**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

**FORM 10-Q**

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

**SECURITIESEXCHANGE ACT OF 1934**

**For thequarterly period ended September 30, 2006**

**OR**

**o****TRANSITION REPORT PURSUANT TOSECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

**For thetransition period from            to           ..**

**CommissionFile Number:  000-22887**

**JWH GLOBAL TRUST**

(Exact name ofregistrant as specified in its charter)

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

 

**222 South Riverside Plaza**

**Suite 900**

**Chicago, IL  60606**

(Address ofprincipal executive offices) (Zip Code)

**(312) 373-5000**

(Registrant’stelephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reportsrequired to be filed by Section 13 or 15(d) of the Securities Exchange Act of1934 during the preceding 12 months (or for such shorter period that theregistrant was required to file such reports), and (2) has been subject to suchfiling requirements for the past 90 days.

o Yes        xNo

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer (as defined in Rule 12b-2 of the Exchange Act).

o LargeAccelerated Filer                                          o Accelerated Filer                                    x Non-AcceleratedFiler

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

o Yes        x No

 

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**ExplanatoryNote**

This quarterly report onForm 10-Q for the quarter ended September 30, 2006, is being filed after thefiling deadline due to the Trust’s inability to value certain of its assets andcomplete the preparation of its financial statements.  Please see the “Notes to Financial Statements”section that accompanies the financial statements filed with this Form 10-Q formore information.

2

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**TABLE OFCONTENTS**
| PART I. FINANCIAL  INFORMATION |                                                                                                 | 4                                                                                                                |
|--------------------------------|------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------|
|                           |                                                                                                 |                                                                                                             |
|                           | Item 1. Financial  Statements                                                                        |                                                                                                             | 4 |
|                           |                                                                                                 | Statements of  Financial Condition (unaudited), As of September 30, 2006 and December 31,  2005                  |   | 4 |
|                           |                                                                                                 | Statements of  Operations (unaudited), Quarters and Nine Months ended September 30, 2006 and  September 30, 2005 |   | 5 |
|                           |                                                                                                 | Statement  of Changes in Unitholders’ Capital (unaudited), From January 1, 2006 through  September 30, 2006 |   | 6 |
|                           |                                                                                                 | Condensed  Schedule of Investments (unaudited), as of September 30, 2006                                         |   | 7 |
|                           |                                                                                                 | Condensed  Schedule of Investments (unaudited) as of December 31, 2005                                           |   | 8 |
|                           |                                                                                                 | Notes to Financial  Statements                                                                                   |   | 9 |
|                           |                                                                                                 |                                                                                                             |   |   |
|                           | Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of  Operations | 13                                                                                                               |
|                           |                                                                                                 |                                                                                                             |   |
|                           | Item 3.  Quantitative and Qualitative Disclosures about Market Risk                                  |                                                                                                             | 25 |
|                           |                                                                                                 |                                                                                                             |   |
|                           | Item 4. Controls  and Procedures                                                                     |                                                                                                             | 25 |
|                           |                                                                                                 |                                                                                                             |   |
| PART II. OTHER INFORMATION     |                                                                                                 | 25                                                                                                               |
|                           |                                                                                                 |                                                                                                             |
|                           | Item 1. Legal  Proceedings                                                                           |                                                                                                             |   | 25 |
|                           |                                                                                                 |                                                                                                             |   |   |
|                           | Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds                                 |                                                                                                             | 26 |
|                           |                                                                                                 |                                                                                                             |   |
|                           | Item  6. Exhibits                                                                                    |                                                                                                             |   | 27 |
|                           |                                                                                                 |                                                                                                             |   |   |
| SIGNATURES                     |                                                                                                 | 28                                                                                                               |
|                                |                                                                                                      |                                                                                                                  |  |  |  |

 

3

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**PART I – FINANCIAL INFORMATION**

**Item1.  Financial Statements**

**JWHGLOBAL TRUST**

**Statements of Financial Condition**
| ** **                                                                                                                  | ** ** | **September 30, 2006** | ** **  | **December 31, 2005** | ** ** |
|-----------------------------------------------------------------------------------------------------------------------------|------------|----------------------------------|-------------|---------------------------------|------------|
| ** **                                                                                                                  | ** ** | **UNAUDITED**                    | ** **  | ** **                      | ** ** |
| **Assets**                                                                                                                  | ** ** | ** **                       | ** **  | ** **                      | ** ** |
| Assets:                                                                                                                     |       |                             |        |                            |       |
| Equity in  commodity trading accounts:                                                                                      |       |                             |        |                            |       |
| Cash on deposit  with brokers                                                                                               |       | $                                | 136,342,878 |                            | $          | 202,443,116 |   |
| Unrealized gain  on open contracts                                                                                          |       | 5,903,290                        |        | 2,590,858                       |       |
| Cash on deposit  with former brokers                                                                                        |       | 16,963,262                       |        | 16,963,262                      |       |
| Cash on deposit  with bank                                                                                                  |       | 345,263                          |        | 943,758                         |       |
|                                                                                                                        |       | 159,554,693                      |        | 222,940,994                     |       |
|                                                                                                                        |       |                             |        |                            |       |
| Receivable for  units sold                                                                                                  |       |                             |        | —                          |       |
| Interest  receivable                                                                                                        |       | 538,967                          |        | 675,537                         |       |
| Total assets                                                                                                                |       | $                                | 160,093,660 |                            | $          | 223,616,531 |   |
|                                                                                                                        |       |                             |        |                            |       |
| **Liabilities  and Unitholders’ Capital**                                                                              | ** ** | ** **                       | ** **  | ** **                      | ** ** |
| Liabilities:                                                                                                                |       |                             |        |                            |       |
| Accrued  commissions                                                                                                        |       | $                                | 544,298     |                            | $          | 1,563,331 |   |
| Accrued  management fees                                                                                                    |       | 237,142                          |        | 338,586                         |       |
| Accrued  incentive fees                                                                                                     |       | —                           |        | —                          |       |
| Accrued offering  expenses                                                                                                  |       | 2,663                            |        | 3,482                           |       |
| Accrued  operating expenses                                                                                                 |       | 570,630                          |        | 348,965                         |       |
| Redemptions  payable                                                                                                        |       | 3,230,941                        |        | 4,723,667                       |       |
| Accured legal  and administrative fees - nontrading                                                                         |       | 308,471                          |        | 116,991                         |       |
| Total liabilities                                                                                                           |       | 4,894,145                        |        | 7,095,022                       |       |
|                                                                                                                        |       |                             |        |                            |       |
| Unitholders’ capital  (trading):                                                                                       |       |                             |        |                            |       |
| Beneficial  owners (1,357,676 and 1,736,309 units outstanding at September 30, 2006 and  December 31, 2005, respectively)   |       | 135,801,282                      |        | 196,142,238                     |       |
| Managing owner  (24,017 units outstanding at September 30, 2006 and December 31, 2005)                                      |       | 2,402,234                        |        | 2,713,011                       |       |
|                                                                                                                        |       |                             |        |                            |       |
| Unitholders’ capital  (nontrading):                                                                                    |       |                             |        |                            |       |
| Beneficial owner  (2,249,070 and 2,249,071units outstanding at September 30, 2006 and  December 31, 2005 respectively) |       | 16,814,943                       |        | 17,478,064                      |       |
| Managing owner (24,217  units outstanding at September 30, 2006 and December 31, 2005)                                      |       | 181,056                          |        | 188,196                         |       |
| Total  unitholders’ capital                                                                                            |       | 155,199,515                      |        | 216,521,509                     |       |
|                                                                                                                        |       |                             |        |                            |       |
| Total liabilities and  unitholders’ capital                                                                            |       | $                                | 160,093,660 |                            | $          | 223,616,531 |   |

 

See accompanying notes tofinancial statements.

4

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**JWHGLOBAL TRUST**

**Statements of Operations**

UNAUDITED
| ** **                                                 | ** ** | **July 1, 2006**       | ** ** | **July 1, 2005**       | ** ** | **January 1, 2006**    | ** ** | **January 1, 2005**    | ** **  |
|------------------------------------------------------------|------------|----------------------------------|------------|----------------------------------|------------|----------------------------------|------------|----------------------------------|-------------|
| ** **                                                 | ** ** | **through**                      | ** ** | **through**                      | ** ** | **through**                      | ** ** | **through**                      | ** **  |
| ** **                                                 | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** ** | **September 30, 2006** | ** ** | **September 30, 2005** | ** **  |
|                                                       |       |                             |       |                             |       |                             |       |                             |        |
| Revenues:                                                  |       |                             |       |                             |       |                             |       |                             |        |
| Gain (loss) on trading of commodity contracts:             |       |                             |       |                             |       |                             |       |                             |        |
| Realized gain (loss) on closed positions                   |       | $                                | (7,547,202 | )                                | $          | 17,464,417                       |       | $                                | (19,098,988 | ) | $ | 1,474,599 |   |
| Change in unrealized gain (loss) on open positions         |       | 9,617,817                        |       | (9,039,346                       | )          | 3,312,432                        |       | (4,279,671                       | )           |
| Interest income                                            |       | 1,720,376                        |       | 2,551,030                        |       | 5,520,780                        |       | 6,579,346                        |        |
| Foreign currency transaction gain (loss)                   |       | (340,815                         | )          | (35,525                          | )          | (173,420                         | )          | (579,450                         | )           |
| Total revenues                                             |       | 3,450,176                        |       | 10,940,576                       |       | (10,439,196                      | )          | 3,194,824                        |        |
|                                                       |       |                             |       |                             |       |                             |       |                             |        |
| Expenses:                                                  |       |                             |       |                             |       |                             |       |                             |        |
| Commissions                                                |       | 2,123,724                        |       | 4,818,535                        |       | 7,421,387                        |       | 13,794,840                       |        |
| Management fees                                            |       | 708,104                          |       | 1,606,623                        |       | 2,471,380                        |       | 4,599,552                        |        |
| Incentive fees                                             |       | —                           |       | —                           |       | —                           |       | —                           |        |
| Ongoing offering expenses                                  |       | —                           |       | 134,212                          |       | —                           |       | 742,739                          |        |
| Operating expenses                                         |       | 180,000                          |       | 103,844                          |       | 733,653                          |       | 297,290                          |        |
| Total expenses                                             |       | 3,011,828                        |       | 6,663,214                        |       | 10,626,420                       |       | 19,434,421                       |        |
|                                                       |       |                             |       |                             |       |                             |       |                             |        |
| Nontrading net  loss:                                      |       |                             |       |                             |       |                             |       |                             |        |
| Interest on nontrading reserve                             |       | 4,214                            |       | —                           |       | 26,151                           |       | —                           |        |
| Legal and administrative fees                              |       | (250,796                         | )          | —                           |       | (696,380                         | )          | —                           |        |
| Nontrading net loss                                        |       | (246,582                         | )          | —                           |       | (670,229                         | )          | —                           |        |
|                                                       |       |                             |       |                             |       |                             |       |                             |        |
| Net income  (loss)                                         |       | $                                | 191,766    |                             | $          | 4,277,362                        |       | $                                | (21,735,845 | ) | $ | (16,239,597 | ) |
|                                                       |       |                             |       |                             |       |                             |       |                             |        |
| Income (loss)  per unit of beneficial ownership interest * |       | $                                | 0.37       |                             | $          | 1.87                             |       | $                                | (13.23      | ) | $ | (7.76 | ) |
| Income (loss) per unit  of managing ownership interest *   |       | $                                | 0.37       |                             | $          | 1.87                             |       | $                                | (13.23      | ) | $ | (7.76 | ) |

 

----

* Represents theincrease (decrease) in unit value during the period.

See accompanying notes tofinancial statements.

5

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**JWH GLOBALTRUST**

**Statement of Changes in Unitholders’ Capital**

**Quarterended September 30, 2006**

**UNAUDITED**
| ** **                                       | ** ** | **Beneficial Owner** | ** ** | **Managing Owner** | ** ** | **Beneficial Owner** | ** ** | **Managing Owner** | ** ** | ** ** | ** ** |
|--------------------------------------------------|------------|---------------------------|------------|-------------------------|------------|---------------------------|------------|-------------------------|------------|------------|------------|
| ** **                                       | ** ** | **Units**                 | ** ** | **Units**               | ** ** | **Units**                 | ** ** | **Units**               | ** ** | **Units**  | ** ** |
| ** **                                       | ** ** | **Trading**               | ** ** | **Trading**             | ** ** | **Nontrading**            | ** ** | **Nontrading**          | ** ** | **Total**  | ** ** |
| Unitholders’  capital at January 1, 2006    |       | 1,736,309                 |       | 24,017                  |       | 2,249,071                 |       | 24,217                  |       | 4,033,614  |       |
| Unitholders’  contributions                 |       | —                    |       | —                  |       | —                    |       | —                  |       | —     |       |
| Unitholders’  redemptions                   |       | (378,633                  | )          | —                  |       | (1                        | )          | —                  |       | (378,634   | )          |
| Unitholders’ capital at  September 30, 2006 |       | 1,357,676                 |       | 24,017                  |       | 2,249,070                 |       | 24,217                  |       | 3,654,980  |       |

 
| ** **                                       | ** ** | **Beneficial Owner** | ** **  | **Managing Owner** | ** ** | **Beneficial Owner** | ** ** | **Managing Owner** | ** ** | ** **  | ** ** |
|--------------------------------------------------|------------|---------------------------|-------------|-------------------------|------------|---------------------------|------------|-------------------------|------------|-------------|------------|
| ** **                                       | ** ** | **Dollars**               | ** **  | **Dollars**             | ** ** | **Dollars**               | ** ** | **Dollars**             | ** ** | **Dollars** | ** ** |
| ** **                                       | ** ** | **Trading**               | ** **  | **Trading**             | ** ** | **Nontrading**            | ** ** | **Nontrading**          | ** ** | **Total**   | ** ** |
| Unitholders’  capital at January 1, 2006    |       | $                         | 196,142,238 |                    | $          | 2,713,011                 |       | $                       | 17,478,064 |        | $          | 188,196 |   | $ | 216,521,509 |   |
| Net loss                                         |       | (20,754,839               | )           | (310,777                | )          | (663,089                  | )          | (7,140                  | )          | (21,735,845 | )          |
| Unitholders’  contributions                 |       | —                    |        | —                  |       | —                    |       | —                  |       | —      |       |
| Unitholders’  redemptions                   |       | (39,586,117               | )           | —                  |       | (32                       | )          | —                  |       | (39,586,149 | )          |
| Unitholders’  capital at September 30, 2006 |       | $                         | 135,801,282 |                    | $          | 2,402,234                 |       | $                       | 16,814,943 |        | $          | 181,056 |   | $ | 155,199,515 |   |
| Net asset value  per unit at January 1, 2006     |       | $                         | 112.96      |                    | $          | 112.96                    |       | $                       | 7.77       |        | $          | 7.77 |   | $ | 120.73 |   |
| Net loss per  unit                               |       | (12.94                    | )           | (12.94                  | )          | (0.29                     | )          | (0.29                   | )          | (13.23      | )          |
| Net asset value per  unit at September 30, 2006  |       | $                         | 100.02      |                    | $          | 100.02                    |       | $                       | 7.48       |        | $          | 7.48 |   | $ | 107.50 |   |

 

See accompanying notes tofinancial statements.

6

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**JWHGLOBAL TRUST**

**Condensed Schedule of Investments**

**as ofSeptember 30, 2006**

UNAUDITED
| ** **                                                | ** ** | **Number of** | ** ** | **Principal**  | ** **    | ** **           | ** **  |
|-----------------------------------------------------------|------------|--------------------|------------|----------------|---------------|----------------------|-------------|
| ** **                                                | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **Value (OTE)** | ** **  |
| **Long  positions (3.90%)**                               | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| **Futures  positions (3.47%)**                            | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| Agriculture                                               |       | 675                |       | $              | 21,231,219    |                 | $           | 80,720 |   |
| Interest Rates                                            |       | 7,671              |       | 1,403,792,000  |          | 4,075,155            |        |
| Metals                                                    |       | 21                 |       | 10,703,490     |          | (30,069              | )           |
| Indices                                                   |       | 973                |       | 32,556,580     |          | 1,259,865            |        |
|                                                      |       |               |       | 1,468,283,289  |          | 5,385,671            |        |
| **Forward  positions (0.43%)**                            | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| Currencies                                                |       | 58                 |       | 727,429,854    |          | 669,460              |        |
|                                                      |       |               |       | 727,429,854    |          | 669,460              |        |
|                                                      |       |               |       |           |          |                 |        |
| Total long positions                                      |       |               |       | $              | 2,195,713,143 |                 | $           | 6,055,131 |   |
|                                                      |       |               |       |           |          |                 |        |
| **Short  positions(-0.10%)**                              | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| **Futures  positions (0.90%)**                            | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| Agriculture                                               |       | 1,626              |       | $              | 35,297        |                 | $           | 1,265,242 |   |
| Interest rates                                            |       | 1,046              |       | 191,418,000    |          | (390,504             | )           |
| Metals                                                    |       | 494                |       | 25,178,686     |          | (1,178,354           | )           |
| Energy                                                    |       | 698                |       | 41,958,080     |          | 1,697,315            |        |
|                                                      |       |               |       | 258,590,063    |          | 1,393,699            |        |
| **Forward  positions (-1.00%)**                           | ** ** | ** **         | ** ** | ** **     | ** **    | ** **           | ** **  |
| Currencies                                                |       | 39                 |       | 492,754,557    |          | (1,545,540           | )           |
|                                                      |       |               |       | 492,754,557    |          | (1,545,540           | )           |
|                                                      |       |               |       |           |          |                 |        |
| Total short positions                                     |       |               |       | $              | 751,344,620   |                 | $           | (151,841 | ) |
|                                                      |       |               |       |           |          |                 |        |
| Total unrealized  gain on open contracts (3.80%)          |       |               |       |           |          | $                    | 5,903,290   |   |
| Cash on deposit  and open contracts with brokers (87.85%) |       |               |       |           |          | 136,342,878          |        |
| Cash on deposit  with former broker and bank (11.15%)     |       |               |       |           |          | 17,308,525           |        |
| Other  liabilities in excess of assets (-2.80%)           |       |               |       |           |          | (4,355,178           | )           |
| Net assets (100.00%)                                      |       |               |       |           |          | $                    | 155,199,515 |   |

 

See accompanying notes tofinancial statements.

7

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**JWHGLOBAL TRUST**

**Condensed Schedule of Investments**

**December31, 2005**
| ** **                                                    | ** ** | **Number of** | ** ** | **Principal**  | ** **    | **Value/open**        | ** **  |
|---------------------------------------------------------------|------------|--------------------|------------|----------------|---------------|-----------------------|-------------|
| ** **                                                    | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **trade equity** | ** **  |
| **Long  positions (2.92%)**                                   | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures  positions (2.5%)**                                 | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Agriculture                                                   |       | 560                |       | $              | 7,111,666     |                  | $           | 1,211,971 |   |
| Interest Rates                                                |       | 1,183              |       | 53,299,584     |          | (77,250               | )           |
| Metals                                                        |       | 1,723              |       | 92,446,095     |          | 8,283,119             |        |
| Indices                                                       |       | 326                |       | 42,909,706     |          | 1,408,234             |        |
| Energy                                                        |       | 196                |       | 26,835,120     |          | (5,415,299            | )           |
|                                                          |       |               |       | 222,602,171    |          | 5,410,775             |        |
| **Forward  positions (0.42%)**                                | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Currencies                                                    |       | 28                 |       | 413,711,125    |          | 910,781               |        |
|                                                          |       |               |       |           |          |                  |        |
| Total long positions                                          |       |               |       | $              | 636,313,296   |                  | $           | 6,321,556 |   |
|                                                          |       |               |       |           |          |                  |        |
| **Short  positions (-1.72%)**                                 | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| **Futures  positions (-2.58%)**                               | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Agriculture                                                   |       | 826                |       | $              | 15,796,669    |                  | $           | (716,296 | ) |
| Interest Rates                                                |       | 4,475              |       | 932,659,568    |          | (1,371,984            | )           |
| Metals                                                        |       | 584                |       | 35,966,425     |          | (3,806,813            | )           |
| Energy                                                        |       | 768                |       | 36,784,731     |          | 315,722               |        |
|                                                          |       |               |       | 1,021,207,393  |          | (5,579,371            | )           |
| **Forward  positions (0.85%)**                                | ** ** | ** **         | ** ** | ** **     | ** **    | ** **            | ** **  |
| Currencies                                                    |       | 16                 |       | 177,861,577    |          | 1,848,673             |        |
|                                                          |       |               |       |           |          |                  |        |
| Total short positions                                         |       |               |       | $              | 1,199,068,970 |                  | $           | (3,730,698 | ) |
|                                                          |       |               |       |           |          |                  |        |
| **Total  unrealized gain on open contracts (1.20%)**          |       |               |       |           |          | $                     | 2,590,858   |   |
| **Cash on  deposit and open contracts with brokers (93.50%)** |       |               |       |           |          | 202,443,116           |        |
| **Cash on  deposit with former broker and BBH (8.27%)**       |       |               |       |           |          | 17,907,019            |        |
| **Other  liabilites in excess of assets (-2.96%)**            |       |               |       |           |          | (6,419,484            | )           |
| **Net assets (100.00%)**                                      |       |               |       |           |          | $                     | 216,521,509 |   |

8

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### **JWH GLOBAL TRUST**

**NOTES TOFINANCIAL STATEMENTS**

**September 30, 2006**

### (Unaudited)

**(1)           General Information and Summary**

JWH Global Trust (the “Trust”), a Delaware statutory trust organized onNovember 12, 1996, was formed to engage in the speculative trading of futurescontracts on currencies, interest rates, energy and agricultural products,metals and stock indices, spot and forward contracts on currencies and preciousmetals, and exchanges for physicals pursuant to the trading instructions ofindependent trading advisors.  On August31, 2005, Refco Group Ltd., LLC (“Refco Group”) acquired the global brokerageoperations of Cargill’s subsidiary, Cargill Investor Services, Inc. (“CIS”).  CIS is the owner of CIS Investments, Inc. (“CISI”).  The managing owner of the Trust changed fromCISI to Refco Commodity Management, Inc (“RCMI” or the “Managing Owner”) andthe clearing broker changed from CIS to Refco, LLC (“Clearing Broker”), anaffiliate of RCMI.  The broker forforward contracts changed from CIS Financial Services, Inc. to Refco CapitalMarkets, Ltd. (“Forwards Currency Broker”), also an affiliate of RCMI.  The Clearing Broker and the Forwards CurrencyBroker collectively will be referred to as the “Brokers.”

Units of beneficial ownership of the Trust commenced selling on April3, 1997.  Units are not currently beingoffered.

The Trust will be terminated on December 31, 2026, if none of thefollowing occur prior to that date:  (1)beneficial owners holding more than 50% of the outstanding units notify theManaging Owner to dissolve the Trust as of a specific date; (2) disassociationof the Managing Owner with the Trust; (3) bankruptcy of the Trust; (4) adecrease in the net asset value to less than $2,500,000; (5) a decline in thenet 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 becontinued or require dissolution of the Trust.

On October 10, 2005, Refco, Inc., the ultimate parent of RCMI,announced that it had discovered through an internal review a receivable owedto Refco, Inc., by an entity controlled by Phillip R. Bennett, the then ChiefExecutive Officer and Chairman of the Board of Directors of Refco, Inc., in theamount of approximately $430 million. Mr. Bennett has been charged with securities fraud in connection withthis matter and various actions have been filed against Refco, Inc.  Thereafter, on October 13, 2005, Refco, Inc.,announced that the liquidity within Refco Capital Markets, Ltd. (“RCM”) was nolonger sufficient to continue operations, and that RCM had imposed a fifteen(15) day moratorium on all of its activities in an attempt to protect the valueof that enterprise.

On October 17, 2005, Refco, Inc. and RCM filed for bankruptcyprotection in the Southern District of New York.  Neither the Trust nor RCMI were covered bythe filing.

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

In light of the events outlined herein, the Managing Owner of theTrust, moved the majority of the Trust’s assets from Refco, LLC to LehmanBrothers, Inc. and its affiliated entities (“Lehman”) to act in the capacity ofclearing broker on behalf of the Managing Owner.  On or about October 18, 2005, the Trust hadtransferred the majority of all assets to Lehman.  Pending the resolution of the Trust’s rightsand/or claims against RCM, the Trust will no longer have assets on deposit withRCM.

Management does not believe that the bankruptcy filings of Refco, Inc.and RCM will have a material impact upon the operations of the Trust or itsability to satisfy a request for redemption. In this regard,  the operations of the Trust, including thetrading activities of the underlying asset manager, have continued with minimalinterruption.  Inparticular, with respect to redemptionsmade as of October 31, 2005, and thereafter, the Trust has made payment in anamount that represented the proportionate share of the Trust’s net assets thatare held at Lehman, while reserving payment with respect to the Trust’s assetscurrently held at RCM, plus a cash reserve in connection with expenses inpursuit of its rights and/or claims against RCM and other potential thirdparties.  As such, the Trust has reservedpayment with respect to approximately 18.2%-25% of any redemption proceedsuntil these monies held at RCM are remitted to the Trust or the Trust’s rightsand/or claims against RCM and/or such potential third parties are resolved.

Generally, investors in the Trust may redeem units effective as of thelast trading day of any month of the Trust based on the Net Asset Value perunit on such date with five business days’ prior written notice to the ManagingOwner. Effective October 31, 2005, the Net Asset Value per unit was split intoa “Trading account” and a “Non-Trading” account, the latter representing theassets held at RCMI plus $1,000,000 in cash in connection with expenses relatedto the collection of assets held at RCM and potential third party claims. OnOctober 31, 2005, $57,544,206  of equityand 2,273,288 in substitute units were transferred to the Non-Trading account.  All unitholders of record as of October 1,2005 retained their pro-rata right to the assets in the Non-Trading accountwith the equivalent number of units held in the Trust prior to RCM bankruptcy.

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**(2)****                                 Summaryof Significant Accounting Policies**

The accompanying unaudited financial statements of the Trust have beenprepared in accordance with accounting principles generally accepted in theUnited States of America for interim financial information and with theinstructions to Form 10-Q and Rule 10-01 of Regulation S-X.  Accordingly, they do not include all of theinformation and footnotes required by accounting principles generally acceptedin 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 afair statement of the financial condition and results of operation of the Trustfor the period presented have been included. The following is a description of the more significant of those policiesthat the Trust follows in preparing its financial statements.

**(a)****          RevenueRecognition**

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

TheTrust earns interest on 100% of the Trust’s average daily balances on depositwith Lehman during each month at 75% of the average 91-day Treasury bill ratefor that month in respect of deposits denominated in dollars.  For deposits denominated in other currencies,the Trust earns interest on Eurodollars, British pound sterling, and Swissfrancs at a rate equal to Lehman Clearing House (“LCH”) less 25 basispoints.  Deposits denominated in JapaneseYen earn 100% of LCH and Australian dollars earn interest at a rate of SydneyFutures Exchange Clearing House (“SFECH”) less 125 basis points.

**(b)****          Redemptions**

Abeneficial owner may cause any or all of his or her units to be redeemed by theTrust effective as of the last business day of any month of the Trust based onthe Net Asset Value per unit on such date on five business days’ written noticeto the Managing Owner.  Payment willgenerally be made within ten business days of the effective date of theredemption.  Any redemption made duringthe first eleven months of investment is subject to a 3% redemptionpenalty.  Any redemption made in thetwelfth month of investment or later will not be subject to any redemptionpenalty.  The Trust’s Sixth Amended andRestated Declaration and Agreement of Trust contains a full description ofredemption and distribution policies. Investors who redeemed from October 31, 2005 through September 30, 2006will receive the Net Asset Value per Unit represented by assets held in thetrading account.

**(c)****          OngoingOffering Costs**

Ongoing offeringcosts subject to a ceiling of 0.50% of the Trust’s average month-end netassets, are paid by the Trust and expensed as incurred. There are no unitscurrently being offered therefore no offering costs were incurred during thefirst nine months of 2006.

**(d)****          Commissions**

Commoditybrokerage commissions are typically paid for each trade transacted and arereferred to as “round-turn commissions.” These commissions cover both the initial purchase (or sale) and thesubsequent offsetting sale (or purchase) of a commodity futures contract.  The Trust does not pay commodity brokeragecommissions on a per-trade basis, but rather pays flat-rate brokerage fees on amonthly basis of 6.0% per annum (or 0.50% per month) of the Trust’s month-endassets after reduction of the management fee. The clearing brokers receive these brokerage fees irrespective of thenumber of trades executed on the Trust’s behalf.  The amount paid to the clearing broker isreduced by exchange fees paid by the Trust. The round-turn equivalent rate forcommissions paid by the Trust for the years ended December 31, 2005, 2004, and2003 was $27, $39, and $38 respectively.

Certainlarge investors are eligible for a “Special Brokerage Fee Rate” of 4.5% peryear.  As of September 30, 2006 therewere no such eligible investors in the Trust.

TheManaging Owner, and/or its affiliates, acts as the commodity brokers for theTrust through Lehman. As such, the Managing Owner and its affiliates receiveall commissions that are reflected as such in the financial statements.

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**(e)****          ForeignCurrency Transactions**

Tradingaccounts in foreign currency denominations are susceptible to both movements inthe 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, whileyear-end balances are translated at the year-end currency rates.  The impact of the translation is reflected inthe statements of operations.

**(f)****            Useof Estimates**

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

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

Assets held by the Fund at RCM are reported at fairvalue as determined in good faith by the Managing Owner after consideration ofall factors, data and information, including information from financialinstitutions with no affiliation to RCM, analysis of the current market whichhas developed to purchase RCM creditor claims, the current demand andwillingness of third parties to purchase RCM claims and financial informationreceived by the Managing Owner from RCM. The value assigned to this asset isbased upon available information and does not necessarily represent amountswhich might ultimately be realized. Furthermore, this value assumes that theManaging Owner would recommend selling these claims to a third party as opposedto holding RCM assets until the RCM estate makes a distribution to RCMcustomers and creditors which may or may not be the case. Because of theinherent uncertainty of valuation due to the inability to estimate recoverableRCM assets necessary to remit payment to customers and creditors as well as theuncertainty as the standing of the Fund vis-à-vis other customers/creditors,the estimated fair value could be significantly higher or lower than the fairvalue assigned by Management. Based upon this fair value methodology, theassets held by the Fund at RCM had a total value of $16,963,262 as of bothDecember 31, 2005 and September 30, 2006.

Anyfuture administrative and/or legal expenses associated with liquidation of theassets held at RCM have not been reflected as such future expenses are notdeterminable.

**(h)****         RecentPronouncememts**

InSeptember, 2006, the Financial Accounting Standards Board issued a Statement ofFinancial Accounting Standards (“SFAS”) No. 157, “Fair Value Measurments” whichdefined Fair Value Measurments. The provisions of SFAS No. 157 are effectivefor fiscal years beginning after November 15, 2007. The Trust is currentlyevaluating the impact of adopting SFAS No. 157 on its Financial Statements. Atthis time, the impact on the Trust’s Financial Statements has not beendetermined.

**(3)****                                 Fees**

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

Undersigned agreement JWH receives a monthly management fee at the rate of 0.167% (a2% annual rate) of the Trust’s month-end net assets calculated after deductionof a portion of the Brokerage Fee at an annual rate of 1.25% of the Trust’smonth-end net assets, but before reduction for any incentive fee or other costsand before inclusion of purchases and redemptions for the month.

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

**(4)           Income Taxes**

Noprovision for Federal income taxes has been made in the accompanying financialstatements as each beneficial owner is responsible for reporting income (loss)based on the pro rata share of the profits or losses of the Trust.  Generally, for both Federal and state taxpurposes, trusts, such as the Trust, are treated as partnerships.

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**(5)           Trading Activities and Related Risks**

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

Thepurchase and sale of futures requires margin deposits with a futures commissionmerchant (“FCM”).  Additional depositsmay be necessary for any loss on contract value.  The Commodity Exchange Act (“CEA”) requiresan FCM to segregate all customer transactions and assets from the FCM’sproprietary activities.  A customer’scash and other property, such as U.S. Treasury Bills, deposited with an FCM areconsidered commingled with all other customer funds subject to the FCM’ssegregation requirements.  In the eventof an FCM’s insolvency, recovery may be limited to a pro rata share ofsegregated funds available.  It ispossible that the recovered amount could be less than the total of cash andother property deposited.

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

Forderivatives, risks arise from changes in the market value of thecontracts.  Theoretically, the Trust isexposed to a market risk equal to the value of futures and forward contractspurchased and unlimited liability on such contracts sold short.

Nettrading results from derivatives for the periods ended September 30, 2006 and2005, are reflected in the statements of operations and equal gain from tradingless brokerage commissions.  Such tradingresults reflect the net gain or loss arising from the Trust’s speculativetrading of futures contracts and forward contracts.

Thenotional amounts of open contracts at September 30, 2006, as disclosed in theCondensed Schedule of Investments, do not represent the Trust’s risk of lossdue to market and credit risk, but rather represent the Trust’s extent ofinvolvement in derivatives at the date of the statement of financial condition.

Thebeneficial owners bear the risk of loss only to the extent of the market valueof their respective investments.

**(6)           Financial Highlights**

Thefollowing financial highlights show the Trust’s financial performance for thenine-month periods ended September 30, 2006 and 2005.  Total return is calculated as the change in atheoretical beneficial owner’s investment over the entire period and is notannualized.  Total return is calculatedbased on the aggregate return of the Trust taken as a whole.
|                                                   | ** ** | **2006** | ** ** | **2005** | ** ** |
|---------------------------------------------------|------------|----------|------------|----------|------------|
|                                              |       |     |       |     |       |
| Net Asset Value  per unit, at beginning of period |       | $        | 120.73     |     | $          | 148.54 |   |
| Loss per unit                                     |       | (13.23   | )          | (7.76    | )          |
| Net Asset Value  per unit, at end of period       |       | $        | 107.50     |     | $          | 140.78 |   |
|                                              |       |     |       |     |       |
| Total Return:                                     |       |     |       |     |       |
| Total return before incentive fee                 |       | -10.96   |       | -5.22    | %          |
| Less incentive fee allocation                     |       | 0.00     | %          | 0.00     | %          |
| Total Return:                                     |       | -10.96   | %          | -5.22    | %          |
|                                              |       |     |       |     |       |
| Ratios to  average net assets:                    |       |     |       |     |       |
| Net Income (Loss):                                |       | -12.05   | %          | -4.98    | %          |
|                                              |       |     |       |     |       |
| Expenses:                                         |       |     |       |     |       |
| Expenses less incentive fees                      |       | -6.26    | %          | -5.96    | %          |
| Incentive fees                                    |       | 0.00     | %          | 0.00     | %          |
| Total Expenses                                    |       | -6.26    | %          | -5.96    | %          |

 

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The net loss and expense ratios are computed basedupon the weighted average net assets for the Trust for the nine-month periodended September 30, 2006 and 2005. The amounts are not annualized.

**(7)           Subsequent Events**

OnOctober 12, 2006, RCMI, R.J. O’Brien & Associates, Inc. (“RJO”), and RJO’sacquisition subsidiary, R.J. O’Brien Fund Management, Inc. (“RJOFM”) enteredinto an Asset Purchase Agreement (the “Asset Purchase Agreement”) that providesfor, among other things, RJOFM to purchase RCMI’s managing owner interest inthe Trust. The Asset Purchase Agreement also provided for RCMI to commence aproceeding under Chapter 11 of the Bankruptcy Code and to obtain the BankruptcyCourt’s approval of the Asset Purchase Agreement and the transactions set forththerein.

RCMIfiled a voluntary petition (the “RCMI Bankruptcy Petition”) in the UnitedStates Bankruptcy Court for the Southern District of New York on October 16,2006, for relief under Chapter 11 of Title 11 of the United States Code.Contemporaneously with the filing of the RCMI Bankruptcy Petition, RCMI filed,a motion requesting that the Bankruptcy Court authorize RCMI to sell and assignsubstantially all of its assets, including its interest as managing owner ofthe Trust, pursuant to the terms of the Asset Purchase Agreement.  Pursuant to the terms of the Asset PurchaseAgreement, as of October 13, 2006, all clearing functions have been moved fromLehman to RJO.

OnOctober 12, 2006, the Trust Agreement was amended to allow for change ofManaging Owner and organization of the JWH Special Circumstance LLC.

OnNovember 30, 2006, RJOFM became Managing Owner through acquisition of 20,217Trading account units. The remaining 5,065 units owned by RCMI were transferredfrom Managing Owner units to Beneficial Owner units. RJOFM did not acquire anyunits in the Non-Trading account.

On December 29,2006 the Trust received a partial recovery from RCM in the amount of$10,319,317. Management elected to retain $983,275 of these proceeds for legaland administrative expenses and to distribute $9,336,042 as redemptions as ofDecember 31, 2006.  Unitholders who had previously redeemed units of theTrading account received cash in the amount of $4,179,705, as disclosed in Note(1). Unitholders who had not previously redeemed units of the Trading accountreceived 55,206 additional units of the Trading account in exchange for$5,154,711, their share of the total distribution of $9,336,042 referred toabove.

Effective January1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company,was established to pursue the claims against RCM. The LLC was funded with cashof $1,446,763 which represents the $983,275 referred to above plus $463,488,the cash remaining of $1,000,000 set up to pay collection costs as disclosed inNote (1).  Any funds obtained by the LLCwill be distributed to unitholders who were investors in the Trust at the timeof the bankruptcy of RCM and Refco, Inc.

On April 20, 2007,the LLC received a second partial recovery from RCM in the amount of$2,787,629.  Management believes that,after that recovery,  the remaining valueof $3,856,316 represents a fair estimate of the amount of remaining recoveriesthat may be received.

## **Item2.  Management’s Discussion and Analysisof Financial Condition and Results of Operations**

**(a)****          Capital Resources**

The Trust’s capital resources fluctuate based upon thepurchase and redemption of units and the gains and losses of the Trust’strading activities.  The amount of assetsinvested in the Trust generally does not affect its performance, as typicallythis amount is not a limiting factor on the positions acquired by JWH, and theTrust’s expenses are primarily charged as a fixed percentage of its asset base,however large.

TheTrust’s involvement in the futures and forward markets exposes the Trust toboth market risk – the risk arising from changes in the market value of thefutures and forward contracts held by the Trust – and credit risk – the riskthat another party to a contract will fail to perform its obligations accordingto the terms of the contract.  The Trustis exposed to a market risk equal to the value of the futures and forwardcontracts purchased and theoretically unlimited risk of loss on contracts soldshort.  JWH monitors the Trust’s tradingactivities and attempts to control the Trust’s exposure to market risk by,among other things, refining its trading strategies, adjusting position sizesof the Trust’s futures and forward contacts and re-allocating Trust assets todifferent market sectors.  The Trust’sprimary exposure to credit risk is its exposure to the non-performance of theForwards Currency Broker.  The ForwardsCurrency Broker generally enters into forward contracts with large,well-capitalized institutions and then enters into a back-to-back contract withthe Trust.  The Trust also may trade onexchanges that do not have associated clearinghouses whose credit supports the 

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obligationsof its members and operate as principals markets, in which case the Trust willbe exposed to the credit risk of the other party to such trades.

TheTrust’s trading activities involve varying degrees of off-balance sheet riskwhereby changes in the market values of the futures and forward contractsunderlying the financial instruments or the Trust’s satisfaction of theobligations may exceed the amount recognized in the statement of financialcondition of the Trust.

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

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

**(b)****          Liquidity**

TheTrust’s assets at September 30, 2006 are held in brokerage accounts with LehmanBrothers.  Such assets are used as marginto engage in trading and may be used as margin solely for the Trust’strading.  As mentioned above, on or aboutOctober 18, 2005, the Trust had transferred the majority of all assets toLehman.  Except in unusual circumstances,the Trust should be able to close out any or all of its open trading positionsand liquidate any or all of its holdings quickly and at market prices.  This should permit JWH to limit losses aswell as reduce market exposure on short notice should its programs indicatereducing market exposure.

TheTrust earns interest on 100% of the Trust’s average daily balances on depositwith Lehman during each month at 75% of the average 91-day Treasury bill ratefor that month in respect of deposits denominated in dollars or at theapplicable rates in respect of deposits denominated in currencies other thandollars (which may be zero in some cases). For the fiscal quarter ended September 30, 2006, the Trust had receivedor accrued to receive interest of $1,720,376. For the fiscal quarter ended September 30, 2005, the Trust had receivedor accrued to receive interest of $2,551,030.

MostUnited States commodity exchanges limit the amount of fluctuation in commodityfutures contract prices during a single trading day by regulations.  These regulations specify what are referredto as “daily price fluctuation limits” or “daily limits.”  The daily limits establish the maximum amountthe price of a futures contract may vary either up or down from the previousday’s settlement price at the end of a trading session.  Once the daily limit has been reached in aparticular commodity, no trades may be made at a price beyond the limit.  Positions in the commodity could then betaken or liquidated only if traders are willing to effect trades at or withinthe limit during the period for trading on such day.  Because the “daily limit” rule only governsprice movement for a particular trading day, it does not limit losses.  In the past, futures prices have moved thedaily limit for numerous consecutive trading days and thereby prevented promptliquidation of futures positions on one side of the market, subjectingcommodity futures traders holding such positions to substantial losses forthose days.

It isalso possible for an exchange or the CFTC to suspend trading in a particularcontract, order immediate settlement of a particular contract, or direct thattrading in a particular contract be for liquidation only.

Thereare no known material trends, demands, commitments, events or uncertainties atthe present time that are reasonably likely to result in the Trust’s liquidityincreasing or decreasing in any material way.

**(c)****          Results of Operations**

TheTrust’s success depends on JWH’s ability to recognize and capitalize on majorprice movements and other profit opportunities in different sectors of theworld economy.  Because of thespeculative nature of its trading, operational or economic trends have littlerelevance to the Trust’s results, and its past performance is not necessarilyindicative of its future results.  TheManaging Owner believes, however, that there are certain market conditions —for example, markets with major price movements — in which the Trust has abetter opportunity of being profitable than in others.

JWH’sprograms do not predict price movements. No fundamental economic supply or demand analysis is used in attemptingto identify mispricings in the market, and no macroeconomic assessments of therelative strengths of different national economies or economic sectors ismade.  Instead, the programs applyproprietary computer models to analyze past market data, and from this dataalone attempt to determine whether market prices are trending.  Technical traders such as JWH base theirstrategies on the theory that market prices reflect the collective judgment ofnumerous different traders and are, accordingly, the best and most efficientindication of market movements.  However,there are frequent periods during which fundamental factors external to themarket dominate prices.

If JWH’smodels identify a trend, they signal positions which follow it.  When these models identify the trend ashaving ended or reversed, these positions are either closed out or reversed.  Due to their trend-following character, JWH’sprograms do not predict 

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eitherthe commencement or the end of a price movement.  Rather, their objective is to identify atrend early enough to profit from it and to detect its end or reversal in timeto close out the Trust’s positions while retaining most of the profits madefrom following the trend.

Theperformance summaries set forth below outline certain major price trends whichJWH’s programs have identified for the Trust during the first three quarters offiscal years 2006 and 2005.  The factthat certain trends were captured does not imply that others, perhaps largerand potentially more profitable trends, were not missed or that JWH will beable to capture similar trends in the future. Moreover, the fact that the programs were profitable in certain marketsectors in the past does not mean that they will be so in the future.

Theperformance summaries are an outline description of how the Trust performed inthe past, not necessarily any indication of how it will perform in thefuture.  Furthermore, the general causesto which certain trends are attributed may or may not in fact have caused suchtrends, as opposed to simply having occurred at about the same time.  While there can be no assurance that JWH willbe profitable even in trending markets, markets in which substantial andsustained price movements occur offer the best profit potential for the Trust.

**Fiscal Quarter ended September 30, 2006**

The Trustrecorded net gain of $191,766 or $0.37 per unit in the third quarter of 2006***(*** Please see “Notes to Financial Statements”in Part I – Item 1 forexplanation of Net Asset Value/unit pursuant to events of October, 2005). As ofSeptember 30, 2006, the Trust had gained 7.50% since its inception inJune 1997.

On September 30, 2006, JWH was managing 100% of the Trust’sassets.  The Trust assets were allocatedas follows:  JWH GlobalAnalyticsÒFamily of Programs (30%), Financial and Metals Portfolio (30%), InternationalForeign Exchange Program (20%), and Global Diversified Program (20%).

The Trust’s performance was negative for the month of July. Five out ofsix sectors traded were negative, with the currency and interest rate sectorsresponsible for the majority of the Trust’s losses. Geopolitical events,extreme weather conditions, and speculation over U.S. interest rate policycaused spikes in volatility within all sectors. The currency sector was theTrust’s worst performing sector as fighting between Israel and Hezbollah causeda sharp reversal in the weakening U.S. dollar trend.  The dollar rallied from July 13th to July 19th as fightingescalated, sending the currency 1.3% higher against the yen and up 0.8% versusthe euro. Most of the gains disappeared after Federal Reserve Chairman Bernankestated that “moderation” in the economy was under way.  The U.S. dollar was unable to sustain itsstrength as the GDP report signaled slower economic growth, reducing the chancethat the Federal Reserve would raise interest rates at its August 8th meeting. The largest gain occurred in Britishpound/Japanese yen cross, as the British pound touched a two-month high on July27th. Thelargest loss occurred in the Japanese yen. The interest rate sector was alsonegative for the month as speculation of a slowing U.S. economy and the crisisin the Middle East attracted investors to the perceived safety in fixed-incomemarkets. The benchmark 10-year Japanese government bond along with theEurodollar (three-month) futures were the worst performers in the sector as theslowing U.S. economy spurred speculation that the Federal Reserve will stopraising interest rates. The Bank of Japan (BOJ) raised the rate between lenders25 basis points on July 14th,ending a five-year policy of keeping borrowing costs near zero percent.  The largest gain in this sector was in theAustralian three-year bond. The agriculture sector was also negative for themonth.  London sugar led theunderperformance on speculation of slowing demand.  London sugar prices have climbed 52% over thepast year partly on the theory that Brazil, the world’s biggest sugar producer,would divert more of its harvest to making ethanol.  However, London sugar fell 6% during themonth, due to slowing demand in Russia and increased output from India. Cornand soybeans also hurt performance as price volatility caused by fluctuatingweather conditions in the U.S. Midwest threatened crop yields.  Also contributing to corn price volatilitywas a U.S. Department of Agriculture report that indicated that about 59% ofthe corn crop was in good or excellent condition, which was the lowestpercentage of the year.  The largest gainin this sector occurred in soy meal. Performance in the energy sector wasnegative for the month as geopolitical events and record-breaking heat waves inthe U.S. caused volatility throughout the entire sector.  Natural gas was the sectors worst performeras it rallied to its biggest gain this year. Natural gas for September deliveryrose $1.001, or up 14%, to $8.185 per million British thermal units on July 31st.  Natural gas hadn’t surpassed $8 since April24th and it then surged over 44% between July 18th and July 31st. London gas oil also hurt performance as prices rose on the back of therally in natural gas. The metals sector was negative for the month as increasedvolatility in gold hurt performance. Gold jumped to a two-month high of $676.53on July 17th and has since fallen 6%.  Gold’s volatility, or the rate at which aprice moves up and down, was 27% in the past 30 days, compared with 10% a yearearlier. Gold was up 5% in July after dropping 5.1% in June.  The largest gain in this sector was in LMEaluminum as prices have declined 24% from its May peak. The indices sector wasslightly positive for the month as the Nasdaq fell about 3.7%.  The majority of world equity markets weretrendless for the month as speculation continued over the Federal Reserve’snext move.  The S&P 500 and the DowJones Industrial Average were up slightly for the month, while the Nikkei lost0.3% in July. The largest gain in the sector was the Nasdaq E-Mini, while thelargest loss occurred in All Ordinaries index. The Trust recorded a tradingloss of 8.12% for the month. The July month-end trading NAV was $91.47.

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The Trust’s performance was positive in August as four out of sixsectors traded were profitable for the month. The fixed-income sector led the gains followed by the currency sector.U.S., Japanese, and European bond markets trended higher on signs thatinflationary pressures are receding. The Japanese yen weakened against the U.S.dollar and euro on speculation that Japan’s central bank wouldn’t raiseinterest rates again this year.  TheTrust’s performance was further enhanced by more modest gains in the metals andagriculture sectors, while the Trust suffered small loses in the indices andenergy sectors. The fixed-income sector was the Trust’s strongest performer asJapanese government bonds (JGBs), German Bunds, and the U.S. benchmark 10-yearbond all rallied for the month.  JGByields fell to their lowest level since March on speculation that the Bank ofJapan (BOJ) would keep interest rates at their current level for the remainderof the year.  Bunds yields also hit theirlowest levels since March. The rally was due to European Central Bank (ECB)signaling that it may be ready to raise interest rates again at its meeting onOctober 5th.Investors were optimistic that the ECB’s policy on interest rates willsuccessfully restrain inflation.  U.S.Treasuries extended their second straight monthly advance.  Bonds were supported by the Federal Reserve’sdecision to keep the benchmark U.S. interest rate at 5.25 percent. The sector’sworst performer was the Australian three-year bond. The currency sector was asolid performer for the month, as the Japanese yen fell against the U.S. dollarand euro on speculation that the BOJ would keep interest rates at their currentlevel. The yen has been the worst performer among major currencies since June,while the Australian dollar, euro, and U.S. dollar have gained 5.7%, 2.7% and2.3%, respectively, against the yen.  OnAugust 11th, BOJfurther weakened the yen by indicating borrowing costs would stay at very lowlevels for some time, while ECB president Trichet signaled another rate hike atits next meeting in October.  Alsohelping performance was the British pound/Japanese yen cross. The largest lossoccurred in the South African rand.  Themetals sector was also profitable for the month led by December silver futuresreaching their highest price since May 30th.  The preciousmetal has gained 90% in the past year. Silver’s rally is due to increased demand throughout the world, andexpectations of continued economic expansion in developing nations. The onlyloss occurred in gold as geopolitical tension in the Middle East kept the metalvulnerable to price fluctuations. The agriculture sector was also positive forthe Trust for the month led by gains made in London and New York sugar.  Sugar prices in London have dropped almost25% in the past three months after rising to a record $497 a metric ton on May12th.  The sector was hindered by losses in CBOTwheat. The indices sector was slightly negative for the month as global equitymarkets reversed the recent losing trend and rallied on decreased fears ofinflation.  For the month, the S&P500 rose 2.4%, the biggest gain since January, the Dow advanced 1.8% and theNasdaq jumped 4.4%, the first increase since March.  The largest gain in this sector was in theEurostoxx 50 as the ECB signaled it may increase borrowing costs, curbinginflation expectations. The largest loss occurred in the Nasdaq E-Mini. Theenergy sector was the Trust’s worst performing sector. Natural gas soared onAugust 2nd on concerns that Tropical Storm Chris couldstrengthen and track towards the Gulf of Mexico. However by August 31st, natural gas closed at asix-week low as the storm became a non-event. Further hindering the sector’sprofitability was crude oil, which traded near a three-week high in earlyAugust and then reversed. The Trust recorded a trading gain of 8.81% for themonth. The August month-end trading NAV was $99.53.

The Trust’s performance was positive for the month of September.Although four out of the six sectors traded by the Fund were negative, thegains made in the energy and fixed-income sectors offset the other sectorlosses. The energy sector was the Trust’s strongest performer. Natural gas andcrude oil prices tumbled as mild weather cut demand and inventories climbedtoward an all-time high. Natural gas futures for October delivery saw afour-year low of $4.05 amid concerns that storage capacity will reach itslimit. The Energy Department’s gas-storage report of September 23rd showed U.S. natural gas inventories rose 77billion cubic feet for the weekwithwinter reserves reported to be 354 billion cubic feet above the five-yearaverage.  Crude oil prices have fallenover 20% since touching a record high $78.40 a barrel on July 14th asfuel stockpiles increased and tensions in the Middle East eased. The largestgain was in natural gas. Performance in the interest rate sector was alsopositive for the month as U.S. Treasuries had their biggest quarterly gain in 4years and European 10-year bonds posted their first quarterly gain since June2005.  The U.S. 10-year yield touched aseven-month low of 4.53% on September 25th.  Speculationincreased that the cumulative effects of 17 rate increases since June 2004would likely slow the economy and curb inflation.  European 10-year government bonds (Bunds) wasthe sector’s best performer. The underperforming U.K. 10-year benchmark note(Long gilt) was caused by uncertainty as to whether the Bank of England wouldraise interest rates again this year. The currency sector was the worstperforming sector for the month for the Trust with speculation regarding thehealth of the U.S. economy global inflation. The dollar fluctuated as economic data kept the market guessing on theFederal Reserve’s next move.  ThePhiladelphia Federal Reserve surprised investors by announcing that itsbroadest measure of manufacturing activity fell to its first negative readingsince April 2003, triggering fears that the economy could be cooling tooquickly. The sector’s worst performing components were the British pound andSwiss Franc. The sector’s best performer was the Norwegian krone. Performancein the metals sector was negative for the month. Base and precious metalssuffered with commodities’ biggest quarterly decline in more than 50years.  The Commodity Research Bureauindex ended the third quarter down 12%. Gold and silver prices fell as lowerenergy prices and a stronger dollar eroded the appeal of the precious metals.The largest loss occurred in silver. The stock indices sector was also negativefor the month. European stocks rallied, ending the quarter close to a five-yearhigh in a record year of mergers and acquisitions.  Fears of slower U.S. and Japanese economicgrowth kept the Nikkei (Osaka) lower for most of the month. Fears subsided andthe Nikkei rallied on signs of economic growth in Japan. Japan’s index ofproduction rose 1.9% to a record 106.9. The EuroStoxx 50 was the sector’s bestperformer. The agriculture sector was negative for the month as losses in CBOTwheat offset gains in cotton and N.Y. sugar. Sugar prices plunged on speculation that demand would fall as lowerenergy costs would erode the value of ethanol. Also contributing to the decline in sugar was a mild hurricane seasonwhich helped crops in the largest U.S. sugar-growing states. Cotton prices alsofell on speculation that an attempted coup in Thailand would reduce importsfrom the United States. The Trust recorded a trading loss of 0.49% for themonth. The September month-end trading NAV was $100.02.

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During the quarter no unitswere sold. Beneficial owners redeemed a total of 103,400 units during thequarter. The Managing Owner redeemed a total of 0 units during the quarter. Atthe end of the quarter there were 1,357,676 units outstanding owned by theBeneficial Owners and 24,017 units outstanding owned by the Managing Owner.

During the fiscal quarterending September 30, 2006, the Trust had no material credit exposure to acounterparty, which is a foreign commodity exchange, or to any counterpartiesdealing in over-the-counter contracts.

**Fiscal Quarter ended September 30, 2005**

The Trust recorded net income of $4,277,362 or $1.87 per unit in thethird quarter of 2005. As of September 30, 2005, the Trust had gained 40.78%since its inception in June 1997.

On September 30, 2005, JWH was managing 100% of the Trust’s assets.Prior to August 1, 2005 the Trust assets were allocated as follows: JWHGlobalAnalytics® Family of Programs (30%), Financial and Metals Portfolio(40%), and G-7 Currency Portfolio (30%). As of August 1, 2005 the Trusts assetsare allocated as follows: JWH GlobalAnalytics® Family of Programs (30%),Financial and Metals Portfolio (30%), International Foreign Exchange Program(20%), and Global Financial and Energy Program (20%).

Performance was negative for the month of July. The Trust’s systematictrading approach enabled it to limit losses caused by volatile marketconditions that resulted from terror attacks in London and a surprisedevaluation of the Chinese yuan.  Losses in the interest rate, metals, andagricultural sectors limited the Fund’s overall returns. The currency, energyand indices sectors were positive for the month. The fixed income sector wasunprofitable for the month, as stronger-than-expected economic growth in theU.S., Europe and Japan caused a sell off in global bond markets.  As aresult, yields on the U.S. 10 year note and the Japanese government bond rosefor the month.  German 10-year Bunds, Europe’s benchmark, fell as variousEuropean economic government reports beat expectations. The only gain in thissector was the eurodollar (three-month), while the largest loss occurred in theJapanese government bond. Currencies were the Trust’s strongest performers forthe month in the face of extremely volatile markets.  The violent pricemoves were a reaction to China ending its long-standing policy of pegging itscurrency to the U.S. dollar.  The Trust profited in this sector as thedollar continued to benefit from the growing yield advantage against theJapanese yen and Swiss franc. Weakness in the British pound also contributed toperformance.  The pound’s weakness against the dollar helped performanceand its decline against the euro was the sector’s worst-performing position.The largest gain in this sector was achieved in the Japanese yen. Performancein indices was positive during the month. The rally in the global equitymarkets contributed profits to the Trust’s performance. Stocks rose ascompanies posted better-than-expected earnings while economic reports showedtame inflation and growth in retail sales.  The Nikkei (Osaka) was thesector’s top performer, as the index rose 2.7 percent for the month. The energysector was profitable during the month, with positive returns in almost everymarket traded within the sector.  Natural gas and crude oil had the mostsignificant impact, as crude oil futures surpassed $62/barrel. The Trust’sperformance in the agriculture sector was slightly negative during the month.The sector’s best performer was NY coffee and the largest loss occurred incotton. The metals sector was unprofitable for the month. Gold prices fell fromrecent highs as the U.S. dollar strengthened.  The largest gain in thissector was achieved in LME copper, while the largest loss occurred in gold. TheTrust recorded a loss of -1.58% for the month.  The July month-end NAV was$136.71.

The Trust’s performance was positive for the month of August. Theenergy sector was the Trust’s best performer, along with smaller gains achievedin both the indices and agricultural sectors. The impact of Hurricane Katrinaresulted in losses in the fixed income, currency and metals sectors. The energysector was the Trust’s strongest performer for the month, with positive returnsin every market traded within the sector. Natural gas, London gas oil and crudeoil made the greatest contribution to overall performance. Energies rose asfears mounted and were then confirmed about the possibility of HurricaneKatrina paralyzing U.S. oil output, refining and imports along the coast of theGulf of Mexico. Performance in the agriculture sector was positive on the monthas trading in N.Y coffee, London sugar and CBOT wheat helped bolster returnswithin the sector.  Gains were limited however as N.Y. coffee futures roseafter flooding caused by Hurricane Katrina put bean inventories at risk in NewOrleans. Performance in the indices sector was positive during the month as theNikkei (Osaka) rose to a four-year high on signs that the world’s secondlargest economy grew for the third straight quarter. The Nikkei gained 4.3% forthe month. On the fear the Hurricane Katrina may slow global economic growth,the Nasdaq E-mini and the Eurostoxx 50 fell almost 2% and 1.7% respectivelyduring the month. The currency sector was the Trust’s most unprofitable sectorfor the month as the U.S. dollar fell 1.8% against the euro and 1.7% againstthe yen. The dollar’s weakness was a result of speculation that the record highoil prices would slow U.S. economic growth. The Japanese yen was the sectorsworst performer as weakness in the dollar was further compounded by strength inthe yen. The largest gains in this sector were in the South African rand andthe euro dollar/South African rand cross. The fixed income sector wasunprofitable for the month, as Hurricane Katrina sparked an unexpected rally inglobal bond markets. Global bond markets rallied as it became apparent thatHurricane Katrina would cause widespread damage to the U.S. gulf coast regionand its industries. High energy prices caused the German 10-year Bund yield,the Japanese 10-year bond yield, and the U.S. 10-year note yield to fall totheir lowest levels in months. All components in this sector were either flator negative for the month. The metals sector was unprofitable for the month.The cumulative effects of violent price action in the currencies and fixedincome markets, along with the market impact of Hurricane Katrina, led gold tobe the worst performer in the sector.  Positive performance in silver andLME copper helped to limit the losses within the sector. The Trust recorded again of 2.36% for the month.  The August month-end NAV was $139.94.

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The Trust’s performance was slightly positive for the month ofSeptember. The indices, energy and metal sectors led performance along withmore moderate gains in agriculture. Energies benefited from record high naturalgas prices that occurred as a result of Hurricane Katrina and the threat ofHurricane Rita, while metals profited from higher trending prices in gold. Thestorms induced volatility and triggered fears over increasing global inflation,which resulted in losses for both the interest rate and currency sectors. Theindices sector was the Trust’s strongest performer for the month. The Nikkei225 (Osaka) once again rose (9.35%), a new four-year high, on signs that theworld’s second largest economy continued to grow. The sector’s gains werelimited as the majority of global equity markets were subjugated by extremevolatility in the wake of the two U.S. hurricanes. The only loss occurred inthe Nasdaq E-Mini. The energy sector was the Trust’s other solid performer asnatural gas prices soared to record highs as a result of Hurricanes Katrina andRita striking the gulf coast this month and last. Crude oil limited the sector’sprofitability as prices fell after the International Energy Agency said itexpected to deliver at least 35 million barrels of oil and refined products tothe U.S. by the end of October to help offset the lost production from rigs andrefineries effected by the two recent hurricanes. The metals sector wasprofitable for the month as gold reached a 17-year high amid concerns aboutrising consumer prices and energy costs. Gold gained 7.8% for the month andprices climbed 8.1% for the quarter, the most in two years. However, thecombined negative performance of silver and LME aluminum limited the gainswithin the sector. Performance in the agriculture sector was slightly positivefor the month as trading in N.Y coffee and sugar, along with CBOT corn andsoybeans helped bolster returns. The sector’s gains were limited however bylosses in CBOT cotton and wheat. The largest gain in this sector was achievedin N.Y. coffee, while the largest loss occurred in CBOT wheat. The fixed incomesector was the Trust’s most unprofitable sector for the month as volatilitycaused by the hurricanes took its toll. Global fixed income markets allsuffered losses after having rallied in the wake of Hurricane Katrina. Thelargest gain in this sector was achieved in the Japanese government bond, whilethe largest loss occurred in the U.S. 30-year bond. The currency sector wasalso unprofitable for the month as the U.S. dollar rallied on the renewedspeculation of rising U.S. interest rates. While the Trust’s performancesuffered as the dollar rallied against the euro, Swiss franc and British pound,it was able to limit the losses with the dollar’s performance against theJapanese yen. The Trust recorded a gain of 0.60% for the month.  TheSeptember month-end NAV was $140.78.

During the quarter there were 66,316.40 units sold to the beneficialowners for an investment of $9,224,122.04 and 722.86 units sold to managingowner for an investment of $99,838.31. Beneficial owners redeemed a total of97,638.56 units during the quarter. The Managing Owner redeemed a total of459.37 units during the quarter. At the end of the quarter there were 2,249,071.73units outstanding owned by the Beneficial Owners and 24,216.86 unitsoutstanding owned by the Managing Owner.

During the fiscal quarter ending September 30, 2005, the Trust had nomaterial credit exposure to a counterparty, which is a foreign commodityexchange, or to any counterparties dealing in over the counter contracts.

**Fiscal Quarter ended June 30, 2006**

The Trustrecorded net loss of $3,022,805 or $2.78 per unit in the second quarter of 2006***(*** Please see “Notes to Financial Statements” inPart I – Item 1 for explanationof Net Asset Value/unit pursuant to events of October, 2005). As of June 30,2006, the Trust had gained 7.13% since its inception in June 1997.

On June 30, 2006, JWH was managing 100% of the Trust’sassets.  The Trust assets were allocatedas follows:  JWH GlobalAnalyticsÒFamily of Programs (30%), Financial and Metals Portfolio (30%), InternationalForeign Exchange Program (20%), and Global Financial and Energy Program (20%).However, John W. Henry & Company, Inc., the advisor to the Trust, hasdecided to stop offering its two-phase systems to clients in their presentforms. Therefore, after consultation with the Managing Owner, effective July 1,the program allocations within the Trust changed. The Trust’s previous 20% allocationto Global Financial and Energy program will be replaced with the GlobalDiversified program. All other program allocations remain the same: 30%GlobalAnalytics, 30% Financial and Metals, 20% International Foreign Exchange.

The Trust’s performance was positive for the month ofApril. The metals sector had strong gains in both precious and base metals. Theinterest rate and currency sectors also added to performance with higher globalinterest rates and a weakening U.S. dollar. The energy sector had modest gainswhile volatility hampered performance in the agriculture and indices. Themetals sector was positive with all components being profitable for themonth.  Gold climbed above $650 per ouncefor the first time in 25years.  Theescalating dispute with Iran, combined with a falling U.S. dollar, helped topush the precious metal higher during the month. Silver added to performance,rallying on speculation that investor demand will grow with a new offering ofan exchange-traded silver-backed fund. Gains were achieved in LME copper rally fed by speculation thatdisruptions at mines would curb supplies. Further gains were achieved as LME aluminum reached a 17-year high inLondon as growing demand in the U.S. and China drove prices higher. Thefixed-income sector was the Trust’s strongest performing sector as European,Japanese and U.S. fixed income markets sold off.  The largest gain in the sector was in theGerman benchmark 10-year Bund, touching a 4% yield for the first time sinceOctober ‘04 on speculation that the European Central Bank will raise its keyrates this year. The Japanese 10-year bond (JGB) also added to the sector’sperformance as it fell for a fifth month on concerns that the Bank of Japanwill also raise interest rates this year. The 10-year gilt (UK) fell for thefourth consecutive month pushing yields to a one-year high of 4.71%.  The only loss in this sector came from theeuro-yen. The currency sector was positive on the month as the U.S. dollar fellon expectations of narrowing interest rate differentials. Federal ReserveChairman Ben Bernanke said in testimony to Congress that the central bank maystop raising rates “at some point,”

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ending an almost a two-year cycle of rate increases.  Meanwhile, speculation was increasing thatthe Bank of Japan, the Swiss National Bank and the European Central Bank wouldall raise rates.  The dollar extended itslosses even further after the University of Michigan said its index of consumersentiment decreased from 88.9 to 87.4. The dollar fell 4.1 percent against the euro (largest gain in thissector), the biggest monthly decline since December 2003, and the British poundgained against the dollar for a fourth week, its longest winning streak in ayear.  Hindering performance was thestrength of the yen which rallied after the G-7 called for faster currencyappreciation in Asia and after China unexpectedly lifted its key interest ratefor the first time since October 2004. The largest loss was in the Australian dollar. Performance in the energysector was also positive during the month. Concerns that UN-imposed sanctionscould lead Iran to cut shipments, drove the June crude oil contract to a newhigh of $75.35 a barrel. Increased geopolitical uncertainty drove all petroleumbased products higher as Brent crude oil for June settlement reached a new highof $74.79 a barrel.  Mild weather in theU.S., however, hindered performance as natural gas fell 20% and approached anine-month low as demand slowed. The indices sector was slightly negative forthe month as increased geopolitical instability in the global stock markets, aswell as a volatile interest rate environment hindered performance. Asian stocksdropped from a 16-year high during the month after China unexpectedly raisedits key lending rate. The rate rise sent shares of mining companies andcommodity producers lower on speculation that increased borrowing costs couldcurb demand for raw materials in the world’s fastest growing economy. Thelargest gain in this sector was the All Ordinaries index while the largest lossoccurred in Eurostoxx 50. The agriculture sector was the Trust’s worstperforming sector, but was only slightly negative for the month. Cotton fell toits lowest close since December 2. The gains in cotton however were not enoughto offset the losses in the rest of the sector dominated by choppy priceaction. The largest loss occurred in N.Y. coffee.  The Trust recorded a trading gain of 10.68%for the month. The April month-endtrading NAV was $113.17.

The Trust’s performance was negative in May as the interest rate,metals, agriculture and stock indices sectors saw broad market corrections inthe second half of the month. Increased inflationary fears and concerns overthe global economy led investors to take profits and reduce risk exposure.  A major catalyst for the reversal was thenews that the Federal Reserve on May 10th signaled that “further policy firming may yetbe needed” instead of signaling a possible “pause.” This unexpectedannouncement caused the equity markets to fall in response. The currency sectorwas positive for the month despite extreme volatility. The U.S. dollar lost 1.4% against the euro and 1.1 % against the Japanese yen as investors expectedcentral banks in Europe and Japan to raise interest rates at a quicker pacethan the Federal Reserve.  For the year,the U.S. dollar has fallen 7.5 % against the euro and 4.4 % against theyen.  The largest gain in the sector wasthe British pound, which posted its first back-to-back monthly gain against theU.S. dollar since the end of 2004. The euro/Japanese yen cross has the largestloss. The fixed income sector was the Trust’s worst performing sector asuncertain inflationary prospects and global growth led to increasedvolatility.  The worst performer in thesector was the 10-year Japanese government bonds (JGBs), which ended itslongest losing streak since 1990 with flight-to-quality moves from the Japanesestock and commodity markets.  JGBs hadrisen to 2.005% on May 10th, thehighest rate since August 1999. The largest gains in this sector were in theU.S. 10-year note and the 3-month eurodollar. Performance in the energy sectorwas also negative for the month as petroleum products retreated from record ornear record highs during the month. Brent crude oil for July settlement touched a contract high of $74.97 abarrel on May 2nd and May 3rd as attacks inNigeria and tensions with Iran kept crude related products from suffering thesevere intra month reversals that plagued the majority of the other sectors.The largest gain in the sector was natural gas which closed the month at itshighest price in almost three weeks in New York. The largest loss was crudeoil. The metal sector was also negative for the Trust for the month as preciousand base metals fell from record highs set earlier in the month.  With Investor profit taking, a strengtheningof the U.S. Dollar, lower energy prices and the U.S. joining nuclear talks withIran and the EU, gold fell 12% after reaching a 26-year high of $732 an ounceon May 12th.  Aluminum rose on the London Metal Exchange(LME), due to speculation that a fifth of the Alcoa Inc.’s U.S. workers may goon strike. LME copper was the best performer in this sector as its futuresreached a record high on May 12th of $8600. The largest loss in this sectoroccurred in silver as concerns that rising global interest rates may curbdemand in India and China. Indices also underperformed for the month driven bythe Federal Reserve’s uncertainty about inflation, and the lackluster U.S.consumer confidence report.  The DowJones Industrial Average closed on May 9th within 84 pointsof a new record high.  However, globalequity markets began to fall after the Federal Reserve meeting on May 10th, when it became apparent anadditional rate hike was still a possibility in June.  As a result, U.S. stocks ended May with theirworst monthly decline in almost two years. The Dow Jones Industrial Average lost 1.7 percent during the month,while the Nasdaq fell 6.2 percent. The only gain in this sector was in theNasdaq E-Mini. The largest loss occurred in the Nikkei (Osaka). The agriculturesector was also slightly negative for the Trust for the month as London and NewYork sugar hindered performance.  Sugar,whose demand has increased on its ability to be made into ethanol, fell asenergy prices dropped during the month. Contributing to sugar’s fall in London was speculation that the EuropeanUnion will increase exports, and that Brazilian sugar exporters will accelerateshipments as the nation’s currency weakens. The largest gain in this sector was in New York coffee. The Trustrecorded a trading loss of 1.15% for the month. The May month-end trading NAV was $111.87.

The Trust’s performance was negative for the month of June. All sixsectors were negative with the currency and interest rate sectors beingresponsible for the majority of the Trust’s losses. These sectors sawtrend-reversing markets caused by anticipated, but unrealized, fears that theFederal Reserve would raise rates at its June 29th meeting and reinforce expectations for furtherrate increases. Currencies were the Trust’s worst performing sector as the U.S.dollar strengthened against most major currencies.  Stronger than expected June core ConsumerPrice Index (CPI) coupled with statements from Federal Reserve ChairmanBernanke, led to speculation that the Federal Reserve might raise rates 50basis points.  The Federal Reserve raisedrates 25 basis points and suggested it may be nearing the end of its two-yearcycle of rate increases.  As a result,the dollar reversed and weakened during the

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last two days of the month: 5.3 % lower vs. the euro and 2.8% vs. theyen - the greatest percentage decrease since the last quarter of 2004.  The largest loss occurred in the Japaneseyen, while the largest gain was achieved in the South African rand. Theinterest rate sector was unprofitable for the month led by declines in the U.S.10-year and 30-year Treasury Bonds and German 10-year government bonds(Bunds).  Treasuries began the monthstrengthening only to sell-off after the core CPI came in higher than expected.This data, along with Federal Reserve Chairman Bernanke’s comments, putpressure on the entire U.S. fixed income market. Bonds rebounded the last twodays of the month after the Federal Reserve raised rates only 25 basispoints.  The gains marked the Treasuries’second straight quarterly loss and worst yearly start since 1999.  On June 8th, the European Central Bank (ECB) raisedits benchmark interest rate to 2.75 percent for its third hike in six months,and other ECB council members signaled that the ECB was ready to increase ratesfurther. The largest gain occurred in eurodollar (three-month), while thelargest loss occurred in the U.S. 30-year bond. The metals sector was alsonegative for the month as both base and precious metals continued to retreatfrom May highs.  With a stronger dollar,gold fell to a three month low of $542.45/ounce, only to surge again the last 2days of the month. Gold is still up 18% for the year. All components of thissector were negative with the largest loss coming from gold. The agriculturesector also underperformed during the month as weather conditions had severe affectson various crops worldwide. Wheat, which was the sector’s worst performer, fellto a five-week low in the middle of June. Corn and soybeans also hinderedperformance as prices fell due to Midwest rains. The only gain in this sectorwas N.Y. coffee. Indices were slightly negative for the month again asspeculation over the Federal Reserve meeting caused severe marketfluctuations.  Most of the world’s equitymarkets suffered losses during the first three weeks of the month. Speculationthat the actions of the Federal Reserve would hurt economic growth and 16central banks raising interest rates during the month fueled the losses.  As it became evident that the Federal Reservewas actually closer to ending its rate-hiking cycle, world equity markets rallied.The largest gain was in the Nasdaq E-Mini, while the largest loss occurred inEurostoxx 50. The energy sector was also slightly negative for the month due tochoppy market conditions. Weakness in the markets at the beginning of the monthwas replaced by strength due to renewed tensions in the Middle East andspeculation that gasoline consumption will jump during the 4th ofJuly holiday weekend.  Crude oil futuresfor August delivery touched $74.10 on the NYMEX, after falling to a low of$68.75 during the month. The largest gain in this sector was in natural gas.The largest loss was in crude oil. The Trust recorded a trading loss of 11.01%for the month. The June month-endtrading NAV was $99.55.

During the quarter no units were sold. Beneficial owners redeemed atotal of 142,826 units during the quarter. The Managing Owner redeemed a totalof 0 units during the quarter. At the end of the quarter there were 1,461,076units outstanding owned by the Beneficial Owners and 24,017 units outstandingowned by the Managing Owner.

During the fiscal quarter ending June 30, 2006, the Trust had nomaterial credit exposure to a counterparty, which is a foreign commodityexchange, or to any counterparties dealing in over the counter contracts. 

## **Fiscal Quarter ended June 30, 2005**

The Trust recorded a net income of $26,882,007 or $11.48 per unit inthe first quarter of 2005. As of June 30, 2005, the Trust had gained 38.91%since its inception in June 1997. 

On June 30, 2005, JWH was managing 100% of the Trust's assets. Approximately30% of the assets were allocated to each of the JWH GlobalAnalytics® Family ofPrograms and the G-7 Currency Portfolio. Approximately 40% of the Trust'sassets were allocated to JWH's Financial and Metals Portfolio. 

The Trust's overall performance was negative for the month of April.The Trust's underperformance was driven by the Federal Reserve changing itsview on inflationary pressures. After higher energy prices showed a pickup inthe U.S. inflation rate in March, new economic data released in April showingthat inflationary pressures may not be as strong as previously thought forcedthe Federal Reserve to change its view. The fixed income sector posted positivereturns during the month. The majority of the sector's gains came from the strengthin Germany's and Japan's fixed-income markets. The yield on the Germanbenchmark 10-year bond held near a record low after an industry survey showedmanufacturing in Europe contracted. Japanese government bond yields held near14-month lows on expectations that slowing economic growth in the U.S. willspread to Asia because of waning demand for the region's exports. The largestgain in this sector was achieved in the Japanese government bond, while thelargest loss occurred in the eurodollar. The stock indices sector was slightlypositive for the month as the world's equity markets traded lower. The Trustwas able to profit from the decline in the Nasdaq E-Mini, but the profits wereheld back by the combined losses suffered in the Eurostoxx and Nikkei. Thecurrency sector was the most unprofitable sector during April for the Trust dueto the strength of both the Japanese yen and the Canadian dollar / Japanese yencross. Adding to the underperformance was the fact that the Swiss franc ralliedas the Swiss government left its growth forecast for 2005 unchanged. Thelargest gain in this sector was achieved in the euro/British pound cross, whilethe largest loss occurred in the Japanese yen. The energy sector alsocontributed to the Trust's underperformance during the month. Energies, whichhad been trending higher, experienced a sudden turnaround as supplies increasedand OPEC boosted output. The sector came under additional pressure amidspeculation over slowing economic growth in the U.S., Europe and Japan due tohigh energy prices. All components of this sector were negative with thelargest loss coming from London gas oil. The metals sector was unprofitable forthe month. LME aluminum and LME copper had the largest losses within thesector, while gold and silver also added to the sector's losses ascurrency-related volatility plagued the precious metal markets. All componentsof this sector were negative. The Trust was unprofitable in the agriculturesector for the month as a result of the instability of the NY coffee market.The largest gain in this sector was achieved in cotton, while the largest lossoccurred in NY coffee. Overall, the Trust recorded a loss of (6.40)% for themonth. 

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The Trust's performance was positive for the month of May. The currencyand fixed-income sectors led profitability with robust gains that were morethan enough to offset lackluster returns in the other sectors. The currencysector was the Trust's strongest performer for the month, as the euro fell to aseven-month low against the U.S. dollar and weakened against most other majorcurrencies. France's rejection of the European Union constitution was thecatalyst for the euro's dramatic move lower. The largest gain in this sectorwas achieved in the euro, while the largest loss occurred in the euro/Britishpound cross. The fixed-income sector was the Trust's other solid performer, asboth European and American bonds rose during the month. The benchmark German10-year Bund rose to a record high, as market conjecture grew that the EuropeanCentral Bank (ECB) would have to cut interest rates as the European economyslowed. U.S. Treasuries also rallied on diminished inflation fears and the10-year note broke 4% for the first time since February. The largest gain inthis sector was achieved in the Bund, while the only loss occurred in theEurodollar. The energy sector underperformed for the month as a result ofvolatility, which dominated trading throughout the sector. Natural gas was thelone profitable market within the sector. Energy markets weakened for most ofthe month and reversed itself towards the end of the month when crude oilstockpiles fell for the first time in five weeks.. The largest loss occurred inLondon gas oil. The Trust's performance in the metals sector was slightlypositive during the month as volatility in various markets limited the Trust'sability to achieve returns. The Trust was able to benefit as gold traded near athree-month closing low as the U.S. dollar strengthened. The largest gain inthis sector was achieved in gold, while the largest loss occurred in LMEcopper. Performance in the agriculture sector was negative for the month astrading in cotton, New York coffee and CBOT wheat affected returns. Cotton fellalmost 13 percent from April's highs as supply outpaced demand and wheatstrengthened on concerns that hot weather would hurt U.S. crops. The largestgain in this sector was achieved in London coffee, while the largest lossoccurred in cotton. Indices were negative for the month. Most of the world indiceswere higher on the month, which was the cause of the sector's underperformance.All components of this sector were negative with the largest loss coming fromthe Nasdaq E-Mini. Overall, the Trust recorded a gain of 7.95% for the month. 

The Trust's performance was positive for the month of June. Thecurrency and fixed income sectors led profitability on the strength of the U.S.dollar and the global fixed income markets. These gains were mainly due to theU.S. Federal Reserve raising interest rates another quarter point to 3.25percent. Hindering performance was volatility in the metals and agriculturesectors. The currency sector was the Trust's strongest performer for the month.The U.S. dollar posted its largest quarterly gain against the euro since 2001and rose against the yen as the market anticipated the quarter point increaseby the Federal Reserve on June 30th. The dollar also benefited from the yieldadvantage against the Japanese yen, Swiss franc and the euro. Also boosting thesector's performance was the weakness in the British pound against the U.S.dollar. The largest gain in this sector was achieved in the Japanese yen, whilethe largest loss occurred in the British pound/Japanese yen cross. The fixedincome sector was the Trust's other solid performer, as global bond marketscontinued to rally. The majority of the sector's gains came from the strengthin both Germany's and Japan's fixed income markets. The largest gain in thissector was achieved in the Bund, while the largest loss occurred in theEurodollar. The energy sector was profitable for the month as volatilitydominated these markets. The entire sector rallied during the first half of themonth as expectations increased that global demand for oil would reach a record86.4 million barrels a day in the 4th quarter. Most components of this sectorwere positive; however the sectors performance was hindered by the losses innatural gas. Metals were negative for the month as volatility hurt thissector's performance. Gold rose for the majority of the month and then felltowards the end of the month as the U.S. dollar strengthened and the U.S.Federal Reserve raised interest rates. All components of this sector werenegative with the largest loss coming from gold. Performance in the agriculturesector was down for the month as trading in cotton, wheat and soybeans hinderedreturns. Gains in NY coffee were not enough to offset the combined negativeperformance experienced in the rest of the sector. Performance was slightlypositive in indices during the month. Overall, stocks fell during the month asthe Federal Reserve raised its benchmark interest rate for the ninth time thisyear. The largest gain in this sector was achieved in the EuroStoxx 50, whilethe largest loss was in the Nasdaq E-Mini. Overall, the Trust recorded a gainof 7.89% for the month. 

During the quarter there were 72,578.27 units sold to the beneficialowners for an investment of $9,178,395. Beneficial owners redeemed a total of98,644.05 units during the quarter. The Managing Owner redeemed a total of 0units during the quarter. At the end of the quarter there were 2,280,393.89units outstanding owned by the Beneficial Owners and 23,953.14 unitsoutstanding owned by the Managing Owner. 

During the fiscal quarter ending June 30, 2005, the Trust had nomaterial credit exposure to a counterparty, which is a foreign commodityexchange, or to any counterparties dealing in over the counter contracts. 

**Fiscal Quarter ended March 31, 2006**

The Trust recorded netloss of $18,904,802 or $10.82 per unit in the first quarter of 2006*** (*** Please see “Notesto Financial Statements” in Part I – Item 1 forexplanation of Net Asset Value/unit pursuant to events of October, 2005). As ofMarch 31, 2006, the Trust had gained 9.91% since its inception in June 1997.

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On March 31, 2006, JWH was managing 100% of the Trust’s assets.  The Trust assets were allocated asfollows:  JWH GlobalAnalyticsÒFamily of Programs (30%), Financial and Metals Portfolio (30%), International Foreign Exchange Program (20%), and GlobalFinancial and Energy Program (20%).

The Trust’s overall return was negative for the month of January aslosses in the interest rates, currencies and energy sectors outweighed thegains achieved in the other sectors. The fixed income sector was the Trust’sworst performing sector as the fixed income markets in the U.S., Europe andJapan sold-off over fears of the respective central banks raising interestrates.  Japanese government bonds(largest loss) traded at their lowest level in almost two months with Japaneseunemployment falling amid growing confidence that economic growth issustainable and that the Bank of Japan (BOJ) may increase interest rates.  Meanwhile, the German Bund reached 2.97%, thehighest rate since December 2002, on speculation that a strengthening Europeaneconomy will encourage the European Central Bank (ECB) to raise rates inMarch.  Further hindering performancewere the U.S. 10-year and 30-year bonds as U.S. Treasuries had their firstmonthly decline since October 2005 as a result of the Federal Reserve raisinginterest rates for the 14th straighttime.  The currency sector also sufferedlosses as the U.S. dollar posted its biggest monthly decline against the eurosince November 2004.  The euro alsobenefited as the market waited to see if the ECB would signal, at their meetingon February 2nd, that theywould raise borrowing costs as Europe’s economy strengthened.  The dollar also suffered losses against theSwiss franc, and the Japanese yen as the spread narrowed between the U.S. andboth European and Japanese interest rates, no longer benefiting the dollar. TheTrust was able to limit losses as the British pound strengthened against thedollar on speculation that the Bank of England would keep interest rates on holdthis year. The largest gains in this sector were the British pound and theSingapore dollar The largest loss occurred in the Japanese yen.  Performance in the energy sector was alsonegative for the month. The Trust underperformed as volatility within theenergy sector increased as oil and natural gas are now being used as“geopolitical weapons” by Iran, Russia, Venezuela and militants inBolivia.  Crude oil (largest gain), whichis up 41 percent from a year ago and 11 percent for the month, helped to limitlosses in this sector despite the increased volatility.  The largest loss occurred in natural gas,which for the first time in almost 6 months dropped below $8 in New York.  Natural gas fell 17 percent for the month asmild weather decreased demand in the largest U.S. consuming regions.  The metals sector was the best performingsector for the month. Gold (largest Gain) extended its surge to a 25-year high,and silver climbed to its highest level since March 1984. Gold’s increaseoccurred on concerns that the dollar may weaken because of higher oil prices.LME copper prices rose to a near record as production from the world’s minesare failing to keep pace with increased demand from countries like China.  Adding to the production shortfall is thethreat of a strike from workers of Chile’s Codelco, the world’s largest copperproducer.  Indices were positive for themonth as European stock indices had their best January rally in eight years ledby energy, mining and steel stocks. Leading the sectors performance was theNikkei (Osaka), which despite increased volatility caused by geopoliticalevents, approached a decade high and managed to gain 3.3% during the month. TheNasdaq E-Mini also helped performance as it rose 3.7% for the month.  The agriculture sector was also positive onthe month as sugar reached a 16-year high in London and a 25-year high in NewYork (largest gains).  The record highswere a result of increased demand for ethanol, a sugar cane by-product. Limitingprofitability in the sector was N.Y. coffee as it rose to seven-month highs asworldwide demand outpaced supply. The largest loss occurred in soybeanoil.  The Trust recorded a trading lossof 1.76% for the month. The Januarymonth-end trading NAV was $110.87.  

The Trust’s performance was negative for the month of February aslistless markets continued to hamper the Trust’s long-term trend followingapproach.  The majority of the losseswere realized in the currency and energy sectors, along with more modest lossesin the other sectors.  Currencies werethe Trust’s worst performing sector for the month as markets gyrated overspeculation about potential global interest rate moves.  The dollar rose 1.3% against the euro as newFederal Reserve Chairman Ben Bernanke comments suggested further tightening bythe Fed.  Thee British pound declinedversus the dollar on signs of slowing home price growth and sluggish retailsales. The largest loss in the sector was in the yen as the currencystrengthened after Bank of Japan Governor Toshihiko Fukui said the central bankwould “immediately” reduce the amount of cash pumped into the financial system,a precursor to raising rates. Limiting losses in this sector was the Brazilianreal (largest gain) as it gained 3.4% against the dollar. The energy sectorincurred losses on concerns over geopolitical events. While the marketcontinued to be sensitive to the situation in Iran and Iraq, attacks in Nigeriaand Saudi Arabia added to the market’s trepidation.  In Saudi Arabia, there was an assault on aprocessing center which handles two-thirds of Saudi oil. Limiting losses inthis sector was falling natural gas prices with U.S. stockpiles for the weekended February 17, 2006 were almost 700 billion cubic feet above the five-yearaverage. The metals sector was also negative for the month as volatility hurtperformance.  Gold once again hit a25-year high of $579.50 per ounce. Meanwhile, after reaching a record high of$5,100 per metric ton on, LME copper dropped to $4,665, the lowest sinceJanuary 2005. The largest gain in this sector was in silver on speculation thatdemand for the metal will accelerate, extending its year-long rally. Indicesdid not perform well for the month as Asian stocks posted their first monthlydecline since October 2005 and the Nasdaq dropped 1.1%.  Market instability was also a factor in theindices sector as U.S. stocks suffered their biggest lost in five weeks on thelast day of trading in February.. The largest gain was in the Eurostoxx 50,while the largest loss occurred in the Nikkei (Osaka).  The interest rate sector was slightlynegative for the month as performance in various markets counterbalanced eachother. The sector benefited from Japanese government bonds, which saw a pricedecline for the month. Offsetting the sector gains however were losses in U.S.30-year bonds, German Bunds and the Long gilt. Both European and U.S. fixed income markets gyrated. The largest gain inthis sector was in the Eurodollar. The largest loss occurred in the U.S.30-year bond. Performance in the agriculture sector was also slightly negativefor the month.. N.Y. coffee (largest loss) contributed to the sector’sunderperformance as coffee production threatens to exceed demand. N.Y. sugaralso hurt performance as prices fell to a 20-month low. CBOT wheat (largestgain) rose to a 20-month high on speculation that unusually hot, dry weatherfrom

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Texas to Nebraska reduced U.S. production. The Trust recorded a tradingloss of 9.61% for the month.  TheFebruary month-end trading NAV was $100.21.

The Trust’s performance was positive for the month of March.  Performance was led by the fixed income,indices and metals sectors.  Limiting theTrust’s gains for the month was the currency sector, which continued to sufferfrom range-bound trading, along with underperformance in both the energy andagriculture sectors. The fixed income sector was the Trust’s strongestperformer for month as German, Japanese, and U.S. government debt enduredincreased consumer confidence and rising inflationary fears. The Bund fell forthe seventh consecutive month, as reports showed business confidence at analmost 15-year peak. The Japanese 10-year government bonds (JGB’s) fell afterthe Bank of Japan ended its five-year policy of flooding the Japanese economywith cash.  U.S. Treasuries posted theirbiggest quarterly drop since 2004 on concerns that inflationary growth willcause the Federal Reserve to increase its interest rate target.  The Federal Reserve and the European CentralBank raised their interest rates 25 basis points, but the true catalyst for thesell-off was growing speculation that both would be forced to continue to raiserates after confidence reports released were much stronger than expected. Thelargest gains in this sector were achieved in the Bund and the JGB’s, while thelargest loss occurred in the Australian three-year bond.  The indices sector was also positive for themonth as Asian stocks approached a 16-year high on surging demand for metalsand oil, and the Nikkei 225 climbed above 17,000 for the first time in morethan five years. The All Ordinaries Index rose 8 percent this quarter, whilethe Nasdaq Composite Index rose to a five-year high.  The Nikkei (Osaka) was the best performer inthe sector.  The only loss occurred inthe Nasdaq E-Mini.  The metals sector wasalso profitable for the Trust for the month as silver reached $11.66 on March 30th, the highest intra-day pricesince September 1983.  Silver gained 21percent this month alone in anticipation of approval for the firstexchange-traded fund for this precious metal. Also helping this sector’s performance was LME copper, which was upapproximately 25 percent for the quarter. This metal, used in wiring and plumbing, continued to set new all timehighs towards the end of the month as demand for the metal continued,especially in China.  The only loss inthis sector occurred in gold.  The energysector was the Trust’s worst performing sector as geopolitically-induced volatilitylimited gains.  Crude oil roseto a 2-month high and gasoline surged as U.S. supplies declined andthe UN asked Iran to curb its nuclear program. Prices then fell after Iran said it would not use crude oil as leveragein a dispute with western countries over its nuclear program.  All components of this sector were negativefor the month with the largest loss coming from crude oil.  The currency sector was also negative for themonth as range-bound trading continued to negatively affect the Trust’slong-term trend following approach. Although some currencies had directional moves during the month, theywere then accompanied by strong reversals. Since December 2005 the U.S. dollar has dropped 2.3 percent and 1.25percent against the euro and the British pound, respectively. The largest gainsin this sector were achieved in the euro/yen cross, Australian dollar and theNew Zealand dollar while the largest losses occurred in the euro and Polishzloty.  The agriculture sector wasslightly negative for the Trust as gains made in London sugar were offset bythe weakness in CBOT wheat and corn. Sugar prices in London hit their highestlevels since 1989 on speculation that expensive oil will force Brazil, theworld’s largest sugar producer, to direct more of its output towards producingethanol. Wheat prices weakened as rains revived winter crops in the U.S. GreatPlains.  Corn hurt performance as pricesin Chicago rose after U.S. farmers indicated that they plan to slash thisyear’s plantings to 2001 levels.  TheTrust recorded a trading gain of 2.04% for the month.  The March month-end trading NAV was $102.25. 

During the quarter no units were sold. Beneficial owners redeemed atotal of 132,172.78 units during the quarter. The Managing Owner redeemed atotal of 0 units during the quarter. At the end of the quarter there were1,604,135.27 units outstanding owned by the Beneficial Owners and 24,016.36units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2006, the Trust had nomaterial credit exposure to a counterparty, which is a foreign commodity exchange,or to any counterparties dealing in over the counter contracts.

**Fiscal Quarter ended March 31, 2005**

The Trust recorded a net loss of $47,398,966 or ($21.11) per unit inthe first quarter of 2005. As of March 31, 2005, the Trust had gained 27.43%since its inception in June 1997.

On March 31, 2005, JWH was managing 100% of the Trust’s assets.Approximately 30% of the assets were allocated to each of the JWHGlobalAnalyticsÒ Family of Programsand the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets wereallocated to JWH’s Financial and Metals Portfolio.

The Trust’s performance was negative inJanuary. While both the fixed-income and agriculture sectors had gains for themonth, they weren’t enough to offset the losses in other sectors. The Trust’sunderperformance was driven by the strength of the U.S. dollar, which reboundedfrom last year’s weakening trend.  Thedollar’s sudden turnaround was the dominant factor that drove most marketsectors during the month, and therefore resulted in the overall loss for theprogram.  The weak U.S. dollar trend,which had dominated the markets during the second half of last year, began toreverse itself as market expectations of a Yuan revaluation by the Chinese centralbank began to diminish.  The Canadiandollar/Japanese yen cross was the only positive contributor to the month, whilethe largest loss was in the euro. Trading in both metals and indices was also negative during the month.The loss in metals was due to the weakening

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of both gold and aluminum.  Gold,which has recently had a strong inverse relationship with the U.S. dollar, cameunder pressure as the U.S. dollar strengthened throughout the month.  Aluminum also added to the Trust’s losses assupply increases in Shanghai put pressure on the market.  The Trust’s returns in the indices sectorfurther hindered performance.  The lossin indices resulted from a sell off in world equity markets. The largest gainin the indices sector was achieved in the Eurostoxx 50, while the largest lossoccurred in the Nasdaq E-Mini.  Higherprices in energies led to negative performance for the Trust in thissector.  In addition to the events in theMiddle East, weather dominated the sector’s price action.  Brent crude was the only positive contributorof this sector, while the largest loss came from natural gas.  The agricultural sector provided positivereturns for the month of January. Wheat helped returns as prices fell to a20-month low. Corn boosted returns slightly as prices fell to the lowest levelsince June 2001. The largest gain in the agricultural sector was achieved inwheat, while the largest loss occurred in cotton.  The fixed income was also positive for theTrust for the month. Japanese Government bonds (JGBs) rose during the monthafter Japanese government reports showed household spending and industrialproduction fell. The largest gain was achieved in the JGBs, while the largestloss occurred in Australian 10-year bond. Although January underperformed, it is these types of markets that haveprovided the catalyst historically for long-term trends to emerge.  Overall, the Trust recorded a loss of (9.54)%for the month. 

The Trust’s performance was negative in February.  Gains in both the indices and energy sectorsweren’t enough to offset the combined losses in the other sectors traded.  The Trust’s underperformance was driven bythe apparent end to some long-term trends in the global fixed-income market andthe unfavorable performance in the currency sector.  A significant portion of February’s losseswas directly related to the fixed-income sector as the European, Japanese andU.S. bond markets sold off.  The catalystfor the dramatic moves higher in world interest rates was the cumulative effectof various events. On February 10th, the U.S. 10-year Treasury note fellafter jobless claims unexpectedly declined, exports rose, and the U.S.government sold $14 billion 10-year notes at a higher-than-expected yield.  On February 16th, Federal Reserve Chairman AlanGreenspan’s testimony prepared for the Senate Banking Committee added pressureto the sector and long-term rates declined despite rate hikes over the lastyear.  Two days later, the release of ahigher-than-expected Producer Price Index in the U.S. helped to spark inflationfears worldwide. The largest gain was achieved in the Eurodollar, while thelargest loss occurred in the Japanese government bond.  Currencies were the other main contributor tothe Trust’s losses.  The U.S. dollar roseto a three-month high against the yen after a Commerce Department report showedthe U.S. trade deficit narrowed in January. Further adding to the yen’sweakness were reports that Japan had officially fallen into a recession for thefourth time since 1991. Additional losses in this sector occurred during the middleof month as the Swiss franc rose against the U.S. dollar. The largest gain wasachieved in the Australian/Japanese yen cross, while the largest loss occurredin the Japanese yen.  The energy sectorhad positive returns and was the Trust’s best performing sector.  Energies rallied as commodity prices surgedto a 24-year high. London gas oil and crude oil led performance after the U.S.government reported an unexpected decline in U.S. oil stockpiles. In addition,the International Energy Agency raised its prediction for globalconsumption.  All components of thissector were positive with the largest gain achieved in London gas oil.  The Trust’s three other sectors, indices,metals, and agriculture all had relatively little effect on overall performanceduring the month. Indices posted gains as the Nikkei rallied. The only loss inthis sector was in the Nasdaq E-Mini. The metals sector posted negativereturns. The largest gain in this sector was achieved in aluminum, while thelargest loss occurred in gold.  Lastly,the agricultural sector was flat. Overall, the Trust recorded a loss of (5.63)% for the month.  

The Trust’s performance was positive for the month of March.  The energy sector exhibited moderate returns,and the agricultural sector also contributed to the Trust’s positiveperformance. The combined positive performance in both of these sectors wasable to offset the losses suffered in the other sectors.  The energy sector was the Trust’s bestperforming sector as crude oil and gasoline surged to near all-time highs onnews that demand may outpace supply during the peak summer months. A GoldmanSachs prediction that crude oil prices could spike to as high as $105 perbarrel also bolstered the rise in oil prices. All components of this sectorwere positive with the largest gain coming from London gas oil.  Currencies were the most unprofitable sectorfor the Trust during the month. The single most influential factor drivingperformance was the U.S. dollar.  Thedollar began the month in a weakening trend as the U.S. trade deficit widenedto its second highest level ever. However, this trend reversed as the price ofoil soared, the yield on the 10-year note rose to its highest level in sevenmonths, and the Federal Reserve increased borrowing costs by a quarterpercentage point. The largest gain in this sector was achieved in the Japaneseyen, while the largest loss occurred in the British pound.  The Trust was unprofitable in the fixedincome sector for the month, as European and Domestic markets sold off and theJapanese bond markets rallied. Increases in energy prices and inflationexpectations were the catalyst for the dramatic move higher in most of theworld interest rates. In Japan, bonds rallied amid speculation that exports tothe U.S. would drop.  Additionally,Japanese fixed-income gained on increased signs that its economy is strugglingto recover from a fourth recession since 1991. The largest gain in this sectorwas achieved in the Eurodollar, while the largest loss occurred in theBund.  Metals were unprofitable duringMarch as gold and silver, which tend to have an inverse relationship with theU.S. dollar, were driven by the volatility in the U.S. dollar.  The Trust did benefit as LME aluminum rose toa 10-year high, however not enough to offset the combined losses in gold andsilver.  Performance in indices was downslightly for the month as equity markets weakened worldwide.  Higher bond yields and oil prices madeequities less attractive to investors as inflationary pressures started to weighon the global economy. The largest gain was achieved in the Nasdaq E-Mini,while the largest loss occurred in the Nikkei. The Trust’s performance in the agricultural sector was slightlyprofitable for the month.  The Trust wasable to benefit from rising New York coffee prices as production declined andreserves fell to their lowest level in 15 years. Overall, the gains achieved inthe energy and agricultural sectors were enough to offset the combined lossesin the various other sectors.  Overall,the Trust posted a gain of .50% for the month.

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During the quarter there were 156,555.52 units sold to the beneficialowners for an investment of $20,278,995. Beneficial owners redeemed a total of61,635.92 units during the quarter. The Managing Owner redeemed a total of 0units during the quarter. At the end of the quarter there were 2,306,459.25units outstanding owned by the Beneficial Owners and 23,771.70 unitsoutstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2005, the Trust had nomaterial credit exposure to a counterparty, which is a foreign commodityexchange, or to any counterparties dealing in over the counter contracts.

**(d)   Off-Balance-SheetArrangements; Disclosure of Contractual Obligations**

The Trust does not have any off-balance-sheet arrangements that have orare reasonably likely to have a current or future affect on its financialcondition, changes in financial condition, revenues or expenses, results ofoperations, liquidity, capital expenditures or capital resources that arematerial to investors.  The Trust doesnot have any material contractual obligations. 

**Item 3. Quantitative and Qualitative Disclosures About Market Risk**

There has been no material change with respect to market risk since the“Quantitative and Qualitative Disclosures About Market Risk” was made in theForm 10-K of the Trust dated December 31, 2005.

**Item 4. Controls and Procedures**

Under the supervision and with the participation of the management ofR.J. O’Brien Fund Management, Inc., the managing owner of the Trust at the timethis quarterly report was filed, including the managing owner’s President andChief Financial Officer, the Trust has evaluated the effectiveness of thedesign and operation of its disclosure controls and procedures as of the end ofthe period covered by this quarterly report, and, based on their evaluation,the President and Chief Financial Officer of the managing owner have concludedthat these disclosure controls and procedures were effective.  There were no changes in the Trust’s internalcontrol over financial reporting, during the quarter ended September 30, 2006,that have materially affected, or are reasonably likely to materially affect,the Trust’s internal control over financial reporting.

Any control system, no matter how well designed and operated, canprovide reasonable (not absolute) assurance that its objectives will bemet.  Furthermore, no evaluation ofcontrols can provide absolute assurance that all control issues and instancesof fraud, if any, have been detected.

**PART II -OTHER INFORMATION**

**Item 1. Legal Proceedings**

On October 10, 2005, RefcoInc., the parent company of RCMI announced that it had discovered through aninternal review a receivable owed to the Company by an entity controlled byPhillip R. Bennett, Chief Executive Officer and Chairman of the Board ofDirectors of the Company, in the amount of approximately $430 million. Mr.Bennett repaid the receivable in cash, including all accrued interest, onOctober 10, 2005. Based upon the results of the review to date, Refco Inc.believes that the receivable was the result of the assumption by an entitycontrolled by Mr. Bennett of certain historical obligations owed by unrelatedthird parties to Refco, Inc., which may have been uncollectible. Independentcounsel and forensic auditors have been retained to assist Refco, Inc.,Informal Committee in the investigation of these matters. 

On October 12, 2005, Mr.Bennett was initially charged with one count of securities fraud. On November10, 2005, he was indicted on eight counts of conspiracy, fraud, and othercharges by a federal grand jury. The indictment was delivered in the UnitedStates District Court for the Southern District of New York. Prosecutors chargein the indictment that Mr. Bennett hid customer and company losses from Refco,Inc. auditors and investors from as early as the late 1990s. Those losses,according to the indictment, were then transferred to a company controlled byMr. Bennett and hidden through a series of transactions.

Refco, Inc. and otheraffiliated entities, including RCMI, have subsequently filed forbankruptcy.  See “Note 7 – SubsequentEvents” in Part I – Item 1 for more information.  Such information is incorporated herein byreference.  

Since the announcement ofthese matters at Refco, Inc., the Informal Committee of RCMI (Mr. Richard C.Butt and Ms. Annette A. Cazenave) has undertaken its own review into RCM andthe Trust to ensure none of these matters had any material impact on theresults of operations of either RCMI as Managing Owner or the Trust.  Based upon the results of that review, theInformal Committee has no reason to believe that the actions of Mr. Bennett hadany impact on the operations or financial results of the Trust. 

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**Item 2. Unregistered Sales of Securities and Use of Proceeds**

a)  None

b)  The Trustpermits unitholders to redeem units at the end of each month at the Net AssetValue per unit on the redemption date. The redemption of units has no impact on the net asset value of theunits that remain outstanding and units may not be reissued once they areredeemed.

The following table summarizes the redemptions by unitholders duringthe third quarter of 2006:
| Month     | ** ** | **Units Redeemed** | ** ** | **Redemption Date NAV per Unit** | ** ** |
|-----------|------------|-------------------------|------------|------------------------------------------------------|------------|
| July      |       | 27,891.05               |       | 91.47                                                |       |
| August    |       | 43,298.16               |       | 99.53                                                |       |
| September |       | 32,153.35               |       | 100.02                                               |       |
| Total     |       | 103,342.56              |       |                                                 |       |

 

Units sold 7/1/06 through9/30/06: 0

Units unsold 7/1/06through 9/30/06:  5,101,081.73  ($510,210,194.63)

Aggregate price paid for units sold 7/1/06 through 9/30/06: $0

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**Item 6.  Exhibits**

a)   Exhibits

# Indexto Exhibits

| Exhibit    | ** ** | ** **                                                                                  |
|------------|------------|---------------------------------------------------------------------------------------------|
| **Number** | ** ** | **Description of Document**                                                                 |
|       |       |                                                                                        |
| 3.01       |       | Sixth Amended and Restated Declaration and Agreement  of Trust of the Registrant.(1)        |
|       |       |                                                                                        |
| 3.02       |       | Certificate of Amendment of Certificate of Trust of  the Registrant.(2)                     |
|       |       |                                                                                        |
| 31.01      |       | 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. |

 

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(1) Incorporated byreference from the exhibit of the same description filed on February 27, 2004with Post-Effective Amendment No. 1 to the Registrant’s Registration Statementon Form S-1 (Reg No. 333-105282).

(2) Incorporated byreference from the exhibit of the same description filed on February 10, 1997with Post-Effective Amendment No. 1 to the Registrant’s Registration Statementon Form S-1 (Reg. No. 333-16825; declared effective April 3, 1997).

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**SIGNATURES**

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned and thereuntoduly authorized.

**JWH Global Trust**
| Date:  | June 12, 2007                                                                                              |
|--------|------------------------------------------------------------------------------------------------------------|
|   |                                                                                                       |
| By:    | R.J.O’Brien Fund Management, Inc.                                                                     |
|   | Managing Owner                                                                                             |
|   |                                                                                                       |
|   |                                                                                                       |
| By:    | /s/ Helen D. McCarthy                                                                                 |   |   |
|   | Helen D. McCarthy                                                                                          |
|   | Chief Financial Officer                                                                                    |
|   | (Duly authorized officer of the Managing Owner and  the principal financial officer of the Managing Owner) |

 

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