UNITED STATES SECURITIES AND EXCHANGE COMMISSION
 Washington, D.C. 20549
  FORM 10-K
  x ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
 SECURITIES EXCHANGE ACT OF 1934
  For the fiscal year ended December 31, 2010
  OR
   ̈ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
 SECURITIES EXCHANGE ACT OF 1934
  For the transition period fromto.
  Commission File Number:  000-22887
  RJO GLOBAL TRUST
 (Exact name of registrant as specified in its charter)
  Delaware

36-4113382(State or other jurisdiction of incorporation or organization)

(I.R.S. Employer Identification No.)
 
 222 S Riverside Plaza
 Suite 900
 Chicago, IL  60606
 (Address of principal executive offices) (Zip Code)
  (312) 373-5000
 (Registrant’s telephone number, including area code)
  Securities registered pursuant to Section 12(b) of the Act:  None
  Securities registered pursuant to Section 12(g) of the Act:
 Units of Beneficial Interest
  Indicate by check mark whether the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act.
  ̈ Yes     x No
  Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.
 o Yes     x No
  Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
 x Yes     ̈  No
  Indicate by check mark where the registrant has submitted electronically and posted on its corporate Website, 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 if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K is not contained herein, and will not be contained, to the best of registrant’s knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  x 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 the definitions of “large accelerated filer,” “accelerated filer,” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.  (Check One):
  Large-accelerated filer   ̈  Accelerated filer    ̈   Non-accelerated filer   (Do not check if a smaller reporting company)  Smaller reporting company  x
  Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).
  ̈ Yes     x No
  State the aggregate market value of the units of the trust held by non-affiliates of the registrant.  The aggregate market value shall be computed by reference to the price at which units were sold as of the last business day of the registrant’s most recently completed second fiscal quarter:  $67,597,782 as of June 30, 2010.
  
 
  DOCUMENTS INCORPORATED BY REFERENCE
  The  sections of the trust’s prospectus dated April 30, 2010 and the Trust’s prospectus supplements dated October 1, 2010 and January 30, 2011,  entitled “The Risks You Face” and “The Trading Advisors” are hereby incorporated by reference into Item 1A of this annual report on Form 10-K.
  
  TABLE OF CONTENTS
 
 Part IItem 1. Business

2Item 1A. Risk Factors

6Item 1B. Unresolved Staff Comments

6Item 2. Properties

6Item 3. Legal Proceedings

6Part IIItem 5. Market for the Registrant’s Units and Related Security Holder Matters and Issuer Purchases of Equity Securities

6Item 6. Selected Financial Data

7Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

7Item 7A. Quantitative and Qualitative Disclosures About Market Risk

16Item 8. Financial Statements and Supplementary Data

22Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure

23Item 9A. Controls and Procedures

23Item 9B. Other Information

24Part IIIItem 10. Directors, Executive Officers and Corporate Governance

24Item 11. Executive Compensation

25Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Unitholder Matters

25Item 13. Certain Relationships and Related Transactions and Director Independence

25Item 14. Principal Accounting Fees and Services

25Part IVItem 15. Exhibits, Financial Statements, Schedules

26
 
 1
  Part I
  Item 1.  Business
  General Development of Business: Narrative Description of Business
  RJO Global Trust (the “Trust”), is a Delaware statutory trust organized on November 12, 1996 under the Delaware Statutory Trust Act.  The business of the Trust is the speculative trading of commodity interests, including futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals and exchanges for physicals (“Commodity Interests”) pursuant to the trading instructions of multiple independent commodity trading advisors.  R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) acquired the Managing Owner interest in the Trust from Refco Commodity Management, Inc (“RCMI”) on November 30, 2006.  The Managing Owner of the Trust was initially formed as an Illinois corporation in November 2006, and became a Delaware Limited Liability Company in July of 2007.  The Managing Owner is registered as a commodity pool operator under the Commodity Exchange Act, as amended (“CE Act”), and is responsible for administering the business and affairs of the Trust.  The Managing Owner is an affiliate of R.J. O’Brien & Associates LLC, the clearing broker for the Trust (“RJO” or the “Clearing Broker”).  As of December 31, 2010, trading decisions for the Trust have been delegated to eight independent commodity trading advisors: John W. Henry & Company, Inc. (“JWH”), Abraham Trading Corp. (“ATC”), Global Advisors (Jersey) Limited (“GAJL”), Conquest Capital Group (“CCG”), NuWave Investment Management (“NW”), Haar Capital Management (“HCM”), Trigon Investment Management (“TIM”) and Dominion Capital Management (“DCM”)   (each an “Advisor” and collectively the “Advisors”), pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).  The Trust has no officers, directors or employees.  The Managing Owner administers the business and affairs of the Trust (exclusive of Trust trading decisions which are made by the Advisors).
  RJO is a “Futures Commission Merchant”, the Managing Owner is a “Commodity Pool Operator” and the Advisors to the Trust are “Commodity Trading Advisors” (“CTAs”), as those terms are used in the CE Act.  As such, they are registered with and subject to regulation by the Commodity Futures Trading Commission (“CFTC”) and are each a member of the National Futures Association (“NFA”).  R.J. O’Brien Securities, LLC, an affiliate of RJOFM and the lead selling agent for the Trust, is registered as a broker-dealer with the Financial Industry Regulatory Authority (“FINRA”).
  The initial public offering of the Trust’s units of beneficial interest (“units”) commenced on April 3, 1997.  The initial offering price was $100 per unit until the initial closing of the Trust on May 30, 1997, and thereafter the offering price is the current net asset value (“NAV”) per unit of the Trust on the last business day of the calendar month.  The total amount of the initial offering was $50,000,000.  On September 24, 1997, a registration statement was declared effective with the Securities and Exchange Commission (the “SEC”) to register $155,000,000 of additional units.  A Post-Effective Amendment was declared effective with the SEC on October 20, 1997 to deregister $3,120,049 of units which remained unsold upon the termination of the initial offering of the units.  On July 2, 2003 and on November 1, 2004, registration statements were declared effective with the SEC to register $300,000,000 and $500,000,000 of additional units.  Due to the bankruptcy of Refco, Inc., the ultimate parent of RCMI (the former managing owner of the Trust), the offering of the units was suspended on October 17, 2005. The Trust filed two Post-Effective Amendments on December 12, 2008 to de-register the remaining unsold units that were registered under the July 2, 2003 and November 1, 2004 registration statements. On December 4, 2007 a registration statement (File No. 333-146177) was declared effective with the SEC to register 1,000,000 additional units. The registration statement declared effective on December 4, 2007 was amended by Post-Effective Amendment No. 1 on Form S-1, filed with the SEC on April 18, 2008, Post-Effective Amendment No. 2 on Form S-1, filed with the SEC on October 6, 2008, Post-Effective Amendment No. 3 on Form S-1, filed with the SEC on December 12, 2008, Post-Effective Amendment No. 4 on Form S-1, filed with the SEC on April 3, 2009, Supplements to Post-Effective Amendment No. 4, filed with the SEC on July 1, 2009 and February 1, 2010, Post-Effective Amendment No. 5 on Form S-1, filed with the SEC on April 7, 2010, and Supplements to Post-Effective No. 5, filed with the SEC on October 1, 2010 and February 1, 2011.  The Trust filed a registration statement on Form S-1 with the SEC on December 2, 2010 which has not yet been declared effective by the SEC.
  The Managing Owner is responsible for the preparation of monthly and annual reports to the beneficial owners of the Trust (the “Beneficial Owners”), filing reports required by the CFTC, the NFA, the SEC and any other federal or state agencies having jurisdiction over the Trust’s operations; calculation of the NAV (meaning the total assets less total liabilities of the Trust) and directing payment of the management and incentive fees payable to the Advisors under the Advisory Agreements.
  2
  The Managing Owner provides suitable facilities and procedures for handling redemptions, transfers, distributions of profits (if any) and, if necessary, the orderly liquidation of the Trust. Although RJO acts as the Trust’s clearing broker, the Managing Owner is responsible for selecting another clearing broker in the event RJO is unable or unwilling to continue in that capacity.  The Managing Owner is further authorized, on behalf of the Trust (i) to enter into a brokerage clearing agreement and related customer agreements with other brokers, pursuant to which other brokers will render clearing services to the Trust;  (ii) to cause the Trust to pay brokerage commissions at the rates provided for in the Trust’s prospectus dated April 30, 2010 (the “Prospectus”); and the supplements to the Prospectus dated October 1, 2010 (the “October Supplement”); and January 30, 2011 (the “January Supplement” and together with the October Supplement, “the Supplements”) (iii) to pay delivery, insurance, storage, service and other fees and charges incidental to the Trust’s trading.  For the year ended December 31, 2010, $135,000 of ongoing offering costs were paid or accrued in connection with filing of the registration statement to keep the offering of units active.
  The Advisory Agreements between the Trust and the Advisors provide that each Advisor has discretion in and responsibility for the selection of the Trust’s commodity transactions with respect to that portion of the Trust’s assets allocated to it.  As of December 31, 2010, prior to quarter-end reallocation, JWH was managing 9.41%, ATC 18.27%, GAJL 17.86%, CCG 14.66%, HCM 9.18%, NW 15.47%, TIM 8.60% and DCM 6.55% of the Trust’s assets. The Advisory Agreements with JWH, ATC, and GALP commenced on November 1, 2008. The Advisory Agreements with NW commenced on February 1, 2009. The Advisory Agreement with GALP was substituted for an Advisory Agreement with GAJL on June 1, 2009.  The Advisory Agreements with CCG and HCM commenced on July 1, 2009, and the Advisory Agreements with TIM and DCM commenced on October 1, 2010.
  Pursuant to the Advisory Agreements, the Trust pays each Advisor a management fee of up to 0.16666% of the month-end net assets allocated to each Advisor (up to 2.0% annually) and a quarterly incentive fee of 20% of  new trading profits, if any, attributable to assets under its management (both fees are calculated after deduction of actual brokerage commissions and incentive fee paid after deduction of management fees also).
  The Advisory Agreements terminate automatically in the event that the Trust is terminated in accordance with the Ninth Amended and Restated Declaration and Agreement of Trust.  The Advisory Agreements may be terminated by the Trust or the Managing Owner at any month end upon five days’ prior written notice to the Advisors.  In addition, the Advisory Agreements may be terminated by the Trust or the Managing Owner at any time, upon written notice to an Advisor, in the event that (A) any person1 described as a “principal” of the Advisor in the Prospectus or the supplements ceases for any reason to be an active “principal” of the Advisor; (B) an Advisor becomes bankrupt or insolvent; (C) an Advisor is unable to use its trading systems or methods as in effect on the date of its respective Advisory Agreement and as modified for the benefit of the Trust; (D) the registration, as a CTA, of the Advisor with the Financial Services Authority (“FSA”), (as applicable), the CFTC or its membership in the NFA is revoked, suspended, terminated, or not renewed, or limited or qualified in any respect; (E) except as otherwise provided in its Advisory Agreement, an Advisor merges or consolidates with, or sells or otherwise transfers its advisory business, or all or a substantial portion of its assets, any portion of its futures interest trading systems or methods, or its goodwill to, any individual or entity; (F) if, at any time, the Advisor violates2 any trading policy (as defined in the Advisory Agreements) or administrative policy, except with the prior express written consent of the Managing Owner; or (G) an Advisor fails in a material manner to perform any of its obligations under its respective Advisory Agreement.
  The Advisors have the right to terminate their respective Advisory Agreement at any time, upon 30 days’ written notice to the Trust in the event that (A) the Managing Owner imposes additional trading limitation(s) in the form of one or more trading policies (as defined in the Advisory Agreements) or administrative policies that an Advisor does not consent to, such consent not to be unreasonably withheld; (B) the Managing Owner objects to an Advisor implementing a proposed material change to its respective trading program and the Advisor certifies to the Managing Owner in writing that it believes such change is in the best interests of the Trust; (C) the Managing Owner or the Trust materially breaches an Advisory Agreement and does not correct the breach within ten days of receipt of a written notice of such breach from the counterparty Advisor; (D) the total Trust funds allocated to the Advisors’ management falls below a certain amount3 (after adding back certain losses as specified in the Advisory Agreements) at any time; (E) the Trust becomes bankrupt or insolvent, (F) the registration of the Managing Owner with the CFTC as a commodity pool operator or its membership in the NFA is revoked, suspended, terminated or not renewed, or limited or qualified in any respect.4  If the Managing Owner or Trust merges, consolidates or sells a substantial portion of its assets pursuant to an Advisory Agreement, the counterparty Advisor may terminate the Advisory Agreement upon prior written notice to the Managing Owner and Trust.  The Advisors may also terminate the Advisory Agreement on sixty days’ written notice to the Managing Owner during any renewal term.
  
 1 Under this provision in JWH’s Advisory Agreement, the Trust and the Managing Owner may terminate the Advisory Agreement only if John W. Henry, rather than “any person,” ceases to be a “principal.”
 2 CCG (but not the other Advisors) is entitled to terminate its Advisory Agreement upon 30 days’ notice if CCG deems one or more of the commodity brokers selected by the Managing Owner materially deficient in its ability to process trades in accordance with CCG’s trading program, and the parties cannot agree to a substitute commodity broker.
 3 The Trust has requested Confidential Treatment by the SEC with respect to this information in the publicly-filed copies of the Advisory Agreements.
 4 JWH (but not the other Advisors) is entitled to terminate its Advisory Agreement upon thirty days’ notice if the Managing Owner overrides a trading instruction other than as specified in Section 2(a) of JWH’s Advisory Agreement.
  3
  The Advisors and their principals, affiliates and employees are free to trade for their own accounts and manage other commodity accounts during the term of the Advisory Agreements and to use the same information and trading strategy which the Advisor obtains, produces or utilizes in the performance of services for the Trust.  To the extent that an Advisor recommends similar or identical trades to the Trust and other accounts, which it manages, the Trust may compete with those accounts for the execution of the same or similar trades.
  The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following:  (1) beneficial owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) 120 days after the filing of a bankruptcy petition by or against the Managing Owner, unless the bankruptcy court approves the sale and assignment of the interests of the Managing Owner to a purchaser/assignor that assumes the duties of the Managing Owner; (3) 120 days after the notice of the retirement, resignation, or withdrawal of the Managing Owner, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (4) 90 days after the insolvency of the Managing Owner or any other event that would cause the Managing Owner to cease being managing owner of the Trust, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (5) dissolution of the Managing Owner; (6) insolvency or bankruptcy of the Trust; (7) a decrease in the net asset value to lessthan $2,500,000; (8) a decline in the net asset value per unit to $50 or less; (9) dissolution of the Trust; or (10) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.
  A portion of the Trust’s net assets are deposited in the Trust’s accounts with RJO, the Trust’s clearing broker and currency dealer.  For U.S. dollar deposits, 100% of interest earned on the Trust’s assets, calculated by the average four-week Treasury bill rate, is paid to the Trust.  For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO.  On October 6, 2010, approximately 60% of the Trust’s assets were deposited in custody of Wells Fargo Bank, N.A.  Also on October 6, 2010, the managing owner appointed RJO Investment Management LLC (“RJOIM”) to manage the Trust’s cash deposited with Wells Fargo Bank, N.A.  To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited.
  As of December 31, 2010 accounting services for the Trust are provided by SS&C Technologies and Transfer Agency services are provided by ACS Securities, Inc.
  Recent Events
  In 2005, certain assets held by the Trust’s prior clearing broker, Refco Capital Markets, LTD (“RCM”), were determined to be illiquid.  On October 31, 2005, $57,544,206 of equity was moved to a separate non-trading account (the “Non-Trading Account”) and 2,273,288 in substitute units were issued to the unitholders at that time, pro rata to their share in the Trust.  At December 31, 2005, the illiquid assets were determined to be impaired and were reduced by $39,580,944 for impairment, based on management’s estimate at that time.
  Through 2006, the Trust received $10,319,317 from the prior clearing broker in bankruptcy court and distributed $9,335,669 to unitholders in the manner as described in (a) and (b) below.
  Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against RCM, and all Non-Trading Accounts were transferred to the LLC.  Any new funds received from RCM by the LLC, will be distributed to unitholders who were investors in the Trust at the time of the bankruptcy of RCM and Refco, Inc.  U.S. Bank National Association (“US Bank”) is the manager of the LLC.  US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as explained above, as follows:
  4
  (a)
Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash (“Non Participating Owners”).
  (b)
Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then Net Asset Value of the Trust (“Participating Owners”).
  The unitholders have no rights to request redemptions from the LLC.
  The LLC has agreed to compensate US Bank, as manager, the following: (1) an annual fee of $25,000, (2) a distribution fee of $25,000 per distribution, (3) out-of-pocket expenses, and (4) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at execution of agreement).
  Recoveries by and distributions from the LLC are detailed in the chart below:
  Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCMAmounts

Received from


Balance of


Collections in

Excess of


Cash Distributions to Non-Participating


Additional Units in Trust for

Participating OwnersDate

RCM


Impaired Value


Impaired Value


Owners


Units


Dollars12/29/06

$
10,319,318


$
6,643,944


$
-


$
4,180,958



54,914


$
5,154,71104/20/07


2,787,629



3,856,315



-



-



-



-06/07/07


265,758



3,590,557



-



-



-



-06/28/07


4,783,640



-



1,193,083



-



-



-07/03/07


5,654



-



5,654



-



-



-08/29/07


-



-



-



2,787,947



23,183



1,758,62609/19/07


2,584,070



-



2,584,070



-



-



-12/31/07


2,708,467



-



2,708,467



-



-



-03/28/08


1,046,068



-



1,046,068



-



-



-04/29/08


-



-



-



2,241,680



10,736



1,053,81506/26/08


701,148



-



701,148



-



-



-12/31/08


769,001



-



769,001



-



-



-06/29/09


2,748,048



-



2,748,048



-



-



-12/30/09


1,102,612



-



1,102,612



-



-



-05/19/10


1,695,150



-



1,695,150



-



-



-06/04/10


14,329,450
*


-



14,329,450
*


-



-



-08/01/10


-



-



-



16,076,112



40,839



3,928,80610/15/10


282,790
*


-



282,790
*


-



-



-12/30/10


563,163
*


-



563,163
*


-



-



-Totals

$
46,691,966


$
-


$
29,728,704


$
25,286,697



129,672


$
11,895,958
 
 *The collections on June 4, October 15, and December 30, 2010 werefrom a settlement agreement reached with Cargill, Inc. and Cargill Investors Services, Inc. (together, "Cargill").  The gross collections of $15,300,000 on June 4, 2010, $661,567 on October 15, 2010 and $1,317,479 on December 30, 2010 were reduced by $970,550, $378,777, and $754,316 respectively, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement.
 Note: The $754,316 has been recorded in "Distribution payable - Non-Trading" on the consolidated statements of financial condition and will be paid out in the first quarter of 2011.
  Financial Information about Segments
  The Trust’s business constitutes only one segment for financial reporting purposes; it is a Delaware statutory trust whose purpose is to trade, buy, sell, spread or otherwise acquire, hold or dispose of commodity interests including futures contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, spot and forward contracts on currencies and precious metals and exchanges for physicals.  The Trust does not engage in the production or sale of any goods or services.  The objective of the Trust business is appreciation of its assets through speculative trading in such commodity interests.  Financial information about the Trust’s business, as of December 31, 2010, is set forth under Items 6, 7, and 8 herein.
  Financial Information about Geographic Areas
  Although the Trust trades in the global futures and forward markets, it does not have operations outside of the United States.
  5
  Available Information
  The Trust files an annual report on Form 10-K, quarterly reports on Form 10-Q, current reports on Form 8-K, and all amendments to these reports with the Securities and Exchange Commission (“SEC”).  You may read and copy any document filed by the Trust at the SEC’s Public Reference Room at 100 F Street, N.E., Washington, D.C. 20549 on official business days during the hours of 10:00 a.m. to 3:00 p.m.  Please call the SEC at 1-800-SEC-0330 for information on the Public Reference Room.  The Trust does not maintain an internet website, however, links to certain of the Trust’s public filings may be found on the Managing Owner’s website at  http://www.rjobrien.com/FundManagement.  Additionally the SEC maintains a website that contains annual, quarterly, and current reports, proxy statements, and other information that issuers (including the Trust) file electronically with the SEC.  The SEC’s website address is http://www.sec.gov.
  The Trust will  provide paper copies of such reports and amendments to its investors free of charge upon written request.
  Item 1A. Risk Factors
  The Trust is in the business of the speculative trading of futures, forwards, and options.  For a detailed description of the risks that may affect the Trust or the units offered by the Trust, see the section entitled “The Risks You Face” set forth in the Prospectus and the Supplements filed with the SEC on April 30, 2010 (Registration Number 333-146177), October 1, 2010 (Registration Number 333-146177) and January 30, 2011 (Registration Number 333-146177), respectively, and incorporated into this Form 10-K  by reference.
  Other trading advisors who are not affiliated with the Trust may utilize trading methods that are similar in some respects to those methods used by the Trust’s Advisors.  These other trading advisors could also be competing with the Trust for the same or similar trades as requested by the Trust’s Advisors.
  Item 1B. Unresolved Staff Comments
  None.
  Item 2.  Properties
  The Trust does not utilize any physical properties in the conduct of its business.  The Managing Owner uses the offices of RJO at no additional charge to the Trust, to perform its administration functions, and the Trust uses the offices of RJO at no additional charge to the Trust, as its principal administrative offices.
  Item 3.  Legal Proceedings
  The Trust is not a party to any material pending legal proceedings.
  Part II
  Item 5.  Market for the Registrant’s Units and Related Security Holder Matters and Issuer Purchases of Equity Securities
  (a)
(i) There is no established public market for the units and none is expected to develop.
  (ii) As of December 31, 2010, there were 503,698units held in the trading account by Beneficial Owners for an investment of $50,746,514 and 11,679 units held in the trading account by the Managing Owner for an investment of $1,175,357.  A total of 118,292 units had been redeemed by Beneficial Owners and no units were redeemed  by the Managing Owner during the period of January 1, 2010 to December 31, 2010.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust (filed under SEC Registration Number 333-146177) contains a full description of redemption and distribution procedures. $92,780,990 worth of class A units and $96,570,039 worth of class B units remain unsold as of December 31, 2010.
  (iii) To date no distributions have been made to Beneficial Owners in the trading account of the Trust.  The Ninth Amended and Restated Declaration and Agreement of Trust does not provide for regular or periodic cash distributions, but gives the Managing Owner sole discretion of determining what distributions, if any, the Trust will make to its Beneficial Owners.  The Managing Owner has not declared any such distributions to date, and does not currently intend to declare such distribution.
  6
  (iv) The Trust does not authorize the issuance of units under any employee compensation plan (including any individual compensation arrangements).
  (b)
The Trust did not repurchase any units registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), during the period January 1, 2010 through December 31, 2010.
  Item 6.  Selected Financial Data
  The following Selected Financial Data is presented for the years ended December 31, 2006, 2007, 2008, 2009 and 2010 and is derived from the financial statements for such fiscal years.
  2006


2007


2008


2009


20101 Revenues (000)

$
(15,853
)

$
(4,425
)

$
38,321


$
(4,721
)

$
3,5332 Net Income (Loss) From Continuing Operations (000)


(29,194
)


(12,427
)


27,889



(10,233
)


(1,101
)3 Net Income (Loss) Non-Trading (000)


(538
)


5,510



1,807



1,303



15,5504 Net Income (Loss) Per Unit


(19
)


(9
)


34



(30
)


(2
)5 Total Assets (000)


140,705



83,423



92,007



69,523



59,4126 Net Asset Value per Unit - Trading


94



85



119



103



101
 
 Item 7.  Management’s Discussion and Analysis of Financial Condition and Results of Operations
  (a)
Capital Resources
  The Trust’s capital resources fluctuate based upon the purchase and redemption of units and the gains and losses of the Trust’s trading activities.  During 2010, 54,776 Class A units for $5,337,442 and 6,432 Class B units for $658,669 were purchased by the Beneficial Owners.  The Managing Owner purchased no units during this time.  For the fiscal year ended December 31, 2010, the Beneficial Owners redeemed a total of 118,292 units for $11,867,263.  For the fiscal year ended December 31, 2010, the Beneficial Owners redeemed a total of 115,289 Class A units for $11,554,858, and 3,003 Class B units for $312,405. The Managing Owner did not redeem any units during the fiscal year ended December 31, 2010.
  The Trust’s involvement in the futures and forward markets exposes the Trust to both market risk — the risk arising from changes in the market value of the futures and forward contracts held by the Trust — and credit risk — the risk that another party to a contract will fail to perform its obligations according to the terms of the contract.  The Trust is exposed to a market risk equal to the value of the futures and forward contracts purchased and theoretically unlimited risk of loss on contracts sold short.  The Trading Advisors monitor the Trust’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their respective trading strategies, adjusting position sizes of the Trust’s futures and forward contacts and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit risk is its exposure to the non-performance of the Trust’s forward currency broker.  The forward currency broker generally enters into forward contracts with large, well-capitalized institutions and then enters into a back-to-back contract with the Trust.  The Trust also may trade on exchanges that do not have associated clearing houses whose credit supports the obligations of its members and operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.
  The Trust’s trading activities involve varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts underlying the financial instruments or the Trust’s satisfaction of the obligations may exceed the amount recognized in the statement of financial condition of the Trust.
  The amount of assets invested in the Trust generally does not affect its performance, as typically this amount is not a limiting factor on the positions acquired by the Advisors, and the Trust’s expenses are primarily charged as a fixed percentage of its asset base, however large, or by number of investors. To a lesser extent, some expenses are incurred as minimums regardless of the size of the asset base, such as audit and legal fees.
  The Trust borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Trust’s dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency.  They have been immaterial to the Trust’s operation to date and are expected to continue to be so.
  7
 
 During the fiscal year ended December 31, 2010, the Trust had no credit exposure to a counterparty which is a foreign commodities exchange which was material.
  There are no known material trends, favorable or unfavorable, that would affect, nor any expected material changes, to the Trust’s capital resource arrangements at the present time.
  (b)
Liquidity
  A portion of the Trust’s net assets are held in brokerage accounts with RJO.  Such assets are used as margin to engage in trading and may be used as margin solely for the Trust’s trading.   Except in very unusual circumstances, the Trust should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices.  This should permit the Advisors to limit losses as well as reduce market exposure on short notice should its programs indicate reducing market exposure.
  The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week Treasury Bill rate for that month in respect of deposits denominated in dollars.  For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO.  For the calendar year ended December 31, 2010, RJO had paid or accrued to pay interest of $82,783 to the Trust.  For the calendar year ended December 31, 2009, the clearing broker paid or accrued to pay interest of $49,056 to the Trust.
  Additionally, effective October 6, 2010, the Managing Owner retained RJO Investment Management LLC, an affiliate of the Managing Owner, to serve as a cash manager to the Trust.  The Trust’s assets which are managed by the cash manager are held by Wells Fargo Bank, N.A. as custodian.  As of December 31, 2010, Wells Fargo Bank, N.A. held approximately $30.3 million of the Trust’s assets.
  Most United States commodity exchanges limit the amount of fluctuation in commodity futures contract prices during a single trading day by regulations.  These regulations specify what are referred to as “daily price fluctuation limits” or “daily limits”.  The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day’s settlement price at the end of a trading session.  Once the daily limit has been reached in a particular commodity, no trades may be made at a price beyond the limit.  Positions in the commodity could then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day.  Because the “daily limit” rule only governs price movement for a particular trading day, it does not limit losses.  In the past, futures prices have moved the daily limit for numerous consecutive trading days and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting commodity futures traders holding such positions to substantial losses for those days.
  It is also possible for an exchange or the CFTC to suspend trading in a particular contract, order immediate settlement of a particular contract, or direct that trading in a particular contract be for liquidation only.
  There are no known material trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Trust’s liquidity increasing or decreasing in any material way, and there are no material unused sources of liquid assets.
  (c)
Results of Operations
  The Trust’s success depends on the Advisors’ ability to recognize and capitalize on major price movements and other profit opportunities in different sectors of the world economy.  Because of the speculative nature of its trading, operational or economic trends have little relevance to the Trust’s results, and its past performance is not necessarily indicative of its future results.  The Managing Owner believes, however, that there are certain market conditions — for example, markets with major price movements — in which the Trust has a better opportunity of being profitable than in others.
  JWH, ATC, GAJL, CCG, NW and DCM are technical traders, and as such, their programs do not predict price movements. No fundamental economic supply or demand analysis is used in attempting to identify mispricings in the market, and no macroeconomic assessments of the relative strengths of different national economies or economic sectors is made. However, there are frequent periods during which fundamental factors external to the market dominate prices.  For the discretionary Advisor, HCM, economic fundamentals and macroeconomic assessments are made.
  8
  The performance summaries set forth below outline certain major price trends which JWH’s programs have identified for the Trust during the last three fiscal years, until October 31, 2008, and for JWH, ATC, and Global Advisors, LP (the predecessor of GAJL) from January 1, 2009 through January 31, 2009; for JWH, ATC, GAJL and NW from February 1, 2009 through June 30 of 2009; and for JWH, ATC, GAJL, CCG and NW from June 1, 2009 through December 31, 2009. January of 2009 through March also reflect the opportunities captured on a fundamental basis by AIS and PLP and January through June reflect the opportunities captured by AIS.  The fact that certain trends or market movements were captured does not imply that others, perhaps larger and potentially more profitable trends or market movements, were not missed or that the Advisors will be able to capture similar trends or movements in the future.  Moreover, the fact that the programs were profitable in certain market sectors in the past does not mean that they will be so in the future.
  The summaries below also reflect the performance of the technical strategies employed by JWH, GAJL, CCG, ATC and NW and discretionary strategy employed by HCM from January 1, 2010 to September 30, 2010.  Performance from October 1, 2010 through December 31, 2010 reflects technical strategies employed by ATC, GAJL, ATC, CCG, NW and DCM and discretionary strategies employed by HCM and TIM.
  The performance summaries are an outline description of how the Trust performed in the past, not necessarily any indication of how it will perform in the future.  Furthermore, the general causes to which certain trends or market movements are attributed may or may not in fact have caused such trends or movements, as opposed to simply having occurred at about the same time.
  2010
  The RJO Global Trust Class A units posted a loss of (2.14%) for 2010, Class B units posted a loss of (0.15%). The NAV  per unit for Class A at year-end was $100.64 and for Class B at year end was $104.75 (please see Note (1) and Note (9) in the notes to financial statements for more information with respect to the calculation of Net Asset Value) compared to $102.84 per Class A unit at the beginning of the year and $104.91 per unit for Class B. Beneficial Owners purchased $5,337,442  worth of Class A units and $658,669 worth of Class B units in the Trust during 2010.
  An overall sell off in stocks and commodities was the most notable event during January.  The U.S. dollar strengthened during January despite some poor economic reports.  The U.S. dollar rally seemed to catch a number of market participants off guard. The stock market started the year strongly, but fell 8% from its intra month high to finish with a loss of 3.6% for the month. Crude oil fell 13% and gold fell 7% from their respective intra month highs. This paralleled the problems experienced by other commodity markets which had been hoping to see signs of improving domestic and international demand. The Trust fought through another difficult month. It has been one of the most difficult periods on record for managed futures strategies. Our managers remain committed to research and to improving their risk adjusted performance.  During the month, half of the managers made money. Those who did had less exposure to long-term trend following. The three profitable managers focused on shorter time frames or fundamental economic conditions of a few specific underlying markets.  After selling off aggressively in early February, the stock market rebounded to finish with a modest gain.  Commodity markets, lead by crude oil and gold, also gained ground during month.  Commodities and stocks continue to move with an uncharacteristically high degree of positive correlation.  For example, the charts for gold, crude oil, and the S&P 500 look very similar.  Each of the three markets finds itself in the middle of a wide trading range bordered by November 2009 highs and early February lows.  The only market that appears to be trending is the U.S. dollar.  It has strengthened 11% or more against the euro, the British pound, and the Swiss franc.  The U.S. dollar however, has not strengthened against the Aussie dollar, Japanese yen, or Canadian dollar.  The situation highlights European weakness as opposed to U.S. strength.  During the month NW and CCG made money.  GAJL and HCM were frustrated by choppy commodity markets.  JWH and ATC were also frustrated by a lack of follow through in downside moves that had begun developing in several sectors.   The stock market rose steadily during March and finished with a gain of almost 6%.  The U.S. dollar strengthened against the euro as European financial problems appear to be worse than our own in terms of budget deficits and burgeoning government debt.  The U.S. dollar lost ground, however, against the Aussie dollar and Canadian dollar which both stand to strengthen from rising demand for their abundant natural resources.  Gold was weaker most of the month but a late rally leveled it for the month and for the year to date.  Crude oil was up almost 8% during March leaving it near the top of a $75 – $85 trading range that has persisted since November of last year.  Weakness in natural gas and the grain markets, due to concerns about oversupply, have created a drag on the commodity indices which remain in negative territory for the year to date. During the month HCM and NW lost a modest amount of money but each of the other four Advisors were profitable. GAJL had the best month.  Their models had long positions in the petroleum based energy markets and short positions in the natural gas and grain markets.  There was consensus among our Advisors related to long-term interest rates with each Advisor registering short positions.  It should be noted that trading volume has begun to increase steadily over the last few months.  This should help our managers with the execution of their trading strategies.
  9
  The stock market sold off aggressively on the last day of April but still managed a small gain for the month.  Weakness was tied to an evolving story with Goldman Sachs as the SEC announced a criminal investigation into the firm’s sales tactics.  European markets were weak for much of the month as debt issues in Greece have brought much focus on the economies and financial situations of other EU countries.  Note that the EAFE Index is negative for the year while the S&P 500 is up over 7%.  After creeping higher during much of March, long-term interest rates moved lower during the month.  The U.S. dollar remains a mixed story.  It has not kept pace with the strength in gold, the Australian dollar, or the Canadian dollar but it remains strong against the euro.  Gold and crude oil are both up about 5% for the year and actually made new highs for the year in April, while natural gas and grain markets remain in negative territory and are near their lows for the year.  The markets remained difficult for our managers to navigate.  Four of the managers had small profits but ATC and HCM  lost a modest amount of money and that caused the Trust to turn in a negative month.  NW and CCG are profitable for the year to date.  The other four managers are down just slightly. The split between the euro and other currencies is also a common theme among the managers.  At April 30, the majority are short the euro and long other currencies against the U.S. dollar.  After an April that saw mixed performance in the underlying equity markets, May was ruled by volatility and negative returns.  By some measures, the U.S. markets posted their worst May since 1940 and the markets had some of their largest intraday swings in history.  This volatility, as represented by the VIX, came into May at 22.05 and left the month at 32.07, while spiking to over 48 mid-month.  Crude oil lost 20% of its value during May and long-term interest rates fell to 50 year lows.  The U.S. dollar gained against the euro, rising almost 10% during the month.  Needless to say, the markets are very fluid and active at this point. Three of our managers posted positive results during May.  The strong performance by CCG and NW was enough to lead the Trust to a positive month.  CCG was helped by a short position in the S&P.  NW was helped by quickly reversing its April stance to take short stock and energy positions in early May.  Our advisors held long positions in long-term interest rates which was a positive for much of the month as long-term rates moved lower.  The stock market remained under pressure during June losing just over 5%.  The market is down almost 7% for the year at the midway point of 2010.  The market sell-off was attributed to concerns over a possible double dip recession in the U.S.  The recovery in Europe seems to have stalled and concerns over the European Union members’ debt situations cast a favorable light on U.S debt markets where demand for U.S. treasuries drove yields to record lows for the 2 and 5-year notes.  The yield on the 10-year U.S. Treasury, while not a record low, finished the month at 2.9%, a level not seen since the dark days in the spring of 2009.  The dollar weakened a bit but the US Dollar Index remains up over 10% for the year.  Gold made a new high for the year at $1,270 per ounce, which was an all time high in nominal dollar terms, but settled back to finish the month with a small gain.  Crude oil behaved in a similar pattern by firming early in the month then trailing off at month end in sympathy to the stock market’s weakness.  June was another tough month for the managed futures industry.  June also completed the 4th losing calendar quarter out of the last six quarters for the Barclay Top 50 CTA Index.  The index historically has been profitable in 63% of calendar quarters.   None of the managers in the Trust posted a profit during June.  NW and CCG remain positive on the year while the others are weathering the various markets’ gyrations.
  The stock market rebounded during July rising just over 7%.  This left the market flat on the year.  U.S. interest rates made new record lows with the 2-year note reaching a yield of 0.55%.  The yield on the 10-year note approached 2.80%.  Several other markets reversed recent trends.  Grains for example, which had been trending lower for most of the year,  reversed dramatically and served as a catalyst for a rally in the commodity sector.  The U.S. dollar, which had been stronger against European currencies for most of the year, lost about 6.5% against the euro during the month.  Base metals also reversed course and posted gains during the month.  Congress passed a financial reform act during the month which removed some regulatory uncertainty from the markets.  This combined with improving economic data out of Europe and Asia appeared to trigger a short covering rally in stock markets around the world.  Many of these markets have now rallied back to the top of recent trading ranges.  A review of the individual markets traded by the Advisors in the Trust’s portfolio reveals the problems our Advisors have faced.  July was a month of frustrating reversals.  Grains, metals, stocks, energy markets, and currencies had all moved sufficiently lower to cause the traders to take positions in favor of the downward price trends.  These trends took shape for many reasons and across multiple time frames.  Each of the sectors finished June near their lows, then reversed course early in July to finish near their highs for the month.  Some managers have reversed positions along with the markets while some remain positioned to the contrary.   The stock market had its worst August since 2001 with the S&P 500 losing just over 4.5%.This left the market down almost 5% for the year.  In a repeat of the previous month, U.S. interest rates made new record lows with the 2-year note reaching a yield of less than 0.50%.  The low yield on the 10-year note approached 2.45%.  Commodities were weaker in general as market pundits began to debate openly about a double dip recession and the possibility of deflation.  The Dow Jones UBS Commodity Index, a broad based basket of commodity markets, lost 2.55% during August and is down almost 10% for the year-to-date.  While corn and gold traded higher for the month, crude oil edged lower, along with soybeans, wheat, coffee, cocoa, and base metals markets.  Natural gas was by far the weakest market, establishing new life of contract lows.  Currency markets remain puzzling: The U.S. dollar was stronger overall against the euro but continued to weaken against the Japanese yen.  The Japanese Government intervened in the market to try to stem the rise of the yen but the intervention had little or no effect as the yen closed out August at its highest point of the year.  The trend following strategies employed to different degrees by our managers were successful during the month.  Interest rates trended lower as did the S&P 500 and natural gas.  Profits were also captured during the upward move by gold and the yen.  CCG, our short-term specialist, had the best month by profiting from trades in stocks, currencies and interest rates.  The only losing manager was GAJL whose systematic commodity-only portfolio was under more pressure than our other more diversified managers.
  10
  The stock market had its best September in over 50 years rising almost 9%.  With interest rates hovering at all time lows, the dollar weakening, and the stock market showing signs of life, commodities turned in their strongest month in over a year.  The Dow Jones UBS Commodity Index was up over 7% during the month.  Cotton, corn, and sugar turned in a stellar month with gains of over 15%.  The common theme behind their upward moves was increasing Chinese demand.  Crude oil rallied back above $80 per barrel and gold made a new high just above $1,300 per ounce.  Those two markets appeared to benefit the most from a 5% slide in the U.S. dollar that took place during the month.  The U.S. Congress passed a bill denouncing Chinese currency policy in what seems to be a global chorus among countries who trade with China seeking an end to the artificial suppression of the Chinese currency.  The trend following strategies employed to different degrees by the Trust’s managers were successful again during September.  The S&P and base metals sector reversed course and joined an otherwise upward trend across commodities, currencies, and bonds.  Four of the six managers were profitable.  ATC, HCM, and GAJL posted the strongest results thanks to a heavy allocation to commodity trades.  JWH was also profitable.  CCG lost money due to a longer-term short position on the stock market.
  The stock market and most commodity markets continued to grind higher during October.  The Fed signaled that it would continue to operate an accommodative monetary policy and outlined its ideas for a second round of quantitative easing.  This kept interest rates steady to lower during the month and allowed the U.S. dollar to continue edging lower.  Low interest rates and reports showing Republicans poised to regain the U.S. House of Representatives seemed to lift stock prices during the month.  While the Fed’s moves have kept a lid on short-term interest rates, longer-term rates edged slightly higher during the latter part of the month as inflation concerns crept into the market equation.  Cotton was the most remarkable market during the month rising another 28% from September’s record high levels.  Poor crops in Pakistan and China coupled with increasing Chinese demand have pushed cotton prices to their highest levels since the Civil War era at $1.28 per pound.  Corn prices also rose 20% during the month when a USDA crop report showed poor yields across the U.S. farm belt reducing U.S. crop forecasts.  Natural gas prices, on the other hand, made new life of contract lows during the month as the market has struggled with excess supplies and softer than expected demand.
  The S&P 500 and the Dow Jones UBS Commodity Index finished the month up 0.01% and down 0.35% respectively.  From those results, one might conclude that this was a slow and uneventful month.  Hardly.  Commodities, lead by grains and metals, marched ahead in early November adding on to the sector’s October gains.  The commodity index peaked in early November and then lost over 8% from the 9th through the 17th.  During that time sugar and cotton lost over 25% of their value (worst sell off in 30 years).  The S&P 500 lost 5% and the U.S. dollar strengthened 8.45% against the euro.  Several situations served as a back drop for these reversals.  First, the Republicans took control of Congress in the midterm elections.  While this had been widely anticipated, the markets sold off after the fact.  Ireland’s financial position continued to erode, further pressuring the EU.  This caused the euro to weaken against the U.S. dollar.  North Korea then chimed in with an attack on South Korean territory which caused more flight to the U.S. dollar.  Finally, the Fed released minutes showing an intensifying debate between Governors who think inflation is becoming a serious threat and those who feel the economy continues to need an accommodative monetary policy.  In all, it was a very busy month.
  The S&P 500 and the Dow Jones UBS Commodity Index finished the month at or near their highs for the year.  Stocks continue to operate in a near perfect environment with improving earnings and the lowest interest rates in a generation.  It is interesting to note, however, that stocks are still 20% below their 2007 high marks.  Commodities have benefitted from growing global demand and the perception that most developed countries seem to be operating under an unannounced policy aimed at devaluing their currencies.  Commodities therefore represent not only an economic play but a relative value opportunity.  Fixed income markets continued to struggle during the month.  Long-treasury market instruments finished the year with a gain of almost 10% but lost almost 4% during the month as continued concern over the inflationary impact of international monetary policies came to the forefront.  Looking ahead, looming issues related to the U.S. budget deficit and debt limits, an unstable diplomatic situation on the Korean peninsula, an expanding Chinese economy, and uncertainty related to the sovereign debt of several European Community members will keep markets on edge as the first quarter of 2011 unfolds.
  11
  2009
  The RJO Global Trust Class A units posted a loss of (13.86%) for 2009. Class B units posted a loss of (12.13%).  The NAV  per unit for Class A at year-end was $102.84 and for Class B at year end was $104.91 (please see Note (1) and Note (9) in the notes to financial statements for more information with respect to the calculation of Net Asset Value) compared to $119.39 per unit at the beginning of the year. Beneficial Owners purchased  $1,627,869  worth of Class A units and $45,000 worth of Class B units in the Trust during 2009.
  The first quarter of 2009 began much as the fourth quarter of 2008 ended, with continued broad market volatility.  Stock markets and commodity markets remained under pressure and declined in lock step during January, February, and early March.  Prices reversed and began climbing during the first week of March as negative sentiment on the part of investors appeared to be at its highest.  Correlation between commodity prices and stock prices, with few exceptions, remained unusually high during the quarter.  The U.S. dollar had an almost exact inverse relationship to stock and commodity prices during the quarter.  It actually strengthened against most major foreign currencies as stocks and commodities sold off and then began to weaken after stocks and commodities bottomed out.  The results of fixed income markets during the quarter told two stories.  Short-term rates remained low and in choppy markets as the Federal Reserve left Fed Fund targets in the 0% to 0.25% range.  Long-term rates, however, edged higher in January and February as concerns over the inflationary impact of the government’s stimulus packages drove down note and bond prices.  Bond and note holders received a big boost, however, in late March when the Fed signaled that it would buy an enormous amount of medium and long-term notes in an effort to keep mortgage rates low and to maintain a high level of liquidity in the markets.  The traders in the Trust who employ rule-based or systematic approaches managed the volatility well and the performance was down slightly until the sharp market reversals in March caused some slightly larger losses.  These managers employ methods that vary widely in terms of investment time horizons.  Those with shorter-term outlooks did a little worse during January and February while the long-term down trends established during the fall of 2008 remained in place, but managed the March reversals better than the managers with longer-term styles. The managers of the Trust who employ a more discretionary approach continued to struggle with the unprecedented volatility and uncertainty that surrounded the markets during the quarter.  They posted small losses for the quarter as well.  It was a difficult quarter in general for the managed futures industry.  The Barclay Commodity Trading Advisor Index, a broad measure of managed futures performance, lost ground each month during the quarter.  Approximately 8 out of every 10 managers in the industry were showing negative year to date performance at quarter end.  This difficult period follows a strong performance period for the industry in 2008.  Periods like this are to be expected from time to time and the first quarter profile was consistent with other losing periods from the past.  The objective of the Trust’s portfolio of managers is to conserve capital during difficult periods like this using disciplined risk management and a broad diversification of asset exposure, investment style, and investment time frame.
  In April, stocks climbed a wall of worry, as the old axiom states about bull markets, by posting a gain for a fourth consecutive month.  Stocks  rallied 42% from their low in early March.  This has been their best three month showing since the 1930’s.  To put the magnitude of the losses sustained by the market over the last year and a half in perspective, the S&P would have to gain another 62% from current levels to match the market high reached in October of 2007.  This seems like a tough task in light of long-term interest rates, which continued to rise during the quarter due to concerns over the expanding budget deficit, and its potential long-term inflationary implications.  Interest rates fell back at the end June, however, as markets digested tepid growth related statistics, and inflationary fears subsided.  This reversal took place after Treasury bond yields had risen more than 60% in five months. Commodity markets began to firm in late April and were able to mount a rally during most of May.  Market worries over the inflationary implications of the government’s massive stimulus plan and other spending programs began to weaken the long-term treasury markets.  With rates rising and the dollar weakening against major foreign currencies, commodities began to look like a good place to invest.  Historically commodities, during times of inflation or currency depreciation, have been a good store of value.  In June, however, commodities sold off and evidence is beginning to appear that would indicate that the lock step relationship between commodities and the stock market that has existed for the last year or so is beginning to break up.  In other words, commodity markets are beginning to respond to the economics effecting their own specific situation rather than moving in tandem with stock prices.  This would create more diverse market movements and would be a good thing for our strategies.  The second quarter continued to present a difficult environment as a whole for the managed futures industry.  The Barclay B Top 50 CTA Index, representing the performance of the top 50 CTAs in the industry in terms of assets under management, was down in two of the three months and lost approximately 2% during the quarter.  The index lost for consecutive quarters for only the third time since its creation in 1987.  The index has lost approximately 3.5% for the year to date.  The performance problem seems to lie in the unstable nature of the market environment from a time frame perspective.  Short-term systems focusing on moves lasting less than a week have struggled.  Long-term strategies focused on price moves that take months to evolve have refused to reverse.  This may pay off over time but for now it has created small losses.  Only intermediate term strategies focused on 4-6 week price movements have been able to adapt appropriately and capture profits.  The first eight months of the Trust transferring to multi-CTA format has been challenging. The Trust’s evolution to a multi-manager format came just after a very profitable period for many different types of CTA strategies, particularly long-term trend following.  The charged markets of late 2008 and early 2009 exposed problems with our initial discretionary managers and the trend following strategies experienced a pull back that was to be expected. The Trust’s risk control policies enabled the Trust to manage this risk effectively.  Today, the Trust’s portfolio is strongly positioned from a diversification standpoint among sectors traded, investment styles, and investment time horizons.
  12
  Economic data was weak on an absolute basis during July, but on a relative basis there was reason for hope.  Housing data appeared to show signs of stabilization.  Corporate earnings showed some life.  The stock market posted strong gains for the month.  Some commodities lead by the grain and base metal sectors also showed strength later in the month. The U.S. dollar was weaker across the board.  The short-term manager, CCG, performed best during  the month capturing profits in stock, interest rate, and currency markets.  The longer-term strategies provided mixed results:  JWH, who employs only long-term trend following strategies, was positive for the month.  NW and ATC were negative for the month reflecting the difficult conditions being dealt with by other leading multi-strategy CTAs in the industry this year.  HCM, the discretionary manager, was about even on the month after a cautious start. GAJL, the commodity only manager, was slightly negative for the month but was starting to gain ground as the month drew to a close. During August, auto sales improved dramatically thanks to the Government’s “Cash for Clunkers” program.  Housing sales also improved.  The President re-nominated Federal Reserve Chairman Bernanke based on his handling of the crisis that unfolded last year.  IPO activity increased and two large corporate acquisitions took place at month end.  These situations taken together seem to reflect a market and economy returning to more solid footing.  This allowed stocks to turn in their most positive August since 2000.  Bond prices rose as well during the month as inflation remained in check.  Natural gas and corn were the weakest among commodities.  Action in the crude oil and the foreign currency markets looked very similar during the month.  Each traded in a range during the month finishing on the low side.  The short-term advisor, CCG, posted negative returns for the month.  Their short-term trading strategy was frustrated by the range bound trading that persisted during the month.  JWH, NW, and ATC were all positive for the month.  This was due to the longer-term nature of their systems.  HCM, the new discretionary manager, was also positive for the month capturing returns from a stronger sugar market. GAJL, the commodity only manager, was also positive for the month on the back of stronger metals markets.  By September 30, the stock market finished its strongest quarter since Q4 1998 and was up almost 20% for the year.  It was up almost 50% from its low in March of this year.  It is interesting to note that since World War II, the average size of stimulus packages implemented by the government and the Federal Reserve to revive the economy has been 2.9% of our Gross Domestic Product.  This has come from the government chipping in an average of 2.4% and the Fed has added 0.5% through easier monetary policy.  Thus far, to battle this recession, the government has provided 10% in stimulus activity through fiscal measures while the Fed has pumped in 9.5% for a total of 19.5% of assistance.  That is more than the average stimulus package by a factor of 6.  No wonder the market has rallied.  The fact that the stimulus package has been delivered on borrowed money has yet to trigger a response from the market.  With the stock market drifting higher and with other markets, particularly grains and energy, mired in trading ranges, the Advisors did not have many opportunities during the month.  Four of the six managers were up slightly during the month with two managers losing money.  JWH, ATC, NW, and HCM were profitable. GAJL and CCG lost money.
  During October, the stock market had its first losing month since March.  An odd result considering the market received its first bit of evidence that the economy is turning around.  Third quarter Gross Domestic Product was reported to have grown at a 3.2% annualized pace.  Much of the gain was attributed to the government’s stimulus projects.  For example, the “Cash for Clunkers” program boosted auto sales while tax credits for home buyers revived housing sales.  For the fiscal year ended September 30, the government reported a $1.4 trillion budget deficit, a record which represents roughly 10% of our GDP.  The budget deficit has kept pressure on the U.S. dollar.  The weaker U.S. dollar continues to help our export sector whose goods and services are cheaper in the global market place.  Our traders have shifted positions in several key areas.  Across the board in multiple time frames our managers have turned positive on most commodities.  Grain, metals, and petroleum markets have lead the way.  Our managers also favor a weaker U.S. dollar.  HCM was our only profitable manager during the month.  Each of the others had small losses.
  13
  The stock market climbed higher during the month of November as interest rates remained at or near historic lows.  The U.S. dollar edged lower and sits near its lows for the year against major currencies.  Gold made a new historical high during the month just above $1,175 per ounce.  It should be noted that, on an inflation adjusted basis, gold traded at an equivalent of $2,300 per ounce in 1980.  Other commodities drifted higher, supported by the weaker U.S. dollar.  Grains and metals markets seem to be the leaders while crude oil struggled to break out of a trading range capped above $80 per barrel. The Trust turned in a positive month during November.  Four of the six managers made money.  Across the board, in multiple time frames, our managers remain positive on most commodities.  Grain, metals, and soft commodity markets have led the way.  Our managers hold mixed positions mixed in the energy complex with a slightly negative bias due to the trading range in crude related markets and the negative performance by natural gas.  Our managers favor a weaker U.S. dollar and remain positioned for lower interest rates. A major reversal took place early in December when the government released an employment report that showed unexpected improvement in that area.  Gold fell 5% that same day and interest rates instruments began a month long slide (rates turned higher).  Gold fell 12% during the month and the total return on ten-year U.S. Treasuries was a negative 5.15%.  The U.S. dollar also staged an impressive 7% rally reversing a 7-month trend of weakness.  Several commodity sectors sold off in sympathy to gold early in the month, but crawled higher as the year drew to a close.  Grains, crude markets, and industrial metals all recovered to close near recent highs.  The Managed futures industry turned in its first losing year since 1994 and its worst year overall since the inception of the Barclay Top 50 CTA Index in 1987.  The Trust turned in a losing performance during December.  Despite our diverse group of managers and their diverse strategies, the Trust’s aggregate positions at the beginning of the month were aligned for a weaker U.S. dollar, lower interest rates, and  stronger gold and commodity markets.  The reversal of those trends early in the month created problems for most of the managers.  HCM, our discretionary manager, made money by hanging on to sugar and cocoa positions and dumping a falling silver position early in the month.  CCG was the most disappointing as their short-term strategy was whipsawed during the month.
  2008
  The RJO Global Trust posted a gain of 40.97% for 2008. The Net Asset Value per Unit at year-end was $119.39 (please see Note (1) and Note (9) in the notes to financial statements for more information with respect to the calculation of Net Asset Value) compared to $84.69 per unit at the beginning of the year. The only contribution to the Trust during 2008 was RJOFM’s purchase of $120,000 of additional units.
  The Trust’s performance was positive for the first quarter of 2008.  The Trust’s trading in global equity futures was profitable during the quarter.  In January, the market began to adjust to the possibility of a U.S. recession and a significant slowdown in global growth. By mid month, many of the world’s major stock markets were experiencing double-digit declines. The Trust’s trading in global equity futures was profitable during January as U.S. equities suffered through one of the worst Januarys on record. The rate of decline slowed through February into early March, and then reversed to a modest rally mid March. There was similar strong performance in the interest rate sector in January as both the long and the short end of the U.S. yield curve rallied sharply in response to weakening economic data, declining stock prices and monetary stimulus. The interest rate sector was unprofitable in February as the psychology of the market shifted in February and the U.S. yield curve steepened as long-term interest rates moved higher. This sector was at the center of the storm in March as the U.S. Federal Reserve’s proposal of a financial system overhaul, prompting meaningful price reversals and slight gains for the Trust. Trading in currencies was profitable, though more challenging, for the quarter  as the dollar declined modestly in January, rallied and then reversed again to continue the decline in February into March. The Trust generated profits in most major currencies against the U.S. dollar. Positions in both precious and base metals, led by silver and gold, were profitable January and February, but with the modest market rally at the end of March, these reversed  and this sector was unprofitable for March.  The energy sector started the year off at a loss as crude and crude products  faltered in January from near record high prices. The surge returned in February and continued into March. Crude oil soared to above $100 and natural gas prices increased more than 7% and were responsible for a majority of the profits. The bull market in grains and agricultural, driven by a weak dollar and demand for food related commodities, continued in January and February supplying the greatest profits mid-quarter. The greatest performers mid-quarter were bean oil +27%, coffee + 19%, wheat +15% and sugar +14%.  All reversed in March as grains’ bull market saw a correction and performance drag on the Trust. Only corn bucked the reversal and finished March higher.
  The Trust’s performance was negative for the second quarter of 2008. May and June profitability was not enough to recover from losses suffered in April. With the exception of the energy markets, which  were profitable throughout the quarter, the quarter was marked by trendless, range-bound markets in most cases. Crude, crude products and natural gas continued to move higher on a weakened dollar and geo-political tensions in the Middle East. The end of March rally in the global indices sector continued through April, stabilized in May with volatility declining and relatively tight trading ranges, and suffered a significant decline during June. Higher energy prices, tighter monetary conditions and continued stress in the financial sector depressed prices. The interest rate sector experienced significant reversals in April. Throughout the quarter,  a seventh interest rate cut, combined with prospects of higher inflation and more stable financial markets outweighed concerns over slowing economic activity. Bond prices continued to slide through June, with the trend being slightly disrupted by hawkish tones from central banks, declining stock prices and the flight to quality. Throughout the quarter, positions in European interest rates fared better than those in the U.S. and Asia. The currency sector was very quiet throughout the quarter. After the U.S. dollar staged a modest recovery in April, there was little evidence of demand for the dollar during the rest of the quarter. The major currencies were unable to find direction due to changing and conflicting signals on the economy and interest rate differentials. The metals sector was negative for the quarter as markets were directionless due to ebbing demand driven by a degree of stability in the financial markets. The agriculture markets, particularly grains, were mixed to profitable throughout the quarter. Grain prices moved higher on concerns of how the Midwest floods would impact planting and future yields.
  14
  The Trust’s performance was profitable for the third quarter of 2008.  The third quarter began what was one of the most unstable and volatile periods in the history of the U.S. (and later global) financial markets. The cloud of the U.S. housing and credit crisis started to mushroom and create further turmoil to a point where, by quarter end, the world’s credit markets virtually seized up, commodity prices plunged, some major stock indices declined by more than 10%, and some of the largest U.S. financial institutions were pushed to extinction. The Trust performance across all sectors was negative for July, but these major market moves served as sources of the Trust’s positive August and September performance as the portfolio shifted to reflect new trends in energy, metals and the U.S. dollar. The currency sector was profitable during July and August with the dollar surging 8% above the mid-July low. The dollar continued to strengthen as LIBOR rates soared and led to a hoarding of dollars. By the end of the quarter, the Trust was benefiting from the pronounced downward trend in global equity prices. Crisis of confidence was punctuated by bankruptcies, mergers and government bailout. The energy markets continued their decline through August and by September, crude, crude oil products and natural gas were down more than 10% from August close. A weakening global economy and a strengthening U.S. dollar negatively impacted demand while supply side fundamentals had not changed. With the crisis in the credit markets intensifying, global bonds benefited from a flight to quality during August. During September, the bond market was more challenging as sentiment shifted markedly and prompted a sharp reversal. Metals continued their decline, influenced by the dollar rally and the decline in demand for commodities. Gold and silver continued to move lower however, towards the end of the quarter, gold began to break higher while the other metals continued their decline. Agricultural markets which were unprofitable in July and August turned positive in September as the Trust benefited from short positions across the complex. The downtrends were supported by weakening demand and a strong U.S. dollar.
  The Trust’s performance was profitable for the fourth quarter of 2008 as it navigated through extreme volatility and capitalized on market moves of historic proportions. November  also marked the first month of trading with four new, diverse trading advisors alongside JWH. The currency sector was the best performing sector for the quarter as the U.S. dollar reasserted its status as the world’s reserve currency. The Trust benefited from the strength of the U.S. dollar vs. European currencies and its weakness vs. the yen. Later in the quarter, profits were earned in the euro, yen, Canadian dollar and Australian dollar. The Global Indices sector was profitable in October and November as the slide continued across the globe. This sector turned negative for the Trust as the decline turned slightly upward by the end of December. The interest rate sector produced flat results for the Trust as cross currents passing through the markets affected rate trends. This sector turned profitable by the end of December as yields continued a steady fall through year end.  Energy positions started the quarter off in positive territory, but turned slightly unprofitable toward the end.  Metals continued their decline from the previous quarter, driven by continued turmoil in the financial markets. Gold and silver lead the gains in October while aluminum and copper lead the gains in November and December. The agricultural markets were positive throughout the quarter reflecting the deteriorating prospects for the global economy and demand for food, animal feed and bio-fuels.
  (d)
Inflation
  Inflation does have an effect on commodity prices and the volatility of commodity markets; however, continued inflation is not expected to have a material adverse effect on the Trust’s operations or assets.
  (e)
Off-Balance-Sheet Arrangements
  The Trust 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.
  (f)
Tabular Disclosure of Contractual Obligations
  The business of the Trust is the speculative trading of commodity interests, including futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals and exchanges for physicals.  The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term.  That is, they are held for less than one year.  Because the Trust 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 the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.
  15
  Item 7A.  Quantitative and Qualitative Disclosures About Market Risk
  Introduction
  Past Results Are Not Necessarily Indicative of Future Performance
  The Trust is a speculative commodity pool.  The market sensitive instruments held by it are acquired for speculative trading purposes, and all or substantially all of the Trust’s assets are subject to the risk of trading loss.  Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.  Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow.  The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of interest rates, exchange rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.
  The Trust can acquire and/or liquidate both long and short positions in a wide range of different markets.  Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.
  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 the Trust’s market sensitive instruments.
  Quantifying the Trust’s Trading Value at Risk
  “Value at Risk” is a measure of the maximum amount which the Trust could reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of the Trust’s speculative trading and the recurrence in the markets traded by the Trust of market movements far exceeding expectations could result in actual trading or non-trading losses far beyond the indicated Value at Risk or the Trust’s experience to date (i.e., “risk of ruin”).  In light of the foregoing as well as the risks and uncertainties intrinsic to all future projections, the inclusion of the quantification included in this section should not be considered to constitute any assurance or representation that the Trust’s losses in any market sector will be limited to Value at Risk or by the Trust’s attempts to manage its market risk.
  Quantitative Forward-Looking Statements
  The following quantitative disclosures regarding the Trust’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, and Section 21E of the Securities Exchange Act of 1934, as amended).  All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact.
  The Trust’s risk exposure in the various market sectors traded by the Advisors is quantified below in terms of Value at Risk.  Due to the Trust’s mark-to-market accounting, any loss in the fair value of the Trust’s open positions is directly reflected in the Trust’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 the Trust as the measure of its Value at Risk.  Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% - 99% of any one-day intervals.  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.
  16
  In the case of market sensitive instruments, which are not exchange traded (almost exclusively currencies in the case of the Trust), the margin requirements for the equivalent futures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalent margin is not available, dealers’ margins have been used.
  The fair value of the Trust’s futures and forward positions does not have any optionality component.
  In quantifying the Trust’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 the Trust’s positions are rarely, if ever, 100% positively correlated have not been reflected.
  The Trust’s Trading Value at Risk in Different Market Sectors
  The following tables indicate the average, highest and lowest amounts of trading Value at Risk associated with the Trust’s open positions by market category for fiscal years 2010 and 2009.  All open position trading risk exposures of the Trust have been included in calculating the figures set forth below.  During fiscal year 2010, the Trust’s average total capitalization was approximately $54.21 million, and during fiscal year 2009, the Trust’s average total capitalization was approximately $74.70 million.
  FISCAL YEAR 2010
 
 MarketSector

Highest Valueat

Risk*


Lowest Valueat

Risk*


Average Valueat

Risk


% of Average

Capitalization**Agriculture

$
2.0


$
0.7


$
1.3



2.4
%Currencies


2.2



0.4



1.4



2.7
%Energies


1.5



0.5



1.0



1.8
%Indices


1.9



0.2



0.9



1.6
%Interest Rates


1.9



0.3



0.9



1.6
%Metals


1.8



0.5



1.0



2.0
%Total

$
11.3


$
2.6


$
6.5



12.1
%
  FISCAL YEAR 2009
 
 MarketSector

Highest Valueat

Risk*


Lowest Valueat

Risk*


Average Valueat

Risk


% of Average

Capitalization**Agriculture

$
1.9


$
0.6


$
1.1



1.5
%Currencies


1.2



0.2



0.6



0.8
%Energies


1.3



0.2



0.3



0.4
%Indices


1.3



0.1



0.5



0.6
%Interest Rates


1.7



0.5



1.0



1.4
%Metals


3.1



0.5



2.5



3.3
%Total

$
10.5


$
2.1


$
6.0



8.0
%
  
 *   Average, highest and lowest Value at Risk amounts relate to the month-end amounts for each calendar month-end during the fiscal year.  All amounts represent millions of dollars committed to margin.
  ** Average Capitalization is the average of the Trust’s capitalization at the end of each fiscal month during the relevant fiscal year.
  17
  Material Limitations on Value at Risk as an Assessment of Market Risk
  The face value of the market sector instruments held by the Trust is typically many times the applicable maintenance margin requirement (maintenance margin requirements generally range between approximately 1% and 10% of contract face value) as well as many times the capitalization of the Trust.  The magnitude of the Trust’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 - unusual, but historically recurring from time to time - could cause the Trust to incur severe losses over a short period of time.  The foregoing Value at Risk table, as well as the past performance of the Trust, gives no indication of this “risk of ruin.”
  Non-Trading Risk
  The Trust 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.  The Trust holds a significant portion of its assets in cash on deposit with RJO.  The Trust has cash flow risk on these cash deposits because if interest rates decline, so will the interest paid out by RJO at 100% of the four-week Treasury Bill rate.  As of December 31, 2010 and December 31, 2009, the Trust had approximately $22.4 million and $59.5 million, respectively, in cash on deposit with RJO.  Additionally, effective October 6, 2010, the Managing Owner retained RJO Investment Management LLC, an affiliate of the Managing Owner, to serve as a cash manager to the Trust.  The Trust’s assets which are managed by the cash manager are held by Wells Fargo Bank, N.A. as custodian.  As of December 31, 2010, Wells Fargo Bank, N.A. held approximately $30.3 million of the Trust’s assets.  To the extent excess cash is not invested in securities by the cash manager, such cash will be subject to the creditworthiness of the institution where such funds are deposited.
  Qualitative Disclosures Regarding Primary Trading Risk Exposures
  The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust and its Advisors manage the Trust’s primary market risk exposures, constitute forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Securities Exchange Act of 1934, as amended.  The Trust’s primary market risk exposures as well as the strategies used and to be used by the Trust’s Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’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 the Trust.  There can be no assurance that the Trust’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 the Trust.
  The Trust may purchase exchange listed options on commodities or financial instruments.  An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period.  The option premium is the total price paid or received for the option contract.
  The following were the primary trading risk exposures of the Trust as of December 31, 2010, by market sector.
  Currencies.  The Trust’s currency exposure is to exchange rate fluctuations.  These fluctuations are influenced by interest rate changes as well as political and general economic conditions.  The Trust trades in a number of currencies, including cross-rates (i.e., positions between two currencies other than the U.S. dollar).  The Trust’s major exposures have typically been in the dollar/yen, dollar/euro, dollar/Swiss franc, dollar/pound, dollar/Canadian dollar positions, and recently dollar/Australian dollar, dollar/Mexican peso and exposure to cross-rates positions such as euro/yen and euro/pound positions.
  Interest Rates.  Interest rate risk is a major market exposure of the Trust.  Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions.  Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability.  The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries.  However, the Trust also takes positions in the government debt of smaller nations such as Australia.  The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of the Trust in this sector for the foreseeable future.
  18
  Stock Indices.  The Trust’s primary equity exposure is to equity price risk in the G-7 countries including the U.S.  The stock index futures traded by the Trust are by law limited to futures on broadly based indices.  As of December 31, 2010, the Trust’s primary exposure was in the Mini-NASDAQ (U.S.) and the EURO-STOXX 50 (Germany). The Trust is primarily exposed to the risk of adverse price trends or trendless markets in the major U.S., European and Japanese indices.  (Trendless markets would not cause major market changes but could make it difficult for the Trust to avoid being “whipsawed” into numerous small losses.)
  Metals.  The programs currently used for the Trust trade mainly precious and base metals.  The Trust’s primary metals market exposure is to price fluctuations.
  Agricultural.The Trust’s primary commodities exposure is to agricultural price movements, which are often directly affected by severe or unexpected weather conditions. Cocoa, sugar, coffee, soybeans, live cattle and cotton accounted for the substantial bulk of the Trust’s agricultural exposure as of December 31, 2010. To a lesser extent and in the past, the Trust has had market exposure to wheat, orange juice, milk and hogs.
  Energy.  The Trust’s primary energy market exposure is to gas and oil price movements, which sometimes result from political developments in the Middle East.  Oil prices can be volatile and substantial profits and losses have been and may continue to be experienced in this market.
  Fixed Income Securities.The Trust’s primary exposure to fixed income securities are defined by the CFTC guidelines of acceptable securities for investment of segregated assets.  The scope of the acceptable securities by the CTFC are defined further by the Trust’s agreement with RJOIM to include but not limited to, U.S. Treasury and government agencies’ securities, purchase agreements – collateralized by U.S. Treasury and government agencies, corporate debt securities, and bank debt securities.  Note that total investment in corporate debt securities, bank deposit securities, and certificate of deposits combined cannot exceed 40% of the Trust’s total assets.  Fixed income securities are recorded at fair market value with changes in fair value recorded in the statement of operations.  Premiums and discounts on securities purchased are amortized over the life of the instrument.  Interest income is accrued and recorded when paid in the statement of operations.
  Qualitative Disclosures Regarding Non-Trading Risk Exposure
  The following were the only non-trading risk exposures of the Trust as of December 31, 2010 and December 31, 2009.
  Foreign Currency Balances.  The Trust’s primary foreign currency balances are in Japanese yen, British pounds and Canadian dollar.
  Cash Position.  The Trust holds a portion of its assets in cash (U.S. dollars) at RJO, earning interest at 100% of the average four-week Treasury Bill rate (calculated daily).  For deposits denominated in other currencies, the Trust earns interest at a rate of the one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO.  Additionally, effective October 6, 2010, the Managing Owner retained RJO Investment Management LLC, an affiliate of the Managing Owner, to serve as a cash manager to the Trust.  The Trust’s assets which are managed by the cash manager are held by Wells Fargo Bank, N.A. as custodian.  As of December 31, 2010, Wells Fargo Bank, N.A. held approximately $30.3 million of the Trust’s assets.  To the extent excess cash is not invested in securities by the cash manager, such cash will be subject to the creditworthiness of the institution where such funds are deposited.
  Qualitative Disclosures Regarding Means of Managing Risk Exposure
  The Manager Owner together with Liberty Funds Group monitors the Trust’s performance and the concentration of its open positions, and consults with the Advisors concerning the Trust’s overall risk profile.  If the Managing Owner felt it necessary to do so, the Managing Owner could require the Advisors to close out individual positions as well as entire programs traded on behalf of the Trust.  However, any such intervention would be a highly unusual event.  The Managing Owner primarily relies on the Advisors’ own risk control policies while maintaining a general supervisory overview of the Trust’s market risk exposures.
  19
  Risk Management
  The information below outlines the general risk management practices of each Advisor.  These descriptions are not intended to be exhaustive.  For a detailed description of the risks associated with the management practices of each Advisor, see the section entitled “The Trading Advisors” set forth in the Prospectus dated April 30, 2010, filed with the SEC on May 3, 2010 (Registration Number 333-146177), and incorporated into this Form 10-K by reference, the Supplement dated October 1, 2010, filed with the SEC on October 1, 2010 (Registration Number 333-146177), and incorporated into this Form 10-K by reference, and the Supplement dated January 30, 2011, filed with the SEC on February 1, 2011 (Registration Number 333-146177), and incorporated into this Form 10-K by reference.
  Abraham Trading:  A vital part of ATC's trading strategy is sound risk management.  The good times, when the markets are in trending periods, will take care of themselves.  ATC's trading strategy is designed to endure the imminent non-trending periods in order to profit when trends in the markets do occur.  Each commodity interest is tracked on its own merits, and a stop loss level is determined at the time a trade is entered.  Stops are designed to weed out losing trades quickly and attempt to limit any loss to no more than a nominal percentage of the account's net assets.
  On average, ATC utilizes approximately 20% of the nominal account value of participating customers to meet initial margin requirements, although this percentage may vary widely.
  Since all trading methods and strategies to be utilized by ATC are proprietary and confidential, the foregoing discussion is necessarily of a general nature.
  Conquest Capital:  CCG sets its trade size on a security inversely proportional to the level of recent volatility of the security.  Each new position for a market is sized by calculating the number of contracts that would provide the desired dollar volatility for that market for that system.  CCG uses price volatility instead of return volatility in its calculations and does not implement pyramiding, scaling out of positions, and other methods of trading the equity curve as part of its portfolio management rules.
  CCG applies disciplined risk control methods to its Macro trading program, which are incorporated in the stop-loss and position size calculation for CCG systems.  CCG selects the level of exposure for the Macro program so that the maximum hypothetical drawdown is below acceptable real-time drawdown levels.  CCG selects from the following risk measures:  price volatility of positions at the time of entry, maximum per trade risk from entry to stop, maximum per trade risk from closing price to stop, portfolio maximum daily loss, portfolio maximum consecutive daily drawdown, standard deviation of portfolio daily returns, slippage as percentage of return, and liquidity.
  CCG’s trading programs have volatility-based stops for positions in the market.  Position sizes are based on price volatility to equalize risk at the trade initiation time for all markets within each trading program.
  Global Advisors (Jersey) Limited:GAJL  and its principals believe that money management discipline is a vital element of any trading program.  This discipline is comprised of the following major components which are utilized in the program:
  1.
Diversification
  GAJL trades primarily U.S. exchange-traded commodity futures and options on futures contracts, and may trade on any United States and non-United States exchange that has been designated as a “contract market” by the CFTC and on certain other non-United States exchanges.  “Commodity interests” include, but are not limited to, contracts on and for physical commodities, currencies, money market instruments and items which are now, or may hereafter be, the subject of trading futures contracts, swaps, and other commodity-related contracts.  GAJL may also trade the cash and forward markets, including the interbank market and exchange of futures for physicals for its client accounts.
  The trading strategy is designed to gain exposure to opportunities in the majority of actively traded market groups, while simultaneously limiting, to the extent possible, the exposure in any one particular group.  The intent of this policy is to increase, on a discretionary basis, opportunities for gain, decrease risk and provide more consistent returns.  Especially in view of the above, there may be times, due to market and other conditions, when trading is not well diversified; in fact, on occasion, there may be a heavy concentration of a given commodity (such as Brent crude) or a commodity complex (such as energies) which could result in a greater return or risk to the account.
  20
  2.
Risk Management
  GAJL estimates that for the program, which targets 10% annualized volatility, approximately 5%-10% of a client account’s net asset value on both an intraday and overnight basis will be committed to margin at any one time.  However, margin usage may, from time to time, be greater or less than this range, depending on market conditions, current margin requirements and changes in account equity.
  3.
Client Rebalancing
  GAJL seeks to ensure that market risk and return are appropriately balanced across clients in proportion to each client's account equity.  GAJL regularly balances clients' exposure to net position in each futures contract or option on futures contract, accordingly.
  Trades are allocated during the month on a ticket-by-ticket basis according to volume and price sequence parameters, determined near the beginning of the month with client account equities.  As the program's net contract positions are added to or reduced, each client's exposure to the program’s net position in a contract under this method may not exactly equal its proportionate level of risk as represented by its account equity.  To correct these risk imbalances, at its discretion, GAJL makes trades on a regular basis which rebalance client account risks to what they should be, given each client's account equity.  GAJL may simultaneously reduce a position for one client while adding to a position for another client at prevailing market prices to adjust each client’s risk to its appropriate level, given their account size as a proportion of the program’s overall assets under management.  Discretion includes employing knowledge of a contract's volatility and the size of the necessary rebalancing trades, and balancing that need with the desire to minimize slippage and commissions for clients.  Near the beginning of each month, GAJL rebalances each client account to reflect their proportion of the net equity in the program.
  Haar Capital Management:  HCM utilizes certain risk management tools, including stop-loss orders and portfolio diversification.  HCM also manages risk by varying the size of positions based in part on an assessment of market volatility.  To manage these risks, HCM evaluates the volatility and correlation across multiple markets, as well as projected price behavior in response to specific market-moving events, consistent with managing longer-term risks and evaluating longer-term trends.  No assurances can be made, however, that the historical market correlations will occur or persist in all market conditions.
  John W. Henry & Company:Stop-losses are used in some models and managed by JWH in a proprietary manner to balance the potential loss on any trade versus the opportunity for maximum profit.  Stop losses may not necessarily limit losses, since they become market orders upon execution; as a result, a stop-loss order may not be executed at the stop-loss price. Other models do not have any stop-loss methodology but rely on market diversification and a change in directional signals to offset risk. Risk in some programs may also be managed by varying position size or risk levels for a market, based in part on assessment of market volatility, while other programs will maintain position sizes in markets regardless of changes in volatility.  There are no systematic constraints on portfolio volatility or the maximum drawdown for any program. Volatility will not cause systematic adjustments to be made to existing positions. Some programs consider volatility in determining the size of positions initiated. Other programs do not consider volatility in determining the size of positions initiated.
  Modern portfolio techniques are used in an effort to construct an overall diversified portfolio for each JWH trading program.  However, some programs will have limited diversification because of their sector focus. These techniques will attempt to take into account the volatility and correlation of the markets that are included in the program. In an attempt to maintain diversification, portfolio adjustments will be made to account for systematic changes identified by JWH’s research in the relationships across markets. JWH at its sole discretion may override computer-generated signals and may at times use discretion in applying its quantitative models, which may affect performance positively or negatively.  This could occur, for example, when JWH determines that markets are illiquid or erratic, such as may occur cyclically during holiday seasons, or on the basis of irregularly occurring market events.
  Risk management research and investment program analysis may suggest modifications regarding the relative weighting among various contracts, modifying the style and/or timing used by an investment program to trade a particular contract, the addition or deletion of a contract traded by an investment program, or a change in position size in relation to account equity.  JWH’s research on these and other issues has resulted in investment program modifications from time to time in the past, and are expected to do so in the future.
  21
  Position size adjustments relative to account equityare an integral part of JWH’s investment strategy and historically have been made in a systematic manner as the equity in the account from trading profits increases.  JWH may override indicated systematic position size adjustments when, in its discretion, it deems that is warranted by its assessment of market conditions.  In the case of declines in equity, position sizes are generally maintained in spite of any trading losses. Systematic methods for maintaining or adjusting the trade size to equity in an account may affect performance and will alter the risk exposure of the account, with leverage increasing in down markets until losses are offset, and decreasing in profitable market conditions until systematic adjustments are made.
  Factors that may affect decisions to adjust the size of a position in relation to account equity include ongoing research, program volatility, current market volatility, risk exposure, subjective judgment, and evaluation of these and other general market conditions.
  NuWave Investment Management: In addition to the subjective decision making authority reserved for its principals, NW also maintains certain risk management procedures for determining the appropriate quantity of contracts to be traded for an account of a given size and for all accounts.  NW may adjust its trading portfolios and the position size of an order prior to placement, and/or after the initial position is established, based on such factors as past market volatility, prices of commodities, amount of risk, potential return and margin requirements.  The decision not to trade a certain futures interest at certain times or to reduce the number of contracts traded in a particular futures interest may result in missing significant profit opportunities that otherwise might have been captured if NW depended solely on the computer-based aspects of its trading strategy or on different trading strategies altogether.
  NW may, at its discretion, adjust leverage in certain markets or entire portfolios.  Adjustments to certain positions or entire portfolios for leverage may positively or negatively affect performance.  In addition, if an adjustment is made to one trading portfolio it is not necessarily made to all portfolios.  Factors which may affect the decision to adjust leverage include research, portfolio diversification, current market volatility, risk exposure, subjective judgment, and evaluation of other general market conditions.  No assurance is given that such leverage adjustments will be financially beneficial, and such leverage adjustments may actually result in lost opportunities or substantial losses.
  New client accounts may encounter certain risks related to the initial investment of assets during account start-up periods.  For example, during an account’s start-up period, the level of diversification may be lower than a previously existing account with a fully committed and diversified portfolio.  Also, a new account may commence trading in markets which have experienced price movement in the account’s favor but then subsequently retrace.
  Since NW considers preservation of initial assets paramount to producing trading results, NW employs risk management techniques in an effort to reduce risk. These techniques include attempts to trade multiple uncorrelated markets in an effort to diversify as well as to limit the equity committed to each market and market sector.  In addition, NW prefers to initiate new client accounts following periods of negative performance in order to protect initial capital.  No assurance can be given that such techniques will be financially beneficial, and such techniques may actually result in lost opportunities or substantial losses.
  Dominion Capital Management Institutional Advisors, Inc.:  The cornerstone to DCM’s approach to the markets is aggressive risk management.  DCM’s traders monitor the markets 24 hours a day, implementing DCM’s disciplined, systematic trading and risk management strategies.  DCM uses proprietary risk management software to monitor exposure and risk real-time (by position, sector, and portfolio). Money and risk management is dynamic and adjusts to different market conditions.
  Trigon Investment Management, LLC:  TIM Discretionary Macro Program implements a three-stage risk control framework.  At the portfolio level, capital at risk is limited to 6% of the net asset value.  Thus if all stops are elected and all premium goes to zero (the program is never net short premium), then the maximum 24-hour drawdown is designed to be limited to 6% of the net asset value.  At the strategy level, the program’s risk is roughly evenly divided between the Global Short-Term Rate and Opportunistic Strategies programs.  While some “borrowing” may occur (a strategy’s risk may edge above 3%), it would likely be modest.  This enforces diversification.  Finally, at the trade level, risk control is accomplished through trading of liquid markets with firm stops.  Trades typically risk about 35 basis points of the net asset value to a maximum of 70 basis points.
  Item 8.  Financial Statements and Supplementary Data
  Reference is made to the financial statements and the notes thereto filed as Exhibit 13.01 to this report.
  22
  The following summarized (unaudited) quarterly financial information presents the results of operations and other data for three-month periods ended March 31, June 30, September 30 and December 31, 2010 and 2009.
  First Quarter


Second Quarter


Third Quarter


Fourth Quarter2010


2010


2010


2010Total Trading Revenues (Loss)

$
(13,618
)

$
617,657


$
1,649,268


$
1,279,235Total Trading Expenses


1,133,490



1,083,762



1,042,319



1,373,892Trading Income (Loss)


(1,147,108
)


(466,105
)


606,949



(94,657
)Non-Trading Income (Loss)


(1,043,154
)


15,800,342



106,825



685,691Net Income (Loss)

$
(2,190,262
)

$
15,334,237


$
713,774


$
591,034Net Income (Loss) per Trading UnitClass A

$
(1.98
)

$
(0.90
)

$
0.85


$
(0.17
)Class B

$
(1.51
)

$
(0.40
)

$
1.40


$
0.35
 
 First Quarter


Second Quarter


Third Quarter


Fourth Quarter2009


2009


2009


2009Total Trading Revenues (Loss)

$
(2,140,261
)

$
(765,378
)

$
(188,857
)

$
(1,626,486
)Total Trading Expenses


1,652,338



1,296,651



1,344,653



1,217,881Trading Income (Loss)


(3,792,599
)


(2,062,029
)


(1,533,510
)


(2,844,367
)Non-Trading Income (Loss)


(489,501
)


2,305,261



(669,858
)


157,084Net Income (Loss)

$
(4,282,100
)

$
243,232


$
(2,203,368
)

$
(2,687,283
)Net Income (Loss) per Trading UnitClass A

$
(5.79
)

$
(3.33
)

$
(2.57
)

$
(4.86
)Class B

$
(5.22
)

$
(2.79
)

$
(2.06
)

$
(4.41
)
 
 The Trust has not disposed of any segments of its business.
  Item 9.  Changes in and Disagreements with Accountants on Accounting and Financial Disclosure
  None.
  Item 9A.  Controls and Procedures
  Evaluation of Disclosure Controls and Procedures: Under the supervision and with the participation of the management of R.J. O’Brien Fund Management, LLC, the Managing Owner of the Trust at the time this annual report was filed, including the Managing Owner’s Chief Executive Officer (the Trust’s principal executive officer) and Chief Financial Officer (the Trust’s principal financial officer), have evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Exchange Act) as of December 31, 2010.  The Trust’s disclosure controls and procedures are designed to provide reasonable assurance that information the Trust is required to disclose in the reports that the Trust files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms.  Based on this evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner have concluded that the disclosure controls and procedures of the Trust were effective at December 31, 2010.
  23
  Management's Report on Internal Control Over Financial Reporting.  The Managing Owner of the Trust is responsible for establishing and maintaining adequate internal control over financial reporting (as defined in Rule 13a-15(f) under the Exchange Act).  The Managing Owner has assessed the effectiveness of the Trust's internal control over financial reporting as of December 31, 2010.  In making this assessment, the Managing Owner used the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission, known as COSO, in Internal Control-Integrated Framework.  The Managing Owner has concluded that, as of December 31, 2010, the Trust's internal control over financial reporting is effective based on these criteria.  This report shall not be deemed to be filed for purposes of Section 18 of the Exchange Act or otherwise subject to the liabilities of that section.  This annual report does not include an attestation report of the Trust's independent registered public accounting firm regarding internal control over financial reporting.  Management's report was not subject to attestation by the Trust's independent registered public accounting firm pursuant to the rules of the SEC that permit the Trust to provide only management's report in this annual report.
  Changes in Internal Control Over Financial Reporting:  There were no changes in the Trust’s internal control over financial reporting, during the quarter ended December 31, 2010, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
  Limitations on the Effectiveness of Controls: Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.
  Item 9B.   Other Information.
  None.
  Part III
  Item 10.  Directors, Executive Officers and Corporate Governance
  There are no directors or executive officers of the Trust.  As of December 31, 2010, the Trust was managed by its Managing Owner, R.J. O’Brien Fund Management, LLC.  The officers and directors of the Managing Owner as of December 31, 2010 were as follows:
  R.J. O’Brien Fund Management, LLC
  Gerald Corcoran is Chief Executive Officer and Director of RJOFM:Gerry Corcoran was appointed Chief Executive Officer of RJO in June 2000 and was appointed as Chief Executive Officer of RJOFM in November of 2006.  He joined the RJO family in 1987 as Chief Financial Officer and served as Chief Operating Officer, a position he was promoted to in 1992.  He is also a member of the Board of Directors.  Prior to joining RJO, Mr. Corcoran served as controller for the Chicago Sun-Times, the nation’s seventh largest daily newspaper.  He is a former member of the Chicago Mercantile Exchange where he served on the Clearing House Committee.  Mr. Corcoran also serves on the Board of Governors of the Chicago Board of Trade Clearing Corporation, the only AAA rated clearing organization in the world.  Mr. Corcoran has a Bachelor of Business Administration from Loyola University and is a Certified Public Accountant.
  Thomas J. Anderson is Chief Financial Officer and Director of RJOFM:Mr. Anderson became the Chief Financial Officer of the Managing Owner on May 5, 2008 and became a principal of the Managing Owner on June 6, 2008.  He also serves as a manager of R.J. O’Brien & Associates, LLC and is a registered NFA principal since June 6, 2008 and an associated person and NFA associate member since May 13, 2008 of R.J. O’Brien & Associates, LLC.  He joined R.J. O’Brien & Associates, LLC and the Managing Owner in May 2008.  Prior to serving in these positions, Mr. Anderson served as Senior Vice President and Group Chief Operating officer for Newedge Financial Inc. (formerly known as Calyon Financial Inc.), a derivatives brokerage firm, from December 2006 to April 2008. From December 2000 through December 2006, Mr. Anderson served as Newedge’s Senior Vice President and Chief Financial Officer. Before joining Newedge, Mr. Anderson served in several capacities (including Assistant Controller, Controller and Chief Financial Officer) from July 1990 to December 2000 at Lind-Waldock & Company, a retail futures brokerage firm. From September 1987 to July 1990, Mr. Anderson was a Senior Auditor for Checkers, Simon & Rosner.  Mr. Anderson is also a registered representative of the lead selling agent.
  Annette A. Cazenave is Executive Vice President and Director of RJOFM:  With RJOFM’s purchase of RCMI in December of 2006, Ms. Cazenave joined RJOFM with over 26 years of comprehensive experience in alternative asset management (futures, derivatives and hedge funds) marketing and business management.  Ms Cazenave joined Cargill in March of 2004.  Previously, Ms. Cazenave was VP, Marketing and Product Development, for Horizon Cash Management, LLC (2002-2004).  Prior to this, she was President and Principal of Skylark Partners, Inc., in New York, a financial services consulting firm.  Additionally, Ms. Cazenave held senior level positions with ED&F Man Funds Division (now Man Investments) in New York (1986-1993).  Ms. Cazenave began her career in 1979 as a Sugar trader and holds a B.A. from Drew University and an M.B.A. from Thunderbird, The American Graduate School of International Management.
  24
  Each officer and director holds such office until the election and qualification of his or her successor or until his or her earlier death, resignation or removal.
  Section 16(a) Beneficial Ownership Reporting Compliance
  The Trust does not have any directors or officers of its own and no person is known to the Trust to beneficially own more than 10% of the outstanding units.
  Audit Committee
  The Managing Owner created an audit committee on August 27, 2008.  The audit committee with respect to the Trust is comprised of Gerald Corcoran, Thomas Anderson and Jamal Oulhadj.  None of the directors are considered to be independent as that term is used in Item 7(d)(3)(iv) of Schedule 14A under the Exchange Act.  Therefore, there is no Audit Committee Financial Expert.
  Code of Ethics
  The Trust does not have any officers; therefore, it has not adopted a code of ethics applicable to the Trust’s principal executive officer, principal financial officer, principal accounting officer and persons performing similar functions.  The Managing Owner operates the Trust and has adopted a code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer and persons performing similar functions.  This code of ethics is included by reference in Exhibit 14.01 of this annual report.
  Item 11.  Executive Compensation
  The Trust has no officers or directors.  The Managing Owner administers the business and affairs of the Trust (exclusive of Trust trading decisions which are made by the independent Advisors).  The officers and directors of the Managing Owner receive no compensation from the Trust for acting in their respective capacities with the Managing Owner.
  Item 12.  Security Ownership of Certain Beneficial Owners and Management and Related Unitholder Matters
  (a)
As of December 31, 2010, no person was known to the Trust to own beneficially more than 5% of the outstanding units.
  (b)
As of December 31, 2010, the Managing Owner beneficially held an ownership of $1,175,357 (which is the equivalent of 11,679 units) or approximately 2.26% of the ownership of the Trust as of that date.
  (c)
As of December 31, 2010, no arrangements were known to the Trust, including any pledges by any person of units of the Trust or shares of its Managing Owner or the parent of the Managing Owner, such that a change in control of the Trust may occur at a subsequent date.
  Item 13.  Certain Relationships and Related Transactions and Director Independence
  None.  The Trust does not have any directors or officers of its own nor is any person known to have beneficial ownership of more than 5% of the outstanding units.
  Item 14.  Principal Accounting Fees and Services
  (a)      Audit Fees
  The Trust paid CF & Co., L.L.P., the Trust’s independent registered public accounting firm, $134,732 and $149,601 respectively for the 2010 and 2009 audits and for professional services rendered in connection with the audit of the Trust’s annual financial statements included in the Trust’s Form 10-K filings, the review of financial statements included in the Trust’s Form 10-Q filings and review of other SEC filings.
  25
  (b)
Audit-Related Fees
  The Trust did not pay CF & Co., L.L.P. any amount in 2010 or 2009 for assurance reviews and related professional services rendered in connection with the audit or review of the Trust’s financial statements that are not covered by Item 14(a) above.
  (c)
Tax Fees
  The Trust did not pay CF & Co., L.L.P. any amount in 2010 or 2009 for professional services in connection with tax compliance, tax advice and tax planning.  The Trust engaged Deloitte & Touche LLP, which does not provide audit services to the Trust, to provide professional services in connection with tax compliance, tax advice and tax planning and paid Deloitte & Touche LLP $125,000 for such services for 2010 and $125,000 for such services for 2009.  These fees consisted primarily of services rendered in connection with the preparation of a Schedule K-1 to IRS Form 1065 for each unitholder.
  (d)
All Other Fees
  None.
  (e)
Audit Committee Pre-Approval Policies and Procedures
  (i)
The audit committee with respect to the Trust has not developed pre-approval policies as of the date of this report.  Consequently, all audit and non-audit services provided by CF & Co., L.L.P. must be approved by the directors of the Managing Owner.
  (ii)
None of the services described in Item 9(e)(2) through 9(e)(4) of Schedule 14A of the Securities Exchange Act of 1934 were provided by CF & Co., L.L.P. therefore, no services were required to be approved by the board of directors of the Managing Owner on behalf of the Trust.
  (f)
Less than 50% of the hours expended on CF & Co., L.L.P.’s audit of the Trust’s financial statements were attributable to the work of persons who were not full-time, permanent employees of CF & Co., L.L.P.
  Part IV
  Item 15.  Exhibits, Financial Statements, Schedules
  (a)
The following documents are included herein:
  (1)
Financial Statements:
  a.
Report of Independent Registered Public Accounting Firm — CF & Co., L.L.P.
  b.
Consolidated Statements of Financial Condition as of December 31, 2010 and 2009.
  c.
Condensed Consolidated Schedules of Investments as of December 31, 2010 and 2009.
  d.
Consolidated Statements of Operations, for the years ended December 31, 2010, 2009 and 2008.
  e.
Consolidated Statements of Changes in Unitholders’ Capital for the years ended December 31, 2010, 2009 and 2008.
  f.
Notes to Consolidated Financial Statements.
  (2)
All financial statement schedules have been omitted either because the information required by the schedules is not applicable, or because the information required is contained in the financial statements herein or the notes hereto.
  (3)
Exhibits:
  26
  Index to Exhibits
  ExhibitNumber

Description of Document1.01

Second Amended and Restated Selling Agreement among R.J. O’Brien  Securities, LLC (the “Lead Selling Agent”), RJO Global Trust (the “Registrant”), R.J. O’Brien Fund Management, LLC (the “Managing Owner”).1.02

First Amendment to the Second Amended and Restated Selling Agreement, made as of June 29, 2010, among the Lead Selling Agent, the Registrant and the Managing Owner. (2)3.01

Ninth Amended and Restated Declaration and Agreement of Trust, dated as of September 1, 2010. (2)3.02

Restated  Certificate of Trust. (3)10.01

Form of Subscription Agreement and Power of Attorney. (2)10.02*

Amended and Restated Advisory Agreement, made as of September 16, 2008, among JWH Global Trust, R.J. O’Brien Fund Management, LLC, and John W. Henry & Company, Inc. (4)10.03*

Advisory Agreement, made as of August 25, 2008, among JWH Global Trust, R.J. O’Brien Fund Management, LLC, and Abraham Trading, L.P. (4)10.04*

Advisory Agreement, made as of January 28, 2009, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and NuWave Investment Management, LLC. (1)10.05*

Advisory Agreement, made as of June 1, 2009, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Global Advisors (Jersey) Limited. (5)10.06*

Advisory Agreement, made as of July 1, 2009, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Conquest Capital, LLC. (5)10.07*

Advisory Agreement, made as of  July 1, 2009, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Haar Capital Management, LLC. (5)10.08*

Advisory Agreement, made as of October 1, 2010, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Dominion Capital Management Institutional Advisors, Inc. (6)10.09*

Advisory Agreement, made as of October 1, 2010, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Trigon Investment Advisors, LLC. (6)10.10

Customer Agreement between Registrant and R.J. O’Brien & Associates, Inc., dated September 27, 2006. (7)13.01

Annual Report to Unitholders for Fiscal Year 2010.14.01

R.J. O’Brien Fund Management, LLC Code of Ethics.31.01

Rule 13a-14(a)/15d-14(a) Certifications of Principal Executive Officer.31.02

Rule 13a-14(a)/15d-14(a) Certifications of Principal Financial Officer.32.01

Section 1350 Certification of Chief Executive Officer.32.02

Section 1350 Certification of Chief Financial Officer.
 
 
 *Confidential Treatment was requested and granted with respect to the omitted portions of these exhibits.
 27
  (1)    Incorporated by reference herein from the exhibit of the same description filed on March 30, 2009 with Registrant’s Annual Report on Form 10-K.
  (2)    Incorporated by reference herein from the exhibit of the same description filed on December 2, 2010 with the Registrant’s registration Statement on Form S-1.
  (3)    Incorporated by reference herein from the exhibit of the same description filed on September 30, 2008 on Form 8-K
  (4)    Incorporated by reference herein from the exhibit of the same description filed on October 6, 2008 with Post-Effective Amendment No. 2 to the Registrant’s Registration Statement on Form S-1 (Reg. No. 333-146177).
  (5)    Incorporated by reference herein from the exhibit of the same description filed on August 14, 2009 with the Registrant’s quarterly  report on Form 10-Q.
  (6)    Incorporated by reference herein from the exhibit of the same description filed on November 12, 2010 with the Registrant’s quarterly report on Form 10-Q.
  (7)    Incorporated by reference herein from the exhibit of the same description filed on July 5, 2007 with the Registrant’s annual report on Form 10-K.
  28
  SIGNATURES
  Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
  Date: March 29, 2011
RJO GLOBAL TRUSTBy: R.J. O’Brien Fund Management, LLC.(Managing Owner)By:
/s/ Thomas J. AndersonThomas J. AndersonVice President andChief Financial Officer
  Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, this Form 10-K has been signed below by the following persons on behalf of the Registrant on March 29, 2011, and in the capacities indicated:
  R.J. O’Brien Fund Management, LLC.
  Signatures

Title/s/ Gerald Corcoran

Chief Executive Officer and DirectorGerald Corcoran

(principal executive officer)/s/ Thomas J. Anderson

Chief Financial Officer and DirectorThomas J. Anderson

(principal financial and accounting officer)/s/ Annette Cazenave

Executive Vice President and DirectorAnnette Cazenave
  29