UNITED STATES SECURITIES AND EXCHANGE COMMISSION





Washington, D.C. 20549





FORM 10-Q





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


SECURITIES EXCHANGE ACT OF 1934





For the quarterly period ended September 30, 2009




OR




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


SECURITIES EXCHANGE ACT OF 1934





For the transition period from ____________ to ____________





Commission File Number:  000-22887





RJO GLOBAL TRUST


(Exact name of registrant as specified in its charter)






Delaware

36-4113382(State or other jurisdiction of incorporation or organization)

(I.R.S. Employer Identification No.)





c/o R.J. O’Brien Fund Management, LLC


222 South Riverside Plaza


Suite 900


Chicago, IL  60606


(Address of principal executive offices) (Zip Code)





(312) 373-5000


(Registrant's telephone number, including area code)





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


x Yes          ̈ No





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


 ̈ Yes          ̈ No





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




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





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


o Yes         x No










TABLE OF CONTENTS









PagePART I. FINANCIAL INFORMATION
3Item 1. Financial Statements
3Consolidated Statements of Financial Condition, as of September 30, 2009 (unaudited)and December 31, 2008
3Condensed Consolidated Schedule of Investments, as of September 30, 2009 (unaudited)
4Condensed Consolidated Schedule of Investments, as of December 31, 2008
5Consolidated Statements of Operations, for the three and nine months ended September 30, 2009 and 2008 (unaudited)
6Consolidated Statement of Changes in Unitholders' Capital, for the nine months endedSeptember 30, 2009 (unaudited)
7Notes to Consolidated Financial Statements
8Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
16Item 3. Quantitative and Qualitative Disclosures about Market Risk
26Item 4T. Controls and Procedures
26PART II. OTHER INFORMATION
26Item 1. Legal Proceedings
26Item 1A. Risk Factors
26Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
26Item 6. Exhibits
27SIGNATURES
28








PART I – FINANCIAL INFORMATION





Item 1.  Financial Statements




RJO GLOBAL TRUST AND SUBSIDIARY


Consolidated Statements of Financial Condition




September 30, 2009


December 31, 2008UNAUDITEDAssetsAssets:Equity in commodity Trading accounts:Cash on deposit with brokers

$
63,114,139


$
83,527,981Unrealized gain on open contracts


1,294,929



1,106,722Cash on deposit with bank


58,668



28,562Cash on deposit with bank - Non-Trading


8,901,388



7,334,58273,369,124



91,997,847Interest receivable


3,681



9,415Total Assets

$
73,372,805


$
92,007,262Liabilities and Unitholders' CapitalLiabilities:Accrued commissions

$
181,843


$
242,450Accrued management fees


91,030



119,365Accrued incentive fees


28,830



1,134,235Accrued offering expenses


84,539



1,108Accrued operating expenses


262,262



315,568Redemptions payable - Trading


702,782



2,815,236Accrued legal fees - Non-Trading


469,823



6,149Accrued management fees to U.S. Bank - Non-Trading


20,577



27,477Distribution payable - Non-Trading


-



39,801Total liabilities


1,841,686



4,701,389Unitholders' capital:Unitholders’ capital (Trading):Beneficial ownersClass A (566,108 and 658,747 units outstanding atSeptember 30, 2009 and December 31, 2008, respectively)


60,968,593



78,645,263Class B (8,165 and 0 units outstanding atSeptember 30, 2009 and December 31, 2008, respectively)


892,541



-Managing owner (11,679 and 11,679 Class A units outstanding atSeptember 30, 2009 and December 31, 2008, respectively)


1,257,828



1,394,355Unitholders' capital (LLC equity/Non-Trading):Participating owners (538,153 and 611,108 units outstanding atSeptember 30, 2009 and December 31, 2008, respectively)


1,991,165



1,953,345Nonparticipating owners (1,735,135 and 1,662,180 units outstanding atSeptember 30, 2009 and December 31, 2008, respectively)


6,420,992



5,312,910Total unitholders' capital


71,531,119



87,305,873Total Liabilities and Unitholders’ Capital

$
73,372,805


$
92,007,262Net asset value per unit:Trading:Class A


$
107.70


$
119.39Class B


$
109.32


$
-LLC equity/Non-Trading

$
3.70


$
3.20See accompanying notes to consolidated financial statements.







3




RJO GLOBAL TRUST AND SUBSIDIARY
 Condensed Consolidated Schedule of Investments
as of September 30, 2009
UNAUDITED






Number of


Principal


Value/opencontracts


(notional)


trade equityLong positions (1.15%)Futures Positions (1.25%)Agriculture


316


$
9,084,372


$
114,864Currency


104



11,810,135



157,623Energy


11



616,930



42,140Indices


78



4,166,514



3,671Interest rates


403



95,377,939



296,378Metals


140



9,410,321



277,411Forward Positions (-0.10%)Currency


16,935,000



20,688,872



(72,339
)Total long positions





$
151,155,083


$
819,748Short positions (0.66%)Future positions (0.41%)Agriculture


382


$
9,635,591


$
456,508Currency


15



1,867,904



(8,226
)Energy


70



3,937,368



(141,632
)Indices


131



8,756,270



13,356Interest rates


149



59,469,909



(3,993
)Metals


53



3,470,087



(22,653
)Forward Positions (0.25%)Currency


22,805,000



28,814,133



181,821Total short positions





$
115,951,262


$
475,181Total unrealized gain on open contracts (1.81%)









$
1,294,929Cash on deposit with brokers (88.23%)










63,114,139Cash on deposit with bank (12.53%)










8,960,056Other liabilities in excess of assets (-2.57%)










(1,838,005
)Net assets (100.00%)









$
71,531,119See accompanying notes to consolidated financial statements.
   4




RJO GLOBAL TRUST AND SUBSIDIARY
 Condensed Consolidated Schedule of Investments
as of December 31, 2008








Number of


Principal


Value/opencontracts


(notional)


trade equityLong positions (1.23%)Futures Positions (1.23%)Agriculture


143


$
3,700,746


$
262,644Currency


166



29,196,605



312,953Energy


47



2,276,791



(15,025
)Indices


2



96,575



(96,575
)Interest rates


165



64,017,826



414,481Metals


62



3,413,855



190,371Total long positions





$
102,702,398


$
1,068,849Short positions (0.04%)Future positions (0.04%)Agriculture


278


$
6,016,398


$
(27,872
)Currency


25



2,547,180



(30,573
)Energy


17



923,156



(9,051
)Indices


40



1,340,663



80,642Interest rates


5



2,443,007



(10,528
)Metals


63



2,762,199



35,255Total short positions





$
16,032,603


$
37,873Total unrealized gain on open contracts (1.27%)









$
1,106,722Cash on deposit with brokers (95.67%)










83,527,981Cash on deposit with bank (8.43%)










7,363,144Other liabilites in excess of assets (-5.37%)










(4,691,974
)Net assets (100.00%)









$
87,305,873See accompanying notes to consolidated financial statements.


5




RJO GLOBAL TRUST AND SUBSIDIARY
 Consolidated Statements of Operations
 UNAUDITIED


For the three months ended September 30,


For the nine months ended September 30,2009


2008


2009


2008Trading gain (loss):Gain (loss) on trading of commodity contracts:Realized gain (loss) on closed positions

$
(1,535,233
)

$
(3,857,598
)

$
(3,447,170
)

$
16,692,646Change in unrealized gain (loss) on open positions


1,257,461



505,130



188,207



1,758,739Foreign currency transaction gain (loss)


74,206



(86,341
)


120,470



(87,906
)Total Trading gain (loss)


(203,566
)


(3,438,809
)


(3,138,493
)


18,363,479Investment Income:Interest income


14,709



249,597



43,998



886,451Expenses:Commissions - Class A


669,700



907,987



2,063,805



3,005,941Commissions - Class B


3,176



-



11,322



-Management fees


278,075



363,270



927,798



1,202,560Incentive fees


28,702



-



37,040



-Ongoing offering expenses


65,000



135,000



238,000



342,000Operating expenses


300,000



192,000



1,015,678



433,207Total expenses


1,344,653



1,598,257



4,293,643



4,983,708Trading income (loss)


(1,533,510
)


(4,787,469
)


(7,388,138
)


14,266,222Non-Trading income (loss):Interest on Non-Trading reserve


2,194



25,022



5,369



101,820Collections in excess of impaired value


-



-



2,748,048



1,747,216Legal and administrative fees


(591,427
)


(60,959
)


(1,325,303
)


(306,366
)Management fees paid to US Bank


(80,625
)


(77,476
)


(282,212
)


(270,932
)Non-Trading income (loss)


(669,858
)


(113,413
)


1,145,902



1,271,738Net income (loss)

$
(2,203,368
)

$
(4,900,882
)

$
(6,242,236
)

$
15,537,960See accompanying notes to consolidated financial statements.






6




RJO GLOBAL TRUST AND SUBSIDIARY
 Consolidated Statement of Changes in Unitholders’ Capital
For the nine months ended September 30, 2009
UNAUDITIED








Unitholders' Capital (Trading)

Beneficial Owners - Trading Class A


Beneficial Owners - Trading Class B


Managing Owners - Trading Class AUnits


Dollars


Units


Dollars


Units


DollarsBalances at December 31, 2008


658,747


$
78,645,263



-


$
-



11,679


$
1,394,355Net income


-



(7,166,814
)


-



(84,797
)


-



(136,527
)Unitholders’ contributions


530



58,000



-



-



-



-Transfers from Class A to Class B


(9,086
)


(1,080,932
)


9,083



1,080,932



-



-Unitholders’ redemptions


(84,083
)


(9,486,924
)


(918
)


(103,594
)


-



-Balances at September 30, 2009


566,108


$
60,968,593



8,165


$
892,541



11,679


$
1,257,828Unitholders' Capital (Trading)

Total Unitholders' Capital - TradingUnits


DollarsBalances at December 31, 2008


670,426


$
80,039,618Net income


-



(7,388,138
)Unitholders’ contributions


530



58,000Transfers from Class A to Class B


(3
)


-Unitholders’ redemptions


(85,001
)


(9,590,518
)Balances at September 30, 2009


585,952


$
63,118,962Unitholders' Capital (LLC Equity/Non-Trading)

Participating Owners-LLC Equity/Non-Trading


Nonparticipating Owners-LLC Equity/Non-Trading


Total Unitholders' Capital-LLC Equity/Non-TradingUnits


Dollars


Units


Dollars


Units


DollarsBalances at December 31, 2008


611,108


$
1,953,345



1,662,180


$
5,312,910



2,273,288


$
7,266,255Net income


-



287,345



-



858,557



-



1,145,902Unitholders’ contributions


-



-



-



-



-



-Reallocation due to Redemptions


(72,955
)


(249,525
)


72,955



249,525



-



-Unitholders' distribution


-



-



-



-



-



-Balances at September 30, 2009


538,153


$
1,991,165



1,735,135


$
6,420,992



2,273,288


$
8,412,157Total Unitholders Capital at September 30, 2009


















$
71,531,119Unitholders' CapitalTradingClass A


Unitholders' CapitalTradingClass B


Unitholders' Capital(LLC Equity/Non-Trading)Net asset value per unit at December 31, 2008

$
119.39


$
119.39


$
3.20Net change per unit


(11.69
)


(10.07
)


0.50Net asset value per unit at September 30, 2009

$
107.70


$
109.32


$
3.70See accompanying notes to consolidated financial statements.






7





RJO GLOBAL TRUST AND SUBSIDIARY


NOTES TO CONSOLIDATED FINANCIAL STATEMENTS


September 30, 2009


(Unaudited)





(1)  General Information and Summary





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




As of December 31, 2008, trading decisions for the Trust have been delegated to five independent commodity trading advisors: John W. Henry & Company, Inc. (“JWH”), AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”)
(each an “Advisor” and collectively the “Advisors”), pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”)  Effective February 1, 2009, NuWave Investment Management, LLC (“NW”) became the Trust’s sixth Advisor. As of March 31, 2009, PLP was terminated as an Advisor to the Trust.  Effective
June 1, 2009, the Trust entered into an Advisory Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory Agreement with GALP, in connection with GALP’s initiative to migrate all its clients to its Jersey-based (UK) entity.  The accounts managed by GALP and GAJL are managed in the same manner by the same team pursuant to the same trading program.  As of June 30, 2009, AIS was terminated as anAdvisor to the Trust and the Trust’s
assets were reallocated with equal weighting of 16.666% each to the remaining four Advisors along with Conquest Capital Group (“CCG”) and Haar Capital Management (“HCM”) beginning July 1, 2009. As of September 30, 2009, the Advisors consisted of JWH, NW, ATC, GAJL, CCG, and HCM.




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




Prior to December 12, 2008, the Trust only offered one class of units for subscription.  As described in the Trust’s Post-Effective Amendment No. 3 on Form S-1, the Trust now offers two classes of units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission,
and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B interests are traded pursuant to identical trading programs and differ only in respect to selling commissions.  See Note (8) for further detail regarding commissions.





The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following:


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





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




8




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




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




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





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




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




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







(2)
Summary of Significant Accounting Policies





(a)
Basis of Presentation




The accompanying unaudited consolidated financial statements of the Trust have been prepared in accordance with accounting principles generally accepted in the United States of America for interim financial information and with the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.  Accordingly, they do not include all of
the information and footnotes required by accounting principles generally accepted in the United States of America for complete financial statements.  In the opinion of management, all adjustments (consisting only of normal recurring adjustments) considered necessary for a fair statement of the financial condition and results of operation of the Trust for the periods presented have been included.




The Trust’s unaudited consolidated financial statements and the related notes should be read together with the consolidated financial statements and related notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2008.




(b)
Principles of Consolidation




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




(c)
Revenue Recognition




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




The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 80% of the average four-week Treasury Bill rate for that month in respect of deposits denominated in dollars.  For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less
100 basis points.




(d)
Ongoing Offering Costs




Ongoing offering costs subject to a ceiling of 0.50% of the Trust’s average month-end net assets, are paid by the Trust and expensed as incurred. In anticipation of the offering for new subscriptions, $238,000 ongoing offering costs were expensed during the first nine months of 2009.




9




(e)    Foreign Currency Transactions




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




(f)     Use of Estimates




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




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




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





(h)    Recent Pronouncements




In September 2009, the FASB issued Accounting Standards Update No. 2009-06 (“ASU2009-06”), Income Taxes (Topic 740) – Implementation Guidance on Accounting for Uncertainty in Income Taxes and Disclosure Amendments for Nonpublic Entities.ASU2009-06
provides additional implementation guidance on accounting for uncertainty in income taxes including what constitutes a tax position for a pass-through entity or a tax-exempt not-for-profit entity.  The adoption of ASU 2009-06 had no impact on the Trust’s financial position, results of operations, or disclosures.
In June 2009, the Financial Accounting Standards Board (“FASB”) issued Statement of Financial Accounting Standards (“SFAS”) No. 168,The FASB Accounting Standards Codification and the Hierarchy of Generally Accepted Accounting Principles (FASB ASC 105-10).  The FASB Accounting Standards Codification (“FASB ASC”) became the source of authoritative U.S. GAAP recognized by the FASB to be applied by nongovernmental
entities and supersedes all non-SEC accounting and reporting standards.  This statement was effective for financial statements ending after September 15, 2009 and only changes references to U.S. GAAP within the Trust’s consolidated financial statements.  In order to facilitate the transition to the FASB ASC, the Trust has elected to show all references to FASB ASC within this report on Form 10-Q along with a parenthetical reference to the previous accounting standard.





In May 2009, the FASB issued SFAS No. 165, Subsequent Events, included in the Codification under FASB ASC 855, establishes general standards of accounting for and disclosure of events occurring after the balance sheet date, but before the financial statements are issued
or available to be issued. SFAS No. 165 also requires entities to disclose the date through which it has evaluated subsequent events and the basis for that date. The Trust adopted SFAS No. 165 during the second quarter ended June 30, 2009. Its adoption did not impact the Trust’s results of operations or financial condition. Refer to Note 10 – Subsequent Events for more information regarding the Trust’s evaluation of subsequent events.





In April 2009, the FASB issued FASB Staff Position (“FSP”) FAS 107-1 and APB 28-1, Interim Disclosures about Fair Value of Financial Instruments, included in the Codification under FASB ASC 825-10-65-1.  FSP FAS 107-1 and APB 28-1 require fair value disclosures
in both interim as well as annual financial statements in order to provide more timely information about the effects of current market conditions on financial statements.  FSP FAS 107-1 and APB 28-1 is effective for interim and annual periods ending after June 15, 2009. The adoption of this standard did not have a material impact on the Trust’s consolidated financial statements.





(3)  Fees





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





Pursuant to the Trust’s agreements with the Advisors, each Advisor receives a monthly management fee at the rate of up to 0.167% (a 2% annual rate) of the Trust’s month-end net assets calculated after deduction of brokerage fees, but before reduction for any incentive fee or other costs and before inclusion of new unitholder subscriptions
and redemptions for the month. These management fees were not paid on the LLC net assets.




10




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




(4)  Income Taxes





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







(5)  Trading Activities and Related Risks





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





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





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





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





Net trading results from derivatives for the periods ended September 30, 2009 and 2008, are reflected in the consolidated statements of operations and equal gain or loss from trading.  Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts and forward contracts.





The notional amounts of open contracts at September 30, 2009 and December 31, 2008, as disclosed in the respective condensed consolidated schedule of investments, do not represent the Trust’s risk of loss due to market and credit risk, but rather represent the Trust’s extent of involvement in derivatives at the date of the consolidated
statements of financial condition.





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







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




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





11







Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCMAdditional Units in Trust for Participating OwnersDate

Amounts Received fromRCM


Balance ofImpaired Value


Collections in Excess ofImpaired Value


Cash Distributions to Non-ParticipatingOwners


Units


Dollars12/29/06

$
10,319,318


$
6,643,944


$
-


$
4,180,958



54,914


$
5,154,71104/20/07


2,787,629



3,856,315



-



-



-



-06/07/07


265,758



3,590,557



-



-



-



-06/28/07


4,783,640



-



1,193,083



-



-



-07/03/07


5,654



-



5,654



-



-



-08/29/07


-



-



-



2,787,947



23,183



1,758,62609/19/07


2,584,070



-



2,584,070



-



-



-12/31/07


2,708,467



-



2,708,467



-



-



-03/28/08


1,046,068



-



1,046,068



-



-



-04/29/08


-



-



-



2,241,680



10,736



1,053,81506/26/08


701,148



-



701,148



-



-



-12/31/08


769,001



-



769,001



-



-



-06/29/09


2,748,048



-



2,748,048



-



-



-Totals

$
28,718,801


$
-


$
11,755,539


$
9,210,585



88,833


$
7,967,152


(7)      Fair Value Measurements


In accordance with FASB ASC 820-10 (SFAS 157, Fair ValueMeasurements), the Trust established a three-level valuation hierarchy for disclosure of fair value measurements.  The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability
as of the measurement date.  The three levels are defined as follows:
 
 Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date.  An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide
pricing information on an ongoing basis.  The value of the Trust’s exchange-traded futures contracts fall into this category.
 
 Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.  This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable
market data.
 
 Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  During
2009 and 2008, the Trust did not have any Level 3 assets or liabilities.
 
 An asset or liability’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement.  The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority
to unobservable inputs (Level 3).
 
 The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of September 30, 2009:


12






Level 1


Level 2


Level 3


TotalUnrealized gain on open contracts:Futures positions

$
1,185,447


$
-


$
-


$
1,185,447Forward currency positions


-



109,482



-



109,482Total fair value

$
1,185,447


$
109,482


$
-


$
1,294,929




(8) Operations





Redemptions




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





Subscriptions





An investor may purchase units in the Trust effective the first business day of any month based on the Net Asset Value per unit on the last business day of the previous month. A correctly completed and signed subscription form with the corresponding funds must be received by Bank of New York Mellon (“Escrow Agent”)  no
later than 5 business days before each month end.  If the forms are completed accurately, the investor’s subscription is accepted and  the units purchased become invested on the first business day of the following month. If the subscription form is incomplete, the subscription is rejected and funds are returned to the investor from the Escrow Agent. Likewise if a subscription form is received without the funds by the 5th business
day before the end of the month, the subscription request is rejected. If funds are received without a subscription form, the funds are returned to the investor. If a subscription is accepted, 100% of the investment amount is invested as of the effective date. The Trust’s Eighth Amended and Restated Declaration and Agreement of Trust and Prospectus contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest nor investment in the LLC.




Commissions




The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO.  Commodity brokerage commissions are typically paid upon the completion or liquidation of a trade and are referred to as “round-turn commissions,” which cover both the initial purchase (or sale) and the subsequent offsetting
sale (or purchase) of a commodity futures contract. The Trust did not pay commodity brokerage commissions on a per-trade basis until November 1, 2008.





Effective November 1, 2008, the Trust’s brokerage fee constitutes a “wrap fee” of 4.65% to 5.0% of the Trust’s month-end assets on an annual basis (0.3875% to 0.417% monthly) with respect to Class A units and 2.65% to 3.0% of the Trust’s month-end assets on an annual basis (0.221% to 0.25% monthly) with respect
to Class B units, which covers the fees described below.  “Brokerage fee” includes the following across each class of units:




13








Recipient

Nature of Payment

Class A Units

Class B UnitsManaging Owner

Brokerage fee

0.75%

0.75%Selling Agent

Selling commission

2.00%

0.00%Managing Owner

Underwriting expenses

0.35%

0.35%Clearing Broker

Clearing, NFA, and exchange fees

Estimated 1.22% - 1.42%,capped at 1.57%
Estimated 1.22% - 1.42%,capped at 1.57%Liberty Funds Group

Consulting fees

0.33%

0.33%Totals



4.65% to 5.00%

2.65% to 3.00%
  In accordance with the Financial Industry Regulatory Authority (FINRA) regulations, underwriting expenses, including selling commissions, are limited to 10% of either the existing net asset values for all units of record as of November 1, 2008, or 10% of original subscription price for any new subscriptions thereafter.  Once the maximum amount of underwriting compensation has been met, the Trust will issue an additional
class of units which will be charged no selling commissions nor underwriting expenses.




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





(9)   Financial Highlights





The following financial highlights show the Trust’s financial performance for the three and nine-month periods ended September 30, 2009 and 2008.  Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period and is not annualized.  Total return is calculated
based on the aggregate return of the Trust taken as a whole.





Class ANine months endedSeptember 30,


Class BNine months endedSeptember 30,


Class AThree months endedSeptember 30,


Class BThree months endedSeptember 30,2009


2008


2009


2009


2008


2009Per share operating performance:Net asset value of Trading units,
beginning of period

$
119.39


$
84.69


$
119.39


$
110.27


$
107.50


$
111.38Total Trading income (loss):Trading gain (loss)


(4.82
)


22.03



(4.89
)


(0.32
)


(4.18
)


(0.34
)Investment income


0.07



1.12



0.07



0.02



0.33



0.02Expenses


(6.94
)


(6.29
)


(5.25
)


(2.27
)


(2.10
)


(1.74
)Trading income (loss)


(11.69
)


16.86



(10.07
)


(2.57
)


(5.95
)


(2.06
)Net asset value of Trading units,
end of period

$
107.70


$
101.55


$
109.32


$
107.70


$
101.55


$
109.32Total return:Total return before incentive fees


(9.79
)%


19.91
%


(8.43
)%


(2.33
%)


(5.53
%)


(1.85
)%Less incentive fee allocations


(0.05
)%


0.00
%


(0.05
)%


(0.04
)%


0.00
%


(0.04
)%Total return


(9.84
)%


19.91
%


(8.48
)%


(2.37
)%


(5.53
%)


(1.89
)%Ratios to average net assets:Trading income (loss)


(10.59
)%


18.33
%


(9.17
)%


(2.37
)%


(6.44
%)


(1.88
)%Expenses:Expenses, less incentive fees


(6.17
)%


(6.41
)%


(4.72
)%


(2.08
)%


(2.15
)%


(1.58
)%Incentive fees


(0.05
)%


0.00
%


(0.05
)%


(0.04
)%


0.00
%


(0.04
)%Total expenses


(6.22
)%


(6.41
)%


(4.77
)%


(2.12
)%


(2.15
)%


(1.62
)%

The calculations above do not include activity within the Trust's Non-Trading accounts.  The Trust did not have any Class B units during the nine month period ended September 30, 2008.


The net loss and expense ratios are computed based upon the weighted average net assets for the Trust for the nine-month  periods ended September 30, 2009 and 2008.





(10)   Subsequent Events





Management of the Trust evaluated subsequent events through November 13, 2009, the date these financial statements were issued, and has determined that no events or transactions have occurred subsequent to September 30, 2009, which require recognition or disclosure in the financial statements.




14





(11) Derivative Instruments and Hedging Activities.





In March 2008, the FASB issued SFAS No. 161, Disclosures about Derivative Instruments and Hedging Activities, included in the Codification under FASB ASC 815-10-50.  SFAS No. 161 enhances disclosures for derivative instruments and hedging activities, including: (i) the manner
in which a company uses derivative instruments; (ii) the manner in which derivative instruments and related hedged items are accounted for under SFAS No. 133, Accounting for Derivative Instruments and Hedging Activities, and (iii) the effect of derivative instruments and related hedged items on a company’s financial position.  SFAS No. 161 is effective for fiscal years beginning after November 15, 2008. The Trust has adopted SFAS No. 161 as of January 1, 2009. As SFAS No. 161 relates specifically
to disclosures, the adoption of this standard had no impact on the Trust’s consolidated financial condition, results of operations or cash flows.





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





Derivatives not designated as hedging instruments:




As of September 30, 2009 Asset

LiabilityType of


Derivatives

Derivatives

NetFutures Contracts

Fair Value

Fair Value

Fair ValueAgriculture


$
935,284


(363,912)

$
571,372Currency



471,775


(212,896)


258,879Energy



56,225


(155,717)


(99,492)Indices



51,814


(34,787)


17,027Interest Rates


319,298


(26,913)


292,385Metals



512,479


(257,721)


254,758$
2,346,875

$
(1,051,946)

$
1,294,929As of December 31, 2008Asset

LiabilityType of


Derivatives

Derivatives

NetFutures Contracts

Fair Value

Fair Value

Fair ValueAgriculture


$
453,592

$
(218,820)

$
234,772Energy



31,924


(56,000)


(24,076)Indices



99,173


(115,106)


(15,933)Interest Rates


748,271


(61,938)


686,333Metals



387,665


(162,039)


225,626$
1,720,625

$
(613,903)

$
1,106,722
  The above reported fair values are included in equity in commodity Trading accounts – Unrealized gain on open contracts on the consolidated statements of financial condition as of September 30, 2009 and December 31, 2008, respectively.




15




Trading gain (loss) for the following periods:




Three months ended
September 30,


Nine months ended
September 30,Type of Futures Contracts

2009


2008


2009


2008Agriculture


196,924



(1,690,859
)


(517,775
)


2,690,671Currency


350,227



757,415



(282,896
)


6,228,559Energy


(738,539
)


(3,151,074
)


(609,300
)


6,450,917Indices


(139,700
)


2,099,639



(288,508
)


3,183,860Interest Rates


(323,517
)


(3,130,263
)


(1,949,914
)


(2,804,645
)Metals


451,039



1,676,333



509,900



2,614,117$
(203,566
)

$
(3,438,809
)

$
(3,138,493
)

$
18,363,479




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




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





(a) Capital Resources





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





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





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





(b)      Liquidity





The Trust’s assets at September 30, 2009 are held in brokerage accounts with RJO.  Such assets are used as margin to engage in trading and may be used as margin solely for the Trust’s trading.   Except in unusual circumstances, the Trust should be able to close out any or all of its open trading positions
and liquidate any or all of its holdings quickly and at market prices.  This should permit the trading Advisors to limit losses as well as reduce market exposure on short notice should their programs indicate reducing market exposure.





The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 80% of the average four-week Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars. For deposits denominated in currencies other than U.S. dollars, the Trust earns interest at a rate of one-month
LIBOR less 100 basis points.  For the fiscal quarters ended September 30, 2009 and 2008, the Trust had received or accrued to receive trading interest of $14,709 and $249,597, respectively.  For the nine months ended September 30, 2009 and 2008, the Trust has received or accrued to receive trading interest of $43,998 and $886,451, respectively.





The Trust’s involvement in the futures and forward markets exposes the Trust to both market risk – the risk arising from changes in the market value of the futures and forward contracts held by the Trust – and credit risk – the risk that another party to a contract will fail to perform its obligations according to the
terms of the contract.  The Trust is exposed to a market risk equal to the value of the futures and forward contracts purchased and theoretically unlimited risk of loss on contracts sold short. The Advisors


16


monitor the Trust’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their trading strategies, adjusting position sizes of the Trust’s futures and forward contacts and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit risk is its exposure to the non-performance of the forwards currency broker.  The forwards currency broker generally enters into forward contracts
with large, well-capitalized institutions and then enters into a back-to-back contract with the Trust.  The Trust also may trade on exchanges that do not have associated clearinghouses whose credit supports the obligations of its members and operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.





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





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





(c)           Results of Operations





As of December 31, 2008, trading decisions for the Trust have been delegated to five independent commodity trading advisors: John W. Henry & Company, Inc. (“JWH”), AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”)
(each an “Advisor” and collectively the “Advisors”), pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”.)  Effective February 1, 2009, NuWave Investment Management, LLC (“NW”) became the Trust’s sixth Advisor. As of March 31, 2009, PLP was terminated as an Advisor to the Trust.  Effective June 1, 2009,
the Trust entered into an Advisory Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory Agreement with GALP, in connection with GALP’s initiative to migrate all its clients to its Jersey-based entity.  The accounts managed by GALP and GAJL are managed in the same manner by the same team pursuant to the same trading program.  As of June 30 2009, AIS was terminated as an Advisor to the Trust. As of July 1, 2009 Haar Capital Management (“HCM”)
and Conquest Capital Group (“CCG”) became Advisors to the Trust.




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




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




The performance summaries set forth below outline certain major events and price trends which the Advisors’ programs have identified for the Trust during the quarters ended March 31, 2009, June 30, 2009 and September 30, 2009 and for JWH for the quarters ended March 31, 2008, June 30, 2008 and September 30, 2008. The fact that certain
trends or market movements were captured does not imply that others, perhaps larger and potentially more profitable trends or market movements, were not missed or that the Advisors will be able to capture similar trends or movements in the future.  Moreover, the fact that the programs were profitable in certain market sectors in the past does not mean that they will be so in the future.




17




Fiscal Quarter ended September 30, 2009




The Trust recorded net trading loss of $(1,533,510) or $(2.57) per unit for Class A units and $(2.06) per unit for Class B units in the third quarter of 2009.  (*** Please see “Notes to Consolidated Financial Statements” in Part I – Item 1 for an explanation of net asset value/unit pursuant to events of October,
2005, as the following excluded the Trust’s Non-Trading accounts)  As of September 30, 2009, the Trust had gained 31.65%  for Class A units since its inception in June 1997 and the Trust has posted a loss of –(8.43)% for Class B since its inception in January 2009.





Economic data was weak on an absolute basis during July but on a relative basis there was reason for hope.  Housing data appeared to show signs of stabilization.  Corporate earnings showed some life.  The stock market posted strong gains for the month.  Some commodities lead by the grain and base metal
sectors also showed strength later in the month. The U.S. Dollar was weaker across the board.  The short term manager, CCG, performed best during  the month capturing profits in stock, interest rate, and currency markets.  The longer term strategies provided mixed results:  JWH, who employs only long term trend following strategies, was positive for the month.  NuWave and Abraham were negative for the month reflecting the difficult conditions being dealt with
by other leading multi strategy advisors in the industry this year.  HCM, the discretionary manager, was about even on the month after a cautious start.  GALP/GAJL,  the commodity only manager, was slightly negative for the month but was starting to gain ground as the month drew to a close.





During August, auto sales improved dramatically thanks to the Government’s “Cash for Clunkers” program.  Housing sales also improved.  The President re-nominated Federal Reserve Chairman Bernanke based on his handling of the crisis that unfolded last year.  IPO activity increased and two large
corporate acquisitions took place at month end.  These situations taken together seem to reflect a market and economy returning to more solid footing.  This allowed stocks to turn in their most positive August since 2000.  Bond prices rose as well during the month as inflation remained in check.  Natural gas and corn were the weakest among commodities.  Action in the crude oil and the foreign currency markets looked very similar during the month.  Each
traded in a range during the month finishing on the low side.  The short term advisor, CCG, posted negative returns for the month.  Their short term trading strategy was frustrated by the range bound trading that persisted during the month.  JWH, NuWave, and Abraham were all positive for the month.  This was due to the longer term nature of their systems.  Haar, the new discretionary manager, was also positive for the month capturing returns from a stronger sugar
market.  GALP/GAJL, the commodity only manager, was also positive for the month on the back of stronger metals markets.





By September 30, the stock market finished its strongest quarter since Q4 1998 and is up almost 20% for the year.  It is up almost 50% from its low in March of this year.  It is interesting to note that since World War II the average size of stimulus packages implemented by the government and the Federal Reserve to revive
the economy has been 2.9% of our Gross Domestic Product.  This has come from the government chipping in an average of 2.4% and the Fed has added 0.5% through easier monetary policy.  Thus far, to battle this recession, the government has provided 10% in stimulus activity through fiscal measures while the Fed has pumped in 9.5% for a total of 19.5% of assistance.  That is more than the average stimulus package by a factor of 6.  No wonder the market has rallied.  The
fact that the stimulus package has been delivered on borrowed money has yet to trigger a response from the market.  With the stock market drifting higher and with other markets, particularly grains and energy, mired in trading ranges, the Advisors did not have many opportunities during the month.  Four of the six managers were up slightly during the month with two managers losing money.  JWH, ATC, NW, and HCM were profitable.  GALP/GAJL and CCG lost money.







Fiscal Quarter ended September 30, 2008





The Trust recorded net trading loss of $4,787,469 or $5.95 per unit in the third quarter of 2008.  (*** Please see “Notes to Consolidated Financial Statements” in Part I – Item 1 for an explanation of Net Asset Value/unit pursuant to events of October, 2005, as the following excludes the Trust’s Non-Trading
accounts.)  As of September 30, 2008, the Trust had gained 24.14% since its inception in June 1997.





July was a difficult month for the Trust as many global markets experienced abrupt, record reversals in trend. The Trust experienced losses in every market sector it trades.  The largest losses came from the energy sector as a result of dramatic falls in the price of both natural gas and crude oil during the month.  The
interest rate sector was also hit hard as the markets struggled to find direction amidst the conflicting effects of both inflationary and deflationary forces. The cloud of the U.S. housing and credit crisis continues to create turmoil in the markets. In July, it was the near demise and subsequent bailout of Fannie Mae and Freddie Mac that grabbed the headlines. The interest rate markets were among the worst-performing part of the Trust.  The Trust entered the month with positions in European bonds and
interest rates aligned as they followed the trend of higher European rates. This


18





trend reversed during the first half of the month as nervousness about the future of U.S. government-sponsored entities, Fannie Mae and Freddie Mac occurred. The pending effect their possible failure would have on the U.S. stock and housing markets prompted global investors to seek the safety of government bonds. Positions in the German bund market were the worst-performing in this sector.  Later in the month the announced
restructuring plan for Fannie Mae and Freddie Mac, orchestrated by the Federal Reserve Board and the U.S. Treasury was initially well received by the market. Stability in Fannie Mae and Freddie Mac combined with sharply declining commodity prices had a modestly positive effect on market sentiment, which put at least a temporary end to the rise in global bond prices. Trading in currencies was also unprofitable.  Positions in European currencies were hit hardest as price action was choppy throughout the
month. At times during July, the dollar showed signs of strength, particularly during the sell-off in commodities later in the month. Overall, however, the dollar continued to trade in a trendless pattern at low levels.  Positions in non-dollar crossrates made a modest positive contribution to the portfolio but not enough to offset the losses sustained from positions in the major European currencies. Many global equity indices started the month in a clear down trend and were contributing positively
to performance until mid-July. The rally that started near the middle of the month and continued to month-end wiped out the gains and left the portfolio with small losses in this sector. A rotation out of the commodity sector and into certain financials was a key theme during the rebound in prices. Positions in U.S., European and Asian equities were all modestly unprofitable for the month.


The energy markets experienced significant declines in July.  The peak in natural gas was reached just as July was getting underway.  By the close of the month, natural gas had experienced nearly a 35% decline in 21 trading days. Crude oil peaked later in the month.  Its failure to breach the psychologically important $150/ barrel market may have led to selling across the energy complex.  Fundamentals,
including rising inventories, the easing of political tension in Iran and perceptions about the prospects for diminished future demand given the declining global equity markets - can not fully explain the speed and magnitude of these declines. In the agricultural sector dramatic reversals of prices in soybeans and corn contributed to most of the losses. December corn, for example, fell almost 20% for the month. Damage from the spring floods was less-than-expected and growing conditions improved during the month.
There is also a fundamental link between grain prices and energy via the ethanol component of gasoline.  As a result, the decline in the price of energy affected the price of grains. Gold tracked higher early in the month as the dollar made new lows against the euro and investors sought a safe haven from the declines in the stock market.  However, gold then sold off hard under the weight of improving equity market sentiment and rapidly declining energy prices. Trading in the metals sector
was unprofitable.





The Trust’s performance was positive for the month of August.  Major market moves that contributed negatively to July’s performance served as  sources of the Trust’s August returns as the portfolio shifted to reflect new trends in energy, metals and the U.S. dollar.  The dollar, as measured by
the dollar index, surged 5% in August and by the end of the month, was more than 8% above the mid-July low.  The Federal Open Market Committee statement acknowledged that the Federal Reserve Board (the Fed) had “significant concern about the upside risk to inflation”. Considering the weakened U.S. credit markets and the overall economy, this new language inferred that the value of the dollar might weigh more heavily on future decision by the Fed to lower interest rates. Economic data from
other countries showed weakness, casting doubt on the thesis that the rest of the global economy would be immune from the slowdown in the U.S. Other factors that supported the dollar were narrowing interest rate differentials, technical factors related to the liquidation of long-held dollar shorts, weakness in the commodity sector and the unwinding of commodity-linked trades. Positions in British pound and Swiss franc were the most profitable. The metals markets were influenced by the dollar rally and the decline
in demand for commodities. The price of gold followed through on the reversal that began in July and declined nearly 10% further in August. Silver also moved sharply to the downside and was the biggest contributor to the sector’s positive performance.  The energy markets continued their decline from the records highs that were made earlier in the summer. Signs that the extended run up in energy prices are having an effect on consumer behavior and overall demand continue to show up in sector data
reports. For example, the Energy Information Administration report for the week ending August 22nd showed a larger-than-expected build in natural gas inventories pushing them close to the high end of the 5-year range for this time of the year. This deteriorating supply/demand dynamic combined with a strengthening dollar weighed on both crude oil and natural gas with both markets declining by more than 8% for the month. Forecasts predicting
hurricane Gustav would hit the important oil and natural gas areas in the U.S. Gulf region provided only modest and temporary support for the markets.  Some of the shorter-term models employed in the Trust were able to react to the sharp decline in energy prices and profit from the moves in August while the longer-term models adjusted more slowly and suffered losses. Trading in the energy sector was slightly negative for the month.  Trading in the agricultural markets was unprofitable in August.
In general the price action was choppy and idiosyncratic. These commodities as a group did not respond to the strength in the dollar in the same way as the energy and metals markets.  The gains from trading in the bean oil and cotton markets did not offset the accumulation of small losses in the other markets in the sector. Despite the turmoil in the currency and commodity markets, the price action in the stock and bond markets was relatively subdued. Most major stock markets shrugged off negative news
and fundamentals, including worsening credit conditions, the prospect of a government bailout of Fannie Mae and Freddie Mac and geo-political tensions with Russia, to post either slightly positive or slightly negative returns for the month. For example, the total return of the S&P 500 for August was


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+1.4%; the total return of the German Dax Index for the month was -0.88%.  Performance in the global equity sector was slightly unprofitable.  The global government bond markets also experienced lower volatility in August as most markets labored to move slightly higher. Declining commodities prices and a stronger dollar were positive developments that affected the outlook on inflation.  Global bonds may have also benefited from a flight to quality as the crisis in the credit
markets, and in particular U.S. Government Sponsored Enterprises, intensified in August. In addition and on balance, the data released during the month suggested a slowing global economy.  Overall, the Trust’s net exposure in the bond markets was profitable as gains from positions in Japanese and U.S. interest rates offset losses from positions in European government bonds.





September was one of the most unstable and volatile periods in the history of the U.S. financial markets. During the month, the world’s credit markets virtually seized up, commodity prices plunged, some major stock indices declined by more than 10%, while some of the largest U.S. financial institutions were pushed to extinction. High
volatility across most market sectors was a manifestation of investor fears and anxiety. Amidst this backdrop, the Trust thrived with 5 of the 6 sectors producing positive results. Trading in the global stock indices generated positive returns in the pronounced downtrends in global equity prices. A crisis of confidence pressured the financial sector throughout the month, punctuated by the bankruptcy of Lehman Brothers Holdings, the merger of Merrill Lynch and Bank of America, and the U.S. government bailout of
American International Group (AIG). The scarcity and rising cost of credit infected the entire market and the outlook for the U.S. economy. This culminated on the last day of the month when the Dow Jones had its largest single point drop since the stock market crash of 1987 following news that the U.S. House of Representatives rejected a measure to back the Treasury’s Troubled Assets Relief Program. The Trust’s trading was profitable in Asian, European and U.S. stock index futures. Trading in the
interest rate sector was more challenging, and slightly negative, as the price action for bonds was less directional, particularly in foreign bonds. Global interest rates were falling early in the year, benefiting from investor fear and risk aversion as well as diminished prospects for the U.S. and world economy. Sentiment shifted markedly near mid-month with the announcement of the $700 billion Treasury Troubled Assets Relief Program. Uncertainty about implications for inflation, hope that this would be a remedy
to cure the markets and  profit taking prompted a sharp reversal in global interest rate prices. The bond market resumed its march higher after the violent sell-off. The focus in the currency markets shifted. Recent periods of risk aversion and global investor fear often coincided with or prompted dollar weakness. However, the dollar strengthened substantially even as most of the negative news seemed to emanate from the United States. The reasons for this shift may be tied to action in the money markets
where LIBOR rates were soaring leading to a hoarding of dollars. The EUR/USD exchange rate fell from approximately 1.4673 to 1.4092, 4%, while the British pound fell from 1.8211 to 1.7805, 2.2%. The currency sector was profitable for the month. Trading in metals was profitable as market correlations shifted during the month. As the dollar strengthened, most commodities, including the metals markets, fell. However, as fear in the financial markets intensified, gold began to break higher while other metals continued
to fall.  Silver was the best performer in this sector.  The energy sector generated positive returns for the Trust during the month. Crude oil, crude oil products and natural gas all finished the month down more than 10% from the prior month’s close. A weakening global economy that is now viewed to be extending to the emerging markets, and a strengthening U.S. dollar have negatively impacted the demand side of the energy markets while supply fundamentals have not changed.  Trading
in the agricultural markets was also profitable for the month as the Trust benefited from short positions across the complex. These downtrends were supported by a general flight from the commodity markets due to weakening global demand and a strong dollar. Some of the best trades, however, benefited from deteriorating market specific fundamentals. For example, wheat was weighed down further after the release of the September USDA report which showed a meaningful rise in the world’s wheat production.





During the quarter no units were sold.  Beneficial Owners redeemed a total of 24,783 units during the quarter.  The Managing Owner purchased a total of 1,329 units during the quarter.  At the end of the quarter there were 735,058 units outstanding owned by the Beneficial Owners and 15,552 units outstanding owned
by the Managing Owner.





During the fiscal quarter ending September 30, 2008, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over-the-counter contracts.





Fiscal Quarter ended June 30, 2009





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




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





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





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





Fiscal Quarter ended June 30, 2008





The Trust recorded net trading loss of $413,339 or $0.41 per unit in the second quarter of 2008.  (*** Please see “Notes to Consolidated Financial Statements” in Part I – Item 1 for an explanation of net asset value/unit pursuant to events of October, 2005, as the following excluded the Trust’s Non-Trading
accounts.)  As of June 30, 2008, the Trust had gained 31.41% since its inception in June 1997.





The Trust’s performance was negative in April as many of the year-to-date trends were interrupted or came to an end. Earlier market pessimism and fear began to ebb as massive monetary and fiscal stimuli were digested by traders and investors. In retrospect, the actions taken by the Federal Reserve Board (the Fed) in the second half of
March to bail out Bear Stearns and add liquidity to the financial system marked an intermediate turning point in many markets. As volatility subsided and sentiment improved into April, long held positions were unwound.  The overall improvement in sentiment was evident in the stock market as the Dow Industrials closed April well off the March lows and near its high for the year. The S&P 500 rallied 4.8% in April, posting its best month in almost 5 years.  The CBOE Volatility Index (VIX),
a popular measure of implied market volatility, which is sometimes referred to as the “fear index”, closed the month at 20.8%, more than 40% below its highest levels in March. In this environment of declining volatility, global equity indices rallied, reducing the profitability of open trades in this sector.  The interest rate markets also experienced significant reversals in April as the combination of Fed policy, better-than-expected economic data and improving stock market performance
combined to push intermediate-to-long-term global interest rates higher during the month. The Fed punctuated the month by announcing the seventh interest rate cut in eight months. The economic data released during the month, including first quarter Gross Domestic Product, which was up 0.6%, proved better than the market expected and still creates doubts as to whether the U.S. economy is or will be in a recession. Positions in European interest rates fared better than those in the U.S. and Asia.  The
currency sector was also unprofitable in April. The dollar staged a modest recovery in April. Positions in the Japanese yen and Swiss franc were hardest hit. The Australian dollar contributed positively to performance as it remained strong against the U.S. dollar. Positions in non-dollar cross-rates were largely flat on the month.  The metals sector was negative for the month. Gold remained under pressure and somewhat linked to the fortunes of the U.S. dollar, however the Trust’s models were able
to adjust to the price action and limit losses.  Positions in London copper were slightly profitable, as declining stocks and strong global demand continue to support prices.  Performance in agricultural commodities was mixed for the month. Price action was relatively tame when compared to the extreme volatility of the first quarter. Positions in the grain markets worked well as the Trust profited from divergent trends in corn and wheat. Small losses were incurred in the soft commodities.  The
Trust’s performance in the energy sector was positive in April. Crude oil continued its march higher – more





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than 12% for the month - bolstered by strong demand and tight supplies. Higher prices have not deterred demand according to the International Energy Agency who reported that they expect global demand to rise by close to 2% this year with Chinese consumption increasing by 5%.  Unrest in Nigeria has exacerbated the supply situation.
Natural gas, reacting to separate fundamentals also moved higher and contributed positively to performance.





The Trust produced positive performance for the month of May.  The majority of the markets traded were relatively quiet and directionless with the exception of the energy sector.  The most notable gains were centered in the energy markets as crude traded above $135 per barrel, gasoline topped $4.00 at the pump in the U.S.
and natural gas rallied more than 11%. The general fundamentals supporting the rise in energy prices did not change in May. Supply continues to be tight and demand from large emerging economies continues to be strong.  On May 21st, a day before the monthly high price in crude oil was reached, the U.S. reported that crude oil inventories fell 5.32 million barrels in the prior week, the largest drop in four months. Commodity
analysts began to raise their price targets for energy. The increases in energy prices led to calls in the U.S. Congress for increased regulatory scrutiny of those markets. Critical focus was on the effect of speculation in the commodity markets and the impact of passive commodity indexing. Time will tell, but the government furor may coincide with the market peak. The Trust’s trading in energies accounted for a majority of the Trust’s gains for the month.  The interest rate sector also
contributed to the monthly gains, as the prospect for higher inflation and more stable financial markets on a global scale outweighed concerns over slowing economic activity. The U.S. Consumer Price Index (CPI) and Producer Price Index (PPI) releases aligned with expectations, but year-over-year rates of 3.9% and 6.5% respectively, are indications that inflationary pressures are building in the U.S. economy. The yield on the benchmark U.S. 10-year bond rose to close the month at 4.05%. Positions in European interest
rates were among the most profitable.  Global equity markets, on the surface, were stable in May as volatility continued to decline from the peak levels witnessed earlier in the year.  The ranges were relatively tight and offered few opportunities for trend-followers. The U.S. S&P 500 opened the month at 1386 and closed at 1400, a gain of 1%. Underneath the surface, shares of banks and brokerage firms remained under pressure. The equity sector contributed little to the Trust’s profit/loss
as small gains from Japanese positions were largely offset by small losses in other markets.  The currency markets were also quiet in May. While the significant downward pressure on the U.S. dollar appears to have abated, there was little evidence of strong demand to own dollars.  Price action in May affirmed the fact that there remains a link between the EUR/USD exchange rate and oil prices; however, this correlation is not as strong across all currencies traded in the Trust. Nevertheless,
this link has become an important consideration for policy makers. Official rhetoric throughout the month suggested that continued weakness in the dollar would be unwelcome. Overall trading in the currency markets was trendless and consequently unprofitable for the Trust.  Trading in the metals markets was also calm in May as prices were directionless. The demand for metals as a safe haven has ebbed for now as a degree of stability has returned to the financial markets. Additionally, the stability of
the dollar took away one of the fundamentals in support of owning metals. Trading in both base and precious metals produced slightly negative results in May.  Trading in the agricultural markets produced slight gains. Positions in certain grain markets were profitable as concerns about growing conditions in the Midwest impacted prices. Positions in other markets were light with trend-less patterns.





The Trust was positive in June. While many strong macro economic trends, including weakness in the housing market, the rationing of credit, and significant stress in the financial system remain intact and continue to pressure global equity prices, many financial markets continue to be choppy and devoid of clear trends.  The majority
of the gains for the Trust came from the commodity markets; global demand for energy continued to push prices higher and flooding in the Midwest impacted the outlook for the future supply of grain.   In difficult market conditions, the Trust was able to limit losses in the interest rate sector. Global bond prices were generally continued the falling trend from May.  A marked change toward a more hawkish tone from central banks, declining stock prices and the flight to quality were powerful
forces that combined to disrupt this trend.  The U.S. benchmark yield fell from an intra-month high of 4.27% on June 17th to close the month below 4% amidst heavy quarter-end selling in the stock markets.  Positions in U.S. and Japanese bonds were unprofitable but positions in European bonds fared better because of a more muted price reversal.  The major currency markets were unable to find direction from
changing and conflicting signals on the economy and global interest rate differentials.  The dollar attempted to rally from its weakened state early in June only to fall back later in the month as the stock market declined, risk was reduced, and U.S. interest rates fell.  Trading in currencies was unprofitable for the month as gains from trades in Swiss franc, Euro and crossrates were unable to offset losses from positions in other currencies.  Global equity markets suffered significant
declines during the month of June as higher energy prices, tighter monetary conditions and continued stress in the financial sector depressed prices. For example, the S&P 500 was down 8.6% for the month. The Dow Jones Industrial Average approached bear market territory as the decline from its high approached 20%.  The MSCI world stock index declined more than 8% in June, extending year-to-date losses through June 2008 to 10%.  Financial shares led the decline. In contrast to March, when
market volatility was extremely high, the price action in June was relatively tame with the move lower being more of a steady, persistent decline. The Trust’s performance in this sector was slightly positive as it entered the month with a mix of both long and short positions.  Trading performance in the metals sector was flat.  Although metals prices staged a rally in the second half of the month, positions in both precious and base metals were light as





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the price action was largely directionless.  A good portion of the Trust’s monthly gains came from the energy sector as crude, crude products and natural gas continued to move higher. On June 19th, China announced that they would be raising crude
and jet fuel prices by more than 15%. The market initially tumbled on the prospect for lower demand from one of the world’s largest energy consumers. The market not only recovered from this news, but went on to post another record high at month end as analysts began to reassess China’s announcement, the dollar and stock market slides and the rise of geo-political tensions in the Middle East.  The agricultural markets, and in particular, grains, were also profitable. Corn and soybean prices
started the month moving higher as floods affected the Midwest growing regions. Uncertainty over how the floods would impact plantings and future yields pushed corn and other grain prices up sharply with corn finishing the month more than 20% higher than May’s close.  The Trust recorded a trading gain of 4.19% for the month.  The June month-end trading NAV was $107.50.





During the quarter no units were sold.  Beneficial owners redeemed a total of 35,552 units during the quarter.  The Managing Owner redeemed a total of 872 units during the quarter.  At the end of the quarter there were 759,841 units outstanding owned by the Beneficial Owners and 14,223 units outstanding owned
by the Managing Owner.





During the fiscal quarter ending June 30, 2008, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.





Fiscal Quarter ended March 31, 2009





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




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




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





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





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




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Fiscal Quarter ended March 31, 2008





The Trust recorded net trading gains of $19,467,032 or $ 23.22 per trading unit in the first quarter of 2008 (*** Please see “Notes to Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October, 2005, as the following excludes the Trust’s Non-Trading accounts). As
of March 31, 2008, the Trust had gained 31.91% since its inception in June 1997.




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




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




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





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yield approached 4% during the month, up from a low of 3.30%  in January, only to end the month at 3.5%.  After rallying early in February, the dollar reversed course and closed the month weaker against most major currencies as narrowing interest rate differentials and the prospect for higher inflation in the U.S. combined
to weigh on the currency. The low-yielding Swiss franc and Japanese yen were among the strongest currencies against the dollar as risk appetite in the market remains low. The USD/JPY exchange rate closed the month at a multi-year low of 103.75. Trading in the euro was choppy and less profitable; nevertheless, the currency did manage to close at an all-time high of 1.5180. As global demand pushed commodity prices to historic levels, the commodity markets generated the majority of the Trust’s February returns.
The greatest profits came from the agriculture markets, particularly from grains and soft commodities. In some cases, the moves were significant: bean oil was up 27% during the month, coffee was up 19%, wheat was up 15%, and sugar was up 14%.  It is uncommon for these markets in this sector to move higher so strongly in the same month. The demand for food related commodities from a flatter, more prosperous global economy is an important theme driving agricultural commodities. The weakness of the dollar
is another important factor. The energy sector was also profitable as crude oil surged above $100 per barrel. The initial stage of the approximate 10% rally in the price of crude during the month may be attributable to the unwinding of large short positions that were established in January. In addition to the old themes of strong demand and dollar weakness, the perception in the market that OPEC would defend levels below $90 per barrel helped to support prices. Natural gas was a significant contributor to the
sector’s profits during the month also. Performance from the metals sector was positive as both precious and base metals were higher. Gold continues its march toward the $1,000/ounce level. The weak dollar, further Fed rate cuts and macroeconomic concerns, including the prospects for further inflation, are fundamentals that can have a positive influence on the price of gold.  The movements higher in base metals during the month were based on production outages reported in both China and South
Africa. This puts further pressure on inventories which are at multi-year lows.







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





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




25




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





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





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




The Trust does not have any material contractual obligations.





Item 3.  Quantitative and Qualitative Disclosures About Market Risk





There has been no material change with respect to the Trust’s market risk as described in the section entitled "Quantitative and Qualitative Disclosures About Market Risk" in our annual report on Form 10-K for the year ended December 31, 2008.





Item 4T.Controls and Procedures




Evaluation of Disclosure Controls and Procedures:Under the supervision and with the participation of the management of R.J. O’Brien Fund Management, LLC, the Managing Owner of the Trustat the time this
report was filed,  including the Managing Owner’s Chief Executive Officer (the Trust’s principal executive officer) and Chief Financial Officer (the Trust’s principal financial officer), have evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures (as defined in Rules 13a-15(c) and
15d-15(e) under the Exchange Act) as of September 30, 2009.  The Trust’s disclosure controls and procedures are designed to provide reasonable assurance that information the Trust is required to disclose in the reports that the Trust files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms.  Based on this evaluation, the Chief Executive Officer and Chief Financial Officer of the
Managing Owner have concluded that the disclosure controls and proceduresof the Trust were effective at September 30, 2009.




Changes in Internal Control Over Financial Reporting:There were no changes in the Trust’s internal control over financial reporting; during the quarter ended September 30, 2009 that have materially affected, or are reasonably likely to materially affect, the Trust’s
internal control over financial reporting.




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





PART II - OTHER INFORMATION





Item 1.  Legal Proceedings





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





Item 1A. Risk Factors





There have been no material changes from the risk factors in the section entitled “The Risks You Face” in the Trust Post-Effective Amendment No. 4 to the Registration Statement on Form S-1 filed on April 3, 2009 and declared effective May 1, 2009.





Item 2.  Unregistered Sales of Securities and Use of Proceeds





a)  None




26


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





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






Units Redeemed


Redemption Date NAV per UnitMonth

Class A


Class B


Class A


Class BJuly


6,878



-


$
109.84


$
111.12August


6,370



-


$
108.66


$
110.12September


6,450



-


$
107.70


$
109.32-Total


19,698



-




Class A units sold July 1, 2009  through September 30, 2009: 530


Class B units sold July 1, 2009 through September 30, 2009: 0


Units (Class A) unsold through September 30, 2009:  998,141 ($107,499,786)


Units (Class B) unsold through September 30, 2009: 998,141 ($109,116,774)


Aggregate price paid for units sold July 1, 2009 through September 30, 2009: $58,000.00




Item 6.  Exhibits





a) Exhibits





Index to Exhibits




ExhibitNumber

Description of Document3.01

Eighth Amended and Restated Declaration and Agreement of Trust of RJO Global Trust (the “Registrant”), dated as of September 26, 2008.13.02

Restated Certificate of Trust of the Registrant.231.01

Rule 13a-14(a)/15d-14(a) Certifications of Principal Executive Officer.31.02

Rule 13a-14(a)/15d-14(a) Certifications of Principal Financial Officer.32.01

Section 1350 Certification of Principal Executive Officer and Principal Financial Officer.







1 Incorporated by reference herein from the exhibit of the same description filed on April 3, 2009 with Post-Effective Amendment No. 4 to the Registrant's Registration Statement on Form S-1 (Reg. No. 333-146177).
 2 Incorporated by reference from the exhibit of the same description filed on September 30, 2008 on Form 8-K.


27
 
 SIGNATURES





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








RJO Global Trust








Date:
November 12,  2009By:
R.J. O’Brien Fund Management, LLC.Managing OwnerBy:
/s/  Thomas J. AndersonThomas J. AndersonChief Financial Officer and duly authorized officer