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 March 31, 2009


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 definition 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    x
      (Do not check if smaller reporting company)
            Smaller
      reporting company £





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
      INFORMATIONItem 1. Financial
      Statements
              3Consolidated
      Statements of Financial Condition, as of March 31, 2009 (unaudited) and
      December 31, 2008
              3Condensed
      Consolidated Schedule of Investments, as of March 31, 2009
      (unaudited)
              4Condensed
      Consolidated Schedule of Investments, as of December 31, 2008
              5Consolidated
      Statements of Operations, for the three months ended March 31, 2009 and
      2008 (unaudited)
              6Consolidated
      Statement of Changes in Unitholders' Capital, for the three months
      endedMarch 31,2009 unaudited)
              7Notes to
      Consolidated Financial Statements
              8Item 2. Management's
      Discussion and Analysis of Financial Condition and Results of
      Operations
              15Item 3. Quantitative
      and Qualitative Disclosures about Market Risk
              20Item 4T. Controls
      and Procedures
              20PART II. OTHER
      INFORMATION
              20Item 1. Legal
      Proceedings
              20Item 1A. Risk
      Factors
              20Item 2. Unregistered
      Sales of Equity Securities and Use of Proceeds
              20Item 6.
      Exhibits
              22SIGNATURES
              23
  2





PART
I – FINANCIAL INFORMATION


PART
I. Financial Statements




RJO
GLOBAL TRUST AND SUBSIDIARY
 Consolidated
Statements of Financial Condition
  March
      31,
                                              
                                              
                                              December
      31,2009
                                              
                                              
                                              2008UNAUDITEDAssetsAssets:Equity
      in commodity Trading accounts:Cash
      on deposit with brokers
                                              
                                              $
                                              72,799,552
                                              
                                              
                                              $
                                              83,527,981Unrealized
      gain on open contracts
                                              
                                              
                                              296,131
                                              
                                              
                                              
                                              1,106,722Cash
      on deposit with bank
                                              
                                              
                                              27,170
                                              
                                              
                                              
                                              28,562Cash
      on deposit with bank - Non-Trading
                                              
                                              
                                              7,011,761
                                              
                                              
                                              
                                              7,334,58280,134,614
                                              
                                              
                                              
                                              91,997,847Interest
      receivable
                                              
                                              
                                              9,770
                                              
                                              
                                              
                                              9,415Total
      Assets
                                              
                                              
                                              $
                                              80,144,384
                                              
                                              
                                              $
                                              92,007,262Liabilities
      and Unitholders' CapitalLiabilities:Accrued
      commissions
                                              
                                              $
                                              210,095
                                              
                                              
                                              $
                                              242,450Accrued
      management fees
                                              
                                              
                                              107,059
                                              
                                              
                                              
                                              119,365Accrued
      incentive fees
                                              
                                              
                                              13,164
                                              
                                              
                                              
                                              1,134,235Accrued
      offering expenses
                                              
                                              
                                              64,503
                                              
                                              
                                              
                                              1,108Accrued
      operating expenses
                                              
                                              
                                              199,202
                                              
                                              
                                              
                                              315,568Redemptions
      payable - Trading
                                              
                                              
                                              1,219,640
                                              
                                              
                                              
                                              2,815,236Accrued
      legal fees - Non-Trading
                                              
                                              
                                              165,436
                                              
                                              
                                              
                                              6,149Accrued
      management fees to U.S. Bank - Non-Trading
                                              
                                              
                                              30,870
                                              
                                              
                                              
                                              27,477Distribution
      payable - Non-Trading
                                              
                                              
                                              39,801
                                              
                                              
                                              
                                              39,801Total
      liabilities
                                              
                                              
                                              
                                              2,049,770
                                              
                                              
                                              
                                              4,701,389Unitholders'
      capital:Unitholders’
      capital (Trading):Beneficial
      ownersClass
      A (607,524 and 658,747 units outstanding atMarch
      31, 2009 and December 31, 2008, respectively)
                                              
                                              
                                              69,012,764
                                              
                                              
                                              
                                              78,645,263Class
      B (8,569 and 0 units outstanding atMarch
      31, 2009 and December 31, 2008, respectively)
                                              
                                              
                                              978,362
                                              
                                              
                                              
                                              -Managing
      owner (11,679 and 11,679 Class A units outstanding atMarch
      31, 2009 and December 31, 2008, respectively)
                                              
                                              
                                              1,326,734
                                              
                                              
                                              
                                              1,394,355Unitholders'
      capital (LLC equity/Non-Trading):Participating
      owners (574,903 and 611,108 units outstanding atMarch
      31, 2009 and December 31, 2008, respectively)
                                              
                                              
                                              1,713,211
                                              
                                              
                                              
                                              1,953,345Nonparticipating
      owners (1,698,385 and 1,662,180 units outstanding atMarch
      31, 2009 and December 31, 2008, respectively)
                                              
                                              
                                              5,063,543
                                              
                                              
                                              
                                              5,312,910Total
      unitholders' capital
                                              
                                              
                                              78,094,614
                                              
                                              
                                              
                                              87,305,873Total
      Liabilities and Unitholders’ Capital
                                              
                                              $
                                              80,144,384
                                              
                                              
                                              $
                                              92,007,262Net
      asset value per unit:Trading:Class
      A
                                              
                                              
                                              $
                                              113.60
                                              
                                              
                                              $
                                              119.39Class
      B
                                              
                                              
                                              $
                                              114.16
                                              
                                              
                                              $
                                              -LLC
      equity/Non-Trading
                                              
                                              $
                                              2.98
                                              
                                              
                                              $
                                              3.20See
      accompanying notes to consolidated financial statements.






3
 
  RJO
GLOBAL TRUST AND SUBSIDIARY
 Condensed
Consolidated Schedule of Investments
 as
of March 31, 2009
 UNAUDITED
  Number
      ofcontracts
                                                              
                                                              
                                                              Principal(notional)
                                                              
                                                              
                                                              Value/open
                                                                trade
      equityLong positions (0.70%)Futures
      Positions (0.70%)Agriculture
                                                              
                                                              
                                                              152
                                                              
                                                              
                                                              $
                                                              3,737,425
                                                              
                                                              
                                                              $
                                                              245,210Currency
                                                              
                                                              
                                                              97
                                                              
                                                              
                                                              
                                                              18,345,225
                                                              
                                                              
                                                              
                                                              156,542Energy
                                                              
                                                              
                                                              58
                                                              
                                                              
                                                              
                                                              3,049,640
                                                              
                                                              
                                                              
                                                              (103,447
                                                              )Indices
                                                              
                                                              
                                                              4
                                                              
                                                              
                                                              
                                                              163,006
                                                              
                                                              
                                                              
                                                              (6,794
                                                              )Interest
      rates
                                                              
                                                              
                                                              247
                                                              
                                                              
                                                              
                                                              62,223,791
                                                              
                                                              
                                                              
                                                              208,052Metals
                                                              
                                                              
                                                              116
                                                              
                                                              
                                                              
                                                              6,668,213
                                                              
                                                              
                                                              
                                                              47,875Total
      long positions
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              $
                                                              94,187,300
                                                              
                                                              
                                                              $
                                                              547,438Short positions (-0.32%)Future
      positions (-0.32%)Agriculture
                                                              
                                                              
                                                              250
                                                              
                                                              
                                                              $
                                                              6,285,989
                                                              
                                                              
                                                              $
                                                              (164,916
                                                              )Currency
                                                              
                                                              
                                                              49
                                                              
                                                              
                                                              
                                                              5,423,409
                                                              
                                                              
                                                              
                                                              (28,681
                                                              )Energy
                                                              
                                                              
                                                              47
                                                              
                                                              
                                                              
                                                              1,894,965
                                                              
                                                              
                                                              
                                                              47,861Indices
                                                              
                                                              
                                                              28
                                                              
                                                              
                                                              
                                                              1,286,300
                                                              
                                                              
                                                              
                                                              (520
                                                              )Interest
      rates
                                                              
                                                              
                                                              1
                                                              
                                                              
                                                              
                                                              163,968
                                                              
                                                              
                                                              
                                                              (1,369
                                                              )Metals
                                                              
                                                              
                                                              80
                                                              
                                                              
                                                              
                                                              3,610,932
                                                              
                                                              
                                                              
                                                              (103,682
                                                              )Total
      short positions
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              $
                                                              18,665,563
                                                              
                                                              
                                                              $
                                                              (251,307
                                                              )Total
      unrealized gain on open contracts (0.38%)
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              $
                                                              296,131Cash
      on deposit with brokers (93.22%)
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              72,799,552Cash
      on deposit with bank (9.01%)
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              7,038,931Other
      liabilites in excess of assets (-2.61%)
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              (2,040,000
                                                              )Net
      assets (100.00%)
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              
                                                              $
                                                              78,094,614See
      accompanying notes to consolidated financial statements.
 
 4
  RJO
GLOBAL TRUST AND SUBSIDIARY
 Condensed
Consolidated Schedule of Investments
 as
of December 31, 2008
 Number
      of
                                                  
                                                  
                                                  Principal
                                                  
                                                  
                                                  Value/opencontracts
                                                  
                                                  
                                                  (notional)
                                                  
                                                  
                                                  trade
      equityLong positions (1.23%)Futures
      Positions (1.23%)Agriculture
                                                  
                                                  
                                                  143
                                                  
                                                  
                                                  $
                                                  3,700,746
                                                  
                                                  
                                                  $
                                                  262,644Currency
                                                  
                                                  
                                                  166
                                                  
                                                  
                                                  
                                                  29,196,605
                                                  
                                                  
                                                  
                                                  312,953Energy
                                                  
                                                  
                                                  47
                                                  
                                                  
                                                  
                                                  2,276,791
                                                  
                                                  
                                                  
                                                  (15,025
                                                  )Indices
                                                  
                                                  
                                                  2
                                                  
                                                  
                                                  
                                                  96,575
                                                  
                                                  
                                                  
                                                  (96,575
                                                  )Interest
      rates
                                                  
                                                  
                                                  165
                                                  
                                                  
                                                  
                                                  64,017,826
                                                  
                                                  
                                                  
                                                  414,481Metals
                                                  
                                                  
                                                  62
                                                  
                                                  
                                                  
                                                  3,413,855
                                                  
                                                  
                                                  
                                                  190,371Total
      long positions
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  $
                                                  102,702,398
                                                  
                                                  
                                                  $
                                                  1,068,849Short positions (0.04%)Future
      positions (0.04%)Agriculture
                                                  
                                                  
                                                  278
                                                  
                                                  
                                                  $
                                                  6,016,398
                                                  
                                                  
                                                  $
                                                  (27,872
                                                  )Currency
                                                  
                                                  
                                                  25
                                                  
                                                  
                                                  
                                                  2,547,180
                                                  
                                                  
                                                  
                                                  (30,573
                                                  )Energy
                                                  
                                                  
                                                  17
                                                  
                                                  
                                                  
                                                  923,156
                                                  
                                                  
                                                  
                                                  (9,051
                                                  )Indices
                                                  
                                                  
                                                  40
                                                  
                                                  
                                                  
                                                  1,340,663
                                                  
                                                  
                                                  
                                                  80,642Interest
      rates
                                                  
                                                  
                                                  5
                                                  
                                                  
                                                  
                                                  2,443,007
                                                  
                                                  
                                                  
                                                  (10,528
                                                  )Metals
                                                  
                                                  
                                                  63
                                                  
                                                  
                                                  
                                                  2,762,199
                                                  
                                                  
                                                  
                                                  35,255Total
      short positions
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  $
                                                  16,032,603
                                                  
                                                  
                                                  $
                                                  37,873Total
      unrealized gain on open contracts (1.27%)
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  $
                                                  1,106,722Cash
      on deposit with brokers (95.67%)
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  83,527,981Cash
      on deposit with bank (8.43%)
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  7,363,144Other
      liabilites in excess of assets (-5.37%)
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  (4,691,974
                                                  )Net
      assets (100.00%)
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  
                                                  $
                                                  87,305,873See
      accompanying notes to consolidated financial statements.
 
 5
  RJO
GLOBAL TRUST AND SUBSIDIARY
 Consolidated
Statements of Operations
 UNAUDITED
 For
      the three months ended March 31,2009
                          
                          
                          2008Trading
      gain (loss):Gain
      (loss) on trading of commodity contracts:Realized
      gain (loss) on closed positions
                          
                          $
                          (1,322,728
                          )
                          
                          $
                          14,976,936Change
      in unrealized gain (loss) on open positions
                          
                          
                          (810,591
                          )
                          
                          
                          20,940Foreign
      currency transaction gain (loss)
                          
                          
                          (26,054
                          )
                          
                          
                          5,869,031Total
      Trading gain (loss)
                          
                          
                          (2,159,373
                          )
                          
                          
                          20,866,907Investment
      Income:Interest
      income
                          
                          
                          19,112
                          
                          
                          
                          324,639Expenses:Commissions
      - Class A
                          
                          
                          732,175
                          
                          
                          
                          1,071,632Commissions
      - Class B
                          
                          
                          4,814
                          
                          
                          
                          -Management
      fees
                          
                          
                          333,507
                          
                          
                          
                          428,676Incentive
      fees
                          
                          
                          13,164
                          
                          
                          
                          -Ongoing
      offering expenses
                          
                          
                          103,000
                          
                          
                          
                          103,000Operating
      expenses
                          
                          
                          465,678
                          
                          
                          
                          121,207Total
      expenses
                          
                          
                          1,652,338
                          
                          
                          
                          1,724,515Trading
      income (loss)
                          
                          
                          (3,792,599
                          )
                          
                          
                          19,467,031Non-Trading
      income (loss):Interest
      on Non-Trading reserve
                          
                          
                          3,050
                          
                          
                          
                          52,341Collections
      in excess of impaired value
                          
                          
                          -
                          
                          
                          
                          1,046,068Legal
      and administrative fees
                          
                          
                          (385,999
                          )
                          
                          
                          (106,765
                          )Management
      fees paid to US Bank
                          
                          
                          (106,552
                          )
                          
                          
                          (57,171
                          )Non-Trading
      income (loss)
                          
                          
                          (489,501
                          )
                          
                          
                          934,473Net
      income (loss)
                          
                          $
                          (4,282,100
                          )
                          
                          $
                          20,401,504See
      accompanying notes to consolidated financial statements.
 
 6
  RJO
GLOBAL TRUST AND SUBSIDIARY
 Consolidated
Statement of Changes in Unitholders’ Capital
 For
the three months ended March 31, 2009
 UNAUDITIED
 Unitholders'
      Capital (Trading)
                                                                                                                                  
                                                                                                                                  Beneficial
      Owners -Trading Class A
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Beneficial
      Owners -Trading Class B
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Managing
      Owners -TradingUnits
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Dollars
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Units
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Dollars
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Units
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  DollarsBalances
      at December 31, 2008
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  658,747
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  78,645,263
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  11,679
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  1,394,355Net
      income
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (3,680,290
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (44,688
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (67,621
                                                                                                                                  )Unitholders’
      contributions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Transfers
      from Class A to Class B
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (8,819
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (1,051,674
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  8,819
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  1,051,674
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Unitholders’
      redemptions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (42,404
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (4,900,535
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (250
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (28,624
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Balances
      at March 31, 2009
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  607,524
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  69,012,764
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  8,569
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  978,362
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  11,679
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  1,326,734Unitholders'
      Capital (Trading)
                                                                                                                                  
                                                                                                                                  Total
      Unitholders' Capital - TradingUnits
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  DollarsBalances
      at December 31, 2008
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  670,426
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  80,039,618Net
      income
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (3,792,599
                                                                                                                                  )Unitholders’
      contributions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Transfers
      from Class A to Class B
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Unitholders’
      redemptions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (42,654
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (4,929,159
                                                                                                                                  )Balances
      at March 31, 2009
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  627,772
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  71,317,860Unitholders'
      Capital (LLC Equity/Non-Trading)
                                                                                                                                  
                                                                                                                                  Participating
      Owners -LLC Equity/Non-Trading
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Nonparticipating
      Owners -LLC Equity/Non-Trading
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Toral
      Unitholders' Capital -LLC Equity/Non-TradingUnits
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Dollars
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Units
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Dollars
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Units
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  DollarsBalances
      at December 31, 2008
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  611,108
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  1,953,345
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  1,662,180
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  5,312,910
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  2,273,288
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  7,266,255Net
      income
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (132,243
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (357,258
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (489,501
                                                                                                                                  )Unitholders’
      contributions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Reallocation
      due to Redemptions
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (36,205
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (107,891
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  36,205
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  107,891
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Unitholders'
      distribution
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  -Balances
      at March 31, 2009
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  574,903
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  1,713,211
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  1,698,385
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  5,063,543
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  2,273,288
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  6,776,754Total
      Unitholders Capital at March 31, 2009
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  78,094,614Unitholders'
      Capital Trading Class A
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Unitholders'
      Capital Trading Class B
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  Unitholders'
      Capital (LLC Equity/Non-Trading)Net
      asset value per unit at December 31, 2008
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  119.39
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  119.39
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  3.20Net
      change per unit
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (5.79
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (5.22
                                                                                                                                  )
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  (0.22
                                                                                                                                  )Net
      asset value per unit at March 31, 2009
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  113.60
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  114.17
                                                                                                                                  
                                                                                                                                  
                                                                                                                                  $
                                                                                                                                  2.98See
      accompanying notes to consolidated financial statements.
  7


RJO
GLOBAL TRUST AND SUBSIDIARY


NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS


March
31, 2009


(Unaudited)





(1)  General
Information and Summary





RJO
Global Trust (the “Trust”), formerly known as the JWH Global Trust, a Delaware
statutory trust organized on November 12, 1996, was formed to engage in the
speculative trading of futures contracts on currencies, interest rates, energy
and agricultural products, metals 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.




As of
December 31, 2008, trading decisions for the Trust have been delegated to five
independent commodity trading advisors: John W. Henry & Company, Inc.
(“JWH”), AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global
Advisors LP (“GALP”) and Peninsula LP (“PLP”) (each an “Advisor” and
collectively the “Advisors”), pursuant to advisory agreements executed between
the Trust and each Advisor (each an “Advisory Agreement” and collectively the
“Advisory Agreements”.)  Effective February 1, 2009, NuWave Investment
Management, LLC (“NuWave”) became the Trust’s sixth Advisor. As of March 31,
2009, PLP was no longer a trading advisor to the Trust and the Trust’s assets
were reallocated to the remaining five advisors: 18% to JWH, 18% to GALP, 10% to
AIS, 27% to ATC and 27% to NuWave.




Units of
beneficial ownership of the Trust commenced selling on April 3,
1997.  The Managing Owner filed a 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.




Prior to
December 12, 2008, the Trust only offered one class of units for
subscription.  As described in the Trust’s Post-Effective Amendment
No. 3 on Form S-1, the Trust now offers two classes of units.  Class A
units are subject to a selling commission.  Class B units are not
charged a selling commission, and will only be offered to certain qualified
investors participating in a program through certain financial
advisors.  Both Class A and Class B interests are traded pursuant to
identical trading programs and differ only in respect to the Managing Owner’s
brokerage commission and organization and offering costs.  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) dissolution of
the Managing Owner of the Trust; (3) bankruptcy of the Trust; (4) a decrease in
the net asset value to less than $2,500,000; (5) a decline in the net asset
value per unit to $50 or less; (6) dissolution of the Trust; or (7) any event
that would make it unlawful for the existence of the Trust to be continued or
require dissolution of the Trust.





Prior to
December 1, 2006, the managing owner of the Trust was Refco Commodity
Management, Inc. (“RCMI”).  An affiliate of RCMI, Refco Capital
Markets, Ltd. (“RCM”), had held certain assets of the Trust acting as the
Trust’s broker of forward contracts during 2005.  During that year,
RCM experienced financial difficulties resulting in RCM’s inability to liquidate
the assets.  RCM filed for bankruptcy protection in October,
2005.  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”).
  8




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




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




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





(2) Summary
of Significant Accounting Policies





(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 the
instructions to Form 10-Q and Rule 10-01 of Regulation
S-X.  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 statement of the financial condition and results
of operation 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, 2008.




(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 financial statements.




The Trust
earns interest on 100% of the Trust’s average daily balances on deposit with RJO
during each month at 75% of the average four-week Treasury Bill rate for that
month in respect of deposits denominated in dollars.  For deposits
denominated in other currencies, the Trust earns interest at a rate of one-month
LIBOR less 100 basis points.




(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. In anticipation of
renewing the offering for new subscriptions, $103,000 in ongoing offering costs
were accrued during the first three months of 2009.




(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.  See Note 6 for further details.  Any future
administrative and/or legal expenses associated with liquidation of the assets
held at RCM have not been reflected as such future expenses are not
estimable.




9





(h)    Fair
Value Measurements




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





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





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





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





Level 3
inputs are unobservable inputs for an asset or
liability.  Unobservable inputs shall be used to measure fair value to
the extent that observable inputs are not available, thereby allowing for
situations in which there is little, if any, market activity for the asset or
liability at the measurement date.  During 2009 and 2008, the Trust
did not have any Level 3 assets or liabilities.





As of
March 31, 2009 and December 31, 2008, the Trust’s financial assets and
liabilities consisted of exchange-traded futures contracts valued within Level 1
of the fair value hierarchy.  In the past, and potentially the future,
the Trust may invest in inter-bank currency markets valued within Level 2 of the
fair value hierarchy.





(3)  Fees





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





Pursuant
to the Trust’s agreements with the trading advisors, each trading advisor
receives a monthly management fee at the rate of up to 0.167% (a 2% 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 trading 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 them. 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 will also be
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).  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 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 March 31, 2009 and 2008,
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 March 31, 2009 and December 31, 2008, 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 RCMCollections
                                                                                    
                                                                                    Cash
      Distributions to
                                                                                    
                                                                                    Additional
      Units in TrustAmounts
      Received
                                                                                    
                                                                                    Balance
      of
                                                                                    
                                                                                    in
      Excess of
                                                                                    
                                                                                    Non-Participating
                                                                                    
                                                                                    for Participating OwnersDate
                                                                                    
                                                                                    from
      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
                                                                                    
                                                                                    -
                                                                                    
                                                                                    -
                                                                                    
                                                                                    -Totals
                                                                                    
                                                                                    $     
         25,970,753
                                                                                    
                                                                                    $           
                     -
                                                                                    
                                                                                    $       9,007,491
                                                                                    
                                                                                    $                    9,210,585
                                                                                    
                                                                                    88,833
                                                                                    
                                                                                    $       7,967,152




(7)   
Recent Pronouncements




In April
2009, the Financial Accounting Standards Board issued FSP FAS 107-1 and APB
28-1, “Interim Disclosures About Fair Value of Financial Instruments” (FSP FAS
107-1 and APB 28-1). FSP FAS 107-1 and APB 28-1 require fair value disclosures
in both interim as well as annual financial statements in order to provide more
timely information about the effects of current market conditions on financial
statements. FSP FAS 107-1 and APB 28-1 is effective for interim and annual
periods ending after June 15, 2009. The adoption of this standard will not have
a material impact on the Trust’s consolidated financial statements.





(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 the Bank of New York Mellon or the Managing Owner.  Payment will
generally be made within ten business days of the effective date of the
redemption.  As of September 1, 2007, any redemption made during the
first eleven months of investment is subject to a 2% redemption penalty, payable
to the Managing Owner.  As of December 12, 2008 this was reduced to a
1.5% redemption penalty.  Any redemption made in the twelfth month of
investment or later will not be subject to any redemption
penalty.  The Trust’s Eighth Amended and Restated Declaration and
Agreement of Trust contains a full description of redemption and distribution
policies.





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 did not
pay commodity brokerage commissions on a per-trade basis until November 1, 2008,
but rather paid flat-rate brokerage fees on a monthly basis of 5.0% per annum
(or 0.41666% per month) of the Trust’s month-end assets, after reduction of the
management fee.  Prior to September 1, 2007, the Trust paid commodity
brokerage commissions on a monthly basis of 6.0% per annum.  The
clearing brokers received these brokerage fees irrespective of the number of
trades executed on the Trust’s behalf.




12





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




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




Effective
January 1, 2009, 8,819 units converted from Class A to Class B in accordance
with an agreement made by an existing securities broker/dealer.




In
accordance with FINRA regulations, underwriting expenses, including selling
commissions, are limited to 10% of either the existing net asset values for all
units of record as of November 1, 2008, or 10% of original subscription price
for any new subscriptions thereafter.  Once the maximum amount of
underwriting compensation has been met, the Trust will issue an additional class
of units which will be charged neither selling commissions nor 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
three-month  periods ended March 31, 2009 and 2008.  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.




13




Class
      A
                                
                                
                                Class
      BThree
      months ended
                                
                                
                                Three
      months endedMarch
      31,
                                
                                
                                March
      31,2009
                                
                                
                                2008
                                
                                
                                2009Per
      share operating performance:Net
      asset value of Trading units, beginning of year
                                
                                $
                                119.39
                                
                                
                                $
                                84.69
                                
                                
                                $
                                119.39Total
      Trading income (loss):Trading
      gain (loss)
                                
                                
                                (3.28
                                )
                                
                                
                                24.92
                                
                                
                                
                                (3.46
                                )Investment
      income
                                
                                
                                0.03
                                
                                
                                
                                0.39
                                
                                
                                
                                0.03Expenses
                                
                                
                                (2.54
                                )
                                
                                
                                (2.09
                                )
                                
                                
                                (1.80
                                )Trading
      income (loss)
                                
                                
                                (5.79
                                )
                                
                                
                                23.22
                                
                                
                                
                                (5.23
                                )Net
      asset value of Trading units, end of year
                                
                                
                                113.60
                                
                                
                                
                                107.91
                                
                                
                                
                                114.16Total
      return:Total
      return before incentive fees
                                
                                
                                (5.10
                                )%
                                
                                
                                21.52
                                %
                                
                                
                                (4.58
                                )%Less
      incentive fee allocations
                                
                                
                                (0.02
                                )%
                                
                                
                                0.00
                                %
                                
                                
                                0.00
                                %Total
      return
                                
                                
                                (5.12
                                )%
                                
                                
                                21.52
                                %
                                
                                
                                (4.58
                                )%Ratios
      to average net assets:Trading
      income (loss)
                                
                                
                                (2.85
                                )%
                                
                                
                                26.28
                                %
                                
                                
                                (2.91
                                )%Expenses:Expenses,
      less incentive fees
                                
                                
                                (2.20
                                )%
                                
                                
                                (2.14
                                )%
                                
                                
                                (1.61
                                )%Incentive
      fees
                                
                                
                                (0.02
                                )%
                                
                                
                                0.00
                                %
                                
                                
                                0.00
                                %Total
      expenses
                                
                                
                                (2.22
                                )%
                                
                                
                                (2.14
                                )%
                                
                                
                                (1.61
                                )%The
      calculations above do not include activity within the Trust's Non-Trading
      accounts. The Trust did not have any Class B units during the three
      month period ended March 31, 2008.




The net
loss and expense ratios are computed based upon the weighted average net assets
for the Trust for the three-month periods ended March 31, 2009 and
2008.





(10)   Subsequent
Events





On April 3, 2009, the Trust filed Post-Effective
Amendment No. 4 to its Registration Statement on Form S-1 with the
SEC.




As of May
1, 2009, the Trust will earn interest on 100% of the Trust’s average daily
balances on deposit with RJO during each month at 80% of the average four-week
Treasury Bill rate for that month in respect of deposits denominated in
dollars.




(11)  SFAS
No. 161


14


Derivatives
not designated as hedging instruments under SFAS 133




As
      of March 31, 2009Asset
                                                    
                                                    LiabilityType
      of
                                                    Derivatives
                                                    
                                                    Derivatives
                                                    
                                                    NetFutures
      Contracts
                                                    Fair
      Value
                                                    
                                                    Fair
      Value
                                                    
                                                    Fair
      ValueAgriculture
                                                    
                                                    $
                                                    269,607
                                                    
                                                    
                                                    $
                                                    (189,313
                                                    )
                                                    
                                                    $
                                                    80,294Currency
                                                    
                                                    
                                                    198,514
                                                    
                                                    
                                                    
                                                    (70,653
                                                    )
                                                    
                                                    
                                                    127,861Energy
                                                    
                                                    
                                                    75,052
                                                    
                                                    
                                                    
                                                    (130,640
                                                    )
                                                    
                                                    
                                                    (55,587
                                                    )Indices
                                                    
                                                    
                                                    17,562
                                                    
                                                    
                                                    
                                                    (24,876
                                                    )
                                                    
                                                    
                                                    (7,314
                                                    )Interest
      Rates
                                                    
                                                    
                                                    213,668
                                                    
                                                    
                                                    
                                                    (6,985
                                                    )
                                                    
                                                    
                                                    206,683Metals
                                                    
                                                    
                                                    421,764
                                                    
                                                    
                                                    
                                                    (477,571
                                                    )
                                                    
                                                    
                                                    (55,807
                                                    )$
                                                    1,196,167
                                                    
                                                    
                                                    $
                                                    (900,037
                                                    )
                                                    
                                                    $
                                                    296,131As
      of December 31, 2008Asset
                                                    
                                                    LiabilityType
      of
                                                    Derivatives
                                                    
                                                    Derivatives
                                                    
                                                    NetFutures
      Contracts
                                                    Fair
      Value
                                                    
                                                    Fair
      Value
                                                    
                                                    Fair
      ValueAgriculture
                                                    
                                                    $
                                                    453,592
                                                    
                                                    
                                                    $
                                                    (218,820
                                                    )
                                                    
                                                    $
                                                    234,772Energy
                                                    
                                                    
                                                    31,924
                                                    
                                                    
                                                    
                                                    (56,000
                                                    )
                                                    
                                                    
                                                    (24,076
                                                    )Indices
                                                    
                                                    
                                                    99,173
                                                    
                                                    
                                                    
                                                    (115,106
                                                    )
                                                    
                                                    
                                                    (15,933
                                                    )Interest
      Rates
                                                    
                                                    
                                                    748,271
                                                    
                                                    
                                                    
                                                    (61,938
                                                    )
                                                    
                                                    
                                                    686,333Metals
                                                    
                                                    
                                                    387,665
                                                    
                                                    
                                                    
                                                    (162,039
                                                    )
                                                    
                                                    
                                                    225,626$
                                                    1,720,625
                                                    
                                                    
                                                    $
                                                    (613,903
                                                    )
                                                    
                                                    $
                                                    1,106,722
 The
above reported fair values are included in equity in commodity Trading accounts
– Unrealized gain on open contracts on the consolidated statement of financial
condition as of March 31, 2009 and December 31, 2008, respectively.
 Trading gains
(losses) for the three months ended:


Type
      of Futures Contracts
                          
                          March
      31, 2009
                          
                          
                          March
      31, 2008Agriculture
                          
                          $
                          (433,304
                          )
                          
                          $
                          3,475,540Currency
                          
                          
                          (332,666
                          )
                          
                          
                          7,760,275Energy
                          
                          
                          (128,124
                          )
                          
                          
                          376,501Indices
                          
                          
                          (465,304
                          )
                          
                          
                          3,054,801Interest
      Rates
                          
                          
                          (969,948
                          )
                          
                          
                          4,331,270Metals
                          
                          
                          169,974
                          
                          
                          
                          1,868,520$
                          (2,159,373
                          )
                          
                          $
                          20,866,907
  The above
reported trading gain (loss) amounts are included in gain (loss) on
trading of commodity contracts realized and unrealized in the consolidated
statement of operations.
 
 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.
 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 trading advisors, and the
Trust’s expenses are primarily charged as a fixed percentage of its asset
base.





The
Trust’s trading activities involve varying degrees of off-balance sheet risk
whereby changes in the market values of the futures and forward contracts
underlying the financial instruments or the Trust’s satisfaction of the
obligations may exceed the amount recognized in the statement of financial
condition of the Trust.





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




15





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 March 31, 2009 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 trading 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 75% of the average four-week Treasury Bill rate for that
month in respect of deposits denominated in dollars. For deposits denominated in
currencies other than dollars, the Trust earns interest at a rate of one-month
LIBOR less 100 basis points.  For the fiscal quarters
ended  March 31, 2009 and 2008, the Trust had received or accrued to
receive trading interest of $19,112 and $324,639 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 trading
advisors monitor the Trust’s trading activities and attempt to control the
Trust’s exposure to market risk by, among other things, refining their 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 CFTC to suspend trading in a particular
contract, order immediate settlement of a particular contract, or direct that
trading in a particular contract be for liquidation only.





There are
no known material trends, demands, commitments, events or uncertainties at the
present time that are reasonably likely to result in the Trust’s liquidity
increasing or decreasing in any material way.





(c) Results
of Operations





The
Trust’s success depends on the trading 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.




16




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




The
performance summaries set forth below outline certain major price trends which
JWH’s programs have identified for the Trust during the last three fiscal years,
until October 31, 2008, and for JWH, ATC, and GALP for November and December of
2008. November and December also reflect the opportunities captured on a
fundamental basis by AIS and PLP.  The fact that certain trends or
market movements were captured does not imply that others, perhaps larger and
potentially more profitable trends or market movements, were not missed or that
the Advisors will be able to capture similar trends or movements in the
future.  Moreover, the fact that the programs were profitable in
certain market sectors in the past does not mean that they will be so in the
future.




The
performance summaries are an outline description of how the Trust performed in
the past, not necessarily any indication of how it will perform in the
future.  Furthermore, the general causes to which certain trends or
market movements are attributed may or may not in fact have caused such trends
or movements, as opposed to simply having occurred at about the same
time.





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 had gained 38.86% since its inception in June 1997.




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




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





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





It was a
difficult quarter in general for the Managed Futures industry.  The
Barclay Commodity Trading Advisor Index, a broad measure of managed futures
performance, lost ground each month during the quarter.  Approximately
8 out of every 10 managers in the industry were showing negative year to date
performance at quarter end.  This difficult period follows a strong
performance period for the industry in 2008.  Periods like this are to
be expected from time to time and first quarter profile was consistent with
other losing periods from the past.  The objective of the Trust’s
portfolio of managers is to conserve capital during difficult periods like this
using disciplined risk management and a broad diversification of asset exposure,
investment style, and investment time frame.




17





Fiscal
Quarter ended March 31, 2008





The Trust
recorded net trading gains of $19,467,032 or $ 23.22 per trading unit in the
first quarter of 2008 (*** 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 exludes the Trust’s Non-Trading accounts). As of March
31, 2008, the Trust had gained 31.91% since its inception in June
1997.




On March
31, 2008, JWH was managing 100% of the Trust’s assets.  The Trust
assets were allocated as follows:  JWH GlobalAnalytics®(40%), Financial and Metals Portfolio (20%), and JWH
Diversified Plus (40%).




The Trust
experienced positive performance for the month of January.  An
important shift in the market’s focus seemed to be emerging at the start of
2008. Last year the global economy was relatively strong. The market
consternation was related to specific issues affecting the housing and credit
markets in the U.S. In January, the concern was more generalized, as the market
began to adjust to the possibility of a U.S. recession and a significant
slowdown in global growth. By mid month, many of the world’s major stock markets
were experiencing double-digit declines. Concerns about the economy and the
performance of U.S. equities led the U.S. Federal Reserve Board (the Fed) to cut
interest rates 75 basis points on January 22nd  -
the first inter-meeting rate move since 2001. This reduction was followed by a
second cut of 50 basis points on January 30th. The
Fed Funds rate ended the month at 3%. The aggressive stance of the Fed and the
White House and Congress coming to an agreement on an economic stimulus package
combined to stabilize equity prices towards the end of the month.  The
Trust’s trading in global equity futures was profitable during the month. U.S.
equities suffered through one of the worst Januarys on record as fears of a U.S.
recession intensified. The S&P 500 lost 6.1% for the month, while the NASDAQ
Composite shed 9.9%.  Financial shares were particularly hard hit as
uncertainty about the extent of sub-prime write-offs persisted. Increasing risk
of recession took its toll on the technology sector as a number of bellwether
issuers suffered significant declines. Global decoupling and the belief that the
world economy can be immune from weakness in the U.S. was put to the test in
January as stock markets worldwide and, in particular, those in Japan and Europe
experienced worse declines than the U.S. markets. Similarly, there was strong
performance in the interest rate sector as both the long and the short end of
the U.S. yield curve rallied sharply in response to weakening economic data,
declining stock prices and monetary stimulus. The yield on the benchmark U.S.
10-year bond declined 43 basis points to 3.59% by month-end. The actions by the
Fed were notable in terms of both magnitude and timing, as they reduced interest
rates by close to 30% in two separate moves over an 8-day period. Significant
profits were generated in Eurodollar futures and  Japanese government
bonds (JGBs) performed well. Trading in currencies was more challenging,
resulting in slightly positive performance from this sector. The dollar declined
modestly. Rising volatility and investor fear resulted in a general unwinding of
currency carry trades. Within the G-10 universe, the low-yielding Japanese yen
and Swiss franc were the strongest currencies, appreciating the most. The
relative weakness of the British pound continued in January and the long
position in the euro/British pound cross rate was a top performer for the
Trust.  Trading in metals was positive with positions in gold driving
performance. Gold traded to an all-time high during the month above $930 per
ounce. The continued weakness of the U.S. dollar, stock and credit
markets  as well as disruptions in African mining activity drove the
rally. Positions in silver also contributed to performance in the sector as it
loosely followed the direction of gold. Positions in base metals were
unprofitable. Trading in energies was negative for January.  Crude oil
and the crude oil products started the year faltering from near record prices.
Trading was volatile as an impending OPEC meeting on February 1st added
to market uncertainty. Positions in natural gas were also unprofitable as the
market traded in a directionless pattern for most of the month. The Trust
continues to benefit from the bull market in grain prices. Positions in corn,
wheat, soybeans and bean oil were all profitable. Corn positions led the way as
the price moved higher in response to a USDA report that showed a sharp drop-off
in the U.S. corn stockpile. Wheat prices also were helped by reports of lower
than expected planting intentions. Positions in sugar and coffee also
contributed to profits this month.




February
was another positive month for the Trust. Data released during the month
continues to point to a weakening in the U.S. economy.  As the
severity of the credit crisis and its ramifications become more apparent and
pessimism about the deteriorating state of the economy was met with optimism
about the prospects of official forms of economic stimulus, an interesting
trading dynamic was created.  Some sectors were confined to broad
ranges, while others experienced explosive moves.  Generally, major
global equity indices traded in a broad range during the month as market anxiety
vacillated between fears of recession and concerns about
inflation.  The S&P 500 finished with a modest loss for the month
as market volatility declined from the peak readings registered in January. In
this environment, the Trust’s trading was positive as positions in European and
U.S. markets offset losses in the Japanese Nikkei. Trading in interest rates was
unprofitable as the psychology of the market shifted during the month. In
January, fear and prospects for a slower global economy drove global bond prices
to extremes. In his testimony to the U.S. Senate Banking Committee, Fed
chairman, Ben Bernanke, underscored the Fed’s dovish stance on interest rates.
He warned that downside risks to the economy remain due to weakness in the
housing, labor and credit market.  The U.S. yield curve steepened as
long-term interest rates moved higher. The benchmark U.S. 10-year note yield
approached 4% during the month, up from a low of 3.30%  in January,
only to end the month at 3.5%.  After rallying




18




early in
February, the dollar reversed course and closed the month weaker against most
major currencies as narrowing interest rate differentials and the prospect for
higher inflation in the U.S. combined to weigh on the currency. The low-yielding
Swiss franc and Japanese yen were among the strongest currencies against the
dollar as risk appetite in the market remains low. The USD/JPY exchange rate
closed the month at a multi-year low of 103.75. Trading in the euro was choppy
and less profitable; nevertheless, the currency did manage to close at an
all-time high of 1.5180. As global demand pushed commodity prices to historic
levels, the commodity markets generated the majority of the Trust’s February
returns. The greatest profits came from the agriculture markets, particularly
from grains and soft commodities. In some cases, the moves were significant:
bean oil was up 27% during the month, coffee was up 19%, wheat was up 15%, and
sugar was up 14%.  It is uncommon for these markets in this sector to
move higher so strongly in the same month. The demand for food related
commodities from a flatter, more prosperous global economy is an important theme
driving agricultural commodities. The weakness of the dollar is another
important factor. The energy sector was also profitable as crude oil surged
above $100 per barrel. The initial stage of the approximate 10% rally in the
price of crude during the month may be attributable to the unwinding of large
short positions that were established in January. In addition to the old themes
of strong demand and dollar weakness, the perception in the market that OPEC
would defend levels below $90 per barrel helped to support prices. Natural gas
was a significant contributor to the sector’s profits during the month also.
Performance from the metals sector was positive as both precious and base metals
were higher. Gold continues its march toward the $1,000/ounce level. The weak
dollar, further Fed rate cuts and macroeconomic concerns, including the
prospects for further inflation, are fundamentals that can have a positive
influence on the price of gold.  The movements higher in base metals
during the month were based on production outages reported in both China and
South Africa. This puts further pressure on inventories which are at multi-year
lows.




The Trust
posted a positive return in March. The crisis in the financial markets continued
in March possibly reaching the nadir on March 17th.  This
date also marked the year-to-date low in the S&P 500 and coincided with
price reversals in a number of key markets. U.S. officials provided a
substantial policy response to the deteriorating markets: in addition to
reducing the Federal Funds rate by 75 bps on March 18th, the
Federal Reserve established new lending facilities aimed at adding more
liquidity and providing access to a broader array of financial institutions. The
U.S. Treasury also proposed an overhaul of the financial system. In the near
term these measures were effective in alleviating some of the stress in the
markets. Equity prices rallied, certain credit spreads tightened and volatility
subsided. Currencies were the most profitable sector this month as interest rate
differentials between the U.S. and Europe widened further. The Euro traded at a
record level of 1.5804 during the month and closed near its all-time high at
month-end. The Federal Reserve rate cut on March 18th brought
the Fed Funds rate to 2.25%.  On the other hand, the European Central
Bank has left official lending rates stable at 4.00% during 2008. The fund
generated profits in most major currencies against the dollar. The interest rate
sector was at the center of the storm in March as the U.S Federal Reserve
actions described above provided a powerful boost to a market that was reeling
from fear. These actions prompted meaningful price reversals across the
sector.   The stock market was also under pressure which made
government bonds and securities the logical haven from the storm. Yields on
10-year U.S. government bonds fell early in the month to close at 3.44%.
Performance from this sector was slightly positive. Positions in U.S. and
Japanese interest rates performed best.  Equity markets sold off early
in March as financial shares were battered on credit concerns. The technology
sector was marked down along with growth projections for the U.S economy.
However, stocks did recover in the second half of the month. Overall, trading in
global equities was profitable for the month with positions in the Japanese
Nikkei being the best performer.  Precious metals keyed off of
developments in the financial markets. Gold soared to record highs early in the
month.  When the markets staged their recovery, gold sold off
sharply.  Gold traded down from a monthly high near $1,040/ounce to
close the month at $921. Positions in both precious and base metals were
unprofitable for the month. Although crude oil prices reached new highs above
$100 per barrel in March, natural gas supplied a majority of the profits in the
energy sector. Natural gas rallied more than 7% during the month as
colder-than-expected temperatures and increased demand may slow the build in
natural gas inventories. Positions in London gas oil were also profitable. The
agricultural sector was a significant drag on performance in March as trading in
all component markets was negative. Trading and price action in the grain
markets was largely independent from the moves in the financial markets and the
dollar. Most grain prices were enjoying a remarkable bull market heading into
March and arguably due for a correction.  Recently expanded daily
exchange price limits allowed for dramatic moves to the downside in wheat,
soybeans and soybean products. Corn bucked the trend and finished the month
stronger, buoyed by bullish reports from the USDA. Soft commodities such as
sugar, coffee and cotton reversed course during the month, suffering from a
reduction in speculative risk taking.





During
the quarter no units were sold. Beneficial Owners redeemed a total
of  47,216 units during the quarter. The Managing Owner redeemed a
total of 5,123 units during the quarter. At the end of the quarter there were
784,658 units outstanding owned by the beneficial owners and 15,095 units
outstanding owned by the Managing Owner.




During
the fiscal quarter ending March 31, 2008, the Trust had no material credit
exposure to a counterparty, which is a foreign commodity exchange, or to any
counterparties dealing in over the counter contracts.




19




(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,
2008.





Item 4T.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
Trustat the time this report was
filed,  including the Managing
Owner’s Chief Executive Officer (the Trust’s principal executive officer)
and Chief Financial Officer,(the Trust’s principal financial officer), have
evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures
(as defined in Rules 13a-15(c) and 15d-15(e) under
the Exchange Act) as of March 31, 2009.  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 proceduresof the
Trust were effective at March 31,
2009.




Changes in Internal Control Over
Financial Reporting:There were
no changes in the Trust’s internal control over financial reporting; during the
quarter ended March 31, 2009 that have materially affected, or are reasonably
likely to materially affect, the Trust’s internal control over financial
reporting.




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





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 Statement – 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 Number 2 to the
Registration Statement on Form S-1 filed on December 12, 2008 and declared
effective December 12, 2008.





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.




20





The
following table summarizes the redemptions by unitholders during the first
quarter of 2009:




Units
      Redeemed
                    
                    
                    Redemption
      Date NAV per UnitMonth
                    
                    Class
      A
                    Class
      B
                    
                    Class
      A
                    Class
      BJanuary
                    
                    26,251
                    -
                    
                    $                    116.47
                    $                    116.67February
                    
                    5,623
                    115
                    
                    $                    115.03
                    $                    115.42March
                    
                    10,530
                    135
                    
                    $                    113.60
                    $                    114.16Total
                    
                    42,404
                    250




Units
sold January 1, 2009  through March 31, 2009: 0


Units
(Class A) unsold through March 31, 2009: 1,000,000 ($113,449,025)


Units
(Class B) unsold through March 31, 2009: 1,000,000 ($114,160,000)


Aggregate
price paid for units sold January 1, 2009 through March 31, 2009:
$0




21


Item
6.  Exhibits





a) Exhibits





Index to
Exhibits





Exhibit
              Description
      of DocumentNumber3.01
              Eighth Amended and
      Restated Declaration and Agreement of Trust of RJO Global Trust (the
      “Registrant”), dated as of September 26, 2008.13.02
              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 December 12, 2008 with Post-Effective Amendment
No. 3 to the Registrant’s Registration Statement on Form S-1 (Reg. No.
333-146177).
 
 2
Incorporated by reference 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:
              May 15,
    2009By:
              R.J. O’Brien Fund
      Management, LLC.Managing
    OwnerBy:
              /s/
      Thomas J.
      AndersonThomas J.
      AndersonChief Financial
      Officer and duly authorized officer