UNITED
STATES SECURITIES AND EXCHANGE COMMISSION





Washington,
D.C. 20549





FORM
10-Q





x
QUARTERLY REPORT PURSUANT TO
SECTION 13 OR 15(d) OF THE


SECURITIES
EXCHANGE ACT OF 1934





For
the quarterly period ended June 30, 2010




OR




o
TRANSITION REPORT PURSUANT TO
SECTION 13 OR 15(d) OF THE


SECURITIES
EXCHANGE ACT OF 1934





For
the transition period from   to





Commission
File Number:  000-22887





RJO
GLOBAL TRUST


(Exact
name of registrant as specified in its charter)





Delaware
                  
                  36-4113382(State
      or other jurisdiction of incorporation or organization)
                  
                  (I.R.S.
      Employer Identification
No.)





c/o
R.J. O’Brien Fund Management, LLC


222
South Riverside Plaza


Suite
900


Chicago,
IL  60606


(Address
of principal executive offices) (Zip Code)





(312)
373-5000


(Registrant's
telephone number, including area code)





Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months (or for such shorter period that the registrant was required
to file such reports), and (2) has been subject to such filing requirements for
the past 90 days.


x
Yes          ̈
No





Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this
chapter) during the preceding 12 months (or for such shorter period that the
registrant was required to submit and post such files).


 ̈
Yes          ̈
No





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





Large
      accelerated filer  £
                Accelerated
      filer  £Non-accelerated
      filer  £ (Do not
      check if smaller reporting company)
                Smaller
      reporting company x





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


o
Yes         x
No





TABLE
OF CONTENTS




PART
      I. FINANCIAL INFORMATION
                            
                            3Item
      1. Financial Statements
                            
                            3Consolidated
      Statements of Financial Condition, as of June 30, 2010
      (unaudited)and
      December 31, 2009
                            
                            3Condensed
      Consolidated Schedule of Investments, as of June 30, 2010
      (unaudited)
                            
                            4Condensed
      Consolidated Schedule of Investments, as of December 31,
    2009
                            
                            5Consolidated
      Statements of Operations, for the three and six months ended June 30,
      2010and
      2009 (unaudited)
                            
                            6Consolidated
      Statement of Changes in Unitholders’ Capital, for the six months
      endedJune
      30, 2010 (unaudited)
                            
                            7Notes
      to Consolidated Financial Statements
                            
                            8Item
      2. Management's Discussion and Analysis of Financial Condition and Results
      of Operations
                            
                            16Item
      3. Quantitative and Qualitative Disclosures about Market
    Risk
                            
                            20Item
      4. Controls and Procedures
                            
                            20PART
      II. OTHER INFORMATION
                            
                            21Item
      1. Legal Proceedings
                            
                            21Item
      1A. Risk Factors
                            
                            21Item
      2. Unregistered Sales of Equity Securities and Use of
    Proceeds
                            
                            21Item
      6. Exhibits
                            
                            22SIGNATURES
                            
                            23


2


PART
I – FINANCIAL INFORMATION





Item 1.  Financial
Statements





RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statements of Financial Condition





June 30,
                                          
                                          
                                          December 31,2010
                                          
                                          
                                          2009UNAUDITEDAssetsAssets:Equity
      in commodity Trading accounts:Cash
      on deposit with brokers
                                          
                                          $
                                          52,266,229
                                          
                                          
                                          $
                                          59,500,719Unrealized
      gain on open contracts
                                          
                                          
                                          759,372
                                          
                                          
                                          
                                          767,006Cash
      on deposit with bank
                                          
                                          
                                          22,352
                                          
                                          
                                          
                                          38,436Cash
      on deposit with bank - Non-Trading
                                          
                                          
                                          23,516,867
                                          
                                          
                                          
                                          9,214,96476,564,820
                                          
                                          
                                          
                                          69,521,125Interest
      receivable
                                          
                                          
                                          4,609
                                          
                                          
                                          
                                          1,694Total
      Assets
                                          
                                          $
                                          76,569,429
                                          
                                          
                                          $
                                          69,522,819Liabilities
      and Unitholders' CapitalLiabilities:Accrued
      commissions
                                          
                                          $
                                          149,029
                                          
                                          
                                          $
                                          169,886Accrued
      management fees
                                          
                                          
                                          74,451
                                          
                                          
                                          
                                          85,057Accrued
      incentive fees
                                          
                                          
                                          -
                                          
                                          
                                          
                                          17,109Accrued
      offering expenses
                                          
                                          
                                          21,494
                                          
                                          
                                          
                                          22,768Accrued
      operating expenses
                                          
                                          
                                          206,347
                                          
                                          
                                          
                                          239,638Redemptions
      payable - Trading
                                          
                                          
                                          578,323
                                          
                                          
                                          
                                          878,988Accrued
      legal fees - Non-Trading
                                          
                                          
                                          167,394
                                          
                                          
                                          
                                          627,762Accrued
      management fees to U.S. Bank - Non-Trading
                                          
                                          
                                          24,324
                                          
                                          
                                          
                                          18,426Total
      liabilities
                                          
                                          
                                          1,221,362
                                          
                                          
                                          
                                          2,059,634Unitholders'
      capital:Unitholders’
      capital (Trading):Beneficial
      owners:Class
      A (496,669 and 551,440 units outstanding atJune
      30, 2010 and December 31, 2009, respectively)
                                          
                                          
                                          49,648,980
                                          
                                          
                                          
                                          56,711,089Class
      B (11,700 and 9,358 units outstanding atJune
      30, 2010 and December 31, 2009, respectively)
                                          
                                          
                                          1,205,204
                                          
                                          
                                          
                                          981,765Managing
      owner (11,679 Class A units outstanding atJune
      30, 2010 and December 31, 2009)
                                          
                                          
                                          1,167,454
                                          
                                          
                                          
                                          1,201,090Unitholders'
      capital (LLC equity/Non-Trading):Participating
      owners (452,878 and 512,964 units outstanding atJune
      30, 2010 and December 31, 2009, respectively)
                                          
                                          
                                          4,646,527
                                          
                                          
                                          
                                          1,933,873Nonparticipating
      owners (1,820,410 and 1,760,324 units outstanding atJune
      30, 2010 and December 31, 2009, respectively)
                                          
                                          
                                          18,679,902
                                          
                                          
                                          
                                          6,635,368Total
      unitholders' capital
                                          
                                          
                                          75,348,067
                                          
                                          
                                          
                                          67,463,185Total
      Liabilities and Unitholders’ Capital
                                          
                                          $
                                          76,569,429
                                          
                                          
                                          $
                                          69,522,819Net
      asset value per unit:Trading:Class
      A
                                          
                                          $
                                          99.96
                                          
                                          
                                          $
                                          102.84Class
      B
                                          
                                          $
                                          103.00
                                          
                                          
                                          $
                                          104.91LLC
      equity/Non-Trading
                                          
                                          $
                                          10.82
                                          
                                          
                                          $
                                          3.77





See
accompanying notes to consolidated financial statements.


3





RJO GLOBAL TRUST AND SUBSIDIARY


Condensed
Consolidated Schedule of Investments


as
of June 30, 2010


UNAUDITED





Number of
                            
                            
                            Principal
                            
                            
                            Value/opencontracts
                            
                            
                            (notional)
                            
                            
                            trade equityLong positions (-0.18%)Futures
      Positions (0.28%)Agriculture
                            
                            
                            181
                            
                            
                            $
                            15,215,605
                            
                            
                            $
                            (206,104
                            )Currency
                            
                            
                            183
                            
                            
                            
                            27,402,556
                            
                            
                            
                            (75,925
                            )Energy
                            
                            
                            70
                            
                            
                            
                            18,145,044
                            
                            
                            
                            (52,906
                            )Indices
                            
                            
                            161
                            
                            
                            
                            7,753,848
                            
                            
                            
                            448,265Interest
      rates
                            
                            
                            329
                            
                            
                            
                            93,997,996
                            
                            
                            
                            60,242Metals
                            
                            
                            63
                            
                            
                            
                            5,804,776
                            
                            
                            
                            40,450Forward
      Positions (-0.46%)Currency
                            
                            
                            30,150,000
                            
                            
                            
                            32,797,421
                            
                            
                            
                            (348,251
                            )Total
      long positions
                            
                            
                            
                            
                            
                            $
                            201,117,246
                            
                            
                            $
                            (134,229
                            )Short positions (1.18%)Future
      positions (0.73%)Agriculture
                            
                            
                            159
                            
                            
                            $
                            7,188,500
                            
                            
                            $
                            84,366Currency
                            
                            
                            129
                            
                            
                            
                            7,281,039
                            
                            
                            
                            148,091Energy
                            
                            
                            62
                            
                            
                            
                            2,320,518
                            
                            
                            
                            13,807Indices
                            
                            
                            263
                            
                            
                            
                            16,797,039
                            
                            
                            
                            290,622Interest
      rates
                            
                            
                            82
                            
                            
                            
                            6,335,127
                            
                            
                            
                            (34,600
                            )Metals
                            
                            
                            56
                            
                            
                            
                            2,648,160
                            
                            
                            
                            53,515Forward
      Positions (0.45%)Currency
                            
                            
                            37,490,000
                            
                            
                            
                            41,650,873
                            
                            
                            
                            337,800Total
      short positions
                            
                            
                            
                            
                            
                            $
                            84,221,256
                            
                            
                            $
                            893,601Total
      unrealized gain on open contracts (1.00%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            $
                            759,372Cash
      on deposit with brokers (69.37%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            52,266,229Cash
      on deposit with bank (31.24%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            23,539,219Other
      liabilities in excess of assets (-1.61%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            (1,216,753
                            )Net
      assets (100.00%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            $
                            75,348,067





See
accompanying notes to consolidated financial statements.


4





RJO
GLOBAL TRUST AND SUBSIDIARY


Condensed
Consolidated Schedule of Investments


as
of December 31, 2009





Number of
                            
                            
                            Principal
                            
                            
                            Value/opencontracts
                            
                            
                            (notional)
                            
                            
                            trade equityLong positions (1.69%)Futures
      Positions (1.45%)Agriculture
                            
                            
                            459
                            
                            
                            $
                            14,175,201
                            
                            
                            $
                            542,222Currency
                            
                            
                            58
                            
                            
                            
                            5,175,139
                            
                            
                            
                            18,650Energy
                            
                            
                            45
                            
                            
                            
                            3,386,896
                            
                            
                            
                            25,657Indices
                            
                            
                            90
                            
                            
                            
                            6,006,445
                            
                            
                            
                            118,235Interest
      rates
                            
                            
                            225
                            
                            
                            
                            73,893,816
                            
                            
                            
                            (167,286
                            )Metals
                            
                            
                            165
                            
                            
                            
                            13,101,937
                            
                            
                            
                            437,926Forward
      Positions (0.24%)Currency
                            
                            
                            25,375,000
                            
                            
                            
                            28,588,150
                            
                            
                            
                            162,279Total
      long positions
                            
                            
                            
                            
                            
                            $
                            144,327,584
                            
                            
                            $
                            1,137,683Short positions (-0.55%)Future
      positions (-0.31%)Agriculture
                            
                            
                            142
                            
                            
                            $
                            3,758,129
                            
                            
                            $
                            (12,859
                            )Currency
                            
                            
                            50
                            
                            
                            
                            6,823,909
                            
                            
                            
                            61,052Energy
                            
                            
                            17
                            
                            
                            
                            2,077,755
                            
                            
                            
                            (72,953
                            )Indices
                            
                            
                            35
                            
                            
                            
                            2,261,654
                            
                            
                            
                            (1,017
                            )Interest
      rates
                            
                            
                            292
                            
                            
                            
                            78,210,549
                            
                            
                            
                            102,023Metals
                            
                            
                            62
                            
                            
                            
                            5,294,294
                            
                            
                            
                            (284,081
                            )Forward
      Positions (-0.24%)Currency
                            
                            
                            21,765,000
                            
                            
                            
                            23,079,582
                            
                            
                            
                            (162,842
                            )Total
      short positions
                            
                            
                            
                            
                            
                            $
                            121,505,872
                            
                            
                            $
                            (370,677
                            )Total
      unrealized gain on open contracts (1.14%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            $
                            767,006Cash
      on deposit and open contracts with brokers (88.20%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            59,500,719Cash
      on deposit with bank (13.72%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            9,253,400Other
      liabilities in excess of assets (-3.06%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            (2,057,940
                            )Net
      assets (100.00%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            $
                            67,463,185





See
accompanying notes to consolidated financial statements.


5





RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statements of Operations


UNAUDITED





For the three months ended June 30,
                  
                  
                  For the six months ended June 30,2010
                  
                  
                  2009
                  
                  
                  2010
                  
                  
                  2009Trading
      gain (loss):Gain
      (loss) on trading of commodity contracts:Realized
      gain (loss) on closed positions
                  
                  $
                  895,419
                  
                  
                  $
                  (537,163
                  )
                  
                  $
                  632,697
                  
                  
                  $
                  (1,911,938
                  )Change
      in unrealized gain (loss) on open positions
                  
                  
                  (263,057
                  )
                  
                  
                  (258,663
                  )
                  
                  
                  (7,634
                  )
                  
                  
                  (1,069,254
                  )Foreign
      currency transaction gain (loss)
                  
                  
                  (31,685
                  )
                  
                  
                  20,271
                  
                  
                  
                  (44,932
                  )
                  
                  
                  46,264Total
      Trading gain (loss)
                  
                  
                  600,677
                  
                  
                  
                  (775,555
                  )
                  
                  
                  580,131
                  
                  
                  
                  (2,934,928
                  )Investment
      Income:Interest
      income
                  
                  
                  16,980
                  
                  
                  
                  10,177
                  
                  
                  
                  23,908
                  
                  
                  
                  29,289Expenses:Commissions
      - Class A
                  
                  
                  561,415
                  
                  
                  
                  661,930
                  
                  
                  
                  1,160,452
                  
                  
                  
                  1,394,105Commissions
      - Class B
                  
                  
                  4,293
                  
                  
                  
                  3,332
                  
                  
                  
                  7,840
                  
                  
                  
                  8,146Management
      fees
                  
                  
                  228,054
                  
                  
                  
                  316,216
                  
                  
                  
                  468,960
                  
                  
                  
                  649,723Incentive
      fees
                  
                  
                  -
                  
                  
                  
                  (4,827
                  )
                  
                  
                  -
                  
                  
                  
                  8,337Ongoing
      offering expenses
                  
                  
                  20,000
                  
                  
                  
                  70,000
                  
                  
                  
                  40,000
                  
                  
                  
                  173,000Operating
      expenses
                  
                  
                  270,000
                  
                  
                  
                  250,000
                  
                  
                  
                  540,000
                  
                  
                  
                  715,678Total
      expenses
                  
                  
                  1,083,762
                  
                  
                  
                  1,296,651
                  
                  
                  
                  2,217,252
                  
                  
                  
                  2,948,989Trading
      income (loss)
                  
                  
                  (466,105
                  )
                  
                  
                  (2,062,029
                  )
                  
                  
                  (1,613,213
                  )
                  
                  
                  (5,854,628
                  )Non-Trading
      income (loss):Interest
      on Non-Trading reserve
                  
                  
                  2,842
                  
                  
                  
                  125
                  
                  
                  
                  5,024
                  
                  
                  
                  3,175Collections
      in excess of impaired value
                  
                  
                  16,024,600
                  
                  
                  
                  2,748,048
                  
                  
                  
                  16,024,600
                  
                  
                  
                  2,748,048Legal
      and administrative fees
                  
                  
                  (152,010
                  )
                  
                  
                  (347,878
                  )
                  
                  
                  (1,110,691
                  )
                  
                  
                  (733,876
                  )Management
      fees paid to US Bank
                  
                  
                  (75,090
                  )
                  
                  
                  (95,034
                  )
                  
                  
                  (161,745
                  )
                  
                  
                  (201,587
                  )Non-Trading
      income (loss)
                  
                  
                  15,800,342
                  
                  
                  
                  2,305,261
                  
                  
                  
                  14,757,188
                  
                  
                  
                  1,815,760Net
      income (loss)
                  
                  $
                  15,334,237
                  
                  
                  $
                  243,232
                  
                  
                  $
                  13,143,975
                  
                  
                  $
                  (4,038,868
                  )





See
accompanying notes to consolidated financial statements.


6





RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statement of Changes in Unitholders’ Capital


For
the six months ended June 30, 2010


UNAUDITIED





Unitholders'
      Capital (Trading)
                                                              
                                                              Beneficial
      Owners - Trading Class
      A
                                                              
                                                              
                                                              Beneficial
      Owners - Trading Class
      B
                                                              
                                                              
                                                              Managing
      Owners - Trading Class
      AUnits
                                                              
                                                              
                                                              Dollars
                                                              
                                                              
                                                              Units
                                                              
                                                              
                                                              Dollars
                                                              
                                                              
                                                              Units
                                                              
                                                              
                                                              DollarsBalances
      at December 31, 2009
                                                              
                                                              
                                                              551,440
                                                              
                                                              
                                                              $
                                                              56,711,089
                                                              
                                                              
                                                              
                                                              9,358
                                                              
                                                              
                                                              $
                                                              981,765
                                                              
                                                              
                                                              
                                                              11,679
                                                              
                                                              
                                                              $
                                                              1,201,090Net
      income
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              (1,562,948
                                                              )
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              (16,629
                                                              )
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              (33,636
                                                              )Unitholders’
      contributions
                                                              
                                                              
                                                              8,748
                                                              
                                                              
                                                              
                                                              883,204
                                                              
                                                              
                                                              
                                                              2,586
                                                              
                                                              
                                                              
                                                              265,000
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Transfers
      from Class A to Class B
                                                              
                                                              
                                                              (649
                                                              )
                                                              
                                                              
                                                              (65,443
                                                              )
                                                              
                                                              
                                                              633
                                                              
                                                              
                                                              
                                                              65,443
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Unitholders’
      redemptions
                                                              
                                                              
                                                              (62,870
                                                              )
                                                              
                                                              
                                                              (6,316,922
                                                              )
                                                              
                                                              
                                                              (877
                                                              )
                                                              
                                                              
                                                              (90,374
                                                              )
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Balances
      at June 30, 2010
                                                              
                                                              
                                                              496,669
                                                              
                                                              
                                                              $
                                                              49,648,980
                                                              
                                                              
                                                              
                                                              11,700
                                                              
                                                              
                                                              $
                                                              1,205,204
                                                              
                                                              
                                                              
                                                              11,679
                                                              
                                                              
                                                              $
                                                              1,167,454Unitholders'
      Capital (Trading)
                                                              
                                                              Total
      Unitholders' Capital -
      TradingUnits
                                                              
                                                              
                                                              DollarsBalances
      at December 31, 2009
                                                              
                                                              
                                                              572,477
                                                              
                                                              
                                                              $
                                                              58,893,944Net
      income
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              (1,613,213
                                                              )Unitholders’
      contributions
                                                              
                                                              
                                                              11,333
                                                              
                                                              
                                                              
                                                              1,148,204Transfers
      from Class A to Class B
                                                              
                                                              
                                                              (15
                                                              )
                                                              
                                                              
                                                              -Unitholders’
      redemptions
                                                              
                                                              
                                                              (63,746
                                                              )
                                                              
                                                              
                                                              (6,407,297
                                                              )Balances
      at June 30, 2010
                                                              
                                                              
                                                              520,049
                                                              
                                                              
                                                              $
                                                              52,021,638Unitholders'
      Capital (LLC Equity/Non-Trading)
                                                              
                                                              Participating
      Owners-
                                                              
                                                              
                                                              Nonparticipating
      Owners-
                                                              
                                                              
                                                              Total
      Unitholders' Capital-LLC
      Equity/Non-Trading
                                                              
                                                              
                                                              LLC
      Equity/Non-Trading
                                                              
                                                              
                                                              LLC
      Equity/Non-TradingUnits
                                                              
                                                              
                                                              Dollars
                                                              
                                                              
                                                              Units
                                                              
                                                              
                                                              Dollars
                                                              
                                                              
                                                              Units
                                                              
                                                              
                                                              DollarsBalances
      at December 31, 2009
                                                              
                                                              
                                                              512,964
                                                              
                                                              
                                                              $
                                                              1,933,873
                                                              
                                                              
                                                              
                                                              1,760,324
                                                              
                                                              
                                                              $
                                                              6,635,368
                                                              
                                                              
                                                              
                                                              2,273,288
                                                              
                                                              
                                                              $
                                                              8,569,241Net
      income
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              3,079,983
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              11,677,205
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              14,757,188Unitholders’
      contributions
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Reallocation
      due to Redemptions
                                                              
                                                              
                                                              (60,086
                                                              )
                                                              
                                                              
                                                              (367,329
                                                              )
                                                              
                                                              
                                                              60,086
                                                              
                                                              
                                                              
                                                              367,329
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Unitholders'
      distribution
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -
                                                              
                                                              
                                                              
                                                              -Balances
      at June 30, 2010
                                                              
                                                              
                                                              452,878
                                                              
                                                              
                                                              $
                                                              4,646,527
                                                              
                                                              
                                                              
                                                              1,820,410
                                                              
                                                              
                                                              $
                                                              18,679,902
                                                              
                                                              
                                                              
                                                              2,273,288
                                                              
                                                              
                                                              $
                                                              23,326,429Total
      Unitholders Capital at June 30, 2010
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              $
                                                              75,348,067Unitholders'
      Capital
                                                              
                                                              
                                                              Unitholders'
      Capital
                                                              
                                                              
                                                              Unitholders'
      CapitalTrading
      Class
      A
                                                              
                                                              
                                                              Trading
      Class
      B
                                                              
                                                              
                                                              (LLC
      Equity/Non-Trading)Net
      asset value per unit at December 31, 2009
                                                              
                                                              $
                                                              102.84
                                                              
                                                              
                                                              $
                                                              104.91
                                                              
                                                              
                                                              $
                                                              3.77Net
      change per unit
                                                              
                                                              
                                                              (2.88
                                                              )
                                                              
                                                              
                                                              (1.91
                                                              )
                                                              
                                                              
                                                              7.05Net
      asset value per unit at June 30, 2010
                                                              
                                                              $
                                                              99.96
                                                              
                                                              
                                                              $
                                                              103.00
                                                              
                                                              
                                                              $
                                                              10.26





See
accompanying notes to consolidated financial statements.


7





RJO
GLOBAL TRUST AND SUBSIDIARY


NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS


June
30, 2010


(Unaudited)





(1)         General
Information and Summary





RJO
Global Trust (the “Trust”), a Delaware statutory trust organized on November 12,
1996, was formed to engage in the speculative trading of futures contracts on
currencies, interest rates, energy and agricultural products, metals, commodity
indices and stock indices, spot and forward contracts on currencies and precious
metals, and exchanges for physicals pursuant to the trading instructions of
independent trading advisors.  Since December 1, 2006, R.J. O’Brien
Fund Management, LLC (“RJOFM” or the “Managing Owner”) has been the Managing
Owner of the Trust.  R.J. O’Brien & Associates, LLC (“RJO”), an
affiliate of RJOFM, is the clearing broker and the broker for forward contracts
for the Trust.  R.J. O’Brien Securities, LLC (“Selling Agent”) is the
lead selling agent of the units.





The Trust
was originally established and operated as a single-advisor commodity
pool.  John W. Henry & Company, Inc. (“JWH”) served as the Trust’s
sole trading advisor until October 31, 2008.  As of November 1, 2008,
the Trust became a multi-advisor commodity pool where trading decisions for the
Trust were delegated to five independent commodity trading
advisors:  JWH, AIS Futures Management (“AIS”), Abraham Trading Corp.
(“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”) (each an “Advisor”
and collectively the “Advisors”), pursuant to advisory agreements executed
between the Trust and each Advisor (each an “Advisory Agreement” and
collectively the “Advisory Agreements”).  Effective February 1, 2009,
NuWave Investment Management, LLC (“NW”) became the Trust’s sixth
Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to
the Trust.  Effective June 1, 2009, the Trust entered into an Advisory
Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory
Agreement with GALP, in connection with GALP’s initiative to migrate all of its
clients to its Jersey-based (UK) entity.  As of June 30, 2009, AIS was
terminated as an Advisor to the Trust and the Trust’s assets were reallocated
with equal weighting of 16.666% each to the remaining four Advisors along with
Conquest Capital Group (“CCG”) and Haar Capital Management (“HCM”) beginning
July 1, 2009.  As of June 30, 2010, the Advisors consisted of JWH, NW,
ATC, GAJL, CCG, and HCM.





Units of
beneficial ownership of the Trust commenced selling on April 3,
1997.  The Managing Owner filed its latest registration statement on
Form S-1 on behalf of the Trust with respect to the registration of 1,000,000
units of beneficial interest on September 19, 2007 (File No.
333-146177).  This registration statement became effective with the
Securities and Exchange Commission (the “SEC”) on December 4, 2007 and was
amended by Post-Effective Amendment No. 1 on Form S-1, filed with the SEC on
April 18, 2008, Post-Effective Amendment No. 2 on Form S-1, filed with the SEC
on October 6, 2008, Post-Effective Amendment No. 3 on Form S-1, filed with the
SEC on December 12, 2008, Post-Effective Amendment No. 4 on Form S-1, filed with
the SEC on April 3, 2009 with  Supplements to Post-Effective Amendment
No. 4 filed with the SEC July 1, 2009 and February 1, 2010, and Post-Effective
Amendment No. 5  on Form S-1, filed with the SEC on April 7,
2010.





Prior to
December 12, 2008, the Trust only offered one class of units for
subscription.  As described in the Trust’s Post-Effective Amendment
No. 4 on Form S-1, the Trust now offers two classes of units.  Class A
units are subject to a selling commission.  Class B units are not
charged a selling commission, and will only be offered to certain qualified
investors participating in a program through certain financial
advisors.  Both Class A and Class B interests are traded pursuant to
identical trading programs and differ only in respect to selling
commissions.  See Note (8) for further detail regarding
commissions.





The Trust
will be terminated on December 31, 2026, unless terminated earlier upon the
occurrence of one of the following:  (1) beneficial owners holding
more than 50% of the outstanding units notify the Managing Owner to dissolve the
Trust as of a specific date; (2) 120 days after the filing of a bankruptcy
petition by or against the Managing Owner, unless the bankruptcy court approves
the sale and assignment of the interests of the Managing Owner to a
purchaser/assignor that assumes the duties of the Managing Owner; (3) 120 days
after the notice of the retirement, resignation, or withdrawal of the Managing
Owner, unless beneficial owners holding more than 50% of the outstanding units
appoint a successor; (4) 90 days after the insolvency of the Managing Owner or
any other event that would cause the Managing Owner to cease being managing
owner of the Trust, unless beneficial owners holding more than 50% of the
outstanding units appoint a successor; (5) dissolution of the Managing Owner;
(6) insolvency or bankruptcy of the Trust; (7) a decrease in the net asset value
to less than $2,500,000; (8) a decline in the net asset value per unit to $50 or
less; (9) dissolution of the Trust; or (10) any event that would make it
unlawful for the existence of the Trust to be continued or require dissolution
of the Trust.


8





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





Effective
January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited
liability company, was established to pursue the claims against
RCM.  Any assets or liabilities held by the LLC are designated as
“Non-Trading.”  Any revenue earned or expenses incurred by the LLC are
also designated as “Non-Trading.”  The Trust is the sole member of the
LLC and holds that membership for the benefit of the unitholders who were
investors in the Trust at the time of the bankruptcy of RCM.  U.S.
Bank National Association (“US Bank”) is the manager of the LLC.  US
Bank may make distributions to the unitholders, as defined above, upon
collection, sale, settlement or other disposition of the bankruptcy claim and
after payment of all fees and expenses pro rata to the unitholders, as
follows:





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


(b)
            Any
      unitholder who had continued to own units in the Trust shall receive
      additional units in the Trust at the then net asset value of the Trust
      (“Participating Owners”).





The
unitholders have no right to request redemptions from the LLC.





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





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





(2)         Summary
of Significant Accounting Policies





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





(a)         Basis
of Presentation





The
accompanying unaudited consolidated financial statements of the Trust have been
prepared in accordance with accounting principles generally accepted in the
United States of America for interim financial information and with rules and
regulations of the SEC.  Accordingly, they do not include all of the
information and footnotes required by accounting principles generally accepted
in the United States of America for complete financial statements.  In
the opinion of management, all adjustments (consisting only of normal recurring
adjustments) considered necessary for a fair presentation of the financial
condition and results of operations of the Trust for the periods presented have
been included.





The
Trust’s unaudited consolidated financial statements and the related notes should
be read together with the consolidated financial statements and related notes
included in the Trust’s Annual Report on Form 10-K for the year ended December
31, 2009.





(b)         Principles
of Consolidation





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





(c)         Revenue
Recognition





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


9





At June
30, 2010, the Trust earns interest on 100% of the Trust’s average daily balances
on deposit with RJO during each month at 100% of the average four-week Treasury
Bill rate for that month in respect of deposits denominated in U.S.
dollars.  For deposits denominated in other currencies, the Trust
earns interest at a rate of one-month LIBOR less 100 basis points.  To
the extent excess cash is not invested in securities, such cash will be subject
to the creditworthiness of the institution where such funds are
deposited.





(d)         Ongoing Offering
Costs





Ongoing
offering costs subject to a ceiling of 0.50% of the Trust’s average month-end
net assets, are paid by the Trust and expensed as incurred.





(e)         Foreign
Currency Transactions





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





(f)         Use
of Estimates





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





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





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





(3)         Fees





Management
fees are accrued and paid monthly.  Incentive fees are accrued monthly
and paid quarterly.  Trading decisions for the periods covered by
these financial statements were made by the Advisors.





Pursuant
to the Advisory Agreements, each Advisor receives a monthly management fee at
the rate of up to 0.167% (a 2.0% annual rate) of the Trust’s month-end net
assets calculated after deduction of brokerage fees, but before reduction for
any incentive fee or other costs and before inclusion of new unitholder
subscriptions and redemptions for the month.  These management fees
were not paid on the LLC net assets.





The Trust
also pays the Advisors a quarterly incentive fee equal to 20% of the “New
Trading Profit,” if any, of the Trust.  The incentive fee is based on
the performance of each Advisor’s portion of the assets allocated to it. New
Trading Profit in any quarter is equal to the “Trading Profit” for such quarter
that is in excess of the highest level of such cumulative trading profit as of
any previous calendar quarter-end.  Trading Profit is calculated by
including realized and unrealized profits and losses, excluding interest income,
and deducting the management fee and brokerage fee.


10





(4)         Income
Taxes





No
provision for federal income taxes has been made in the accompanying financial
statements as each beneficial owner is responsible for reporting income (loss)
based on the pro rata share of the profits or losses of the
Trust.  Generally, for both federal and state tax purposes, trusts,
such as the RJO Global Trust, are treated as partnerships.  The LLC is
also treated as a partnership. The only significant differences in financial and
income tax reporting basis are ongoing offering costs.





(5)         Trading
Activities and Related Risks





The Trust
engages in the speculative trading of U.S. and foreign futures contracts, and
forward contracts (collectively derivatives) through the
Advisors.  These derivatives include both financial and non-financial
contracts held as part of a diversified trading strategy.  The Trust
is exposed to both market risk, the risk arising from changes in the market
value of the contracts, and credit risk, the risk of failure by another party to
perform according to the terms of a contract.





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





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





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





Net
trading results from derivatives for the periods ended June 30, 2010 and 2009,
are reflected in the statements of operations and equal gain or loss from
trading.  Such trading results reflect the net gain or loss arising
from the Trust’s speculative trading of futures contracts and forward
contracts.





The
notional amounts of open contracts at June 30, 2010 and December 31, 2009, as
disclosed in the respective Condensed Consolidated Schedule of Investments, do
not represent the Trust’s risk of loss due to market and credit risk, but rather
represent the Trust’s extent of involvement in derivatives at the date of the
statement of financial condition.





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





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





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


11




Recoveries
      from RCM, Distributions paid by US Bank from the LLC, and effect on
      impaired value of assets held at
      RCMAmounts
                              Received
      from
                            
                            
                            Balance
      of
                            
                            
                            Collections
                              in
      Excess of
                            
                            
                            Cash
      Distributions to
                              Non-Participating
                            
                            
                            Additional
      Units in Trust
      for
                              Participating
      OwnersDate
                            
                            
                            RCM
                            
                            
                            Impaired
      Value
                            
                            
                            Impaired
      Value
                            
                            
                            Owners
                            
                            
                            Units
                            
                            
                            Dollars12/29/06
                            
                            
                            $
                            10,319,318
                            
                            
                            $
                            6,643,944
                            
                            
                            $
                            -
                            
                            
                            $
                            4,180,958
                            
                            
                            
                            54,914
                            
                            
                            $
                            5,154,71104/20/07
                            
                            
                            
                            2,787,629
                            
                            
                            
                            3,856,315
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -06/07/07
                            
                            
                            
                            265,758
                            
                            
                            
                            3,590,557
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -06/28/07
                            
                            
                            
                            4,783,640
                            
                            
                            
                            -
                            
                            
                            
                            1,193,083
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -07/03/07
                            
                            
                            
                            5,654
                            
                            
                            
                            -
                            
                            
                            
                            5,654
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -08/29/07
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            2,787,947
                            
                            
                            
                            23,183
                            
                            
                            
                            1,758,62609/19/07
                            
                            
                            
                            2,584,070
                            
                            
                            
                            -
                            
                            
                            
                            2,584,070
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -12/31/07
                            
                            
                            
                            2,708,467
                            
                            
                            
                            -
                            
                            
                            
                            2,708,467
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -03/28/08
                            
                            
                            
                            1,046,068
                            
                            
                            
                            -
                            
                            
                            
                            1,046,068
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -04/29/08
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            2,241,680
                            
                            
                            
                            10,736
                            
                            
                            
                            1,053,81506/26/08
                            
                            
                            
                            701,148
                            
                            
                            
                            -
                            
                            
                            
                            701,148
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -12/31/08
                            
                            
                            
                            769,001
                            
                            
                            
                            -
                            
                            
                            
                            769,001
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -06/29/09
                            
                            
                            
                            2,748,048
                            
                            
                            
                            -
                            
                            
                            
                            2,748,048
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -12/30/09
                            
                            
                            
                            1,102,612
                            
                            
                            
                            -
                            
                            
                            
                            1,102,612
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -05/19/10
                            
                            
                            
                            1,695,150
                            
                            
                            
                            -
                            
                            
                            
                            1,695,150
                            
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -06/04/10
                            
                            
                            
                            14,329,450
                            *
                            
                            
                            -
                            
                            
                            
                            14,329,450
                            *
                            
                            
                            -
                            
                            
                            
                            -
                            
                            
                            
                            -Totals
                            
                            
                            $
                            45,846,013
                            
                            
                            $
                            -
                            
                            
                            $
                            28,882,751
                            
                            
                            $
                            9,210,585
                            
                            
                            
                            88,833
                            
                            
                            $
                            7,967,152





*
            The
      collection on June 4, 2010 was from a settlement agreement reached with
      Cargill, Inc. and Cargill Investor Services, Inc. (together,“Cargill”). The gross
      collection of $15,300,000 was reduced by $970,550, which represented
      Cargill’s percentage
      of distributions, as defined in the Settlement
  Agreement.








(7)         Fair
Value Measurements




In
accordance with the Fair Value
Measurements Topic of the Financial Accounting Standards Board Accounting
Standards Codification (the “Codification”), the Trust established a three-level
valuation hierarchy for disclosure of fair value measurements. The valuation
hierarchy is based upon the transparency of inputs to the valuation of an asset
or liability as of the measurement date.  The three levels are defined
as follows:





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





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





Level
3 inputs are unobservable inputs for an asset or
liability.  Unobservable inputs shall be used to measure fair value to
the extent that observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for the asset or
liability at the measurement date.  As of June 30, 2010 and December
31, 2009, the Trust did not have any Level 3 assets or liabilities.





An asset
or liability’s categorization within the valuation hierarchy is based upon the
lowest level of input that is significant to the fair value measurement. The
fair value hierarchy gives the highest priority to unadjusted quoted prices in
active markets for identical assets or liabilities (Level 1) and the lowest
priority to unobservable inputs (Level 3).





The
following table presents the Trust’s fair value hierarchy for those assets and
liabilities measured at fair value on a recurring basis as of June 30, 2010 and
December 31, 2009, respectively:


12





June 30, 2010Level 1
                    
                    
                    Level 2
                    
                    
                    Level 3
                    
                    
                    TotalUnrealized
      gain (loss) on open contracts:Futures
      positions
                    
                    $
                    769,822
                    
                    
                    $
                    -
                    
                    
                    $
                    -
                    
                    
                    $
                    769,822Forward
      currency positions
                    
                    
                    -
                    
                    
                    
                    (10,450
                    )
                    
                    
                    -
                    
                    
                    
                    (10,450
                    )Total
      fair value
                    
                    $
                    769,822
                    
                    
                    $
                    (10,450
                    )
                    
                    $
                    -
                    
                    
                    $
                    759,372





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





There
were no significant transfers in or out of Level 1 and Level 2 fair value
measurements.





(8)         Operations





Redemptions




A
beneficial owner may cause any or all of his or her units to be redeemed by the
Trust effective as of the last business day of any month of the Trust based on
the Net Asset Value per unit on such date on five business days’ written notice
to ACS Securities Services, Inc., the Trust’s administrator, or the Managing
Owner.  Payment will generally be made within ten business days of the
effective date of the redemption.  Any redemption made during the
first eleven months of investment is subject to a 1.5% redemption penalty,
payable to the Managing Owner.  Any redemption made in the twelfth
month of investment or later will not be subject to any redemption
penalty.  The Trust’s Eighth Amended and Restated Declaration and
Agreement of Trust, as amended, contains a full description of redemption and
distribution policies.





Subscriptions





An
investor may purchase units in the Trust effective the first business day of any
month based on the Net Asset Value per unit on the last business day of the
previous month.  A correctly completed and signed subscription form
with the corresponding funds must be received by ACS Securities Services, Inc.,
the Trust’s administrator, no later than five business days before each month
end.  If the forms are completed accurately, the investor’s
subscription is accepted and the units purchased become invested on the first
business day of the following month.  If the subscription form is
incomplete, the subscription is rejected and funds are returned to the investor
from the administrator.  Likewise if a subscription form is received
without the funds by the fifth business day before the end of the month, the
subscription request is rejected.  If funds are received without a
subscription form, the funds are returned to the investor.  If a
subscription is accepted, 100% of the investment amount is invested as of the
effective date.  The Trust’s Eighth Amended and Restated Declaration
and Agreement of Trust, as amended, and its prospectus contain a full
description of subscription policies.  An investment in the Trust does
not include a beneficial interest or investment in the LLC.





Commissions





The
Managing Owner and/or affiliates act as commodity brokers for the Trust through
RJO.  Commodity brokerage commissions are typically paid upon the
completion or liquidation of a trade and are referred to as “round-turn
commissions,” which cover both the initial purchase (or sale) and the subsequent
offsetting sale (or purchase) of a commodity futures contract.





The
Trust’s brokerage fee constitutes a “wrap fee” of 4.65% to 5.0% of the Trust’s
month-end assets on an annual basis (0.3875% to 0.417% monthly) with respect to
Class A units and 2.65% to 3.0% of the Trust’s month-end assets on an annual
basis (0.221% to 0.25% monthly) with respect to Class B units, which covers the
fees described below.  “Brokerage fee” includes the following across
each class of units:


13




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




In
accordance with the Financial Industry Regulatory Authority (“FINRA”)
regulations, underwriting expenses, including selling commissions, are limited
to 10% of either the existing net asset values for all units of record as of
November 1, 2008, or 10% of original subscription price for any new
subscriptions thereafter.  Once the maximum amount of underwriting
compensation has been met, the Trust will issue an additional class of units
which will be charged no selling commissions or underwriting
expenses.





Commissions
were not paid with respect to the LLC net assets.





(9)         Financial
Highlights





The
following financial highlights show the Trust’s financial performance for the
six-month periods ended June 30, 2010 and 2009.  Total return is
calculated as the change in a theoretical beneficial owner’s investment over the
entire period and is not annualized.  Total return is calculated based
on the aggregate return of the Trust taken as a whole.





Class A
                
                
                Class B
                
                
                Class A
                
                
                Class BThree months ended
                
                
                Three months ended
                
                
                Six months ended
                
                
                Six months endedJune 30,
                
                
                June 30,
                
                
                June 30,
                
                
                June 30,2010
                
                
                2009
                
                
                2010
                
                
                2009
                
                
                2010
                
                
                2009
                
                
                2010
                
                
                2009Per
      share operating performance:Net
      asset value of Trading units, beginning of period
                
                $
                100.86
                
                
                $
                113.60
                
                
                $
                103.40
                
                
                $
                114.16
                
                
                $
                102.84
                
                
                $
                119.39
                
                
                $
                104.91
                
                
                $
                119.39Total
      Trading income (loss):Trading
      gain (loss)
                
                
                1.14
                
                
                
                (1.26
                )
                
                
                0.93
                
                
                
                (1.37
                )
                
                
                1.19
                
                
                
                (4.55
                )
                
                
                0.74
                
                
                
                (4.65
                )Investment
      income
                
                
                0.03
                
                
                
                0.02
                
                
                
                0.03
                
                
                
                0.02
                
                
                
                0.04
                
                
                
                0.05
                
                
                
                0.04
                
                
                
                0.05Expenses
                
                
                (2.07
                )
                
                
                (2.09
                )
                
                
                (1.36
                )
                
                
                (1.43
                )
                
                
                (4.12
                )
                
                
                (4.62
                )
                
                
                (2.70
                )
                
                
                (3.41
                )Trading
      income (loss)
                
                
                (0.90
                )
                
                
                (3.33
                )
                
                
                (0.40
                )
                
                
                (2.78
                )
                
                
                (2.88
                )
                
                
                (9.12
                )
                
                
                (1.91
                )
                
                
                (8.01
                )Net
      asset value of Trading units, end of period
                
                
                99.96
                
                
                
                110.27
                
                
                
                103.00
                
                
                
                111.38
                
                
                
                99.96
                
                
                
                110.27
                
                
                
                103.00
                
                
                
                111.38Total
      return:Total
      return before incentive fees
                
                
                (0.90
                )%
                
                
                (2.93
                )%
                
                
                (0.39
                )%
                
                
                (2.44
                )%
                
                
                (2.88
                )%
                
                
                (7.64
                )%
                
                
                (1.85
                )%
                
                
                (6.71
                )%Less
      incentive fee allocations
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                (0.02
                )%
                
                
                0.00
                %
                
                
                0.00
                %Total
      return
                
                
                (0.90
                )%
                
                
                (2.93
                )%
                
                
                (0.39
                )%
                
                
                (2.44
                )%
                
                
                (2.88
                )%
                
                
                (7.66
                )%
                
                
                (1.85
                )%
                
                
                (6.71
                )%Ratios
      to average net assets:Trading
      income (loss)
                
                
                1.13
                %
                
                
                (3.00
                )%
                
                
                (0.18
                )%
                
                
                (2.36
                )%
                
                
                1.05
                %
                
                
                (8.12
                )%
                
                
                1.01
                %
                
                
                (7.19
                )%Expenses:Expenses,
      less incentive fees
                
                
                (2.05
                )%
                
                
                (1.89
                )%
                
                
                (1.31
                )%
                
                
                (1.27
                )%
                
                
                (4.05
                )%
                
                
                (4.10
                )%
                
                
                (2.55
                )%
                
                
                (3.06
                )%Incentive
      fees
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                0.00
                %
                
                
                (0.02
                )%
                
                
                0.00
                %
                
                
                0.00
                %Total
      expenses
                
                
                (2.05
                )%
                
                
                (1.89
                )%
                
                
                (1.31
                )%
                
                
                (1.27
                )%
                
                
                (4.05
                )%
                
                
                (4.12
                )%
                
                
                (2.55
                )%
                
                
                (3.06
                )%





The
calculations above do not include activity within the Trust's Non-Trading
accounts.


The net
loss and expense ratios are computed based upon the weighted average net assets
for the Trust for the three and six-month periods ended June 30, 2010 and
2009.





(10)       Derivative
Instruments and Hedging Activities.





The Trust
does not utilize hedge accounting and marks its derivatives to market through
operations.


14





Derivatives
not designated as hedging instruments:





As
of June 30, 2010


Asset
                    
                    
                    LiabilityType of
                    
                    Derivatives
                    
                    
                    Derivatives
                    
                    
                    NetFuturesContracts
                    
                    FairValue
                    
                    
                    FairValue
                    
                    
                    FairValueAgriculture
                    
                    $
                    226,141
                    
                    
                    
                    (347,879
                    )
                    
                    $
                    (121,738
                    )Currency
                    
                    
                    875,467
                    
                    
                    
                    (813,752
                    )
                    
                    
                    61,715Energy
                    
                    
                    109,664
                    
                    
                    
                    (148,763
                    )
                    
                    
                    (39,099
                    )Indices
                    
                    
                    828,572
                    
                    
                    
                    (89,685
                    )
                    
                    
                    738,887Interest
      Rates
                    
                    
                    339,555
                    
                    
                    
                    (313,913
                    )
                    
                    
                    25,642Metals
                    
                    
                    267,197
                    
                    
                    
                    (173,232
                    )
                    
                    
                    93,965$
                    2,646,596
                    
                    
                    $
                    (1,887,224
                    )
                    
                    $
                    759,372





As
of December 31, 2009


Asset
                    
                    
                    LiabilityType of
                    
                    Derivatives
                    
                    
                    Derivatives
                    
                    
                    NetFuturesContracts
                    
                    FairValue
                    
                    
                    FairValue
                    
                    
                    FairValueAgriculture
                    
                    $
                    590,975
                    
                    
                    
                    (61,613
                    )
                    
                    $
                    529,362Currency
                    
                    
                    284,224
                    
                    
                    
                    (205,085
                    )
                    
                    
                    79,139Energy
                    
                    
                    43,234
                    
                    
                    
                    (90,529
                    )
                    
                    
                    (47,295
                    )Indices
                    
                    
                    126,513
                    
                    
                    
                    (9,295
                    )
                    
                    
                    117,218Interest
      Rates
                    
                    
                    115,112
                    
                    
                    
                    (180,375
                    )
                    
                    
                    (65,263
                    )Metals
                    
                    
                    808,408
                    
                    
                    
                    (654,563
                    )
                    
                    
                    153,845$
                    1,968,466
                    
                    
                    $
                    (1,201,460
                    )
                    
                    $
                    767,006





The above
reported fair values are included in equity in commodity Trading accounts –
Unrealized gain on open contracts on the consolidated statements of financial
condition as of June 30, 2010 and December 31, 2009 respectively.





Trading
gain (loss) for the following periods:





Three months ended June 30,
                    
                    
                    
                    Six months ended June 30,Type of Futures
                      Contracts
                    
                    2010
                    
                    
                    2009
                    
                    Type of Futures
                      Contracts
                    
                    2010
                    
                    
                    2009Agriculture
                    
                    $
                    (1,100,748
                    )
                    
                    $
                    (281,395
                    )
                    Agriculture
                    
                    $
                    (1,632,105
                    )
                    
                    $
                    (691,590
                    )Currency
                    
                    
                    (399,022
                    )
                    
                    
                    (352,138
                    )
                    Currency
                    
                    
                    137,363
                    
                    
                    
                    (507,472
                    )Energy
                    
                    
                    (470,356
                    )
                    
                    
                    257,363
                    
                    Energy
                    
                    
                    (578,536
                    )
                    
                    
                    129,239Indices
                    
                    
                    1,381,313
                    
                    
                    
                    217,013
                    
                    Indices
                    
                    
                    1,566,326
                    
                    
                    
                    (218,075
                    )Interest
      Rates
                    
                    
                    1,750,823
                    
                    
                    
                    (507,085
                    )
                    Interest
      Rates
                    
                    
                    1,852,085
                    
                    
                    
                    (1,729,450
                    )Metals
                    
                    
                    (561,333
                    )
                    
                    
                    (109,313
                    )
                    Metals
                    
                    
                    (765,002
                    )
                    
                    
                    82,420$
                    600,677
                    
                    
                    $
                    (775,555
                    )
                    
                    
                    $
                    580,131
                    
                    
                    $
                    (2,934,928
                    )





See Note
(5) for additional information on the Trust’s purpose for entering into
derivatives not designed as hedging instruments and its overall risk management
strategies.





(11)       Subsequent
Events





On July
29, 2010, JWH Special Circumstances LLC distributed $8.80/unit (approximately
$20,000,000) to all of its Class B members.  Those members who were
still invested in the Trust received their pro rata share in new units of the
Trust. $3,928,806.23 worth of new units were issued for August 1, 2010
investment.


15


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





(a)         Capital
Resources





The
Trust’s capital resources fluctuate based upon the purchase and redemption of
units and the gains and losses of the Trust’s trading activities.  The
amount of assets invested in the Trust generally does not affect its
performance, as typically this amount is not a limiting factor on the positions
acquired by the Advisors, and the Trust’s expenses are primarily charged as a
fixed percentage of its asset base.





The Trust
borrows only to a limited extent and only on a strictly short-term basis in
order to finance losses on non-U.S. dollar denominated trading positions pending
the conversion of the Trust’s U.S. dollar deposits.  These borrowings
are at a prevailing short-term rate in the relevant currency.  They
have been immaterial to the Trust’s operation to date and are expected to
continue to be so.





There are
no known material trends, favorable or unfavorable, that would affect, nor any
expected material changes, to the Trust’s capital resource arrangements at the
present time.





(b)         Liquidity





The
Trust’s assets at June 30, 2010 are held in brokerage accounts with
RJO.  Such assets are used as margin to engage in trading and may be
used as margin solely for the Trust’s trading.  Except in unusual
circumstances, the Trust should be able to close out any or all of its open
trading positions and liquidate any or all of its holdings quickly and at market
prices.  This should permit the Advisors to limit losses as well as
reduce market exposure on short notice should their programs indicate reducing
market exposure.





The Trust
earns interest on 100% of the Trust’s average daily balances on deposit with RJO
during each month at 100% of the average four-week Treasury Bill rate for that
month in respect of deposits denominated in U.S. dollars.  For
deposits denominated in currencies other than U.S. dollars, the Trust earns
interest at a rate of one-month LIBOR less 100 basis points.  For the
six months ended June 30, 2010 and 2009, the Trust has received or accrued to
receive trading interest of $23,908 and $29,289, respectively.





The
Trust’s involvement in the futures and forward markets exposes the Trust to both
market risk – the risk arising from changes in the market value of the futures
and forward contracts held by the Trust – and credit risk – the risk that
another party to a contract will fail to perform its obligations according to
the terms of the contract.  The Trust is exposed to a market risk
equal to the value of the futures and forward contracts purchased and
theoretically unlimited risk of loss on contracts sold short. The Advisors
monitor the Trust’s trading activities and attempt to control the Trust’s
exposure to market risk by, among other things, refining their trading
strategies, adjusting position sizes of the Trust’s futures and forward contacts
and re-allocating Trust assets to different market sectors.  The
Trust’s primary exposure to credit risk is its exposure to the non-performance
of the forwards currency broker.  The forwards currency broker
generally enters into forward contracts with large, well-capitalized
institutions and then enters into a back-to-back contract with the
Trust.  The Trust also may trade on exchanges that do not have
associated clearinghouses whose credit supports the obligations of its members
and operate as principals markets, in which case the Trust will be exposed to
the credit risk of the other party to such trades.





Most
United States commodity exchanges limit the amount of fluctuation in commodity
futures contract prices during a single trading day by
regulations.  These regulations specify what are referred to as “daily
price fluctuation limits” or “daily limits.”  The daily limits
establish the maximum amount the price of a futures contract may vary either up
or down from the previous day’s settlement price at the end of a trading
session.  Once the daily limit has been reached in a particular
commodity, no trades may be made at a price beyond the
limit.  Positions in the commodity could then be taken or liquidated
only if traders are willing to effect trades at or within the limit during the
period for trading on such day.  Because the “daily limit” rule only
governs price movement for a particular trading day, it does not limit
losses.  In the past, futures prices have moved the daily limit for
numerous consecutive trading days and thereby prevented prompt liquidation of
futures positions on one side of the market, subjecting commodity futures
traders holding such positions to substantial losses for those
days.





It is
also possible for an exchange or the Commodity Futures Trading Commission (CFTC)
to suspend trading in a particular contract, order immediate settlement of a
particular contract, or direct that trading in a particular contract be for
liquidation only.  There are no known material trends, demands,
commitments, events or uncertainties at the present time that are reasonably
likely to result in the Trust’s liquidity increasing or decreasing in any
material way.  Additionally, no material deficiencies in liquidity
were identified and there are no material unused sources of liquid
assets.


16





(c)         Results
of Operations





As of
November 1, 2008, trading decisions for the Trust were delegated to five
independent commodity trading advisors:  JWH, AIS, ATC, GALP, and PLP,
pursuant to Advisory Agreements executed between the Trust and each
Advisor.  Effective February 1, 2009, NW became the Trust’s sixth
Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to
the Trust.  Effective June 1, 2009, the Trust entered into an Advisory
Agreement with GAJL to replace its Advisory Agreement with GALP, in connection
with GALP’s initiative to migrate all its clients to its Jersey-based (UK)
entity.  As of June 30 2009, AIS was terminated as an Advisor to the
Trust.  As of July 1, 2009, HCM and CCG became Advisors to the
Trust.





The
Trust’s success depends on the Advisors’ ability to recognize and capitalize on
major price movements and other profit opportunities in different sectors of the
world economy.  Because of the speculative nature of its trading,
operational or economic trends have little relevance to the Trust’s results, and
its past performance is not necessarily indicative of its future
results.  The Managing Owner believes, however, that there are certain
market conditions — for example, markets with major price movements — in which
the Trust has a better opportunity of being profitable than in
others.





JWH, ATC,
GAJL, NW and CCG are technical traders, and as such, their programs do not
predict price movements. No fundamental economic supply or demand analysis is
used in attempting to identify mispricings in the market, and no macroeconomic
assessments of the relative strengths of different national economies or
economic sectors are made.  However, there are frequent periods during
which fundamental factors external to the market dominate prices.  For
the discretionary Advisor, HCM, economic fundamentals and macroeconomic
assessments were made.





The
performance summaries set forth below outline certain major events and price
trends which the Advisors’ programs have identified for the Trust during the
quarters ended June 30, 2010, and June 30, 2009. The fact that certain trends or
market movements were captured does not imply that others, perhaps larger and
potentially more profitable trends or market movements, were not missed or that
the Advisors will be able to capture similar trends or movements in the
future.  Moreover, the fact that the programs were profitable in
certain market sectors in the past does not mean that they will be so in the
future.





Fiscal
Quarter ended June 30, 2010





The Trust
recorded net trading losses of $(466,105) or $(0.90) per trading unit for Class
A units and a loss of $(0.40) per trading unit for Class B units in the second
quarter of 2010 (*** Please see “Notes to Financial Statements” in Part I — Item
1 for explanation of net asset value/unit pursuant to events of October, 2005,
as the following excludes the Trust’s Non-Trading accounts).  As of
June 30, 2010, the Trust (Class A units) had gained 22.19% since its inception
in June 1997.  Class B units have lost (13.73)% since their inception
in January of 2009.





On June
30, 2010, the Trust’s assets were allocated equally to the following Advisors as
follows: ATC (16.66%), CCG (16.66%), GAJL (16.66%), HCM (16.66%), JWH (16.66%)
and NW (16.66%).





The stock
market sold off aggressively on the last day of April but still managed a small
gain for the month.  Weakness was tied to an evolving story with
Goldman Sachs as the SEC announced a criminal investigation into the firm’s
sales tactics.  European markets were weak for much of the month as
debt issues in Greece have brought much focus on the economies and financial
situations of other European Union countries.  Note that the Europe,
Australasia, and Far East Index are negative for the year while the S&P 500
is up over 7%.  After creeping higher during much of March, long-term
interest rates moved lower during the month.  The U.S. dollar remains
a mixed story.  It has not kept pace with the strength in gold, the
Australian dollar, or the Canadian dollar but it remains strong against the
euro.  Gold and crude oil are both up about 5% for the year and
actually made new highs for the year in April, while natural gas and grain
markets remain in negative territory and are near their lows for the
year.  The markets remained difficult for our Advisors to
navigate.  Four of the Advisors had small profits but ATC and HCM lost
a modest amount of money and that caused the Trust to turn into a negative
month.  NW and CCG are profitable for the year-to-date.  The
other four Advisors are down just slightly.  The split between the
euro and other currencies is also a common theme among the
Advisors.  At April 30, the majority is short the euro and long other
currencies against the U.S. dollar.


17





After an
April that saw mixed performance in the underlying equity markets, May was ruled
by volatility and negative returns.  By some measures, the U.S. markets
posted their worst May since 1940 and the markets had some of their largest
intraday swings in history.  This volatility, as represented by the
VIX, came into May at 22.05 and left the month at 32.07, while spiking to over
48 mid-month.  Crude oil lost 20% of its value during May and
long-term interest rates fell to 50-year lows.  The U.S. dollar gained
against the euro, rising almost 10% during the month.  Needless to
say, the markets are very fluid and active at this point.  Three of
our Advisors posted positive results during May.  The strong
performance by CCG and NW was enough to lead the Trust to a positive
month.  CCG was helped by a short position in the S&P
500.  NW was helped by quickly reversing its April stance to take
short stock and energy positions in early May.  Our Advisors held long
positions in long-term interest rates which were a positive for much of the
month as long-term rates moved lower.





The stock
market remained under pressure during June, losing just over 5%.  The
market is down almost 7% for the year at the midway point of
2010.  The market sell-off was attributed to concerns over a possible
double dip recession in the U.S.  The recovery in Europe seems to have
stalled and concerns over the European Union members’ debt situations cast a
favorable light on U.S debt markets where demand for U.S. treasuries drove
yields to record lows for the two- and five-year notes.  The yield on
the 10-year U.S. Treasury, while not a record low, finished the month at 2.9%, a
level not seen since the dark days in the spring of 2009.  The U.S.
dollar weakened a bit but the US Dollar Index remains up over 10% for the
year.  Gold made a new high for the year at $1,270 per ounce, which
was an all-time high in nominal dollar terms, but settled back to finish the
month with a small gain.  Crude oil behaved in a similar pattern by
firming early in the month then trailing off at month end in sympathy to the
stock market’s weakness.  June was another tough month for the managed
futures industry.  June also completed the fourth losing calendar
quarter out of the last six quarters for the Barclay Top 50 CTA Index, which
represents the performance of the top 50 commodity trading advisors in the
industry in terms of assets under management.  The Barclay Top 50 CTA
Index historically has been profitable in 63% of calendar
quarters.  None of the Advisors to the Trust posted a profit during
June.  NW and CCG remain positive on the year while the others are
weathering the various markets’ gyrations.





Fiscal
Quarter ended June 30, 2009





The Trust
recorded net trading loss of $(2,062,029) or $(3.33) per unit for Class A units
and $(2.78) per unit for Class B units in the second quarter of
2009.  (*** Please see “Notes to Consolidated Financial Statements” in
Part I – Item 1 for an explanation of net asset value/unit pursuant to events of
October, 2005, as the following excluded the Trust’s Non-Trading
accounts.)  As of June 30, 2009, the Trust had gained 34.79% for Class
A units since its inception in June 1997 and the Trust has lost (6.71)% for
Class B units since its inception in January 2009.





Stocks
climbed a wall of worry, as the old axiom states about bull markets, by posting
a gain for a fourth consecutive month.  Stocks have rallied 42% from
their low in early March.  This was their best three month showing
since the 1930s.  To put the magnitude of the losses sustained by the
market over the last year and a half in perspective, the S&P would have to
gain another 62% from current levels to match the market high reached in October
of 2007.  This seems like a tough task in light of long-term interest
rates, which continued to rise during the quarter due to concerns over the
expanding budget deficit, and its potential long-term inflationary
implications.  Interest rates fell back at the end June, however, as
markets digested tepid growth related statistics, and inflationary fears
subsided.  This reversal took place after Treasury bond yields had
risen more than 60% in five months.





Commodity
markets began to firm in late April and were able to mount a rally during most
of May.  Market worries over the inflationary implications of the
government’s massive stimulus plan and other spending programs began to weaken
the long-term Treasury markets.  With rates rising and the U.S. dollar
weakening against major foreign currencies, commodities began to look like a
good place to invest.  Historically commodities, during times of
inflation or currency depreciation, have been a good store of
value.  In June, however, commodities sold off and evidence is
beginning to appear that would indicate that the lock step relationship between
commodities and the stock market that has existed for the last year or so is
beginning to break up.  In other words, commodity markets are
beginning to respond to the economics affecting their own specific situation
rather than moving in tandem with stock prices.  This would create
more diverse market movements and would be a good thing for our
strategies.





The
second quarter continued to present a difficult environment as a whole for the
managed futures industry.  The Barclay Top 50 CTA Index was down in
two of the three months and lost approximately 2% during the
quarter.  The index lost for consecutive quarters for only the third
time since its creation in 1987.  The index has lost approximately
3.5% for the year-to-date.  The performance problem seems to lie in
the unstable nature of the market environment from a time frame
perspective.  Short-term systems focusing on moves lasting less than a
week have struggled.  Long-term strategies focused on price moves that
take months to evolve have refused to reverse.  This may pay off over
time but for now it has created small losses.  Only intermediate term
strategies focused on four to six week price movements have been able to adapt
appropriately and capture profits.


18





Fiscal
Quarter ended March 31, 2010





The Trust
recorded net trading losses of $(1,147,108) or $(1.98) per trading unit for
Class A units and a loss of $(1.51) per trading unit for Class B units in the
first quarter of 2010 (*** Please see “Notes to Financial Statements” in Part I
— Item 1 for explanation of net asset value/unit pursuant to events of October,
2005, as the following excludes the Trust’s Non-Trading accounts). As of March
31, 2010, the Trust (Class A units) has gained 23.29% since inception in June
1997. Class B units have lost (13.39)% since inception in January
2009.





On March
31, 2010, the Trust’s assets were allocated equally to the following Advisors as
follows: ATC (16.66%), CCG (16.66%), GAJL (16.66%), HCM (16.66%), JWH (16.66%)
and NW (16.66%).





An
overall sell off in stocks and commodities was the most notable event during
January.  The U.S. dollar strengthened during January despite some
poor economic reports.  The U.S. dollar rally seemed to catch a number
of market participants off guard. The stock market started the year strongly,
but fell 8% from its intra month high to finish with a loss of 3.6% for the
month.  Crude oil fell 13% and gold fell 7% from their respective
intra month highs. This paralleled the problems experienced by other commodity
markets which had been hoping to see signs of improving domestic and
international demand. The Trust fought through another difficult month. It has
been one of the most difficult periods on record for managed futures
strategies.  Our Advisors remain committed to research and to
improving their risk adjusted performance.  During the month, half of
the Advisors made money. Those who did had less exposure to long-term trend
following.  The three profitable Advisors focused on shorter-time
frames or fundamental economic conditions of a few specific underlying
markets.





After
selling off aggressively in early February, the stock market rebounded to finish
with a modest gain.  Commodity markets, lead by crude oil and gold,
also gained ground during month.  Commodities and stocks continued to
move with an uncharacteristically high degree of positive
correlation.  For example, the charts for gold, crude oil, and the
S&P 500 look very similar.  Each of the three markets finds itself
in the middle of a wide trading range bordered by November 2009 highs and early
February lows.  The only market that appears to be trending is the
U.S. dollar.  It has strengthened 11% or more against the euro, the
British pound, and the Swiss franc.  The U.S. dollar however, has not
strengthened against the Australian dollar, Japanese yen, or Canadian
dollar.  The situation highlights European weakness as opposed to U.S.
strength.  During the month NW and CCG made money.  GAJL and
HCM were frustrated by choppy commodity markets.  JWH and ATC were
also frustrated by a lack of follow through in downside moves that had begun
developing in several sectors.





The stock
market rose steadily during March and finished with a gain of almost
6%.  The U.S. dollar strengthened against the euro as European
financial problems appear to be worse than our own in terms of budget deficits
and burgeoning government debt.  The U.S. dollar lost ground, however,
against the Australian dollar and Canadian dollar which both stand to strengthen
from rising demand for their abundant natural resources.  Gold was
weaker most of the month but a late rally leveled it for the month and for the
year-to-date.  Crude oil was up almost 8% during March leaving it near
the top of a $75 – $85 trading range that has persisted since November of last
year.  Weakness in natural gas and the grain markets, due to concerns
about oversupply, have created a drag on the commodity indices which remain in
negative territory for the year-to-date.  During the month HCM and NW
lost a modest amount of money but each of the other four advisors were
profitable.  GAJL had the best month.  Their models had long
positions in the petroleum based energy markets and short positions in the
natural gas and grain markets.  There was consensus among our Advisors
related to long-term interest rates with each Advisor registering short
positions.  It should be noted that trading volume has begun to
increase steadily over the last few months.  This should help our
Advisors with the execution of their trading strategies.





Fiscal
Quarter ended March 31, 2009





The Trust
recorded net trading losses of $(3,792,599) or $(5.79) per trading unit for
Class A units and $(5.23) per trading unit for Class B units in the first
quarter of 2009 (*** Please see “Notes to Financial Statements” in Part I — Item
1 for explanation of net asset value/unit pursuant to events of October, 2005,
as the following excludes the Trust’s Non-Trading accounts). As of March 31,
2009, the Trust (Class A units) has gained 38.86% since inception in June 1997.
Class B units have lost (4.38)% since inception in January 2009.





On March
31, 2009, the Trust’s assets were allocated to the following Advisors as
follows: ATC (27%), AIS (10%), GALP (18%), JWH (18%) and NW
(27%).


19





The first
quarter of 2009 began much as the fourth quarter of 2008 ended, with continued
broad market volatility.  Stock markets and commodity markets remained
under pressure and declined in lock step during January, February, and early
March.  Prices reversed and began climbing during the first week of
March as negative sentiment on the part of investors appeared to be at its
highest.  Correlation between commodity prices and stock prices, with
few exceptions, remained unusually high during the quarter.  The U.S.
dollar had an almost exact inverse relationship to stock and commodity prices
during the quarter.  It actually strengthened against most major
foreign currencies as stocks and commodities sold off and then began to weaken
after stocks and commodities bottomed out.  The results of fixed
income markets during the quarter told two stories.  Short-term rates
remained low and in choppy markets as the Federal Reserve left Fed Fund targets
in the 0% to 0.25% range.  Long-term rates, however, edged higher in
January and February as concerns over the inflationary impact of the
government’s stimulus packages drove down note and bond prices.  Bond
and note holders received a big boost, however, in late March when the Fed
signaled that it would buy an enormous amount of medium- and long-term notes in
an effort to keep mortgage rates low and to maintain a high level of liquidity
in the markets.





The
Advisors to the Trust who employ rule-based or systematic approaches managed the
volatility well and the performance was down slightly until the sharp market
reversals in March caused some slightly larger losses.  These Advisors
employ methods that vary widely in terms of investment time
horizons.  Those with shorter-term outlooks did a little worse during
January and February while the long-term down trends established during the fall
of 2008 remained in place, but managed the March reversals better than the
Advisors with longer-term styles. The Advisors to the Trust who employ a more
discretionary approach continued to struggle with the unprecedented volatility
and uncertainty that surrounded the markets during the quarter.  They
posted small losses for the quarter as well.





It was a
difficult quarter in general for the managed futures industry.  The
Barclay Commodity Trading Advisor Index, a broad measure of managed futures
performance, lost ground each month during the quarter.  Approximately
eight out of every ten managers in the industry were showing negative
year-to-date performance at quarter end.  This difficult period
followed a strong performance period for the industry in
2008.  Periods like this are to be expected from time to time, and the
first quarter profile was consistent with other losing periods from the
past.  The objective of the Trust’s portfolio of Advisors is to
conserve capital during difficult periods like this using disciplined risk
management and a broad diversification of asset exposure, investment style, and
investment time frame.





(d)         Off-Balance-Sheet
Arrangements; Disclosure of Contractual Obligations





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





The Trust
does not have any material contractual obligations.





Item
3.  Quantitative and Qualitative Disclosures About Market
Risk





There has
been no material change with respect to the Trust’s market risk as described in
the section entitled “Quantitative and Qualitative Disclosures About Market
Risk” in our Annual Report on Form 10-K for the year ended December 31,
2009.





Item
4.  Controls and Procedures





Evaluation of Disclosure Controls
and Procedures: Under the supervision and with the participation of the
management of R.J. O’Brien Fund Management, LLC, the Managing Owner of the Trust
at the time this quarterly report was filed, including the Managing Owner’s
Chief Executive Officer (the Trust’s principal executive officer) and Chief
Financial Officer (the Trust’s principal financial officer), have evaluated the
effectiveness of the design and operation of the Trust’s disclosure controls and
procedures (as defined in Rules 13a-15(c) and 15d-15(e) under the Exchange Act
of 1934, as amended (the “Exchange Act”) as of June 30, 2010.  The
Trust’s disclosure controls and procedures are designed to provide reasonable
assurance that information the Trust is required to disclose in the reports that
the Trust files or submits under the Exchange Act are recorded, processed and
summarized and reported within the time period specified in the applicable rules
and forms.  Based on this evaluation, the Chief Executive Officer and
Chief Financial Officer of the Managing Owner have concluded that the disclosure
controls and procedures of the Trust were effective at June 30,
2010.





Changes in Internal Control Over
Financial Reporting:  There were no changes in the Trust’s
internal control over financial reporting, during the quarter ended June 30,
2010, that have materially affected, or are reasonably likely to materially
affect, the Trust’s internal control over financial reporting.


20





Limitations on the Effectiveness of
Controls: Any control system, no matter how well designed and operated,
can provide reasonable (not absolute) assurance that its objectives will be
met.  Furthermore, no evaluation of controls can provide absolute
assurance that all control issues and instances of fraud, if any, have been
detected.





PART
II - OTHER INFORMATION





Item
1.  Legal Proceedings





The LLC
is pursuing certain claims with respect to assets of the Trust formerly held by
RCM.  See “Notes to Consolidated Financial Statements – Note
1.”  There is no assurance that such efforts will result in additional
recoveries.





Item
1A.  Risk Factors





There
have been no material changes from the risk factors in the section entitled “The
Risks You Face” in the Trust Post-Effective Amendment No. 5 to the Registration
Statement on Form S-1 filed on April 7, 2010 and declared effective April 30,
2010.





Item
2.  Unregistered Sales of Securities and Use of Proceeds





a)  None


b)  The
Trust permits unitholders to redeem units at the end of each month at the net
asset value per unit on the redemption date.  The redemption of units
has no impact on the net asset value of the units that remain outstanding and
units may not be reissued once they are redeemed.





The
following table summarizes the redemptions by unitholders during the second
quarter of 2010:




Units Redeemed
                                
                                
                                Redemption Date NAV per UnitMonth
                                
                                Class A
                                
                                
                                Class B
                                
                                
                                Class A
                                
                                
                                Class BApril
                                
                                
                                10,394
                                
                                
                                
                                -
                                
                                
                                $
                                100.38
                                
                                
                                $
                                103.09May
                                
                                
                                10,306
                                
                                
                                
                                -
                                
                                
                                $
                                101.20
                                
                                
                                $
                                104.11June
                                
                                
                                5,728
                                
                                
                                
                                -
                                
                                
                                $
                                99.96
                                
                                
                                $
                                103.00Total
                                
                                
                                26,428
                                
                                
                                
                                -





Class A
units sold January 1, 2010 through June 30, 2010: 8,748


Class B
units sold January 1, 2010 through June 30, 2010: 2,586


Units
(Class A) unsold through June 30, 2010:  971,784
($97,139,528)


Units
(Class B) unsold through June 30, 2010: 971,784 ($100,093,752)


Aggregate
price paid for units sold January 1, 2010 through June 30, 2010:
$1,148,204


21


Item
6.  Exhibits





a) Exhibits





Index to
Exhibits





Exhibit Number
                  
                  Description of Document3.01
                  
                  Eighth
      Amended and Restated Declaration and Agreement of Trust of RJO Global
      Trust (the “Registrant”), dated as of September 26, 2008.13.02
                  
                  First
      Amendment to Eight Declaration and Agreement of Trust, dated as of
      February 5, 2010.13.03
                  
                  Restated
      Certificate of Trust of the Registrant.231.01
                  
                  Rule
      13a-14(a)/15d-14(a) Certifications of Principal Executive
      Officer.31.02
                  
                  Rule
      13a-14(a)/15d-14(a) Certifications of Principal Financial
      Officer.32.01
                  
                  Section
      1350 Certification of Principal Executive Officer and Principal Financial
      Officer.







1
Incorporated by reference herein from the exhibit of the same description filed
on April 7, 2010 with Post-Effective Amendment No. 5 to the Registrant’s
Registration Statement on Form S-1 (Reg. No. 333-146177).


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


22


SIGNATURES





Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant has
duly caused this report to be signed on its behalf by the undersigned and
thereunto duly authorized.





RJO
Global Trust





Date:
                August
      13, 2010By:
                R.J.
      O’Brien Fund Management, LLCManaging
      OwnerBy:
                /s/  
      Thomas J. AndersonThomas
      J. AndersonChief
      Financial Officer and duly authorized officer


23