** **

**UNITEDSTATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

**FORM 10-Q**

x  **QUARTERLY REPORT PURSUANTTO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934**

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

**OR**

o  **TRANSITION REPORT PURSUANTTO SECTION 13 OR 15(d) OF THESECURITIES EXCHANGE ACT OF 1934**

**For thetransition period from               to               .**

**CommissionFile Number:  000-22887**

**JWH GLOBAL TRUST**

(Exact name ofregistrant as specified in its charter)

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

 

**222 SouthRiverside PlazaSuite 900Chicago, IL  60606**(Address of principal executive offices) (Zip Code)

**(312)373-5000**(Registrant’s telephone number, including area code)

Indicate by check markwhether the registrant (1) has filed all reports required to be filed bySection 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding12 months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements for thepast 90 days.

oYes     x No

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, or anon-accelerated filer.  See definition of“accelerated filer and large accelerated filer” in Rule 12b-2 of the ExchangeAct.  (Check one.)

| o  Large  Accelerated Filer |   | o  Accelerated  Filer |   | x  Non-Accelerated  Filer |
|---------------------------------------|--------|---------------------------------|--------|-------------------------------------|

 

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

oYes     x No

 

 

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**ExplanatoryNote**

This quarterly report onForm 10-Q for the quarter ended June 30, 2006, is being filed after the filingdeadline due to the Trust’s inability to value certain of its assets andcomplete the preparation of its financial statements.  Please see “Note 7 — Subsequent Events”included in our Notes to Financial Statements filed with this Form 10-Q formore information.

 

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**TABLE OFCONTENTS**
| PART I. FINANCIAL  INFORMATION                                                                       |   | 2      |
|------------------------------------------------------------------------------------------------------|--------|--------|
|                                                                                                 |   |   |
| Item 1.  Financial Statements                                                                        |   | 2      |
| Statements of Financial Condition as of June 30, 2006  (unaudited) and December 31, 2005             |   | 2      |
| Statements of Operations (unaudited), Quarters and Semi-Annuals  ended June 30, 2006 and 2005        |   | 3      |
| Statement of Changes in Unitholders’ Capital  (unaudited), quarter ended June 30, 2006          |   | 4      |
| Condensed Schedule of Investments (unaudited), as of  June 30, 2006                                  |   | 5      |
| Condensed Schedule of Investments, as of  December 30, 2005                                     |   | 6      |
| Notes to  Financial Statements                                                                       |   | 7      |
|                                                                                                 |   |   |
| Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of  Operations |   | 12     |
|                                                                                                 |   |   |
| Item 3.  Quantitative and Qualitative Disclosures about Market Risk                                  |   | 21     |
|                                                                                                 |   |   |
| Item 4. Controls and  Procedures                                                                     |   | 21     |
|                                                                                                 |   |   |
|                                                                                                 |   |   |
| PART II. OTHER  INFORMATION                                                                          |   | 22     |
|                                                                                                 |   |   |
| Item 1. Legal Proceedings                                                                            |   | 22     |
|                                                                                                 |   |   |
| Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds                                 |   | 22     |
|                                                                                                 |   |   |
| Item  6. Exhibits                                                                                    |   | 23     |
|                                                                                                 |   |   |
| SIGNATURES                                                                                           |   | 24     |

** **

----

**PART I — FINANCIALINFORMATION**

**Item 1.  Financial Statements**

**JWHGLOBAL TRUST**

**Statements of Financial Condition**

** **
| ** **                                                                                                           | ** ** | **June 30, 2006** | ** **  | **December 31, 2005** | ** ** |
|----------------------------------------------------------------------------------------------------------------------|------------|-----------------------------|-------------|---------------------------------|------------|
| ** **                                                                                                           | ** ** | **UNAUDITED**               | ** **  | ** **                      | ** ** |
|                                                                                                                 |       |                        |        |                            |       |
| **Assets**                                                                                                           |       |                        |        |                            |       |
|                                                                                                                 |       |                        |        |                            |       |
| Assets:                                                                                                              |       |                        |        |                            |       |
| Equity in  commodity trading accounts:                                                                               |       |                        |        |                            |       |
| Cash on deposit  with brokers                                                                                        |       | $                           | 154,766,312 |                            | $          | 202,443,116 |   |
| Unrealized gain  (loss) on open contracts                                                                            |       | (3,714,527                  | )           | 2,590,858                       |       |
| Cash on deposit  with former brokers                                                                                 |       | 16,963,262                  |        | 16,963,262                      |       |
| Cash on deposit  with bank                                                                                           |       | 615,921                     |        | 943,758                         |       |
|                                                                                                                 |       | 168,630,968                 |        | 222,940,994                     |       |
|                                                                                                                 |       |                        |        |                            |       |
| Interest  receivable                                                                                                 |       | 606,921                     |        | 675,537                         |       |
| Total assets                                                                                                         |       | $                           | 169,237,889 |                            | $          | 223,616,531 |   |
|                                                                                                                 |       |                        |        |                            |       |
| **Liabilities  and Unitholders' Capital**                                                                            |       |                        |        |                            |       |
|                                                                                                                 |       |                        |        |                            |       |
| Liabilities:                                                                                                         |       |                        |        |                            |       |
| Accrued  commissions                                                                                                 |       | $                           | 664,519     |                            | $          | 1,563,331 |   |
| Accrued  management fees                                                                                             |       | 252,039                     |        | 338,586                         |       |
| Accrued offering  expenses                                                                                           |       | 2,663                       |        | 3,482                           |       |
| Accrued  operating expenses                                                                                          |       | 533,035                     |        | 348,965                         |       |
| Redemptions  payable                                                                                                 |       | 2,474,443                   |        | 4,723,667                       |       |
| Accured legal and  administrative - nontrading                                                                       |       | 220,992                     |        | 116,991                         |       |
| Total  liabilities                                                                                                   |       | 4,147,691                   |        | 7,095,022                       |       |
|                                                                                                                 |       |                        |        |                            |       |
| Unitholders’ capital  (trading):                                                                                |       |                        |        |                            |       |
| Beneficial  owners (1,461,076 and 1,736,309 units outstanding at June 30, 2006 and  December 31, 2005, respectively) |       | 145,456,678                 |        | 196,142,238                     |       |
| Managing owner  (24,017 units outstanding at June 30, 2006 and December 31, 2005)                                    |       | 2,390,938                   |        | 2,713,011                       |       |
|                                                                                                                 |       |                        |        |                            |       |
| Unitholders’ capital  (nontrading):                                                                             |       |                        |        |                            |       |
| Beneficial  owners (2,249,070 and 2,249,071 units outstanding at June 30, 2006 and  December 31, 2005, respectively) |       | 17,058,899                  |        | 17,478,064                      |       |
| Managing owner  (24,217 units outstanding at June 30, 2006 and December 31, 2005)                                    |       | 183,683                     |        | 188,196                         |       |
| Total  unitholders’ capital                                                                                     |       | 165,090,198                 |        | 216,521,509                     |       |
| Total liabilities and  unitholders’ capital                                                                     |       | $                           | 169,237,889 |                            | $          | 223,616,531 |   |

 

See accompanyingnotes to financial statements.

 

2

----

**JWHGLOBAL TRUST**

**Statements of Operations**

**UNAUDITED**
| ** **                                                 | ** ** | **April 1, 2006  through  June 30, 2006** | ** ** | **April 1, 2005  through  June 30, 2005** | ** ** | **January 1, 2006  through  June 30, 2006** | ** ** | **January 1, 2005  through  June 30, 2005** | ** **  |
|------------------------------------------------------------|------------|---------------------------------------------------------------|------------|---------------------------------------------------------------|------------|-----------------------------------------------------------------|------------|-----------------------------------------------------------------|-------------|
| Revenues:                                                  |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Gain (loss) on  trading of commodity contracts:            |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Realized gain  (loss) on closed positions                  |       | $                                                             | 10,594,365 |                                                          | $          | 12,533,710                                                      |       | $                                                               | (11,551,786 | ) | $ | (15,989,818 | ) |
| Change in  unrealized gain (loss) on open positions        |       | (11,672,738                                                   | )          | 18,655,004                                                    |       | (6,305,385                                                      | )          | 4,759,675                                                       |        |
| Interest income                                            |       | 1,906,336                                                     |       | 2,089,452                                                     |       | 3,800,404                                                       |       | 4,028,317                                                       |        |
| Foreign currency  transaction gain (loss)                  |       | (68,319                                                       | )          | 2,420                                                         |       | 167,395                                                         |       | (543,925                                                        | )           |
| Total revenues                                             |       | 759,644                                                       |       | 33,280,586                                                    |       | (13,889,372                                                     | )          | (7,745,751                                                      | )           |
|                                                       |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Expenses:                                                  |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Commission                                                 |       | 2,576,487                                                     |       | 4,544,213                                                     |       | 5,297,662                                                       |       | 8,976,304                                                       |        |
| Management fees                                            |       | 855,966                                                       |       | 1,515,157                                                     |       | 1,763,276                                                       |       | 2,992,929                                                       |        |
| Ongoing offering  expenses                                 |       | —                                                        |       | 241,278                                                       |       | —                                                          |       | 608,528                                                         |        |
| Operating  expenses                                        |       | 180,000                                                       |       | 97,931                                                        |       | 553,653                                                         |       | 193,447                                                         |        |
| Total expenses                                             |       | 3,612,453                                                     |       | 6,398,579                                                     |       | 7,614,591                                                       |       | 12,771,208                                                      |        |
|                                                       |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Nontrading net loss:                                       |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Interest on  nontrading reserve                            |       | 6,702                                                         |       | —                                                        |       | 21,938                                                          |       | —                                                          |        |
| Legal and  administrative fees                             |       | (176,698                                                      | )          | —                                                        |       | (445,584                                                        | )          | —                                                          |        |
| Nontrading net  loss                                       |       | (169,996                                                      | )          | —                                                        |       | (423,646                                                        | )          | —                                                          |        |
|                                                       |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Net income (loss)                                          |       | $                                                             | (3,022,805 | )                                                             | $          | 26,882,007                                                      |       | $                                                               | (21,927,609 | ) | $ | (20,516,959 | ) |
|                                                       |       |                                                          |       |                                                          |       |                                                            |       |                                                            |        |
| Income (loss) per unit  of beneficial ownership interest * |       | $                                                             | (2.78      | )                                                             | $          | 11.48                                                           |       | $                                                               | (13.60      | ) | $ | (9.63 | ) |
| Income (loss) per unit of managing ownership interest *    |       | $                                                             | (2.78      | )                                                             | $          | 11.48                                                           |       | $                                                               | (13.60      | ) | $ | (9.63 | ) |

----

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

See accompanying notes to financial statements.

3

----

**JWHGLOBAL TRUST**

**Statement of Changes in Unitholders’ Capital**

**Quarterended June 30, 2006**

**Unaudited**

** **
| ** **                               | ** ** | **Beneficial Owner  Units  Trading** | ** ** | **Managing Owner  Units  Trading** | ** ** | **Beneficial Owner  Units  Nontrading** | ** ** | **Managing Owner  Units  Nontrading** | ** ** | **Total** | ** ** |
|------------------------------------------|------------|-------------------------------------------|------------|-----------------------------------------|------------|----------------------------------------------|------------|--------------------------------------------|------------|-----------|------------|
| Unitholders' capital at  January 1, 2006 |       | 1,736,309                                 |       | 24,017                                  |       | 2,249,071                                    |       | 24,217                                     |       | 4,033,614 |       |
|                                     |       |                                      |       |                                    |       |                                         |       |                                       |       |      |       |
| Unitholders’  contributions         |       | —                                    |       | —                                  |       | —                                       |       | —                                     |       | —    |       |
|                                     |       |                                      |       |                                    |       |                                         |       |                                       |       |      |       |
| Unitholders’  redemptions           |       | (275,233                                  | )          | —                                  |       | (1                                           | )          | —                                     |       | (275,234  | )          |
|                                     |       |                                      |       |                                    |       |                                         |       |                                       |       |      |       |
| Unitholders' capital at June 30, 2006    |       | 1,461,076                                 |       | 24,017                                  |       | 2,249,070                                    |       | 24,217                                     |       | 3,758,380 |       |

** **
| ** **                                   | ** ** | **Beneficial Owner  Dollars  Trading** | ** **  | **Managing Owner  Dollars  Trading** | ** ** | **Beneficial Owner  Dollars  Nontrading** | ** ** | **Managing Owner  Dollars  Nontrading** | ** ** | **Total**   | ** ** |
|----------------------------------------------|------------|---------------------------------------------|-------------|-------------------------------------------|------------|------------------------------------------------|------------|----------------------------------------------|------------|-------------|------------|
| Unitholders' capital at  January 1, 2006     |       | $                                           | 196,142,238 |                                      | $          | 2,713,011                                      |       | $                                            | 17,478,064 |        | $          | 188,196 |   | $ | 216,521,509 |   |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Net loss                                     |       | (21,181,890                                 | )           | (322,073                                  | )          | (419,133                                       | )          | (4,513                                       | )          | (21,927,609 | )          |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Unitholders’  contributions             |       | —                                      |        | —                                    |       | —                                         |       | —                                       |       | —      |       |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Unitholders’  redemptions               |       | (29,503,670                                 | )           | —                                    |       | (32                                            | )          | —                                       |       | (29,503,702 | )          |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Unitholders' capital at  June 30, 2006       |       | $                                           | 145,456,678 |                                      | $          | 2,390,938                                      |       | $                                            | 17,058,899 |        | $          | 183,683 |   | $ | 165,090,198 |   |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Net asset value per  unit at January 1, 2006 |       | $                                           | 112.96      |                                      | $          | 112.96                                         |       | $                                            | 7.77       |        | $          | 7.77 |   | $ | 120.73 |   |
| Net loss per unit                            |       | (13.41                                      | )           | (13.41                                    | )          | (0.19                                          | )          | (0.19                                        | )          | (13.60      | )          |
|                                         |       |                                        |        |                                      |       |                                           |       |                                         |       |        |       |
| Net asset value per unit at June 30, 2006    |       | $                                           | 99.55       |                                      | $          | 99.55                                          |       | $                                            | 7.58       |        | $          | 7.58 |   | $ | 107.13 |   |

See accompanying notes tofinancial statements.

4

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**JWHGLOBAL TRUST**

**Condensed Schedule of Investments**

**asof June 30, 2006**

**UNAUDITED**
| ** **                                                | ** ** | **Number of  contracts** | ** ** | **Principal  (notional)** | ** **    | **Value (OTE)** | ** **  |
|-----------------------------------------------------------|------------|-------------------------------|------------|---------------------------|---------------|----------------------|-------------|
| **Long positions  (0.61%)**                               | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| **Futures positions (-0.18%)**                            | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| Agriculture                                               |       | 581                           |       | $                         | 12,612,460    |                 | $           | 65,442 |   |
| Interest Rates                                            |       | 1,253                         |       | 229,960,000               |          | (459,920             | )           |
| Metals                                                    |       | 160                           |       | 8,155,040                 |          | (104,075             | )           |
| Energy                                                    |       | 280                           |       | 16,229,640                |          | 199,533              |        |
|                                                      |       |                          |       | 266,957,140               |          | (299,020             | )           |
| **Forward positions (0.79%)**                             | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| Currencies                                                |       | 41                            |       | 832,670,460               |          | 1,319,841            |        |
|                                                      |       |                          |       | 832,670,460               |          | 1,319,841            |        |
|                                                      |       |                          |       |                      |          |                 |        |
| Total long  positions                                     |       |                          |       | $                         | 1,099,627,600 |                 | $           | 1,020,821 |   |
| ** **                                                | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| **Short positions  (-2.86%)**                             | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| **Futures positions (-1.00%)**                            | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| Agriculture                                               |       | 1,947                         |       | $                         | 21,868,704    |                 | $           | (419,110 | ) |
| Interest rates                                            |       | 4,336                         |       | 541,288,896               |          | (182,721             | )           |
| Metals                                                    |       | 311                           |       | 16,373,985                |          | (536,579             | )           |
| Indices                                                   |       | 1,293                         |       | 43,265,829                |          | (855,918             | )           |
| Energy                                                    |       | 80                            |       | 4,637,040                 |          | 342,800              |        |
|                                                      |       |                          |       | 627,434,454               |          | (1,651,528           | )           |
| **Forward positions (-1.86%)**                            | ** ** | ** **                    | ** ** | ** **                | ** **    | ** **           | ** **  |
| Currencies                                                |       | 30                            |       | 402,118,905               |          | (3,083,820           | )           |
|                                                      |       |                          |       | 402,118,905               |          | (3,083,820           | )           |
|                                                      |       |                          |       |                      |          |                 |        |
| Total short  positions                                    |       |                          |       | $                         | 1,029,553,359 |                 | $           | (4,735,348 | ) |
|                                                      |       |                          |       |                      |          |                 |        |
| Total unrealized gain  on open contracts (-2.25%)         |       |                          |       |                      |          | $                    | (3,714,527  | ) |
| Cash on deposit and  open contracts with brokers (93.75%) |       |                          |       |                      |          | 154,766,312          |        |
| Cash on deposit with  former broker and bank (10.64%)     |       |                          |       |                      |          | 17,579,183           |        |
| Other liabilites in  excess of assets (-2.14%)            |       |                          |       |                      |          | (3,540,770           | )           |
| Net assets (100.0%)                                       |       |                          |       |                      |          | $                    | 165,090,198 |   |

See accompanying notes to financial statements.

 

5

----

 

 

**JWHGLOBAL TRUST**

**Condensed Schedule of Investments**

**asof December 30, 2005**

 
| ** **                                                   | ** ** | **Number of** | ** ** | **Principal**  | ** **    | **Value/open**        | ** **  |
|--------------------------------------------------------------|------------|--------------------|------------|----------------|---------------|-----------------------|-------------|
| ** **                                                   | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **trade equity** | ** **  |
| **Long  positions (2.92%)**                                  |       |               |       |           |          |                  |        |
| **Futures  positions (2.5%)**                                |       |               |       |           |          |                  |        |
| Agriculture                                                  |       | 560                |       | $              | 7,111,667     |                  | $           | 1,211,972 |   |
| Interest Rates                                               |       | 1,183              |       | 53,299,584     |          | (77,250               | )           |
| Metals                                                       |       | 1,723              |       | 92,446,095     |          | 8,283,119             |        |
| Indices                                                      |       | 326                |       | 42,909,706     |          | 1,408,234             |        |
| Energy                                                       |       | 196                |       | 26,835,120     |          | (5,415,299            | )           |
|                                                         |       |               |       | 222,602,171    |          | 5,410,775             |        |
| **Forward  positions (0.42%)**                               |       |               |       |           |          |                  |        |
| Currencies                                                   |       | 28                 |       | 413,711,125    |          | 910,781               |        |
|                                                         |       |               |       |           |          |                  |        |
| Total long positions                                         |       |               |       | $              | 636,313,296   |                  | $           | 6,321,556 |   |
|                                                         |       |               |       |           |          |                  |        |
| **Short  positions (-1.73%)**                                |       |               |       |           |          |                  |        |
| **Futures  positions (-2.58%)**                              |       |               |       |           |          |                  |        |
| Agriculture                                                  |       | 826                |       | $              | 15,796,669    |                  | $           | (716,296 | ) |
| Interest Rates                                               |       | 4,475              |       | 932,659,568    |          | (1,371,984            | )           |
| Metals                                                       |       | 584                |       | 35,966,425     |          | (3,806,813            | )           |
| Energy                                                       |       | 768                |       | 36,784,731     |          | 315,722               |        |
|                                                         |       |               |       | 1,021,207,393  |          | (5,579,371            | )           |
| **Forward  positions (0.85%)**                               |       |               |       |           |          |                  |        |
| Currencies                                                   |       | 16                 |       | 177,861,577    |          | 1,848,673             |        |
|                                                         |       |               |       |           |          |                  |        |
| Total short positions                                        |       |               |       | $              | 1,199,068,970 |                  | $           | (3,730,698 | ) |
|                                                         |       |               |       |           |          |                  |        |
| **Total  unrealized gain on open contracts (1.2%)**          |       |               |       |           |          | $                     | 2,590,858   |   |
| **Cash on  deposit and open contracts with brokers (93.5%)** |       |               |       |           |          | 202,443,116           |        |
| **Cash on  deposit with former broker and BBH (8.27%)**      |       |               |       |           |          | 17,907,019            |        |
| **Other  liabilites in excess of assets (-2.96%)**           |       |               |       |           |          | (6,419,484            | )           |
| **Net assets (100.00%)**                                     |       |               |       |           |          | $                     | 216,521,509 |   |

 

See accompanying notes tofinancial statements.

 

 

6

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**JWH GLOBAL TRUSTNOTES TO FINANCIAL STATEMENTSJune 30, 2006**(Unaudited)

**(1)   General Information and Summary**

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

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

The Trust will be terminated on December 31, 2026, if none of thefollowing occur prior to that date:  (1)beneficial owners holding more than 50% of the outstanding units notify theManaging Owner to dissolve the Trust as of a specific date; (2) disassociationof the Managing Owner with the Trust; (3) bankruptcy of the Trust; (4) adecrease in the net asset value to less than $2,500,000; (5) a decline in thenet asset value per unit to $50 or less; (6) dissolution of the Trust; or (7)any event that would make it unlawful for the existence of the Trust to becontinued or require dissolution of the Trust.

On October 10, 2005, Refco, Inc., the ultimate parent of RCMI,announced that it had discovered through an internal review a receivable owedto Refco, Inc., by an entity controlled by Phillip R. Bennett, the then ChiefExecutive Officer and Chairman of the Board of Directors of Refco, Inc., in theamount of approximately $430 million. Mr. Bennett has been charged with securities fraud in connection withthis matter and various actions have been filed against Refco, Inc.  Thereafter, on October 13, 2005, Refco, Inc.,announced that the liquidity within Refco Capital Markets, Ltd. (“RCM”) was no longersufficient to continue operations, and that RCM had imposed a fifteen (15) daymoratorium on all of its activities in an attempt to protect the value of thatenterprise.

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

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

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

Management does not believe that the bankruptcy filings of Refco, Inc.and RCM will have a material impact upon the operations of the Trust or itsability to satisfy a request for redemption. In this regard, the operations ofthe Trust, including the trading activities of the underlying asset manager,have continued with minimal interruption. In particular, with respect to redemptions made as of October 31, 2005,and thereafter, the Trust has made payment in an amount that represented theproportionate share of the Trust’s net assets that are held at Lehman, whilereserving payment with respect to the Trust’s assets currently held at RCM,plus a cash reserve in connection with expenses in pursuit of its rights and/orclaims against RCM and 

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other potential third parties. As such, the Trust has reserved payment with respect to approximately18.2%  — 25% of any redemption proceedsuntil these monies held at RCM are remitted to the Trust or the Trust’s rightsand/or claims against RCM and/or such potential third parties are resolved.

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

**(2)   Summary of Significant Accounting Policies**

The accompanying unaudited financial statements of the Trust have beenprepared in accordance with accounting principles generally accepted in theUnited States of America for interim financial information and with theinstructions to Form 10-Q and Rule 10-01 of Regulation S-X.  Accordingly, they do not include all of theinformation and footnotes required by accounting principles generally acceptedin the United States of America for complete financial statements.  In the opinion of management, all adjustments(consisting only of normal recurring adjustments) considered necessary for afair statement of the financial condition and results if operation of the Trustfor the period presented have been included. The following is a description ofthe more significant of those policies that the Trust follows in preparing itsfinancial statements.

**(a)   Revenue Recognition**

Commodity futures contracts, forward contracts, physical commodities,and related options are recorded on the trade date.  All such transactions are recorded on theidentified cost basis and marked to market daily.  Unrealized gains on open contracts reflectedin the statements of financial condition represent the difference betweenoriginal contract amount and market value (as determined by exchange settlementprices for futures contracts and related options and cash dealer prices at apredetermined time for forward contracts, physical commodities, and theirrelated options) as of the last business day of the year or as of the last dateof the financial statements.

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

**(b)   Redemptions**

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

**(c)    Ongoing Offering Costs**

Ongoing offering costs subject to a ceiling of 0.50% of the Trust’saverage month-end net assets, are paid by the Trust and expensed as incurred.There are no units currently being offered therefore no offering costs wereincurred during the first six months of 2006.

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**(d)   Commissions**

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

Certain large investors are eligible for a “Special Brokerage Fee Rate”of 4.5% per year through Lehman.  As ofJune 30, 2006, there were no such eligible investors in the Trust.

The Managing Owner, and/or its affiliates, acts as the commoditybrokers for the Trust through Lehman. As such, the Managing Owner and itsaffiliates receive all commissions that are reflected as such in the financialstatements.

**(e)   Foreign Currency Transactions**

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

**(f)     Useof Estimates**

The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America requiresmanagement to make estimates and assumptions that affect the reported amountsof assets and liabilities and disclosure of contingent assets and liabilitiesat the date of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differ from those estimates.

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

Assets held by the Fund at RCM are reportedat fair value as determined in good faith by the Managing Owner afterconsideration of all factors, data and information, including information fromfinancial institutions with no affiliation to RCM, analysis of the currentmarket which has developed to purchase RCM creditor claims, the current demandand willingness of third parties to purchase RCM claims and financialinformation received by the Managing Owner from RCM. The value assigned to thisasset is based upon available information and does not necessarily representamounts which might ultimately be realized. Furthermore, this value assumesthat the Managing Owner would recommend selling these claims to a third partyas opposed to holding RCM assets until the RCM estate makes a distribution toRCM customers and creditors which may or may not be the case. Because of theinherent uncertainty of valuation due to the inability to estimate recoverableRCM assets necessary to remit payment to customers and creditors as well as theuncertainty as the standing of the Fund vis-a-vis other customers/creditors,the estimated fair value could be significantly higher or lower than the fairvalue assigned by the Investment Manager. Based upon this fair valuemethodology, the assets held by the Fund at RCM had a total value of$16,963,262 as of both December 31, 2005, and June 30, 2006.

Any future administrative and/or legal expenses associated withliquidation of the assets held at RCM have not been reflected as such futureexpenses are not determinable.

**(h)   Recent Pronouncements**

In September 2006, the Financial Accounting Standards Board issued Statementof Financial Accounting Standards (“SFAS”) No. 157, “Fair ValueMeasurements,” which defines fair value, establishes a framework for measuringfair value, and expands disclosures about fair value measurements. Theprovisions of SFAS No. 157 are effective for fiscal years beginning afterNovember 15, 2007. The Trust is currently evaluating the impact ofadopting SFAS No. 157 on its financial statements. At this time, theimpact to the Trust’s financial statements has not been determined.

**(3)   Fees**

Management fees are accrued and paid monthly. Incentive fees areaccrued monthly and paid quarterly. Trading decisions for the period of thesefinancial statements were made by John W. Henry & Company, Inc. (JWH)utilizing four of its trading programs,  JWH GlobalAnalytics®, theFinancial and Metals Portfolio, the International Foreign Exchange program andthe Global Financial & Energy program.

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Under signed agreement JWH receives a monthly management fee at therate of 0.167% (a 2% annual rate) of the Trust’s month-end net assetscalculated after deduction of a portion of the Brokerage Fee at an annual rateof 1.25% of the Trust’s month-end net assets, but before reduction for anyincentive fee or other costs and before inclusion of purchases and redemptionsfor the month.

Also, under signed agreement the Trust pays to JWH a quarterlyincentive fee equal to 20% of the net trading profits, if any, of the Trust. The incentive fee is based on theoverall performance of the Trust, not individually in respect of theperformance of the individual programs utilized by the Trust. This fee is alsocalculated by deducting a portion of the brokerage fees at an annual rate of1.25%.

**(4)   Income Taxes**

No provision for Federal income taxes has been made in the accompanyingfinancial statements as each beneficial owner is responsible for reportingincome (loss) based on the pro rata share of the profits or losses of theTrust.  Generally, for both Federal andstate tax purposes, trusts, such as the Trust, are treated as partnerships.

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

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

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

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

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

Net trading results from derivatives for the periods ended June 30,2006 and 2005 are reflected in the statements of operations and equal gain fromtrading less brokerage commissions.  Suchtrading results reflect the net gain or loss arising from the Trust’sspeculative trading of futures contracts and forward contracts.

The notional amounts of open contracts at June 30, 2006, as disclosedin the Condensed Schedule of Investments, do not represent the Trust’s risk ofloss due to market and credit risk, but rather represent the Trust’s extent ofinvolvement in derivatives at the date of the statement of financial condition.

The beneficial owners bear the risk of loss only to the extent of themarket value of their respective investments.

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**(6)   Financial Highlights**

The following financial highlights show the Trust’s financialperformance for the six-month periods ended June 30, 2006 and 2005.  Total return is calculated as the change in atheoretical beneficial owner’s investment over the entire period and is notannualized.  Total return is calculatedbased on the aggregate return of the Trust taken as a whole.

|                                                   | ** ** | **2006** | ** ** | **2005** | ** ** |
|---------------------------------------------------|------------|----------|------------|----------|------------|
| Net Asset Value  per unit, at beginning of period |       | $        | 120.73     |     | $          | 148.54 |   |
| Loss per unit                                     |       | (13.60   | )          | (9.63    | )          |
| Net Asset Value  per unit, at end of period       |       | $        | 107.13     |     | $          | 138.91 |   |
|                                              |       |     |       |     |       |
| Total Return:                                     |       |     |       |     |       |
| Total return before incentive fee                 |       | -11.26   | %          | -6.48    | %          |
| Less incentive fee allocation                     |       | 0.00     | %          | 0.00     | %          |
| Total Return:                                     |       | -11.26   | %          | -6.48    | %          |
|                                              |       |     |       |     |       |
| Ratios to  average net assets:                    |       |     |       |     |       |
|                                              |       |     |       |     |       |
| Net Income (Loss):                                |       | -11.45   | %          | -6.76    | %          |
|                                              |       |     |       |     |       |
| Expenses:                                         |       |     |       |     |       |
| Expenses less incentive fees                      |       | -4.20    | %          | -4.21    | %          |
| Incentive fees                                    |       | 0.00     | %          | 0.00     | %          |
| Total Expenses                                    |       | -4.20    | %          | -4.21    | %          |

 

The net loss and expense ratios are computed based upon the weightedaverage net assets for the Trust for the six-month periods ended June 30, 2006and 2005. The amounts are not annualized.

**(7)   Subsequent Events**

On October 12, 2006, RCMI, R.J. O’Brien & Associates, Inc. (“RJO”),and RJO’s acquisition subsidiary, R.J. O’Brien Fund Management, Inc. (“RJOFM”)entered into an Asset Purchase Agreement (the “Asset Purchase Agreement”) thatprovides for, among other things, RJOFM to purchase RCMI’s managing ownerinterest in the Trust. The Asset Purchase Agreement also provided for RCMI tocommence a proceeding under Chapter 11 of the Bankruptcy Code and to obtain theBankruptcy Court’s approval of the Asset Purchase Agreement and thetransactions set forth therein.

RCMI filed a voluntary petition (the “RCMI Bankruptcy Petition”) in theUnited States Bankruptcy Court for the Southern District of New York on October16, 2006, for relief under Chapter 11 of Title 11 of the United States Code.Contemporaneously with the filing of the RCMI Bankruptcy Petition, RCMI filed,a motion requesting that the Bankruptcy Court authorize RCMI to sell and assignsubstantially all of its assets, including its interest as managing owner ofthe Trust, pursuant to the terms of the Asset Purchase Agreement.  Pursuant to the terms of the Asset PurchaseAgreement, as of October 13, 2006, all clearing functions have been moved fromLehman to RJO.

On October 12, 2006, the Trust Agreement was amended to allow forchange of Managing Owner and the organization of JWH Special Circumstance LLC.

On November 30, 2006, RJOFM became Managing Owner through acquisitionof 20,218 Trading account units. The remaining 5,065 units owned by RCMI weretransferred from Managing Owner units to Beneficial Owner units. RJOFM did notacquire any units in the Non-Trading account.

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On December 29, 2006 the Trust received a partialrecovery from RCM in the amount of $10,319,317. Management elected toretain $983,275 of these proceeds for legal and administrative expenses and todistribute $9,336,042 as redemptions as of December 31, 2006.  Unitholderswho had previously redeemed units of the Trading account received cash in theamount of $4,179,705 as disclosed in Note (1). Unitholders who had notpreviously redeemed units of the Trading account received 55,206 additionalunits of the Trading account in exchange for $5,154,337, their share of thetotal distribution of $9,336,042 referred to above.

Effective January 1, 2007, a JWH Special CircumstanceLLC (the “LLC”), a limited liability company, was established to pursueadditional claims against RCM. The sole member of the LLC is JWH Global Trustand its manager is U.S. Bank National Association. The LLC was funded with cashof $1,446,763 which represents the $983,275 referred to above plus $463,488,the cash remaining of $1,000,000 set up to pay collection costs as disclosed inNote (1).  Any funds obtained by the LLCwill be distributed to unitholders who were investors in the Trust at the timeof the bankruptcy of RCM and Refco, Inc.

On April 20, 2007,the LLC received a second partial recovery from RCM in the amount of$2,787,629. Total recoveries from RCM as of May 22, 2007 aggregated$13,106,946. The remaining uncollected portion of the amounts recorded as “Cashon deposit with former brokers”, which was $16,963,262 at March 31, 2006,aggregated $3,856,316 as of May 22, 2007.

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

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

The Trust’s capitalresources fluctuate based upon the purchase and redemption of units and thegains and losses of the Trust’s trading activities.   The amount of assets invested in the Trustgenerally does not affect its performance, as typically this amount is not alimiting factor on the positions acquired by JWH, and the Trust’s expenses areprimarily charged as a fixed percentage of its asset base, however large.

The Trust’s involvementin the futures and forward markets exposes the Trust to both market risk — therisk arising from changes in the market value of the futures and forwardcontracts held by the Trust — and credit risk — the risk that another party toa contract will fail to perform its obligations according to the terms of thecontract.  The Trust is exposed to amarket risk equal to the value of the futures and forward contracts purchased andtheoretically unlimited risk of loss on contracts sold short.  JWH monitors the Trust’s trading activitiesand attempts to control the Trust’s exposure to market risk by, among otherthings, refining its trading strategies, adjusting position sizes of the Trust’sfutures and forward contacts and re-allocating Trust assets to different marketsectors.  The Trust’s primary exposure tocredit risk is its exposure to the non-performance of the Forwards CurrencyBroker.  The Forwards Currency Brokergenerally enters into forward contracts with large, well-capitalizedinstitutions and then enters into a back-to-back contract with the Trust.  The Trust also may trade on exchanges that donot have associated clearinghouses whose credit supports the obligations of itsmembers and operate as principals markets, in which case the Trust will beexposed to the credit risk of the other party to such trades.

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

The Trust borrows only toa limited extent and only on a strictly short-term basis in order to financelosses on non-U.S. dollar denominated trading positions pending the conversionof the Trust’s dollar deposits.  Theseborrowings are at a prevailing short-term rate in the relevant currency.  They have been immaterial to the Trust’s operationto date and are expected to continue to be so.

Thereare no known material trends, favorable or unfavorable, that would affect, norany expected material changes, to the Trust’s capital resource arrangements atthe present time.

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

The Trust’s assets atJune 30, 2006 are held in brokerage accounts with Lehman Brothers.  Such assets are used as margin to engage intrading and may be used as margin solely for the Trust’s trading.  As mentioned above, on or about October 18,2005, the Trust had transferred the majority of all assets to Lehman.  Except in unusual circumstances, the Trustshould be able to close out any or all of its open trading positions andliquidate any or all of its holdings quickly and at market prices.  This should permit JWH to limit losses aswell as reduce market exposure on short notice should its programs indicatereducing market exposure.

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The Trust earns intereston 100% of the Trust’s average daily balances on deposit with Lehman duringeach month at 75% of the average 91-day Treasury bill rate for that month inrespect of deposits denominated in dollars or at the applicable rates inrespect of deposits denominated in currencies other than dollars (which may bezero in some cases).  For the fiscalquarter ended June 30, 2006, the Trust had received or accrued to receiveinterest of $1,906,336.  For the fiscalquarter ended June 30, 2005, the Trust had received or accrued to receiveinterest of $2,089,452.

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

It is also possible foran exchange or the CFTC to suspend trading in a particular contract, orderimmediate settlement of a particular contract, or direct that trading in aparticular contract be for liquidation only.

There are no knownmaterial trends, demands, commitments, events or uncertainties at the presenttime that are reasonably likely to result in the Trust’s liquidity increasingor decreasing in any material way.

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

The Trust’s successdepends on JWH’s ability to recognize and capitalize on major price movementsand other profit opportunities in different sectors of the world economy.  Because of the speculative nature of itstrading, operational or economic trends have little relevance to the Trust’sresults, and its past performance is not necessarily indicative of its futureresults.  The Managing Owner believes,however, that there are certain market conditions — for example, markets withmajor price movements — in which the Trust has a better opportunity of beingprofitable than in others.

JWH’s programs do notpredict price movements.  No fundamentaleconomic supply or demand analysis is used in attempting to identifymispricings in the market, and no macroeconomic assessments of the relativestrengths of different national economies or economic sectors is made.  Instead, the programs apply proprietarycomputer models to analyze past market data, and from this data alone attemptto determine whether market prices are trending.  Technical traders such as JWH base theirstrategies on the theory that market prices reflect the collective judgment ofnumerous different traders and are, accordingly, the best and most efficientindication of market movements.  However,there are frequent periods during which fundamental factors external to themarket dominate prices.

If JWH’s models identifya trend, they signal positions which follow it. When these models identify the trend as having ended or reversed, thesepositions are either closed out or reversed. Due to their trend-following character, JWH’s programs do not predicteither the commencement or the end of a price movement.  Rather, their objective is to identify atrend early enough to profit from it and to detect its end or reversal in timeto close out the Trust’s positions while retaining most of the profits madefrom following the trend.

The performance summariesset forth below outline certain major price trends which JWH’s programs haveidentified for the Trust during the first two quarters of fiscal years 2006 and2005.  The fact that certain trends werecaptured does not imply that others, perhaps larger and potentially moreprofitable trends, were not missed or that JWH will be able to capture similartrends in the future.  Moreover, the factthat the programs were profitable in certain market sectors in the past doesnot mean that they will be so in the future.

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

 

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**Fiscal Quarter ended June 30,2006**

The Trust recorded net loss of $3,022,805 or $2.78 per unitin the second quarter of 2006*** (*** Please see “Note 7 — Subsequent Events” in Part I — Item 1 forexplanation of Net Asset Value/unit pursuant to events of October, 2005). As ofJune 30, 2006, the Trust had gained 7.13% since itsinception in June 1997.

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

The Trust’sperformance was positive for the month of April. The metals sector had stronggains in both precious and base metals. The interest rate and currency sectorsalso added to performance with higher global interest rates and a weakeningU.S. dollar. The energy sector had modest gains while volatility hamperedperformance in the agriculture and indices. The metals sector was positive withall components being profitable for the month. Gold climbed above $650/oz for the first time in 25 years.  The escalating dispute with Iran, combinedwith a falling U.S. dollar, helped to push the precious metal higher during themonth. Silver added to performance, rallying on speculation that investordemand will grow with a new offering of an exchange-traded silver-backedfund.  Gains were achieved in LME copperrally fed by speculation that disruptions at mines would curb supplies.  Further gains were achieved as LME aluminumreached a 17-year high in London as growing demand in the U.S. and China droveprices higher. The fixed-income sector was the Trust’s strongest performingsector as European, Japanese and U.S. fixed income markets sold off.  The largest gain in the sector was in theGerman benchmark 10-year bund, touching a 4% yield for the first time sinceOctober 2004 on speculation that the European Central Bank will raise its keyrates this year. The Japanese 10-year bond (JGB) also added to the sector’sperformance as it fell for a fifth month on concerns that the Bank of Japanwill also raise interest rates this year. The 10-year gilt (UK) fell for thefourth consecutive month pushing yields to a one-year high of 4.71%.  The only loss in this sector came from theeuro-yen. The currency sector was positive on the month as the U.S. dollar fellon expectations of narrowing interest rate differentials. Federal ReserveChairman Ben Bernanke said in testimony to Congress that the central bank maystop raising rates “at some point”, ending an almost a two-year cycle of rateincreases.  Meanwhile, speculation wasincreasing that the Bank of Japan, the Swiss National Bank and the EuropeanCentral Bank would all raise rates.  Thedollar extended its losses even further after the University of Michigan saidits index of consumer sentiment decreased from 88.9 to 87.4.  The dollar fell 4.1 percent against the euro(largest gain in this sector), the biggest monthly decline since December 2003,and the British pound gained against the dollar for a fourth week, its longestwinning streak in a year.  Hinderingperformance was the strength of the yen which rallied after the G-7 called forfaster currency appreciation in Asia and after China unexpectedly lifted itskey interest rate for the first time since October 2004.  The largest loss was in the Australiandollar. Performance in the energy sector was also positive during the month.Concerns that UN-imposed sanctions could lead Iran to cut shipments, drove theJune crude oil contract to a new high of $75.35 a barrel. Increasedgeopolitical uncertainty drove all petroleum based products higher as Brentcrude oil for June settlement reached a new high of $74.79 a barrel.  Mild weather in the U.S., however, hinderedperformance as natural gas fell 20 percent and approached a nine-month low asdemand slowed. The indices sector was slightly negative for the month asincreased geopolitical instability in the global stock markets, as well as avolatile interest rate environment hindered performance. Asian stocks droppedfrom a sixteen-year high during the month after China unexpectedly raised itskey lending rate. The rate rise sent shares of mining companies and commodityproducers lower on speculation that increased borrowing costs could curb demandfor raw materials in the world’s fastest growing economy. The largest gain inthis sector was the All Ordinaries Index while the largest loss occurred inEurostoxx 50. The agriculture sector was the Trust’s worst performing sector,but was only slightly negative for the month. Cotton fell to its lowest closesince December 2. The gains in cotton however were not enough to offset thelosses in the rest of the sector dominated by choppy price action. The largestloss occurred in N.Y. coffee.  The Trustrecorded a trading gain of 10.68% for the month. The April month-end tradingNAV was $113.17.

The Trust’sperformance was negative in May as the interest rate, metals, agriculture andstock indices sectors saw broad market corrections in the second half of themonth. Increased inflationary fears and concerns over the global economy ledinvestors to take profits and reduce risk exposure.  A major catalyst for the reversal was thenews that the Federal Reserve on May 10th signaled that “further policy firming may yetbe needed” instead of signaling a possible “pause”. This unexpectedannouncement caused the equity markets to fall in response. The currency sectorwas positive for the month despite extreme 

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volatility. TheU.S. dollar lost 1.4% against the euro and 1.1% against the Japanese yen asinvestors expected central banks in Europe and Japan to raise interest rates ata quicker pace than the Federal Reserve. For the year, the U.S. dollar has fallen 7.5% against the euro and 4.4%against the yen.  The largest gain in thesector was the British pound, which posted its first back-to-back monthly gainagainst the U.S. dollar since the end of 2004. The euro/Japanese yen cross hasthe largest loss. The fixed income sector was the Trust’s worst performingsector as uncertain inflationary prospects and global growth led to increasedvolatility.  The worst performer in thesector was the ten-year Japanese government bonds (JGBs), which ended its longestlosing streak since 1990 with flight-to-quality moves from the Japanese stockand commodity markets.  JGBs had risen to2.005% on May 10th,the highest rate since August 1999. The largest gains in this sector were inthe U.S. 10-year note and the 3-month eurodollar. Performance in the energysector was also negative for the month as petroleum products retreated fromrecord or near record highs during the month. Brent crude oil for July settlement touched a contract high of $74.97 abarrel on May 2nd and May 3rd as attacks inNigeria and tensions with Iran kept crude related products from suffering thesevere intra month reversals that plagued the majority of the other sectors.The largest gain in the sector was natural gas which closed the month at itshighest price in almost three weeks in New York. The largest loss was crudeoil. The metal sector was also negative for the Trust for the month as preciousand base metals fell from record highs set earlier in the month.  With Investor profit taking, a strengthening ofthe U.S. Dollar, lower energy prices and the U.S. joining nuclear talks withIran and the EU, gold fell 12% after reaching a 26-year high of $732 an ounceon May 12th.  Aluminum rose on the London Metal Exchange(LME), due to speculation that a fifth of the Alcoa Inc.’s U.S. workers may goon strike. LME copper was the best performer in this sector as its futuresreached a record high on May 12th of $8600. The largest loss in this sectoroccurred in silver as concerns that rising global interest rates may curbdemand in India and China. Indices also underperformed for the month driven bythe Federal Reserve’s uncertainty about inflation, and the lackluster U.S.consumer confidence report.  The DowJones Industrial Average closed on May 9th within 84 pointsof a new record high.  However, globalequity markets began to fall after the Federal Reserve meeting on May 10th, when it became apparent anadditional rate hike was still a possibility in June.  As a result, U.S. stocks ended May with theirworst monthly decline in almost two years. The Dow Jones Industrial Average lost 1.7 percent during the month,while the Nasdaq fell 6.2 percent. The only gain in this sector was in theNasdaq E-Mini. The largest loss occurred in the Nikkei (Osaka). The agriculturesector was also slightly negative for the Trust for the month as London and NewYork sugar hindered performance.  Sugar,whose demand has increased on its ability to be made into ethanol, fell asenergy prices dropped during the month. Contributing to sugar’s fall in London was speculation that the EuropeanUnion will increase exports, and that Brazilian sugar exporters will accelerateshipments as the nation’s currency weakens. The largest gain in this sector was in New York coffee. The Trustrecorded a trading loss of 1.15% for the month. The May month-end trading NAVwas $111.87.

The Trust’sperformance was negative for the month of June. All six sectors were negativewith the currency and interest rate sectors being responsible for the majorityof the Trust’s losses. These sectors saw trend-reversing markets caused byanticipated, but unrealized, fears that the Federal Reserve would raise ratesat its June 29th meeting and reinforce expectations for furtherrate increases. Currencies were the Trust’s worst performing sector as the U.S.dollar strengthened against most major currencies.  Stronger than expected June core ConsumerPrice Index (CPI) coupled with statements from Federal Reserve ChairmanBernanke, led to speculation that the Federal Reserve might raise rates 50basis points.  The Federal Reserve raisedrates 25 basis points and suggested it may be nearing the end of its 2-yearcycle of rate increases.  As a result, thedollar reversed and weakened during the last two days of the month: 5.3% lowervs. the euro and 2.8% vs. the yen - the greatest percentage decrease since thelast quarter of 2004.  The largest lossoccurred in the Japanese yen, while the largest gain was achieved in the SouthAfrican rand. The interest rate sector was unprofitable for the month led bydeclines in the U.S. 10-year and 30-year treasury bonds and German 10-yeargovernment bonds (bunds).  Treasuriesbegan the month strengthening only to sell-off after the core CPI came inhigher than expected. This data, along with Federal Reserve Chairman Bernanke’scomments, put pressure on the entire U.S. fixed income market. Bonds reboundedthe last two days of the month after the Federal Reserve raised rates only 25basis points.  The gains marked theTreasuries’ 2nd straight quarterly loss and worst yearly start since 1999.  On June 8th, the European Central Bank (ECB) raised its benchmarkinterest rate to 2.75 percent for its third hike in six months, and other ECBcouncil members signaled that the ECB was ready to increase rates further. Thelargest gain occurred in eurodollar (3-month), while the largest loss occurredin the U.S. 30-year bond. The metals sector was also negative for the month asboth base and precious metals continued to retreat from May highs.  With a stronger dollar, gold fell to a threemonth low of $542.45/ounce, only to surge again the last 2 days of the month.Gold is still up 18% for the year. All components of this sector were negativewith the largest loss coming from gold. The agriculture sector also underperformedduring the month as weather conditions had severe affects on various cropsworldwide. Wheat, which was the sector’s worst performer, fell to a five-weeklow in the middle of June. Corn and soybeans also hindered performance asprices fell due to Midwest rains. The only gain in this sector was N.Y. coffee.Indices were slightly negative for the month again as speculation over theFederal Reserve meeting caused severe market fluctuations.  Most of the world’s equity markets sufferedlosses during the first three weeks of the month. Speculation that the actionsof the Federal Reserve would hurt economic growth and 16 

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central banksraising interest rates during the month fueled the losses.  As it became evident that the Federal Reservewas actually closer to ending its rate-hiking cycle, world equity marketsrallied. The largest gain was in the Nasdaq E-Mini, while the largest lossoccurred in Eurostoxx 50. The energy sector was also slightly negative for themonth due to choppy market conditions. Weakness in the markets at the beginningof the month was replaced by strength due to renewed tensions in the MiddleEast and speculation that gasoline consumption will jump during the 4th of July holiday weekend.  Crude oil futures for August delivery touched$74.10 on the NYMEX, after falling to a low of $68.75 during the month. Thelargest gain in this sector was in natural gas. The largest loss was in crudeoil. The Trust recorded a trading loss of 11.01% for the month. The Junemonth-end trading NAV was $99.55.

During the quarter no units were sold. Beneficial ownersredeemed a total of 142,826 units during the quarter. The Managing Ownerredeemed 0 units during the quarter. At the end of the quarter there were1,461,076 units outstanding owned by the Beneficial Owners and 24,017 unitsoutstanding owned by the Managing Owner.

During the fiscal quarter ending June 30, 2006, theTrust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

## **FiscalQuarter ended June 30, 2005**

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

On June 30, 2005, JWH was managing 100% of the Trust’sassets. Approximately 30% of the assets were allocated to each of the JWHGlobalAnalytics® Family of Programs and the G-7 Currency Portfolio.Approximately 40% of the Trust’s assets were allocated to JWH’s Financial andMetals Portfolio.

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

The Trust’s performance was positive for the month ofMay. The currency and fixed-income sectors led profitability with robust gainsthat were more than enough to offset lackluster returns in the other sectors.The currency sector was the Trust’s strongest performer for the month, as theeuro fell to a seven-month low against the U.S. dollar and weakened againstmost other major currencies. France’s rejection of the European Unionconstitution was the catalyst for the euro’s dramatic move lower. The largestgain in this sector was achieved in the euro, while the largest loss occurredin the euro/British pound cross. The fixed-income sector was the Trust’s othersolid performer, as both European and American bonds rose during the month. Thebenchmark German 10-year bund rose to a record high, as market conjecture grewthat the European Central Bank (ECB) would have to cut interest rates as theEuropean economy slowed. U.S. Treasuries also rallied on diminished inflationfears and the 10-year note broke 4% for the first time since February. Thelargest gain in this sector was achieved in the bund, while the 

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only loss occurred in the Eurodollar. The energysector underperformed for the month as a result of volatility, which dominatedtrading throughout the sector. Natural gas was the lone profitable marketwithin the sector. Energy markets weakened for most of the month and reverseditself towards the end of the month when crude oil stockpiles fell for thefirst time in five weeks. The largest loss occurred in London gas oil. The Trust’sperformance in the metals sector was slightly positive during the month asvolatility in various markets limited the Trust’s ability to achieve returns.The Trust was able to benefit as gold traded near a three-month closing low asthe U.S. dollar strengthened. The largest gain in this sector was achieved ingold, while the largest loss occurred in LME copper. Performance in theagriculture sector was negative for the month as trading in cotton, N.Y. coffeeand CBOT wheat affected returns. Cotton fell almost 13 percent from April’shighs as supply outpaced demand and wheat strengthened on concerns that hotweather would hurt U.S. crops. The largest gain in this sector was achieved inLondon coffee, while the largest loss occurred in cotton. Indices were negativefor the month. Most of the world indices were higher on the month, which wasthe cause of the sector’s underperformance. All components of this sector werenegative with the largest loss coming from the Nasdaq E-Mini. Overall, theTrust recorded a gain of 7.95% for the month.

The Trust’s performance was positive for the month ofJune. The currency and fixed income sectors led profitability on the strengthof the U.S. dollar and the global fixed income markets. These gains were mainlydue to the U.S. Federal Reserve raising interest rates another quarter point to3.25 percent. Hindering performance was volatility in the metals andagriculture sectors. The currency sector was the Trust’s strongest performerfor the month. The U.S. dollar posted its largest quarterly gain against theeuro since 2001 and rose against the yen as the market anticipated the quarterpoint increase by the Federal Reserve on June 30th. The dollar also benefitedfrom the yield advantage against the Japanese yen, Swiss franc and the euro.Also boosting the sector’s performance was the weakness in the British poundagainst the U.S. dollar. The largest gain in this sector was achieved in theJapanese yen, while the largest loss occurred in the British pound/Japanese yencross. The fixed income sector was the Trust’s other solid performer, as globalbond markets continued to rally. The majority of the sector’s gains came fromthe strength in both Germany’s and Japan’s fixed income markets. The largestgain in this sector was achieved in the bund, while the largest loss occurredin the Eurodollar. The energy sector was profitable for the month as volatilitydominated these markets. The entire sector rallied during the first half of themonth as expectations increased that global demand for oil would reach a record86.4 million barrels a day in the 4th quarter. Most components of this sectorwere positive; however the sectors performance was hindered by the losses innatural gas. Metals were negative for the month as volatility hurt this sector’sperformance. Gold rose for the majority of the month and then fell towards theend of the month as the U.S. dollar strengthened and the U.S. Federal Reserveraised interest rates. All components of this sector were negative with thelargest loss coming from gold. Performance in the agriculture sector was downfor the month as trading in cotton, wheat and soybeans hindered returns. Gainsin NY coffee were not enough to offset the combined negative performanceexperienced in the rest of the sector. Performance was slightly positive inindices during the month. Overall, stocks fell during the month as the FederalReserve raised its benchmark interest rate for the ninth time this year. Thelargest gain in this sector was achieved in the EuroStoxx 50, while the largestloss was in the Nasdaq E-Mini. Overall, the Trust recorded a gain of 7.89% forthe month.

During the quarter there were 72,578.27 units sold tothe beneficial owners for an investment of $9,178,395. Beneficial ownersredeemed a total of 98,644.05 units during the quarter. The Managing Ownerredeemed a total of 0 units during the quarter. At the end of the quarter therewere 2,280,393.89 units outstanding owned by the Beneficial Owners and23,953.14 units outstanding owned by the Managing Owner.

During the fiscal quarter ending June 30, 2005, theTrust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

**Fiscal Quarter ended March 31,2006**

The Trust recorded net loss of$18,904,802 or $10.82 per unit in the first quarter of 2006*** (***Please see “Note 7 — Subsequent Events” inPart I — Item 1 for explanation of Net Asset Value/unit pursuant toevents of October, 2005). As of March 31, 2006, the Trust had gained 9.91% since its inception in June 1997.

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

The Trust’soverall return was negative for the month of January as losses in the interestrates, currencies and energy sectors outweighed the gains achieved in the othersectors. The fixed income sector was the Trust’s worst performing sector as thefixed income markets in the U.S., Europe and Japan sold-off over fears of therespective central banks raising interest rates.  

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Japanesegovernment bonds (largest loss) traded at their lowest level in almost twomonths with Japanese unemployment falling amid growing confidence that economicgrowth is sustainable and that the Bank of Japan (BOJ) may increase interestrates.  Meanwhile, the German bundreached 2.97%, the highest rate since December 2002, on speculation that astrengthening European economy will encourage the European Central Bank (ECB)to raise rates in March.  Furtherhindering performance were the U.S.10-year and 30-year bonds as U.S. treasurieshad their first monthly decline since October 2005 as a result of the FederalReserve raising interest rates for the 14th straight time. The currency sector also suffered losses as the U.S. dollar posted itsbiggest monthly decline against the euro since November 2004.   The euro also benefited as the market waitedto see if the ECB would signal, at their meeting on February 2nd, that they would raise borrowing costsas Europe’s economy strengthened.  Thedollar also suffered losses against the Swiss franc, and the Japanese yen asthe spread narrowed between the U.S. and both European and Japanese interestrates, no longer benefiting the dollar. The Trust was able to limit losses asthe British pound strengthened against the dollar on speculation that the Bankof England would keep interest rates on hold this year. The largest gains inthis sector were the British pound and the Singapore dollar.  The largest loss occurred in the Japaneseyen.   Performance in the energy sectorwas also negative for the month. The Trust underperformed as volatility withinthe energy sector increased as oil and natural gas are now being used as “geopoliticalweapons” by Iran, Russia, Venezuela and militants in Bolivia.  Crude oil (largest gain), which is up 41percent from a year ago and 11 percent for the month, helped to limit losses inthis sector despite the increased volatility. The largest loss occurred in natural gas, which for the first time inalmost 6 months dropped below $8 in New York. Natural gas fell 17 percent for the month as mild weather decreaseddemand in the largest U.S. consuming regions. The metals sector was the best performing sector for the month. Gold(largest gain) extended its surge to a 25-year high, and silver climbed to itshighest level since March 1984. Gold’s increase occurred on concerns that thedollar may weaken because of higher oil prices. LME copper prices rose to anear record as production from the world’s mines are failing to keep pace withincreased demand from countries like China. Adding to the production shortfall is the threat of a strike fromworkers of Chile’s Codelco, the world’s largest copper producer.   Indices were positive for the month asEuropean stock indices had their best January rally in eight years led byenergy, mining and steel stocks. Leading the sectors performance was the Nikkei(Osaka), which despite increased volatility caused by geopolitical events,approached a decade high and managed to gain 3.3% during the month. The NasdaqE-Mini also helped performance as it rose 3.7% for the month.  The agriculture sector was also positive onthe month as sugar reached a 16-year high in London and a 25-year high in NewYork (largest gains).  The record highswere a result of increased demand for ethanol, a sugar cane by-product.Limiting profitability in the sector was N.Y. coffee as it rose to seven monthhighs as worldwide demand outpaced supply. The largest loss occurred in soybeanoil.  The Trust recorded a trading lossof 1.76% for the month. The January month-end trading NAV was $110.87.

The Trust’sperformance was negative for the month of February as listless marketscontinued to hamper the Trust’s long-term trend following approach.  The majority of the losses were realized inthe currency and energy sectors, along with more modest losses in the othersectors.  Currencies were the Trust’sworst performing sector for the month as markets gyrated over speculation aboutpotential global interest rate moves. The dollar rose 1.3% against the euro as new Federal Reserve ChairmanBen S. Bernanke comments suggested further tightening by the Fed.  Thee British pound declined versus the dollaron signs of slowing home price growth and sluggish retail sales. The largestloss in the sector was in the yen as the currency strengthened after Bank ofJapan Governor Toshihiko Fukui said the central bank would “immediately” reducethe amount of cash pumped into the financial system, a precursor to raisingrates. Limiting losses in this sector was the Brazilian real (largest gain) asit gained 3.4% against the dollar. The energy sector incurred losses onconcerns over geopolitical events. While the market continued to be sensitiveto the situation in Iran and Iraq, attacks in Nigeria and Saudi Arabia added tothe market’s trepidation.  In SaudiArabia, there was an assault on a processing center which handles two-thirds ofSaudi oil. Limiting losses in this sector was falling natural gas prices withU.S. stockpiles for the week ended February 17, 2006 were almost 700 billioncubic feet above the 5 year average. The metals sector was also negative forthe month as volatility hurt performance. Gold once again hit a 25-year high of $579.50 oz. Meanwhile, afterreaching a record high of $5,100 per metric ton on, LME copper dropped to$4,665, the lowest since January 2005. The largest gain in this sector was insilver on speculation that demand for the metal will accelerate, extending itsyear-long rally. Indices did not perform well for the month as Asian stocksposted their first monthly decline since October 2005 and the Nasdaq dropped1.1%.  Market instability was also afactor in the indices sector as U.S. stocks suffered their biggest lost in fiveweeks on the last day of trading in February. The largest gain was in theEurostoxx 50, while the largest loss occurred in the Nikkei (Osaka).  The interest rate sector was slightlynegative for the month as performance in various markets counterbalanced eachother. The sector benefited from Japanese government bonds, which saw a pricedecline for the month. Offsetting the sector gains however were losses in U.S.30-year bonds, German bunds and the Long gilt. Both European and U.S. fixed income markets gyrated. The largest gain inthis sector was in the Eurodollar. The largest loss occurred in the U.S.30-year bond. Performance in the agriculture sector was also slightly negativefor the month. N.Y. coffee (largest loss) contributed to the sector’sunderperformance as coffee production threatens to exceed demand. N.Y. sugaralso hurt performance as prices fell to a 20-month low. CBOT wheat (largestgain) rose to a 20-month 

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high onspeculation that unusually hot, dry weather from Texas to Nebraska reduced U.S.production. The Trust recorded a trading loss of 9.61% for the month.  The February month-end trading  NAV was $100.21.

The Trust’s performance was positivefor the month of March.  Performance wasled by the fixed income, indices and metals sectors.  Limiting the Trust’s gains for the month wasthe currency sector, which continued to suffer from range-bound trading, alongwith underperformance in both the energy and agriculture sectors. The fixedincome sector was the Trust’s strongest performer for month as German,Japanese, and U.S. government debt endured increased consumer confidence andrising inflationary fears. The bund fell for the seventh consecutive month, asreports showed business confidence at an almost 15-year peak. The Japanese10-year government bonds (JGB’s) fell after the Bank of Japan ended its 5-yearpolicy of flooding the Japanese economy with cash.  U.S. treasuries posted their biggestquarterly drop since 2004 on concerns that inflationary growth will cause theFederal Reserve to increase its interest rate target.  The Federal Reserve and the European CentralBank raised their interest rates 25 bps, but the true catalyst for the sell-offwas growing speculation that both would be forced to continue to raise ratesafter confidence reports released were much stronger than expected. The largestgains in this sector were achieved in the bund and the JGB’s, while the largestloss occurred in the Australian 3-year bond.  The indices sector was also positive for the month as Asian stocksapproached a 16-year high on surging demand for metals and oil, and the Nikkei225 climbed above 17,000 for the first time in more than five years. The AllOrdinaries Index rose 8 percent this quarter, while the Nasdaq Composite Indexrose to a 5- year high.  The Nikkei(Osaka) was the best performer in the sector. The only loss occurred in the Nasdaq E-Mini.  The metals sector was also profitable for theTrust for the month as silver reached $11.66 on March  30th, the highestintra-day price since September 1983.  Silver gained 21 percent this month alone in anticipation of approvalfor the first exchange-traded fund for this precious metal.  Also helping this sector’s performance wasLME copper, which was up approximately 25 percent for the quarter.  This metal, used in wiring and plumbing,continued to set new all time highs towards the end of the month as demand forthe metal continued, especially in China. The only loss in this sector occurred in gold.  The energy sector was the Trust’s worstperforming sector as geopolitically-induced volatility limited gains.  Crude oil rose to a 2-month high and gasolinesurged as U.S. supplies declined and the UN asked Iran to curb its nuclearprogram.   Prices then fell after Iransaid it would not use crude oil as leverage in a dispute with western countriesover its nuclear program.  All componentsof this sector were negative for the month with the largest loss coming fromcrude oil.  The currency sector was alsonegative for the month as range-bound trading continued to negatively affectthe Trust’s long-term trend following approach. Although some currencies had directional moves during the month, theywere then accompanied by strong reversals. Since December 2005 the U.S. dollar has dropped 2.3 percent and 1.25percent against the euro and the British pound, respectively. The largest gainsin this sector were achieved in the euro/yen cross, Australian dollar and theNew Zealand dollar while the largest losses occurred in the euro and Polishzloty.  The agriculture sector wasslightly negative for the Trust as gains made in London sugar were offset bythe weakness in CBOT wheat and corn. Sugar prices in London hit their highestlevels since 1989 on speculation that expensive oil will force Brazil, theworld’s largest sugar producer, to direct more of its output towards producingethanol. Wheat prices weakened as rains revived winter crops in the U.S. GreatPlains.  Corn hurt performance as pricesin Chicago rose after U.S. farmers indicated that they plan to slash this year’splantings to 2001 levels.  The Trustrecorded a trading  gain of 2.04% for themonth.  The March month-end trading NAVwas $102.25.

During the quarter no units were sold. Beneficial ownersredeemed a total of 132,172.78 units during the quarter. The Managing Ownerredeemed a total of 0 units during the quarter. At the end of the quarter therewere 1,604,135.27 units outstanding owned by the Beneficial Owners and24,016.36 units outstanding owned by the Managing Owner.

During the fiscalquarter ending March 31, 2006, the Trust had no material credit exposure to acounterparty, which is a foreign commodity exchange, or to any counterpartiesdealing in over the counter contracts.

**Fiscal Quarter ended March 31,2005**

TheTrust recorded a net loss of $47,398,966 or ($21.11) per unit in the firstquarter of 2005. As of March 31, 2005, the Trust had gained 27.43% since itsinception in June 1997.

On March31, 2005, JWH was managing 100% of the Trust’s assets. Approximately 30% of theassets were allocated to each of the JWH GlobalAnalyticsÒ Family ofPrograms and the G-7 Currency Portfolio. Approximately 40% of the Trust’sassets were allocated to JWH’s Financial and Metals Portfolio.

The Trust’s performance was negative in January. While both thefixed-income and agriculture sectors had gains for the month, they weren’tenough to offset the losses in other sectors. The Trust’s underperformance wasdriven by the strength of the U.S. 

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dollar, which rebounded from last year’s weakening trend.  The dollar’s sudden turnaround was thedominant factor that drove most market sectors during the month, and thereforeresulted in the overall loss for the program. The weak U.S. dollar trend, which had dominated the markets during thesecond half of last year, began to reverse itself as market expectations of aYuan revaluation by the Chinese central bank began to diminish.  The Canadian dollar/Japanese yen cross wasthe only positive contributor to the month, while the largest loss was in theeuro.  Trading in both metals and indiceswas also negative during the month. The loss in metals was due to the weakeningof both gold and aluminum.  Gold, whichhas recently had a strong inverse relationship with the U.S. dollar, came underpressure as the U.S. dollar strengthened throughout the month.  Aluminum also added to the Trust’s losses assupply increases in Shanghai put pressure on the market.  The Trust’s returns in the indices sectorfurther hindered performance.  The lossin indices resulted from a sell off in world equity markets. The largest gainin the indices sector was achieved in the Eurostoxx 50, while the largest lossoccurred in the Nasdaq E-Mini.  Higherprices in energies led to negative performance for the Trust in thissector.  In addition to the events in theMiddle East, weather dominated the sector’s price action.  Brent crude was the only positive contributorof this sector, while the largest loss came from natural gas.  The agricultural sector provided positivereturns for the month of January. Wheat helped returns as prices fell to a20-month low. Corn boosted returns slightly as prices fell to the lowest levelsince June 2001. The largest gain in the agricultural sector was achieved inwheat, while the largest loss occurred in cotton.   The fixed income was also positive for theTrust for the month. Japanese Government bonds (JGBs) rose during the monthafter Japanese government reports showed household spending and industrialproduction fell. The largest gain was achieved in the JGBs, while the largestloss occurred in Australian 10-year bond. Although January underperformed, it is these types of markets that haveprovided the catalyst historically for long-term trends to emerge.   Overall, the Trust recorded a loss of(9.54)% for the month.

The Trust’s performance was negative in February.  Gains in both the indices and energy sectorsweren’t enough to offset the combined losses in the other sectors traded.  The Trust’s underperformance was driven bythe apparent end to some long-term trends in the global fixed-income market andthe unfavorable performance in the currency sector.  A significant portion of February’s losseswas directly related to the fixed-income sector as the European, Japanese andU.S. bond markets sold off.  The catalystfor the dramatic moves higher in world interest rates was the cumulative effectof various events. On February 10th, the U.S. 10-year Treasury note fell afterjobless claims unexpectedly declined, exports rose, and the U.S. governmentsold $14 billion 10-year notes at a higher-than-expected yield.  On February 16th,Fed Chairman Alan Greenspan’s testimony prepared for the Senate BankingCommittee added pressure to the sector and long-term rates declined despiterate hikes over the last year.  Two dayslater, the release of a higher-than-expected Producer Price Index in the U.S.helped to spark inflation fears worldwide. The largest gain was achieved in theEurodollar, while the largest loss occurred in the Japanese governmentbond.  Currencies were the other maincontributor to the Trust’s losses.  TheU.S. dollar rose to a three-month high against the yen after a CommerceDepartment report showed the U.S. trade deficit narrowed in January. Furtheradding to the yen’s weakness were reports that Japan had officially fallen intoa recession for the fourth time since 1991. Additional losses in this sectoroccurred during the middle of month as the Swiss franc rose against the U.S.dollar. The largest gain was achieved in the Australian/Japanese yen cross,while the largest loss occurred in the Japanese yen.  The energy sector had positive returns andwas the Trust’s best performing sector. Energies rallied as commodity prices surged to a 24-year high. Londongas oil and crude oil led performance after the U.S. government reported anunexpected decline in U.S. oil stockpiles. In addition, the InternationalEnergy Agency raised its prediction for global consumption.  All components of this sector were positivewith the largest gain achieved in London gas oil.  The Trust’s three other sectors, indices,metals, and agriculture all had relatively little effect on overall performanceduring the month. Indices posted gains as the Nikkei rallied. The only loss inthis sector was in the Nasdaq E-Mini. The metals sector posted negativereturns. The largest gain in this sector was achieved in aluminum, while thelargest loss occurred in gold.  Lastly,the agricultural sector was flat. Overall, the Trust recorded a loss of (5.63)% for the month.

The Trust’s performance was positive for the month of March.  The energy sector exhibited moderate returns,and the agricultural sector also contributed to the Trust’s positiveperformance. The combined positive performance in both of these sectors wasable to offset the losses suffered in the other sectors.  The energy sector was the Trust’s bestperforming sector as crude oil and gasoline surged to near all-time highs onnews that demand may outpace supply during the peak summer months. A GoldmanSachs prediction that crude oil prices could spike to as high as $105 perbarrel also bolstered the rise in oil prices. All components of this sectorwere positive with the largest gain coming from London gas oil.  Currencies were the most unprofitable sectorfor the Trust during the month. The single most influential factor drivingperformance was the U.S. dollar.  Thedollar began the month in a weakening trend as the U.S. trade deficit widenedto its second highest level ever. However, this trend reversed as the price ofoil soared, the yield on the 10-year note rose to its highest level in sevenmonths, and the Federal Reserve increased borrowing costs by a quarterpercentage point. The largest gain in this sector was achieved in the Japaneseyen, while the largest loss occurred in the British pound.  The Trust was unprofitable in the fixedincome sector for the month, as European and Domestic markets sold off and theJapanese bond markets rallied. Increases in energy prices and 

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inflation expectations were the catalyst for the dramatic move higher inmost of the world interest rates. In Japan, bonds rallied amid speculation thatexports to the U.S. would drop. Additionally, Japanese fixed-income gained on increased signs that itseconomy is struggling to recover from a fourth recession since 1991. Thelargest gain in this sector was achieved in the Eurodollar, while the largestloss occurred in the bund.  Metals wereunprofitable during March as gold and silver, which tend to have an inverserelationship with the U.S. dollar, were driven by the volatility in the U.S.dollar.  The Trust did benefit as LMEaluminum rose to a 10-year high, however not enough to offset the combinedlosses in gold and silver.  Performancein indices was down slightly for the month as equity markets weakenedworldwide.  Higher bond yields and oilprices made equities less attractive to investors as inflationary pressures startedto weigh on the global economy. The largest gain was achieved in the NasdaqE-Mini, while the largest loss occurred in the Nikkei.  The Trust’s performance in the agriculturalsector was slightly profitable for the month. The Trust was able to benefit from rising New York coffee prices asproduction declined and reserves fell to their lowest level in 15 years.Overall, the gains achieved in the energy and agricultural sectors were enoughto offset the combined losses in the various other sectors.  Overall, the Trust posted a gain of .50% forthe month.

Duringthe quarter there were 156,555.52 units sold to the beneficial owners for aninvestment of $20,278,995. Beneficial owners redeemed a total of 61,635.92units during the quarter. The Managing Owner redeemed a total of 0 units duringthe quarter. At the end of the quarter there were 2,306,459.25 unitsoutstanding owned by the Beneficial Owners and 23,771.70 units outstandingowned by the Managing Owner.

During the fiscal quarterending March 31, 2005, the Trust had no material credit exposure to acounterparty, which is a foreign commodity exchange, or to any counterpartiesdealing in over the counter contracts.

**(d)     Off-Balance-Sheet Arrangements; Disclosureof Contractual Obligations**

The Trust does not haveany off-balance-sheet arrangements that have or are reasonably likely to havea  current or future affect on itsfinancial condition, changes in financial condition, revenues or expenses,results of operations, liquidity, capital expenditures or capital resourcesthat are material to investors.   TheTrust does not have any material contractual obligations.

**Item 3.  Quantitative and Qualitative DisclosuresAbout Market Risk**

There has been nomaterial change with respect to market risk since the “Quantitative andQualitative Disclosures About Market Risk” was made in the Form 10-K of theTrust dated December 31, 2005.

**Item 4.  Controls and Procedures**

Under the supervision andwith the participation of the management of R.J. O’Brien Fund Management, Inc.,the managing owner of the Trust at the time this quarterly report was filed,including the managing owner’s President and Chief Financial Officer, the Trusthas evaluated the effectiveness of the design and operation of its disclosurecontrols and procedures as of the end of the period covered by this quarterlyreport, and, based on their evaluation, the President and Chief FinancialOfficer of the managing owner have concluded that these disclosure controls andprocedures were effective.  There were nochanges in the Trust’s internal control over financial reporting, during thequarter ended June 30, 2006, that have materially affected, or are reasonablylikely to materially affect, the Trust’s internal control over financialreporting.

Any control system, nomatter 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 assurancethat all control issues and instances of fraud, if any, have been detected.

 

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**PART II - OTHERINFORMATION**

**Item 1.  Legal Proceedings**

On October 10, 2005, Refco Inc., the parent companyof RCMI announced that it had discovered through an internal review areceivable owed to the Company by an entity controlled by Phillip R. Bennett, ChiefExecutive Officer and Chairman of the Board of Directors of the Company, in theamount of approximately $430 million. Mr. Bennett repaid the receivable incash, including all accrued interest, on October 10, 2005. Based upon theresults of the review to date, Refco Inc. believes that the receivable was theresult of the assumption by an entity controlled by Mr. Bennett of certainhistorical obligations owed by unrelated third parties to Refco, Inc., whichmay have been uncollectible. Independent counsel and forensic auditors havebeen retained to assist Refco, Inc., Audit Committee in the investigation ofthese matters.

On October 12, 2005, Mr. Bennett was initiallycharged with one count of securities fraud. On November 10, 2005, he wasindicted on eight counts of conspiracy, fraud, and other charges by a federalgrand jury. The indictment was delivered in the United States District Courtfor the Southern District of New York. Prosecutors charge in the indictmentthat Mr. Bennett hid customer and company losses from Refco, Inc. auditors andinvestors from as early as the late 1990s. Those losses, according to theindictment, were then transferred to a company controlled by Mr. Bennett andhidden through a series of transactions.

Refco, Inc. and other affiliated entities, includingRCMI, have subsequently filed for bankruptcy. See “Note 7 — Subsequent Events” in Part I — Item 1 for moreinformation.  Such information isincorporated herein by reference.

Since the announcement of these matters at Refco, Inc.,the Informal Committee of RCMI (Mr. Richard C. Butt and Ms. Annette A.Cazenave) has undertaken its own review into RCM and the Trust to ensure noneof these matters had any material impact on the results of operations of eitherRCMI as Managing Owner or the Trust. Based upon the results of that review, the Audit Committee has no reasonto believe that the actions of Mr. Bennett had any impact on the operations orfinancial results of the Trust.

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

a)  None

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

The following tablesummarizes the redemptions by unitholders during the second quarter of 2006:
| **Month** | ** ** | **Units Redeemed** | ** ** | **Redemption Date NAV per Unit** | ** ** |
|-----------|------------|-------------------------|------------|------------------------------------------------------|------------|
| April     |       | 55,365.27               |       | 113.17                                               |       |
| May       |       | 62,930.94               |       | 111.87                                               |       |
| June      |       | 24,529.97               |       | 99.55                                                |       |
| Total     |       | 142,826.18              |       |                                                 |       |

 

Units sold 4/1/06 through 6/30/06: 0

Units unsold through June 30, 2006: 4,997,739.17 ($ 497,524,934.37)

Aggregate price paid forunits sold 4/1/06 through 6/30/06: $0

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**Item 6.  Exhibits**

a)              Exhibits

# Index to Exhibits

| Exhibit   Number | ** ** | **Description  of Document**                                                                |
|------------------|------------|---------------------------------------------------------------------------------------------|
|             |       |                                                                                        |
| 3.01             |       | Sixth Amended and Restated Declaration and Agreement  of Trust of the Registrant.(1)        |
|             |       |                                                                                        |
| 3.02             |       | Certificate of Amendment of Certificate of Trust of  the Registrant.(2)                     |
|             |       |                                                                                        |
| 31.01            |       | Rule 13a-14(a)/15d-14(a) Certifications of Principal  Executive Officer.                    |
|             |       |                                                                                        |
| 31.02            |       | Rule 13a-14(a)/15d-14(a) Certifications of Principal  Financial Officer.                    |
|             |       |                                                                                        |
| 32.01            |       | Section 1350 Certification of Principal Executive  Officer and Principal Financial Officer. |

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

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

** **

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**SIGNATURES**

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned and thereuntoduly authorized.
|        | **JWH Global Trust** |
|--------|----------------------|
|   |                 |   |
|   | Date:                | May 25, 2007 |
|   |                 |   |
|   | By:                  | R.J. O’Brien Fund Management, Inc., |
|   |                 | Managing Owner |
|   |                 |   |
|   | By:                  | /s/ Helen D. McCarthy |
|   |                 |   Helen D. McCarthy |
|   |                 |   Chief Financial Officer |

 

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