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, 2010




OR




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


SECURITIES
EXCHANGE ACT OF 1934





For
the transition period from ________ to ________





Commission
File Number:  000-22887





RJO
GLOBAL TRUST


(Exact
name of registrant as specified in its charter)





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





c/o
R.J. O’Brien Fund Management, LLC


222
South Riverside Plaza


Suite
900


Chicago,
IL  60606


(Address
of principal executive offices) (Zip Code)





(312)
373-5000


(Registrant's
telephone number, including area code)





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


x
Yes          ̈ No





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


 ̈
Yes          ̈ No





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





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




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


 ̈
Yes         x No





TABLE
OF CONTENTS





PART
      I. FINANCIAL INFORMATION
              3Item
      1. Financial Statements
              3Consolidated
      Statements of Financial Condition, as of September 30, 2010 (unaudited)
      and December 31, 2009
              3Condensed
      Consolidated Schedule of Investments, as of September 30, 2010
      (unaudited)
              4Condensed
      Consolidated Schedule of Investments, as of December 31,
    2009
              5Consolidated
      Statements of Operations, for the three and nine months ended September
      30, 2010 and 2009 (unaudited)
              6Consolidated
      Statement of Changes in Unitholders’ Capital, for the nine months ended
      September 30, 2010 (unaudited)
              7Notes
      to Consolidated Financial Statements
              8Item
      2. Management's Discussion and Analysis of Financial Condition and Results
      of Operations
              17Item
      3. Quantitative and Qualitative Disclosures about Market
    Risk
              23Item
      4T. Controls and Procedures
              23PART
      II. OTHER INFORMATION
              24Item
      1. Legal Proceedings
              24Item
      1A. Risk Factors
              24Item
      2. Unregistered Sales of Equity Securities and Use of
    Proceeds
              24Item
      6. Exhibits
              25SIGNATURES
              26




2


PART
I – FINANCIAL INFORMATION





Item 1.  Financial
Statements





RJO GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statements of Financial Condition





September
      30,
                
                
                December
      31,2010
                
                
                2009UNAUDITEDAssetsAssets:Equity
      in commodity Trading accounts:Cash
      on deposit with brokers
                
                $
                54,177,135
                
                
                $
                59,500,719Unrealized
      gain on open contracts
                
                
                1,835,271
                
                
                
                767,006Purchased
      options on futures contracts (premiums paid - $ 206,000)
                
                
                142,800
                
                
                
                -Total
      due from brokers
                
                
                56,155,206
                
                
                
                60,267,725Cash
      on deposit with bank
                
                
                12,866
                
                
                
                38,436Interest
      receivable
                
                
                5,171
                
                
                
                1,694Cash
      on deposit with bank - Non-Trading
                
                
                3,702,032
                
                
                
                9,214,964Prepaid
      expenses - Non-trading
                
                
                78,182
                
                
                
                -Total
      Assets
                
                $
                59,953,457
                
                
                $
                69,522,819Liabilities
      and Unitholders' CapitalLiabilities:Accrued
      commissions
                
                $
                157,070
                
                
                $
                169,886Accrued
      management fees
                
                
                79,341
                
                
                
                85,057Accrued
      incentive fees
                
                
                161
                
                
                
                17,109Accrued
      offering expenses
                
                
                15,377
                
                
                
                22,768Accrued
      operating expenses
                
                
                359,816
                
                
                
                239,638Redemptions
      payable - Trading
                
                
                748,180
                
                
                
                878,988Accrued
      legal fees - Non-Trading
                
                
                -
                
                
                
                627,762Accrued
      management fees to U.S. Bank - Non-Trading
                
                
                22,511
                
                
                
                18,426Distribution
      payable - Non-Trading
                
                
                329,592
                
                
                
                -Total
      liabilities
                
                
                1,712,048
                
                
                
                2,059,634Unitholders'
      capital:Unitholders’
      capital (Trading):Beneficial
      owners:Class
      A (518,900 and 551,440 units outstanding at September 30, 2010 and
      December 31, 2009, respectively)
                
                
                52,312,292
                
                
                
                56,711,089Class
      B (12,676 and 9,358 units outstanding at September 30, 2010 and December
      31, 2009, respectively)
                
                
                1,323,422
                
                
                
                981,765Managing
      owner (11,679 Class A units outstanding at September 30, 2010 and December
      31, 2009)
                
                
                1,177,360
                
                
                
                1,201,090Unitholders'
      capital (LLC equity/Non-Trading):Participating
      owners (436,380 and 512,964 units outstanding at September 30, 2010 and
      December 31, 2009, respectively)
                
                
                658,104
                
                
                
                1,933,873Nonparticipating
      owners (1,836,908 and 1,760,324 units outstanding at September 30, 2010
      and December 31, 2009, respectively)
                
                
                2,770,231
                
                
                
                6,635,368Total
      unitholders' capital
                
                
                58,241,409
                
                
                
                67,463,185Total
      Liabilities and Unitholders’ Capital
                
                $
                59,953,457
                
                
                $
                69,522,819Net
      asset value per unit:Trading:Class
      A
                
                $
                100.81
                
                
                $
                102.84Class
      B
                
                $
                104.40
                
                
                $
                104.91LLC
      equity/Non-Trading
                
                $
                1.51
                
                
                $
                3.77





See
accompanying notes to consolidated financial statements.


3


RJO GLOBAL TRUST AND SUBSIDIARY


Condensed
Consolidated Schedule of Investments


as
of September 30, 2010


UNAUDITED





Number
      of
                              
                              
                              Principalcontracts
                              
                              
                              (notional)
                              
                              
                              Fair valueLong positions (5.16%)Futures
      Positions (5.17%)Agriculture
                              
                              
                              578
                              
                              
                              $
                              18,174,841
                              
                              
                              $
                              1,076,231Currency
                              
                              
                              328
                              
                              
                              
                              65,762,329
                              
                              
                              
                              297,518Energy
                              
                              
                              61
                              
                              
                              
                              4,115,424
                              
                              
                              
                              102,810Indices
                              
                              
                              91
                              
                              
                              
                              6,763,266
                              
                              
                              
                              242,119Interest
      rates
                              
                              
                              217
                              
                              
                              
                              47,410,044
                              
                              
                              
                              167,182Metals
                              
                              
                              388
                              
                              
                              
                              59,072,072
                              
                              
                              
                              1,123,099Forward
      Positions (-0.01%)Currency
                              
                              
                              26,880,000
                              
                              
                              
                              31,172,578
                              
                              
                              
                              (5,243
                              )Total
      long positions
                              
                              
                              
                              
                              
                              $
                              232,470,554
                              
                              
                              $
                              3,003,716Short positions (-2.01%)Future
      positions (-1.95%)Agriculture
                              
                              
                              75
                              
                              
                              $
                              2,471,867
                              
                              
                              $
                              (136,504
                              )Energy
                              
                              
                              92
                              
                              
                              
                              6,097,556
                              
                              
                              
                              (108,066
                              )Indices
                              
                              
                              56
                              
                              
                              
                              4,238,472
                              
                              
                              
                              (5,138
                              )Interest
      rates
                              
                              
                              22
                              
                              
                              
                              7,945,299
                              
                              
                              
                              (278
                              )Metals
                              
                              
                              103
                              
                              
                              
                              8,556,522
                              
                              
                              
                              (882,708
                              )Forward
      Positions (-0.06%)Currency
                              
                              
                              26,955,000
                              
                              
                              
                              31,157,279
                              
                              
                              
                              (35,751
                              )Total
      short positions
                              
                              
                              
                              
                              
                              $
                              60,466,995
                              
                              
                              $
                              (1,168,445
                              )Total
      unrealized gain on open contracts (3.15%)
                              
                              
                              
                              
                              
                              
                              
                              
                              
                              $
                              1,835,271Long put options on future contracts
      (0.25%)Indices
      (premiums paid - $ 206,000)
                              
                              
                              80
                              
                              
                              
                              
                              
                              
                              $
                              142,800





See
accompanying notes to consolidated financial statements.


4





RJO
GLOBAL TRUST AND SUBSIDIARY


Condensed
Consolidated Schedule of Investments


as
of December 31, 2009





Number
      of
                            
                            
                            Principalcontracts
                            
                            
                            (notional)
                            
                            
                            Fair valueLong positions (1.69%)Futures
      Positions (1.45%)Agriculture
                            
                            
                            459
                            
                            
                            $
                            14,175,201
                            
                            
                            $
                            542,222Currency
                            
                            
                            58
                            
                            
                            
                            5,175,139
                            
                            
                            
                            18,650Energy
                            
                            
                            45
                            
                            
                            
                            3,386,896
                            
                            
                            
                            25,657Indices
                            
                            
                            90
                            
                            
                            
                            6,006,445
                            
                            
                            
                            118,235Interest
      rates
                            
                            
                            225
                            
                            
                            
                            73,893,816
                            
                            
                            
                            (167,286
                            )Metals
                            
                            
                            165
                            
                            
                            
                            13,101,937
                            
                            
                            
                            437,926Forward
      Positions (0.24%)Currency
                            
                            
                            25,375,000
                            
                            
                            
                            28,588,150
                            
                            
                            
                            162,279Total
      long positions
                            
                            
                            
                            
                            
                            $
                            144,327,584
                            
                            
                            $
                            1,137,683Short positions (-0.55%)Future
      positions (-0.31%)Agriculture
                            
                            
                            142
                            
                            
                            $
                            3,758,129
                            
                            
                            $
                            (12,859
                            )Currency
                            
                            
                            50
                            
                            
                            
                            6,823,909
                            
                            
                            
                            61,052Energy
                            
                            
                            17
                            
                            
                            
                            2,077,755
                            
                            
                            
                            (72,953
                            )Indices
                            
                            
                            35
                            
                            
                            
                            2,261,654
                            
                            
                            
                            (1,017
                            )Interest
      rates
                            
                            
                            292
                            
                            
                            
                            78,210,549
                            
                            
                            
                            102,023Metals
                            
                            
                            62
                            
                            
                            
                            5,294,294
                            
                            
                            
                            (284,081
                            )Forward
      Positions (-0.24%)Currency
                            
                            
                            21,765,000
                            
                            
                            
                            23,079,582
                            
                            
                            
                            (162,842
                            )Total
      short positions
                            
                            
                            
                            
                            
                            $
                            121,505,872
                            
                            
                            $
                            (370,677
                            )Total
      unrealized gain on open contracts (1.14%)
                            
                            
                            
                            
                            
                            
                            
                            
                            
                            $
                            767,006





See
accompanying notes to consolidated financial statements.


5




RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statements of Operations


UNAUDITED





For
      the three months ended September 30,
                  
                  
                  For
      the nine months ended September 30,2010
                  
                  
                  2009
                  
                  
                  2010
                  
                  
                  2009Trading
      gain (loss):Gain
      (loss) on trading of commodity contracts:Realized
      gain (loss) on closed positions
                  
                  $
                  626,298
                  
                  
                  $
                  (1,535,233
                  )
                  
                  $
                  1,258,995
                  
                  
                  $
                  (3,447,170
                  )Change
      in unrealized gain (loss) on open positions
                  
                  
                  1,012,699
                  
                  
                  
                  1,257,461
                  
                  
                  
                  1,005,065
                  
                  
                  
                  188,207Foreign
      currency transaction gain (loss)
                  
                  
                  (8,473
                  )
                  
                  
                  74,206
                  
                  
                  
                  (53,405
                  )
                  
                  
                  120,470Total
      Trading gain (loss)
                  
                  
                  1,630,524
                  
                  
                  
                  (203,566
                  )
                  
                  
                  2,210,655
                  
                  
                  
                  (3,138,493
                  )Investment
      Income:Interest
      income
                  
                  
                  18,744
                  
                  
                  
                  14,709
                  
                  
                  
                  42,652
                  
                  
                  
                  43,998Expenses:Commissions
      - Class A
                  
                  
                  560,394
                  
                  
                  
                  669,700
                  
                  
                  
                  1,720,846
                  
                  
                  
                  2,063,805Commissions
      - Class B
                  
                  
                  4,721
                  
                  
                  
                  3,176
                  
                  
                  
                  12,561
                  
                  
                  
                  11,322Management
      fees
                  
                  
                  230,043
                  
                  
                  
                  278,075
                  
                  
                  
                  699,002
                  
                  
                  
                  927,798Incentive
      fees
                  
                  
                  161
                  
                  
                  
                  28,702
                  
                  
                  
                  161
                  
                  
                  
                  37,040Ongoing
      offering expenses
                  
                  
                  30,000
                  
                  
                  
                  65,000
                  
                  
                  
                  70,000
                  
                  
                  
                  238,000Operating
      expenses
                  
                  
                  217,000
                  
                  
                  
                  300,000
                  
                  
                  
                  757,000
                  
                  
                  
                  1,015,678Total
      expenses
                  
                  
                  1,042,319
                  
                  
                  
                  1,344,653
                  
                  
                  
                  3,259,570
                  
                  
                  
                  4,293,643Trading
      income (loss)
                  
                  
                  606,949
                  
                  
                  
                  (1,533,510
                  )
                  
                  
                  (1,006,263
                  )
                  
                  
                  (7,388,138
                  )Non-Trading
      income (loss):Interest
      on Non-Trading reserve
                  
                  
                  2,876
                  
                  
                  
                  2,194
                  
                  
                  
                  7,900
                  
                  
                  
                  5,369Collections
      in excess of impaired value
                  
                  
                  -
                  
                  
                  
                  -
                  
                  
                  
                  16,024,600
                  
                  
                  
                  2,748,048Legal
      and administrative fees
                  
                  
                  204,053
                  
                  
                  
                  (591,427
                  )
                  
                  
                  (906,638
                  )
                  
                  
                  (1,325,303
                  )Management
      fees paid to US Bank
                  
                  
                  (100,104
                  )
                  
                  
                  (80,625
                  )
                  
                  
                  (261,850
                  )
                  
                  
                  (282,212
                  )Non-Trading
      income (loss)
                  
                  
                  106,825
                  
                  
                  
                  (669,858
                  )
                  
                  
                  14,864,012
                  
                  
                  
                  1,145,902Net
      income (loss)
                  
                  $
                  713,774
                  
                  
                  $
                  (2,203,368
                  )
                  
                  $
                  13,857,749
                  
                  
                  $
                  (6,242,236
                  )





See
accompanying notes to consolidated financial statements.


6





RJO
GLOBAL TRUST AND SUBSIDIARY


Consolidated
Statement of Changes in Unitholders’ Capital


For
the nine months ended September 30, 2010


UNAUDITIED





Unitholders'
      Capital (Trading)
                
                Beneficial
      Owners - Trading Class A
                
                
                Beneficial
      Owners - Trading Class B
                
                
                Managing
      Owners - Trading Class AUnits
                
                
                Dollars
                
                
                Units
                
                
                Dollars
                
                
                Units
                
                
                DollarsBalances
      at December 31, 2009
                
                
                551,440
                
                
                $
                56,711,089
                
                
                
                9,358
                
                
                $
                981,765
                
                
                
                11,679
                
                
                $
                1,201,090Net
      income (loss)
                
                
                -
                
                
                
                (988,790
                )
                
                
                -
                
                
                
                6,257
                
                
                
                -
                
                
                
                (23,730
                )Unitholders’
      contributions
                
                
                50,559
                
                
                
                4,909,542
                
                
                
                4,607
                
                
                
                468,668
                
                
                
                -
                
                
                
                -Transfers
      from Class A to Class B
                
                
                (649
                )
                
                
                (65,443
                )
                
                
                633
                
                
                
                65,443
                
                
                
                -
                
                
                
                -Unitholders’
      redemptions
                
                
                (82,450
                )
                
                
                (8,254,106
                )
                
                
                (1,922
                )
                
                
                (198,711
                )
                
                
                -
                
                
                
                -Balances
      at September 30, 2010
                
                
                518,900
                
                
                $
                52,312,292
                
                
                
                12,676
                
                
                $
                1,323,422
                
                
                
                11,679
                
                
                $
                1,177,360





Unitholders'
      Capital (Trading)
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        Total
      Unitholders' Capital - TradingUnits
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        DollarsBalances
      at December 31, 2009
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        572,477
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        $
                                                                                                                                                                                                                                        58,893,944Net
      income (loss)
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        -
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        (1,006,263
                                                                                                                                                                                                                                        )Unitholders’
      contributions
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        55,166
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        5,378,210Transfers
      from Class A to Class B
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        (16
                                                                                                                                                                                                                                        )
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        -Unitholders’
      redemptions
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        (84,372
                                                                                                                                                                                                                                        )
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        (8,452,817
                                                                                                                                                                                                                                        )Balances
      at September 30, 2010
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        543,255
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        
                                                                                                                                                                                                                                        $
                                                                                                                                                                                                                                        54,813,074





Unitholders'
      Capital (LLC Equity/Non-
                
                Participating
      Owners-
                
                
                Nonparticipating
      Owners-
                
                
                Total
      Unitholders' Capital-Trading)
                
                LLC
      Equity/Non-Trading
                
                
                LLC
      Equity/Non-Trading
                
                
                LLC
      Equity/Non-TradingUnits
                
                
                Dollars
                
                
                Units
                
                
                Dollars
                
                
                Units
                
                
                DollarsBalances
      at December 31, 2009
                
                
                512,964
                
                
                $
                1,933,873
                
                
                
                1,760,324
                
                
                $
                6,635,368
                
                
                
                2,273,288
                
                
                $
                8,569,241Net
      income
                
                
                -
                
                
                
                3,100,488
                
                
                
                -
                
                
                
                11,763,524
                
                
                
                -
                
                
                
                14,864,012Unitholders’
      contributions
                
                
                -
                
                
                
                -
                
                
                
                -
                
                
                
                -
                
                
                
                -
                
                
                
                -Reallocation
      due to Redemptions
                
                
                (76,584
                )
                
                
                (447,451
                )
                
                
                76,584
                
                
                
                447,451
                
                
                
                -
                
                
                
                -Unitholders'
      distribution
                
                
                -
                
                
                
                (3,928,806
                )
                
                
                -
                
                
                
                (16,076,112
                )
                
                
                -
                
                
                
                (20,004,918
                )Balances
      at September 30, 2010
                
                
                436,380
                
                
                $
                658,104
                
                
                
                1,836,908
                
                
                $
                2,770,231
                
                
                
                2,273,288
                
                
                $
                3,428,335Total
      Unitholders Capital at September 30, 2010
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                
                $
                58,241,409





Unitholders'
      Capital
                                                                                                                        
                                                                                                                        
                                                                                                                        Unitholders'
      Capital
                                                                                                                        
                                                                                                                        
                                                                                                                        Unitholders'
      CapitalTrading
      Class A
                                                                                                                        
                                                                                                                        
                                                                                                                        Trading
      Class B
                                                                                                                        
                                                                                                                        
                                                                                                                        (LLC
      Equity/Non-Trading)Net
      asset value per unit at December 31, 2009
                                                                                                                        
                                                                                                                        $
                                                                                                                        102.84
                                                                                                                        
                                                                                                                        
                                                                                                                        $
                                                                                                                        104.91
                                                                                                                        
                                                                                                                        
                                                                                                                        $
                                                                                                                        3.77Net
      change per unit
                                                                                                                        
                                                                                                                        
                                                                                                                        (2.03
                                                                                                                        )
                                                                                                                        
                                                                                                                        
                                                                                                                        (0.51
                                                                                                                        )
                                                                                                                        
                                                                                                                        
                                                                                                                        (2.26
                                                                                                                        )Net
      asset value per unit at September 30, 2010
                                                                                                                        
                                                                                                                        $
                                                                                                                        100.81
                                                                                                                        
                                                                                                                        
                                                                                                                        $
                                                                                                                        104.40
                                                                                                                        
                                                                                                                        
                                                                                                                        $
                                                                                                                        1.51





See
accompanying notes to consolidated financial statements.


7





RJO
GLOBAL TRUST AND SUBSIDIARY


NOTES
TO CONSOLIDATED FINANCIAL STATEMENTS


September
30, 2010


(Unaudited)





(1)
            General
      Information and Summary




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




The Trust
was originally established and operated as a single-advisor commodity
pool.  John W. Henry & Company, Inc. (“JWH”) served as the Trust’s
sole trading advisor until October 31, 2008.  As of November 1, 2008,
the Trust became a multi-advisor commodity pool where trading decisions for the
Trust were delegated to five independent commodity trading
advisors:  JWH, AIS Futures Management (“AIS”), Abraham Trading Corp.
(“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”) (each an “Advisor”
and collectively the “Advisors”), pursuant to advisory agreements executed
between the Trust and each Advisor (each an “Advisory Agreement” and
collectively the “Advisory Agreements”).  Effective February 1, 2009,
NuWave Investment Management, LLC (“NW”) became the Trust’s sixth
Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to
the Trust.  Effective June 1, 2009, the Trust entered into an Advisory
Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory
Agreement with GALP, in connection with GALP’s initiative to migrate all of its
clients to its Jersey-based (UK) entity.  As of June 30, 2009, AIS was
terminated as an Advisor to the Trust and the Trust’s assets were reallocated
with equal weighting of 16.666% each to the remaining four Advisors along with
Conquest Capital Group (“CCG”) and Haar Capital Management (“HCM”) beginning
July 1, 2009.  As of September 30, 2010, the Advisors to the Trust
consisted of JWH, NW, ATC, GAJL, CCG, and HCM.  Beginning on October
1, 2010, the Trust entered into Advisory Agreements with two additional
Advisors.  See Note (11), Subsequent Events, for more
information regarding the recently-engaged Advisors.




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




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




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




8


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




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




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




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




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




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




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




(2)
            Summary
      of Significant Accounting Policies




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




(a)
            Basis
      of Presentation




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




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




Reclassifications
have been made to the Trust’s December 31, 2009 information to conform to the
current presentation.




(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.




9


(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.  As the broker has the right of offset, the Trust presents
unrealized gains and losses on open futures contracts (the difference between
contract trade price and quoted market price) as a net amount in the
consolidated statements of financial condition.  Any change in net
unrealized gain or loss on futures and forward contracts from the preceding
period is reported in the consolidated statements of
operations.  Gains or losses are realized when contracts are
liquidated.




The Trust
may purchase exchange listed options on commodities or financial
instruments.  An option is a contract allowing, but not requiring, its
holder to buy (call) or sell (put) a specific or standard commodity or
financial instrument at a specified price during a specified time
period.  The option premium is the total price paid or received for
the option contract.  When the Trust purchases an option, the premium
paid is recorded as an asset in the consolidated statements of financial
condition and marked to market daily.  Realized gains
(losses) and changes in unrealized gains (losses) on options contracts
are included in the consolidated statements of operations.  When a
purchased option is exercised, the proceeds on the sale of an underlying
instrument (for a purchased put option), or the purchase cost of an underlying
instrument (for a purchased call option) is adjusted by the amount of the
premium paid.




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




(d)
              Ongoing Offering
      Costs




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




(e)
            Foreign
      Currency Transactions




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




(f)
            Use
      of Estimates




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




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




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




10


(3)
            Fees




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




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




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




(4)
            Income
      Taxes




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




(5)
            Trading
      Activities and Related Risks




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




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




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




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




The Trust
is a buyer of exchange-traded options.  As such, the Trust pays a
premium at the outset and then bears the risk of unfavorable changes in the
price of the contract underlying the option.  Purchased options expose
the Trust to a risk of loss limited to the premiums paid.




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




11


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




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




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




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







Recoveries
      from RCM, Distributions paid by US Bank from the LLC, and effect on
      impaired value of assets held at RCMAmounts
                      Received
      from
                    
                    
                    Balance
      of
                    
                    
                    Collections
      in
                      Excess
      of
                    
                    
                    Cash
      Distributions to
                      Non-Participating
                    
                    
                    Additional
      Units in Trust for
                      Participating
      OwnersDate
                    
                    RCM
                    
                    
                    Impaired
      Value
                    
                    
                    Impaired
      Value
                    
                    
                    Owners
                    
                    
                    Units
                    
                    
                    Dollars12/29/06
                    
                    $
                    10,319,318
                    
                    
                    $
                    6,643,944
                    
                    
                    $
                    -
                    
                    
                    $
                    4,180,958
                    
                    
                    
                    54,914
                    
                    
                    $
                    5,154,71104/20/07
                    
                    
                    2,787,629
                    
                    
                    
                    3,856,315
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -06/07/07
                    
                    
                    265,758
                    
                    
                    
                    3,590,557
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -06/28/07
                    
                    
                    4,783,640
                    
                    
                    
                    -
                    
                    
                    
                    1,193,083
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -07/03/07
                    
                    
                    5,654
                    
                    
                    
                    -
                    
                    
                    
                    5,654
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -08/29/07
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    2,787,947
                    
                    
                    
                    23,183
                    
                    
                    
                    1,758,62609/19/07
                    
                    
                    2,584,070
                    
                    
                    
                    -
                    
                    
                    
                    2,584,070
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -12/31/07
                    
                    
                    2,708,467
                    
                    
                    
                    -
                    
                    
                    
                    2,708,467
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -03/28/08
                    
                    
                    1,046,068
                    
                    
                    
                    -
                    
                    
                    
                    1,046,068
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -04/29/08
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    2,241,680
                    
                    
                    
                    10,736
                    
                    
                    
                    1,053,81506/26/08
                    
                    
                    701,148
                    
                    
                    
                    -
                    
                    
                    
                    701,148
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -12/31/08
                    
                    
                    769,001
                    
                    
                    
                    -
                    
                    
                    
                    769,001
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -06/29/09
                    
                    
                    2,748,048
                    
                    
                    
                    -
                    
                    
                    
                    2,748,048
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -12/30/09
                    
                    
                    1,102,612
                    
                    
                    
                    -
                    
                    
                    
                    1,102,612
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -05/19/10
                    
                    
                    1,695,150
                    
                    
                    
                    -
                    
                    
                    
                    1,695,150
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -06/04/10
                    
                    
                    14,329,450
                    *
                    
                    
                    -
                    
                    
                    
                    14,329,450
                    *
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -08/01/10
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    16,076,112
                    
                    
                    
                    40,839
                    
                    
                    
                    3,928,806Totals
                    
                    $
                    45,846,013
                    
                    
                    $
                    -
                    
                    
                    $
                    28,882,751
                    
                    
                    $
                    25,286,697
                    
                    
                    
                    129,672
                    
                    
                    $
                    11,895,958





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





(7)
            Fair
      Value Measurements




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




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




12


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




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




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




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




September 30, 2010Level 1
                    
                    
                    Level 2
                    
                    
                    Level 3
                    
                    
                    TotalUnrealized
      gain (loss) on open contracts:Futures
      positions
                    
                    $
                    1,876,265
                    
                    
                    $
                    -
                    
                    
                    $
                    -
                    
                    
                    $
                    1,876,265Forward
      currency positions
                    
                    
                    -
                    
                    
                    
                    (40,994
                    )
                    
                    
                    -
                    
                    
                    
                    (40,994
                    )Purchased
      options on futures contracts
                    
                    
                    142,800
                    
                    
                    
                    -
                    
                    
                    
                    -
                    
                    
                    
                    142,800Total
      fair value
                    
                    $
                    2,019,065
                    
                    
                    $
                    (40,994
                    )
                    
                    $
                    -
                    
                    
                    $
                    1,978,071





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





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




(8)
            Operations




Redemptions




A
beneficial owner may cause any or all of his or her units to be redeemed by the
Trust effective as of the last business day of any month of the Trust based on
the Net Asset Value per unit on such date on 5 business days’ written notice to
ACS Securities Services, Inc., the Trust’s administrator, or the Managing
Owner.  Payment will generally be made within 10 business days of the
effective date of the redemption.  Any redemption made during the
first 11 months of investment is subject to a 1.5% redemption penalty, payable
to the Managing Owner.  Any redemption made in the twelfth month of
investment or later will not be subject to any redemption
penalty.  The Trust’s Ninth Amended and Restated Declaration and
Agreement of Trust, contains a full description of redemption and distribution
policies.




13


Subscriptions




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




Commissions




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




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




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





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




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




(9)
            Financial
      Highlights




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




14




Class
      A
                  
                  
                  Class
      B
                  
                  
                  Class
      A
                  
                  
                  Class
      BThree
      months ended
                  
                  
                  Three
      months ended
                  
                  
                  Nine
      months ended
                  
                  
                  Nine
      months endedSeptember
      30,
                  
                  
                  September
      30,
                  
                  
                  September
      30,
                  
                  
                  September
      30,2010
                  
                  
                  2009
                  
                  
                  2010
                  
                  
                  2009
                  
                  
                  2010
                  
                  
                  2009
                  
                  
                  2010
                  
                  
                  2009Per
      share operating performance:Net
      asset value of Trading units, beginning of period
                  
                  $
                  99.96
                  
                  
                  $
                  110.27
                  
                  
                  $
                  103.00
                  
                  
                  $
                  111.38
                  
                  
                  $
                  102.84
                  
                  
                  $
                  119.39
                  
                  
                  $
                  104.91
                  
                  
                  $
                  119.39Total
      Trading income (loss):Trading
      gain (loss)
                  
                  
                  3.05
                  
                  
                  
                  (0.32
                  )
                  
                  
                  2.90
                  
                  
                  
                  (0.34
                  )
                  
                  
                  3.95
                  
                  
                  
                  (4.82
                  )
                  
                  
                  4.17
                  
                  
                  
                  (4.89
                  )Investment
      income
                  
                  
                  0.04
                  
                  
                  
                  0.02
                  
                  
                  
                  0.04
                  
                  
                  
                  0.02
                  
                  
                  
                  0.08
                  
                  
                  
                  0.07
                  
                  
                  
                  0.09
                  
                  
                  
                  0.07Expenses
                  
                  
                  (2.24
                  )
                  
                  
                  (2.27
                  )
                  
                  
                  (1.54
                  )
                  
                  
                  (1.74
                  )
                  
                  
                  (6.06
                  )
                  
                  
                  (6.94
                  )
                  
                  
                  (4.77
                  )
                  
                  
                  (5.25
                  )Trading
      income (loss)
                  
                  
                  0.85
                  
                  
                  
                  (2.57
                  )
                  
                  
                  1.40
                  
                  
                  
                  (2.06
                  )
                  
                  
                  (2.03
                  )
                  
                  
                  (11.69
                  )
                  
                  
                  (0.51
                  )
                  
                  
                  (10.07
                  )Net
      asset value of Trading units, end of period
                  
                  $
                  100.81
                  
                  
                  $
                  107.70
                  
                  
                  $
                  104.40
                  
                  
                  $
                  109.32
                  
                  
                  $
                  100.81
                  
                  
                  $
                  107.70
                  
                  
                  $
                  104.40
                  
                  
                  $
                  109.32Total
      return:Total
      return before incentive fees
                  
                  
                  0.85
                  %
                  
                  
                  (2.33
                  )%
                  
                  
                  1.36
                  %
                  
                  
                  (1.85
                  )%
                  
                  
                  (1.97
                  )%
                  
                  
                  (9.79
                  )%
                  
                  
                  (0.49
                  )%
                  
                  
                  (8.43
                  )%Less
      incentive fee allocations
                  
                  
                  0.00
                  %
                  
                  
                  (0.04
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.04
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.05
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.05
                  )%Total
      return
                  
                  
                  0.85
                  %
                  
                  
                  (2.37
                  )%
                  
                  
                  1.36
                  %
                  
                  
                  (1.89
                  )%
                  
                  
                  (1.97
                  )%
                  
                  
                  (9.84
                  )%
                  
                  
                  (0.49
                  )%
                  
                  
                  (8.48
                  )%Ratios
      to average net assets:Trading
      income (loss)
                  
                  
                  1.13
                  %
                  
                  
                  (2.37
                  )%
                  
                  
                  1.81
                  %
                  
                  
                  (1.88
                  )%
                  
                  
                  (1.90
                  )%
                  
                  
                  (10.59
                  )%
                  
                  
                  0.55
                  %
                  
                  
                  (9.17
                  )%Expenses:Expenses,
      less incentive fees
                  
                  
                  (1.98
                  )%
                  
                  
                  (2.08
                  )%
                  
                  
                  (1.51
                  )%
                  
                  
                  (1.58
                  )%
                  
                  
                  (6.01
                  )%
                  
                  
                  (6.17
                  )%
                  
                  
                  (4.56
                  )%
                  
                  
                  (4.72
                  )%Incentive
      fees
                  
                  
                  0.00
                  %
                  
                  
                  (0.04
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.04
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.05
                  )%
                  
                  
                  0.00
                  %
                  
                  
                  (0.05
                  )%Total
      expenses
                  
                  
                  (1.98
                  )%
                  
                  
                  (2.12
                  )%
                  
                  
                  (1.51
                  )%
                  
                  
                  (1.62
                  )%
                  
                  
                  (6.01
                  )%
                  
                  
                  (6.22
                  )%
                  
                  
                  (4.56
                  )%
                  
                  
                  (4.77
                  )%





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





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




15


(10)
            Derivative
      Instruments and Hedging Activities.




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




Derivatives
not designated as hedging instruments:




As
of September 30, 2010





Asset
                  
                  
                  LiabilityType
      of
                  
                  Derivatives
                  
                  
                  Derivatives
                  
                  
                  NetFutures Contracts
                  
                  Fair Value
                  
                  
                  Fair Value
                  
                  
                  Fair ValueAgriculture
                  
                  $
                  1,160,350
                  
                  
                  $
                  (220,623
                  )
                  
                  $
                  939,727Currency
                  
                  
                  758,388
                  
                  
                  
                  (501,865
                  )
                  
                  
                  256,523Energy
                  
                  
                  189,277
                  
                  
                  
                  (194,533
                  )
                  
                  
                  (5,256
                  )Indices
                  
                  
                  438,941
                  
                  
                  
                  (59,160
                  )
                  
                  
                  379,781Interest
      Rates
                  
                  
                  202,491
                  
                  
                  
                  (35,586
                  )
                  
                  
                  166,905Metals
                  
                  
                  1,241,299
                  
                  
                  
                  (1,000,908
                  )
                  
                  
                  240,391$
                  3,990,746
                  
                  
                  $
                  (2,012,675
                  )
                  
                  $
                  1,978,071





As
of December 31, 2009





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





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


Trading
gain (loss) for the following periods:




Three
      months ended September 30,
                      
                      
                      
                      Nine
      months ended September 30,Type of Futures
                        Contracts
                      
                      2010
                      
                      
                      2009
                      
                      Type of Futures
                        Contracts
                      
                      2010
                      
                      
                      2009Agriculture
                      
                      $
                      1,688,457
                      
                      
                      $
                      196,924
                      
                      Agriculture
                      
                      $
                      56,352
                      
                      
                      $
                      (517,775
                      )Currency
                      
                      
                      742,038
                      
                      
                      
                      350,227
                      
                      Currency
                      
                      
                      965,736
                      
                      
                      
                      (282,896
                      )Energy
                      
                      
                      (524,873
                      )
                      
                      
                      (738,539
                      )
                      Energy
                      
                      
                      (1,098,998
                      )
                      
                      
                      (609,300
                      )Indices
                      
                      
                      (1,464,111
                      )
                      
                      
                      (139,700
                      )
                      Indices
                      
                      
                      215
                      
                      
                      
                      (288,508
                      )Interest
      Rates
                      
                      
                      1,131,421
                      
                      
                      
                      (323,517
                      )
                      Interest Rates
                      
                      
                      2,999,170
                      
                      
                      
                      (1,949,914
                      )Metals
                      
                      
                      57,592
                      
                      
                      
                      451,039
                      
                      Metals
                      
                      
                      (711,820
                      )
                      
                      
                      509,900$
                      1,630,524
                      
                      
                      $
                      (203,566
                      )
                      
                      
                      $
                      2,210,655
                      
                      
                      $
                      (3,138,493
                      )





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




16


(11)
            Subsequent
      Events




On
October 1, 2010 Trigon Investment Management (“TIM”) and Dominion Capital
Management Institutional Advisers, Inc (“DCM”) were each allocated approximately
8.33% of the Trust’s assets. The allocation to each advisor as of October 1,
2010 is as follows:  ATC 16.67%, CCG 16.67%, DCM 8.33%, GAJL 16.67%,
HCM 8.33%, JWH 8.33%, NW 16.67%, and TIM 8.33%.




Also on
October 6, 2010 the Managing Owner retained RJO Investment Management (“RJOIM”),
an SEC Registered Investment Adviser, as cash manager. The assets managed by
RJOIM are held in custody by Wells Fargo Bank, NA.  On October 15,
2010, $30,000,000 of the Trust’s assets were transferred to Wells
Fargo.  RJOIM is an affiliated entity of the Managing Owner,
RJOFM.  RJOIM is paid an annualized fee, currently 0.20%, calculated
and accrued daily at a rate equal to 1/360 of the principal
balance.




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




(a)
            Capital
      Resources




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




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




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




(b)
            Liquidity




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




The Trust
earns interest on 100% of the Trust’s average daily balances on deposit with RJO
during each month at 100% of the average four-week Treasury Bill rate for that
month in respect of deposits denominated in U.S. dollars.  For
deposits denominated in currencies other than U.S. dollars, the Trust earns
interest at a rate of one-month LIBOR less 100 basis points.  For the
nine months ended September 30, 2010 and 2009, the Trust has received or accrued
to receive trading interest of $42,652 and $43,998, respectively.




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




17


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




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




(c)
            Results
      of Operations




As of
November 1, 2008, trading decisions for the Trust were delegated to five
independent commodity trading advisors:  JWH, AIS, ATC, GALP, and PLP,
pursuant to Advisory Agreements executed between the Trust and each
Advisor.  Effective February 1, 2009, NW became the Trust’s sixth
Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to
the Trust.  Effective June 1, 2009, the Trust entered into an Advisory
Agreement with GAJL to replace its Advisory Agreement with GALP, in connection
with GALP’s initiative to migrate all its clients to its Jersey-based (UK)
entity. As of June 30 2009, AIS was terminated as an Advisor to the
Trust.  As of July 1, 2009, HCM and CCG became Advisors to the
Trust.   As of September 30, 2010, the Advisors to the Trust
consisted of JWH, NW, ATC, GAJL, CCG, and HCM.  Beginning October 1,
2010, the Trust entered into Advisory Agreements with two additional
Advisors.  See Note (11), Subsequent Events, for more
information regarding the recently-engaged Advisors.




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




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




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




Fiscal
Quarter ended September 30, 2010




The Trust
recorded net trading gains of $606,949 or $0.85 per trading unit for Class A
units and a gain of $1.40 per trading unit for Class B units in the third
quarter of 2010 (*** Please see “Notes to Consolidated Financial Statements” in
Part I — Item 1 for explanation of net asset value/unit pursuant to events of
October, 2005, as the following excludes the Trust’s Non-Trading
accounts).  As of September 30, 2010, the Trust (Class A units) had
gained 23.23% since its inception in June 1997.  Class B units have
lost (12.56)% since their inception in January of 2009.




18


The stock
market rebounded during July rising just over 7%.  This left the
market flat on the year.  U.S. Interest rates made new record lows
with the 2-year note reaching a yield of 0.55%.  The yield on the
10-year note approached 2.80%.  Several other markets reversed recent
trends.  Grains for example, which had been trending lower for most of
the year,  reversed dramatically and served as a catalyst for a rally
in the commodity sector.  The U.S. dollar which had been stronger
against European currencies for most of the year lost about 6.5% against the
Euro during the month.  Base metals also reversed course and posted
gains during the month.  Congress passed a financial reform act during
the month which removed some regulatory uncertainty from the
markets.  This combined with improving economic data out of Europe and
Asia appeared to trigger a short covering rally in stock markets around the
world.  Many of these markets have now rallied back to the top of
recent trading ranges.  A review of the individual markets traded by
the managers in the Trust’s portfolio reveals the problems our managers have
faced.  July was a month of frustrating reversals.  Grains,
metals, stocks, energy markets, and currencies had all moved sufficiently lower
to cause the traders to take positions in favor of the downward price
trends.  These trends took shape for many reasons and across multiple
time frames.  Each of the sectors finished June near their lows then
reversed course early in July to finish near their highs for the
month.  Some managers have reversed positions along with the markets
while some remain positioned to the contrary.




The stock
market had its worst August since 2001 with the S&P 500 losing just over
4.5%.This left the
market down almost 5% for the year.  In a repeat of the previous
month, U.S. interest rates made new record lows with the 2-year note reaching a
yield of less than 0.50%.  The low yield on the 10-year note
approached 2.45%.  Commodities were weaker in general as market
pundits began to debate openly about a double dip recession and the possibility
of deflation.  The Dow Jones UBS Commodity Index, a broad based basket
of commodity markets, lost 2.55% during August and is down almost 10% for the
year-to-date.  While corn and gold traded higher for the month, crude
oil edged lower, along with soybeans, wheat, coffee, cocoa, and base metals
markets.  Natural gas was by far the weakest market, establishing new
life of contact lows.  Currency markets remain puzzling: The U.S.
dollar was stronger overall against the Euro but continued to weaken against the
Japanese Yen.  The Japanese Government intervened in the market to try
to stem the rise of the Yen but the intervention had little or no effect as the
Yen closed out August at its highest point of the year.  The trend
following strategies employed to different degrees by our managers were
successful during the month.  Interest rates trended lower as did the
S&P 500 and natural gas.  Profits were also captured during the
upward move by gold and the Yen.  CCG, our short-term specialist, had
the best month by profiting from trades in stocks, currencies and interest
rates.  The only losing manager was GAJL whose systematic
commodity-only portfolio was under more pressure than our other more diversified
managers.




The stock
market had its best September in over 50 years rising almost 9%.  With
interest rates hovering at all time lows, the dollar weakening, and the stock
market showing signs of life, commodities turned in their strongest month in
over a year.  The Dow Jones UBS Commodity Index was up over 7% during
the month.  Cotton, corn, and sugar turned in a stellar month with
gains of over 15%.  The common theme behind their upward moves was
increasing Chinese demand.  Crude oil rallied back above $80 per
barrel and gold made a new high just above $1,300 per ounce.  Those
two markets appeared to benefit the most from a 5% slide in the U.S. dollar that
took place during the month.  The U.S. Congress passed a bill
denouncing Chinese currency policy in what seems to be a global chorus among
countries who trade with China seeking an end to the artificial suppression of
the Chinese currency.  The trend following strategies employed to
different degrees by the Trust’s managers were successful again during
September.  The S&P 500 and base metals sector reversed course and
joined an otherwise upward trend across commodities, currencies, and
bonds.  Four of the six managers were profitable.  ATC, HCM,
and GAJL posted the strongest results thanks to a heavy allocation to commodity
trades.  JWH was also profitable.  Conquest lost money due
to a longer-term short position on the stock market.




Fiscal
Quarter ended September 30, 2009




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




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




19


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




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




Fiscal
Quarter ended June 30, 2010




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




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




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




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




20


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




Fiscal
Quarter ended June 30, 2009




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




Stocks
climbed a wall of worry, as the old axiom states about bull markets, by posting
a gain for a fourth consecutive month.  Stocks have rallied 42% from
their low in early March.  This was their best three month showing
since the 1930’s.  To put the magnitude of the losses sustained by the
market over the last year and a half in perspective, the S&P 500 would have
to gain another 62% from current levels to match the market high reached in
October of 2007.  This seems like a tough task in light of long-term
interest rates, which continued to rise during the quarter due to concerns over
the expanding budget deficit, and its potential long-term inflationary
implications.  Interest rates fell back at the end June, however, as
markets digested tepid growth related statistics, and inflationary fears
subsided.  This reversal took place after Treasury bond yields had
risen more than 60% in five months.




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




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




21


Fiscal
Quarter ended March 31, 2010




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




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




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




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




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




Fiscal
Quarter ended March 31, 2009




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




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




22


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




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




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




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




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




The Trust
does not have any material contractual obligations.




Item
3.  Quantitative and Qualitative Disclosures About Market
Risk




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




Item
4T.  Controls and Procedures




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




23


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




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




PART
II - OTHER INFORMATION




Item
1.  Legal Proceedings




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




Item
1A.  Risk Factors




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




Item
2.  Unregistered Sales of Securities and Use of Proceeds




a)  None




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




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




Units
      Redeemed
                      
                      
                      Redemption
      Date NAV per UnitMonth
                      
                      Class A
                      
                      
                      Class B
                      
                      
                      Class A
                      
                      
                      Class BJuly
                      
                      
                      6,294
                      
                      
                      
                      -
                      
                      
                      $
                      96.15
                      
                      
                      $
                      99.24August
                      
                      
                      6,342
                      
                      
                      
                      575
                      
                      
                      $
                      99.64
                      
                      
                      $
                      103.02September
                      
                      
                      6,945
                      
                      
                      
                      470
                      
                      
                      $
                      100.81
                      
                      
                      $
                      104.40Total
                      
                      
                      19,581
                      
                      
                      
                      1,045





Class A
units sold January 1, 2010 through September 30, 2010: 50,559


Class B
units sold January 1, 2010 through September 30, 2010: 4,607


Units
(Class A) unsold through September 30, 2010:  927,952
($93,546,841)


Units
(Class B) unsold through September 30, 2010: 927,952 ($96,878,189)


Aggregate
price paid for units sold January 1, 2010 through September 30, 2010:
$5,378,210




100% of
all subscription proceeds are invested directly into the Trust.




24


Item
6.  Exhibits





a)
            Exhibits





Index to
Exhibits





Exhibit Number
                
                Description of Document3.01
                
                Ninth
      Amended and Restated Declaration and Agreement of Trust of RJO Global
      Trust (the “Registrant”), dated as of September 1, 2010.13.03
                
                Restated
      Certificate of Trust of the Registrant.210.01
                
                Advisory
      Agreement, made as of October 1, 2010, among RJO Global Trust, R.J.
      O’Brien Fund Management, LLC, and Dominion Capital Management
      Institutional Advisors, Inc.*10.02
                
                Advisory
      Agreement, made as of October 1, 2010, among RJO Global Trust, R.J.
      O’Brien Fund Management, LLC, and Trigon Investment Advisors,
      LLC*31.01
                
                Rule
      13a-14(a)/15d-14(a) Certifications of Principal Executive
      Officer.31.02
                
                Rule
      13a-14(a)/15d-14(a) Certifications of Principal Financial
      Officer.32.01
                
                Section
      1350 Certification of Principal Executive Officer and Principal Financial
      Officer.







*Confidential
Treatment was requested with respect to the omitted portions of these
exhibits.
  1
Incorporated by reference herein from the exhibit of the same description filed
on September 7, 2010 on Form 8-K.


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


25


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
      12, 2010By:
              R.J.
      O’Brien Fund Management, LLCManaging
      OwnerBy:
              /s/ Thomas
      J. AndersonThomas
      J. AndersonPrincipal
      Financial Officer and duly authorized
officer




26