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, 2008




OR




o 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.


o
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    o  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    o  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  o  Accelerated
filer   o   Non-accelerated
filer     xSmaller reporting
company   o




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


o
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:  $81,682,621 as of June 30, 2008.




DOCUMENTS
INCORPORATED BY REFERENCE




The  sections
of the Trust’s prospectus dated on December 12, 2008 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
                  
                  4Item
      1A. Risk Factors
                  
                  7Item
      1B. Unresolved Staff Comments
                  
                  7Item
      2. Properties
                  
                  7Item
      3. Legal Proceedings
                  
                  7Item
      4. Submission of Matters to a Vote of Security Holders
                  
                  8Part
      IIItem 5. Market for the Registrant’s Units and Related
      Security Holder Mattersand Issuer
      Purchases of Equity Securities
                  
                  8Item
      6. Selected Financial Data
                  
                  8Item
      7. Management’s Discussion and Analysis of Financial Condition and Results
      of Operations
                  
                  9Item
      7A. Quantitative and Qualitative Disclosures About Market
      Risks
                  
                  14Item
      8. Financial Statements and Supplementary Data
                  
                  18Item
      9. Changes in and Disagreements with Accountants on Accounting and
      Financial Disclosure
                  
                  19Item
      9A(T). Controls and Procedures
                  
                  19Item
      9B. Other Information
                  
                  19Part
      IIIItem 10. Directors, Executive Officersand Corporate Governance
                  
                  19Item
      11. Executive Compensation
                  
                  20Item 12. Security Ownership of Certain Beneficial
      Owners and Managementand Related
      Unitholder Matters
                  
                  21Item 13. Certain Relationships and Related
      Transactions, and Director
      Independence
                  
                  21Item
      14. Principal Accounting Fees and Services
                  
                  21Part
      IVItem
      15. Exhibits, Financial Statements, Schedules
                  
                  22







Part
I




Item
1.  Business




General
Development of Business: Narrative Description of Business




RJO
Global Trust (the “Trust”), formerly the JWH Global 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, 2008, trading decisions for the Trust
have been delegated to five independent commodity trading advisors: John W.
Henry & Company, Inc. (“JWH”), AIS Futures Management (“AIS”), Abraham
Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”)
(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”.)  Effective
February 1, 2009, NuWave Investment Management, LLC (“NuWave”) became the
Trust’s sixth Advisor.




RJO is a
“Futures Commission Merchant”, the Managing Owner is a “Commodity Pool Operator”
and the Advisors to the Trust are “Commodity Trading Advisors”, 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 was declared
effective with the SEC to register 1,000,000 additional units.




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.




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; and (ii) to cause the Trust to pay brokerage
commissions at the rates provided for in the Trust’s prospectus dated December
12, 2008 (the ” Prospectus”); and to pay delivery, insurance, storage, service
and other fees and charges incidental to the Trust’s trading.  The
Managing Owner also advances payment of ongoing offering expenses for which it
receives reimbursement, subject to a ceiling of 0.5% of the Trust’s average
month-end net assets during any fiscal year.  For the year ended
December 31, 2008, $473,000 of ongoing offering costs were paid or accrued in
connection with filing of the registration statement to renew the offering of
units.




1




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, 2008, JWH was managing 22%, AIS 11%, ATC 22%,
GALP 21% and PLP 19% of the Trust’s assets.  Five percent of the
assets were not allocated to any of the advisors.  The Advisory
Agreements with each Advisor commenced on November 1, 2008.




Pursuant
to the Advisory Agreements effective November 1, 2008 signed with JWH, ATC, AIS,
GALP and PLP, 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.)  On November 1, 2008 the Trust allocated 20%
of its assets to each of these Advisors’ programs: JWH’s Diversified Plus
program, AIS’s MAAP 2X-4X program, ATC’s Trading Diversified program, GALP’s
Commodity Systematic program, and PLP’s Tactical Macro program.




The
Advisory Agreements terminate automatically in the event that the Trust is
terminated in accordance with the Eighth 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 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 Commodity Trading Advisor, of the Advisor with the 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 thirty days’ written notice to the Trust in the event (A) that 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 respect4.  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.




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.







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 Under
this provision in AIS’s Advisory Agreement, the Trust and the Managing Owner may
terminate the Advisory Agreement only if AIS commits a material
violation of any trading policy, as defined therein.
 3 The
Trust requested and was granted 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.
  2





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.




Pursuant
to the Advisory Agreement between the Trust and JWH, prior to October 1, 2000,
the Trust paid JWH a monthly management fee of 0.33% of the month-end net assets
under its management and a quarterly incentive fee of 15% of the Trust’s new
trading profits, if any, attributable to assets under its management (both fees
are calculated after deduction of a portion of the brokerage commissions at a
1.25% annual rate, rather than the full brokerage
commission).  Effective October 1, 2000, the management fee was
reduced to 0.167% (a 2% annual rate) and the incentive fee was increased to
20%.  Trading profits are calculated on the basis of the overall
performance of the Trust, not the performance of each Trading Program utilized
by JWH, considered individually.  The Trust trades in the global
futures and forward markets pursuant to the Advisor’s proprietary trading
strategies.  From the commencement of trading on June 2, 1997 until
October 1998, the Trust allocated its assets 50% to the Original Investment
Program and 50% to the Financial and Metals Portfolio.  For the period
beginning October 5, 1998 and ending December 31, 1999, the Trust allocated its
assets 40% to the Original Investment Program, 35% to the Financial and Metals
Portfolio and 25% to the G-7 Currency Portfolio.  On January 1, 2000,
the Trust substituted the JWH GlobalAnalytics® Family of Programs for the
Original Investment Program and reallocated Trust assets 40% to the Financial
and Metals Portfolio, 30% to the G-7 Currency Portfolio and 30% to the JWH
GlobalAnalytics® Family of Programs.  For the period beginning August
1, 2005, the Trust allocated 30% of its assets to Financial and Metals
Portfolio, 30%  to GlobalAnalytics, 20% to International Foreign
Exchange and 20% to Global Financial and Energy.  For the period
beginning July 1, 2006 the Trust substituted the Global Diversified program for
the Global Financial & Energy program.  Beginning on March 1,
2008, the Trust allocated 20% of its assets to the Financial and Metals
Portfolio, 40% to GlobalAnalytics, and 40% to JWH Diversified Plus.




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, 75% of
interest earned on the Trust’s assets, calculated by the average four-week
Treasury Bill rate, is paid to the Trust, while 25% of the return earned on cash
as a whole is retained by the clearing broker.  For all other
deposits, 99% of the interest earned on the Trust’s assets, calculated by the
three-month LIBOR rate, is paid to the Trust.  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.




The Trust
currently has no salaried employees and all administrative services performed
for the Trust were performed by the Managing Owner until June 30,
2007.  As of July 1, 2007 accounting services for the Trust are
provided by SS&C Technologies and Transfer Agency services are provided by
Bank of New York Mellon Corp.  The Managing Owner has no employees
other than their officers and directors, all of whom are employees of the
affiliated companies of the Managing Owner.




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 and 2,273,288
in substitute units were issued to the unitholders at that time, prorata 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:




(a)
            
            Any
      unitholder who had redeemed their entire interest in the Trust prior to
      distribution shall receive cash (“Non Participating
    Owners”).




3




(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 initial
acceptance fee of $120,000,  (2) An annual fee of
$25,000,  (3) A distribution fee of $25,000 per
distribution,  (4) Out-of-pocket
expenses,  and  (5) 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 RCMAdditional
      Units in Trust for Participating OwnersDate
                      
                      Amounts
      Received fromRCM
                      
                      
                      Balance
      ofImpaired
      Value
                      
                      
                      Collections
      in Excess ofImpaired
      Value
                      
                      
                      Cash
      Distributions to Non-ParticipatingOwners
                      
                      
                      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
                      
                      
                      
                      -
                      
                      
                      
                      -
                      
                      
                      
                      -Totals
                      
                      $
                      25,970,753
                      
                      
                      $
                      -
                      
                      
                      $
                      9,007,491
                      
                      
                      $
                      9,210,585
                      
                      
                      
                      88,833
                      
                      
                      $
                      7,967,152




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, 2008, 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.




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.  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.  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 also provide paper copies of such reports and amendments to its investors
free of charge upon written request.




4




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 Trust’s prospectus dated December 12, 2008, and filed
with the Securities and Exchange Commission on December 12,  2008
(Registration Number 333-146177), and incorporated into this Form
10-K  by reference.




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.




Item
4.  Submission of Matters to a Vote of Security Holders




None.




Part
II




Item
5.  Market for the Registrant’s Units and Related Security Holder
Mattersand 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, 2008, there were 658,747 units held in the Trading Account by
Beneficial Owners for an investment of $78,645,263 and 11,679 units held in the
Trading Account by the Managing Owner for an investment of
$1,394,355.  A total of 183,863 units had been redeemed by Beneficial
Owners and 9,868 units by the Managing Owner during the period of January 1,
2008 to December 31, 2008.  The Managing Owner purchased an additional
1,379 units on July 31, 2008.  The Trust’s Eighth Amended and Restated
Declaration and Agreement of Trust contains a full description of redemption and
distribution procedures.  998,671 ($119,231,331) (SEC Registration
Number 333-146177) units remain unsold as of December 31, 2008.




(iii) To
date no distributions have been made to owners of beneficial interest in the
Trading Account of the Trust.  The Eighth 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 owners of beneficial
interest.  The Managing Owner has not declared any such distributions
to date, and does not currently intend to declare such
distribution.




(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 during the period January 1, 2008 through
      December 31, 2008.




Item
6.  Selected Financial Data




The
following Selected Financial Data is presented for the years ended December 31,
2004, 2005, 2006, 2007 and 2008 and is derived from the financial statements for
such fiscal years.




5




2004
              
              
              2005
              
              
              2006
              
              
              2007
              
              
              20081 Revenues
      (000)
              
              $
              36,504
              
              
              $
              3,569
              
              
              $
              (15,853
              )
              
              $
              (4,425
              )
              
              $
              38,3212 Net Income (Loss)
      From Continuing Operations (000)
              
              
              8,847
              
              
              
              (20,433
              )
              
              
              (29,194
              )
              
              
              (12,427
              )
              
              
              27,8893 Net Income (Loss)
      Non-Trading (000)
              
              
              -
              
              
              
              (39,879
              )
              
              
              (538
              )
              
              
              5,510
              
              
              
              1,8074 Net Income (Loss)
      Per Unit
              
              
              (1
              )
              
              
              (10
              )
              
              
              (19
              )
              
              
              (9
              )
              
              
              345 Total Assets
      (000)
              
              
              342,627
              
              
              
              223,617
              
              
              
              140,705
              
              
              
              83,423
              
              
              
              92,0076 Net Asset Value
      per Unit-Trading
              
              
              149
              
              
              
              113
              
              
              
              94
              
              
              
              85
              
              
              
              119




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 2008, no units were purchased by the Beneficial
Owners.  The Managing Owner  purchased 1,329 units during
this time.  For the fiscal year ended December 31, 2008, the
Beneficial Owners redeemed a total of 183,863 units for
$20,080,379.  A total of 10,736 units were issued to Beneficial Owners
as a result of a distribution from JWH Special Circumstances LLC.  The
Managing Owner redeemed a total of 9,868 units for $1,105,206.  For
the fiscal year ended December 31, 2007, the Beneficial Owners redeemed a total
of 474,881 units for $39,549,143 and the Managing Owner redeemed a total of 0
units.




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
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.




During
the fiscal year-ended December 31, 2008, 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




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.




6




The Trust
earns interest on 100% of the Trust’s average daily balances on deposit
with  RJO during each month at 75% 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 LIBOR less 100 basis points.  For the
calendar year ended December 31, 2008, RJO had paid or accrued to pay interest
of $930,613 to the Trust.  For the calendar year ended December 31,
2007, the clearing broker paid or accrued to pay interest of $3,076,787 to the
Trust.




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.




(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
and GALP 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 Advisors, AIS and PLP, economic fundamentals and macroeconomic
assessments are made.




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 GALP for November and December of
2008.  November and December also reflect the opportunities captured
on a fundamental basis by AIS and PLP.  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
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.




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 (7) 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.




7




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 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 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 through out the quarter.  Grain
prices moved higher on concerns of how the Midwest floods would impact planting
and future yields.




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 have negatively impacted demand while supply side
fundamentals have 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 dollar.




8




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 dollar
reasserted its status as the world’s reserve currency.  The Trust
benefited from the strength of the 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.  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.




2007




The JWH
Global Trust posted a loss of 9.77% for 2007.  The Net Asset Value per
Unit at year-end was $84.69 (please see Note (1) and Note (7) in the notes to
the financial statements for more information with respect to the calculation of
Net Asset Value) compared to $93.86 per unit at the beginning of the
year.  There were no contributions to the Trust during
2007.




The
Trust’s performance was negative for the first quarter of 2007.  The
interest rate sector was the Trust’s best performing sector early in the
quarter, only for gains to be given back.  On high volatility, the
European 10-year bond yields, U.K. two-year gilt, German debt, Japanese
government bonds and U.S. Treasuries fell, rallied and fell again during the
quarter.  The currency sector was the Trust’s worst performing sector
during the quarter as currency markets whip-sawed with extreme
volatility.  The largest losses occurred in the British pound and the
yen with slight gains produced in the euro and Australian dollar.  The
energy sector was positive for the quarter despite changing weather conditions
and predictions which caused extreme volatility within the
sector.  Crude oil and London gas oil were the best performers while
natural gas was the worst performer.  The metals sector was negative
for the quarter as precious metal prices reacted to fluctuations in the U.S.
dollar and the equity markets.  The sector started the quarter with
negative results, moving to slightly positive performance mid-quarter before
reversing back with negative results.  The equity indices sector was
negative for the quarter.  Intra-month volatility early in the quarter
hurt the sector’s performance.  The plunge in the Chinese equity
market sparked a global sell-off and drop in equity prices which continued
through the quarter.  The agriculture sector was negative for the
quarter even with a mid-quarter rally.  As global equity markets
plunged, investors took profits out of commodities.  Slight gains were
achieved in corn and New York coffee and sugar.




The
Trust’s performance was positive for the second quarter.  Global
financial markets recovered from the explosion in volatility that occurred at
the end of February and continued into March.  The currency, interest
rate and indices sectors were the best performers for the
quarter.  The euro reached a historical high against both the U.S.
dollar and the Japanese yen and the British pound reached a 25-year high against
the dollar.  The global stock indices sector was positive for the
quarter driven by  stronger-than-expected  earnings, an
increase in mergers and acquisitions, economic growth in Europe, and benign
inflation in the U.S.  Global interest rates sustained their steady
rise as economic growth continued in Europe and as the U.S. housing market began
to stabilize.  The European government bonds led performance in this
sector.  U.S. Treasuries also bolstered performance.  The
energy sector was negative for the quarter with slight gains achieved in
June.  Prices across this sector were range-bound earlier in the
quarter until increased terrorism fears combined with lower supplies in
Petroleum-based products provided direction.  The metals sector
started the quarter on a positive note, moved negatively mid-quarter to flat at
quarter-end.  Volatility and whip-saw prices were most pronounced in
copper, gold and silver and affected over-all sector performance.  The
agriculture sector was negative for the quarter.  Like the metals
sector, the agriculture sector started on a positive note and moved to negative
and then to flat at quarter-end.  Most losses, at different intervals,
were in CBOT wheat, corn, New York coffee and corn.




The
Trust’s performance was negative for the third quarter.  Many of the
trends which contributed to second quarter gains were either disrupted or
ended.  The U.S. sub-prime crisis spread globally and financial
markets were negatively impacted by rising volatility and trend
reversals.  Gains in agriculture, energy and metals were not enough to
offset losses in currencies, interest rates and indices during the middle of the
quarter.  Indices and currencies recovered into positive territory at
the end of the quarter while interest rates did not.  This sector was
the only unprofitable sector by quarter-end.




9




The
Trust’s performance was positive for the fourth quarter.  Apprehension
regarding the sub-prime crisis spilled into the last quarter of the
year.  The Federal Reserve cut rates mid-quarter, and most markets
were directionless by the end of the quarter.




Four of
the six sectors traded by the Trust were profitable for most of the quarter,
with metals, energy and agriculture sectors contributing the most.




2006




The JWH
Global Trust posted a loss of 16.9% for 2006.  The Net Asset Value at
year-end was $93.86 (please see Note (1) and Note (7) in the notes to the
financial statements for more information with respect to the calculation of Net
Asset Value) compared to $112.96 per unit at the beginning of the
year.  There were no contributions to the Trust during
2006.




The
Trust’s performance in the first quarter was negative.  The currency
sector led the Trust’s losses as the sharp reversal in the U.S. dollar’s
strength continued into January.  The U.S. dollar dropped 2.3% and
1.25% against the euro and the British pound, respectively.  The
energy sector suffered losses as geopolitical events and changing weather
forecasts induced volatility.  The agriculture sector was slightly
negative as sugar prices rose to their highest levels since
1989.  Metals led the positive performing sectors, along with gains
achieved in the indices and interest rate sectors.  Metals benefited
as silver gained 31% for the quarter and gold reached a 25-year
high.  The indices sector also gained as Asian stocks approached a
16-year high.  The interest rate sector benefited as Japanese, German
and U.S. government debt sold off on stronger-than-expected economic
data.  Yields on the German benchmark two-year bonds rose to their
highest point in more than 3 years, while Japanese 10-year government bonds
(JGBs) fell after the Bank of Japan (BOJ) ended its 5-year policy of flooding
the Japanese economy with cash.




The
Trust’s performance was negative during the second quarter.  The
German benchmark 10-year bund yield touched 4% for the first time since
October  2004.  The metal and currency sectors also added to
performance in April as both precious and base metals continued to trend higher
due to inflationary fears and increased demand.  Currencies benefited
as the U.S. dollar continued to weaken.  Gold climbed above $650/oz
for the first time in 25 years while the U.S. dollar fell 4.1% against the
euro.  In  mid-quarter, the interest rate, metal,
agriculture and indices sectors suffered from large market
corrections.  Increased inflationary fears and concerns over the
global economy led investors to take profits and reduce risk
exposure.   The Dow Jones Industrial Average closed on May 9th within
84 points of a new record high; however later weakened, ending May with their
worst monthly decline in almost two years.  This caused
a  “contagion effect” in the metal and currency
sectors.  Gold fell 12% after reaching a 26-year high of $732 an ounce
on May 12th.  The
dollar fell to an eight-month low of 109 yen /dollar on May 17th and
reached a one-year low of $1.297 per euro.  In June, all of April’s
gains were erased as all six sectors were negative, with the currency, metals
and interest rate sectors responsible for the majority of the Trust’s
losses.   The possibility of a larger-than-expected interest rate
move sent the U.S. dollar and U.S. treasury yields higher.  However
the markets suffered another reversal after the Fed raised rates by only 25
basis points.  The dollar ended the quarter 5.3% lower against the
euro and 2.8% lower versus the yen- the greatest percentage decrease since the
last quarter of 2004.




The
Trust’s performance was positive for the third quarter.  The interest
rate sector was positive as U.S. treasuries had their biggest quarterly gain in
4 years, and European 10-year bonds posted their first quarterly gain since June
2005.  The U.S. 10-year note touched a seven-month low of 4.53% on
September 25th, down
from 5.14% on June 30th.  JGBs also helped performance as investors speculated that
the BOJ would keep interest rates at their current level for the remainder of
the year.  The energy sector was also positive, albeit with increased
volatility.  Natural gas and crude oil prices tumbled in September as
mild weather in the Midwestern United States cut demand and inventories climbed
toward an all-time high.   Meanwhile, crude oil prices fell 20%
after touching a record high of $78.40 a barrel on July 14th as fuel
stockpiles increased and tensions in the Middle East
eased.  Currencies were negative for a third consecutive
quarter.  Currency markets continued to experience reversals with
speculation about the health of the U.S. economy and global
inflation.  The metals sector suffered as commodities as an asset
class had its biggest quarterly decline in at least 50 years.  The
Commodity Research Bureau index ended the third quarter down 12%, its largest
decline since 1956.  Gold prices fell 18% from a 26-year high of $732
an ounce in May.  The indices and agriculture sectors were also
negative for the quarter as sugar prices plunged, while the indices sector
suffered as fears over slower growth in the U.S. and Japan kept equity markets
lower for the majority of the quarter.




The
Trust’s performance was negative for the fourth quarter.  In the fixed
income sector, German and U.S. government bonds fell, experiencing reversing
trends while the JGBs oscillated due to market speculation.  The
metals sector was also negative for the quarter as precious metals
fell.  The currency sector added to the Trust’s losses in December as
the U.S. dollar’s weakening trend suffered a reversal.  The
agriculture and indices sectors offset losses as corn prices had their biggest
annual gain ever, reaching a 10-year high.




(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.




10




(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.




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




11




Reform
Act of 1995 (set forth in Section 27A of the Securities Act and Section 21E of
the Securities Exchange Act of 1934).  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.




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 2008 and 2007.  All open position trading risk exposures
of the Trust have been included in calculating the figures set forth
below.  During fiscal year 2008, the Trust’s average total
capitalization was approximately $81.6 million, and during fiscal year 2007, the
Trust’s average total capitalization was approximately $89.9
million.




12






FISCAL
      YEAR 2008Market
                                              
                                              Highest
                                              
                                              
                                              Lowest
                                              
                                              
                                              Average
                                              
                                              
                                              % ofSector
                                              
                                              Value
                                              
                                              
                                              Value
                                              
                                              
                                              Value
                                              
                                              
                                              Averageat Risk*
                                              
                                              
                                              at Risk*
                                              
                                              
                                              at Risk*
                                              
                                              
                                              Capitalization**Agriculture
                                              
                                              $
                                              3.6
                                              
                                              
                                              $
                                              1.1
                                              
                                              
                                              $
                                              1.2
                                              
                                              
                                              
                                              1.5
                                              %Currencies
                                              
                                              $
                                              3.7
                                              
                                              
                                              $
                                              0.2
                                              
                                              
                                              $
                                              1.6
                                              
                                              
                                              
                                              2.0
                                              %Energies
                                              
                                              $
                                              3.3
                                              
                                              
                                              $
                                              0.5
                                              
                                              
                                              $
                                              1.3
                                              
                                              
                                              
                                              1.6
                                              %Indices
                                              
                                              $
                                              1.8
                                              
                                              
                                              $
                                              0.0
                                              
                                              
                                              $
                                              0.9
                                              
                                              
                                              
                                              1.1
                                              %Interest
      Rates
                                              
                                              $
                                              4.9
                                              
                                              
                                              $
                                              1.5
                                              
                                              
                                              $
                                              1.6
                                              
                                              
                                              
                                              2.0
                                              %Metals
                                              
                                              $
                                              3.2
                                              
                                              
                                              $
                                              0.5
                                              
                                              
                                              $
                                              0.8
                                              
                                              
                                              
                                              1.0
                                              %Total
                                              
                                              $
                                              20.4
                                              
                                              
                                              $
                                              3.8
                                              
                                              
                                              $
                                              7.4
                                              
                                              
                                              
                                              9.2
                                              %
  FISCAL
      YEAR 2007Market
                                
                                Highest
                                
                                
                                Lowest
                                
                                
                                Average
                                
                                
                                % ofSector
                                
                                Value
                                
                                
                                Value
                                
                                
                                Value
                                
                                
                                Averageat Risk*
                                
                                
                                at Risk*
                                
                                
                                at Risk*
                                
                                
                                Capitalization**Agriculture
                                
                                $
                                3.0
                                
                                
                                $
                                1.0
                                
                                
                                $
                                2.0
                                
                                
                                
                                2.2
                                %Currencies
                                
                                $
                                9.7
                                
                                
                                $
                                2.2
                                
                                
                                $
                                6.4
                                
                                
                                
                                7.1
                                %Energies
                                
                                $
                                2.4
                                
                                
                                $
                                0.1
                                
                                
                                $
                                1.7
                                
                                
                                
                                1.9
                                %Indices
                                
                                $
                                3.0
                                
                                
                                $
                                0.3
                                
                                
                                $
                                1.9
                                
                                
                                
                                2.1
                                %Interest
      Rates
                                
                                $
                                6.0
                                
                                
                                $
                                2.1
                                
                                
                                $
                                3.7
                                
                                
                                
                                4.1
                                %Metals
                                
                                $
                                2.3
                                
                                
                                $
                                0.3
                                
                                
                                $
                                1.1
                                
                                
                                
                                1.2
                                %Total
                                
                                $
                                26.4
                                
                                
                                $
                                6.4
                                
                                
                                $
                                16.8
                                
                                
                                
                                18.6
                                %


*   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.




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.”




13




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 substantially all 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 75% of the four-week Treasury Bill rate.  As of December
31, 2008 and December 31, 2007, the Trust had approximately $83.5 million and
$72.9 million, respectively, in cash on deposit with RJO.




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 and Section 21E of the Securities Exchange
Act.  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
following were the primary trading risk exposures of the Trust as of December
31, 2008, 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 and dollar/pound
positions, and recently dollar/Canadian dollar, 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 — e.g., 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.




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,
2008, the Trust’s primary exposure was in the Osaka Nikkei (Japan) and the DAX
(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.  Coffee,
corn, wheat, beans, soybean oil, cotton, cocoa and sugar accounted for the
substantial bulk of the Trust’s agricultural exposure as of December 31, 2008
and December 31, 2007.  In the past, the Trust has had market exposure
to live cattle, and the soybean complex and may do so again in the
future.




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.




14




Qualitative
Disclosures Regarding Non-Trading Risk Exposure




The
following were the only non-trading risk exposures of the Trust as of December
31, 2008 and December 31, 2007.




Foreign Currency
Balances.  The Trust’s primary foreign currency balances are in
Japanese yen, British pounds and Swiss francs.




Cash Position.  The
Trust held substantially all its assets in cash at R.J. O’Brien &
Associates, earning interest at 75% of the average four-week Treasury Bill rate
(calculated daily).




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.




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 Trust’s prospectus dated December 12, 2008, and filed
with the Securities and Exchange Commission on December 12, 2008 (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.




AIS
Futures Management:  The risk of the portfolio is in market
moves against the positions held in the portfolio.  When in a losing
position and equity is lost, positions are reduced so that the leverage is never
materially higher than the maximum allowed in the program.  Under this
method, the maximum acceptable margin to equity ratio is not
violated.  Effectively, this method reduces exposure as markets move
against positions.




Global
Advisors:  GALP 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




GALP
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.  GALP may also trade the cash and forward markets,
including the interbank market and exchange of futures for physicals (“EFPs”)
for its client accounts.




15




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.




2.
            Risk
      Management




GALP
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




GALP
seeks to ensure that market risk and return are appropriately balanced across
clients in proportion to each client's account equity.  GALP 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, GALP makes trades on a regular basis which
rebalance client account risks to what they should be, given each client's
account equity.  GALP 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, GALP rebalances each
client account to reflect their proportion of the net equity in the
program.




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.




16




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.




Peninsula
LP:  Peninsula
believes that one of the most significant risks for discretionary strategies is
proper position sizing.  What makes position sizing challenging is the
non-stationary nature of volatility, correlation and
liquidity.  Stated in another way, it is the risk that at any given
time the actual position size may be greater than the optimal position size due
to fluctuations in these variables, causing a deterioration of the risk/reward
ratio.  And conversely and just as importantly, the position size may
be too small relative to the optimal position size, resulting in a sub-optimal
exploitation of an opportunity.




Position
sizing is a function of Peninsula’s conviction of the trade and its duration,
and its assessment of potential downside.  Its downside risk framework
for individual positions and strategies is multi-dimensional.  We
analyze the expectations for moderate downside occurrences, as well as severe
downside occurrences, to determine potential losses.  The risk
management objective is two-fold:  minimize the probability of
drawdown as well as the magnitude of the drawdown.




Peninsula  uses
historical volatility, correlation and liquidity analysis for individual
strategies and positions.  Given its belief that these variables are
non-stationary, it uses our internally-developed views about prospective
volatility, correlation and liquidity to supplement the historical
analysis.  It also examines gap risk (probability and cost of position
gapping below its stop-loss limit) and slippage in normal markets as well as
during market dislocations.




A variety
of factors such as the strength of signals from the models, liquidity
conditions, volatility, and market positioning drive the position allocation
process.  Peninsula utilizes a stop-loss maximum of 1.5% of NAV on
intra-day positions on a given trading day.  The drawdown limits for a
single open directional position is generally between 0.30% and 0.60% of NAV.




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.




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, 2008 and 2007.




17




First
      Quarter
                                                                    
                                                                    
                                                                    Second
      Quarter
                                                                    
                                                                    
                                                                    Third
      Quarter
                                                                    
                                                                    
                                                                    Fourth
      Quarter2008
                                                                    
                                                                    
                                                                    2008
                                                                    
                                                                    
                                                                    2008
                                                                    
                                                                    
                                                                    2008Total
      Trading Revenues (Loss)
                                                                    
                                                                    $
                                                                    21,191,546
                                                                    
                                                                    
                                                                    $
                                                                    1,247,596
                                                                    
                                                                    
                                                                    $
                                                                    (3,189,212
                                                                    )
                                                                    
                                                                    $
                                                                    19,070,748Total
      Trading Expenses
                                                                    
                                                                    
                                                                    1,724,515
                                                                    
                                                                    
                                                                    
                                                                    1,660,935
                                                                    
                                                                    
                                                                    
                                                                    1,598,257
                                                                    
                                                                    
                                                                    
                                                                    5,447,926Trading
      Income (Loss)
                                                                    
                                                                    
                                                                    19,467,031
                                                                    
                                                                    
                                                                    
                                                                    (413,339
                                                                    )
                                                                    
                                                                    
                                                                    (4,787,469
                                                                    )
                                                                    
                                                                    
                                                                    13,622,822Non-Trading
      Income (Loss)
                                                                    
                                                                    
                                                                    934,473
                                                                    
                                                                    
                                                                    
                                                                    450,677
                                                                    
                                                                    
                                                                    
                                                                    (113,413
                                                                    )
                                                                    
                                                                    
                                                                    535,080Net
      Income (Loss)
                                                                    
                                                                    $
                                                                    20,401,504
                                                                    
                                                                    
                                                                    $
                                                                    37,338
                                                                    
                                                                    
                                                                    $
                                                                    (4,900,882
                                                                    )
                                                                    
                                                                    $
                                                                    14,157,902Net
      Income (Loss) per Trading Unit
                                                                    
                                                                    $
                                                                    23.22
                                                                    
                                                                    
                                                                    $
                                                                    (0.41
                                                                    )
                                                                    
                                                                    $
                                                                    (5.95
                                                                    )
                                                                    
                                                                    $
                                                                    17.84First
      Quarter
                                                                    
                                                                    
                                                                    Second
      Quarter
                                                                    
                                                                    
                                                                    Third
      Quarter
                                                                    
                                                                    
                                                                    Fourth
      Quarter2007
                                                                    
                                                                    
                                                                    2007
                                                                    
                                                                    
                                                                    2007
                                                                    
                                                                    
                                                                    2007Total
      Trading Revenues (Loss)
                                                                    
                                                                    $
                                                                    (19,475,025
                                                                    )
                                                                    
                                                                    $
                                                                    14,348,770
                                                                    
                                                                    
                                                                    $
                                                                    (4,988,722
                                                                    )
                                                                    
                                                                    $
                                                                    5,689,713Total
      Trading Expenses
                                                                    
                                                                    
                                                                    2,333,860
                                                                    
                                                                    
                                                                    
                                                                    2,120,145
                                                                    
                                                                    
                                                                    
                                                                    1,734,035
                                                                    
                                                                    
                                                                    
                                                                    1,813,700Trading
      Income (Loss)
                                                                    
                                                                    
                                                                    (21,808,885
                                                                    )
                                                                    
                                                                    
                                                                    12,228,625
                                                                    
                                                                    
                                                                    
                                                                    (6,722,757
                                                                    )
                                                                    
                                                                    
                                                                    3,876,013Non-Trading
      Income (Loss)
                                                                    
                                                                    
                                                                    (466,578
                                                                    )
                                                                    
                                                                    
                                                                    1,015,019
                                                                    
                                                                    
                                                                    
                                                                    2,560,964
                                                                    
                                                                    
                                                                    
                                                                    2,400,422Net
      Income (Loss)
                                                                    
                                                                    $
                                                                    (22,275,463
                                                                    )
                                                                    
                                                                    $
                                                                    13,243,644
                                                                    
                                                                    
                                                                    $
                                                                    (4,161,793
                                                                    )
                                                                    
                                                                    $
                                                                    6,276,435Net
      Income (Loss) per Trading Unit
                                                                    
                                                                    $
                                                                    (17.40
                                                                    )
                                                                    
                                                                    $
                                                                    10.91
                                                                    
                                                                    
                                                                    $
                                                                    (6.75
                                                                    )
                                                                    
                                                                    $
                                                                    4.07




The Trust
has not disposed of any segments of its business.  In 2008, the Trust
recorded income of $1,747,216 and $769,001 on collections from the RCM
bankruptcy in excess of impaired value in the quarters ended June 30, and
December 31, 2008, respectively.




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




None.




Item
9A(T).  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(c) and 15d-15(e)
under the Exchange Act) as of December 31, 2008.  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,
2008.




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,
2008.  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,
2008, 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 temporary rules of the Securities and
Exchange Commission 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 year ended December 31,
2008, that have materially affected, or are reasonably likely to materially
affect, the Trust’s internal control over financial reporting.




18




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 and Executive Officers of the Registrant




There are
no directors or executive officers of the Trust.  As of December 31,
2008, 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, 2008
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.




Colleen Mitchell is President and
Director of RJOFM:  Colleen Mitchell was promoted to President
of R.J. O’Brien in June 2000.  Prior to this position, she served as
vice president for the futures commission merchant.  Ms. Mitchell was
responsible for marketing, clearing, and execution services to commodity trading
advisors, hedge fund managers, and introducing brokers.  Formerly, Ms.
Mitchell served as senior vice president for Terra Nova Trading in Chicago,
where she launched and brokered for a NASD broker-dealer and NFA introducing
brokerage firm.  She has a Bachelor of Arts from Saint Mary’s College
in South Bend, Indiana.




Helen D. McCarthy served as Chief
Financial Officer and Director of RJOFM:  Ms. McCarthy was
named CFO of RJOFM on April 30, 2007.Prior to joining
R.J. O’Brien, Ms. McCarthy was VP of Finance/Controller at ACNielsen, a global
marketing information company.  Before ACNielsen, she served as Vice
President of Finance at the Sun-Times Media Group, a newspaper conglomerate with
over 100 publications.  Ms. McCarthy was responsible for all financial
management and Controllership duties.  Ms. McCarthy also spent seven
years with Ernst & Young auditing both public and private
companies.  Ms. McCarthy served as Chief Financial Officer from April
2007 to April 2008.




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 the Chief Financial Officer 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 Senior Vice President and
Director of RJOFM:  With RJOFM’s purchase of RCMI in December
of 2006, Ms. Cazenave joined RJOFM with over twenty-six 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).




19




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.




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% or 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 Securities Exchange Act of 1934, as
amended.  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 Managementand Related Unitholder
Matters




(a)
            As
      of December 31, 2008, no person was known to the Trust to own beneficially
      more than 5% of the outstanding
units.




(b)
            As
      of December 31, 2008, the Managing Owner beneficially held an ownership of
      $1,394,355 (which is the equivalent of 11,679 units) or approximately 2.1%
      of the ownership of the Trust as of that
date.




(c)
            As
      of December 31, 2008, no arrangements were known to the registrant,
      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 Transactionsand Director
Independence




None.  The
Trust does not have any directors or officers of its own.




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, $149,601 and $140,000 respectively for the 2008 and 2007 audits and for
professional services rendered in connection with the audit of the Trust’s
annual financial statements filed with the Trust’s Form 10-Ks, the review of
financial statements included in the Trust’s Form 10-Q filings and review of
other SEC filings.




20




(b)           Audit-Related
Fees




The Trust
did not pay CF & Co., L.L.P. any amount in 2008 or 2007 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 2008 or 2007 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 $135,000 for such services for 2008 and $120,000 for
2007.  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.




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 and 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, 2008 and
      2007.




c.
            Condensed
      Consolidated Schedules of Investments as of December 31, 2008 and
      2007.




d.
            Consolidated
      Statements of Operations, for the years ended December 31, 2008, 2007 and
      2006.




e.
            Consolidated
      Statements of Changes in Unitholders’ Capital for the years ended December
      31, 2008, 2007 and 2006.




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:




21




Index
to Exhibits




ExhibitNumber
              
              Description
      of Document1.01
              
              Second
      Amended and Restated Selling Agreement, dated as of November 5, 2008,
      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”).3.01
              
              Eighth
      Amended and Restated Declaration and Agreement of Trust, dated as of
      September 26, 2008. (1)3.02
              
              Restated
      Certificate of Trust. (2)10.01
              
              Form
      of Subscription Agreement and Power of Attorney. (1)10.02
              
              Subscription
      and Transfer Agent Agreement, dated as of April 2, 2007, by and among The
      Bank of New York, the Managing Owner, and the Registrant.
    (3)10.03*
              
              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)10.04*
              
              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)10.05*
              
              Advisory
      Agreement, made as of August 25, 2008, among JWH Global Trust, R.J.
      O’Brien Fund Management, LLC, and AIS Futures Management, LLC.
      (4)10.06*
              
              Advisory
      Agreement, made as of August 25, 2008, among JWH Global Trust, R.J.
      O’Brien Fund Management, LLC, and Global Advisors L.P.
  (4)10.07*
              
              Advisory
      Agreement, made as of August 25, 2008, among JWH Global Trust, R.J.
      O’Brien Fund Management, LLC, and Peninsula LP. (4)10.08**
              
              Advisory
      Agreement, made as of February 1, 2009, among RJO Global Trust, R.J.
      O’Brien Fund Management, LLC, and NuWave Investment Management,
      LLC.10.09
              
              Customer
      Agreement between the Registrant and R.J. O’Brien & Associates, Inc.,
      dated as of September 27, 2006. (5)10.10
              
              Form
      of Transfer Agent Agreement. (6)13.01
              
              Annual
      Report to Unitholders for Fiscal Year 2008.14.01
              
              R.J.
      O’Brien Fund Management, LLC Code of Ethics.31.01
              
              Rule
      13a-14(a)/13d-14(a) Certifications of Principal Executive
      Officer.31.02
              
              Rule
      13a-14(a)/13d-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 has been requested with respect to the omitted portion of this
exhibit.




22




(1)    Incorporated
by reference herein from the exhibit of the same description filed on December
12, 2008 with Post-Effective Amendment No. 3 to the Registrant’s Registration
Statement on Form S-1 (Reg No. 333-146177).




(2)    Incorporated
by reference herein from the exhibit of the same description filed on September
30, 2008 on Form 8-K.




(3)    Incorporated
by reference herein from the exhibit of the same description filed on September
19, 2007 with the Registrant’s Registration Statement on Form S-1 (Reg. No.
333-146177).




(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 July 5,
2007 with the Registrant’s annual report on Form 10-K.




(6)    Incorporated
by reference herein from the exhibit of the same description filed on February
10, 1997 with Post-Effective Amendment No. 1 to the Registrant’s Registration
Statement on Form S-1 (Reg. No. 333-16825).




23




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 30, 2009
              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 30, 2008, 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/
      Colleen Mitchell
                        
                        President
      and DirectorColleen
      Mitchell/s/
      Annette Cazenave
                        
                        Senior
      Vice President and DirectorAnnette
      Cazenave






24
 
  Exhibit
13.01
  Message from the Managing
Owner
  Dear
Unitholder:
  The RJO
Global Trust posted a gain of 40.97% for 2008.  The Net Asset Value at
year-end was $119.39  (please see Note (1) AND Note (7) 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.  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
fund generated profits in most major currencies against the
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.  All
reversed in March as grains’ bull market saw a correction and performance drag
on the Trust.
  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 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 through out the quarter.  Grain
prices moved higher on concerns of how he Midwest floods would impact planting
and future yields.
  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 US 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 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
  25
  10% from
August close.  A weakening global economy and a strengthening U.S.
dollar have negatively impacted demand while supply side fundamentals have 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
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 dollar
reasserted its status as the world’s reserve currency.  The Trust
benefited from the strength of the 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.  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 ended the month  with 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.
  We thank
you for your continued support.
  Past
performance is not indicative of future results.
  Thomas
J Anderson
 Thomas
J Anderson
 R.J.
O’Brien Fund Management, LLC
  26
 RJO
GLOBAL TRUST




Table
of Contents




Report
      of Independent Registered Public Accounting Firm – CF & Co.,
      L.L.P.
                28Financial
      Statements:Consolidated
      Statements of Financial Condition as of December 31, 2008 and
      2007
                29Condensed
      Consolidated Schedules of Investments as of December 31, 2008 and
      2007
                30-31Consolidated
      Statements of Operations, for the years ended December 31, 2008, 2007, and
      2006
                32Consolidated
      Statements of Changes in Unitholders’ Capital, for the years ended
      December 31, 2008, 2007, and 2006
                33Notes
      to Consolidated Financial Statements
                34


27


REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM




To the
Managing Owner and Limited Owners of RJO Global Trust and
Subsidiary:





We have
audited the accompanying consolidated statements of financial condition,
including the condensed consolidated schedules of investments, of RJO Global
Trust, formerly known as the JWH Global Trust and Subsidiary (the “Trust”) as of
December 31, 2008 and 2007 and the related consolidated statements of operations
and changes in unitholders’ capital for each of the three years in the period
ended December 31, 2008.  These financial statements are the
responsibility of the Trust’s management.  Our responsibility is to
express an opinion on these financial statements based on our
audits.





We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States).  Those standards require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement.  An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements.  An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement
presentation.  We believe that our audits provide a reasonable basis
for our opinion.





In our
opinion, the consolidated financial statements referred to above present fairly,
in all material respects, the financial position of RJO Global Trust and
Subsidiary as of December 31, 2008 and 2007 and the results of its operations
and changes in unitholders’ capital, for each of the three years in the period
ended December 31, 2008, in conformity with accounting principles generally
accepted in the United States of America.





We were
not engaged to examine management’s assertion about the effectiveness of the
Trust’s internal control over financial reporting as of December 31, 2008
included in “Management’s Report on Internal Control Over Financial Reporting”
in the Trust’s December 31, 2008 Form 10-K and, accordingly, we do not express
an opinion thereon.




CF & CO.,
L.L.P.










28




RJO
      GLOBAL TRUST AND SUBSIDIARYConsolidated
      Statements of Financial ConditionDecember
      31,
                                        
                                        
                                        December
      31,2008
                                        
                                        
                                        2007AssetsAssets:Equity
      in commodity Trading accounts:Cash
      on deposit with brokers
                                        
                                        $
                                        83,527,981
                                        
                                        
                                        $
                                        72,906,959Unrealized
      gain on open contracts
                                        
                                        
                                        1,106,722
                                        
                                        
                                        
                                        1,468,910Cash
      on deposit with bank
                                        
                                        
                                        28,562
                                        
                                        
                                        
                                        30,436Cash
      on deposit with bank - Non-Trading
                                        
                                        
                                        7,334,582
                                        
                                        
                                        
                                        8,881,32791,997,847
                                        
                                        
                                        
                                        83,287,632Interest
      receivable
                                        
                                        
                                        9,415
                                        
                                        
                                        
                                        135,241Total
      Assets
                                        
                                        $
                                        92,007,262
                                        
                                        
                                        $
                                        83,422,873Liabilities
      and Unitholders' CapitalLiabilities:Accrued
      commissions
                                        
                                        $
                                        242,450
                                        
                                        
                                        $
                                        271,984Accrued
      management fees
                                        
                                        
                                        119,365
                                        
                                        
                                        
                                        123,807Accrued
      incentive fees
                                        
                                        
                                        1,134,235
                                        
                                        
                                        
                                        -Accrued
      offering expenses
                                        
                                        
                                        1,108
                                        
                                        
                                        
                                        30,000Accrued
      operating expenses
                                        
                                        
                                        315,568
                                        
                                        
                                        
                                        292,627Redemptions
      payable - Trading
                                        
                                        
                                        2,815,236
                                        
                                        
                                        
                                        1,641,786Accrued
      legal fees - Non-Trading
                                        
                                        
                                        6,149
                                        
                                        
                                        
                                        76,170Accrued
      management fees to U.S. Bank - Non-Trading
                                        
                                        
                                        27,477
                                        
                                        
                                        
                                        29,424Distribution
      payable - Non-Trading
                                        
                                        
                                        39,801
                                        
                                        
                                        
                                        39,801Total
      liabilities
                                        
                                        
                                        4,701,389
                                        
                                        
                                        
                                        2,505,599Unitholders'
      capital:Unitholders’
      capital (Trading) (all Class A at December 31, 2008):Beneficial
      owners (658,747 and 831,874 units outstanding atDecember
      31, 2008 and December 31, 2007, respectively)
                                        
                                        
                                        78,645,263
                                        
                                        
                                        
                                        70,450,079Managing
      owner (11,679 and 20,218 units outstanding atDecember
      31, 2008 and December 31, 2007, respectively)
                                        
                                        
                                        1,394,355
                                        
                                        
                                        
                                        1,712,262Unitholders'
      capital (LLC equity/Non-Trading):Participating
      owners (611,108 and 798,724 units outstanding atDecember
      31, 2008 and December 31, 2007, respectively)
                                        
                                        
                                        1,953,345
                                        
                                        
                                        
                                        3,075,087Nonparticipating
      owners (1,662,180 and 1,474,564 units outstanding atDecember
      31, 2008 and December 31, 2007, respectively)
                                        
                                        
                                        5,312,910
                                        
                                        
                                        
                                        5,679,846Total
      unitholders' capital
                                        
                                        
                                        87,305,873
                                        
                                        
                                        
                                        80,917,274Total
      Liabilities and Unitholders’ Capital
                                        
                                        $
                                        92,007,262
                                        
                                        
                                        $
                                        83,422,873Net
      asset value per unit:Trading
      (all Class A at December 31, 2008)
                                        
                                        $
                                        119.39
                                        
                                        
                                        $
                                        84.69LLC
      equity/Non-Trading
                                        
                                        $
                                        3.20
                                        
                                        
                                        $
                                        3.85




See
accompanying notes to consolidated financial statements.





29


RJO
      GLOBAL TRUST AND SUBSIDIARYCondensed
      Consolidated Schedule of Investmentsas
      of December 31, 2008Number
      of
                                            
                                            
                                            Principal
                                            
                                            
                                            Value/opencontracts
                                            
                                            
                                            (notional)
                                            
                                            
                                            trade
      equityLong positions (1.23%)Futures
      Positions (1.23%)Agriculture
                                            
                                            
                                            143
                                            
                                            
                                            $
                                            3,700,746
                                            
                                            
                                            $
                                            262,644Currency
                                            
                                            
                                            166
                                            
                                            
                                            
                                            29,196,605
                                            
                                            
                                            
                                            312,953Energy
                                            
                                            
                                            47
                                            
                                            
                                            
                                            2,276,791
                                            
                                            
                                            
                                            (15,025
                                            )Indices
                                            
                                            
                                            2
                                            
                                            
                                            
                                            96,575
                                            
                                            
                                            
                                            (96,575
                                            )Interest
      rates
                                            
                                            
                                            165
                                            
                                            
                                            
                                            64,017,826
                                            
                                            
                                            
                                            414,481Metals
                                            
                                            
                                            62
                                            
                                            
                                            
                                            3,413,855
                                            
                                            
                                            
                                            190,371Total
      long positions
                                            
                                            
                                            
                                            
                                            
                                            $
                                            102,702,398
                                            
                                            
                                            $
                                            1,068,849Short positions (0.04%)Future
      positions (0.04%)Agriculture
                                            
                                            
                                            278
                                            
                                            
                                            $
                                            6,016,398
                                            
                                            
                                            $
                                            (27,872
                                            )Currency
                                            
                                            
                                            25
                                            
                                            
                                            
                                            2,547,180
                                            
                                            
                                            
                                            (30,573
                                            )Energy
                                            
                                            
                                            17
                                            
                                            
                                            
                                            923,156
                                            
                                            
                                            
                                            (9,051
                                            )Indices
                                            
                                            
                                            40
                                            
                                            
                                            
                                            1,340,663
                                            
                                            
                                            
                                            80,642Interest
      rates
                                            
                                            
                                            5
                                            
                                            
                                            
                                            2,443,007
                                            
                                            
                                            
                                            (10,528
                                            )Metals
                                            
                                            
                                            63
                                            
                                            
                                            
                                            2,762,199
                                            
                                            
                                            
                                            35,255Total
      short positions
                                            
                                            
                                            
                                            
                                            
                                            $
                                            16,032,603
                                            
                                            
                                            $
                                            37,873Total
      unrealized gain on open contracts (1.27%)
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            $
                                            1,106,722Cash
      on deposit and open contracts with brokers (95.67%)
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            83,527,981Cash
      on deposit with bank (8.43%)
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            7,363,144Other
      liabilites in excess of assets (-5.37%)
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            (4,691,974
                                            )Net
      assets (100.00%)
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            
                                            $
                                            87,305,873
  See
accompanying notes to consolidated financial statements.
  30
 JWH
      GLOBAL TRUST AND SUBSIDIARYCondensed
      Consolidated Schedule of InvestmentsDecember
      31, 2007Number
      of
                                                      
                                                      
                                                      Principal
                                                      
                                                      
                                                      Value/opencontracts
                                                      
                                                      
                                                      (notional)
                                                      
                                                      
                                                      trade
      equityLong positions (3.24%)Futures
      Positions (2.18%)Agriculture
                                                      
                                                      
                                                      1,145
                                                      
                                                      
                                                      $
                                                      27,440,938
                                                      
                                                      
                                                      $
                                                      1,316,159Energy
                                                      
                                                      
                                                      243
                                                      
                                                      
                                                      
                                                      21,641,588
                                                      
                                                      
                                                      
                                                      704,037Indices
                                                      
                                                      
                                                      61
                                                      
                                                      
                                                      
                                                      13,352,207
                                                      
                                                      
                                                      
                                                      (973
                                                      )Interest
      rates
                                                      
                                                      
                                                      1,332
                                                      
                                                      
                                                      
                                                      340,380,811
                                                      
                                                      
                                                      
                                                      (280,099
                                                      )Metals
                                                      
                                                      
                                                      140
                                                      
                                                      
                                                      
                                                      11,716,520
                                                      
                                                      
                                                      
                                                      23,669414,532,064
                                                      
                                                      
                                                      
                                                      1,762,793Forward
      Positions (1.06%)Currencies
                                                      
                                                      
                                                      4
                                                      
                                                      
                                                      
                                                      142,065,738
                                                      
                                                      
                                                      
                                                      858,449Total
      long positions
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      $
                                                      556,597,802
                                                      
                                                      
                                                      $
                                                      2,621,242Short positions (-1.42%)Futures
      positions (0.27%)Agriculture
                                                      
                                                      
                                                      72
                                                      
                                                      
                                                      $
                                                      2,343,040
                                                      
                                                      
                                                      $
                                                      17,480Energy
                                                      
                                                      
                                                      44
                                                      
                                                      
                                                      
                                                      3,327,850
                                                      
                                                      
                                                      
                                                      18,610Indices
                                                      
                                                      
                                                      79
                                                      
                                                      
                                                      
                                                      11,180,426
                                                      
                                                      
                                                      
                                                      321,195Interest
      rates
                                                      
                                                      
                                                      795
                                                      
                                                      
                                                      
                                                      193,800,873
                                                      
                                                      
                                                      
                                                      (220,909
                                                      )Metals
                                                      
                                                      
                                                      82
                                                      
                                                      
                                                      
                                                      6,072,288
                                                      
                                                      
                                                      
                                                      78,700216,724,477
                                                      
                                                      
                                                      
                                                      215,076Forward
      positions (-1.69%)Currencies
                                                      
                                                      
                                                      8
                                                      
                                                      
                                                      
                                                      173,483,740
                                                      
                                                      
                                                      
                                                      (1,367,408
                                                      )Total
      short positions
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      $
                                                      390,208,217
                                                      
                                                      
                                                      $
                                                      (1,152,332
                                                      )Total
      unrealized gain on open contracts (1.82%)
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      $
                                                      1,468,910Cash
      on deposit and open contracts with brokers (90.10%)
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      72,906,959Cash
      on deposit with bank (11.01%)
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      8,911,763Other
      liabilites in excess of assets (-2.93%)
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      (2,370,358
                                                      )Net
      assets (100.00%)
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      
                                                      $
                                                      80,917,274
 See
accompanying notes to consolidated financial statements.
 31
 RJO
      GLOBAL TRUST AND SUBSIDIARYConsolidated
      Statements of OperationsYears
      Ended December 31,2008
                                                      
                                                      
                                                      2007
                                                      
                                                      
                                                      2006Trading
      gain (loss):Gain
      (loss) on trading of commodity contracts:Realized
      gain (loss) on closed positions
                                                      
                                                      $
                                                      37,750,164
                                                      
                                                      
                                                      $
                                                      (5,619,515
                                                      )
                                                      
                                                      $
                                                      (23,324,177
                                                      )Change
      in unrealized gain (loss) on open positions
                                                      
                                                      
                                                      (362,188
                                                      )
                                                      
                                                      
                                                      (1,781,034
                                                      )
                                                      
                                                      
                                                      658,599Foreign
      currency transaction gain (loss)
                                                      
                                                      
                                                      6,405
                                                      
                                                      
                                                      
                                                      (89,989
                                                      )
                                                      
                                                      
                                                      (7,506
                                                      )Total
      trading gain (loss)
                                                      
                                                      
                                                      37,394,381
                                                      
                                                      
                                                      
                                                      (7,490,538
                                                      )
                                                      
                                                      
                                                      (22,673,084
                                                      )Investment
      Income:Interest
      Income
                                                      
                                                      
                                                      926,298
                                                      
                                                      
                                                      
                                                      3,065,274
                                                      
                                                      
                                                      
                                                      6,819,136Expenses:Commissions
                                                      
                                                      
                                                      4,014,709
                                                      
                                                      
                                                      
                                                      5,125,785
                                                      
                                                      
                                                      
                                                      9,383,368Management
      fees
                                                      
                                                      
                                                      1,611,866
                                                      
                                                      
                                                      
                                                      1,796,178
                                                      
                                                      
                                                      
                                                      3,123,603Incentive
      fees
                                                      
                                                      
                                                      3,498,852
                                                      
                                                      
                                                      
                                                      -
                                                      
                                                      
                                                      
                                                      -Ongoing
      offering expenses
                                                      
                                                      
                                                      473,000
                                                      
                                                      
                                                      
                                                      351,000
                                                      
                                                      
                                                      
                                                      35,000Operating
      expenses
                                                      
                                                      
                                                      833,207
                                                      
                                                      
                                                      
                                                      728,777
                                                      
                                                      
                                                      
                                                      798,653Total
      expenses
                                                      
                                                      
                                                      10,431,633
                                                      
                                                      
                                                      
                                                      8,001,740
                                                      
                                                      
                                                      
                                                      13,340,624Trading
      income (loss)
                                                      
                                                      
                                                      27,889,046
                                                      
                                                      
                                                      
                                                      (12,427,004
                                                      )
                                                      
                                                      
                                                      (29,194,575
                                                      )Non-Trading
      income (loss):Interest
      on Non-Trading reserve
                                                      
                                                      
                                                      112,785
                                                      
                                                      
                                                      
                                                      228,307
                                                      
                                                      
                                                      
                                                      29,816Loss
      on Non-Trading assets
                                                      
                                                      
                                                      -
                                                      
                                                      
                                                      
                                                      -
                                                      
                                                      
                                                      
                                                      -Collections
      in excess of impaired value
                                                      
                                                      
                                                      2,516,217
                                                      
                                                      
                                                      
                                                      6,491,275
                                                      
                                                      
                                                      
                                                      -Legal
      and administrative fees
                                                      
                                                      
                                                      (476,418
                                                      )
                                                      
                                                      
                                                      (814,142
                                                      )
                                                      
                                                      
                                                      (568,729
                                                      )Management
      fees paid to US Bank
                                                      
                                                      
                                                      (345,769
                                                      )
                                                      
                                                      
                                                      (395,613
                                                      )
                                                      
                                                      
                                                      -Non-Trading
      income (loss)
                                                      
                                                      
                                                      1,806,817
                                                      
                                                      
                                                      
                                                      5,509,827
                                                      
                                                      
                                                      
                                                      (538,913
                                                      )Net
      income (loss)
                                                      
                                                      $
                                                      29,695,863
                                                      
                                                      
                                                      $
                                                      (6,917,177
                                                      )
                                                      
                                                      $
                                                      (29,733,488
                                                      )
  See
accompanying notes to consolidated financial statements.


32


RJO
      GLOBAL TRUST AND SUBSIDIARYConsolidated
      Statement of Changes in Unitholders’ CapitalFor
      years ended December 31, 2008, 2007, and 2006Unitholders'
      Capital (Trading)
                                                    
                                                    Beneficial
      Owners - Trading
                                                    
                                                    
                                                    Managing
      Owners - Trading
                                                    
                                                    
                                                    Total
      Unitholders' Capital - TradingUnits
                                                    
                                                    
                                                    Dollars
                                                    
                                                    
                                                    Units
                                                    
                                                    
                                                    Dollars
                                                    
                                                    
                                                    Units
                                                    
                                                    
                                                    DollarsBalances
      at December 31, 2005
                                                    
                                                    
                                                    1,736,309
                                                    
                                                    
                                                    $
                                                    196,142,238
                                                    
                                                    
                                                    
                                                    24,017
                                                    
                                                    
                                                    $
                                                    2,713,011
                                                    
                                                    
                                                    
                                                    1,760,326
                                                    
                                                    
                                                    $
                                                    198,855,249Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (28,735,914
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (458,658
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (29,194,572
                                                    )Unitholders’
      contributions
                                                    
                                                    
                                                    53,853
                                                    
                                                    
                                                    
                                                    5,055,210
                                                    
                                                    
                                                    
                                                    1,060
                                                    
                                                    
                                                    
                                                    99,501
                                                    
                                                    
                                                    
                                                    54,913
                                                    
                                                    
                                                    
                                                    5,154,711Unitholders'
      reallocation
                                                    
                                                    
                                                    4,859
                                                    
                                                    
                                                    
                                                    456,066
                                                    
                                                    
                                                    
                                                    (4,859
                                                    )
                                                    
                                                    
                                                    (456,066
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Unitholders’
      redemptions
                                                    
                                                    
                                                    (511,449
                                                    )
                                                    
                                                    
                                                    (52,435,526
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (511,449
                                                    )
                                                    
                                                    
                                                    (52,435,526
                                                    )Balances
      at December 31, 2006
                                                    
                                                    
                                                    1,283,572
                                                    
                                                    
                                                    
                                                    120,482,074
                                                    
                                                    
                                                    
                                                    20,218
                                                    
                                                    
                                                    
                                                    1,897,788
                                                    
                                                    
                                                    
                                                    1,303,790
                                                    
                                                    
                                                    
                                                    122,379,862Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (12,241,478
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (185,526
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (12,427,004
                                                    )Unitholders’
      contributions
                                                    
                                                    
                                                    23,183
                                                    
                                                    
                                                    
                                                    1,758,626
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    23,183
                                                    
                                                    
                                                    
                                                    1,758,626Unitholders'
      reallocation
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Unitholders’
      redemptions
                                                    
                                                    
                                                    (474,881
                                                    )
                                                    
                                                    
                                                    (39,549,143
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (474,881
                                                    )
                                                    
                                                    
                                                    (39,549,143
                                                    )Balances
      at December 31, 2007
                                                    
                                                    
                                                    831,874
                                                    
                                                    
                                                    
                                                    70,450,079
                                                    
                                                    
                                                    
                                                    20,218
                                                    
                                                    
                                                    
                                                    1,712,262
                                                    
                                                    
                                                    
                                                    852,092
                                                    
                                                    
                                                    
                                                    72,162,341Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    27,221,748
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    667,299
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    27,889,047Unitholders’
      contributions
                                                    
                                                    
                                                    10,736
                                                    
                                                    
                                                    
                                                    1,053,815
                                                    
                                                    
                                                    
                                                    1,329
                                                    
                                                    
                                                    
                                                    120,000
                                                    
                                                    
                                                    
                                                    12,065
                                                    
                                                    
                                                    
                                                    1,173,815Unitholders'
      reallocation
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Unitholders’
      redemptions
                                                    
                                                    
                                                    (183,863
                                                    )
                                                    
                                                    
                                                    (20,080,379
                                                    )
                                                    
                                                    
                                                    (9,868
                                                    )
                                                    
                                                    
                                                    (1,105,206
                                                    )
                                                    
                                                    
                                                    (193,731
                                                    )
                                                    
                                                    
                                                    (21,185,585
                                                    )Balances
      at December 31, 2008
                                                    
                                                    
                                                    658,747
                                                    
                                                    
                                                    $
                                                    78,645,263
                                                    
                                                    
                                                    
                                                    11,679
                                                    
                                                    
                                                    $
                                                    1,394,355
                                                    
                                                    
                                                    
                                                    670,426
                                                    
                                                    
                                                    $
                                                    80,039,618Unitholders'
      Capital (LLC Equity/Non-Trading)
                                                    
                                                    ParticipatingOwners-LLC
      Equity/Non-Trading
                                                    
                                                    
                                                    Nonparticipating
      Owners-LLC
      Equity/Non-Trading
                                                    
                                                    
                                                    Total
      Unitholders' Capital-LLC
      Equity/Non-TradingUnits
                                                    
                                                    
                                                    Dollars
                                                    
                                                    
                                                    Units
                                                    
                                                    
                                                    Dollars
                                                    
                                                    
                                                    Units
                                                    
                                                    
                                                    DollarsBalances
      at December 31, 2005
                                                    
                                                    
                                                    2,273,288
                                                    
                                                    
                                                    $
                                                    17,666,261
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    $
                                                    -
                                                    
                                                    
                                                    
                                                    2,273,288
                                                    
                                                    
                                                    $
                                                    17,666,261Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (538,913
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (538,913
                                                    )Unitholders'
      reallocation
                                                    
                                                    
                                                    (1,017,751
                                                    )
                                                    
                                                    
                                                    (3,488,335
                                                    )
                                                    
                                                    
                                                    1,017,751
                                                    
                                                    
                                                    
                                                    3,488,335
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Reallocation
      due to redemptions
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (9,335,669
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (9,335,669
                                                    )Balances
      at December 31, 2006
                                                    
                                                    
                                                    1,255,537
                                                    
                                                    
                                                    
                                                    4,303,344
                                                    
                                                    
                                                    
                                                    1,017,751
                                                    
                                                    
                                                    
                                                    3,488,335
                                                    
                                                    
                                                    
                                                    2,273,288
                                                    
                                                    
                                                    
                                                    7,791,679Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    2,026,373
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    3,483,454
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    5,509,827Reallocation
      due to redemptions
                                                    
                                                    
                                                    (456,813
                                                    )
                                                    
                                                    
                                                    (1,496,004
                                                    )
                                                    
                                                    
                                                    456,813
                                                    
                                                    
                                                    
                                                    1,496,004
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Unitholders'
      distribution
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (1,758,626
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (2,787,947
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (4,546,573
                                                    )Balances
      at December 31, 2007
                                                    
                                                    
                                                    798,724
                                                    
                                                    
                                                    
                                                    3,075,087
                                                    
                                                    
                                                    
                                                    1,474,564
                                                    
                                                    
                                                    
                                                    5,679,846
                                                    
                                                    
                                                    
                                                    2,273,288
                                                    
                                                    
                                                    
                                                    8,754,933Net
      income (loss)
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    585,072
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    1,221,745
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    1,806,817Reallocation
      due to redemptions
                                                    
                                                    
                                                    (187,616
                                                    )
                                                    
                                                    
                                                    (652,999
                                                    )
                                                    
                                                    
                                                    187,616
                                                    
                                                    
                                                    
                                                    652,999
                                                    
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    -Unitholders'
      distribution
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (1,053,815
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (2,241,680
                                                    )
                                                    
                                                    
                                                    -
                                                    
                                                    
                                                    
                                                    (3,295,495
                                                    )Balances
      at December 31, 2008
                                                    
                                                    
                                                    611,108
                                                    
                                                    
                                                    $
                                                    1,953,345
                                                    
                                                    
                                                    
                                                    1,662,180
                                                    
                                                    
                                                    $
                                                    5,312,910
                                                    
                                                    
                                                    
                                                    2,273,288
                                                    
                                                    
                                                    $
                                                    7,266,255Total
      Unitholders Capital at December 31, 2008
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    $
                                                    87,305,873Unitholders'
      Capital(Trading)
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    Unitholders'
      Capital(LLC
      Equity/Non-Trading)Net
      asset value per unit at December 31, 2007
                                                    
                                                    $
                                                    84.69
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    $
                                                    3.85Net
      change per unit
                                                    
                                                    
                                                    34.70
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    (0.65
                                                    )Net
      asset value per unit at December 31, 2008
                                                    
                                                    $
                                                    119.39
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    
                                                    $
                                                    3.20




See
accompanying notes to consolidated financial statements.


33


Notes
to Consolidated Financial Statements –


December
31, 2008, 2007, 2006




(1)
            General
      Information and Summary




RJO
Global Trust (the “Trust” formerly JWH Global Trust), a Delaware statutory trust
organized on November 12, 1996, was formed to engage in the speculative trading
of 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
pursuant to the trading instructions of independent trading
advisors.  Since December 1, 2006, R.J. O’Brien Fund Management, LLC
(“RJOFM” or the “Managing Owner”) has been the Managing Owner of the
Trust.  R.J. O’Brien & Associates, LLC (“RJO”), an affiliate of
RJOFM, is the clearing broker and the broker for forward contracts for the
Trust.  R.J. O’Brien Securities, LLC (“Selling Agent”) is the lead selling
agent of the units.




The Trust
was originally established and operated as a single-advisor commodity
pool.  John W. Henry & Company, Inc. (“JWH”) served as the Trust’s
sole trading advisor until October 31, 2008.  The advisory agreement
between the Trust and JWH provided that JWH had sole 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
November 1, 2008, the Trust became a multi-advisor commodity
pool.  The Managing Owner reallocated the trading of the Trust’s
assets among five commodity trading advisors (“CTAs”) by entering into five
advisory agreements (collectively the “Advisory Agreements”) with the following
CTAs:  JWH, Abraham Trading, L.P. (“ATC”), AIS Futures Management, LLC
(“AIS”), Global Advisors, L.P. (“GALP”), and Peninsula, LP (“PLP”). The
Advisory Agreements were executed on September 24, 2008 and became effective on
November 1, 2008.




Units of
beneficial ownership of the Trust commenced selling on April 3,
1997.  The Managing Owner filed its latest registration statement on
Form S-1 on behalf of the Trust with respect to the registration of 1,000,000
units of beneficial interest on September 19, 2007 (File No.
333-146177).  This registration statement became effective with the
Securities and Exchange Commission (the “SEC”) on December 4, 2007 and 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, and Post-Effective Amendment No. 3 on Form S-1, filed with
the SEC on December 12, 2008.




Prior to
December 12, 2008, the Trust only offered one class of units for
subscription.  As described in the Trust’s Post-Effective Amendment
No. 3 on Form S-1, the Trust now offers two classes of units.  Class A
units are subject to a selling commission.  Class B units are not
charged a selling commission, and will only be offered to certain qualified
investors participating in a program through certain financial
advisors.  Both Class A and Class B interests are traded pursuant to
identical trading programs and differ only in respect to the Managing Owner’s
brokerage commission and organization and offering costs.  Currently,
all outstanding units are Class A.  See Note  (2)(f) for
further detail regarding commissions.




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) dissolution of
the Managing Owner of the Trust; (3) bankruptcy of the Trust; (4) a decrease in
the net asset value to less than $2,500,000; (5) a decline in the net asset
value per unit to $50 or less; (6) dissolution of the Trust; or (7) any event
that would make it unlawful for the existence of the Trust to be continued or
require dissolution of the Trust.




Prior to
December 1, 2006, the managing owner of the Trust was Refco Commodity
Management, Inc. (“RCMI”).  An affiliate of RCMI, Refco Capital
Markets, Ltd. (“RCM”) had held certain assets of the Trust, acting as the
Trust’s broker of forward contracts during 2005.  During that year,
RCM experienced financial difficulties resulting in RCM’s inability to liquidate
the assets.  RCM filed for bankruptcy protection in October,
2005.




Effective
January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited
liability company, was established to pursue the claims against
RCM.  On January 2, 2007, the Trust transferred all non-trading assets
and liabilities, which had a net asset value of $7,791,679, to the
LLC.  The Trust is the sole member of the LLC and holds that
membership for the benefit of the unitholders who were investors in the Trust at
the time of the bankruptcy of RCM (“Non-Trading Unitholders”).  US
Bank National Association (“US Bank”) is the manager of the LLC.  US
Bank may make distributions to the Non-Trading Unitholders 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:




34




(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 right to request redemptions from the
LLC.




The LLC
has agreed to compensate US Bank, as manager, the following: (1) an initial
acceptance fee of $120,000,  (2) an annual fee of
$25,000,  (3) a distribution fee of $25,000 per
distribution,  (4) out-of-pocket
expenses,  and  (5) an hourly fee for all personnel at the
then expected hourly rate  ($350 per hour at execution of
agreement).




See Note
(6) for further detail regarding collection and distribution activity related to
the assets held at RCM.




(2)
            Summary
      of Significant Accounting Policies




The
accounting and reporting policies of the Trust confirm to accounting principles
generally accepted in the United States of America and to practices in the
commodities industry.  The following is a description of the more
significant of those policies that the Trust follows in preparing its
consolidated financial statements.




(a)     Basis
of presentation




The
accompanying consolidated financial statements of the Trust have been prepared
in accordance with accounting principles generally accepted in the United States
of America.




Reclassifications
of the Trust’s unitholders’ capital (Non-Trading) as of December 31, 2006 have
been made to conform to the current period’s presentation.




(b)    Principles
of Consolidation




The
accompanying consolidated financial statements include the accounts of the Trust
and its wholly-owned subsidiary, JWH Special Circumstances, LLC.  All
material intercompany transactions have been eliminated upon
consolidation.




(c)    Revenue
Recognition




Commodity
futures contracts, forward contracts, physical commodities, and related options
are recorded on the trade date.  All such transactions are recorded on
the identified cost basis and marked to market daily.  Unrealized
gains on open contracts reflected in the statements of financial condition
represent the difference between original contract amount and market value (as
determined by exchange settlement prices for futures contracts and related
options and cash dealer prices at a predetermined time for forward contracts,
physical commodities, and their related options) as of the last business day of
the year or as of the last date of the consolidated financial
statements.




The Trust
earns interest on 100% of the Trust’s average daily balances on deposit with RJO
during each month at 75% 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
three-month LIBOR less 100 basis points.  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.




(d)    Redemptions




A
beneficial owner may cause any or all of his or her units to be redeemed by the
Trust effective as of the last business day of any month of the Trust based on
the Net Asset Value per unit on such date on five business days’ written notice
to the Bank of New York Mellon or the Managing Owner.  Payment will
generally be made within ten business days of the effective date of the
redemption.  As of September 1, 2007, any redemption made during the
first eleven months of investment is subject to a 2% redemption penalty, payable
to the Managing Owner.  As of December 12, 2008 this was reduced to a
1.5% redemption penalty.  Any redemption made in the twelfth month of
investment or later will not be subject to any redemption
penalty.  The Trust’s Eighth Amended and Restated Declaration and
Agreement of Trust contains a full description of redemption and distribution
policies.




35




Effective
October 31, 2005, the net asset value per unit was split into a “Trading”
account and a “Non-Trading” account, the latter representing the assets held at
RCM plus $1,000,000 in cash in connection with expenses related to the
collection of assets held at RCM and potential third party
claims.  All unitholders of record as of October 31, 2005 received
their pro-rata right to the assets and the 2,273,288 in substitute units that
were transferred to the Non-Trading account.  Investors who redeemed
from October 31, 2005 through December 31, 2008 received the net asset value per
unit represented by assets held in the Trading account.




(e)     Ongoing
Offering Costs




Ongoing
offering costs subject to a ceiling of 0.50% of the Trust’s average month-end
net assets, are paid by the Trust and expensed as incurred.  In
anticipation of renewing the offering for new subscriptions, $473,000 in ongoing
offering costs were accrued during 2008.




(f)    Commissions




Commodity
brokerage commissions are typically paid upon the completion or liquidation of a
trade and are referred to as “round-turn commissions,” which cover both the
initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a
commodity futures contract. The Trust did not pay commodity brokerage
commissions on a per-trade basis until November 1, 2008, but rather paid
flat-rate brokerage fees on a monthly basis of 5.0% per annum (or 0.41666% per
month) of the Trust’s month-end assets, after reduction of the management
fee.  Prior to September 1, 2007, the Trust paid commodity brokerage
commissions on a monthly basis of 6.0% per annum.  The clearing
brokers received these brokerage fees irrespective of the number of trades
executed on the Trust’s behalf.




Effective
November 1, 2008, the Trust’s brokerage fee constitutes a “wrap fee” of 4.65% to
5.0% of the Trust’s month-end assets on an annual basis (0.3875% to 0.417%
monthly) with respect to Class A units and 2.65% to 3.0% of the Trust’s
month-end assets on an annual basis (0.221% to 0.25% monthly) with respect to
Class B units. The brokerage fee covers the charges described below and not just
the cost of brokerage executions, which is paid on a per-trade
basis.  “Brokerage fee” includes the following across each class of
units:







Recipient
              Nature
      of Payment
              Class
      A Units
              
              Class
      B UnitsManaging
      Owner
              Brokerage
      fee
              0.75%
              
              0.75%Selling
      Agent
              Selling
      commission
              2.00%
              
              0.00%Managing
      Owner
              Underwriting
      expenses
              0.35%
              
              0.35%Managing
      Owner
              Clearing,
      NFA and exchange fees
              Estimated
      1.22% - 1.42%, capped at 1.57%
              
              Estimated
      1.22% - 1.42%, capped at 1.57%Liberty
      Funds Group
              Consulting
      fees
              0.33%
              
              0.33%Totals
              
              4.65%
      to 5.00%
              
              2.65%
      to 3.00%




Currently,
all outstanding units are Class A.  In accordance with FINRA
regulations, underwriting expenses, including selling commissions, are limited
to 10% of either the existing net asset values for all units of record as of
November 1, 2008, or 10% of original subscription price for any new
subscriptions thereafter.  Once the maximum amount of
underwriting  compensation has been met, the Trust will issue an
additional class of units which will be charged no selling commissions nor
underwriting expenses.  Commissions were not paid with respect to the
LLC net assets.




(g)    Foreign
Currency Transactions




Trading
accounts in foreign currency denominations are susceptible to both movements in
the underlying contract markets as well as fluctuation in currency
rates.  Foreign currencies are translated into U.S. dollars for closed
positions at an average exchange rate for the year, while year-end balances are
translated at the year-end currency rates.  The impact of the
translation is reflected in the consolidated statements of
operations.




(h)     Use
of Estimates




The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States of America requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period.  Actual results could differ from those
estimates.




36




(i)     Valuation
of Assets Held at Refco Capital Markets, Ltd.




The Trust
recorded an impairment charge against its assets held at RCM at December 31,
2005, based on management’s estimate of fair value at that
time.  Subsequent recoveries from RCM were credited against the then
book value of the claim.  On June 28, 2007, the Trust’s cumulative
recoveries from RCM exceeded the book value of the impaired assets held at RCM,
which resulted in no remaining book value for those assets.  All
recoveries in excess of the book value of the impaired assets have been recorded
as “Collections in excess of impaired value” on the Trust’s consolidated
statement of operations.  See Note (6) for further
details.  Any future administrative and/or legal expenses associated
with liquidation of the assets held at RCM have not been reflected as such
future expenses are not estimable.




(j)  Fair
Value Measurements




The Trust
adopted the provisions of Statement of Financial Accounting Statement
No. 157 (“SFAS 157”) “Fair Value Measurements,” on January 1,
2008.  SFAS 157 provides guidance for determining fair value and
requires increased disclosure regarding the inputs to valuation techniques used
to measure fair value.  SFAS 157 defines fair value as the price that
would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.




SFAS
No. 157 establishes a fair value hierarchy which prioritizes the inputs to
valuation techniques used to measure fair value into three broad
levels.  The fair value hierarchy gives the highest priority to quoted
prices (unadjusted) in active markets for identical assets or liabilities
(Level 1) and the lowest priority to unobservable inputs (Level 3).




Level 1
inputs are quoted prices (unadjusted) in active markets for identical
assets or liabilities that the Trust has the ability to access at the
measurement date.  An active market for the asset or liability is a
market in which transactions for the asset or liability occur with sufficient
frequency and volume to provide pricing information on an ongoing
basis.  The value of the Trust’s exchange-traded futures contracts
fall into this category.




Level 2
inputs are inputs other than quoted prices included in Level 1 that are
observable for the asset or liability, either directly or
indirectly.  This category includes forward currency contracts and
options on forward currency contracts that the Trust values using models or
other valuation methodologies derived from observable market data.




Level 3
inputs are unobservable inputs for an asset or
liability.  Unobservable inputs shall be used to measure fair value to
the extent that observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for the asset or
liability at the measurement date.  As of and for the year ended
December 31, 2008, the Trust did not have any Level 3 assets or
liabilities.




As of
December 31, 2008, the Trust’s financial assets and liabilities consisted of
exchange-traded futures contracts valued within Level 1 of the fair value
hierarchy.  In the past, and potentially the future, the Trust may
invest in inter-bank currency markets valued within Level 2 of the fair value
hierarchy.




(k)        Recent
Pronouncements




In March
2008, the FASB issued SFAS No. 161, “Disclosures about Derivative
Instruments and Hedging Activities” (“SFAS 161”).  SFAS 161
establishes, among other things, the disclosure requirements for derivative
instruments and for hedging activities.  This statement requires
qualitative disclosures about objectives and strategies for using derivatives,
quantitative disclosures about fair values amounts of and gains and losses on
derivative instruments, and disclosures about contingent features related to
credit risk in derivative agreements. SFAS 161 is effective for the Trust
beginning January 1, 2009.  The Trust is evaluating the effect
the adoption of SFAS 161 will have on its consolidated financial
statements.




(3)
            Fees




Management
fees are accrued and paid monthly.  Incentive fees are accrued monthly
and paid quarterly.  Through October 31, 2008 all trading decisions
for these financial statements were made by JWH.  As of November 1,
2008, the Trust became a multi-advisor commodity pool.  The Managing
Owner reallocated the trading of the Trust’s assets among five CTAs (see Note
(1)).  As of December 31, 2008, the allocation of assets with respect
to each CTA was approximately as follows:  JWH - 22%, AIS - 11%, ATC -
22%, GALP - 21%, PLP - 19%, and 5% unallocated.  On February 1, 2009,
the Managing Owner reallocated the trading of the Trust’s assets to add a new
CTA – NuWave Investment Management (“NW”), at which time the allocation of
assets with respect to each CTA was approximately as follows:  JWH –
18%, AIS – 10%, ATC – 18%, GALP – 18%, PLP – 18%, and NW – 18%.




37




Under
signed agreements the Advisors receive a monthly management fee at the rate of
up to 0.167% (up to a 2% annual rate) of the Trust’s month-end net assets
calculated after deduction of a the actual brokerage fees.  These fees
were not paid on the Non-Trading Account.




Also,
under signed agreements the Trust pays to the Advisors a quarterly incentive fee
equal to 20% of the new trading profits, if any, of the Trust.  The
incentive fee is based on the performance of the individual programs utilized by
each Advisor of  the Trust.  This fee is also calculated by
deducting  the brokerage and management fees.




(4)
            Income
      Taxes




No
provision for Federal income taxes has been made in the accompanying financial
statements as each beneficial owner is responsible for reporting income (loss)
based on the pro rata share of the profits or losses of the
Trust.  Generally, for both federal and state tax purposes, trusts,
such as the RJO Global Trust, are treated as partnerships.  The only
differences in financial and income tax reporting basis are unrealized gains
(losses), ongoing offering costs and collections in excess of impaired value on
the Non-Trading assets.




(5)
            Trading
      Activities and Related Risks




The Trust
engages in the speculative trading of U.S. and foreign futures contracts, and
forward contracts (collectively derivatives).  These derivatives
include both financial and non-financial contracts held as part of a diversified
trading strategy.  The Trust is exposed to both market risk, the risk
arising from changes in the market value of the contracts, and credit risk, the
risk of failure by another party to perform according to the terms of a
contract, including, but not limited to Banks and brokers.




The
purchase and sale of futures requires margin deposits with a Futures Commission
Merchant (“FCM”).  Additional deposits may be necessary for any loss
on contract value.  The Commodity Exchange Act requires an FCM to
segregate all customer transactions and assets from the FCM’s proprietary
activities.  A customer’s cash and other property, such as U.S.
Treasury Bills, deposited with an FCM are considered commingled with all other
customer funds subject to the FCM’s segregation requirements.  In the
event of an FCM’s insolvency, recovery may be limited to a pro rata share of
segregated funds available.  It is possible that the recovered amount
could be less than the total of cash and other property deposited.




From time
to time, the Trust has cash on deposit with an affiliate interbank market maker
in connection with its trading of forward contracts.  In the normal
course of business, the Trust does not require collateral from such interbank
market maker.  Due to forward contracts being traded in unregulated
markets between principals, the Trust also assumes a credit risk, the risk of
loss from counterparty non-performance.




For
derivatives, risks arise from changes in the market value of the
contracts.  Theoretically, the Trust is exposed to a market risk equal
to the value of futures and forward contracts purchased and unlimited liability
on such contracts sold short.




Net
trading results from derivatives for the years ended December 31, 2008, 2007,
and 2006, are reflected in the statements of operations and equal gain from
trading less brokerage commissions.  Such trading results reflect the
net gain or loss arising from the Trust’s speculative trading of futures
contracts and forward contracts.




The
notional amounts of open contracts at December 31, 2008 and 2007, as disclosed
in the respective Condensed Consolidated Schedules of Investments, do not
represent the Trust’s risk of loss due to market and credit risk, but rather
represent the Trust’s extent of involvement in derivatives at the date of the
statement of financial condition.




The
beneficial owners bear the risk of loss only to the extent of the market value
of their respective investments.




(6)
            Assets
      Held at Refco Capital Markets, Ltd.




Effective
October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which
represented the assets held at RCM plus $1,000,000 in cash, were transferred to
a Non-Trading account, as explained in Note 2(d).  On December 31,
2005 the $56,544,206 of assets held at RCM were reduced by $39,580,944 for
impairment to $16,963,262, or 30% of the original value of the
assets.  The table below summarizes all recoveries from RCM and
distributions to redeemed and continuing unitholders:




38
 
  Recoveries
      from RCM, Distributions paid by US Bank from the LLC, and effect on
      impaired value of assets held at RCMAdditional
      Units in Trust for Participating OwnersDate
                            
                            Amounts
      Received fromRCM
                            
                            
                            Balance
      ofImpaired
      Value
                            
                            
                            Collections
      in Excess ofImpaired
      Value
                            
                            
                            Cash
      Distributions to Non-ParticipatingOwners
                            
                            
                            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
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -Totals
                            
                            $
                            25,970,753
                            
                            
                            $
                            -
                            
                            
                            $
                            9,007,491
                            
                            
                            $
                            9,210,585
                            
                            
                            
                            88,833
                            
                            
                            $
                            7,967,152


(7)
            Financial
      Highlights




The
following financial highlights show the Trust’s financial performance of the
Trading units for the periods ended December 31, 2008, 2007 and
2006.  Total return is calculated as the change in a theoretical
beneficial owner’s investment over the entire period, and is not
annualized.  Total return is calculated based on the aggregate return
of the Trust’s Trading units taken as a whole.




As of
November 1, 2008 all Trading units were exchanged for Class A
units.  Financial highlights were not affected by the
exchange.  No class B units have been issued through December 31,
2008.




2008
                                                              
                                                              2007
                                                              
                                                              2006Per
      share operating performance:Net
      asset value of Trading units, beginning of year
                                                              
                                                              $      84.69
                                                              
                                                              $      93.86
                                                              
                                                              $    112.96Total
      Trading income (loss):Trading
      gain (loss)
                                                              
                                                              47.06
                                                              
                                                              (4.49)
                                                              
                                                              (14.77)Investment
      income
                                                              
                                                              1.20
                                                              
                                                              2.91
                                                              
                                                              4.53Expenses
                                                              
                                                              (13.56)
                                                              
                                                              (7.59)
                                                              
                                                              (8.86)Trading
      income (loss)
                                                              
                                                              34.70
                                                              
                                                              (9.17)
                                                              
                                                              (19.10)Net
      asset value of Trading units, end of year
                                                              
                                                              119.39
                                                              
                                                              84.69
                                                              
                                                              93.86Total
      return:Total
      return before incentive fees
                                                              
                                                              44.96%
                                                              
                                                              -9.77%
                                                              
                                                              -16.91%Less
      incentive fee allocations
                                                              
                                                              -3.98%
                                                              
                                                              0.00%
                                                              
                                                              0.00%Total
      return
                                                              
                                                              40.97%
                                                              
                                                              -9.77%
                                                              
                                                              -16.91%Ratios
      to average net assets:Trading
      income (loss)
                                                              
                                                              35.19%
                                                              
                                                              -14.00%
                                                              
                                                              -18.33%Expenses:Expenses,
      less incentive fees
                                                              
                                                              8.75%
                                                              
                                                              9.02%
                                                              
                                                              8.37%Incentive
      fees
                                                              
                                                              4.41%
                                                              
                                                              0.00%
                                                              
                                                              0.00%Total
      expenses
                                                              
                                                              13.16%
                                                              
                                                              9.02%
                                                              
                                                              8.37%





The
calculations above do not include activity within the Trust’s Non-Trading
Accounts.




The net
income and expense ratios are computed based upon the weighted average net
assets for the Trust for the periods ended December 31, 2008, 2007, and
2006. The amounts are not annualized.





Acknowledgment




To the
best of my knowledge and belief, the information contained herein is accurate
and complete.




/s/   
      /s/
      Thoms
      J. AndersonThomas
      J AndersonChief
      Financial OfficerR.J.
      O’Brien Fund Management, LLC.,The
      Managing Owner and Commodity Pool Operator ofRJO
      Global TrustMarch
      30, 2009




39