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, 2008


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





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





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


o
Yes         x
No




1





Explanatory
Note




On
September 26, 2008 the legal name of the Trust was changed from “JWH Global
Trust” to “RJO Global Trust.”






2




TABLE
OF CONTENTS






PART I. FINANCIAL
      INFORMATIONItem 1. Financial
      Statements
            
            
            4Consolidated
      Statements of Financial Condition, as of September 30, 2008
      (unaudited) and
      December 31, 2007
            
            
            4Condensed
      Consolidated Schedule of Investments, as of September 30, 2008
      (unaudited)
            
            
            5Condensed
      Consolidated Schedule of Investments, as of December 31,
    2007
            
            
            6Consolidated
      Statements of Operations, for the three and nine months ended September
      30, 2008 and 2007 (unaudited)
            
            
            7Consolidated
      Statement of Changes in Unitholders' Capital, for the nine months
      ended September
      30, 2008 (unaudited)
            
            
            8Notes to
      Consolidated Financial Statements (unaudited)
            
            
            9Item 2. Management's
      Discussion and Analysis of Financial Condition and Results of
      Operations
            
            
            14Item 3. Quantitative
      and Qualitative Disclosures about Market Risk
            
            
            27Item 4T. Controls
      and Procedures
            
            
            27PART II. OTHER
      INFORMATION
            
            
            28Item 1. Legal
      Proceedings
            
            
            28Item 1A. Risk
      Factors
            
            
            28Item 2. Unregistered
      Sales of Equity Securities and Use of Proceeds
            
            
            28Item 6.
      Exhibits
            
            
            28SIGNATURES
            
            
            29






3





PART
I – FINANCIAL INFORMATION




Item
1.  Financial Statements




RJO
GLOBAL TRUST AND SUBSIDIARY
 Consolidated
Statements of Financial Condition


September
      30, 2008
              
              
              December
      31, 2007UNAUDITEDAssetsAssets:Equity
      in commodity Trading accounts:Cash
      on deposit with brokers
              
              $
              74,213,187
              
              
              $
              72,906,959Unrealized
      gain on open contracts
              
              
              3,227,649
              
              
              
              1,468,910Cash
      on deposit with bank
              
              
              52,617
              
              
              
              30,436Cash
      on deposit with bank - Non-Trading
              
              
              6,828,766
              
              
              
              8,881,32784,322,219
              
              
              
              83,287,632Interest
      receivable
              
              
              61,745
              
              
              
              135,241Total
      Assets
              
              $
              84,383,964
              
              
              $
              83,422,873Liabilities
      and Unitholders' CapitalLiabilities:Accrued
      commissions
              
              $
              280,196
              
              
              $
              271,984Accrued
      management fees
              
              
              128,942
              
              
              
              123,807Accrued
      incentive fees
              
              
              -
              
              
              
              -Accrued
      offering expenses
              
              
              94,630
              
              
              
              30,000Accrued
      operating expenses
              
              
              159,227
              
              
              
              292,627Redemptions
      payable - Trading
              
              
              657,914
              
              
              
              1,641,786Accrued
      legal fees - Non-Trading
              
              
              41,873
              
              
              
              76,170Accrued
      management fees to U.S. Bank - Non-Trading
              
              
              23,667
              
              
              
              29,424Distribution
      payable - Non-Trading
              
              
              39,801
              
              
              
              39,801Total
      liabilities
              
              
              1,426,250
              
              
              
              2,505,599Unitholders'
      capital:Unitholders’
      capital (Trading):Beneficial
      owners (735,058 and 831,874 units outstanding atSeptember
      30, 2008 and December 31, 2007, respectively)
              
              
              74,647,232
              
              
              
              70,450,079Managing
      owner (15,552 and 20,218 units outstanding atSeptember
      30, 2008 and December 31, 2007, respectively)
              
              
              1,579,306
              
              
              
              1,712,262Unitholders'
      capital (LLC equity/Non-Trading):Participating
      owners (681,966 and 798,724 units outstanding atSeptember
      30, 2008 and December 31, 2007, respectively)
              
              
              2,018,618
              
              
              
              3,075,087Nonparticipating
      owners (1,591,322 and 1,474,564 units outstanding atSeptember
      30, 2008 and December 31, 2007, respectively)
              
              
              4,712,558
              
              
              
              5,679,846Total
      unitholders' capital
              
              
              82,957,714
              
              
              
              80,917,274Total
      Liabilities and Unitholders’ Capital
              
              $
              84,383,964
              
              
              $
              83,422,873Net
      asset value per unit:Trading
              
              $
              101.55
              
              
              $
              84.69LLC
      equity/Non-Trading
              
              $
              2.96
              
              
              $
              3.85See
      accompanying notes to consolidated financial statements.


4




RJO
GLOBAL TRUST AND SUBSIDIARY
 Condensed
Consolidated Schedule of Investments
 as
of September 30, 2008
 UNAUDITED
  Number
      of
                
                
                Principal
                
                
                Value/opencontracts
                
                
                (notional)
                
                
                trade
      equityLong positions (-0.62%)Futures
      Positions (-0.56%)Agriculture
                
                
                114
                
                
                $
                2,456,675
                
                
                $
                (112,075
                )Indices
                
                
                6
                
                
                
                1,199,756
                
                
                
                (3,945
                )Interest
      rates
                
                
                942
                
                
                
                190,366,541
                
                
                
                (302,358
                )Metals
                
                
                15
                
                
                
                1,437,885
                
                
                
                (45,715
                )195,460,857
                
                
                
                (464,093
                )Forward
      Positions (-0.06%)Currencies
                
                
                3
                
                
                
                66,921,600
                
                
                
                (50,174
                )Total
      long positions
                
                
                
                
                
                $
                262,382,457
                
                
                $
                (514,267
                )Short positions
      (4.51%)Future
      positions (5.01%)Agriculture
                
                
                541
                
                
                
                20,286,722
                
                
                
                1,894,419Energy
                
                
                172
                
                
                
                16,559,080
                
                
                
                280,949Indices
                
                
                369
                
                
                
                19,596,967
                
                
                
                1,093,230Interest
      rates
                
                
                19
                
                
                
                8,128,677
                
                
                
                29,275Metals
                
                
                127
                
                
                
                10,784,110
                
                
                
                857,92475,355,556
                
                
                
                4,155,797Forward
      positions (-0.50%)Currencies
                
                
                4
                
                
                
                135,615,736
                
                
                
                (413,881
                )Total
      short positions
                
                
                
                
                
                $
                210,971,292
                
                
                $
                3,741,916Total
      Unrealized Gain on Open Contracts (3.89%)
                
                
                
                
                
                
                
                
                
                $
                3,227,649Cash
      on deposit and open contracts with brokers (89.46%)
                
                
                
                
                
                
                
                
                
                
                74,213,187Cash
      on deposit with bank (8.30%)
                
                
                
                
                
                
                
                
                
                
                6,881,383Other
      liabilites in excess of assets (-1.65%)
                
                
                
                
                
                
                
                
                
                
                (1,364,505
                )Net
      assets (100.00%)
                
                
                
                
                
                
                
                
                
                $
                82,957,714See
      accompanying notes to consolidated financial statements.
   5
 
  JWH
GLOBAL TRUST AND SUBSIDIARY
 Condensed
Consolidated Schedule of Investments
 December
31, 2007




Number
      of
              
              
              Principal
              
              
              Value/opencontracts
              
              
              (notional)
              
              
              trade
      equityLong positions
      (3.24%)Futures
      Positions (2.18%)Agriculture
              
              
              1,145
              
              
              $
              27,440,938
              
              
              $
              1,316,159Energy
              
              
              243
              
              
              
              21,641,588
              
              
              
              704,037Indices
              
              
              61
              
              
              
              13,352,207
              
              
              
              (973
              )Interest
      rates
              
              
              1,332
              
              
              
              340,380,811
              
              
              
              (280,099
              )Metals
              
              
              140
              
              
              
              11,716,520
              
              
              
              23,669414,532,064
              
              
              
              1,762,793Forward
      Positions (1.06%)Currencies
              
              
              4
              
              
              
              142,065,738
              
              
              
              858,449Total
      long positions
              
              
              
              
              
              $
              556,597,802
              
              
              $
              2,621,242Short positions
      (-1.42%)Futures
      positions (0.27%)Agriculture
              
              
              72
              
              
              $
              2,343,040
              
              
              $
              17,480Energy
              
              
              44
              
              
              
              3,327,850
              
              
              
              18,610Indices
              
              
              79
              
              
              
              11,180,426
              
              
              
              321,195Interest
      rates
              
              
              795
              
              
              
              193,800,873
              
              
              
              (220,909
              )Metals
              
              
              82
              
              
              
              6,072,288
              
              
              
              78,700216,724,477
              
              
              
              215,076Forward
      positions (-1.69%)Currencies
              
              
              8
              
              
              
              173,483,740
              
              
              
              (1,367,408
              )Total
      short positions
              
              
              
              
              
              $
              390,208,217
              
              
              $
              (1,152,332
              )Total
      unrealized gain on open contracts (1.82%)
              
              
              
              
              
              
              
              
              
              $
              1,468,910Cash
      on deposit and open contracts with brokers (90.10%)
              
              
              
              
              
              
              
              
              
              
              72,906,959Cash
      on deposit with bank (11.01%)
              
              
              
              
              
              
              
              
              
              
              8,911,763Other
      liabilites in excess of assets (-2.93%)
              
              
              
              
              
              
              
              
              
              
              (2,370,358
              )Net
      assets (100.00%)
              
              
              
              
              
              
              
              
              
              $
              80,917,274See
      accompanying notes to consolidated financial statements.
   6
 
  RJO
GLOBAL TRUST AND SUBSIDIARY
 Consolidated
Statements of Operations
 UNAUDITED


Three
      Months Ended September 30,
              
              
              Nine
      Months Ended September 30,2008
              
              
              2007
              
              
              2008
              
              
              2007Trading
      gain (loss):Gain
      (loss) on trading of commodity contracts:Realized
      gain (loss) on closed positions
              
              $
              (3,857,598
              )
              
              $
              (8,001,847
              )
              
              $
              16,692,646
              
              
              $
              (14,720,850
              )Change
      in unrealized gain (loss) on open positions
              
              
              505,130
              
              
              
              2,317,304
              
              
              
              1,758,739
              
              
              
              2,114,790Foreign
      currency transaction gain (loss)
              
              
              (86,341
              )
              
              
              5,192
              
              
              
              (87,906
              )
              
              
              (105,937
              )Total
      Trading gain (loss)
              
              
              (3,438,809
              )
              
              
              (5,679,351
              )
              
              
              18,363,479
              
              
              
              (12,711,997
              )Investment
      income:Interest
      income
              
              
              249,597
              
              
              
              690,629
              
              
              
              886,451
              
              
              
              2,597,161Expenses:Commissions
              
              
              907,987
              
              
              
              1,098,169
              
              
              
              3,005,941
              
              
              
              4,155,914Management
      fees
              
              
              363,270
              
              
              
              388,223
              
              
              
              1,202,560
              
              
              
              1,407,759Incentive
      fees
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -Ongoing
      offering expenses
              
              
              135,000
              
              
              
              60,000
              
              
              
              342,000
              
              
              
              257,000Operating
      expenses
              
              
              192,000
              
              
              
              187,643
              
              
              
              433,207
              
              
              
              367,367Total
      expenses
              
              
              1,598,257
              
              
              
              1,734,035
              
              
              
              4,983,708
              
              
              
              6,188,040Trading
      income (loss)
              
              
              (4,787,469
              )
              
              
              (6,722,757
              )
              
              
              14,266,222
              
              
              
              (16,302,876
              )Non-Trading
      income (loss):Interest
      on Non-Trading reserve
              
              
              25,022
              
              
              
              80,613
              
              
              
              101,820
              
              
              
              175,481Collections
      in excess of impaired value
              
              
              -
              
              
              
              2,589,725
              
              
              
              1,747,216
              
              
              
              3,782,808Legal
      and administrative fees
              
              
              (60,959
              )
              
              
              (85,849
              )
              
              
              (306,366
              )
              
              
              (529,301
              )Management
      fees paid to US Bank
              
              
              (77,476
              )
              
              
              (23,525
              )
              
              
              (270,932
              )
              
              
              (319,582
              )Non-Trading
      income (loss)
              
              
              (113,413
              )
              
              
              2,560,964
              
              
              
              1,271,738
              
              
              
              3,109,406Net
      income (loss)
              
              $
              (4,900,882
              )
              
              $
              (4,161,793
              )
              
              $
              15,537,960
              
              
              $
              (13,193,470
              )See
      accompanying notes to consolidated financial statements.






7




RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statement of Changes in Unitholders’ Capital


For
the nine months ended September 30, 2008


UNAUDITIED




Unitholders'
      Capital (Trading)
              
              Beneficial
      Owners - Trading
              
              
              Managing
      Owners - Trading
              
              
              Total
      Unitholders' Capital - TradingUnits
              
              
              Dollars
              
              
              Units
              
              
              Dollars
              
              
              Units
              
              
              DollarsBalances
      at December 31, 2007
              
              
              831,874
              
              
              $
              70,450,079
              
              
              
              20,218
              
              
              $
              1,712,262
              
              
              
              852,092
              
              
              $
              72,162,341Net
      income
              
              
              -
              
              
              
              13,876,401
              
              
              
              -
              
              
              
              389,821
              
              
              
              -
              
              
              
              14,266,222Unitholders’
      contributions
              
              
              10,736
              
              
              
              1,053,815
              
              
              
              1,329
              
              
              
              120,000
              
              
              
              12,065
              
              
              
              1,173,815Unitholders’
      redemptions
              
              
              (107,552
              )
              
              
              (10,733,063
              )
              
              
              (5,995
              )
              
              
              (642,777
              )
              
              
              (113,547
              )
              
              
              (11,375,840
              )Balances
      at September 30, 2008
              
              
              735,058
              
              
              $
              74,647,232
              
              
              
              15,552
              
              
              $
              1,579,306
              
              
              
              750,610
              
              
              $
              76,226,538Unitholders'
      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, 2007
              
              
              798,724
              
              
              $
              3,075,087
              
              
              
              1,474,564
              
              
              $
              5,679,846
              
              
              
              2,273,288
              
              
              $
              8,754,933Net
      income
              
              
              -
              
              
              
              424,473
              
              
              
              -
              
              
              
              847,265
              
              
              
              -
              
              
              
              1,271,738Unitholders’
      contributions
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -Reallocation
      due to redemptions
              
              
              (116,758
              )
              
              
              (427,127
              )
              
              
              116,758
              
              
              
              427,127
              
              
              
              -
              
              
              
              -Unitholders'
      distribution
              
              
              -
              
              
              
              (1,053,815
              )
              
              
              -
              
              
              
              (2,241,680
              )
              
              
              -
              
              
              
              (3,295,495
              )Balances
      at September 30, 2008
              
              
              681,966
              
              
              $
              2,018,618
              
              
              
              1,591,322
              
              
              $
              4,712,558
              
              
              
              2,273,288
              
              
              $
              6,731,176Total
      Unitholders Capital at September 30, 2008
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              $
              82,957,714Unitholders'
      Capital(Trading)
              
              
              
              
              
              Unitholders'
      Capital(LLC
      Equity/Non-Trading)Net
      asset value per unit at December 31, 2007
              
              $
              84.69
              
              
              
              
              
              
              $
              3.85Net
      change per unit
              
              
              16.86
              
              
              
              
              
              
              
              (0.89
              )Net
      asset value per unit at September 30, 2008
              
              $
              101.55
              
              
              
              
              
              
              $
              2.96
 See
accompanying notes to consolidated financial statements.
  8




RJO
GLOBAL TRUST AND SUBSIDIARY


NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS


September
30, 2008


(Unaudited)





(1)  General
Information and Summary





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




John W.
Henry & Company, Inc. (“JWH”) served as the Trust’s sole trading advisor
until October 31, 2008.  The advisory agreement between the Trust and
JWH provided that JWH had sole discretion in and responsibility for the
selection of the Trust’s commodity transactions with respect to that portion of
the Trust’s assets allocated to it.  As of  September 30,
2008, JWH was managing 100% of the Trust’s assets. See Note (9) for
subsequent additions of trading advisors.





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 and
Post-Effective Amendment No. 2 on Form S-1, filed with the SEC on October 6,
2008.





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


(1)
beneficial owners holding more than 50% of the outstanding units notify the
Managing Owner to dissolve the Trust as of a specific date; (2) dissolution of
the Managing Owner of the Trust; (3) bankruptcy of the Trust; (4) a decrease in
the net asset value to less than $2,500,000; (5) a decline in the net asset
value per unit to $50 or less; (6) dissolution of the Trust; or (7) any event
that would make it unlawful for the existence of the Trust to be continued or
require dissolution of the Trust.





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




Effective
January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited
liability company, was established to pursue the claims against RCM. On January
2, 2007, the Trust transferred all non-trading assets and liabilities, which had
a net asset value of $7,791,679, to the LLC. 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.  US 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 explained above, as
follows:




(a)
            Any
      unitholder who had redeemed their entire interest in the Trust prior to
      distribution shall receive cash (“Non Participating
    Owners”).(b)
            Any
      unitholder who had continued to own units in the Trust shall receive
      additional units in the Trust at the then Net Asset Value of the Trust
      (“Participating Owners”).


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




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




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




9




(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, 2007.




(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 consolidated financial
statements.




The Trust
earns interest on 100% of the Trust’s average daily balances on deposit with RJO
during each month at 75% of the average 4-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 3-month
LIBOR less 100 basis points.




(d)    Redemptions




A
beneficial owner may cause any or all of his or her units to be redeemed by the
Trust effective as of the last business day of any month of the Trust based on
the Net Asset Value per unit on such date on five business days’ written notice
to The Bank of New York Mellon or the Managing Owner.  Payment will
generally be made within ten business days of the effective date of the
redemption. As of September 1, 2007, any redemption made during the first eleven
months of investment is subject to a 2% redemption penalty, payable to the
Managing Owner.  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.




Effective
October 31, 2005, the Net Asset Value per unit was split into a “Trading”
account and a “Non-Trading” account, the latter representing the assets held at
RCM plus $1,000,000 in cash in connection with expenses related to the
collection of assets held at RCM and potential third party
claims.  All unitholders of record as of October 31, 2005 received
their pro-rata right to the assets and the 2,273,288 in substitute units that
were transferred to the Non-Trading account.  Investors who redeemed
from October 31, 2005 through September 30, 2008 received the Net Asset Value
per Unit represented by assets held in the Trading account.




(e)     Ongoing
Offering Costs




Ongoing
offering costs subject to a ceiling of 0.50% of the Trust’s average month-end
net assets, are paid by the Trust and expensed as incurred. In anticipation of
renewing the offering for new subscriptions, $342,000 in ongoing offering costs
were accrued during the first nine months of 2008.




(f)    Commissions




Commodity
brokerage commissions are typically paid for each trade transacted and are
referred to as “round-turn commissions.”  These commissions cover
both, the initial purchase (or sale) and the subsequent offsetting sale (or
purchase) of a commodity futures contract.  The Trust does not pay
commodity brokerage commissions on a per-trade basis, but rather
pays  flat-rate brokerage fees on a monthly basis of 5.0% per annum
(or approximately 0.417% per month) of the Trust’s month-end assets after
reduction of the management fee.  Prior to September 1, 2007, the
Trust paid commodity brokerage commissions


10




on a
monthly basis of 6% per annum.  The clearing brokers receive these
brokerage fees irrespective of the number of trades executed on the Trust’s
behalf.  The amount paid is reduced by exchange fees paid by the
Trust.  Commissions are not paid with respect to the LLC.




Since
December 1, 2006, the Managing Owner and/or affiliates act as commodity brokers
for the Trust through RJO.  As such, the Managing Owner and/or
affiliates receive all commissions after December 1, 2006 that were recorded as
such in the consolidated financial statements.




(g)    Foreign
Currency Transactions




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




(h)     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.




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




(j)    Recent Pronouncements




In
September, 2006, the Financial Accounting Standards Board (“FASB”) issued a
Statement of Financial Accounting Standards (“SFAS”) No. 157, “Fair Value
Measurements” which defined Fair Value Measurements.  The Trust
adopted SFAS 157 effective January 1, 2008, resulting in additional disclosures
regarding fair value measurements.  The Trust’s financial assets and
liabilities fall into exchange and inter-bank dealer market(s) as it pertains to
inputs to the fair valuation techniques described in the
pronouncement.  The Trust’s financial assets and liabilities are all
“Level 1” inputs, as described in the fair value hierarchy.  The
valuation of the Trust’s assets and liabilities can be obtained through price
quotes provided by active futures and forward trading exchanges and the
inter-bank currency dealing market.  These price quotes represent fair
value measurement at a particular date of the financial assets and liabilities
held within the Trust.





In
March 2008, the FASB issued SFAS No. 161, “Disclosures about Derivative
Instruments and Hedging Activities” (“SFAS 161”).  SFAS 161
establishes, among other things, the disclosure requirements for derivative
instruments and for hedging activities.  This statement requires
qualitative disclosures about objectives and strategies for using derivatives,
quantitative disclosures about fair values amounts of and gains and losses on
derivative instruments, and disclosures about contingent features related to
credit risk in derivative agreements. SFAS 161 is effective for the Trust
beginning January 1, 2009.  The Trust is evaluating the effect
the adoption of SFAS 161 will have on its consolidated financial
statements.





(3)  Fees





Management
fees are accrued and paid monthly. Incentive fees are accrued monthly and paid
quarterly. Trading decisions for the Trust were made by JWH utilizing four of
its trading programs through February 29, 2008: JWH Global Analytics®, the
Financial and Metals Portfolio, the International Foreign Exchange program, and
Global Diversified. As of March 1, 2008, the Trust’s assets were re-allocated to
utilize three of the JWH programs: 20% Financial and Metals Portfolio, 40% JWH
Global Analytics® and 40% JWH Diversified Plus portfolio.




Pursuant
to the Trust’s agreement with JWH, JWH receives a monthly management fee at the
rate of 0.167% (a 2% annual rate) of the Trust’s month-end net assets calculated
after deduction of a portion of the brokerage fee at an annual rate of
1.25%


11




of the
Trust’s month-end net assets, but before reduction for any incentive fee or
other costs and before inclusion of purchases and redemptions for the month.
These management fees were not paid on the Non-Trading/LLC net
assets.




The Trust
also pays JWH a quarterly incentive fee equal to 20% of the “New Trading
Profit”, if any, of the Trust. The incentive fee is based on the overall
performance of the Trust, not individually in respect of the performance of the
individual programs utilized by the Trust. 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 a portion of the brokerage fees at an annual rate of
1.25%.




(4)  Income
Taxes





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







(5)  Trading
Activities and Related Risks





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





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





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





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





Net
trading results from derivatives for the periods ended September 30, 2008 and
2007, are reflected in the consolidated statements of operations and equal gain
from trading less brokerage commissions.  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, 2008 and December 31, 2007,
as disclosed in the respective Condensed Consolidated Schedule of Investments,
do not represent the Trust’s risk of loss due to market and credit risk, but
rather represent the Trust’s extent of involvement in derivatives at the date of
the statement of financial condition.





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





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




Effective
October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which
represented the assets held at RCM plus $1,000,000 in cash were transferred to a
Non-Trading account, as explained in Note 2(d). 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:




12






Recoveries
      from RCM, Distributions paid by US Bank from the LLC, and effect on
      impaired value of assets held at RCMAmounts
      Received from
              
              
              Balance
      of
              
              
              Collections
      in Excess of
              
              
              Cash
      Distributions to Non-Participating
              
              
              Additional
      Units in Trust for Participating OwnersDate
              
              RCM
              
              
              Impaired
      Value
              
              
              Impaired
      Value
              
              
              Owners
              
              
              Units
              
              
              Dollars12/29/06
              
              $
              10,319,318
              
              
              $
              6,643,944
              
              
              $
              -
              
              
              $
              4,180,958
              
              
              
              54,914
              
              
              $
              5,154,71104/20/07
              
              
              2,787,629
              
              
              
              3,856,315
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -06/07/07
              
              
              265,758
              
              
              
              3,590,557
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -06/28/07
              
              
              4,783,640
              
              
              
              -
              
              
              
              1,193,083
              
              
              
              -
              
              
              
              -
              
              
              
              -07/03/07
              
              
              5,654
              
              
              
              -
              
              
              
              5,654
              
              
              
              -
              
              
              
              -
              
              
              
              -08/29/07
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              2,787,947
              
              
              
              23,183
              
              
              
              1,758,62609/19/07
              
              
              2,584,070
              
              
              
              -
              
              
              
              2,584,070
              
              
              
              -
              
              
              
              -
              
              
              
              -12/31/07
              
              
              2,708,467
              
              
              
              -
              
              
              
              2,708,467
              
              
              
              -
              
              
              
              -
              
              
              
              -03/28/08
              
              
              1,046,068
              
              
              
              -
              
              
              
              1,046,068
              
              
              
              -
              
              
              
              -
              
              
              
              -04/29/08
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              2,241,680
              
              
              
              10,736
              
              
              
              1,053,81506/26/08
              
              
              701,148
              
              
              
              -
              
              
              
              701,148
              
              
              
              -
              
              
              
              -
              
              
              
              -Totals
              
              $
              25,201,752
              
              
              $
              -
              
              
              $
              8,238,490
              
              
              $
              9,210,585
              
              
              
              88,833
              
              
              $
              7,967,152


(7)   Financial
Highlights





The
following financial highlights show the Trust’s financial performance for the
three-month and nine-month periods ended September 30, 2008 and
2007.  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.




Three
      months ended Sepember 30,
              
              
              Nine
      months ended September 30,2008
              
              
              2007
              
              
              2008
              
              
              2007Net
      asset value of trading units at beginning of period
              
              $
              107.50
              
              
              $
              87.37
              
              
              $
              84.69
              
              
              $
              93.86Trading
      income (loss) per unit
              
              
              (5.95
              )
              
              
              (6.75
              )
              
              
              16.86
              
              
              
              (13.24
              )Net
      asset value of trading units at end of period
              
              $
              101.55
              
              
              $
              80.62
              
              
              $
              101.55
              
              
              $
              80.62Total
      Return:Total
      return before incentive fee
              
              
              (5.53
              %)
              
              
              (7.73
              %)
              
              
              19.91
              %
              
              
              (14.11
              %)Less
      incentive fee allocation
              
              
              0.00
              %
              
              
              0.00
              %
              
              
              0.00
              %
              
              
              0.00
              %Total
      return:
              
              
              (5.53
              %)
              
              
              (7.73
              %)
              
              
              19.91
              %
              
              
              (14.11
              %)Ratios
      to average net assets:Trading
      income (loss):
              
              
              (6.44
              %)
              
              
              (8.61
              %)
              
              
              18.33
              %
              
              
              (17.54
              %)Expenses:Expenses
      less incentive fees
              
              
              (2.15
              %)
              
              
              (2.22
              %)
              
              
              (6.41
              %)
              
              
              (6.66
              %)Incentive
      fees
              
              
              0.00
              %
              
              
              0.00
              %
              
              
              0.00
              %
              
              
              0.00
              %Total
      expenses
              
              
              (2.15
              %)
              
              
              (2.22
              %)
              
              
              (6.41
              %)
              
              
              (6.66
              %)




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


The net
loss and expense ratios are computed based upon the weighted average net assets
for the Trust for the three-month and nine-month periods ended September 30,
2008 and 2007. The amounts are not annualized.




13





(8)
Amendments to Trust Agreement





Effective
September 26, 2008, the Trust is governed by the Eighth Amended and Restated
Declaration and Agreement of Trust (the “Trust Agreement”).  The
Managing Owner amended the prior Trust Agreement to reflect the change in the
name of the Trust from the JWH Global Trust to the RJO Global Trust, to convert
the Trust to a multi-advisor platform, and to update and remove outdated
information, clarify certain ambiguities, and to reconcile inconsistencies that
appeared in the prior Trust Agreement..





(9)
Subsequent Events





(a)
Change in Commodity Trading Advisors





On or
about November 1, 2008, the Managing Owner reallocated the trading of the
Trust’s assets among five Commodity Trading Advisors (“CTAs”) by entering into
five advisory agreements (collectively the “Advisory Agreements”) as
follows:





1.
            Amended
      and Restated Advisory Agreement with John W. Henry & Company,
      Inc. dated as of September 16, 2008;2.
            Advisory
      Agreement with Abraham Trading, L.P. dated as of August 25,
      2008;


3.
            Advisory
      Agreement with AIS Futures Management, LLC dated as of August 25,
      2008;4.
            Advisory
      Agreement with Global Advisors L.P. dated as of August 25, 2008;
      and


5.
            Advisory
      Agreement with Peninsula LP dated as of August 25,
  2008.





The
Advisory Agreements were executed on September 24, 2008 and will be effective on
or about November 1, 2008.





(b)
Changes in Fees





In
accordance with the terms of the Advisory Agreements, each CTA was allocated 20%
of the assets of the Trust.  The Trust will pay each CTA an annual
management fee of up to 2% of the Trust’s assets traded by that CTA, in
accordance with its respective Advisory Agreement.  The Trust will
also pay each CTA an incentive fee of up to 20% of the new trading profit (as
defined in each Advisory Agreement) generated by the CTA.





(c)
Changes in Selling and Brokerage Commissions





Pending
approval from the SEC and NFA, the Trust will begin selling its Units in two
classes:  Class A Units will be subject to a 2.0% selling agent
commission and Class B Units will not.  Additionally, and commencing
on November 1, 2008, the Trust’s brokerage fee is paid on an actual, per-trade
basis that constitutes a “wrap fee” of 4.65% – 5.00%, which
includes:  managing owner fee of 0.75% annually; selling commission of
2.35% annually (of which 2.0% is paid to the selling agent and 0.35% is
allocated to other underwriting expenses) with respect to Class A Units and
0.35% annually with respect to Class B Units (no fee is paid to the selling
agent with respect to Class B Units); clearing, NFA, and exchange fees (paid as
incurred and estimated at 1.22% to 1.42% annually and capped at 1.57%); and
0.33% to the Trust’s consultant, Liberty Funds Group.




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




Effective
November 1, 2008, the Trust’s assets were reallocated equally among five
separate trading advisors.





(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 JWH, and the Trust’s expenses are
primarily charged as a fixed percentage of its asset base.





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




14





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, 2008 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 Trust’s  CTAs to
limit losses as well as reduce market exposure on short notice should their
programs indicate reducing market exposure.





The Trust
is paid interest on the average daily U.S. dollar balances on deposit with RJO
at a rate equal to 75% of the average four-week Treasury Bill rate; the
remaining 25% of the average four-week Treasury Bill rate is retained by
RJO.  With respect to non-U.S. dollar deposits, the rate of interest
is equal to a rate of 3-month LIBOR less 1.0%.  Any amounts received
by RJO in excess of amounts paid to the Trust are retained by
RJO.  For the fiscal quarters ended September 30, 2008 and 2007, the
Trust had received or accrued to receive trading interest of $249,597 and
$690,629 respectively.  For the nine months ended September 30, 2008
and 2007, the Trust has received or accrued to receive trading interest of
$886,451 and $2,597,161, respectively.





The
Trust’s involvement in the futures and forward markets exposes the Trust to both
market risk and credit risk.  Market risk arises from changes in the
market value of the futures and forward contracts held by the
Trust.  Credit risk occurs when another party to a contract fails 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 Trust’s CTAs monitor the Trust’s trading activities and
attempt to control the Trust’s exposure to market risk by, among other things,
refining its 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 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 that
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 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.




15





(c)    Results
of Operations





The
Trust’s success depends on the ability of its CTAs 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.





The
performance summaries set forth below outline certain major price trends which
JWH’s programs have identified for the Trust during the third quarters of fiscal
years 2008 and 2007.  The fact that certain trends were captured does
not imply that others, perhaps larger and potentially more profitable trends,
were not missed or that the Trust’s CTAs will be able to capture similar trends
in the future.  Moreover, the fact that the programs were profitable
in certain market sectors in the past does not mean that they will be so in the
future.





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





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 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


16




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 +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


17




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 September 30, 2007





The Trust
recorded net trading loss of $6,722,757 or $6.75 per unit in the third quarter
of 2007.  (*** 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, 2007, the Trust had lost -1.42% since
its inception in June 1997.





The
Trust’s performance was negative for July as many of the trends that contributed
to second quarter gains were disrupted or ended.  Concerns about
strains in the U.S. housing market, exposure to sub-prime mortgages and excess
leverage in the financial system resurfaced prompting investors to reduce
positions in “risky” assets. The manifestation of this “flight to quality” was
most noticeable in the credit markets where market forces pushed borrowing costs
significantly higher. In this volatile trading environment, government bond
prices rose while global equities and higher yielding currencies declined. The
Trust benefited from the diversification associated with its commodity
allocation. While the financial sectors of the Trust were negatively impacted by
trend reversals and rising volatility, overall Trust losses were partially
mitigated by gains resulting from the rising price of crude oil and trends in
the grain markets. Strong global growth, rising inflationary concerns and
vigilant central banks were three factors that combined to drive global interest
rates higher during the third quarter of 2007. Festering near the surface of the
market consciousness however, was real concern about the state of the U.S.
housing market, hedge fund and investment bank exposure to sub-prime mortgages
and the fragility of the liquidity dependent capital markets. These fears
increased in July resulting in higher bond prices and a clear re-pricing of
risk.  The broad-based trend reversals in global bonds caused the
Trust to incur losses in the interest rate sector. Trading in currencies was
also unprofitable. At the start of the month, the profile of the Trust’s
currency portfolio generally reflected the markets’ desire for higher yielding
currencies at the expense of lower yielding currencies. As it turned out, the
turmoil in the credit markets had a collateral effect on the currency markets as
investors bought back short positions in low yielding currencies that were used
to finance long positions in higher yielding currencies. The Trust’s largest
loss was in the Japanese yen. Global equity prices suffered a significant
setback in July as the S&P 500 and most emerging markets fell more than five
percent from their highs during the month. Trading in this sector was difficult
in July as a number of long held positions were stopped out. The energy sector
was profitable and helped to offset losses in other areas of the Trust’s
portfolio. While crude and petroleum products were moving higher, natural gas
prices were moving lower. Unlike the financial sectors, where correlations
within sectors were rising because of the flight to quality, the energy markets
moved independently generating profit opportunities for the Trust. Outside the
energy sector, other commodity prices were mixed on the month. The Trust
benefited from positions in the grain markets. Trading in other commodities was
uneventful with only modest influences on the Trust’s overall performance during
July.




18




The
Trust’s performance was negative for the month of August as the crisis that
began in the sub-prime mortgage market continued spreading globally. This
produced short-lived, sharp and unusually well correlated spikes in volatility
throughout global financial markets.  As a result, the Trust’s
long-term diversified trend-following methodology suffered losses as the market
dislocations forced the exiting of positions. The interest rate sector was the
Trust’s strongest performer for the month as investors sought the relative
safety of government debt.  Japanese Government 10-year bonds (JGBs)
were the sector’s best performer. They completed their biggest monthly gain in a
year as investors speculated that the Bank of Japan would delay raising interest
rates. U.S. Treasuries also helped performance as benchmark 10-year note yields
decreased 21 basis points for the month.  The sector’s gains were
hampered as various central banks added liquidity. Despite these
attempts  the, fixed-income trends remained intact with the U.S.
3-month bill yields falling more than any other month in almost six years. The
currency sector was the Trust’s worst performer for the month.  The
yen was the sector’s best performer ending the month at a 2.5% increase vs. the
dollar. The Trust experienced losses as it systematically exited positions in
the British pound and the Euro on strong downward spikes, only to see both
currencies immediately rally higher after the Fed rate change. The energy sector
was negative as petroleum products suffered strong trend
reversals.  Crude oil, the sector’s worst performer, traded near an
8-week low after reaching a record $78.77 a barrel on August 1st.  This
was due to the forecast of diminishing demand for gasoline as concern grew that
credit woes would lead to lower demand in the U.S., the world’s largest oil
user.  Crude oil finished the month down 5.3%.  The
agricultural, metals and indices sectors were slightly negative for the month as
range-bound markets and trend reversals dominated these sectors.  The
only component that exhibited noteworthy performance was CBOT
wheat.  Wheat was up 23% for the month, its largest monthly gain since
1975.  For the year, wheat is up 92% as global consumption exceeded
production and inventories headed for their lowest levels since
1982.  The gains were offset by the combined losses of the other
agricultural commodities.





The
Trust’s performance was positive for the month of September.  The
Trust gained as its systematic trend-following approach capitalized on the
dollar’s plunge and also benefited from the enhanced appeal of energies, grains
and precious metals, which drove commodities to their biggest monthly gain in 32
years. The currency sector was the Trust’s strongest performer for the month as
the U.S. dollar hit record lows with the interest rate cut by the
Fed.  The New York Board of Trade’s dollar index fell to its lowest
level since the gauge began in 1973.  The Fed’s trade-weighted index
comparing the dollar vs. other major currencies dropped  to the lowest
level since its inception in 1971.  The weakness of the dollar against
the euro was a significant contributor to gains as its fall led to an all-time
low of $1.4278 per euro. The agriculture sector was positive for the
month.  Wheat futures for December delivery reached a record $9.6175,
rising 21 % for the month on projections that “global inventories would dwindle
to their lowest level in 26 years”.  Soybeans also trended higher as
November futures reached the highest price since May 2004.  Soybean
futures rallied 14 % in September and 79 % in the past year after U.S. farmers
cut acreage 15% to a 12-year low. The energy sector was positive in September as
petroleum products rose to record highs.  The falling dollar makes oil
cheaper in countries using foreign currencies.  Crude oil reached a
record-breaking $83.90 a barrel on September 20th.  This
record high was less than a dollar from the all-time inflation-adjusted high
reached in 1981, when prices jumped because Iran cut oil exports. The metal
sector was positive for the month as gold extended its rally to its highest
price since 1980. Gold gained 11 % for the month and 15 % for the third quarter,
the most of any quarter since 1986. The indices and interest rate sectors did
not exhibit noteworthy performance for the month as both equity and fixed-income
markets experienced trend reversals.  The interest rate sector was
negative for September; European government bonds fell on the month amid
indications that German inflation was accelerating. The benchmark 10-year bund
yields, the worst performer in the interest rate sector, touched a six-week
high.  The indices sector was slightly positive for the month as
stocks rose to complete their steepest September advance since
1998.





During
the quarter no units were sold, however 23,182.53 new units were issued to
Beneficial Owners who had not redeemed through August 31, 2007. These units were
issued as a result of US Bank distributing $1,758,626 to continuing unitholders.
Beneficial owners redeemed a total of 76,768.92 units during the quarter. The
Managing Owner redeemed a total of 0 units during the quarter. At the end of the
quarter there were 920,453 units outstanding owned by the Beneficial Owners and
20,218 units outstanding owned by the Managing Owner.





During
the fiscal quarter ending September 30, 2007, the Trust had no material credit
exposure to a counterparty, which is a foreign commodity exchange, or to any
counterparties dealing in over-the-counter contracts.




19




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 excludes 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 created 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
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.


20




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 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 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 June 30, 2007





The Trust
recorded net trading gain of $12,228,625 or $10.91 per unit in the second
quarter of 2007.  (*** 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 June 30, 2007, the Trust had gained 6.80% since its
inception in June 1997.




21





The
Trust’s performance was positive for the month of April.  Global
financial markets recovered from the explosion in volatility that occurred at
the end of February and continued into March.  The currency sector was
the best performer for the month as the Euro reached a historical high against
both the U.S. dollar and the Japanese yen. and the British pound reached a
25-year high against the dollar. The dollar weakened on speculation that the
Federal Reserve Board would cut rates. At the same time, expectations grew that
the European Central Bank and the Bank of England would raise rates as their
economies strengthened.  The Japanese yen reached a record low against
the Euro and was weaker against major currencies. The majority of the sector was
positive for the month, with the largest gain achieved in the Euro. The
agriculture sector was positive for the month. Gains in N.Y. cotton and coffee
were partially offset by losses in CBOT wheat.  N.Y. cotton trended
lower throughout April as supply continued to outpace demand.  U.S. exports
to China, the largest consumer of the fiber, fell to 1.5 million bales from 5.4
million bales a year earlier.  N.Y. coffee continued to trend lower and
fell to a six-month low due to increases in inventories from last year. Wheat,
which had been trending lower prior to the cold weather at the beginning of the
month, suffered a reversal due to the resulting global supply concerns. The
global stock indices sector was positive for April driven by
stronger-than-expected first quarter earnings, an increase in mergers and
acquisitions, economic growth in Europe, and benign inflation in the
U.S.  In April, the S&P 500 gained 4.3 %, the Dow Jones Industrial
Average soared 5.7 %, and the Euro Stoxx 50 gained .2 %. Osaka Nikkei was
slightly negative as the Trust exited positions when Asian stocks fell on April
19thin reaction to China’s benchmark CSI 300 Index falling 4.7
%.  The metals sector was positive for the month asLME copper strengthened
in April to the highest it has been in more than 7 months.  Gold also
added to performance as the precious metal reached an 11 month
high.  Silver was negative for the month as speculation that the rally
in precious metals was overdone which caused reversals as prices dropped. The
energy sector was negative for the month. Natural gas fluctuated throughout the
month as weather drove demand.  Crude oil, the sector’s worst
performer, fell to $61.34 a barrel on April 19th before
reversing to $66.70 a barrel on April 27th.  The
interest rate sector was negative for the month on uncertainty in interest rate
policy of the world’s two largest economies.  Both U.S. Treasuries and
Japanese Government 10-year Bonds (JGBs) were trendless in April. While
uncertainty surrounded the state of these two economies, the German Benchmark
10-year bund and the British long gilts supported performance. Bund yields rose
to their highest level since August 2005.





The
Trust’s performance was positive for the month of May.  The interest
rate sector was the Trust’s strongest performer for the
month.   Global interest rates sustained their steady rise as
economic growth continued in Europe and as the U.S. housing market began to
stabilize.  The German Benchmark 10-year bund led performance as
consumer confidence climbed and manufacturing expanded in the Euro region
economy. U.S. Treasuries also bolstered performance as the benchmark 10-year
bond yield increased 26 basis points since April 30th, its
biggest monthly increase since March 2006.  The indices sector was
also positive for May as equity markets reached new highs due to continued
economic growth in Europe and indications from the U.S. Federal Reserve Board
(Fed) that growth would accelerate.  $1.1 trillion of announced Merger
and Acquisition deals so far this year pushed the S&P 500 past its 2000
peak. The Euro Stoxx 50 and Nasdaq E-mini led performance as the NASDAQ ended
the month at 2604.52, its highest level since February 2001.The energy sector
was negative for the month as energy markets remained
range-bound.  U.S. oil futures traded between $60 and $67 the past two
months as ample domestic stockpiles countered the impact of supply shutdowns in
Alaska and Nigeria.  The metals sector was negative for the
month.  The LME Copper strengthening trend faltered during the month
on speculation that China may be oversupplied.  Gold limited
performance as it fell to a two-month low in May.  Silver dropped 0.7
% in May.  Despite the drop, gold has gained 4.5 % for the year, while
silver has risen 4.1%. The currency sector was negative for the month. The U.S.
dollar rebounded in May from an all-time low against the Euro and rose 1%
against the British pound.  The dollar reversed as signs of economic
strength reduced the likelihood of cuts in interest rates by the
Fed.  A majority of the sector’s losses were offset by the dollar’s
strengthening against the Japanese yen.  The U.S. currency gained 1.9
% against the yen in May and reached a three-month high.  The
agriculture sector was negative for the month.  Soybean futures
rallied to a 35-month high as U.S. farmers said they would cut soybean acreage
67.1 million, the smallest since 1996.  Trend reversals in London
sugar, CBOT wheat and New York coffee more than offset the gains. Bean oil was
the sector’s best performer.





The
Trust’s performance was positive for the month of June.  The interest
rate sector was positive as European government bonds recorded their steepest
quarterly decline in almost 8 years.  The German Benchmark 10-year
bund trended lower for the fourth month in June.  The yield touched
4.70 % on June 13th, it’s
highest since August of 2002.  U.S. Treasuries also fell, suffering
their biggest quarterly decline since the 1st quarter
of 2006. The energy sector was positive in June as increased terrorism fears
combined with lower supplies in petroleum-based products and higher supplies in
natural gas drove the sector’s performance.  Natural gas futures for
August delivery plunged to a five-month low. This move occurred after a weekly
government report indicated that inventories rose more than analysts expected
and the outlook for colder temperatures this summer was likely to cut demand.
The currency sector was positive for the month as the Japanese yen suffered its
biggest quarterly loss against the Euro and the dollar since
2001.  The weakness of the U.S. dollar against both the British pound
and


22




the Euro
limited the sector’s gains.  The weakness was caused by speculation
that the Federal Reserve Board would keep borrowing costs unchanged for the
remainder of the year, while both the Bank of England and the European Central
Bank would continue to raise rates. The metals and agriculture sectors were
basically flat for the month, while the indices sector was slightly
negative as range-bound markets and trend reversals dominated these
sectors.  The only components that exhibited noteworthy performance
were wheat and corn.  The Trust profited as wheat futures trended
higher. The gains were offset by losses in corn.  Corn plunged to a
12-week low in Chicago after the government said U.S. farmers planted more acres
than forecast in March and the most since 1944. The Trust recorded a trading
gain of 7.08% for the month.  The June month-end trading NAV was $
87.37.




During
the quarter no units were sold. Beneficial owners redeemed a total of 200,636
units during the quarter. The Managing Owner redeemed a total of 0 units during
the quarter. At the end of the quarter there were 974,039 units outstanding
owned by the Beneficial Owners and 20,218 units outstanding owned by the
Managing Owner.




During
the fiscal quarter ending June 30, 2007, 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, 2008





The Trust
recorded net trading gain of $19,467,032 or $ 23.22 per trading unit in the
first 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 March 31, 2008, the Trust had
gained 31.91% since its inception in June 1997.




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




23





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 markets.  The U.S. yield curve steepened as
long-term interest rates moved higher. The benchmark U.S. 10-year note yield
approached 4% during the month, up from a low of 3.30% in January, only to end
the month at 3.5%.  After rallying 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


24




sector.
Natural gas rallied more than 7% during the month as colder-than-expected
temperatures and increased demand may slow the build in natural gas inventories.
Positions in London gas oil were also profitable. The agricultural sector was a
significant drag on performance in March as trading in all component markets was
negative. Trading and price action in the grain markets was largely independent
from the moves in the financial markets and the dollar. Most grain prices were
enjoying a remarkable bull market heading into March and arguably due for a
correction.  Recently expanded daily exchange price limits allowed for
dramatic moves to the downside in wheat, soybeans and soybean products. Corn
bucked the trend and finished the month stronger, buoyed by bullish reports from
the USDA. Soft commodities such as sugar, coffee and cotton reversed course
during the month, suffering from a reduction in speculative risk
taking.





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




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




Fiscal
Quarter ended March 31, 2007





The Trust
recorded net trading losses of $21,808,885 or $17.40 per trading unit in the
first quarter of 2007.  (*** 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 March 31, 2007, the Trust had
lost - 6.54% since its inception in June 1997.




The
Trust’s performance was negative for the month of January. The interest rate
sector was the Fund’s best performing sector.  European 10-year bond
yields reached 6-month highs and U.K. two-year gilt yields moved toward 5-year
highs.  German debt fell during the month with a decline in
unemployment and a rise in retail sales.  Long gilts slumped as yields
soared after the Bank of England unexpectedly raised interest rates by a quarter
point on January 11th.  U.S.
Treasuries also helped performance: the U.S. 10-year note yield touched a
5-month high of 4.9% on January 26th, as the
U.S. economy expanded faster in the fourth quarter than
expected.  Continued volatility in 10-year Japanese Government bonds
(JGBs) limited the sector’s performance.  With no change in rates,
JGBs had the biggest weekly gain since August.  The currency sector
was the Fund’s worst performing sector as currency markets reversed back and
forth. The U.S. dollar’s weakening trend against the euro and the British pound
continued its reversal. On January 3rd, the
dollar rose to a 6-month high against the euro. The December Federal Reserve
Board (Fed) meeting minutes stated that inflation (vs. waning growth) was their
“predominant concern,” hence supporting the dollar.  The British pound
fell to $1.9296 on January 5th from
$1.9848 on December 1st
(highest level since September 1992).  On January 11th, the
pound rose again to a 14-year high of $1.9916 vs. the dollar before falling
again.  Offsetting some of the losses was the Japanese yen, which fell
1.4% (to its lowest point in more than 4 years) vs. the
dollar.  Towards the end of January, however, the dollar had its
largest fall vs. the yen in more than two months. The yen was the best
performer, while the euro suffered the largest loss.  The energy
sector was positive for the month despite changing weather conditions which
caused extreme volatility within the sector.  Warmer-than-expected
weather in the beginning of the month, led to decreased demand and lower
prices.  Following a government report indicating that U.S. supplies
of crude oil, gasoline, heating oil and diesel were above the five-year average
for the period, crude oil prices plunged and reached a 19-month low of $49.90 a
barrel.  Forecasts of colder weather throughout February reversed the
weakening trend. On January 30th,
natural gas rose 12% and closed at its highest price since December 4th  (ending the month with a 21% gain).  By the end of
January, crude oil rebounded to above $58 a barrel in New York.  Crude
oil and London gas oil were the best performers; natural gas was the worst
performer. The metals sector was negative for the month as precious metal prices
reacted to fluctuations in the U.S. dollar.  The early January
strengthening in the U.S. dollar weakened Gold prices which fell
3.1%.  However, gold then rose 3.9% for the month as the dollar once
again weakened.  LME copper limited   losses as copper
prices fell 10% in January and 35% since reaching a record high in May
2006.  The equity indices sector was negative for the month as losses
in the NASDAQ E-mini offset the gains of the other components in the
sector.  U.S. stocks completed their longest stretch of monthly gains
in more than a decade but, intra-month volatility hurt the sector’s overall
performance.  On January 13th, U.S.
stocks rose to a more than 3-month high.   The NASDAQ had a 2.8%
increase to 2,502.82, a level not seen since February 2001.  However,
stocks fell towards the end of the month after profit reports caused concern
that analysts’ forecasts for earnings at computer-related companies were too
high.  The NASDAQ E-Mini was the worst performer in the sector, while
all other components of the sector were positive. The agriculture sector was
negative for the month as price instability hurt performance.  New
York coffee fell from a 19-month high of $1.30 on December 15th.  Corn
suffered a sharp reversal by falling 7.2% in the first 2 days of the year then
rebounded, along with soybeans, during the rest of the month.  Corn
reached a 10-year high on January 17th, while
soybeans reached an 18-month high on January 18th.  The
sector’s best performer was New York sugar, while the sector’s worst performer
was corn.




25




The
Trust’s performance was negative for the month of February. This negative
performance was a direct result of the explosion in volatility in the last week
of the month.  Trading up to that point was positive for the month,
but the events of the week reverberated throughout global markets and reversed
what few trends of earlier in the month. The events were primarily portrayed in
the U.S. media as a stock market decline, but the issues were far broader than
that.  Whether due to the Chinese stock market or the trouble in the
sub-prime loan sector, global markets awoke to a measure of short-term
volatility not seen for many months and was not confined to the equities
markets.  Example: the gold market hovered around the high $690s, a
level not seen since May of ‘06.  Similarly, the wheat, corn and
soybean markets were hitting full-year highs opening the last week of
February.  All of these markets suffered sharp declines during the
last week, which translated to losses for the
Trust.  Example:  the Japanese yen which was at its yearly
low strengthened over 2% against the dollar in the last three trading sessions.
These examples in unconnected markets indicate how widespread the difficulty was
in the last three days of the month.  The agriculture sector was the
Trust’s best performing sector as corn rose to a 10-year high in Chicago and
soybeans reached $8.0775, their highest level since June 2004, as wet weather
threatened to prevent U.S. farmers from planting enough crops to meet surging
demand for crop-based fuels.  Cotton and CBOT wheat limited gains as
wheat dropped in excess of 2% after prices had reached $5.09, the highest since
December 26th, as
investors bailed out of the commodity following the global plunge in equities.
Corn was the best performing component in the sector. The metals sector was
slightly positive for the month as both precious and base metals suffered strong
reversals.  Copper rallied for the majority of the month on
speculation that China would accelerate its buying.  However, the
month end slump in equities prices drove the metal lower once again as markets
speculated that demand would decline as economic expansion
slowed.  Prior to the drop in equities, industrial and precious metals
led a commodity rally amid renewed inflation concerns.  Performance in
gold and silver offset losses as prices climbed to nine-month highs. The
currency sector was negative for the month as the yen rallied against the dollar
to its highest level in more than 19 months on February 27th.  The
Swiss franc also reacted to the drop in equities by reversing its weakening
trend and rallied to three month highs against the dollar.  Slight
gains were produced by the euro as the dollar fell to its lowest level in almost
2 months against the currency.  The energy sector was negative for the
month as natural gas reversed its strengthening trend and had its biggest loss
in more than 6 weeks. After reaching a two month high on February 5th of
$8.035, natural gas for March, delivery dropped 7.7 % on February 12th, its
biggest one-day percentage decline since December 26th. Crude
oil’s reversal also hurt performance as it rose to $61.79 a barrel, its highest
closing price this year. All components of this sector exhibited negative
performance for the month. The interest rate sector was negative for the month
as global bond markets reversed their weakening trend as global equity sell-off
fueled demand for government debt.   The rally in German
Benchmark 10-year bonds (bunds) and U.K. fixed income also hurt performance as
long gilts posted their biggest gain since May.  U.S. Treasuries
posted their biggest gains since December 2004 and yields of U.S. 10-year
Treasury notes fell to their lowest level since December 2006 as the drop in
equity prices caused concern that investors would avoid riskier assets.  Japanese
Government Benchmark 10-year bonds (JGBs) added to the Trust’s negative
performance as speculation grew that the Bank of Japan would pause before
raising borrowing costs any further. The stock indices sector was negative for
the month as a result of the severe volatility in global equity
markets.  U.S. stocks had their biggest tumble since 2002, after a
plunge in the Chinese equity market.  This sparked a global drop in
equity prices and raised concerns that investors would unload equities after a
four-year bull market.  On February 27th,
Chinese stocks suffered their greatest loss in a decade, while the Dow Jones
Stoxx 600 Index dropped 3% and the Dow Jones Industrial Average fell as much as
546 points intraday, the most since the first day of trading after September
11th, 2001.
The Euro Stoxx 50 was the sector’s worst performer while the Nikkei 225 offset
some losses as the sector’s best performer.




The
Trust’s performance was negative for the month of March. The Trust experienced
losses as the February explosion in volatility continued into early
March.  The currency sector was negative for the month as the Japanese
yen’s sharp reversal continued during the first few days of
March.  The yen advanced to near its highest level in almost 2 months
against the dollar and gained against all 16 of the most-active currencies
during the first week of March.  The British pound (worst performer
during the month) fell to its lowest level against the yen in more than 4
months, as one month sterling/yen implied volatility soared to a record high of
11.75 due to concerns of rising risk. Offsetting some of the losses was the
strengthen trend in the Australian dollar. The interest rate sector was negative
for the month. Global bond markets fluctuated during the first half of the month
as fixed-income market sentiment vacillated between two conflicting views before
ending the month lower. Fixed-income markets, which had rallied throughout
February, continued to strengthen as uncertainty increased that the drop in
equities and the rising defaults among the riskiest mortgages, called subprime
mortgages, would slow consumer spending and the global economy.  In
reaction, yields in the German benchmark 10-year bund slid to their lowest in
2007.  However, economic data and central bank statements out of both
the U.S. and Europe throughout the month relieved investors’ fears and
eventually sent fixed-income markets lower, reversing the previous
trend.  The German 10-year bund was the sector’s worst performer.
European government bonds posted their biggest back-to-back weekly decline in
three months. On March 30th,
the


26




U.S.
10-year Treasury surrendered the remainder of the gains it had amassed after the
equity sell-off that began on February 27th. The
rally had driven the yield to as low as 4.44% on March 5th.  The
shifting market sentiment led all components of the sector to end the month in
negative territory. The metals sector was negative for the month as the drop in
price in the equity markets sent precious metals lower. By March 6th, gold
(the sector’s worst performer) had dropped almost $50, or 7.3% since February
26th, when
it closed trading at $686.65.  Although gold eventually began to
rally, ending the month down only .5%, the extreme drop in prices at the
beginning of the month caused the Trust’s systematic investment style to exit
positions, which resulted in losses for the Trust.  The stock indices
sector was negative for the month as the global sell-off that began on February
27th
caused more than $2.4 trillion in share value to be lost over five
days.  All components of the sector were negative.  The
Osaka Nikkei was the sector’s worst performer.  The agriculture sector
was negative for the month as investors sought to cover losses and reduce risk
in all markets as a result of the plunge in global equity prices.  As
a result, investors bailed out of commodities and took profits in corn and
soybeans, which had just reached multi-year highs.  Slight gains were
produced in New York coffee. The energy sector was slightly positive for the
month as weather and geopolitical events were the driving forces of price
movements. Natural gas, the sector’s worst performer, dropped to its lowest
price in two months on March 19th as
forecasts for milder weather signaled reduced consumption of the heating
fuel.  However, when forecasters predicted a shift in the weather
pattern that would deliver colder than normal air, prices rose to a one-month
high.  Offsetting the losses in natural gas, were the gains achieved
in petroleum products.  While gains were achieved in crude oil as it
continued its weakening trend for most of the month, they were limited as crude
oil spiked higher and traded near a six-month high. The Trust recorded a trading
gain of 2.04% for the month.  The March month-end trading NAV was
$76.46.




During
the quarter no units were sold. Beneficial owners redeemed a total of 108,895.93
units during the quarter. The Managing Owner redeemed a total of 0 units during
the quarter. At the end of the quarter there were 1,174,676 units outstanding
owned by the Beneficial Owners and 20,218 units outstanding owned by the
Managing Owner.




During
the fiscal quarter ending March 31, 2007, 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 that have or are reasonably
likely to have a current or future affect 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,
2007.





Item
4T.  Controls and Procedures





Under the
supervision and with the participation of the management of R.J. O’Brien Fund
Management, LLC, the managing owner of the Trust,  including the
managing owner’s President and Chief Financial Officer, the Trust has evaluated
the effectiveness of the design and operation of its disclosure controls and
procedures as of September 30, 2008, and, based on their evaluation, the
President and Chief Financial Officer of the managing owner have concluded that
these disclosure controls and procedures were effective as of September 30,
2008.  There were no changes in the Trust’s internal control over
financial reporting, during the quarter ended September 30, 2008 that have
materially affected, or are reasonably likely to materially affect, the Trust’s
internal control over financial reporting.





Any
control system, no matter how well designed and operated, 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.




27





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. 2 to the Registration
Statement on Form S-1 filed on October 6, 2008.





Item
2.  Unregistered Sales of Securities and Use of Proceeds





a)  None


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











The
following table summarizes the redemptions by unitholders during the third
quarter of 2008:




Month
              
              Units
      Redeemed
              
              Redemption
      Date NAV per UnitJuly
              
              11,272
              
              $                                                90.29August
              
              7,104
              
              $                                                91.38September
              
              6,407
              
              $                                              101.55Total
              
              24,783
  Units
sold January 1, 2008 through September 30, 2008: 1,329 (managing owner
purchase)


Units
unsold through September 30, 2008: 998,671 ($101,415,040)


Aggregate
price paid for units sold January 1, 2008 through September 30, 2008:
$120,000





Item
6.  Exhibits





a)
            Exhibits





Index to
Exhibits






Exhibit
              Number
            
            Description of Document3.01
            
            Eighth Amended and
      Restated Declaration and Agreement of Trust of the Registrant.13.02
            
            Certificate of
      Amendment of Certificate of Trust of the Registrant.131.01
            
            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 from the exhibit of the same description filed
on  September 30, 2008 on the Registrant's Form 8-K., and incorporated
herein by reference


28




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
      TrustDate:
              November 6,
      2008By:
              R.J. O’Brien Fund
      Management, LLC.Managing
    OwnerBy:
              /s/ Thomas J.
      AndersonThomas J.
      AndersonChief Financial
      Officer and duly authorized officer