of Units in the future. Each Series will continue to exist until terminated pursuant to the provisions of Article XIII of the Third Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). Each Series offers Units in two classes (each, a “Class”) – Class I and Class II. Class I Units pay a service fee. Class II Units may only be offered to investors who are represented by approved correspondent selling agents who are directly compensated by the investor for services rendered in connection with an investment in the Trust (such arrangements commonly referred to as “wrap-accounts”).

Series G, H, I and J commenced trading operations on December 1, 2005.

Units are offered as of the beginning of each month, and Units will continue to be offered in each Series until the maximum amount of each Series’ Units which are registered are sold. The managing owner may suspend or terminate the offering of Units of any Series at any time or extend the offering by registering additional Units. The managing owner terminated the offering of Units of Series H and Series I effective March 31, 2007 and dissolved Series H and Series I effective close of business on April 30, 2007. The Managing Owner terminated the offering of Units of Series G on December 31, 2007 and dissolved Series G effective close of business on December 31, 2007.

Managing Owner and its Affiliates

Effective May 5, 2009, Preferred Investment Solutions Corp. changed its name to Kenmar Preferred Investments Corp. (“Preferred” or the “Managing Owner”). Preferred or Managing Owner refers to either Preferred Investment Solutions Corp. or Kenmar Preferred Investments Corp., depending on the applicable period discussed. As the Registrant’s Managing Owner, Preferred conducts and manages the business of the Registrant.

Preferred has been the Managing Owner of Registrant since October 1, 2004. As of March 31, 2010, the Managing Owner and or its affiliates have purchased and maintained an interest in Registrant in an amount not less than 1% of the Net Asset Value of Registrant. The Managing Owner is not required under the terms of the amended and restated Trust agreement to maintain a 1% interest.

25

The Offering

Up to $281,250,000 Registrant, Class I; and $93,750,000 Registrant, Class II of Units are being offered (totaling $375,000,000) (“Subscription Maximum”). Interests are being offered to investors who meet certain established suitability standards. Prior to November 30, 2008, investments required a minimum aggregate initial subscription of $5,000 and $2,000 for certain Benefit Plan Investors (including IRAs), although the minimum purchase for any single series was $500. Effective December 1, 2008, the minimum initial investment for new subscribers is $25,000 ($10,000 for benefit plan investors (including IRAs)) and the minimum additional subscription amount for current investors, who are “accredited investors,” is $5,000.

Effective November 30, 2008, the Board of Directors of the Managing Owner of the Registrant determined that, the Registrant’s units of beneficial interest are no longer to be publicly offered and are only to be available on a private placement basis to “accredited investors” pursuant to Regulation D under the Securities Act of 1933. This change in the manner in which the Registrant’s Units are offered has no material impact to current investors as there is no change in the fees and expenses and redemption terms of the Units or any change in the management and investment strategy and reporting provided to investors of the Registrant. The only change is in the method by which the Registrant’s Units will be available, and the increased suitability standard of persons subscribing for Units. Because the Registrant’s Units are available on a private placement basis, new subscriptions must be made by persons that are “accredited investors” as defined in Regulation D under the Securities Act of 1933. Current investors that are not “accredited investors” are not required to redeem their current Units, but are not able to purchase additional Units.

Initially, the Units for each Series were offered for a period ending November 30, 2005 (“Initial Offering Period”) at $100 per Interest. The subscription minimum of $30,000,000 for Registrant was reached during the Initial Offering Period permitting all of Series G, H, I and J to commence trading operations. Registrant completed its initial offering on December 1, 2005 with gross proceeds of $31,024,443, which was fully allocated to the trading vehicles. Series H and I Units were fully redeemed as of April 30, 2007 and Series G’s Units as of December 31, 2007. Until the Subscription Maximum for Registrant is reached, Registrant’s Units will continue to be offered on a monthly basis at the then current Net Asset Value per Unit.

The Trading Advisors and the Trading Vehicles

Effective December 1, 2005, Registrant contributed its net assets to WMT III Series G/J Trading Vehicle LLC (“G/J Trading Vehicle”), WMT III Series H/J Trading Vehicle LLC (“H/J Trading Vehicle”) and WMT III Series I/J Trading Vehicle LLC (“I/J Trading Vehicle”) and, together with the G/J Trading Vehicle and the H/J Trading Vehicle, the “Trading Vehicles”), Delaware limited liability companies, and received a voting membership interest in each Trading Vehicle. The Trading Vehicles were formed to function as aggregate trading vehicles for its members. Registrant and Series G were the sole members of G/J Trading Vehicle. Registrant, Series H and Futures Strategic Trust were the sole members of H/J Trading Vehicle. Registrant and Series I were the sole members of I/J Trading Vehicle. Kenmar Preferred is the Managing Owner of Registrant and each Series and had been delegated administrative authority over the operations of the Trading Vehicles. The Trading Vehicles engaged in the speculative trading of futures and forward contracts. All references herein to Registrant’s relationship with the Trading Advisors (as defined below) shall, unless the context states otherwise, refer to Registrant’s relationship with the Trading Advisors through the Trading Vehicles. The Trading Vehicles engaged in the speculative trading of futures, forward and option contracts. The financial statements of the Trading Vehicles, including the condensed schedules of investments, are included in Registrant’s annual report on Form 10-K filed with the Securities and Exchange Commission for the year ended December 31, 2009.

Each Trading Vehicle had its own independent commodity trading advisor that made such Trading Vehicle’s trading decisions. Each of G/J Trading Vehicle, H/J Trading Vehicle and I/J Trading Vehicle entered into advisory agreements with Graham Capital Management, LP (“Graham”), Bridgewater Associates, Inc. (“Bridgewater”) and Eagle Trading Systems Inc. (“Eagle”), respectively, (collectively, the “Trading Vehicle Trading Advisors”), to make the trading decisions for each respective Trading Vehicle. Graham traded 100% of the assets of G/J Trading Vehicle pursuant to Graham’s Global Diversified Program at 150% Leverage, which was a technical, systematic, global macro program. Bridgewater traded 100% of the assets of H/J Trading Vehicle pursuant to Bridgewater’s Aggressive Pure Alpha Futures Only – A No Benchmark program, which was a fundamental, systematic, global macro program. Eagle traded 100% of the assets of I/J Trading Vehicle pursuant to Eagle’s Momentum Program, which was a technical, systematic, global macro program. The advisory agreements could have been terminated for various reasons, including at the discretion of the Trading Vehicles. The Trading Vehicles allocated 100% of the proceeds from the initial and continuous offering of Registrant to the Trading Vehicle Trading Advisors.

G/J Trading Vehicle paid Graham a monthly management fee equal to 1/12 of 2.5% (2.5% annually) of such Trading Vehicle’s Net Asset Value. H/J Trading Vehicle paid Bridgewater a monthly management fee equal to 1/12 of 3.0% (3.0% annually) of such Trading Vehicle’s Net Asset Value. I/J Trading Vehicle paid Eagle a monthly management fee equal to 1/12

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of 2.0% (2.0% annually) of such Trading Vehicle’s Net Asset Value. Each Trading Vehicle also paid the Trading Advisors an incentive fee of 20% of “New High Net Trading Profits” (as defined in the applicable Advisory Agreement) generated by such Trading Vehicle. Incentive fees accrued monthly and were paid quarterly in arrears.

Effective May 1, 2007, Registrant withdrew as a member of the H/J Trading Vehicle and the I/J Trading Vehicle and re-allocated the assets to managed accounts in the name of Registrant. The assets that Registrant allocated to the I/J Trading Vehicle were re-allocated to a managed account managed by Eagle pursuant to its Momentum Program. The assets that Registrant withdrew from the H/J Trading Vehicle were re-allocated to a managed account managed by Ortus Capital Management Limited (“Ortus”) pursuant to its Major Currency Program. The H/J Trading Vehicle and I/J Trading Vehicle were dissolved effective as of April 30, 2007.

Effective December 31, 2007, Registrant withdrew as a member of the G/J Trading Vehicle and re-allocated assets to a managed account managed by Graham pursuant to its Global Diversified Program at 150% Leverage. The G/J Trading Vehicle was dissolved effective as of December 31, 2007.

From January 1, 2008 through June 30, 2009, Registrant allocated its assets to the three managed accounts noted above. Effective July 1, 2009, Registrant entered into trading advisory agreements with GLC Ltd. (“GLC”) pursuant to both its Behavioral Trend and Directional Programs, Krom River Investment Management (Cayman) Limited (“Krom”) pursuant to its Diversified Program and Crabel Capital Management, LLC (“Crabel”) pursuant to its Two Plus (1.5x) Program (collectively with Eagle, Ortus and Graham, the “Trading Advisors”). Beginning July 1, 2009, the Registrant allocated approximately one-sixth of its net assets to each Trading Advisor’s managed account (collectively the “Managed Accounts”), with such allocations to be re-balanced quarterly. Effective March 31, 2010, the Managing Owner terminated the managed account agreement with GLC.

Beginning April 1, 2010, the Trust allocated its assets substantially equally to each of Graham (pursuant to its K4D-15 Program), Eagle (pursuant to its Eagle Momentum Program), Ortus (pursuant to its Major Currency Program), Krom (pursuant to its Commodity Diversified Program), Crabel (pursuant to its Two Plus Program), Tudor Investment Corporation (“Tudor”) (pursuant to its Tudor Mercis Program), and Paskewitz Asset Management, LLC (“Paskewitz”) (pursuant to its Contrarian Stock Index Program).

Registrant pays Graham a monthly management fee equal to 1/12 of 2.5% (2.5% annually) of the assets allocated to Graham for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Graham with respect to the assets allocated to it. Registrant pays Eagle a monthly management fee equal to 1/12 of 2.0% (2.0% annually) of the assets allocated to Eagle for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Eagle with respect to the assets allocated to it. Registrant pays Ortus a monthly management fee equal to 1/12 of 2.0% (2.0% annually) of the assets allocated to Ortus for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Ortus with respect to the assets allocated to it. Registrant pays Krom a monthly management fee equal to 1/12 of 2.0% (2.0% annually) of the assets allocated to Krom for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Krom with respect to the assets allocated to it. Registrant pays Crabel a monthly management fee equal to 1/12 of 1.0% (1.0% annually) of the assets allocated to Crabel for trading and an incentive fee of 25% of the “New High Net Trading Profits” achieved by Crabel with respect to the assets allocated to it. Registrant pays Tudor a monthly management fee equal to 1/12 of 2.0% (2.0% annually) of the assets allocated to Tudor for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Tudor with respect to the assets allocated to it. Registrant pays Paskewitz a monthly management fee equal to 1/12 of 2.0% (2.0% annually) of the assets allocated to Paskewitz for trading and an incentive fee of 20% of the “New High Net Trading Profits” achieved by Paskewitz with respect to the assets allocated to it.

Competition

The Managing Owner and its affiliates have formed, and may continue to form, various entities to engage in the speculative trading of futures, forward and options contracts which have certain of the same investment policies as Registrant.

Registrant is an open-end fund, which solicits the sale of additional Limited Interests on a monthly basis until the maximum amount of Limited Interests being offered by Registrant have been sold. As such, Registrant may compete with other entities, whether or not formed by the Managing Owner, to attract new participants. In addition, to the extent that a Trading Advisor recommends similar or identical trades to Registrant and other accounts that it manages, Registrant may compete with those accounts for the execution of the same or similar trades, as well as with other market participants.

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Employees

Registrant has no employees. Management and administrative services for Registrant are performed by the Managing Owner or third parties pursuant to the Trust Agreement, as further discussed in Notes 3, 4, 5, 6 and 9 of Registrant’s financial statements included in its annual report for the year ended December 31, 2009 (“Registrant’s 2009 Annual Report”), which is filed as an exhibit to Registrant’s Form 10-K for the fiscal year ended December 31, 2009.

Critical Accounting Policies

General

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America (“US GAAP”) requires the application of appropriate accounting rules and guidance. Applying these policies requires the Managing Owner to make judgments, estimates and assumptions in connection with the preparation of Registrant’s financial statements. Actual results may differ from the estimates used.

The Managing Owner has evaluated Registrant’s financial statements and related disclosures and has determined that the policies discussed below are critical accounting policies because they involve estimates, judgments and assumptions that are particularly complex, subjective or uncertain. For a further discussion of Registrant’s significant accounting policies, see Note 2 to Registrant’s financial statements for the year ended December 31, 2009, which was included in the annual report on Form 10-K for the fiscal year ended December 31, 2009.

The valuation of Registrant’s investments that are not traded on a United States (“US”) or internationally recognized futures exchange is a critical accounting policy. The market values of futures (exchange traded) contracts is verified by Registrant’s administrator, which obtains valuation data from third party data providers such as Bloomberg, Reuters and Super Derivatives and compares those prices with Registrant’s clearing broker. The market value of currency swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 4 p.m. on the last business day of the reporting period. All values assigned by the administrator and confirmed by the Managing Owner are final and conclusive as to all of Registrant’s Unitholders. As such, if actual results vary from estimates used, they are not anticipated to have a material impact on the financial statements and related disclosures.

Registrant records all investments at fair value in its financial statements, with changes in fair value reported as a component of Trading Profits (Losses) in the Condensed Statements of Operations. Generally, fair values are based on quoted market prices; however, in certain circumstances, significant judgments and estimates are involved in determining fair value in the absence of an active market closing price. Registrant considers prices for exchange traded commodity futures and options contracts to be based on quoted prices in active markets for identical assets (Level 1). The values of forwards, swaps, and certain option contracts for which market quotations are not readily available are priced by Super Derivatives, Bloomberg, Reuters and or other third party data providers who derive fair values for those assets from observable inputs (Level 2). Level 3 inputs reflect Registrant’s assumptions that it believes market participants would use in pricing the asset or liability. Registrant develops Level 3 inputs based on the best information available in the circumstances, which may include indirect correlation to a market value, combinations of market values or Registrant’s proprietary data. Level 3 inputs generally include information derived through extrapolation or interpolation of observable market data. Registrant does not currently have any investments valued using Level 3 inputs.

Of Registrant’s unrealized gains at March 31, 2010, $1,814,161 or 43.25% of the Registrant’s unrealized gains at March 31, 2010 are classified as Level 1 and $2,379,956 or 56.75% as Level 2. Of the Registrant’s unrealized gains at December 31, 2009, $1,378,396 or 48.36 % of the Registrant’s unrealized gains at December 31, 2009 are classified as Level 1 and $1,472,117 or 51.64% as Level 2. There are no Level 3 investments at March 31, 2010 or December 31, 2009.

During January 2010, the Financial Accounting Standards Board issued an Accounting Standards Update (ASU) to improve disclosure about fair value measurements, requiring new disclosures about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). Existing disclosure requirements were clarified relating to the levels of disaggregation for fair value measurements and inputs and valuation techniques used to measure fair value. The guidance in the ASU is effective for Registrant beginning January 1, 2010 except for the disclosures about purchases, sales, issuances and settlements in the roll forward of activity in Level 3 fair value measurements, which will be effective for Registrant beginning January 1, 2011. Registrant’s adoption of the guidance and its impact on the financial statements and disclosures was immaterial.

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Liquidity and Capital Resources

Registrant commenced operations on December 1, 2005 with gross proceeds of $31,024,443 allocated to commodities trading. Additional contributions raised through the continuous offering of limited interests (“Limited Interests”) and general interests (“General Interests” or “Managing Owner Interests” and, together with the Limited Interests, “Interests”) of beneficial ownership in Registrant for the period from December 1, 2005 (commencement of operations) to March 31, 2010 resulted in additional gross proceeds to Registrant of $144,852,527.

Limited Interests in Registrant may be subscribed or redeemed on a monthly basis.

Subscriptions and Redemptions

First Quarter 2010

Subscriptions of Limited Interests and General Interests for the First Quarter 2010 were $10,760,724 and $0, respectively. Redemptions of Limited Interests and General Interests for the First Quarter 2010 were $2,153,260 and $0, respectively.

First Quarter 2009

Subscriptions of Limited Interests and General Interests for the quarter ended March 31, 2009 (“First Quarter 2009”) were $4,312,634 and $0, respectively. Redemptions of Limited Interests and General Interests for the First Quarter 2009 were $6,188,798 and $0, respectively.

Liquidity

At March 31, 2010, approximately 100% of Registrant’s net assets were allocated to commodities trading. A significant portion of Registrant’s net assets was held in cash, which was used as margin for trading in commodities. In as much as the sole business of Registrant is to trade in commodities, Registrant continues to own such liquid assets to be used as margin. The clearing brokers and bank credit Registrant with interest income on 100% of its average daily equity maintained in its accounts with the clearing brokers and bank during each month at competitive interest rates.

The commodities contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the commodity can neither be taken nor liquidated unless traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent Registrant from promptly liquidating its commodity futures positions.

Since Registrant’s business is to trade futures, forward and option contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk). Registrant’s exposure to market risk is influenced by a number of factors including the volatility of interest rates and foreign currency exchange rates, the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of Registrant’s speculative trading as well as the development of drastic market occurrences could result in losses considerably beyond Registrant’s experience to date and could ultimately lead to a loss of all or substantially all of investors’ capital. The Managing Owner attempts to minimize these risks by requiring Registrant and the Trading Advisors to abide by various trading limitations and policies, which include limiting margin amounts, trading only in liquid markets and permitting the use of stop loss provisions. See Note 9 to Registrant’s financial statements for the year ended December 31, 2009, which is filed as an exhibit to Registrant’s 2009 Annual Report for a further discussion on the credit and market risks associated with Registrant’s futures, forward and option contracts.

Registrant does not have, nor does it expect to have, any capital assets.

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Market Overview

Following is a market overview for First Quarter 2010 and First Quarter 2009:

First Quarter 2010

The first quarter of 2010 ushered in increasing evidence that a global economy recovery was gaining ground. The fourth-quarter US Gross Domestic Product data, which was released early in the first quarter, showed the economy growing at an annual rate of 5.6%, the highest rate since the third quarter of 2003. The momentum appears to have continued in the first quarter of 2010. While inventory swings provided the biggest boost to growth in the fourth quarter, consumer spending appears to have gained strength in the first quarter. Most importantly, the labor market gave some signs of hope. Payroll employment actually showed a gain in the first quarter, albeit modest and partly boosted by the temporary hiring of US Census workers. The job market appears to be stabilizing, although the pace of improvement has been glacial.

Notwithstanding growing confidence in the US economic recovery and increasing signs of acceleration in global growth, US Treasuries held steady during the quarter. The 10-year yield ended the quarter at 3.8%. The US Federal Reserve (the “Fed”) kept the Fed Funds rate unchanged and there were no indications of imminent change in interest rate policy. However, the Fed hiked the lending rate on its discount window in February, signaling the diminishing need for various discount window and other extraordinary lending programs that began in 2008. The European Central Bank, the Bank of England and the Bank of Japan kept key rates unchanged through the quarter as well. The Reserve Bank of Australia continued its rate hike cycle that began late in 2009 as the Australian economy and labor markets strengthened on the back of strong demand for commodities.

Currencies:The US dollar rally that began in December 2009 accelerated through the first quarter of 2010, largely because of troubles surrounding the euro as well the strong outperformance of the US economy in comparison to its major developed market counterparts. The Dollar Index gained approximately 4.0%. The US dollar appreciated against the euro as the swirling storm clouds of the PIGS crisis darkened and doubts about the future of the European Monetary Union gained credibility. The euro finished the quarter down approximately 5.6% against the dollar. The British pound fared worse as the lack of economic recovery, coupled with uncomfortably high inflation, created a difficult environment in the United Kingdom as the pound declined 6.1%. The Japanese yen held stable and ended the quarter down 0.3% to the US dollar. The Australian and Canadian dollars continued their upward trajectories as both economies have significant commodity industries and solid economic growth. The Australian and Canadian dollars climbed 2.1% and 2.9%, respectively, against the US dollar.

Indices:Global equities suffered a hiccup in January triggered by the PIGS crisis but easily overcame the poor quarterly start on the back of robust earnings data and signs of a broadening recovery. Financials continued their strength in earnings into the first quarter. The Dow Jones Industrial Average, S&P 500 and NASDAQ rose approximately 4.1%, 4.9% and 5.7%, respectively. European equities, weighed down by problems in Greece, lagged US equities. The STOXX 600, a broad measure of European equities, rose approximately 4.1%. The CAC, FTSE and DAX closed the quarter with gains of approximately 1.0%, 4.9% and 3.3%, respectively. Asian markets were mixed. Japan’s Nikkei surged 5.2%, the Korean Kospi edged up slightly but the Hang Seng declined 2.9%. The Australian All Ordinaries Index posted a modest 0.2% gain.

Energies:During the quarter, industrial commodities benefited from the global industrial recovery and inventory building; however, agricultural commodities declined on unexpectedly strong crop reports. Crude continued to increase and gained 5.5% on the back of rising international trade and stabilizing transportation demand in the developed countries. Natural gas plunged 30.6% as rig counts surged and production escalated. Heating oil ended the quarter with an approximate 2.2% gain and reformulated gasoline had a solid quarter, rising approximately 12.6%. Part of the strength in refined products is contributable to fact that Venezuela appears to have become a net importer of gasoline and its exports of other refined products recently fell.

Metals:Gold posted a 1.6% gain during the quarter, although the US dollar remained the preferred safe haven. With the tailwind of rising industrial demand, silver gained 4.2%. With the exception of zinc, base metals advanced during the quarter as global industrial production, especially auto production, accelerated. Copper, aluminum and nickel ended the quarter with gains of 6.6%, 4.2% and 34.9%, respectively.

Agriculturals/Softs and Livestock:Agricultural commodities experienced a sell-off during the quarter. Except for coffee and cotton which benefited from global economic conditions, the agricultural commodities were adversely affected by fundamentals such as unexpectedly strong reports of harvest, storage and planting. As the fears of damage to harvests from the unusually cold weather abated, grains sold off swiftly. Sugar plummeted over 38% from near 30-year highs, reflecting large speculative positioning and better-than-expected yields in India and Brazil. To end the quarter, live cattle and hogs posted strong returns of approximately 12.3% and 11.8%, respectively.

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First Quarter 2009

Many of the same economic problems that faced the US economy in the last months of 2008 were still apparent in the first three months of 2009 as President Obama was inaugurated. However, as the quarter progressed, there was at least a glimmer of hope, particularly in March. The “fear factor” was still very much in place, but to a somewhat lesser degree than at the start of the year. The major feature of the first quarter was a series of massive liquidity additions from the Federal Reserve (the “Fed”) as they spent, lent or guaranteed $12.8 trillion. Also, the Fed announced they would buy significant quantities of Treasury paper going forward, resulting in the worst quarter for US Treasuries since 1996, as the Merrill Lynch Master Index plunged.

US economic data during the first quarter can only be described as bleak, as neither housing nor employment showed signs of imminent improvement. The unemployment rate rose to over 8.1% at the end of the quarter and payroll fell by an additional 650,000 in March as the economy lost over 5 million jobs since the US recession began. Housing starts showed improvement in February, rising over 20% after it dropped nearly 40% in the three preceding months. Industrial production recorded consecutive months of decline through the first quarter. The latest fourth quarter Gross Domestic Product (“GDP”) revision came in at -6.3%, which is the worst in nearly three decades. The consumer held retrenched as retail sales fell 1.1% in March, were off 1.2% for the quarter and down 9.4% in the past twelve months.

Europe and Asia experienced a quarter similar to the US, with the exception of China. China’s GDP projections, however, were downgraded by almost 2%. As in the US, foreign central banks engaged in massive liquidity additions and bank bailout initiatives. The UK was particularly aggressive as the Bank of England cut its key lending rate to a record low 0.5% and announced an unprecedented plan to buy 75 billion pounds of commercial paper. The European Central Bank cut rates consistently throughout the quarter but at a less aggressive pace, despite anemic economic conditions. Concerns surrounding the health of the Eastern European banking sector lingered as the quarter concluded. Japan’s recession worsened materially during the first quarter, even as the Bank of Japan engaged in three liquidity-adding measures. Japan appears to be behind both the US, UK and Western Europe in its economic recovery mode. Australia and New Zealand suffered as the leading economic index for Australia hit a 26-year low in February.

Currencies:The Dollar Index ended March down overall. However, the dollar continued as the currency of choice on a flight-to-safety basis, despite noises from China and Russia regarding a proposed new global currency. The Obama administration quickly emphasized a continued policy for a strong dollar. During the quarter, the euro gained ground to the pound, while the US dollar advanced versus both. At one point, sterling was under $1.38 before ending the quarter at approximately $1.44, as the UK economy holds a basket case, led by plunging house prices. The yen periodically attracted flight-to-safety demand but that steadily lessened as the quarter developed. Japanese GDP continued to retract and there were few apparent inflationary pressures, while technical indicators pointed to modest additional weakness for the yen vs. the dollar and euro. The Australian and New Zealand dollars scored gains to both the yen and dollar to cap the quarter.

Energies:Crude ended the quarter at almost $50 per barrel, an 11% overall gain, as the market appeared to run into resistance at that level. At one point in early February, crude was down over 23% year-to-date before rallying 12% in the final week of the month. Crude closed March with a double-digit gain, clearly aided by the global equity rally. Demand destruction is still apparent with the latest data showing declines in consumption. OPEC’s member compliance appeared to hold, although there were rumblings of possible erosion. Reformulated gasoline prices edged up in March as gasoline at the pump rose. Natural gas inventories remained well above 5-year averages, which drove prices lower to close the quarter.

Indices:March proved to be the best month for US equities since 2002. However, the overall quarterly result was not pretty as the Dow Jones fell an overall approximate 13.3%. Only three of thirty components ended the period with higher prices; IBM, Home Depot and Intel. The NASDAQ lost over 3% for the quarter and the broad based S&P 500 fell over 11%. After being a severe drag on the market for months, financial and banking issues led a late first quarter rally. Asian and European equities experienced an overall positive March but, as in the US, lost ground for the quarter. The key European markets, FTSE, DAX and CAC ended the quarter down overall 10%, 17% and 15%, respectively. The leading Asian equity indices, the Nikkei and Hang Seng, ended the quarter down 14% and 6%, respectively. Korea’s Kospi ended the period with an overall 5% gain as buyers were encouraged by liquidity measures to aid the Korean economy. Australia and New Zealand both scored gains in March, however they suffered quarterly losses. Russia broke a six month losing streak with an approximate 27% surge to cap the quarter.

Agriculturals:Compared to the year-end rally seen in December 2008, during the first quarter of 2009, the agricultural markets saw both price and participation decline. The drop in open interest was the most notable, especially given its relative levels, as compared to historical pricing. In all of the four major markets, corn, soybeans, wheat and cotton, the open interest fell to the lowest levels seen since 2005. Prices, however, remained well above both comparative and historical norms and only the cotton market showed a resemblance to its historic norm during the quarter.

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Metals:Copper rebounded in January despite a huge rise in inventories. Aluminum did not fare as well, losing over 10% following evidence of increased Chinese exports. Zinc and nickel experienced losses within the DJ AIG Index as both saw huge increases. Gold continued upwards through February as a steady pattern of flight-to-safety demand continued to emanate from plunging global equity values and the severe global banking crisis. Silver followed gold’s pattern and realized a positive overall February. Platinum and palladium posted gains for February as well. As for base metals, increased Chinese demand drove prices higher for copper and zinc. However, sluggish global steel demand persists for nickel with few indications of imminent improvement. Following four consecutive monthly gains, gold fell slightly in March. The metal was hurt toward month-end by a firmer US dollar as well as reduced flight-to-quality demand. A rally in global equities and benign global inflation data also contributed to lower performance. Physical demand outside of jewelry remained strong, with the notable exception of India where imports were flat in March. Silver traded in a volatile pattern and ended March with overall losses. Copper staged a limited rally in March and posted overall gains, attributable to China’s inventory stockpiling. Aluminum, zinc and lead posted gains in March as nickel prices fell modestly.

Softs and Livestock:In January, coffee rose over 8% within the DJ AIG Index, despite some end-of-month producer selling. Crop concerns surrounding Colombia and Central America were among the supportive factors. Coffee and cocoa prices both edged up in March. In January, sugar turned in solid performance, gaining over 6.5% within the DJ AIG Index and extended its rally into February. Cattle prices fell seven consecutive months within the DJ AIG Index on poor US demand and weak exports but rose finally in March. Live hogs rose over 3% in January on rumors of increased Russian purchases but fell again in February and March due to high corn prices and weak demand.

Sector Performance

Due to the nature of Registrant’s trading activities, a period-to-period comparison of its trading results is not meaningful.

However, set forth below are the following:

(a) the major sectors to which Registrant’s assets were allocated as of First Quarter 2010 and 2009, measured as a percentage of the “gross speculator margin” (i.e., the minimum amount of cash or marginable securities a speculator must post when buying or selling futures assets); and

(b) a discussion of Registrant’s trading results for the major sectors in which Registrant traded for the First Quarter 2010 and 2009.

First Quarter 2010

As of March 31, 2010, the allocation of Registrant’s assets to major sectors was as follows:

Sector	Allocation
Currencies	48.64	%
Energies	8.87	%
Grains	4.50	%
Indices	17.14	%
Interest Rates	9.86	%
Meats	0.34	%
Metals	8.41	%
Tropicals	2.24	%
TOTAL	100.00	%

Trading results for the major sectors in which Registrant traded for First Quarter 2010 were as follows:

Currencies: (+) Registrant experienced a majority of its gains in the British pound, Australian dollar and euro. The majority of losses were experienced in the New Zealand dollar, Canadian dollar, Chilean peso and Swiss franc.

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Energies: (-)Registrant experienced gains in natural gas. Losses were incurred in crude, brent crude, gas oil, heating oil and reformulated gasoline.

Grains: (-)Registrant experienced gains in corn and wheat. Losses were incurred in bean oil, soybeans and soybean meal.

Indices: (-)Registrant experienced a majority of its gains in the Dow Jones Industrial Average, Nikkei and S&P 500. Losses were incurred in the CAC, Hang Seng, IBEX, Nasdaq and Taiwan Index.

Interest Rates: (+) Registrant experienced a majority of its gains in Euribor, Eurodollar, German Bobl, German Bund and short sterling. The majority of losses were experienced in Japanese Government Bonds, London Gilt and US Treasury Notes.

Meats: (+) Registrant experienced gains in live cattle. Losses were incurred in live hogs.

Metals: (-)Registrant experienced gains in nickel, silver, platinum and palladium. Losses were incurred in gold, aluminum, copper and zinc.

Softs: (-)Registrant experienced gains in rubber and citrus. Losses were incurred in coffee, cocoa and sugar.

First Quarter 2009

As of March 31, 2009, the allocation of Registrant’s assets to major sectors was as follows:

Sector	Allocation
Currencies	50.03	%
Energies	5.89	%
Grains	0.82	%
Indices	24.91	%
Interest Rates	14.45	%
Meats	0.07	%
Metals	3.08	%
Softs	0.75	%
TOTAL	100.00	%

Trading results for the major sectors in which Registrant traded for First Quarter 2009 were as follows:

Currencies: (-) Registrant experienced a majority of its gains in the British pound, Canadian dollar and Swiss franc. The majority of losses were experienced in Australian dollar, euro, Japanese yen and New Zealand dollar.

Energies: (+) Registrant experienced gains in natural gas. Losses were incurred in crude, gas oil, heating oil and reformulated gasoline.

Grains: (-)Registrant experienced losses in bean oil, corn, cotton, wheat and soybeans.

Indices: (-)Registrant experienced a majority of its gains in the CAC, DJ STOXX, FTSE, IBEX and the S&P 500. Losses were incurred in the DAX, Nasdaq, Nikkei and Taiwan Index.

Interest Rates: (-)Registrant experienced a majority of its gains in Euribor, Eurodollar, German Bund and short sterling. The majority of losses were experienced in the German Bobl, Japanese Government Bonds, London Gilt and US Treasury Notes.

Meats: (+) Registrant experienced gains in live cattle.

Metals: (-)Registrant experienced losses in gold, copper, aluminum, lead, zinc and copper.

Softs: (-)Registrant experienced losses in coffee, cocoa and sugar.

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Results of Operations

First Quarter 2010

The Net Asset Value per Interest of Class I as of March 31, 2010 was $121.85, a decrease of $2.84 from the December 31, 2009 Net Asset Value per Interest of $124.69.

The Net Asset Value per Interest of Class II as of March 31, 2010 was $128.19, a decrease of $2.19 from the December 31, 2009 Net Asset Value per Interest of $130.38.

Registrant’s average net asset level during the First Quarter 2010 was approximately $129,252,000, an increase of approximately $8,390,000 as compared to the First Quarter 2009, primarily due to the effect of additional subscriptions.

Registrant’s performance for Class I and Class II for the First Quarter 2010 was (2.28)% and (1.68)%, respectively. Performance includes the percentage change in Registrant’s Net Asset Value excluding the effect of any subscriptions and redemptions and includes the percentage impact of trading gains (losses) less any commissions and related fees and expenses. Past performance is not necessarily indicative of future results.

Registrant’s trading losses before commissions and related fees for the First Quarter 2010 were approximately $(226,000).

Commissions and other transaction fees for the First Quarter 2010 were approximately $234,000, an increase of approximately $130,000 as compared to the First Quarter 2009, primarily due to increased trading volumes and an increase in average net asset levels discussed above.

Management fees to the Trading Advisors for the First Quarter 2010 were approximately $651,000, a decrease of approximately $17,000 as compared to the First Quarter 2009, primarily due to negative trading performance.

Service Fees and Sales Commissions for the First Quarter 2010 were approximately $693,000 and $327,000, respectively. An increase of approximately $150,000 and $17,000, respectively, as compared to First Quarter 2009 primarily due to an increase in average net asset levels discussed above.

Incentive fees are based on the “New High Net Trading Profits” generated by the Trading Advisors, as defined in the Trading Advisory Agreements between Registrant and the Trading Advisors. Incentive fees for the First Quarter 2010 were approximately $257,000.

Operating expenses were approximately $167,000 for the First Quarter 2010. These expenses include accounting, audit, registrar, and transfer agent, tax and legal fees as well as printing and postage costs related to reports sent to limited owners.

Offering costs were approximately $20,000 for the First Quarter 2010, a decrease of approximately $108,000 as compared to the First Quarter 2009, primarily due to a onetime accounting adjustment in April 1, 2008 which more than offset the increase in average net asset levels discussed above.

First Quarter 2009

The net asset value (“Net Asset Value”) per Interest of Class I as of March 31, 2009 was $113.43, a decrease of 5.92% from the December 31, 2008 Net Asset Value per Interest of $120.57. The Net Asset Value per Interest of Class II as of March 31, 2009 was $116.67, a decrease of 5.45% from the December 31, 2008 Net Asset Value per Interest of $123.39. Past performance is not necessarily indicative of future results.

Registrant’s average net asset level during the First Quarter 2009 was approximately $120,862,000. Registrant’s average net assets increased during the First Quarter 2009 in comparison to the First Quarter 2008 by approximately $33,549,000 primarily due positive trading performance and subscriptions.

Registrant’s trading losses before commissions and related fees during First Quarter 2009 were approximately $(5,316,000).

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Interest income is earned on the average daily equity maintained with the clearing broker or bank at competitive interest rates. Therefore, interest income varies monthly according to interest rates, trading performance, contributions and redemptions. Interest income during First Quarter 2009 was approximately $20,000, a decrease of approximately $264,000, as compared to First Quarter 2008 primarily due to declining interest rates which more than offset the effects of the increase in average net asset levels discussed above.

Commissions and other transaction fees are calculated on Registrant’s Net Asset Value at the end of each month and therefore, vary according to monthly trading performance, contributions and redemptions. Other transaction fees consist of National Futures Association, exchange and clearing fees as well as floor brokerage costs and give-up charges, which are based on the number of trades the Trading Advisor executes, as well as which exchange, clearing firm or bank on, or through, which the contract is traded. Commissions and other transaction fees during First Quarter 2009 were approximately $104,000, an increase of approximately $45,000, as compared to First Quarter 2008 primarily due to an increase in average net asset levels discussed above.

Management fees to the Trading Advisors are calculated on the net assets in the managed accounts at the beginning of each month and, therefore, affected by monthly trading performance, contributions and redemptions. Management fees to the Trading Advisors during First Quarter 2009 were approximately $668,000, an increase of approximately $171,000, as compared to First Quarter 2008 primarily due to an increase in average net asset levels discussed above.

Registrant pays the Managing Owner a management fee calculated on Registrant’s Net Asset Value at the beginning of each month, and therefore, such fee is affected by monthly trading performance, contributions and redemptions. Management fees to the Managing Owner during First Quarter 2009 were approximately $155,000, an increase of approximately $47,000, as compared to First Quarter 2008 primarily due to an increase in average net asset levels as discussed above.

Incentive fees, which are based on the “New High Net Trading Profits” (as defined in the Advisory Agreement) generated by the Trading Advisors, are accrued monthly and are ultimately determined as of the close of business on the last business day of each calendar quarter. Incentive fees were approximately $2,000 in First Quarter 2009.

Registrant pays a service fee (“Service Fee”) with respect to Class I Units, monthly in arrears, equal to 1/12 of 2% (2% per annum) of the Net Asset Value per Unit of the outstanding Class I Units as of the beginning of the month. The service fee is paid directly by Registrant to the Selling Agent, Kenmar Securities Inc., (the“Selling Agent”) an affiliate of the Managing Owner. The Selling Agent is responsible for paying all service fees owed to the correspondent selling agents, who are entitled to receive from the Selling Agent an initial service fee equal to 2% of the initial Net Asset Value per Unit of each Class I Unit sold by them, payable on the date such Class I Units are purchased and, commencing with the 13^th month after the purchase of a Class I Unit, an ongoing monthly service fee equal to 1/12^th of 2% (2% per annum) of the Net Asset Value per Unit as of the beginning of the month of the Class I Units sold by them. All Unitholders will also pay The Selling Agent, a monthly sales commission (“Sales Commission”) equal to 1/12 of 1% (1% annually) of the Net Asset Value of the outstanding Units as of the beginning of each month. Service Fees and Sales Commissions during First Quarter 2009 were approximately $543,000 and $310,000, respectively, an increase of approximately $150,000 and $94,000, respectively, as compared to First Quarter 2008 primarily due to an increase in average net asset levels discussed above

Operating expenses include accounting, audit, registrar, and transfer agent, tax and legal fees as well as printing and postage costs related to reports sent to Limited Owners. Operating expenses during First Quarter 2009 were approximately $158,000, a decrease of approximately $11,000, as compared to First Quarter 2008 primarily due to higher legal expenses incurred during First Quarter 2008 as a result of changes to the Registrant’s accounting treatment and calculation of offering costs.

Offering costs are advanced by the Managing Owner and subject to reimbursement by Registrant, subject to certain limitations. For a further discussion of these payments, see Registrant’s financial statements for the year ended December 31, 2008, which is filed as an exhibit to Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2008. Offering costs reimbursed by Registrant to the Managing Owner during First Quarter 2009 were approximately $128,000, an increase of approximately $20,000, as compared to First Quarter 2008 primarily due to an increase in average net asset levels discussed above.

Inflation

Inflation has had no material impact on the operations or on the financial condition of Registrant from inception through March 31, 2010.

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Off-Balance Sheet Arrangements and Contractual Obligations

Registrant does not have any off-balance-sheet arrangements (as defined in Regulation S-K 303(a)(4)(ii)) that have or are reasonably likely to have a current or future effect on its financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital resources that is material to investors.

Registrant’s contractual obligations are with the Managing Owner, the Trading Advisors and its commodity broker. Management fees payable by Registrant to the Trading Advisor s and the Managing Owner are calculated as a fixed percentage of Registrant’s Net Asset Value. Incentive fees payable by the Registrant to the Trading Advisors are at a fixed rate, calculated as a percentage of Registrant’s “New High Net Trading Profits” (as defined in the Advisory Agreements). As such, the Managing Owner cannot anticipate the amounts to be paid for future periods as Net Asset Values and “New High Net Trading Profits” are not known until a future date. Commissions payable to Registrant’s commodity broker are based on a cost per executed trade and, as such, the Managing Owner cannot anticipate the amount that will be required under the brokerage agreement, as the level of executed trades are not known until a future date. These agreements are effective for one-year terms, renewable automatically for additional one-year terms unless terminated. Additionally, since these agreements may be terminated by either party thereto for various reasons. Additionally, Registrant does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on Registrant’s Condensed Statement of Financial Condition, a table of contractual obligations has not been presented. For a further discussion of Registrant’s contractual obligations, see Notes 1, 3, 4, 5 and 7 to Registrant’s financial statements for the year ended December 31, 2009, which is filed as an exhibit to Registrant’s annual report on Form 10-K for the fiscal year ended December 31, 2009.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

Introduction

Past Results Not Necessarily Indicative of Future Performance

Registrant is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and substantially all of Registrant’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to Registrant’s main line of business.

Market movements result in frequent changes in the fair market value of Registrant’s open positions and, consequently, in its earnings and cash flow. Registrant’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 Registrant’s open positions and the liquidity of the markets in which it trades.

Registrant rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular futures market scenario will affect performance, and Registrant’s past performance is not necessarily indicative of its future results.

“Value at Risk” is a measure of the maximum amount which Registrant could reasonably be expected to lose in a given market sector. However, the inherent uncertainty of Registrant’s speculative trading and the recurrence in the markets traded by Registrant of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or Registrant’s experience to date (i.e., “risk of ruin”). In light of the foregoing, as well as the risks and uncertainties intrinsic to all future projections, the quantification included in this section should not be considered to constitute any assurance or representation that Registrant’s losses in any market sector will be limited to Value at Risk or by Registrant’s attempts to manage its market risk.

Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, optionality and multiplier features of Registrant’s market sensitive instruments.

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Quantifying Registrant’s Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding Registrant’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933, as amended (the “Securities Act”) and Section 21E of the Securities Exchange Act of 1934. as amended (the “Exchange Act”)).

Registrant’s risk exposure in the various market sectors traded by the Trading Advisors is quantified below in terms of Value at Risk. Due to Registrant’s mark-to-market accounting, any loss in the fair value of Registrant’s open positions is directly reflected in Registrant’s earnings (realized or unrealized) and cash flow (at least in the case of exchange-traded contracts in which profits and losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have been used by Registrant as the measure of its Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95%-99% of any one-day interval. The maintenance margin levels are established by dealers and exchanges using historical price studies as well as an assessment of current market volatility (including the implied volatility of the options on a given futures contract) and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component, which is not relevant to Value at Risk.

In the case of market sensitive instruments that are not exchange-traded (almost exclusively currencies in the case of Registrant), the margin requirements for the approximate estimated equivalent futures positions have been used as Value at Risk. In those rare cases in which a futures-equivalent margin is not available, estimated dealers’ margins have been used.

In quantifying Registrant’s Value at Risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate Value at Risk. The diversification effects resulting from the fact that Registrant’s positions are rarely, if ever, 100% positively correlated have not been reflected.

Registrant’s Trading Value at Risk in Different Market Sectors

The following table presents the trading value at risk associated with Registrant’s open positions by market sector at March 31, 2010 and December 31, 2009. All open position trading risk exposures of Registrant have been included in calculating the figure set forth below. At March 31, 2010 and December 31, 2009, Registrant had total capitalizations of approximately $133 million and $128 million, respectively.

	March 31, 2010		December 31, 2009
Market Sector	Value at Risk	% of Total Capitalization	Value at Risk	% of Total Capitalization
Interest rates	$1,604,907	1.24%	$1,194,256	1.50%
Currencies	$7,920,833	6.12%	$6,656,831	5.22%
Commodities	$3,966,416	3.07%	$3,580,470	2.81%
Stock indices	$2,790,839	2.16%	$4,379,867	3.43%
Total	$16,282,995	12.59%	$16,531,425	12.96%

The following table presents the average trading value at risk of Registrant’s open positions by market sector for First Quarter 2010 and 2009 based upon Registrant’s total average capitalization of approximately $132 million and $121 million, respectively.

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	First Quarter 2010		First Quarter 2009
Market Sector	Value at Risk	% of Total Capitalization	Value at Risk	% of Total Capitalization
Interest rates	$1,899,384	1.44%	$1,454,658	1.17%
Currencies	$8,383,005	6.34%	$3,799,839	3.07%
Commodities	$4,065,547	3.07%	$1,453,167	1.17%
Stock indices	$2,761,956	2.09%	$2,109,407	1.70%
Total	$17,109,892	12.94%	$8,817,071	7.11%

Material Limitations on Value at Risk as an Assessment of Market Risk

The notional value of the market sector instruments held by Registrant is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of the face value) as well as many times the total capitalization of Registrant. The magnitude of Registrant’s open positions creates a “risk of ruin” not typically found in most other investment vehicles. Because of the size of its positions, certain market conditions, although unusual, but historically recurring from time to time, could cause Registrant to incur severe losses over a short period of time. The foregoing Value at Risk table, as well as the past performance of Registrant give no indication of this “risk of ruin.”

Non-Trading Risk

Registrant has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as any market risk they represent) are immaterial.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding Registrant’s market risk exposures—except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how Registrant manages its primary market risk exposures—constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Registrant’s primary market risk exposures as well as the strategies used and to be used by the Managing Owner and the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks are one of which could cause the actual results of Registrant’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of Registrant. There can be no assurance that Registrant’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in Registrant.

Based on average trading value at risk during the First Quarter 2010, Registrant experienced an increase in its value at risk, relative to capitalization levels, as compared with the value at risk at December 31, 2009. Increases in average trading value at risk were experienced across all sectors during First Quarter 2010.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Managing Owner and the Trading Advisors, severally, attempt to manage the risk of Registrant’s open positions is essentially the same in all market categories traded.

The Trading Advisors attempt to minimize market risk exposure by applying their own risk management trading policies that include the diversification of trading assets into various market sectors. Additionally, the Trading Advisors have an oversight committee broadly responsible for evaluating and overseeing the Trading Advisors’ trading policies. The oversight committee meets periodically to discuss and analyze issues such as liquidity, position size, capacity, performance cycles, and new product and market strategies.

The Managing Owner attempts to minimize market risk exposure by requiring the Trading Advisors to abide by various trading limitations and policies. The Managing Owner monitors compliance with these trading limitations and policies which include, but are not limited to, limiting the amount of margin or premium required for any one commodity or all commodities combined and generally limiting transactions to contracts which are traded in sufficient volume to permit the taking and

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liquidating of positions. Additionally, the Managing Owner shall automatically terminate the Trading Advisor if the Net Asset Value of Registrant declines by 40% during any year or since the commencement of trading activities. Furthermore, the Trust Agreement provides that Registrant will liquidate its positions, and eventually dissolve, if Registrant experiences a decline in the net asset value of 50% in any year or since the commencement of trading activities. In each case, the decline in Net Asset Value is after giving effect for contributions, distributions and redemptions. The Managing Owner may impose additional restrictions (through modifications of such trading limitations and policies) upon the trading activities of the Trading Advisors as it, in good faith, deems to be in the best interest of Registrant.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

At March 31, 2010, Registrant’s primary exposure to non-trading market risk resulted from[INSERT]. As discussed above, these balances, as well as any risk they represent, are immaterial.

Item 4. Controls and Procedures

Evaluation of Disclosure Controls and Procedures

Registrant’s “disclosure controls and procedures” (as such term is defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)) are designed to ensure that information required to be disclosed by Registrant in reports filed or submitted under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission (the “SEC”), and that such information is accumulated and communicated to Registrant’s management, including the Managing Owner’s Co-Chief Executive Officers and Director of Fund Administration (who, in these capacities, function as the Principal Executive Officers and Principal Financial Accounting Officer, respectively, of Registrant), as appropriate to allow for timely decisions regarding required disclosure.

In designing and evaluating Registrant’s disclosure controls and procedures, the Managing Owner recognizes that any controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives. In addition, the design of disclosure controls and procedures must reflect the fact that there are resource constraints and that management is required to apply its judgment in evaluating the benefits of possible controls and procedures relative to their costs. Because of the inherent limitations in all control systems, no evaluation of the controls can prove absolute assurance that all control issues and instances of fraud, if any, within Registrant have been detected.

The Managing Owner’s management, under the supervision and with the participation of certain officers of the Managing Owner (including the Managing Owner’s Co-Chief Executive Officers and Director of Fund Administration), has evaluated the effectiveness of Registrant’s disclosure controls and procedures as of the end of such period and concluded that, Registrant’s disclosure controls and procedures were effective.

Changes in Internal Control Over Financial Reporting

There have been no changes in Registrant’s internal control over financial reporting (as defined in Rules 13a – 15(f) and 15d –15(f) under the Exchange Act) during the First Quarter 2010 that have materially affected, or are reasonably likely to materially affect, Registrant’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1. Legal Proceedings

There are no material legal proceedings pending, on appeal, or concluded to which Registrant is a party or to which any of its assets are subject.

Item 1.A. Risk Factors

There have been no changes from risk factors as previously disclosed in Registrant’s Form 10-K for the fiscal year ended December 31, 2009.

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Item 2. Unregistered Sales of Equity Securities and Use of Proceeds

The following table presents sales of unregistered interest (i.e., Managing Owner interests) exempt from registration under Section 4(2) of the Securities Act of 1933 during the period from September 28, 2004 (inception) through March 31, 2010.

	Amount of
Date of Sale	Units Sold	Cash Received
March 10, 2005	10	$	1,000
December 1, 2005	3,080	$	308,000
January 1, 2006	765	$	74,535
February 1, 2006	416	$	40,000
March 1, 2006	256	$	24,489
April 1, 2006	223	$	21,560
May 1, 2006	265	$	27,537
June 1, 2006	454	$	47,400
July 1, 2006	575	$	59,000
August 1, 2006	530	$	52,350
September 1, 2006	403	$	39,200
October 1, 2006	374	$	36,000
November 1, 2006	189	$	18,000
December 1, 2006	11	$	1,000
January 1, 2007	62	$	6,000
February 1, 2007	217	$	21,000
March 1, 2007	109	$	10,000
August 1, 2007	30	$	3,000
September 1, 2007	10	$	1,000
October 1, 2007	49	$	5,000
November 1, 2007	28	$	3,000
December 1, 2007	19	$	2,000
January 1, 2008	265	$	29,000
March 1, 2008	113	$	15,000
April 1, 2008	258	$	40,000
May 1, 2008	419	$	50,000
June 1, 2008	329	$	40,000
July 1, 2008	497	$	61,000
August 1, 2008	294	$	35,000
September 1, 2008	347	$	40,000
October 1, 2008	196	$	22,000

Item 3. Defaults Upon Senior Securities

None

Item 4. (Removed and Reserved)

Item 5. Other Information

None

Item 6. Exhibits:

3.1	Third Amended and Restated Declaration of Trust Agreement of World Monitor Trust III dated December 1, 2008 (filed herewith)
4.2	Subscription Requirements (annexed to the Prospectus as Exhibit B and incorporated by reference to Exhibit 4.2 to the Trust’s Post-Effective Amendment No. 3 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2006)

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4.3	Subscription instructions, Form of Subscription Agreement and Power of Attorney (annexed to the Prospectus as Exhibit C and incorporated by reference to Exhibit 4.3 to the Trust’s Post-Effective Amendment No. 3 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2006)
4.4	Form of Privacy Notices of the Managing Owner dated January 2009 (incorporated by reference to Exhibit 14.1 to Registrant’s Form 10-K for the year ended December 31, 2009)
10.1	Form of Subscription Escrow Agreement (incorporated by reference to Exhibit 10.1 to the Trust’s Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on March 14, 2005)
10.2	Form of Advisory Agreement among WMT III Series G/J Trading Vehicle LLC, the Managing Owner and Graham Capital Management, L.P. (incorporated by reference to Exhibit 10.2 to the Trust’s Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on March 14, 2005)
10.3	Form of Advisory Agreement among World Monitor Trust III – Series J, the Managing Owner and Eagle Trading Systems Inc. (incorporated by reference to Exhibit 10.3 to the Trust’s Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)
10.4	Form of Advisory Agreement among World Monitor Trust III – Series J, the Managing Owner and Ortus Capital Management (Cayman) Limited (incorporated by reference to Exhibit 10.4 to the Trust’s Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)
10.5	Form of Customer Agreement between the WMT III Series G/J Trading Vehicle LLC and UBS Securities LLC (incorporated by reference to Exhibit 10.5 to the Trust’s Pre-Effective Amendment No. 2 on S-1 Registration Statement, File No. 333-119612, filed with the Commission on March 14, 2005)
10.6	Form of Customer Agreement between the World Monitor Trust III – Series J and UBS Securities LLC (incorporated by reference to Exhibit 10.6 to the Trust’s Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)
10.7	Form of FX Prime Brokerage Agreement between UBS AG and WMT III Series G/J Trading Vehicle LLC (incorporated by reference to Exhibit 10.7 to the Trust’s Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)
10.8	Form of ISDA Master Agreement between UBS AG and WMT III Series G/J Trading Vehicle LLC, Schedule to ISDA Master Agreement and Credit Support Annex to Schedule (incorporated by reference to Exhibit 10.8 to the Trust’s Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)
10.9	Form of FX Prime Brokerage Agreement between UBS AG and World Monitor Trust III – Series J (incorporated by reference to Exhibit 10.9 to the Trust’s Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)
10.10	Form of ISDA Master Agreement between UBS AG and World Monitor Trust III – Series J, Schedule to ISDA Master Agreement and Credit Support Annex to Schedule (incorporated by reference to Exhibit 10.10 to the Trust’s Post-Effective Amendment No. 8 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 25, 2007)
10.11	WMT III Series G/J Trading Vehicle LLC Organization Agreement (incorporated by reference to Exhibit 1.1 to the Trust’s Post-Effective Amendment No. 6 to Form S-1 Registration Statement, File No. 333-119612, filed with the Commission on April 10, 2007)
10.12	Form of Advisory Agreement among World Monitor Trust III – Series J, the Managing Owner and Graham Capital Management, L.P. (incorporated by reference to Exhibit 10.12 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2007)

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10.13	Form of Services Agreement among World Monitor Trust III – Series J, the Managing Owner and Spectrum Global Fund Administration, L.L.C. (incorporated by reference to Exhibit 10.13 to Registrant’s Annual Report on Form 10-K for the year ended December 31, 2007)
14.1	Kenmar Preferred Investments Corp. Code of Ethics (adopted pursuant to Section 406 of Sarbanes Oxley Act of 2002) as of July 2009 (incorporated by reference to Exhibit 14.1 to Registrant’s Form 10-K for the year ended December 31, 2009)
31.1	Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
31.2	Certification pursuant to Exchange Act Rules 13a-14 and 15d-14 (filed herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (furnished herewith)

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SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934 Registrant has duly caused this Report to be signed on its behalf by the undersigned, thereunto duly authorized.

WORLD MONITOR TRUST III – SERIES J
By:	Kenmar Preferred Investments Corp., its Managing Owner
	By:	/s/ Kenneth A. Shewer		Date: May 14, 2010
		Name:	Kenneth A. Shewer
		Title:	Co-Chief Executive Officer (Principal Executive Officer)
	By:	/s/ David K. Spohr		Date: May 14, 2010
		Name:	David K. Spohr
		Title:	Senior Vice President and Director of Fund Administration (Principal Financial/Accounting Officer)

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