**Exhibit 13.01**

**Message from the Managing Owner**

DearUnitholder:

The JWH Global Trustposted a loss of 18.7% for 2005.  The NetAsset Value at year-end was $120.73*** compared to $148.54 per unit at thebeginning of the year.

The majority ofthe losses were realized in the currency sector coupled with smaller losses inthe interest rate, agriculture and metals sectors. Although some markets hadstrong directional moves, the overall trading environment during the year wasunfavorable for long-term trend following as volatility was a major factor inmany markets. The combination of reversing market conditions and choppy priceaction throughout the year caused numerous portfolio shifts as the Trustattempted to find new trends in the market, while minimizing risk exposure.

The Trust’sperformance in the first quarter was negative as the bulk of the losses weredirectly related to the strength of the U.S. dollar against most majorcurrencies.  The weak dollar trend, whichhad dominated during the second half of 2004, began to reverse itself ondiminishing expectations of a Yuan revaluation by the Chinese centralbank.  Demand for the dollar alsoincreased when the Federal Reserve raised interest rates by a quarterpercentage point for the seventh time since June 2004. On February 16th Fed Chairman Alan Greenspan’s testimony,stating that the decline in long-term interest rates during the past year “remainsa conundrum”, sparked inflationary fears worldwide and added to the Trust’snegative performance in the interest rate sector as the European, Japanese andU.S. bond markets sold-off. The Japanese sell-off was short lived as Japanesebonds rallied amid speculation that exports to the U.S. would drop.  The energy sector, the Trust’s best performerduring the quarter, benefited from an increase in inflationary fears offsetsome of the previously discussed losses in the currency and interest ratesectors. Energies rallied as commodity prices surged to a 24-year high onspeculation that rising domestic demand may outpace U.S. refinery productionduring peak summer demand.  Overall, thegains made in energies, indices and the agriculture sectors were not enough tooffset the losses incurred in the currency, interest rate and metals sectors.

The Trust’sperformance was positive during the second quarter as large gains in thecurrency and interest rate sectors more than offset losses in the Trust’s othersectors.  The energy sector, which hadbeen the best performing sector in the first quarter, was the worst performingsector in the second quarter, as trends experienced sudden and strongreversals.  In April, energiesexperienced a sudden turnaround as supplies increased and OPEC boosted outputin an effort to lower prices and ensure adequate inventories to meet summerfuel demands.  In contrast, the entireenergy sector rallied in June as expectations increased that global demand foroil would reach record levels in the fourth quarter. The interest rate sectorposted positive returns as the majority of the sector’s gains came from thestrength in the German and Japanese fixed-income markets.  The benchmark German 10-year bund rose to arecord high, as market conjecture grew that the European Central Bank wouldhave to cut interest rates as the European economy slowed.  Further supporting the rally in the Germanbund was the rejection of the European Union Constitution in France.  The currency sector was the best performingsector during the quarter as the U.S. dollar posted its largest quarterly gainagainst the euro since 2001 as the market anticipated a quarter point increaseby the Federal Reserve on June 30th. The dollar also benefited from theyield advantage against the Swiss franc and the euro.  In the agriculture sector, cotton, corn,wheat, soybeans and N.Y. coffee hindered the Trust’s returns as weatherconditions wreaked havoc in the markets. The metals sector was negative for the quarter as volatility in variousmarkets limited the Trust’s ability to achieve returns. Overall, the gains madein the currency and interest rate sectors drove the Trust’s performance for thequarter.

The Trust’sperformance was positive for the third quarter, despite volatile marketconditions that resulted from terror attacks in London, a surprise devaluationof the Chinese Yuan and Hurricanes Dennis, Emily, Katrina and Rita.  Fears, over damage to oil rigs and refineriescaused by the hurricanes in the Gulf Coast led to record high energyprices.  With positive returns in everymarket traded, the energy sector led performance during the quarter.  The interest rate and currency sectors werethe Trust’s most unprofitable sectors during the quarter as volatility in thefixed income market and the U.S. dollar dominated both sectors. The dollar hadbeen weakening over speculation that record high energy prices would slow U.S.economic growth. However, once it became evident that the Federal Reserve wouldcontinue to raise interest rates and thus keep its “yield advantage”, both thefixed-income sector and the U.S. dollar reversed their trends; the dollarrallied and fixed-income markets sold off. The hurricanes also helped the metal sector to post positive returns forthe quarter as record high energy costs also saw gold reach a 17-year high. Theagriculture and indices sectors also posted positive returns, as N.Y. coffeeand the Nikkei 225 (Osaka) led performance. The Nikkei rose to a four year high on signs that the Japanese economywould continue to grow and on indications that land prices in Tokyo had risenfor the first time in 15-years. Overall, four out of the six sectors werepositive for the quarter.

----

 

The Trust was negative for the fourth quarter as the energy, interestrate and agriculture sectors suffered from strong and sudden reversals intrends. The energy sector was the Trust’s worst performer as energy pricesretreated from record highs in the third quarter.  Not only did natural gas fall from recordhigh levels set in September, but crude oil also fell from record highs set inAugust on signs that warmer than normal weather in the Northeastern region ofthe U.S. could reduce energy consumption. The interest rate sector, which had been profiting from downwardtrending prices in the U.S., Europe and Japan, ended the quarter negative overfears of rising interest rates.  Thesudden rally in Japanese and U.S. fixed-income markets was a result of JapanesePrime Minister Koizumi and other politicians stating that it was too early forthe Bank of Japan to stop fighting deflation and a sudden optimism thatinflation in the U.S. was contained as the Federal Reserve removed the term “accommodative”from its statement after raising rates at their December meeting. While themarket reversals resulted in losses for both the interest rate and energysectors for the quarter, the currency sector finished the quarter positive butonly after losing most of the gains the sector achieved in October andNovember.  For the most of the quarterthe currency sector profited, however, as expectations of further rate hikesfrom the Fed diminished, the sector gains were limited as the dollar suddenlyweakened.  The metal sector benefited asgold reached an 18-year high and the prices of LME copper and LME aluminumrallied on increased demand and falling supplies. The agriculture sector wasslightly negative for the quarter as N.Y. coffee and cotton were the maincontributors to the underperformance in this sector. Overall, the combinedgains in the currencies, indices and metals sectors were unable to offset thelosses in the rest of the Trust’s sectors.

In conclusion, theTrust finished negative for the year as severe volatility hinderedperformance.  Although some markets didhave definitive moves the severity of the sudden reversals that wereexperienced in many of the same markets hampered the Trust’s systematic trendfollowing approach.

We thank you for yourcontinued support.

**Past performance is notindicative of future results.**

** **

Jeffrey R. Miceli

Chief Financial Officer

R. J. O’Brien FundManagement, Inc..

*** Please seesection “General Information and Summary for explanation of Net AssetValue/unit pursuant to events of October, 2005.

 

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**JWH GLOBAL TRUST**

**Table of Contents**
| ** **                                                                                         | ** ** | **Page** |
|----------------------------------------------------------------------------------------------------|------------|----------|
| Report of Independent  Registered Public Accounting Firm                                           |       |     |
|                                                                                               |       |     |
| Financial Statements:                                                                              |       |     |
| Statements of  Financial Condition, December 31, 2005  and 2004                                    |       | F-1      |
|                                                                                               |       |     |
| Statements of  Operations, Years  ended December 31, 2005, 2004, and 2003                          |       | F-2      |
|                                                                                               |       |     |
| Statements of Changes in Unitholders’ Capital, Years  ended December 31, 2005, 2004, and 2003 |       | F-3      |
|                                                                                               |       |     |
| Condensed Schedule of Investments, December  31, 2005 and 2004                                     |       | F-4      |
|                                                                                               |       |     |
| Notes to Financial Statements                                                                      |       | F-6      |
|                                                                                               |
|                                                                                               |

 

 

----

** **

** Report of Independent Registered PublicAccounting Firm**

TheBoard of Directors of Refco Commodity Management, Inc.and the Unitholders ofJWH Global Trust:

We have audited theaccompanying statement of financial condition of JWH Global Trust (the Trust) asof December 31, 2005 including the condensed schedule of investments as ofDecember 31, 2005 and the related statement of operations and changes inunitholders’ capital for the year ended December 31, 2005**.**These financial statements are the responsibility of the Trust’s management.Our responsibility is to express an opinion on these financial statements basedon our audit.

We conducted our audit in accordance with the standards of the PublicCompany Accounting Oversight Board (United States).  Those standards require that we plan andperform the audit to obtain reasonable assurance about whether the financialstatements are free of material misstatement. An audit includes examining, on atest basis, evidence supporting the amounts and disclosures in the financialstatements. An audit also includes assessing the accounting principles used andsignificant estimates made by management, as well as evaluating the overallfinancial statement presentation.  Webelieve that our audit provides a reasonable basis for our opinion.

Inour opinion, the financial statements referred to above present fairly, in allmaterial respects, the financial position of JWH Global Trust as of December31, 2005  and the results of itsoperations and changes in unitholders’ capital, for the period ended December31, 2005**,** in conformity with accountingprinciples generally accepted in the United States of America.
| /S/ CF & Co., L.L.P. |   |
|--------------------------|--------|
|                     |   |
| CF & CO., L.L.P.     |
|                     |
| Dallas, Texas            |

 November 7, 2006 except for Note (7) as towhich the date is March 21, 2007.

----

 

**Report of IndependentRegistered Public Accounting Firm**

TheBoard of Directors of CIS Investments, Inc. and the Unitholders of JWH GlobalTrust:

We have audited the accompanying statement offinancial condition of JWH Global Trust (the Trust) as ofDecember 31, 2004 , including the condensed schedule of investments as ofDecember 31, 2004 and the related statements of operations and changes inunitholders’ capital for each of the years in the two-year period endedDecember 31, 2004. These financial statements are the responsibility ofthe Trust’s management. Our responsibility is to express an opinion on thesefinancial statements based on our audits.

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

In our opinion, the financial statements referred to above presentfairly, in all material respects, the financial position of JWH Global Trust asof December 31, 2004  and theresults of its operations and changes in unitholders’ capital, for each of theyears in the two-year period ended December 31, 2004, in conformity withaccounting principles generally accepted in the United States of America.

Chicago, Illinois

March 9, 2005

 

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**JWH GLOBAL TRUST**

Statements of FinancialCondition

December31, 2005 and 2004

 
| **Assets**                                                            | ** ** | **2005**    | ** **  | **2004**    | ** ** |
|-----------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| Assets:                                                               |       |        |        |        |       |
| Equity in  commodity trading accounts:                                |       |        |        |        |       |
| Cash on deposit  with brokers                                         |       | $           | 202,443,116 |        | $          | 312,053,398 |   |
| Unrealized gain  on open contracts                                    |       | 2,590,858   |        | 22,802,365  |       |
| Cash on deposit  with former brokers, net of reserve of $39,580,944   |       | 16,963,262  |        | —      |       |
| Cash on deposit  with bank                                            |       | 943,758     |        | —      |       |
|                                                                  |       | 222,940,994 |        | 334,855,763 |       |
| Receivable for  units sold                                            |       | —      |        | 7,210,442   |       |
| Interest  receivable                                                  |       | 675,537     |        | 561,543     |       |
| Total assets                                                          |       | $           | 223,616,531 |        | $          | 342,627,748 |   |
| **Liabilities  and Unitholders’ Capital**                        | ** ** | ** **  | ** **  | ** **  | ** ** |
| Liabilities:                                                          |       |        |        |        |       |
| Accrued  commissions                                                  |       | $           | 1,563,331   |        | $          | 1,667,412 |   |
| Accrued  management fees                                              |       | 338,586     |        | 558,459     |       |
| Accrued  incentive fees                                               |       | —      |        | 4,531,999   |       |
| Accrued offering  expenses                                            |       | 3,482       |        | 136,802     |       |
| Accrued  operating expenses                                           |       | 348,965     |        | 90,000      |       |
| Redemptions  payable                                                  |       | 4,723,667   |        | 3,602,667   |       |
| Accrued legal fees  - nontrading                                      |       | 116,991     |        | —      |       |
| Total  liabilities                                                    |       | 7,095,022   |        | 10,587,339  |       |
| Unitholders’ capital  (trading):                                 |       |        |        |        |       |
| Beneficial  owners (1,736,309 and 2,211,540 units outstanding at      |       |        |        |        |       |
| December 31,  2005 and 2004, respectively)                            |       | 196,142,238 |        | 328,509,395 |       |
| Managing owner  (24,017 and 23,773 units outstanding at               |       |        |        |        |       |
| December 31,  2005 and 2004, respectively)                            |       | 2,713,011   |        | 3,531,014   |       |
| Unitholders’ capital  (nontrading):                              |       |        |        |        |       |
| Beneficial  owners (2,249,071 units outstanding at December 31, 2005) |       | 17,478,064  |        | —      |       |
| Managing owner  (24,217 units outstanding at December 31, 2005)       |       | 188,196     |        | —      |       |
| Total  unitholders’ capital                                      |       | 216,521,509 |        | 332,040,409 |       |
| Total  liabilities and unitholders’ capital                      |       | $           | 223,616,531 |        | $          | 342,627,748 |   |

 

See accompanyingnotes to financial statements.

F-1

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**JWH GLOBAL TRUST**

Statements of Operations

Yearsended December 31, 2005, 2004, and 2003

 

 
| ** **                                                 | ** ** | **2005**    | ** **  | **2004**   | ** ** | **2003**   | ** ** |
|------------------------------------------------------------|------------|-------------|-------------|------------|------------|------------|------------|
| Revenues (losses):                                         |       |        |        |       |       |       |       |
| Gain (loss) on trading of commodity contracts:             |       |        |        |       |       |       |       |
| Realized gain on closed positions                          |       | $           | 15,021,455  |       | $          | 21,176,837 |       | $ | 11,375,400 |   |
| Change in unrealized gain (loss) on open positions         |       | (20,211,508 | )           | 12,110,774 |       | 4,341,361  |       |
| Interest income                                            |       | 8,790,919   |        | 3,631,292  |       | 1,183,618  |       |
| Foreign currency transaction gain (loss)                   |       | (31,403     | )           | (414,668   | )          | 302,525    |       |
| Total revenues                                             |       | 3,569,463   |        | 36,504,235 |       | 17,202,904 |       |
|                                                       |       |        |        |       |       |       |       |
| Expenses:                                                  |       |        |        |       |       |       |       |
| Commission                                                 |       | 16,578,015  |        | 15,407,292 |       | 7,634,418  |       |
| Management fees                                            |       | 5,857,886   |        | 5,141,363  |       | 2,472,995  |       |
| Incentive fees                                             |       | 133,027     |        | 5,419,877  |       | 2,344,357  |       |
| Ongoing offering expenses                                  |       | 546,221     |        | 1,271,788  |       | 611,094    |       |
| Other operating expenses                                   |       | 888,002     |        | 416,855    |       | 176,430    |       |
| Total expenses                                             |       | 24,003,151  |        | 27,657,175 |       | 13,239,294 |       |
|                                                       |       |        |        |       |       |       |       |
| Nontrading net  loss:                                      |       |        |        |       |       |       |       |
| Loss on nontrading assets                                  |       | (39,580,944 | )           | —     |       | —     |       |
| Legal fees                                                 |       | (297,002    | )           | —     |       | —     |       |
| Nontrading net loss:                                       |       | (39,877,946 | )           | —     |       | —     |       |
| Net income (loss)                                          |       | $           | (60,311,634 | )          | $          | 8,847,060  |       | $ | 3,963,610 |   |
|                                                       |       |        |        |       |       |       |       |
| Income (loss)  per unit of beneficial ownership interest * |       | $           | (27.81      | )          | $          | (0.58      | )          | $ | 9.59 |   |
| Income (loss) per unit  of managing ownership interest *   |       | $           | (27.81      | )          | $          | (0.58      | )          | $ | 9.59 |   |

----

*                    Representsthe increase (decrease) in unit value during the year.

 

See accompanying notes to financial statements.

F-2

----

**JWH GLOBAL TRUST**

Statement of Changes in Unitholders’ Capital

Years ended December 31, 2005, 2004, and 2003
| ** **                                     | ** ** | **Beneficial  Owner Units  Trading** | ** ** | **Managing  Owner  Units  Trading** | ** ** | **Beneficial  Owner Units  Nontrading** | ** ** | **Managing  Owner Units  Nontrading** | ** ** | **Total** | ** ** | **Beneficial  Owners  Trading** | ** **  | **Managing  Owner  Trading** | ** ** | **Beneficial  Owners  Nontrading** | ** ** | **Managing  Owner  Nontrading** | ** ** | **Total**   | ** ** |
|------------------------------------------------|------------|-------------------------------------------|------------|-------------------------------------|------------|----------------------------------------------|------------|--------------------------------------------|------------|-----------|------------|---------------------------------|-------------|------------------------------|------------|------------------------------------|------------|---------------------------------|------------|-------------|------------|
| Balances at December 31,  2002                 |       | 453,878                                   |       | 5,755                               |       | —                                       |       | —-                                    |       | 459,633   |       | $                               | 63,327,633  |                         | $          | 802,893                            |       | $                               | —     |        | $          | — |   | $ | 64,130,526 |   |
| Net Income                                     |       |                                      |       |                                |       |                                         |       |                                       |       | 0         |       | 3,900,071                       |        | 63,539                       |       |                               |       |                            |       | 3,963,610   |       |
| Unitholders’  contribution                |       | 974,812                                   |       | 2,067                               |       |                                         |       |                                       |       | 976,878   |       | 145,759,476                     |        | 300,067                      |       |                               |       |                            |       | 146,059,543 |       |
| Unitholders’ redemptions                  |       | (47,581                                   | )          | (16                                 | )          |                                         |       |                                       |       | (47,597   | )          | (7,037,766                      | )           | (2,613                       | )          |                               |       |                            |       | (7,040,379  | )          |
| Balances as of December  31, 2003              |       | 1,381,109                                 |       | 7,806                               |       | —                                       |       | —                                     |       | 1,388,914 |       | $                               | 205,949,414 |                         | $          | 1,163,886                          |       | $                               | —     |        | $          | — |   | $ | 207,113,300 |   |
| Net Income                                     |       |                                      |       |                                |       |                                         |       |                                       |       | 0         |       | 8,817,894                       |        | 29,166                       |       |                               |       |                            |       | 8,847,060   |       |
| Unitholders’  contributions               |       | 1,035,357                                 |       | 16,064                              |       |                                         |       |                                       |       | 1,051,421 |       | 141,451,430                     |        | 2,350,103                    |       |                               |       |                            |       | 143,801,533 |       |
| Unitholders’ redemptions                  |       | (204,926                                  | )          | (97                                 | )          |                                         |       |                                       |       | (205,023  | )          | (27,709,343                     | )           | (12,141                      | )          |                               |       |                            |       | (27,721,484 | )          |
| Balances at December 31,  2004                 |       | 2,211,540                                 |       | 23,773                              |       | —                                       |       | —                                     |       | 2,235,312 |       | $                               | 328,509,395 |                         | $          | 3,531,014                          |       | $                               | —     |        | $          | — |   | $ | 332,040,409 |   |
| Net loss                                       |       |                                      |       |                                |       |                                         |       |                                       |       | 0         |       | (20,191,944                     | )           | (241,743                     | )          | (39,453,131                        | )          | (424,814                        | )          | (60,311,634 | )          |
| Unitholders’  contributions               |       | 295,450                                   |       | 904                                 |       |                                         |       |                                       |       | 296,354   |       | 38,681,528                      |        | 123,198                      |       | —                             |       | —                          |       | 38,804,726  |       |
| Unitholders’  reallocation                |       |                                      |       |                                |       | 2,249,071                                    |       | 24,217                                     |       | 2,273,288 |       | (56,931,195                     | )           | (613,011                     | )          | 56,931,195                         |       | 613,011                         |       | —      |       |
| Unitholders’ redemptions                  |       | (770,681                                  | )          | (660                                | )          |                                         |       |                                       |       | (771,341  | )          | (93,925,546                     | )           | (86,447                      | )          | —                             |       | —                          |       | (94,011,992 | )          |
| Balances at December 31,  2005                 |       | 1,736,309                                 |       | 24,017                              |       | 2,249,071                                    |       | 24,217                                     |       | 4,033,613 |       | $                               | 196,142,238 |                         | $          | 2,713,011                          |       | $                               | 17,478,064 |        | $          | 188,197 |   | $ | 216,521,509 |   |
| Net asset value per unit  at December 31, 2005 |       |                                      |       |                                |       |                                         |       |                                       |       |      |       | $                               | 112.96      |                         | $          | 112.96                             |       | $                               | 7.77       |        | $          | 7.77 |   | $ | 120.73 |   |
| Net asset value per unit  at December 31, 2004 |       |                                      |       |                                |       |                                         |       |                                       |       |      |       | $                               | 148.54      |                         | $          | 148.54                             |       | $                               | —     |        | $          | — |   | $ | 148.54 |   |
| Net asset value per unit at December 31, 2003  |       |                                      |       |                                |       |                                         |       |                                       |       |      |       | $                               | 149.12      |                         | $          | 149.12                             |       | $                               | —     |        | $          | — |   | $ | 149.12 |   |

 

See accompanying notes tothe financial statements.

F-3

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**JWHGLOBAL TRUST**

**CondensedSchedule of Investments**

**December31, 2005**

 
| ** **                                              | ** ** | **Number of** | ** ** | **Principal**  | ** **    | **Value/open**        | ** **  |
|---------------------------------------------------------|------------|--------------------|------------|----------------|---------------|-----------------------|-------------|
| ** **                                              | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **trade equity** | ** **  |
| **Long positions**                                      | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures positions (2.5%)**                            | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Agriculture                                             |       | 560                |       | $              | 7,111,667     |                  | $           | 1,211,972 |   |
| Interest Rates                                          |       | 1,183              |       | 53,299,584     |          | (77,250               | )           |
| Metals                                                  |       | 1,723              |       | 92,446,095     |          | 8,283,119             |        |
| Indices                                                 |       | 326                |       | 42,909,706     |          | 1,408,235             |        |
| Energy                                                  |       | 196                |       | 26,835,120     |          | (5,415,299            | )           |
|                                                    |       |               |       | 222,602,172    |          | 5,410,776             |        |
| **Forward positions (0.42%)**                           | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Currencies                                              |       | 28                 |       | 413,711,125    |          | 910,781               |        |
|                                                    |       |               |       |           |          |                  |        |
| Total long  positions                                   |       |               |       | $              | 636,313,297   |                  | $           | 6,321,557 |   |
|                                                    |       |               |       |           |          |                  |        |
| **Short positions**                                     | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures positions (-2.58%)**                          | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Agriculture                                             |       | 826                |       | $              | 15,796,669    |                  | $           | (716,296 | ) |
| Interest Rates                                          |       | 4,475              |       | 932,659,568    |          | (1,371,984            | )           |
| Metals                                                  |       | 584                |       | 35,966,425     |          | (3,806,813            | )           |
| Energy                                                  |       | 768                |       | 36,784,731     |          | 315,722               |        |
|                                                    |       |               |       | 1,021,207,393  |          | (5,579,371            | )           |
| **Forward positions (0.85%)**                           | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Currencies                                              |       | 16                 |       | 177,861,577    |          | 1,848,673             |        |
|                                                    |       |               |       |           |          |                  |        |
| Total short  positions                                  |       |               |       | $              | 1,199,068,970 |                  | $           | (3,730,698 | ) |
|                                                    |       |               |       |           |          |                  |        |
| **Total open contracts (1.2%)**                         |       |               |       |           |          | $                     | 2,590,858   |   |
| **Cash on deposit with brokers  (93.5%)**               |       |               |       |           |          | 202,443,116           |        |
| **Cash on deposit with former  broker and bank (8.3%)** |       |               |       |           |          | 17,907,019            |        |
| **Other assets in excess of  liabilities (-3.0%)**      |       |               |       |           |          | (6,419,484            | )           |
| **Net assets (100.00%)**                                |       |               |       |           |          | $                     | 216,521,509 |   |

 

See accompanyingnotes to financial statements.

F-4

----

 

 

**JWHGLOBAL TRUST**

**CondensedSchedule of Investments**

**December31, 2004**

 
| ** **                                          | ** ** | **Number of** | ** ** | **Principal**  | ** **    | **Value/open**        | ** **  |
|-----------------------------------------------------|------------|--------------------|------------|----------------|---------------|-----------------------|-------------|
| ** **                                          | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **trade equity** | ** **  |
| **Long  positions (9.33%)**                         | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures  positions (0.91%)**                      |       |               |       |           |          |                  |        |
| Agriculture                                         |       | 722                |       | $              | 12,859,932    |                  | $           | 1,790,266 |   |
| Interest Rates                                      |       | 10,609             |       | 2,058,735,653  |          | (1,432,741            | )           |
| Metals                                              |       | 1,349              |       | 66,175,745     |          | 1,447,713             |        |
| Indices                                             |       | 2,156              |       | 85,811,001     |          | 1,227,940             |        |
|                                                |       |               |       | 2,223,582,331  |          | 3,033,178             |        |
| **Forward  positions (8.42%)**                      | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Australian  Dollar                                  |       | 2                  |       | 26,414,568     |          | 1,087,522             |        |
| Swiss Franc                                         |       | 3                  |       | 215,310,191    |          | 4,189,581             |        |
| European Euro                                       |       | 8                  |       | 398,655,198    |          | 10,361,999            |        |
| British Pound                                       |       | 9                  |       | 338,854,550    |          | 735,062               |        |
| Japanese Yen                                        |       | 4                  |       | 429,442,381    |          | 11,591,154            |        |
|                                                |       |               |       | 1,408,676,888  |          | 27,965,318            |        |
|                                                |       |               |       |           |          |                  |        |
| Total long positions                                |       |               |       | $              | 3,632,259,219 |                  | $           | 30,998,496 |   |
|                                                |       |               |       |           |          |                  |        |
| **Short  positions (-2.46)**                        | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures  positions (-.22%)**                      |       |               |       |           |          |                  |        |
| Agriculture                                         |       | 2,088              |       | 30,614,607     |          | 271,516               |        |
| Energy                                              |       | 136                |       | 6,688,620      |          | 329,380               |        |
| Interest Rates                                      |       | 1,364              |       | 328,860,400    |          | (238,700              | )           |
| Metals                                              |       | 93                 |       | 7,511,550      |          | (668,700              | )           |
| Indices                                             |       | 68                 |       | 7,621,154      |          | (438,150              | )           |
|                                                |       |               |       | 381,296,331    |          | (744,654              | )           |
|                                                |       |               |       |           |          |                  |        |
| **Forward  positions (-2.24%)**                     | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| European Euro                                       |       | 2                  |       | 70,576,894     |          | (1,401,538            | )           |
| Japanese Yen                                        |       | 9                  |       | 197,815,949    |          | (3,952,838            | )           |
| Canadian Dollar                                     |       | 2                  |       | 82,594,856     |          | (2,097,101            | )           |
|                                                |       |               |       | 350,987,699    |          | (7,451,477            | )           |
|                                                |       |               |       |           |          |                  |        |
| Total short positions                               |       |               |       | $              | 732,284,030   |                  | $           | (8,196,131 | ) |
|                                                |       |               |       |           |          |                  |        |
| **Total  open contracts (6.87%)**                   |       |               |       |           |          | $                     | 22,802,365  | ) |
| **Cash on  deposit with brokers (93.98%)**          |       |               |       |           |          | 312,053,398           |        |
| **Other  assets in excess of liabilities (-0.85%)** |       |               |       |           |          | (2,815,354            | )           |
| **Net assets (100.00%)**                            |       |               |       |           |          | $                     | 332,040,409 |   |

 

See accompanying notes tofinancial statements.

F-5

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**Notes to Financial Statements —**

**December 31, 2005, 2004, 2003**

**(1)     General Information and Summary**

JWH Global Trust(the Trust), a Delaware statutory trust organized on November 12,1996, was formed to engage in the speculative trading of futures contracts oncurrencies, interest rates, energy and agricultural products, metals and stockindices, spot and forward contracts on currencies and precious metals, andexchanges for physicals pursuant to the trading instructions of independenttrading advisors. On August 31, 2005, Refco Group Ltd., LLC acquired the globalbrokerage operations of  Cargill InvestorServices, Inc. (“CIS”).  CIS is the ownerof CIS Investments, Inc. (“CISI”).  TheManaging Owner of the Trust changed from CIS Investments Inc. to RefcoCommodity Management, Inc (“RCMI”).  Theclearing broker changed from CIS to Refco, LLC (Clearing Broker or Refco), anaffiliate of RCMI.  The broker forforward contracts changed from CIS Financial Services, Inc. to Refco CapitalMarkets, Ltd. (Forwards Currency Broker or RCM), also an affiliate ofRCMI.  The Clearing Broker and theForwards Currency Broker collectively will be referred to as the Brokers.

Unitsof beneficial ownership of the Trust commenced selling on April 3, 1997 andtrading began on June 2, 1997. The initial amount offered for investment was$50,000,000. On each of September 24, 1997, July 2, 2003 and on November 1,2004, the Trust registered an additional $155,000,000, $300,000,000, and$500,000,000, respectively, for further investment and continued the offering.By December 31, 2005, a total of 3,597,413.53 units representing an investmentfor $464,343,620.43 of beneficial ownership interest had been sold in thecombined offerings.  In addition, duringthe offerings, the Managing Owner purchased a total of 27,637.19 units,representing a total investment of $3,658,425.87.  Refer to the most current JWH Global Trustprospectus for further details of the offering. Units are not currently being offered.

TheTrust will be terminated on December 31, 2026, if none of the following occurprior to that date: (1) beneficial owners holding more than 50% of theoutstanding units notify the Managing Owner to dissolve the Trust as of aspecific date; (2) disassociation of the Managing Owner with 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 theexistence of the Trust to be continued or require dissolution of the Trust.

On October 10, 2005,Refco, Inc., the ultimate parent of RCMI, announced that it had discoveredthrough an internal review a receivable owed to Refco, Inc., by an entitycontrolled by Phillip R. Bennett, the then Chief Executive Officer and Chairmanof the Board of Directors of Refco, Inc., in the amount of approximately $430million.  Mr. Bennett has been chargedwith securities fraud in connection with this matter and various actions havebeen filed against Refco, Inc. Thereafter, on October 13, 2005, Refco, Inc., announced that theliquidity within Refco Capital Markets, Ltd. (“RCM”) was no longer sufficientto continue operations, and that RCM had imposed a fifteen (15) day moratorium onall of its activities in an attempt to protect the value of that enterprise.

On October 17, 2005,Refco, Inc. and RCM filed for bankruptcy protection in the Southern District ofNew York.  Neither the Trust nor RCMIwere covered by the filing.

Although the Trust’sassets were not held directly with Refco, Inc., an affiliated entity, Refco,did serve as the futures commission merchant. Refco, LLC was not covered by the October 17, 2005 bankruptcy filing ofRefco, Inc. but filed its own bankruptcy petition on November 25, 2005. Inaddition, a portion of the Trust’s assets (less than 20%, based net assets asof October 13, 2005) was on deposit with RCM at the time of the bankruptcyfiling, exposing a number of the Trust’s foreign currency contracts and cashheld at RCM to the risk of non-return of these assets.  While RCM has unwound any outstanding foreigncurrency contracts, the Trust does not expect that in the near future it willbe able to access those assets or that its rights and/or claims in connectionwith RCM’s bankruptcy will be fully resolved. ..

In light of the eventsoutlined herein, RCMI, managing owner of the Trust, moved the majority of theTrust’s assets from Refco to Lehman Brothers, Inc. and its affiliated entities(“Lehman”) to act in the capacity of clearing broker.  On or about October 18, 2005, the Trust hadtransferred the majority of all assets to Lehman.  Pending the resolution of the Trust’s rightsand/or claims against RCM, the Trust will no longer have assets on deposit withRCM.

RCMI does not believethat the bankruptcy filings of Refco, Inc. and RCM will have a material impactupon the operations of the Trust or its ability to satisfy a request forredemption. In this regard,  theoperations of the Trust, 

F-6

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including the trading activitiesof the underlying asset manager, have continued with minimal interruption.  In particular, with respect to redemptionsmade as of October 31, 2005 and thereafter, the Trust has made payment in anamount that represented the proportionate share of the Trust’s net assets thatare held at Lehman, while reserving payment with respect to the Trust’s assetscurrently held at RCM, plus a cash reserve in connection with expenses inpursuit its rights and/or claims against RCM and other potential third parties.  As such, the Trust has reserved payment withrespect to approximately 18.2%  — 25% ofany redemption proceeds until these monies held at RCM are remitted to theTrust or the Trust’s rights and/or claims against RCM and/or such potentialthird parties are resolved.

Generally, investors inthe Trust may redeem units effective as of the last trading day of any month ofthe Trust based on the Net Asset Value per unit on such date with five businessday’s prior written notice to the Managing Owner. 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 RCMI plus $1,000,000 incash in connection with expenses related to the collection of assets held atRCM and potential third party claims. On October 31, 2005, $57,544,206 ofequity and 2,273,288.15 in substitute units were transferred to the Non-Tradingaccount. The October 31, 2005 Net Asset Value was $139.11/unit. $113.80/unit(or 81.8% of total) was the amount in the Trading account and was redeemable.$25.31/unit (or 18.2% of total) was the amount in the Non-Trading account  All unitholders of record October 1, 2005reatin their pro-rata right to the assets in the Non-Trading account with theequivalent number of units held in the Trust prior to RCM bankruptcy.   

**(2)**                     Summary of SignificantAccounting Policies

Theaccounting and reporting policies of the Trust conform to accounting principlesgenerally accepted in the United States of America and to general practices inthe commodities industry. The following is a description of the moresignificant of those policies that the Trust follows in preparing its financialstatements.

***(a)***                      RevenueRecognition

Commodityfutures contracts, forward contracts, physical commodities, and related optionsare recorded on the trade date. All such transactions are recorded on theidentified cost basis and marked to market daily. Unrealized gains on opencontracts reflected in the statements of financial condition represent thedifference between original contract amount and market value (as determined byexchange settlement prices for futures contracts and related options and cashdealer prices at a predetermined time for forward contracts, physicalcommodities, and their related options) as of the last business day of the yearor as of the last date of the financial statements.

The Trust earned intereston its assets on deposit at the brokers at 100% of the 91-day Treasury billrate for ervices, Inc. deposits denominated in U.S. dollars, and at the ratesagreed between the Trust and CIS and CIS Financial Services for depositsdenominated in other currencies. Assets at Lehman Brothers earn 75% of 91—dayTreasury bill rate. For deposits denominated in other currencies, the Trustearns interest on Eurodollars, British pound sterling, and Swiss francs at arate equal to Lehman Clearing House (“LCH”) less 25 basis points.  Deposits denominated in Japanese Yen earn100% of LCH and Australian dollars earn interest at a rate of Sydney FuturesExchange Clearing House (‘SFECH”) less 125 basis points.

***(b)               Redemptions***

Abeneficial owner may cause any or all of his or her units to be redeemed by theTrust effective as of the last trading day of any month of the Trust based onthe Net Asset Value per unit on such date on five days written notice to theManaging Owner. Payment will be made within ten business days of the effectivedate of the redemption. Any redemption made during the first eleven months ofinvestment is subject to a 3% redemption penalty. Any redemption made in thetwelfth month of investment or later will not be subject to any penalty. TheTrust’s Sixth Amended and Restated Declaration and Agreement of Trust containsa full description of redemption and distribution policies. Investors whoredeemed on or after October 31, 2005 will receive the Net Asset Value per unitrepresented by assets held in the trading account.

***(c)***                       OngoingOffering Costs

OngoingOffering costs subject to a ceiling of 0.50% of the Trust’s average month-end net assets, are paid by the Trustand expensed as incurred. Ongoing offering costs have not been incurred norpaid for the last quarter of 2005.

F-7

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***(d)***                      Commissions

Commoditybrokerage commissions are typically paid for each trade transacted and arereferred to as “round-turn commissions”. These commissions cover both theinitial purchase (or sale) and the subsequent offsetting sale (or purchase) ofa commodity futures contract. The Trust does not pay commodity brokeragecommissions on a per-trade basis, but rather pays monthly flat-rate brokerageFees. Effective July 1, 2003, the clearing broker lowered this fee from theannual rate of 6.5% (or approximately 0.542% per month) to 6.0% (or 0.50% permonth) of the Trust’s month-end assets after reduction of the Management Fee.The clearing brokers receive these brokerage fees irrespective of the number oftrades executed on the Trust’s behalf. The amount paid to the clearing brokeris reduced by exchange fees paid by the Trust. The round-turn equivalent ratefor commissions paid by the Trust for the years ended December 31, 2005, 2004,and 2003 was $27, $39, and  $38,respectively.

Certainlarge investors are eligible for a “Special Brokerage Fee Rate” of 4.5% peryear. As of December 31, 2005, there were no such eligible investors in theTrust.

TheManaging Owner, and/or, affiliates, acts as commodity brokers for the Trust. Assuch, the Managing Owner and affiliates receive all commossions that arereflected as such in the financial statements.

***(e)***                       ForeignCurrency Transactions

Tradingaccounts in foreign currency denominations are susceptible to both movements inthe underlying contract markets as well as fluctuation in currency rates.Translation of foreign currencies into U.S. dollars for closed positions aretranslated at an average exchange rate for the year, while year-end balancesare translated at the year-end currency rates. The impact of the translation isreflected in the statements of operations.

***(f)***                         Use of Estimates

Thepreparation of financial statements in conformity with accounting principlesgenerally accepted in the United States of America requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period. Actual results could differ from those estimates.

***(g)***                      Valuation of Assets Held at Refco CapitalMarkets, Ltd.

Assets held by the Fund atRCM are reported at fair value as determined in good faith by the ManagingOwner after consideration of all factors, data and information, includinginformation from financial institutions with no affiliation to RCM, analysis ofthe current market which has developed to purchase RCM creditor claims, thecurrent demand and willingness of third parties to purchase RCM claims andfinancial information received by the Managing Owner from RCM. The valueassigned to this asset is based upon available information and does notnecessarily represent amounts which might ultimately be realized. Furthermore,this value assumes that the Managing Owner would recommend selling these claimsto a third party as opposed to holding RCM assets until the RCM estate makes adistribution to RCM customers and creditors which may or may not be the case.Because of the inherent uncertainty of valuation due to the inability toestimate recoverable RCM assets necessary to remit payment to customers andcreditors as well as the uncertainty as the standing of the Fund vis-a visother customers / creditors, the estimated fair value could be significantlyhigher or lower than the fair value assigned by the Investment Manager. Basedupon this fair value methodology, the assets held by the Fund at RCM had atotal value of $16,963,261.62 or 30 % of the net asset value at December 31,2005.

**(3)**                     Fees

Managementfees are accrued and paid monthly. Incentive fees are accrued monthly and paidquarterly. Trading decisions for the period of these financial statements weremade by John W. Henry & Company, Inc. (JWH) utilizing four of its tradingprograms,  JWH GlobalAnalytics®, theFinancial and Metals Portfolio, the International Foreign Exchange program andthe Global Financial & Energy program.

Undersigned agreement JWH receives a monthly management fee at the rate of 0.167% (a2% annual rate) of the Trust’s month-end net assets calculated after deductionof a portion of the Brokerage Fee at an annual rate of 

F-8

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1.25%of month-end Trust net assets, but before reduction for any incentive fee orother costs and before inclusion of purchases and redemptions for the month.

Also,under signed agreement the Trust pays to JWH a quarterly incentive fee equal to20% of the new trading profits, if any, of the Trust. The incentive fee isbased on the overall performance of the Trust, not individually in respect ofthe performance of the individual programs utilized by the Trust. This fee isalso calculated by deducting a portion of the Brokerage Fees at an annual rateof 1.25%.

 Given the uncertainty of the outcome of RCMBankruptcy case, for the month of October 2005, JWH management fees and sellingcommissions paid to brokers were charged to the Trust at 70% of the assets heldat RCM. The Managing Owner, RCMI paid JWH and the brokers the difference infees based on the other 30% of the assets held at RCM.

**(4)**                     Income Taxes

Noprovision for Federal income taxes has been made in the accompanying financialstatements 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 JWH Global Trust,are treated as partnerships.

**(5)**                     Trading Activities andRelated Risks

TheTrust engages in the speculative trading of U.S. and foreign futures contracts,and forward contracts (collectively derivatives). These derivatives includeboth financial and non-financial contracts held as part of a diversifiedtrading strategy. The Trust is exposed to both market risk, the risk arisingfrom changes in the market value of the contracts, and credit risk, the risk offailure by another party to perform according to the terms of a contract.

Thepurchase and sale of futures requires margin deposits with a Futures CommissionMerchant (FCM). Additional deposits may be necessary for any loss on contractvalue. The Commodity Exchange Act (CEAct) requires an FCM to segregate allcustomer transactions and assets from the FCM’s proprietary activities. Acustomer’s cash and other property, such as U.S. Treasury Bills, deposited withan FCM are considered commingled with all other customer funds subject to theFCM’s segregation requirements. In the event of an FCM’s insolvency, recoverymay be limited to a pro rata share of segregated funds available. It ispossible that the recovered amount could be less than the total of cash andother property deposited.

TheTrust has cash on deposit with an affiliate interbank market maker inconnection with its trading of forward contracts. In the normal course ofbusiness, the Trust does not require collateral from such interbank marketmaker. Due to forward contracts being traded in unregulated markets betweenprincipals, the Trust also assumes a credit risk, the risk of loss fromcounterparty non-performance.

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

Nettrading results from derivatives for the years ended December 31, 2005, 2004,and 2003, are reflected in the statements of operations and equal gain fromtrading less brokerage commissions. Such trading results reflect the net gainarising from the Trust’s speculative trading of futures contracts and forwardcontracts.

Thenotional amounts of open contracts at December 31, 2005, as disclosed in theCondensed Schedule of Investments, do not represent the Trust’s risk of lossdue to market and credit risk, but rather represent the Trust’s extent ofinvolvement in derivatives at the date of the statement of financial condition.

TheBeneficial Owners bear the risk of loss only to the extent of the market valueof their respective investments.

**(6)     Financial Highlights**

Thefollowing financial highlights show the Trust’s financial performance for theperiod ended December 31, 2005. Total return is calculated as the change in atheoretical beneficial owner’s investment over the entire period — a percentagechange in the net asset value from December 31, 2004 to December 31, 2005.Total return is calculated based on the aggregate return of the Trust taken asa whole.

F-9

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| ** **                                     | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** |
|------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
|                                           |       |     |       |     |       |     |       |
| Net Asset Value  per unit at beginning of year |       | $        | 148.54     |     | 149.12     |     | 139.53     |   |
| Loss per unit                                  |       | (27.81   | )          | (0.58    | )          | 9.59     |       |
| Net Asset Value  per unit at end of year       |       | $        | 120.73     |     | 148.54     |     | 149.12     |   |
|                                           |       |     |       |     |       |     |       |
| Total return:                                  |       |     |       |     |       |     |       |
| Total return before incentive fee              |       | (18.68   | )%         | 1.44     | %          | 9.57     | %          |
| Less incentive fee allocation                  |       | 0.04     | %          | 1.83     | %          | 2.70     | %          |
| Total return                                   |       | (18.72   | )%         | (0.39    | )%         | 6.87     | %          |
|                                           |       |     |       |     |       |     |       |
| Ratios to  average net assets:                 |       |     |       |     |       |     |       |
|                                           |       |     |       |     |       |     |       |
| Net income:                                    |       | (20.79   | )%         | 3.41     | %          | 3.09     | %          |
|                                           |       |     |       |     |       |     |       |
| Expenses:                                      |       |     |       |     |       |     |       |
| Expenses less incentive fees                   |       | 21.97    | %          | 8.56     | %          | 8.53     | %          |
| Incentive fees                                 |       | 0.05     | %          | 2.09     | %          | 1.83     | %          |
| Total expenses                                 |       | 22.02    | %          | 10.65    | %          | 10.36    | %          |

 

Thenet income and expense ratios are computed based upon the weighted average netassets for the Trust for the period ended December 31, 2005, 2004 and 2003.

**(7) Subsequent events**

On October 12,2006, RCMI, R.J. O’Brien & Associates, Inc. (“RJO”), and RJO’s acquisitionsubsidiary, R.J. O’Brien Fund Management, Inc. (“RJOFM”) entered into an AssetPurchase Agreement (the “Asset Purchase Agreement”) that provides for, amongother things, RJOFM to purchase RCMI’s managing owner interest in the Trust.The Asset Purchase Agreement also provided for RCMI to commence a proceedingunder chapter 11 of the Bankruptcy Code and to obtain the Bankruptcy Court’sapproval of the Asset Purchase Agreement and the transactions set forth therein.

RCMI filed a voluntary petition (the “RCMI BankruptcyPetition”) in the United States Bankruptcy Court for the Southern District ofNew York on October 16, 2006, for relief under chapter 11 of title 11 of theUnited States Code. Contemporaneously with the filing of the RCMI BankruptcyPetition, RCMI filed, a motion requesting that the Bankruptcy Court authorizeRCMI to sell and assign substantially all of its assets, including its interestas managing owner of the Trust, pursuant to the terms of the Asset PurchaseAgreement.  Pursuant to the terms of theAsset Purchase Agreement, as of October 13, 2006, all clearing functions havebeen moved from Lehman to RJO. Additionally, RJOFM is the managing owner of the Trust.

On December 29, 2006 the Trust received a partialrecovery from RCM  in the amount of$10,319,317.48.  Unitholders who have notredeemed trading assets will be issued additional units in the Trust as ofDecember 31, 2006.  Unitholders whoredeem or who have redeemed will be paid their portion of the proceeds.

F-10

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As of January 1, 2007, a special circumstances limitedliability company was established to pursue additional claims against RCM.  Any funds obtained by the specialcircumstances limited liability company will be distributed to investors in theTrust prior to the bankruptcy of RCM and Refco, Inc.  Units are not currently being offered in theTrust.

**Acknowledgment**
|  To the best of my knowledge and belief, the  information contained herein is accurate and complete. |
|-----------------------------------------------------------------------------------------------------------|
|                                                                                                      |
| By:                                                                                                       | /s/ Jeffrey R.  Miceli |   |
|                                                                                                      | Jeffrey R.  Miceli |
|                                                                                                      | Chief Financial  Officer |
|                                                                                                      | R. J. O’Brien  Fund Management, Inc |
|                                                                                                      | The Managing  Owner and Commodity Pool Operator of |
|                                                                                                      | JWH Global Trust |
|                                                                                                      |
|                                                                                                      |   |
|                                                                                                      |
|                                                                                                      |
|                                                                                                      |
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|                                                                                                      |
|                                                                                                      |

** **

 

F-11

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