----

----

| /s/ Thomas J. Anderson                  |   |
|-----------------------------------------|--------|
| Thomas J. Anderson                      |
| Chief Financial Officer                 |
| R.J. O’Brien Fund Management, LLC |

----

| Report of Independent Registered Public Accounting Firm – CF & Co., L.L.P.                                    | 5      |
|-------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                    |   |
| Financial Statements:                                                                                                   |   |
|                                                                                                                    |   |
| Consolidated Statements of Financial Condition as of December 31, 2010 and 2009                                         | 6      |
|                                                                                                                    |   |
| Condensed Consolidated Schedules of Investments as of December 31, 2010 and 2009                                        | 7      |
|                                                                                                                    |   |
| Consolidated Statements of Operations, for the years ended December 31, 2010, 2009, and 2008                            | 8      |
|                                                                                                                    |   |
| Consolidated Statements of Changes in Unitholders’ Capital, for the years ended December 31, 2010, 2009, and 2008 | 9      |
|                                                                                                                    |   |
| Notes to Consolidated Financial Statements                                                                              | 10     |

----

| /S/ CF & Co., L.L.P. |
|--------------------------|
|                     |
| CF & CO., L.L.P.     |
|                     |
| Dallas, Texas            |
|                     |
| March 29, 2011      |

----

|                                                                                                                         |   | December 31, |       |   | December 31, |   |
|------------------------------------------------------------------------------------------------------------------------------|--------|--------------|------------|--------|--------------|--------|
|                                                                                                                         |   | 2010         |       |   | 2009         |   |
|                                                                                                                         |   |         |       |   |         |   |
| Assets                                                                                                                       |   |         |       |   |         |   |
| Assets:                                                                                                                      |   |         |       |   |         |   |
| Equity in commodity Trading accounts:                                                                                        |   |         |       |   |         |   |
| Cash on deposit with brokers                                                                                                 |   | $            | 22,388,362 |   |         | $      | 59,500,719 |   |
| Unrealized gain on open contracts                                                                                            |   |         | 1,357,343  |   |         |   | 767,006 |   |
| Purchased options on futures contracts (premiums paid - $245,722)                                                            |   |         | 120,263    |   |         |   | - |   |
| Total due from brokers                                                                                                       |   |         | 23,865,968 |   |         |   | 60,267,725 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Cash and cash equivalents on deposit with affiliate                                                                          |   |         | 18,737,332 |   |         |   | - |   |
| Cash on deposit with bank                                                                                                    |   |         | 16,248     |   |         |   | 38,436 |   |
| Fixed income securities (cost $11,544,636), held by affiliate                                                                |   |         | 11,540,784 |   |         |   | - |   |
| Interest receivable                                                                                                          |   |         | 36,141     |   |         |   | 1,694 |   |
| Cash on deposit with bank - Non-Trading                                                                                      |   |         | 5,133,598  |   |         |   | 9,214,964 |   |
| Prepaid expenses - Non-trading                                                                                               |   |         | 81,602     |   |         |   | - |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Total Assets                                                                                                                 |   | $            | 59,411,673 |   |         | $      | 69,522,819 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Liabilities and Unitholders' Capital                                                                                         |   |         |       |   |         |   |   |   |
| Liabilities:                                                                                                                 |   |         |       |   |         |   |   |   |
| Accrued commissions                                                                                                          |   | $            | 151,916    |   |         | $      | 169,886 |   |
| Accrued management fees                                                                                                      |   |         | 76,511     |   |         |   | 85,057 |   |
| Accrued incentive fees                                                                                                       |   |         | 278,042    |   |         |   | 17,109 |   |
| Accrued offering expenses                                                                                                    |   |         | 16,588     |   |         |   | 22,768 |   |
| Accrued operating expenses                                                                                                   |   |         | 201,344    |   |         |   | 239,638 |   |
| Redemptions payable - Trading                                                                                                |   |         | 1,549,974  |   |         |   | 878,988 |   |
| Accrued legal fees - Non-Trading                                                                                             |   |         | -          |   |         |   | 627,762 |   |
| Accrued management fees to U.S. Bank - Non-Trading                                                                           |   |         | 17,492     |   |         |   | 18,426 |   |
| Distribution payable - Non-Trading                                                                                           |   |         | 1,083,908  |   |         |   | - |   |
| Total liabilities                                                                                                            |   |         | 3,375,775  |   |         |   | 2,059,634 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Unitholders' capital:                                                                                                        |   |         |       |   |         |   |   |   |
| Unitholders’ capital (Trading):                                                                                        |   |         |       |   |         |   |   |   |
| Beneficial owners                                                                                                            |   |         |       |   |         |   |   |   |
| Class A (490,278 and 551,440 units outstanding at December 31, 2010 and December 31, 2009, respectively)                     |   |         | 49,340,822 |   |         |   | 56,711,089 |   |
| Class B (13,420 and 9,358 units outstanding at December 31, 2010 and December 31, 2009, respectively)                        |   |         | 1,405,692  |   |         |   | 981,765 |   |
| Managing owner (11,679 Class A units outstanding at December 31, 2010 and 2009)                                              |   |         | 1,175,357  |   |         |   | 1,201,090 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Unitholders' capital (LLC equity/Non-Trading):                                                                               |   |         |       |   |         |   |   |   |
| Participating owners (413,768 and 512,964 units outstanding at December 31, 2010 and December 31, 2009, respectively)        |   |         | 737,509    |   |         |   | 1,933,873 |   |
| Nonparticipating owners (1,859,520 and 1,760,324 units outstanding at December 31, 2010 and December 31, 2009, respectively) |   |         | 3,376,518  |   |         |   | 6,635,368 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Total unitholders' capital                                                                                                   |   |         | 56,035,898 |   |         |   | 67,463,185 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Total Liabilities and Unitholders’ Capital                                                                             |   | $            | 59,411,673 |   |         | $      | 69,522,819 |   |
|                                                                                                                         |   |         |       |   |         |   |   |   |
| Net asset value per unit:                                                                                                    |   |         |       |   |         |   |   |   |
| Trading:                                                                                                                     |   |         |       |   |         |   |   |   |
| Class A                                                                                                                      |   | $            | 100.64     |   |         | $      | 102.84 |   |
| Class B                                                                                                                      |   | $            | 104.75     |   |         | $      | 104.91 |   |
| LLC equity/Non-Trading                                                                                                       |   | $            | 1.81       |   |         | $      | 3.77 |   |

----

|                                             |   | December 31, 2010 |   |   | December 31, 2009 |   |
|--------------------------------------------------|--------|-----------------------------|--------|--------|-----------------------------|--------|
|                                             |   | Percentage of          |   |   |                        |   |   | Percentage of |   |   |   |   |
|                                             |   | Net Assets             |   |   | Fair value             |   |   | Net Assets |   |   | Fair value |   |
| Long Positions                                   |   |                        |   |   |                        |   |   |   |   |   |   |   |
| Fixed Income Securities                          |   |                        |   |   |                        |   |   |   |   |   |   |   |
| Certificate of Deposit                           |   |                        |   |   |                        |   |   |   |   |   |   |   |
| Chile                                            |   |                        |   |   |                        |   |   |   |   |   |   |   |
| Financials (cost $1,500,037)                     |   |                        | 2.68   | %      |                        | $      | 1,500,480 |   |   |   |   |   | $ | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Commercial Paper                                 |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| South Korea                                      |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Financials (cost $1,499,660)                     |   |                        | 2.68   | %      |                        |   | 1,499,820 |   |   |   |   |   |   | - |   |
| United States                                    |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Insurance (cost $1,499,561)                      |   |                        | 2.68   | %      |                        |   | 1,499,580 |   |   |   |   |   |   | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Total Commercial Paper                           |   |                        | 5.35   | %      |                        |   | 2,999,400 |   |   |   |   |   |   | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Corporate Bonds                                  |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| United States                                    |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Financials (cost $1,345,903)                     |   |                        | 2.40   | %      |                        |   | 1,344,503 |   |   |   |   |   |   | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Government Agencies                              |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| United States                                    |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| US Government Agency (cost $3,393,729)           |   |                        | 6.05   | %      |                        |   | 3,390,654 |   |   |   |   |   |   | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Short-Term Investment Funds                      |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| United States                                    |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Short-Term Investment Funds (cost $2,305,746)    |   |                        | 4.11   | %      |                        |   | 2,305,747 |   |   |   |   |   |   | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Total Fixed Income Securities (cost $11,544,636) |   |                        |   |   |                        | $      | 11,540,784 |   |   |   |   |   | $ | - |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Futures Positions                                |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |
| Agriculture                                      |   |                        | 1.64   | %      |                        | $      | 920,055 |   |   |   | 0.80 | % |   | $ | 542,222 |   |
| Currency                                         |   |                        | 0.45   | %      |                        |   | 251,310 |   |   |   | 0.03 | % |   |   | 18,650 |   |
| Energy                                           |   |                        | 0.12   | %      |                        |   | 65,691 |   |   |   | 0.04 | % |   |   | 25,657 |   |
| Indices                                          |   |                        | 0.03   | %      |                        |   | 19,608 |   |   |   | 0.18 | % |   |   | 118,235 |   |
| Interest rates                                   |   |                        | 0.21   | %      |                        |   | 117,158 |   |   |   | -0.25 | % |   |   | (167,286 | ) |
| Metals                                           |   |                        | 1.41   | %      |                        |   | 789,173 |   |   |   | 0.65 | % |   |   | 437,926 |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Forward Positions                                |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Currency                                         |   |                        | -0.86  | %      |                        |   | (483,988 | ) |   |   | 0.24 | % |   |   | 162,279 |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Total long positions on open contracts           |   |                        |   |   |                        | $      | 1,679,007 |   |   |   |   |   |   | $ | 1,137,683 |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Short Positions                                  |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Future Positions                                 |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Agriculture                                      |   |                        | -0.58  | %      |                        | $      | (323,637 | ) |   |   | -0.02 | % |   | $ | (12,859 | ) |
| Currency                                         |   |                        | -0.04  | %      |                        |   | (23,476 | ) |   |   | 0.09 | % |   |   | 61,052 |   |
| Energy                                           |   |                        | -0.08  | %      |                        |   | (45,099 | ) |   |   | -0.11 | % |   |   | (72,953 | ) |
| Indices                                          |   |                        | 0.10   | %      |                        |   | 57,841 |   |   |   | 0.00 | % |   |   | (1,017 | ) |
| Interest rates                                   |   |                        | -0.02  | %      |                        |   | (13,742 | ) |   |   | 0.15 | % |   |   | 102,023 |   |
| Metals                                           |   |                        | -1.16  | %      |                        |   | (651,198 | ) |   |   | -0.42 | % |   |   | (284,081 | ) |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Forward Positions                                |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Currency                                         |   |                        | 1.21   | %      |                        |   | 677,647 |   |   |   | -0.24 | % |   |   | (162,842 | ) |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Total short positions on open contracts          |   |                        |   |   |                        | $      | (321,664 | ) |   |   |   |   |   | $ | (370,677 | ) |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Total unrealized gain on open contracts          |   |                        |   |   |                        | $      | 1,357,343 |   |   |   |   |   |   | $ | 767,006 |   |
|                                             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Long put options on future contracts             |   |                        |   |   |                        |   |   |   |   |   |   |   |   |   |   |   |
| Indices (premiums paid - $ 245,722)              |   |                        | 0.21   | %      |                        | $      | 120,263 |   |   |   |   |   |   | $ | - |   |

----

|                                                        |   | Years Ended December 31, |       |
|-------------------------------------------------------------|--------|-----------------------------------------|------------|
|                                                        |   | 2010                                    |       |   | 2009 |   |   | 2008 |   |
| Trading gain (loss):                                        |   |                                    |       |   |   |   |   |   |   |
| Gain (loss) on trading of commodity contracts:              |   |                                    |       |   |   |   |   |   |   |
| Realized gain (loss) on closed positions                    |   | $                                       | 3,040,780  |   |   | $ | (4,475,589 | ) |   | $ | 37,750,164 |   |
| Change in unrealized gain (loss) on open positions          |   |                                    | 464,878    |   |   |   | (340,613 | ) |   |   | (362,188 | ) |
| Foreign currency transaction gain (loss)                    |   |                                    | (39,241    | ) |   |   | 46,164 |   |   |   | 6,405 |   |
| Total Trading gain (loss)                                   |   |                                    | 3,466,417  |   |   |   | (4,770,038 | ) |   |   | 37,394,381 |   |
|                                                        |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Net investment income (loss):                               |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Interest income                                             |   |                                    | 69,977     |   |   |   | 49,056 |   |   |   | 926,298 |   |
| Change in unrealized gain (loss) on fixed income securities |   |                                    | (3,852     | ) |   |   | - |   |   |   | - |   |
| Total net investment gain (loss)                            |   |                                    | 66,125     |   |   |   | 49,056 |   |   |   | 926,298 |   |
|                                                        |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Expenses:                                                   |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Commissions - Class A                                       |   |                                    | 2,322,754  |   |   |   | 2,689,716 |   |   |   | 4,014,709 |   |
| Commissions - Class B                                       |   |                                    | 17,806     |   |   |   | 14,769 |   |   |   | - |   |
| Advisory fees                                               |   |                                    | 13,087     |   |   |   | - |   |   |   | - |   |
| Management fees                                             |   |                                    | 930,774    |   |   |   | 1,192,210 |   |   |   | 1,611,866 |   |
| Incentive fees                                              |   |                                    | 278,042    |   |   |   | 54,149 |   |   |   | 3,498,852 |   |
| Ongoing offering expenses                                   |   |                                    | 135,000    |   |   |   | 248,000 |   |   |   | 473,000 |   |
| Operating expenses                                          |   |                                    | 936,000    |   |   |   | 1,312,679 |   |   |   | 833,205 |   |
| Total expenses                                              |   |                                    | 4,633,463  |   |   |   | 5,511,523 |   |   |   | 10,431,632 |   |
|                                                        |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Trading income (loss)                                       |   |                                    | (1,100,921 | ) |   |   | (10,232,505 | ) |   |   | 27,889,047 |   |
|                                                        |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Non-Trading income (loss):                                  |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Interest on Non-Trading reserve                             |   |                                    | 8,774      |   |   |   | 6,830 |   |   |   | 112,785 |   |
| Collections in excess of impaired value                     |   |                                    | 16,870,555 |   |   |   | 3,850,660 |   |   |   | 2,516,217 |   |
| Legal and administrative fees                               |   |                                    | (1,005,791 | ) |   |   | (2,188,384 | ) |   |   | (476,416 | ) |
| Management fees paid to US Bank                             |   |                                    | (323,834   | ) |   |   | (366,120 | ) |   |   | (345,769 | ) |
| Non-Trading income (loss)                                   |   |                                    | 15,549,704 |   |   |   | 1,302,986 |   |   |   | 1,806,817 |   |
|                                                        |   |                                    |       |   |   |   |   |   |   |   |   |   |
| Net income (loss)                                           |   | $                                       | 14,448,783 |   |   | $ | (8,929,519 | ) |   | $ | 29,695,864 |   |

----

| Unitholders' Capital (Trading) |   | Beneficial Owners - Trading Class A |     |   | Beneficial Owners - Trading Class B |   |        | Managing Owners - Trading Class A |   |
|------------------------------------------|--------|--------------------------------------------------------------|----------|--------|--------------------------------------------------------------|--------|-------------|------------------------------------------------------------|--------|
|                                     |   | Units                                                        |     |   | Dollars                                                      |   |        | Units                                                      |   |   | Dollars |   |   | Units |   |   | Dollars |   |
|                                     |   |                                                         |     |   |                                                         |   |        |                                                       |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2007            |   |                                                         | 831,874  |   |                                                         | $      | 70,450,079  |                                                       |   |   | - |   |   | $ | - |   |   |   | 20,218 |   |   | $ | 1,712,262 |   |
| Trading income (loss)                    |   |                                                         | -        |   |                                                         |   | 27,221,748  |                                                       |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 667,299 |   |
| Unitholders' contributions               |   |                                                         | 10,736   |   |                                                         |   | 1,053,815   |                                                       |   |   | - |   |   |   | - |   |   |   | 1,329 |   |   |   | 120,000 |   |
| Unitholders' redemptions                 |   |                                                         | (183,863 | )      |                                                         |   | (20,080,379 | )                                                          |   |   | - |   |   |   | - |   |   |   | (9,868 | ) |   |   | (1,105,206 | ) |
| Balances at December 31, 2008            |   |                                                         | 658,747  |   |                                                         |   | 78,645,263  |                                                       |   |   | - |   |   |   | - |   |   |   | 11,679 |   |   |   | 1,394,355 |   |
| Trading income (loss)                    |   |                                                         | -        |   |                                                         |   | (9,914,709  | )                                                          |   |   | - |   |   |   | (124,531 | ) |   |   | - |   |   |   | (193,265 | ) |
| Unitholders’ contributions         |   |                                                         | 15,140   |   |                                                         |   | 1,627,869   |                                                       |   |   | 413 |   |   |   | 45,000 |   |   |   | - |   |   |   | - |   |
| Transfers from Class A to Class B        |   |                                                         | (9,952   | )      |                                                         |   | (1,172,473  | )                                                          |   |   | 9,935 |   |   |   | 1,172,473 |   |   |   | - |   |   |   | - |   |
| Unitholders’ redemptions           |   |                                                         | (112,495 | )      |                                                         |   | (12,474,861 | )                                                          |   |   | (990 | ) |   |   | (111,177 | ) |   |   | - |   |   |   | - |   |
| Balances at December 31, 2009            |   |                                                         | 551,440  |   |                                                         |   | 56,711,089  |                                                       |   |   | 9,358 |   |   |   | 981,765 |   |   |   | 11,679 |   |   |   | 1,201,090 |   |
| Trading income (loss)                    |   |                                                         | -        |   |                                                         |   | (1,087,408  | )                                                          |   |   | - |   |   |   | 12,220 |   |   |   | - |   |   |   | (25,733 | ) |
| Unitholders’ contributions         |   |                                                         | 54,776   |   |                                                         |   | 5,337,442   |                                                       |   |   | 6,432 |   |   |   | 658,669 |   |   |   | - |   |   |   | - |   |
| Transfers from Class A to Class B        |   |                                                         | (649     | )      |                                                         |   | (65,443     | )                                                          |   |   | 633 |   |   |   | 65,443 |   |   |   | - |   |   |   | - |   |
| Unitholders’ redemptions           |   |                                                         | (115,289 | )      |                                                         |   | (11,554,858 | )                                                          |   |   | (3,003 | ) |   |   | (312,405 | ) |   |   | - |   |   |   | - |   |
| Balances at December 31, 2010            |   |                                                         | 490,278  |   |                                                         | $      | 49,340,822  |                                                       |   |   | 13,420 |   |   | $ | 1,405,692 |   |   |   | 11,679 |   |   | $ | 1,175,357 |   |

| Unitholders' Capital (Trading) |   | Total Unitholders' Capital - Trading |     |
|------------------------------------------|--------|----------------------------------------------------------|----------|
|                                     |   | Units                                                    |     |   | Dollars |   |
|                                     |   |                                                     |     |   |   |   |
| Balances at December 31, 2007            |   |                                                     | 852,092  |   |   | $ | 72,162,341 |   |
| Trading income (loss)                    |   |                                                     | -        |   |   |   | 27,889,047 |   |
| Unitholders' contributions               |   |                                                     | 12,065   |   |   |   | 1,173,815 |   |
| Unitholders' redemptions                 |   |                                                     | (193,731 | ) |   |   | (21,185,585 | ) |
| Balances at December 31, 2008            |   |                                                     | 670,426  |   |   |   | 80,039,618 |   |
| Trading income (loss)                    |   |                                                     | -        |   |   |   | (10,232,505 | ) |
| Unitholders' contributions               |   |                                                     | 15,553   |   |   |   | 1,672,869 |   |
| Transfers from Class A to Class B        |   |                                                     | (17      | ) |   |   | - |   |
| Unitholders' redemptions                 |   |                                                     | (113,485 | ) |   |   | (12,586,038 | ) |
| Balances at December 31, 2009            |   |                                                     | 572,477  |   |   |   | 58,893,944 |   |
| Trading income (loss)                    |   |                                                     | -        |   |   |   | (1,100,921 | ) |
| Unitholders’ contributions         |   |                                                     | 61,208   |   |   |   | 5,996,111 |   |
| Transfers from Class A to Class B        |   |                                                     | (16      | ) |   |   | - |   |
| Unitholders’ redemptions           |   |                                                     | (118,292 | ) |   |   | (11,867,263 | ) |
| Balances at December 31, 2010            |   |                                                     | 515,377  |   |   | $ | 51,921,871 |   |

| Unitholders' Capital (LLC Equity/Non-Trading) |   | Participating Owners-  |     |   | Nonparticipating Owners- |   |       | Total Unitholders' Capital- |   |
|--------------------------------------------------------------|--------|-----------------------------|----------|--------|-------------------------------|--------|------------|---------------------------------------|--------|
|                                                         |   | LLC Equity/Non-Trading |     |   | LLC Equity/Non-Trading   |   |       | LLC Equity/Non-Trading           |   |
|                                                         |   | Units                       |     |   | Dollars                       |   |       | Units                                 |   |   | Dollars |   |   | Units |   |   | Dollars |   |
|                                                         |   |                        |     |   |                          |   |       |                                  |   |   |   |   |   |   |   |   |   |   |
| Balances at December 31, 2007                                |   |                        | 798,724  |   |                          | $      | 3,075,087  |                                  |   |   | 1,474,564 |   |   | $ | 5,679,846 |   |   |   | 2,273,288 |   |   | $ | 8,754,933 |   |
| Non-Trading income (loss)                                    |   |                        | -        |   |                          |   | 585,072    |                                  |   |   | - |   |   |   | 1,221,745 |   |   |   | - |   |   |   | 1,806,817 |   |
| Reallocation 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 |   |   |   | 7,266,255 |   |
| Non-Trading income (loss)                                    |   |                        | -        |   |                          |   | 325,015    |                                  |   |   | - |   |   |   | 977,971 |   |   |   | - |   |   |   | 1,302,986 |   |
| Reallocation due to Redemptions                              |   |                        | (98,144  | )      |                          |   | (344,487   | )                                     |   |   | 98,144 |   |   |   | 344,487 |   |   |   | - |   |   |   | - |   |
| Unitholders' distribution                                    |   |                        | -        |   |                          |   | -          |                                  |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |
| Balances at December 31, 2009                                |   |                        | 512,964  |   |                          |   | 1,933,873  |                                  |   |   | 1,760,324 |   |   |   | 6,635,368 |   |   |   | 2,273,288 |   |   |   | 8,569,241 |   |
| Non-Trading income (loss)                                    |   |                        | -        |   |                          |   | 3,236,859  |                                  |   |   | - |   |   |   | 12,312,845 |   |   |   | - |   |   |   | 15,549,704 |   |
| Reallocation due to Redemptions                              |   |                        | (105,501 | )      |                          |   | (504,417   | )                                     |   |   | 105,501 |   |   |   | 504,417 |   |   |   | - |   |   |   | - |   |
| Unitholders' distribution                                    |   |                        | -        |   |                          |   | (3,928,806 | )                                     |   |   | - |   |   |   | (16,076,112 | ) |   |   | - |   |   |   | (20,004,918 | ) |
| Balances at December 31, 2010                                |   |                        | 407,463  |   |                          | $      | 737,509    |                                  |   |   | 1,865,825 |   |   | $ | 3,376,518 |   |   |   | 2,273,288 |   |   | $ | 4,114,027 |   |
|                                                         |   |                        |     |   |                          |   |       |                                  |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Unitholders Capital at December 31, 2010               |   |                        |     |   |                          |   |       |                                  |   |   |   |   |   |   |   |   |   |   | $ | 56,035,898 |   |

|                                          |   | Unitholders' Capital |   |   | Unitholders' Capital |   |   | Unitholders' Capital     |   |
|-----------------------------------------------|--------|---------------------------|--------|--------|---------------------------|--------|--------|-------------------------------|--------|
|                                          |   | Trading Class A |   |   | Trading Class B |   |   | (LLC Equity/Non-Trading) |   |
| Net asset value per unit at December 31, 2009 |   | $                         | 102.84 |   |                      | $      | 104.91 |                          |   | $ | 3.77 |   |
| Net change per unit                           |   |                      | (2.20  | )      |                      |   | (0.16  | )                             |   |   | (1.96 | ) |
| Net asset value per unit at December 31, 2010 |   | $                         | 100.64 |   |                      | $      | 104.75 |                          |   | $ | 1.81 |   |

----

| (1) | General Information and Summary |
|-----|---------------------------------|

----

|   | (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”). |
|--------|-----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| (2) | Summary of Significant Accounting Policies |
|-----|--------------------------------------------|

| (a) | Basis of presentation |
|-----|-----------------------|

| (b) | Principles of Consolidation |
|-----|-----------------------------|

| (c) | Revenue Recognition |
|-----|---------------------|

----

| (d) | Ongoing Offering Costs |
|-----|------------------------|

| (e) | Foreign Currency Transactions |
|-----|-------------------------------|

| (f) | Use of Estimates |
|-----|------------------|

| (g) | Valuation of Assets Held at Refco Capital Markets, Ltd. |
|-----|---------------------------------------------------------|

----

| (3) | Fees |
|-----|------|

| (4) | Income Taxes |
|-----|--------------|

| (5) | Trading Activities and Related Risks |
|-----|--------------------------------------|

----

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

| Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM |   |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|                                                                                                                                                                                                                    |   | AmountsReceived from |   |   | Balance of |   |   | Collections inExcess of |   |   | Cash Distributions toNon-Participating |   |   | Additional Units in Trust forParticipating Owners |   |
| Date                                                                                                                                                                                                                    |   | RCM |   |   | Impaired Value |   |   | Impaired Value |   |   | Owners |   |   | Units |   |   | Dollars |   |
| 12/29/06                                                                                                                                                                                                                |   | $ | 10,319,318 |   |   | $ | 6,643,944 |   |   | $ | - |   |   | $ | 4,180,958 |   |   |   | 54,914 |   |   | $ | 5,154,711 |   |
| 04/20/07                                                                                                                                                                                                                |   |   | 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 |   |   |   | 1,758,626 |   |
| 09/19/07                                                                                                                                                                                                                |   |   | 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 |   |   |   | 1,053,815 |   |
| 06/26/08                                                                                                                                                                                                                |   |   | 701,148 |   |   |   | - |   |   |   | 701,148 |   |   |   | - |   |   |   | - |   |   |   | - |   |
| 12/31/08                                                                                                                                                                                                                |   |   | 769,001 |   |   |   | - |   |   |   | 769,001 |   |   |   | - |   |   |   | - |   |   |   | - |   |
| 06/29/09                                                                                                                                                                                                                |   |   | 2,748,048 |   |   |   | - |   |   |   | 2,748,048 |   |   |   | - |   |   |   | - |   |   |   | - |   |
| 12/30/09                                                                                                                                                                                                                |   |   | 1,102,612 |   |   |   | - |   |   |   | 1,102,612 |   |   |   | - |   |   |   | - |   |   |   | - |   |
| 05/19/10                                                                                                                                                                                                                |   |   | 1,695,150 |   |   |   | - |   |   |   | 1,695,150 |   |   |   | - |   |   |   | - |   |   |   | - |   |
| 06/04/10                                                                                                                                                                                                                |   |   | 14,329,450 | * |   |   | - |   |   |   | 14,329,450 | * |   |   | - |   |   |   | - |   |   |   | - |   |
| 08/01/10                                                                                                                                                                                                                |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 16,076,112 |   |   |   | 40,839 |   |   |   | 3,928,806 |   |
| 10/15/10                                                                                                                                                                                                                |   |   | 282,790 | * |   |   | - |   |   |   | 282,790 | * |   |   | - |   |   |   | - |   |   |   | - |   |
| 12/30/10                                                                                                                                                                                                                |   |   | 563,163 | * |   |   | - |   |   |   | 563,163 | * |   |   | - |   |   |   | - |   |   |   | - |   |
|                                                                                                                                                                                                                    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Totals                                                                                                                                                                                                                  |   | $ | 46,691,966 |   |   | $ | - |   |   | $ | 29,728,704 |   |   | $ | 25,286,697 |   |   |   | 129,672 |   |   | $ | 11,895,958 |   |

| (7) | Fair Value Measurements |
|-----|-------------------------|

----

|                                   |   | December 31, 2010 |      |   |         |   |
|----------------------------------------|--------|-----------------------------|-----------|--------|--------------|--------|
|                                   |   | Level 1                |      |   | Level 2 |   |   | Level 3 |   |   | Total |   |
|                                   |   |                        |      |   |         |   |   |   |   |   |   |   |
| Unrealized gain on open contracts:     |   |                        |      |   |         |   |   |   |   |   |   |   |
| Futures positions                      |   | $                           | 1,163,684 |   |         | $      | - |   |   | $ | - |   |   | $ | 1,163,684 |   |
| Forward currency positions             |   |                        | -         |   |         |   | 193,659 |   |   |   | - |   |   |   | 193,659 |   |
| Purchased options on futures contracts |   |                        | 120,263   |   |         |   | - |   |   |   | - |   |   |   | 120,263 |   |
| Fixed income securities                |   |                        | -         |   |         |   | 11,540,784 |   |   |   | - |   |   |   | 11,540,784 |   |
|                                   |   |                        |      |   |         |   |   |   |   |   |   |   |   |   |   |   |
| Total fair value                       |   | $                           | 1,283,947 |   |         | $      | 11,734,443 |   |   | $ | - |   |   | $ | 13,018,390 |   |

|                                      |   | December 31, 2009 |    |   |         |   |
|-------------------------------------------|--------|-----------------------------|---------|--------|--------------|--------|
|                                      |   | Level 1                |    |   | Level 2 |   |   | Level 3 |   |   | Total |   |
|                                      |   |                        |    |   |         |   |   |   |   |   |   |   |
| Unrealized gain (loss) on open contracts: |   |                        |    |   |         |   |   |   |   |   |   |   |
| Futures positions                         |   | $                           | 767,569 |   |         | $      | - |   |   | $ | - |   |   | $ | 767,569 |   |
| Forward currency positions                |   |                        | -       |   |         |   | (563 | ) |   |   | - |   |   |   | (563 | ) |
|                                      |   |                        |    |   |         |   |   |   |   |   |   |   |   |   |   |   |
| Total fair value                          |   | $                           | 767,569 |   |         | $      | (563 | ) |   | $ | - |   |   | $ | 767,006 |   |

| (8) | Operations |
|-----|------------|

----

| Recipient           |   | Nature of Payment     |   | Class A Units                 |   |   | Class B Units                 |   |
|---------------------|--------|---------------------------------|--------|-----------------------------------------|--------|--------|-----------------------------------------|--------|
| Managing Owner      |   | Managing Owner 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, andexchange 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%                          |   |

| (9) | Financial Highlights |
|-----|----------------------|

----

|                                                  |   | Class A |   |   | Class B |   |
|-------------------------------------------------------|--------|---------|--------|--------|---------|--------|
|                                                  |   | 2010    |   |   | 2009    |   |   | 2008 |   |   | 2010 |   |   | 2009 |   |
| Per share operating performance:                      |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |
| Net asset value of Trading units, beginning of period |   | $       | 102.84 |   |    | $      | 119.39 |   |   | $ | 84.69 |   |   | $ | 104.91 |   |   | $ | 119.39 |   |
| Total Trading income (loss):                          |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Trading gain (loss)                                   |   |    | 6.32   |   |    |   | (7.58 | ) |   |   | 47.06 |   |   |   | 6.81 |   |   |   | (7.74 | ) |
| Investment income                                     |   |    | 0.16   |   |    |   | 0.08 |   |   |   | 1.20 |   |   |   | 0.17 |   |   |   | 0.08 |   |
| Expenses                                              |   |    | (8.68  | )      |    |   | (9.05 | ) |   |   | (13.56 | ) |   |   | (7.14 | ) |   |   | (6.82 | ) |
| Trading income (loss)                                 |   |    | (2.20  | )      |    |   | (16.55 | ) |   |   | 34.70 |   |   |   | (0.16 | ) |   |   | (14.48 | ) |
| Net asset value of Trading units, end of period       |   | $       | 100.64 |   |    | $      | 102.84 |   |   | $ | 119.39 |   |   | $ | 104.75 |   |   | $ | 104.91 |   |
|                                                  |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total return:                                         |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total return before incentive fees                    |   |    | (1.63  | )%     |    |   | (13.78 | )% |   |   | 44.96 | % |   |   | 0.49 | % |   |   | (12.05 | )% |
| Less incentive fee allocations                        |   |    | (0.51  | )%     |    |   | (0.08 | )% |   |   | (3.98 | )% |   |   | (0.64 | )% |   |   | (0.08 | )% |
| Total return                                          |   |    | (2.14  | )%     |    |   | (13.86 | )% |   |   | 40.97 | % |   |   | (0.15 | )% |   |   | (12.13 | )% |
|                                                  |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratios to average net assets:                         |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Trading income (loss)                                 |   |    | (2.10  | )%     |    |   | (15.12 | )% |   |   | 35.19 | % |   |   | 1.01 | % |   |   | (13.35 | )% |
| Expenses:                                             |   |    |   |   |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Expenses, less incentive fees                         |   |    | (8.10  | )%     |    |   | (8.08 | )% |   |   | 8.75 | % |   |   | (6.19 | )% |   |   | (6.13 | )% |
| Incentive fees                                        |   |    | (0.51  | )%     |    |   | (0.08 | )% |   |   | 4.41 | % |   |   | (0.64 | )% |   |   | (0.08 | )% |
| Total expenses                                        |   |    | (8.61  | )%     |    |   | (8.16 | )% |   |   | 13.16 | % |   |   | (6.83 | )% |   |   | (6.21 | )% |

| (10) | Cash Management Agreement with Affiliate. |
|------|-------------------------------------------|

| (11) | Derivative Instruments and Hedging Activities. |
|------|------------------------------------------------|

----

|              |   | Asset       |      |   | Liability   |   |       |       |   |
|-------------------|--------|-------------|-----------|--------|-------------|--------|------------|------------|--------|
| Type of           |   | Derivatives |      |   | Derivatives |   |       | Net        |   |
| Futures Contracts |   | Fair Value  |      |   | Fair Value  |   |       | Fair Value |   |
|              |   |        |      |   |        |   |       |       |   |
| Agriculture       |   | $           | 920,055   |   |        | $      | (323,637   | )          |   | $ | 596,418 |   |
| Currency          |   |        | 928,957   |   |        |   | (507,464   | )          |   |   | 421,493 |   |
| Energy            |   |        | 65,691    |   |        |   | (45,099    | )          |   |   | 20,592 |   |
| Indices           |   |        | 197,712   |   |        |   | -          |       |   |   | 197,712 |   |
| Interest Rates    |   |        | 117,158   |   |        |   | (13,742    | )          |   |   | 103,416 |   |
| Metals            |   |        | 789,173   |   |        |   | (651,198   | )          |   |   | 137,975 |   |
|              |   | $           | 3,018,746 |   |        | $      | (1,541,140 | )          |   | $ | 1,477,606 |   |

|              |   | Asset       |      |   | Liability   |   |       |       |   |
|-------------------|--------|-------------|-----------|--------|-------------|--------|------------|------------|--------|
| Type of           |   | Derivatives |      |   | Derivatives |   |       | Net        |   |
| Futures Contracts |   | Fair Value  |      |   | Fair Value  |   |       | Fair Value |   |
|              |   |        |      |   |        |   |       |       |   |
| Agriculture       |   | $           | 590,975   |   |        | $      | (61,613    | )          |   | $ | 529,362 |   |
| Currency          |   |        | 284,224   |   |        |   | (205,085   | )          |   |   | 79,139 |   |
| Energy            |   |        | 43,234    |   |        |   | (90,529    | )          |   |   | (47,295 | ) |
| Indices           |   |        | 126,513   |   |        |   | (9,295     | )          |   |   | 117,218 |   |
| Interest Rates    |   |        | 115,112   |   |        |   | (180,375   | )          |   |   | (65,263 | ) |
| Metals            |   |        | 808,408   |   |        |   | (654,563   | )          |   |   | 153,845 |   |
|              |   | $           | 1,968,466 |   |        | $      | (1,201,460 | )          |   | $ | 767,006 |   |

|                                     |   | Years Ended December 31, |       |
|------------------------------------------|--------|-----------------------------------------|------------|
| Type of Futures Contracts |   | 2010                                    |       |   | 2009 |   |   | 2008 |   |
| Agriculture                              |   | $                                       | 1,678,921  |   |   | $ | (1,399,288 | ) |   | $ | 5,475,152 |   |
| Currency                                 |   |                                    | 1,582,144  |   |   |   | (765,584 | ) |   |   | 12,951,694 |   |
| Energy                                   |   |                                    | (1,308,951 | ) |   |   | (983,149 | ) |   |   | 9,352,392 |   |
| Indices                                  |   |                                    | (773,614   | ) |   |   | (680,897 | ) |   |   | 7,216,954 |   |
| Interest Rates                           |   |                                    | 2,380,917  |   |   |   | (2,303,699 | ) |   |   | (2,647,420 | ) |
| Metals                                   |   |                                    | (93,000    | ) |   |   | 1,362,579 |   |   |   | 5,045,609 |   |
|                                     |   | $                                       | 3,466,417  |   |   | $ | (4,770,038 | ) |   | $ | 37,394,381 |   |

----

| /s/ Thomas J. Anderson                            |   |
|---------------------------------------------------|--------|
| Thomas J. Anderson                                |
| Principal Financial Officer                       |
| R.J. O’Brien Fund Management, LLC.          |
| The Managing Owner and Commodity Pool Operator of |
| RJO Global Trust                                  |
| March 29, 2011                                    |

----