** **

**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

**FORM 10-Q**

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

**SECURITIES EXCHANGE ACT OF 1934**

**Forthe quarterly period ended September 30, 2005**

**CommissionFile Number:  000-22887**

**JWH GLOBAL TRUST**

(Exact name of registrantas specified in its charter)

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

 

**30 South Wacker Drive**

**Suite 1603**

**Chicago, IL  60606**

(Address ofprincipal executive offices) (Zip Code)

**(312) 456-6462**

(Registrant’stelephone number, including area code)

(Former name, former address and former fiscal year, if changed sincelast report.)

**233 South Wacker Drive, Suite2300, Chicago, IL  60606, (312) 460-4000**

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         xNo

Indicate by check markwhether the registrant is an accelerated filer (as defined in Rule 12b-2 of theExchange Act).

oYes         xNo

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

oYes         xNo

 

 

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**ExplanatoryNote**

This quarterly report onForm 10-Q for the quarter ended September 30, 2005, is being filed after thefiling deadline due to the Trust’s inability to value certain of its assets andcomplete the preparation of its financial statements.  Please see “Note 7 — Subsequent Events”included in our Notes to Financial Statements filed with this Form 10-Q formore information.

 

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** **

**TABLE OF CONTENTS**
| PART I.   FINANCIAL  INFORMATION |
|--------------------------------------------|
|                                       |   |   |
| Item 1.                                    |   | Financial  Statements | 4 |
|                                       |   | Statements of Financial Condition (unaudited) | 4 |
|                                       |   | Statements  of Operations (unaudited) | 5 |
|                                       |   | Statement of Changes in Unitholders’ Capital  (unaudited) | 6 |
|                                       |   | Condensed Schedule of Investments (unaudited) | 7 |
|                                       |   | Notes  to Financial Statements | 8 |
|                                       |   |   |   |
| Item 2.                                    |   | Management’s Discussion and Analysis of Financial  Condition and Results of Operations | 12 |
|                                       |   |   |   |
| Item 3.                                    |   | Quantitative and Qualitative Disclosures About Market  Risk | 23 |
|                                       |   |   |   |
| Item 4.                                    |   | Controls and Procedures | 23 |
|                                       |   |   |
| PART  II.   OTHER  INFORMATION   |
|                                       |   |   |   |
| Item  1.                                   |   | Legal  Proceedings | 23 |
|                                       |   |   |   |
| Item 2.                                    |   | Unregistered  Sales of Equity Securities and Use of Proceeds | 24 |
|                                       |   |   |   |
| Item 6.                                    |   | Exhibits | 25 |
|                                       |   |   |   |
| SIGNATURES                                 | 26 |

 

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** **

**PART I — FINANCIALINFORMATION**

**Item 1.   FinancialStatements**

**JWHGLOBAL TRUSTStatements of Financial Condition**
| ** **                                                                                                                                | ** ** | **September 30, 2005** | ** **  | **December 31, 2004** | ** ** |
|-------------------------------------------------------------------------------------------------------------------------------------------|------------|----------------------------------|-------------|---------------------------------|------------|
| ** **                                                                                                                                | ** ** | **UNAUDITED**                    | ** **  | ** **                      | ** ** |
| **Assets**                                                                                                                                |       |                             |        |                            |       |
| Assets:                                                                                                                                   |       |                             |        |                            |       |
| Equity in  commodity trading accounts:                                                                                                    |       |                             |        |                            |       |
| Cash on deposit  with Brokers                                                                                                             |       | $                                | 304,675,110 |                            | $          | 312,053,398 |   |
| Unrealized gain  on open contracts                                                                                                        |       | 18,522,694                       |        | 22,802,365                      |       |
|                                                                                                                                      |       | 323,197,805                      |        | 334,855,763                     |       |
| Receivable for  units sold                                                                                                                |       | 2,742,902                        |        | 7,210,442                       |       |
| Interest  receivable                                                                                                                      |       | 871,703                          |        | 561,543                         |       |
| Total Assets                                                                                                                              |       | $                                | 326,812,409 |                            | $          | 342,627,748 |   |
| ** **                                                                                                                                |       |                             |        |                            |       |
| **Liabilities and Unitholders’ Capital**                                                                                             |       |                             |        |                            |       |
| Liabilities:                                                                                                                              |       |                             |        |                            |       |
| Accrued  commissions                                                                                                                      |       | $                                | 1,379,143   |                            | $          | 1,667,412 |   |
| Accrued  management fees                                                                                                                  |       | 539,953                          |        | 558,459                         |       |
| Accrued  incentive fees                                                                                                                   |       | —                           |        | 4,531,999                       |       |
| Accrued ongoing  offering expenses                                                                                                        |       | 134,212                          |        | 136,802                         |       |
| Accrued  operating expenses                                                                                                               |       | 42,096                           |        | 90,000                          |       |
| Redemptions  payable                                                                                                                      |       | 4,681,375                        |        | 3,602,667                       |       |
| Total liabilities                                                                                                                         |       | 6,776,779                        |        | 10,587,339                      |       |
|                                                                                                                                      |       |                             |        |                            |       |
| Unitholders’ Capital:                                                                                                                |       |                             |        |                            |       |
| Beneficial  owners (2,249,071.73 and 2,211,539.65 units outstanding at September 30,  2005 and December 31, 2004, respectively) |       | 316,626,358                      |        | 328,509,395                     |       |
| Managing owner  (24,216.86 and 23,771.70 units outstanding at September 30, 2005 and  December 31, 2004)                        |       | 3,409,272                        |        | 3,531,014                       |       |
| Total unitholders’  capital                                                                                                          |       | 320,035,630                      |        | 332,040,409                     |       |
| Total Liabilities and Unitholders’ Capital                                                                                           |       | $                                | 326,812,409 |                            | $          | 342,627,748 |   |

----

 

See accompanying notes to financial statements.

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** **

**JWHGLOBAL TRUSTStatements of OperationsUnaudited**
| ** **                                                 | ** ** | **July 1, 2005**  | ** ** | **Jan 1, 2005**   | ** ** | **July 1, 2004**  | ** ** | **Jan 1, 2004**   | ** **  |
|------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|-------------|
| ** **                                                 | ** ** | **through**                 | ** ** | **through**                 | ** ** | **through**                 | ** ** | **through**                 | ** **  |
| ** **                                                 | ** ** | **Sept 30, 2005** | ** ** | **Sept 30, 2005** | ** ** | **Sept 30, 2004** | ** ** | **Sept 30, 2004** | ** **  |
| Revenues:                                                  |       |                        |       |                        |       |                        |       |                        |        |
| Gain (loss) on  trading of commodity contracts:            |       |                        |       |                        |       |                        |       |                        |        |
| Realized gain  (loss) on closed positions                  |       | $                           | 17,464,417 |                        | $          | 1,474,599                   |       | $                           | (24,011,764 | ) | $ | (47,118,216 | ) |
| Change in  unrealized (loss) gain on open positions        |       | (9,039,346                  | )          | (4,279,671                  | )          | 25,283,496                  |       | 6,607,706                   |        |
| Interest income                                            |       | 2,551,030                   |       | 6,579,346                   |       | 1,000,460                   |       | 2,217,629                   |        |
| Foreign currency transaction (loss)                        |       | (35,525                     | )          | (579,450                    | )          | (76,609                     | )          | (289,175                    | )           |
|                                                       |       |                        |       |                        |       |                        |       |                        |        |
| Total  revenues                                            |       | 10,940,576                  |       | 3,194,824                   |       | 2,195,583                   |       | (38,582,056                 | )           |
|                                                       |       |                        |       |                        |       |                        |       |                        |        |
| Expenses:                                                  |       |                        |       |                        |       |                        |       |                        |        |
| Commission                                                 |       | 4,771,637                   |       | 13,672,465                  |       | 3,630,542                   |       | 10,538,749                  |        |
| Exchange, clearing and NFA fees                            |       | 46,898                      |       | 122,375                     |       | 29,218                      |       | 83,934                      |        |
| Management fees                                            |       | 1,606,623                   |       | 4,599,552                   |       | 1,221,647                   |       | 3,545,461                   |        |
| Incentive fees                                             |       | —                      |       | —                      |       | —                      |       | 861,423                     |        |
| Ongoing offering expenses                                  |       | 134,212                     |       | 742,739                     |       | 303,535                     |       | 878,909                     |        |
| Operating expenses                                         |       | 103,843                     |       | 297,290                     |       | 75,000                      |       | 185,000                     |        |
|                                                       |       |                        |       |                        |       |                        |       |                        |        |
| Total  expenses                                            |       | 6,663,212                   |       | 19,434,421                  |       | 5,259,942                   |       | 16,093,476                  |        |
|                                                       |       |                        |       |                        |       |                        |       |                        |        |
| Net  income (loss)                                         |       | $                           | 4,277,362  |                        | $          | (16,239,597                 | )          | $                           | (3,064,359  | ) | $ | (54,675,532 | ) |
|                                                       |       |                        |       |                        |       |                        |       |                        |        |
| Income  (loss) per unit of beneficial ownership interest * |       | $                           | 1.87       |                        | $          | (7.76                       | )          | $                           | (1.72       | ) | $ | (29.73 | ) |
| Income (loss) per unit of managing ownership  interest *   |       | $                           | 1.87       |                        | $          | (7.76                       | )          | $                           | (1.72       | ) | $ | (29.73 | ) |

----

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

Seeaccompanying notes to financial statements.

 

5

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**JWH GLOBAL TRUSTStatement of Changes in Unitholders’ CapitalFrom January 1, 2005 through September 30, 2005Unaudited**
| ** **                                       | ** ** | ** **   | ** ** | ** **     | ** **  | ** **   | ** ** | ** **  | ** ** |
|--------------------------------------------------|------------|--------------|------------|----------------|-------------|--------------|------------|-------------|------------|
| ** **                                       | ** ** | ** **   | ** ** | **Beneficial** | ** **  | **Managing** | ** ** | ** **  | ** ** |
| ** **                                       | ** ** | **Units***   | ** ** | **Owners**     | ** **  | **Owner**    | ** ** | **Total**   | ** ** |
|                                             |       |         |       |           |        |         |       |        |       |
| Unitholders’ capital at  January 1, 2005    |       | 2,211,539.65 |       | $              | 328,509,395 |         | $          | 3,531,014   |       | $ | 332,040,409 |   |
|                                             |       |         |       |           |        |         |       |        |       |
| Net loss                                         |       |         |       | (16,058,267    | )           | (181,330     | )          | (16,239,597 | )          |
|                                             |       |         |       |           |        |         |       |        |       |
| Unitholders’  contributions                 |       | 295,450.14   |       | 38,681,512     |        | 123,198      |       | 38,804,710  |       |
|                                             |       |         |       |           |        |         |       |        |       |
| Unitholders’  redemptions                   |       | (257,918.06  | )          | (34,506,282    | )           | (63,610      | )          | (34,569,892 | )          |
|                                             |       |         |       |           |        |         |       |        |       |
| Unitholders’ capital at  September 30, 2005 |       | 2,249,071.73 |       | $              | 316,626,358 |         | $          | 3,409,272   |       | $ | 320,035,630 |   |
|                                             |       |         |       |           |        |         |       |        |       |
|                                             |       |         |       |           |        |         |       |        |       |
| Net asset value per  unit at January 1, 2005     |       |         |       | $              | 148.54      |         | $          | 148.54      |       |   |   |
|                                             |       |         |       |           |        |         |       |        |       |
| Net loss per unit                                |       |         |       | (7.76          | )           | (7.76        | )          |        |       |
|                                             |       |         |       |           |        |         |       |        |       |
| Net asset value per  unit at September 30, 2005  |       |         |       | $              | 140.78      |         | $          | 140.78      |       |   |   |

----

*   Units of Beneficial Ownership.

Seeaccompanying notes to financial statements.

 

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**JWH GLOBAL TRUSTCondensed Schedule of InvestmentsSeptember 30, 2005Unaudited**
| ** **                                         | ** ** | **Number of** | ** ** | **Principal**  | ** **    | **Value/open**        | ** **  |
|----------------------------------------------------|------------|--------------------|------------|----------------|---------------|-----------------------|-------------|
| ** **                                         | ** ** | **contracts**      | ** ** | **(notional)** | ** **    | **trade equity** | ** **  |
| **Long positions**                                 |       |               |       |           |          |                  |        |
| **Futures positions (4.51%)**                      |       |               |       |           |          |                  |        |
| Agriculture                                        |       | 849                |       | $              | 12,860,621    |                  | $      | 302,348 |   |
| Interest Rates                                     |       | 2,636              |       | 378,966,939    |          | (3,682,567            | )           |
| Metals                                             |       | 1,832              |       | 86,563,355     |          | 2,649,743             |        |
| Indices                                            |       | 1,554              |       | 118,512,724    |          | 4,954,059             |        |
| Energy                                             |       | 1,542              |       | 127,446,063    |          | 10,208,711            |        |
|                                               |       |               |       | 724,349,702    |          | 14,432,294            |        |
| **Forward positions (0.66%)**                      |       |               |       |           |          |                  |        |
| Currencies                                         |       | 65                 |       | 367,292,887    |          | 2,126,347             |        |
| Total long  positions                              |       |               |       | $              | 1,091,642,589 |                  | $      | 16,558,641 |   |
|                                               |       |               |       |           |          |                  |        |
| **Short positions**                                |       |               |       |           |          |                  |        |
| **Futures positions (1.18%)**                      |       |               |       |           |          |                  |        |
| Agriculture                                        |       | 1,895              |       | $              | 32,010,438    |                  | $           | 2,007,536 |   |
| Interest Rates                                     |       | 5,950              |       | 1,455,119,281  |          | 2,088,557             |        |
| Metals                                             |       | 413                |       | 19,023,875     |          | (186,900              | )           |
| Indices                                            |       | 130                |       | 4,196,400      |          | (116,920              | )           |
| Energy                                             |       | 38                 |       | 2,516,820      |          | (1,220                | )           |
|                                               |       |               |       | 1,512,866,814  |          | 3,791,053             |        |
| **Forward positions (-0.57%)**                     |       |               |       |           |          |                  |        |
| Currencies                                         |       | 36                 |       | 127,466,120    |          | (1,827,000            | )           |
| Total short  positions                             |       |               |       | $              | 1,640,332,934 |                  | $           | 1,964,053 |   |
| ** **                                         |       |               |       |           |          |                  |        |
| **Total open contracts (5.79%)**                   |       |               |       |           |          | $                     | 18,522,694  |   |
| **Cash on deposit with brokers  (95.2%)**          |       |               |       |           |          | 304,675,110           |        |
| **Other liabilites in excess of  assets (-0.99%)** | ** ** | ** **         |       |           |          | (3,162,174            | )           |
| **Net assets (100.00%)**                           |       |               |       |           |          | $                     | 320,035,630 |   |

----

 

Seeaccompanying notes to financial statements.

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** **

**JWHGLOBAL TRUSTNOTES TO FINANCIAL STATEMENTSSeptember 30, 2005(Unaudited)**

** **

(**1)****                                 GeneralInformation and Summary**

JWH Global Trust (the “Trust”), a Delaware statutorytrust organized on November 12, 1996, was formed to engage in the speculativetrading of futures contracts on currencies, interest rates, energy andagricultural products, metals and stock indices, spot and forward contracts oncurrencies and precious metals, and exchanges for physicals pursuant to thetrading instructions of independent trading advisors.  On August 31, 2005, Refco Group Ltd., LLC (“RefcoGroup”) acquired the global brokerage operations 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”)and the 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 ofRCMI.  The Clearing Broker and theForwards Currency Broker collectively will be referred to as the “Brokers”.

Units of beneficial ownership of the Trust commencedselling on April 3, 1997 and trading began on June 2, 1997.  The initial amount offered for investment was$50,000,000.  On September 24, 1997, July2, 2003, and again on November 1, 2004, the Trust registered an additional$155,000,000, $300,000,000, and $500,000,000, respectively, for furtherinvestment and continued the offering. By September 30, 2005, a total of 3,597,413.53 units representing aninvestment for $464,343,620.43 of beneficial ownership interest had been soldin the combined offerings.  Offerings ofunits were suspended on October 17, 2005 due to the events described  in Note 7 — Subsequent Events.  In addition, during the offerings, theManaging Owner purchased a total of 27,637.19 units, representing a totalinvestment of $3,658,425.87.

The Trust will be terminated on December 31, 2026, ifnone of the following occur prior to that date: (1) beneficial owners holding more than 50% of the outstanding unitsnotify the Managing Owner to dissolve the Trust as of a specific date;(2) disassociation of the Managing Owner with the Trust; (3) bankruptcy ofthe Trust; (4) a decrease in the net asset value to less than $2,500,000; (5) adecline in the net asset value per unit to $50 or less; (6) dissolution of theTrust; or (7) any event that would make it unlawful for the existence of theTrust to be continued or require dissolution of the Trust.

**(2)**                                 Summaryof Significant Accounting Policies

The accompanying unaudited financial statements of theTrust have been prepared in accordance with accounting principles generallyaccepted in the United States of America for interim financial information andwith the instructions 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.

**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 its assets on deposit atthe Brokers at 100% of the 91-day Treasury bill rate for deposits denominatedin U.S. dollars.  For depositsdenominated in other currencies, the Trust earns interest on Australiandollars, British pound sterlings, and Swiss francs at a rate equal to LIBORless 62.5 basis points.  Deposits denominatedin eurodollars earninterest at a rate of LIBOR less 50 basis points.

 

8

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**Redemptions**

A beneficial owner may cause any or all of his or herunits to be redeemed by the Trust effective as of the last business day of anymonth of the Trust based on the Net Asset Value per unit on such date on fivebusiness days written notice to the Managing Owner.  Payment will generally be made within tenbusiness days of the effective date of the redemption.  Any redemption made during the first elevenmonths of investment is subject to a 3% redemption penalty.  Any redemption made in the 12th month ofinvestment or later will not be subject to any redemption penalty.  The Trust’s Sixth Amended and RestatedDeclaration and Agreement of Trust contains a full description of redemptionand distribution policies.

**Ongoing OfferingCosts**

In the first five months of the calendar year, theTrust has been charged at a rate of 0.50% of average month-end net assets forongoing offering costs, which was based on historical expenditures.   Current expenditures have been accruing at alower rate, therefore, no expenses were charged to the Trust in June, July, orAugust but were charged again in September at a rate of 0.50% of averagemonth-end net assets. The amount charged in subsequent months may also bereduced to reflect the actual costs paid by RCMI on behalf of the Trust.

**Commissions**

Commodity brokerage commissions are typically paid foreach trade transacted 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. Refco receives these Brokerage Fees irrespective of the number of tradesexecuted on the Trust’s behalf.  Theamount paid to Refco is reduced by exchange fees paid by the Trust.

Certain large investors are eligible for a “SpecialBrokerage Fee Rate” of 4.5% per year.  Asof September 30, 2005, there were no such eligible investors in the Trust.

**Foreign CurrencyTransactions**

Trading accounts in foreign currency denominations aresusceptible to both movements in the underlying contract markets as well asfluctuation in currency rates.  Foreigncurrencies are translated into U.S. dollars for closed positions at an averageexchange rate for the year, while year-end balances are translated at theyear-end currency rates.  The impact ofthe translation is reflected in the statements of operations.

**Use of Estimates**

The preparation of financial statements in conformitywith accounting principles generally accepted in the United States of Americarequires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

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

Management fees are accrued and paid monthly,incentive fees are accrued monthly and paid quarterly.  Trading decisions for the period of thesefinancial statements were made by John W. Henry & Company, Inc. (“JWH”)utilizing three of its trading programs from July 1 to August 1:, the JWHGlobalAnalyticsÒ Family ofPrograms, the Financial and Metals Portfolio, and the G-7 Currency Portfolio. Commencing August 1, the G-7Currency Portfolio was replaced by the International Foreign Exchange programand  the Global Financial and Energyprogram was added.

JWH receives a monthly management fee of 0.167% (a 2%annual rate) of the Trust’s month-end net assets calculated after deduction ofa portion of the Brokerage Fee at an annual rate of 1.25% of month-end Trustnet assets, but before reduction for any incentive fee or other costs andbefore inclusion of purchases and redemptions for the month.

 

9

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The Trust pays to JWH a quarterly incentive fee equalto 20% of the new trading profits, if any, of the Trust.  The incentive fee is based on the overallperformance of the Trust, not individually in respect of the performance of theindividual programs utilized by the Trust. This fee is also calculated by deducting a portion of the Brokerage Feesat an annual rate of 1.25%.

**(4)****                                 IncomeTaxes**

No provision for Federal income taxes has been made inthe accompanying financial statements as each beneficial owner is responsiblefor reporting income (loss) based on the pro rata share of the profits orlosses of the Trust.  Generally, for bothFederal and state tax purposes, trusts, such as the JWH Global Trust, aretreated as partnerships.

**(5)****                                 TradingActivities and Related Risks**

The Trust engages in the speculative trading of U.S.and foreign futures contracts, and forward contracts (collectivelyderivatives).  These derivatives includeboth financial and non-financial contracts held as part of a diversifiedtrading strategy.  The Trust is exposedto both market risk, the risk arising from changes in the market value of thecontracts, and credit risk, the risk of failure by another party to performaccording to the terms of a contract.

The purchase and sale of futures requires margindeposits with a futures commission merchant (“FCM”).  Additional deposits may be necessary for anyloss on contract value.  The CommodityExchange Act (“CEAct”) requires an FCM to segregate all customer transactionsand assets from the FCM’s proprietary activities.  A customer’s cash and other property, such asU.S. Treasury Bills, deposited with an FCM are considered commingled with allother customer funds subject to the FCM’s segregation requirements.  In the event of an FCM’s insolvency, recoverymay be limited to a pro rata share of segregated funds available.  It is possible that the recovered amountcould be less than the total of cash and other property deposited.

The Trust has cash on deposit with an affiliated interbankmarket maker in 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 themarket value of the contracts. Theoretically, the Trust is exposed to a market risk equal to the valueof futures and forward contracts purchased and unlimited liability on suchcontracts sold short.

Net trading results from derivatives for the quarterand nine months ended September 30, 2005 and 2004, are reflected in thestatements of operations and equal gain from trading less brokeragecommissions.  Such trading resultsreflect the net gain or loss arising from the Trust’s speculative trading offutures contracts and forward contracts.

The notional amounts of open contracts at September30, 2005, as disclosed in the Condensed Schedule of Investments, do notrepresent the Trust’s risk of loss due to market and credit risk, but ratherrepresent the Trust’s extent of involvement in derivatives at the date of thestatement of financial condition.

The beneficial owners bear the risk of loss only tothe extent of the market value of their respective investments.

**(6)****                                 FinancialHighlights**

The followingfinancial highlights show the Trust’s financial performance for the nine-monthperiod ended September 30, 2005.  Totalreturn is calculated as the change in a theoretical beneficial owner’sinvestment over the entire period and is not annualized.  Total return is calculated based on theaggregate return of the Trust taken as a whole.

10

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| Net Asset Value per unit At  December 31, 2004  |   | $      | 148.54 |   |
|-------------------------------------------------|--------|--------|--------|--------|
| Loss per unit                                   |   | (7.76  | )      |
| Net Asset Value  per unit At September 30, 2005 |   | $      | 140.78 |   |
|                                            |   |   |   |
| Total Return:                                   |   |   |   |
| Total return before incentive fee               |   | (5.22  | )%     |
| Less incentive  fee allocation                  |   | 0.00   | %      |

 

| Total return                  |   | (5.22  | )%     |
|-------------------------------|--------|--------|--------|
|                          |   |   |   |
| Ratio to average  net assets: |   |   |   |
| Net loss                      |   | (4.98  | )%     |
|                          |   |   |   |
| Expenses:                     |   |   |   |
| Expenses                      |   | 5.96   | %      |
| Incentive fees                |   | 0.00   | %      |
| Total expenses                |   | 5.96   | %      |

 

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

**(7)****                                 SubsequentEvents**

On October 10, 2005, Refco, Inc. (“Refco”), theultimate parent of RCMI , announced that it had discovered through an internalreview a receivable owed to Refco, by an entity controlled by Phillip R.Bennett, the then Chief Executive Officer and Chairman of the Board ofDirectors of Refco, in the amount of approximately $430 million.  Mr. Bennett has been charged with securitiesfraud in connection with this matter and various actions have been filedagainst Refco.  Thereafter, on October13, 2005, Refco announced that the liquidity within Refco Capital Markets, Ltd.(“RCM”) was no longer sufficient to continue operations, and that RCM hadimposed a fifteen (15) day moratorium on all of its activities in an attempt toprotect the value of that enterprise.

On October 17, 2005, Refco, and RCM filed forbankruptcy protection in the Southern District of New York.  Neither the Trust nor RCMI were covered bythe filing.  RCMI has subsequently filedfor bankruptcy.

Although the Trust’s assets are not directly held byRefco, one of Refco’s affiliated entities, Refco, LLC, did serve as the futurescommission merchant for the Trust.  Refco,LLC was not covered by the bankruptcy filing. In addition, a portion of theTrust’s assets (less than 20%, based on net assets as of October 13, 2005) wereon deposit with RCM at the time of the bankruptcy filing, exposing a number offoreign currency contracts held within the Trust to the risk that the Trustwill not be able to access such assets. While RCM has unwound many outstanding foreign currency contracts, theTrust does not expect to be able access those assets in the near future [andhas been unable to value such assets for purposes of determining the Net AssetValue of units].

In light of the events outlined herein, RCMI moved themajority of the Trust’s assets from Refco, LLC to Lehman Brothers, Inc. and itsaffiliated entities (“Lehman”) to act in this capacity.  On or about October 18, 2005, the Trust hadtransferred the majority of all assets to Lehman.

RCMI does not believe that the bankruptcy filings ofRefco, Inc. and RCM will have a material impact upon the operations of theTrust or its ability to satisfy a request for redemption. In this regard, theoperations of the Trust, including the trading activities of the underlyingasset manager, have continued with minimal interruption.  However, the Trust delayed payments ofredemptions during the period from November 2005 through March 2005. Most ofthe redemptions were paid during the subsequent month.  With respect to redemptions made as ofOctober 31, 2005 and thereafter, the Trust intends to make payment in an amountthat represents the proportionate share of the Trust’s net assets that are heldat Lehman, while reserving payment with respect to the Trust’s assets currentlyheld at RCM.  As such, the Trust mayreserve payment with respect to approximately 18.5-25% of any redemptionproceeds until these monies held at RCM are remitted to the Trust. Generally,investors in the Trust may redeem units effective as of the last trading day ofany month of the Trust based on the Net Asset Value per unit on such date withfive business days prior written notice to the Managing Owner.

On February 9, 2006, the Trust received notificationthat the firm of KPMG LLP (“KPMG”) had resigned as the independent accountantsand that the client-auditor relationship between the Trust and KPMG has ceased,effective immediately.

Effective August 25, 2006, the Trust engaged the firmof CF & Co., LLP to act as its independent auditor for the fiscal yearending December 31, 2005.

 

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On October 12, 2006, RCMI, R.J. O’Brien &Associates, Inc. (“RJO”), and RJO’s acquisition subsidiary, R.J. O’Brien FundManagement, Inc. (“RJOFM”) entered into an Asset Purchase Agreement (the “AssetPurchase Agreement”) that provides for, among other things, RJOFM to purchaseRCMI’s managing owner interest in the Trust. The Asset Purchase Agreement alsoprovided for RCMI to commence a proceeding under chapter 11 of the BankruptcyCode and to obtain the Bankruptcy Court’s approval of the Asset PurchaseAgreement and the transactions set forth therein.

RCMI filed a voluntary petition (the “RCMI BankruptcyPetition”) in the United States Bankruptcy Court for the Southern District ofNew York on October 16, 2006, for relief under chapter 11 of title 11 of theUnited States Code. Contemporaneously with the filing of the RCMI BankruptcyPetition, RCMI filed, a motion requesting that the Bankruptcy Court authorizeRCMI to sell and assign substantially all of its assets, including its interestas managing owner of the Trust, pursuant to the terms of the Asset PurchaseAgreement.  Pursuant to the terms of theAsset Purchase Agreement, as of October 13, 2006, all clearing functions havebeen moved from Lehman to RJO.

**Item 2.**   Management’sDiscussion and Analysis of Financial Condition and Results of Operations

**(a)****                                  CapitalResources**

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

The Trust’s involvement in the futures and forwardmarkets exposes the Trust to both market risk — the risk arising from changesin the market value of the futures and forward contracts held by the Trust —and credit risk — the risk that another party to a contract will fail toperform its obligations according to the terms of the contract.  The Trust is exposed to a market risk equalto the value of the futures and forward contracts purchased and theoreticallyunlimited risk of loss on contracts sold short. JWH monitors the Trust’s trading activities and attempts to control theTrust’s exposure to market risk by, among other things, refining its tradingstrategies, adjusting position sizes of the Trust’s futures and forwardcontacts and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit riskis its exposure to the non-performance of the Forwards Currency Broker.  The Forwards Currency Broker generally entersinto forward contracts with large, well-capitalized institutions and thenenters 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 trading activities involve varying degreesof off-balance sheet risk whereby changes in the market values of the futuresand forward contracts underlying the financial instruments or the Trust’ssatisfaction of the obligations may exceed the amount recognized in thestatement of financial condition of the Trust.

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

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

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

The Trust’s assets at September 30, 2005 are held inbrokerage accounts with Refco and RCM. Such assets are used as margin to engage in trading and may be used asmargin solely for the Trust’s trading. As mentioned above, on or about October 18, 2005, the Trust hadtransferred 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 interest on 100% of the Trust’saverage daily balances on deposit with Refco or RCM (CIS and CISFS for July andAugust), as the case may be, during each month at the average 91-day Treasurybill rate for that month in respect of deposits denominated in dollars or atthe applicable rates in respect of deposits denominated in currencies otherthan dollars (which may be zero in some cases). For the fiscal quarter ended September 30, 2005, the Trust had receivedor accrued to receive interest of $2,551,030. For the fiscal quarter ended September 30, 2004, the Trust had receivedor accrued to receive interest of $1,000,460.

Most United States commodity exchanges limit theamount of fluctuation in commodity futures contract prices during a single tradingday by regulations.  These regulationsspecify what are referred to as “daily price fluctuation limits” or “dailylimits”.  The daily limits establish themaximum amount the price of a futures contract may vary either up or down fromthe previous day’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 for an exchange or the CFTC tosuspend trading in a particular contract, order immediate settlement of aparticular contract, or direct that trading in a particular contract be forliquidation only.

There are no known material trends, demands,commitments, events or uncertainties at the present time that are reasonablylikely to result in the Trust’s liquidity increasing or decreasing in anymaterial way.

**(c)****                                  Resultsof Operations**

The Trust’s success depends on JWH’s ability torecognize and capitalize on major price movements and other profitopportunities 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 not predict price movements.  No fundamental economic supply or demandanalysis is used in attempting to identify mispricings in the market, and nomacroeconomic assessments of the relative strengths of different nationaleconomies or economic sectors is made. Instead, the programs apply proprietary computer models to analyze pastmarket data, and from this data alone attempt to determine whether marketprices are trending.  Technical traderssuch as JWH base their strategies on the theory that market prices reflect thecollective judgment of numerous different traders and are, accordingly, thebest and most efficient indication of market movements.  However, there are frequent periods duringwhich fundamental factors external to the market dominate prices.

If JWH’s models identify a trend, they signalpositions which follow it.  When thesemodels identify the trend as having ended or reversed, these positions areeither closed out or reversed.  Due totheir trend-following character, JWH’s programs do not predict either thecommencement or the end of a price movement. Rather, their objective is to identify a trend early enough to profitfrom it and to detect its end or reversal in time to close out the Trust’spositions while retaining most of the profits made from following the trend.

The performance summaries set forth below outlinecertain major price trends which JWH’s programs have identified for the Trustduring the first three quarters of fiscal years 2005 and 2004.  The fact that certain trends were captureddoes not imply that others, perhaps larger and potentially more profitabletrends, were not missed or that JWH will be able to capture similar trends inthe future.  Moreover, the fact that theprograms were profitable in certain market sectors in the past does not meanthat they will be so in the future.

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

 

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**Fiscal Quarter ended September30, 2005**

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

On September 30, 2005, JWH was managing 100% of theTrust’s assets. Prior to August 1, 2005 the Trust assets were allocated asfollows: JWH GlobalAnalyticsÒFamily of Programs (30%), Financial and Metals Portfolio (40%), and G-7Currency Portfolio (30%). As of August 1, 2005 the Trusts assets are allocatedas follows: JWH GlobalAnalyticsÒ Family of Programs(30%), Financial and Metals Portfolio (30%), International Foreign ExchangeProgram (20%), and Global Financial and Energy Program (20%).

Performance was negative for the month of July. TheTrust’s systematic trading approach enabled it to limit losses caused byvolatile market conditions that resulted from terror attacks in London and asurprise devaluation of the Chinese yuan. Losses in the interest rate, metals, and agricultural sectors limitedthe Fund’s overall returns. The currency, energy and indices sectors werepositive for the month. The fixed income sector was unprofitable for the month,as stronger-than-expected economic growth in the US, Europe and Japan caused asell off in global bond markets.  As aresult, yields on the US 10 year note and the Japanese government bond rose forthe month.  German 10-year bunds, Europe’sbenchmark, fell as various European economic government reports beatexpectations. The only gain in this sector was the eurodollar (3 month), whilethe largest loss occurred in the Japanese government bond. Currencies were theTrust’s strongest performers for the month in the face of extremely volatilemarkets.  The violent price moves were areaction to China ending its long-standing policy of pegging its currency tothe US dollar.  The Trust profited inthis sector as the dollar continued to benefit from the growing yield advantageagainst the Japanese yen and Swiss franc. Weakness in the British pound also contributedto performance.  The pound’s weaknessagainst the dollar helped performance and its decline against the euro was thesector’s worst-performing position. The largest gain in this sector wasachieved in the Japanese yen. Performance in indices was positive during themonth. The rally in the global equity markets contributed profits to the Trust’sperformance. Stocks rose as companies posted better-than-expected earningswhile economic reports showed tame inflation and growth in retail sales.  The Nikkei (Osaka) was the sector’s topperformer, as the index rose 2.7 percent for the month. The energy sector wasprofitable during the month, with positive returns in almost every markettraded within the sector.  Natural gasand crude oil had the most significant impact, as crude oil futures surpassed$62/barrel. The Trust’s performance in the agriculture sector was slightlynegative during the month. The sector’s best performer was NY coffee and thelargest loss occurred in cotton. The metals sector was unprofitable for themonth. Gold prices fell from recent highs as the US dollar strengthened.  The largest gain in this sector was achievedin LME copper, while the largest loss occurred in gold. The Trust recorded a lossof -1.58% for the month.  The July month-endNAV was $136.71.

The Trust’s performance was positive for the month ofAugust. The energy sector was the Trust’s best performer, along with smallergains achieved in both the indices and agricultural sectors. The impact ofHurricane Katrina resulted in losses in the fixed income, currency and metalssectors. The energy sector was the Trust’s strongest performer for the month,with positive returns in every market traded within the sector. Natural gas,London gas oil and crude oil made the greatest contribution to overallperformance. Energies rose as fears mounted and were then confirmed about thepossibility of Hurricane Katrina paralyzing U.S. oil output, refining andimports along the coast of the Gulf of Mexico. Performance in the agriculture sectorwas positive on the month as trading in N.Y coffee, London sugar and CBOT wheathelped bolster returns within the sector. Gains were limited however as N.Y. coffee futures rose after floodingcaused by Hurricane Katrina put bean inventories at risk in New Orleans.Performance in the indices sector was positive during the month as the Nikkei(Osaka) rose to a four year high on signs that the world’s second largesteconomy grew for the third straight quarter. The Nikkei gained 4.3% for themonth. On the fear the Hurricane Katrina may slow global economic growth, theNasdaq E-mini and the Eurostoxx 50 fell almost 2% and 1.7% respectively duringthe month. The currency sector was the Trust’s most unprofitable sector for themonth as the U.S. dollar fell 1.8% against the euro and 1.7% against the yen.The dollar’s weakness was a result of speculation that the record high oilprices would slow U.S. economic growth. The Japanese yen was the sectors worstperformer as weakness in the dollar was further compounded by strength in theyen. The largest gains in this sector were in the South African rand and theeuro dollar/South African rand cross. The fixed income sector was unprofitablefor the month, as Hurricane Katrina sparked an unexpected rally in global bondmarkets. Global bond markets rallied as it became apparent that HurricaneKatrina would cause widespread damage to the U.S. gulf coast region and itsindustries. High energy prices caused the German 10-year bund yield, theJapanese 10-year bond yield, and the U.S. 10-year note yield to fall to theirlowest levels in months. All components in this sector were either flat ornegative for the month. The metals sector was unprofitable for the month. Thecumulative effects of violent price action in the currencies and fixed incomemarkets, along with the market impact of Hurricane Katrina, led gold to be theworst performer in the sector.  Positiveperformance in silver and LME copper helped to limit the losses within the sector.The Trust recorded a gain of 2.36% for the month.  The August month-end NAV was $139.94.

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The Trust’s performance was slightly positive for themonth of September. The indices, energy and metal sectors led performance alongwith more moderate gains in agriculture. Energies benefited from record highnatural gas prices that occurred as a result of Hurricane Katrina and thethreat of Hurricane Rita, while metals profited from higher trending prices ingold. The storms induced volatility and triggered fears over increasing globalinflation, which resulted in losses for both the interest rate and currencysectors. The indices sector was the Trust’s strongest performer for the month.The Nikkei 225 (Osaka) once again rose (9.35%), a new four year high, on signsthat the world’s second largest economy continued to grow. The sector’s gainswere limited as the majority of global equity markets were subjugated byextreme volatility in the wake of the two U.S. hurricanes. The only lossoccurred in the Nasdaq e-mini. The energy sector was the Trust’s other solidperformer as natural gas prices soared to record highs as a result ofHurricanes Katrina and Rita striking the gulf coast this month and last. Crudeoil limited the sector’s profitability as prices fell after the InternationalEnergy Agency said it expected to deliver at least 35 million barrels of oiland refined products to the U.S. by the end of October to help offset the lostproduction from rigs and refineries effected by the two recent hurricanes. Themetals sector was profitable for the month as gold reached a 17-year highamid concerns about rising consumer prices and energy costs. Gold gained 7.8%for the month and prices climbed 8.1% for the quarter, the most in two years.However, the combined negative performance of silver and LME aluminum limitedthe gains within the sector. Performance in the agriculture sector was slightlypositive for the month as trading in N.Y coffee and sugar, along with CBOT cornand soybeans helped bolster returns. The sector’s gains were limited however bylosses in CBOT cotton and wheat. The largest gain in this sector was achievedin N.Y. coffee, while the largest loss occurred in CBOT wheat. The fixed incomesector was the Trust’s most unprofitable sector for the month as volatilitycaused by the hurricanes took its toll. Global fixed income markets allsuffered losses after having rallied in the wake of Hurricane Katrina. Thelargest gain in this sector was achieved in the Japanese Government bond, whilethe largest loss occurred in the U.S. 30-year bond. The currency sector wasalso unprofitable for the month as the U.S. dollar rallied on the renewedspeculation of rising U.S. interest rates. While the Trust’s performancesuffered as the dollar rallied against the euro, Swiss franc and British pound,it was able to limit the losses with the dollar’s performance against theJapanese yen. The Trust recorded a gain of 0.60% for the month.  The September month-end NAV was $140.78.

During the quarter there were 66,316.40 units sold tothe beneficial owners for an investment of $9,224,122.04 and 722.86 units soldto managing owner for an investment of $99,838.31. Beneficial owners redeemed atotal of 97,638.56 units during the quarter. The Managing Owner redeemed atotal of 459.37 units during the quarter. At the end of the quarter there were2,249,071.73 units outstanding owned by the Beneficial Owners and 24,216.86units outstanding owned by the Managing Owner.

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

**Fiscal Quarterended September 30, 2004**

The Trust recorded a net loss of $3,064,359 or $(1.72)per unit for the third quarter of 2004. As of September 30, 2004, the Trust had gained 19.39% since itsinception in June 1997.

On September 30, 2004, JWH was managing 100% of theTrust’s assets. Approximately 30% of the assets were allocated to each of theJWH GlobalAnalyticsÒ Family of Programsand the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets wereallocated to JWH’s Financial and Metals Portfolio.

Overall, the Trust wasnegative for July.  The month began witha 25 basis point rate increase by the Federal Open Markets Committee(FOMC).  Economic figures, released throughout the month, continued to providepositive indications for the US economy. However, most of the data failed tomeet market expectations.  The lack ofrobust economic figures prevented the financial markets from trending in onedirection for any sustained period. In the commodity sector, with the prospectof an abundant harvest, grain prices continued their steady decline, which ledto gains for the Trust. In the energy market, the rally in oil prices continuedthroughout July.  The agricultural sectorwas positive for the Trust in July.  Thebest returns in the sector came from soybeans and cotton, while the largestlosses were in coffee traded on the New York and London markets.  Trendless trading conditions in the foreignexchange markets persisted in July resulting in losses for the Trust. Thedollar began the month depreciating against the world’s major currencies onlyto reverse course and rally midway through the 

 

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month. The largest gains werein the euro/Canadian dollar cross and the Japanese yen.  The largest losses were in the euro and Swissfranc.  The energy sector performance waspositive for the Trust in July.  Theprice of crude oil continued to trade higher with the price per barrelexceeding $40.  The largest loss occurredin natural gas.  The Trust’s performancein the stock indices sector was negative for July.  Contradictory economic figures along withweaker than expected earnings numbers continued to dampen any rally in theequities market. The largest loss coming from the Osaka Nikkei.  The fixed income sector was also negative forJuly.  Despite the rate hike by the FOMCin late June, the US economic data for this month, painted a somewhat confusingpicture for this sector which had the markets back tracking from earliertrends.  The best returns came from theJapanese government bond and the short sterling.  The metals sector was negative for the Trustin July. Price action in gold has been negatively correlated with movements inthe dollar.  Gains on copper positionswere not enough to offset losses in gold and silver.  Market conditions in July did not favorlong-term investment style of the Trust. All in all, the Trust recorded a loss of 3.31% for the month. The Julymonth end NAV was $117.10 per unit.

Overall, the Trust wasnegative for the month of August. Fixed-income markets provided the mostsignificant gains for the Trust as prices rallied in response to the weak USunemployment data and other weaker-than-expected fundamental data.  The Trust suffered losses in the foreignexchange markets which continued to be dominated by short-term trading activityand little conviction of a trend.  Thefixed-income sector provided significant gains for the Trust in August. In theUS, markets rallied sharply early in the month as employment data was muchweaker than most analysts had anticipated. The British fixed-income marketsrallied as reports indicated a slowdown in the UK housing market and atempering of inflation fears.  Thelargest gains for the month were in the bund and the US 30-year bond. The onlylosses for this sector were in Asia with the euroyen and the JapaneseGovernment bond. The Trust’s foreign exchange sector was negative for August.Most foreign exchange markets failed to sustain any discernible direction forthe month.  European currencies continuedto experience volatile swings on an intra-month basis; after poor US employmentdata, they gave back most of the gains they had made against the US dollar. TheJapanese yen strengthened against the US dollar.  The largest gain came from the Australiandollar, while the largest loss was in the euro/Japanese yen cross.  Indices have continued to stay range-bound in2004. In spite of good profit reports for many companies, the threat of futuredeclines has not allowed the US, European and Japanese markets to gain anytraction. Volatility is still extremely low in these markets, but the absenceof long-term trends has limited the potential for profit. The largest gain wasin the Nasdaq E-mini, while the largest loss was in the Nikkei.  The energy sector was negative for the Trust in August.  Moderate weather and a continued build upinventory was the primary reason for the weakness in natural gas. Crude oilproduced marginal profits while testing the $50 per barrel level mid month asgeo-political tensions and fears of terrorist activity in Iraq escalated.  The largest sector gain was in natural gas,while the largest loss was in London gas oil. The agricultural sector was negative for August.  Grain prices rallied from seasonal lows.  Reports on soybean crop conditions did notmeet expectations, and long-term weather forecasts suggesting the possibilityof an early frost prompted profit taking in the grain complex.  Early in the month cotton rallied 6.8% andclosed limit up on little fundamental news. A further increase in cotton prices came late in the month on fears thatHurricane Frances may disrupt cotton supplies. The largest losses were in soybeansand cotton, while the largest gain was in wheat.  The metals sector was positive for August.The gold rally provided all of the returns for the month.  All in all, the Trust recorded a loss of2.21% for the month. The August month end NAV was $114.51 per unit.

The Trust’s overall performance was positive in September.  The Trust continued to benefit from thelong-term trend towards higher energy prices. Nascent trends in globalfixed-income markets also had a positive impact on performance for the Trust.  A significant portion of September’s gain wasdirectly related to trading in the energy sector. Rising demand out of Asia,supply disruptions in Iraq, and fears of terrorism kept prices high.Additionally, Hurricane Ivan, which made landfall on the Alabama coast onSeptember 16th, had a significant impact on U.S. Gulf of Mexico supplies. Meanwhile, inNigeria there were fears that rebel forces would be successful in attacking thecountry’s oil production facilities. The benchmark NYMEX crude oil contractresponded to these factors by rising more than 15% during the month. The Trust’spositions in all energy markets performed well during the month.  Trading in fixed-income markets was alsoprofitable. On September 21st,the Federal Reserve Board raised the federal funds rate 25 basis points to 1.75%.Thehawkish stance of the Fed, combined with the expected effect of higher energyprices, helped to push long-term interest rates lower and to flatten the yieldcurve. Positions in longer-term bond contracts in the US, Japan and Europe wereprofitable with the largest gain made in the Japanese Government Bond, whilepositions in short-term interest rate contracts, including Eurodollar futures,were slightly unprofitable.  Trading inthe foreign exchange market continues to be difficult this year as many of theworld’s major currencies remain stuck in broad ranges. While overall trading inthis sector was slightly unprofitable for the Trust, there were no significantwinners or losers. The largest gain from trading for the Trust came from theCanadian dollar/Japanese yen cross. The largest loss was in British pound.  Opportunities inequity markets have been limited as volatility in many of the world’s stockmarkets is registering multi-year lows. The Trust suffered losses in mostequity trading with the largest loss in the Osaka Nikkei. The only gain was in the Australian AllOrdinaries index, but it was not enough to offset the combined 

 

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losses of this sector.  Trading in the agriculture markets wasprofitable for the Trust in September. Gains from the corn and soybean marketswere large enough to offset losses in other markets. Ample supply and benignweather conditions have been factors suppressing grain prices.  Metals trading during September was slightlynegative. Most metals prices moved up in the second part of the month, largelyon technical factors. Positions in copper, gold and aluminum were profitablefor the Trust, but gains in these markets were not enough to offset the loss insilver.  All in all, the Trust recorded a gain of 4.26% for the month. The Septembermonth end NAV was $119.39 per unit.

During the quarter there were 203,390.02 units sold tothe beneficial owners for an investment of $23,694,470.53. Beneficial ownersredeemed a total of 58,701.29 units during the quarter. The Managing Ownerredeemed a total of 63.71 units during the quarter. At the end of the quarterthere were 2,142,333.64 units outstanding owned by the Beneficial Owners and23,760.24 units outstanding owned by the Managing Owner.

During the fiscal quarter ending September 30, 2004,the Trust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

**Fiscal Quarterended June 30, 2005**

The Trust recorded a net income of $26,882,007 or$11.48 per unit in the first 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 JWHGlobalAnalyticsÒ Family of Programsand the G-7 Currency Portfolio. Approximately 40% of the Trust’s assetswere allocated to JWH’s Financial and Metals Portfolio.

The Trust’soverall performance was negative for the month of April.  The Trust’s underperformance was driven bythe Federal Reserve changing its view on inflationary pressures.  After higher energy prices showed a pickup inthe US inflation rate in March, new economic data released in April showinginflationary pressures may not be as strong as previously thought forced theFed to change its view.  The fixed incomesector posted positive returns during the month. The majority of the sector’sgains came from the strength in Germany’s and Japan’s fixed-incomemarkets.  The yield on the Germanbenchmark 10-year bond held near a record low after an industry survey showedmanufacturing in Europe contracted. Japanese government bond yields held near14-month lows on expectations that slowing economic growth in the U.S. willspread to Asia because of waning demand for the region’s exports.  The largest gain in this sector was achievedin the Japanese government bond, while the largest loss occurred in theeurodollar.  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 andNikkei.  The currency sector was the mostunprofitable sector during April for the Trust due to the strength of both theJapanese yen and the Canadian dollar / Japanese yen cross. Adding to theunderperformance was the fact that the Swiss franc rallied as the Swissgovernment left its growth forecast for 2005 unchanged. The largest gain inthis sector was achieved in the euro/British pound cross, while the largestloss occurred in the Japanese yen.  Theenergy sector also contributed to the Trust’s underperformance during themonth. Energies, which had been trending higher, experienced a suddenturnaround as supplies increased and OPEC boosted output. The sector came underadditional pressure amid speculation over slowing economic growth in the U.S.,Europe and Japan due to high energy prices. All components of this sector were negativewith the largest loss coming from London gas oil.  The metals sector was unprofitable for themonth. LME aluminum and LME copper had the largest losses within the sector,while gold and silver also added to the sector’s losses as currency-related volatilityplagued the precious metal markets. All components of this sector werenegative.  The Trust was unprofitable inthe agriculture sector for the month as a result of the instability of the NYcoffee market.  The largest gain in thissector was achieved in cotton, while the largest loss occurred in NYcoffee.  Overall, the Trust recorded aloss of (6.40)% for the month.

The Trust’s performance was positive for the month ofMay.  The currency and fixed-incomesectors led profitability with robust gains that were more than enough tooffset lackluster returns in the other sectors. The currency sector was the Trust’s strongest performer for the month,as the euro fell to a seven-month low against the U.S. dollar and weakenedagainst most other major currencies. France’s rejection of the European Union constitution was the catalystfor the euro’s dramatic move lower.  Thelargest gain in this sector was achieved in the euro, while the largest lossoccurred in the euro/British pound cross. The fixed-income sector was the Trust’s other solid performer, as bothEuropean and American bonds rose during the month.  The benchmark German 10-year bund rose to arecord high, as market conjecture grew that the European Central 

 

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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.  The largest gain in this sector was achievedin the bund, while the only loss occurred in the Eurodollar.  The energy sector underperformed for themonth as a result of volatility, which dominated trading throughout thesector.  Natural gas was the loneprofitable market within the sector. Energy markets weakened for most of themonth and reversed itself towards the end of the month when crude oilstockpiles fell for the first time in five weeks.. The largest loss occurred inLondon gas oil.  The Trust’s performancein the metals sector was slightly positive during the month as volatility in variousmarkets limited the Trust’s ability to achieve returns.   The Trust was able to benefit as gold tradednear a three-month closing low as the U.S. dollar strengthened.  The largest gain in this sector was achievedin gold, while the largest loss occurred in LME copper.  Performance in the agriculture sector wasnegative for the month as trading in cotton, N.Y. coffee and CBOT wheataffected returns.  Cotton fell almost13 percent from April’s highs as supply outpaced demand and wheatstrengthened on concerns that hot weather would hurt U.S. crops.  The largest gain in this sector was achievedin London coffee, while the largest loss occurred in cotton.  Indices were negative for the month.  Most of the world indices were higher on themonth, which was the cause of the sector’s underperformance.  All components of this sector were negativewith the largest loss coming from the NASDAQ e-mini.  Overall, the Trustrecorded 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 wasvolatility in the metals and agriculture sectors.  The currency sector was the Trust’s strongestperformer for the month. The U.S. dollar posted its largest quarterly gainagainst the euro since 2001 and rose against the yen as the market anticipatedthe quarter point increase by the Federal Reserve on June 30th. The dollar also benefited from the yield advantage againstthe 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 largestgain in this sector was achieved in the Japanese yen, while the largest lossoccurred in the British pound/Japanese yen cross.  The fixed income sector was the Trust’s othersolid performer, as global bond 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 largest gain in this sector wasachieved in the bund, while the largest loss occurred in the Eurodollar.  The energy sector was profitable for themonth as volatility dominated these markets. The entire sector rallied during the first half of the month asexpectations increased that global demand for oil would reach a record 86.4million barrels a day in the 4th quarter. Most components of this sector were positive; however the sectorsperformance was hindered by the losses in natural gas.  Metals were negative for the month asvolatility hurt this sector’s performance. Gold rose for the majority of the month and then fell towards the end ofthe month as the U.S. dollar strengthened and the U.S. Federal Reserve raisedinterest rates.  All components of thissector were negative with the largest loss coming from gold.  Performance in the agriculture sector wasdown for the month as trading in cotton, wheat and soybeans hinderedreturns.  Gains in NY coffee were notenough to offset the combined negative performance experienced in the rest ofthe sector.  Performance was slightlypositive in indices during the month. Overall, stocks fell during the month as the Federal Reserve raised itsbenchmark interest rate for the ninth time this year. The largest gain in thissector was achieved in the EuroStoxx 50, while the largest loss was in theNasdaq E-Mini.  Overall, the Trustrecorded a gain of 7.89% for the month.

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

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

**Fiscal Quarterended June 30, 2004**

The Trust recorded a net loss of $52,517,604 or$(29.15) per unit for the second quarter of 2004.  As of June 30, 2004, the Trust had gained21.11% since its inception in June 1997.

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** **

On June 30, 2004, JWH was managing 100% of the Trust’sassets. Approximately 30% of the assets were allocated to each of the JWHGlobalAnalyticsÒ Family of Programsand the G-7 Currency Portfolio. Approximately 40% of the Trust’s assetswere allocated to JWH’s Financial and Metals Portfolio.

The second quarter of 2004 did not produce anymeaningful trends with the possible exception of the energy markets. The lackof price trends in other markets was a result of the confusion in financialmarkets as analysts attempted to anticipate the major central banks’ exitstrategy from their highly accommodative monetary policy of the past two years.

There were two main themes dominating the financialmarkets in April. First, the emerging strength of the U.S. economy led tomarket speculation that the Federal Reserve may begin raising interest rates inthe near term. The effects of this speculation have been the strengthening ofthe U.S. dollar and tepid support for global equity indices. Second, thecountry with the fastest growing economy, China, decided to rein in growth toavoid creating potentially dangerous financial bubbles like the ones it faced adecade ago. The Chinese Central Bank mandate to start limiting available creditand raising domestic interest rates reduced consumption of basic commodities,which diminished the recent vigor in the base metals and grain markets.Energies were profitable for the Trust in April. Concerns about the continuedviolence in the Middle East and increased global consumer demand helped tomaintain prices at their current lofty levels. The Trust’s positions in crudeoil and related products were positive. Natural gas positions were the onlycomponent of the Trust’s portfolio with negative performance. The agriculturalsector was negative for April. The grain markets traded in a volatile fashion,reacting to both continued strong demand in some areas and possibly reduceddemand by China as well as the recent strength of the U.S. dollar. Cotton andLondon sugar had the best performance in the sector while wheat had the largestloss for the Trust. The fixed-income sector was negative in April. Fixed-incomemarkets, particularly in the U.S., were affected by the improvement of theeconomy and by statements made by members of the Federal Reserve, leading tomarket speculation that interest rates may be raised sooner than anticipated.This sector registered no positive components for the Trust with the largestlosses in the Euro Bund and U.S. 30-year bond. The currency sector was unprofitablein April. The U.S. dollar strengthened against most major currencies inresponse to advances in U.S. job creation, while consumer confidence andmanufacturing activity appeared to be waning in Germany, exerting downwardpressure on the Euro. The Swiss franc and Euro were the best performers, whilethe Japanese yen was the detractor from the Trust’s performance. Indicespositions for the Trust were negative in April. Of the companies in theStandard & Poor’s 500 Index reporting earnings, 78% of them surpassedanalysts’ forecasts. Japanese equity markets were strong all month. U.S. andsome European stock markets faltered later in the month. This sector registeredno positive components, with the largest loss coming from the Eurostoxx 50contract. The metals sector was unprofitable for the Trust in April. Preciousmetal investors liquidated long positions, which had been a hedge against thecurrent negative real rate of return environment in the US.

Overall, the Trust was down for the month of May.  Improving global economies createdexpectations that central banks may raise interest rates to moderate growth andcurtail an increase in inflation. China continued to try to rein in growth byreducing available credit and money supply. Uncertainty dominated the financialmarkets, preventing strong trends from emerging. Energies were profitable forthe Trust in May. Energy prices continued to surge higher due to supplyconcerns and increased geopolitical risks raised concerns about supplydisruptions. China’s increasing appetite for petroleum also placed strains onavailable production.  Saudi Arabia’soffer to increase production had little effect in stabilizing the price ofcrude oil.  All of the Trust’s positionsin this sector were positive, with London gas oil being the best performer. Thefixed-income sector was positive in May. The U.S. economy continued to showsigns of improvement with fears of rising inflation diminishing. The bestresult was achieved in the Euro Bund. The largest losses occurred in Japanesegovernment bond and the Australian 10-year bond. The currency sector wasunprofitable in May.  The U.S. dollar washeavily influenced by the release of improving economic numbers and revisedexpectations for continued growth. ****The best results****for the Trust****from this sector were achieved in the British pound/ Japanese yen cross and the Australian dollar. The largest detractors from performance were the Japanese yen and theSwiss franc.********The global equity marketscontinued to struggle. World GDP continued at a strong pace; yet concerns overrising interest rates and energy prices reduced enthusiasm for stocks. Thissector registered no positive components with the largest loss coming from theNikkei.****The agricultural sector was negative forMay. Coffee, the best performer, surged higher due to fears of frost in Brazil.Live cattle made large gains after the USDA expressed uncertainties aboutreinstating Canadian cattle imports to the U.S. Corn and soybeans had the largest losses. The metals sector was unprofitablefor the Trust in May. Prices fell lower for most of the month, coming underpressure with prospects that China’s demand for raw materials will weaken asits economy slows. ****The Trust’s largest loss came from aluminum.****

 

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Overall, the Trust wasnegative for the month of June.  Thefixed-income sector was negative for June. U.S. interest rates were heavilyinfluenced by the outcome of the Federal Open Market Committee meeting at theend of the month, and whether it would raise the Federal Funds rate by 25 or 50basis points. Interest rates in Japan rose during the month on expectationsthat the Japanese economy will extend its longest expansion since 1997. Theforeign exchange sector was negative for June. The U.S. dollar, after weakeningmid-month against most major currencies, ended the month with little change.The Japanese yen strengthened against most currencies, including the U.S.dollar, as prospects for a continued expanding economy in Japan took hold. Theenergy sector was negative for June.  Theenergy markets remained very volatile, with a bias towards higher prices.However, the wide price ranges made trend following difficult.  Crude oil prices and related productsremained robust as a result of strong growth in the U.S. and China, andcontinued geopolitical tensions in the Middle East. The agricultural sector wasnegative for June.  The grain marketsfaced downward price pressure for most of the month as a result of China’sdecreased demand. The stock indices and metals sectors were positive for theTrust for June.  Base metals initiallymoved lower this month. However, low levels of global inventories of basemetals propelled prices higher by the end of month. Stock indices appeared tobe reacting to recent information that implies a sterile macro economic outlook.

During the quarter there were 324,614.95 units sold tothe beneficial owners for an investment of $41,513,412. Beneficial ownersredeemed a total of 42,093.44 units during the quarter. The Managing Ownerredeemed a total of 0 units during the quarter. At the end of the quarter therewere 1,997,645.14 units outstanding owned by the Beneficial Owners and21,743.03 units outstanding owned by the Managing Owner.

During the fiscal quarter ending June 30, 2004, theTrust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

**Fiscal Quarterended March 31, 2005**

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

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

The Trust’s performance was negative in January. Whileboth the fixed-income and agriculture sectors had gains for the month, theyweren’t enough to offset the losses in other sectors. The Trust’sunderperformance was driven by the strength of the US dollar, which reboundedfrom last year’s weakening trend.  Thedollar’s sudden turnaround was the dominant factor that drove most marketsectors during the month, and therefore resulted in the overall loss for theprogram.  The weak US dollar trend, whichhad dominated the markets during the second half of last year, began to reverseitself as market expectations of a Yuan revaluation by the Chinese central bankbegan to diminish.  The Canadiandollar/Japanese yen cross was the only positive contributor to the month, whilethe largest loss was in the euro. Trading in both metals and indices was also negative during the month.The loss in metals was due to the weakening of both gold and aluminum. Gold,which has recently had a strong inverse relationship with the US dollar, cameunder pressure as the US 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 inthe indices sector further hindered performance.  The loss in indices resulted from a sell offin world equity markets. The largest gain in the indices sector was achieved inthe Eurostoxx 50, while the largest loss occurred in the Nasdaq e-mini.  Higher prices in energies led to negativeperformance for the Trust in this sector. 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, theTrust recorded a loss of (9.54)% for the month.

 

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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 after jobless claims unexpectedly declined, exportsrose, and the U.S. government sold $14 billion 10-year notes at ahigher-than-expected yield.  On February16th, 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 ofMarch.  The energy sector exhibitedmoderate returns, and the agricultural sector also contributed to the Trust’spositive performance. The combined positive performance in both of thesesectors was able to offset the losses suffered in the other sectors.  The energy sector was the Trust’s bestperforming sector as crude oil and gasoline surged to near all-time highs onnews that demand may outpace supply during the peak summer months. A GoldmanSachs prediction that crude oil prices could spike to as high as $105 perbarrel also bolstered the rise in oil prices. All components of this sectorwere positive with the largest gain coming from London gas oil.  Currencies were the most unprofitable sectorfor the Trust during the month. The single most influential factor drivingperformance was the U.S. dollar.  Thedollar began the month in a weakening trend as the U.S. trade deficit widenedto its second highest level ever. However, this trend reversed as the price ofoil soared, the yield on the 10-year note rose to its highest level in sevenmonths, and the Federal Reserve increased borrowing costs by a quarterpercentage point. The largest gain in this sector was achieved in the Japaneseyen, while the largest loss occurred in the British pound.  The Trust was unprofitable in the fixedincome sector for the month, as European and Domestic markets sold off and theJapanese bond markets rallied. Increases in energy prices and inflationexpectations were the catalyst for the dramatic move higher in most of theworld interest rates. In Japan, bonds rallied amid speculation that exports tothe U.S. would drop.  Additionally,Japanese fixed-income gained on increased signs that its economy is strugglingto recover from a fourth recession since 1991. The largest gain in this sectorwas achieved in the Eurodollar, while the largest loss occurred in thebund.  Metals were unprofitable duringMarch as gold and silver, which tend to have an inverse relationship with theU.S. dollar, were driven by the volatility in the U.S. dollar.  The Trust did benefit as LME aluminum rose toa 10-year high, however not enough to offset the combined losses in gold andsilver.  Performance in indices was downslightly for the month as equity markets weakened worldwide.  Higher bond yields and oil prices madeequities less attractive to investors as inflationary pressures started toweigh on the global economy. The largest gain was achieved in the Nasdaq e-mini,while the largest loss occurred in the Nikkei. The Trust’s performance in the agricultural sector was slightlyprofitable for the month.  The Trust wasable to benefit from rising New York coffee prices as production declined andreserves fell to their lowest level in 15 years. Overall, the gains achieved inthe energy and agricultural sectors were enough to offset the combined lossesin the various other sectors.  Overall,the Trust posted a gain of .50% for the month.

During the quarter there were 156,555.52 units sold tothe beneficial owners for an investment of $20,278,995. Beneficial ownersredeemed a total of 61,635.92 units during the quarter. The Managing Ownerredeemed a total of 0 units during the quarter. At the end of the quarter therewere 2,306,459.25 units outstanding owned by the Beneficial Owners and23,771.70 units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2005, theTrust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

 

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**Fiscal Quarterended March 31, 2004**

The Trust recorded a net profit of $906,431 or $1.14per unit in the first quarter of 2004. As of March 31, 2004, the Trust hadgained 50.26% since its inception in June 1997.

The Trust had an auspicious start in January andFebruary but in March the Trust gave back much of the previous gains. On March31, 2004, JWH was managing 100% of the Trust’s assets. Approximately 30% of theassets were allocated to each of the JWH GlobalAnalytics® Family of Programsand the G-7 Currency Portfolio. Approximately 40% of the Trust’s assets wereallocated to JWH’s Financial and Metals Portfolio.

Overall, the Trust was positive for the month ofJanuary.  The worldwide trend of interestrates moving lower continued from December. The long Japanese 10-year bond andthe Euro Bund positions had the best performance for the fixed income sector,while the U.S. 30-year bond had the largest loss. For the first half of themonth, the weakening U.S. dollar trend continued against most major currencies.  The long Japanese yen and the British poundpositions made the greatest contributions to profits, while the Swiss franc hadthe largest loss. Stock indices in Europe, the U.S. and Japan maintained theirupward trend for most of the month on positive economic growth and a favorableinterest rate environment.  The Eurostoxxposted the largest profit, while the Osaka Nikkei posted a loss.  The upward trend in crude prices and relatedproducts continued in a volatile fashion. Crude oil and heating oil posted thebest sector gains. The price of gold has been highly correlated with the Euro;therefore it was higher initially at the beginning of the month, but finishedlower at the end.  Long copper, aluminumand silver positions had the best performance, while gold was the biggestdetractor from profits. The agricultural sector was positive for January,primarily on the performance of corn, soybeans and coffee.  Overall, the Trust recorded a 1.07% gain of$2,217,924 or $1.60 per unit in January.

Overall, the Trust was positive for the month ofFebruary.  Interest rates continued tomove lower in G7 nations due to benign inflationary pressures.  The best results in the sector were achievedin the long Euro bunds, Japanese 10-year bond and the U.S. 10-year note and30-year bond positions.  Energies, withthe exception of natural gas, remained on an upward trend because of supplyconcerns.  The U.S. dollar, which hadbeen weakening against most major currencies, found strength mid-month andreversed its five-month downtrend. The best performance for this sector camefrom the British pound and the Euro/British pound cross.  The short Japanese yen and Swiss francpositions recorded the largest losses. Base metals continued the strong move upward due to low inventorylevels, while precious metals followed currencies and reversed course duringthe month.  The best performance for thissector came from copper, followed by silver and aluminum.  Gold posted a loss for the month.  Despite exhibiting a degree of volatility,most equity indices ended the month close to unchanged.  Overall, the Trust recorded a 4.54% gain of$10,165,199 or $6.86 per unit in February.

Overall, the Trust was down for the month ofMarch.  The month was dominated byincreased geopolitical risks, which consequently led to a reduction inspeculative market positions.   In March,the most influential market factors for the Trust were the effects of Japan’sfiscal year end.  The Bank of Japan,through intervention in foreign exchange markets, bolstered the U.S. dollaragainst the Japanese yen which in turn propelled Japanese equities and interestrates. The only profitable trade in this sector was the Euro/Pound cross. Thelargest losses came from the Japanese yen, British pound and the Euro. The U.S.employment data showed a paltry rise in jobs created during February, sendingbond prices higher and interest rates lower. Interest rates in the ECBcommunity fell as the terrorist attack in Spain dampened confidence in localeconomies.  The biggest change ininterest rates occurred in Japan, where rates actually increased. The Eurobund, U.S. 10-year and 30-year bonds were profitable while the largest loss forthe sector was incurred in the Japanese 10-year bond. Metals, agriculture, andenergies all were profitable sectors for the Trust but could not overcome thelosses in interest rates and currencies. Overall, the Trust recorded a 4.64% loss of $11,476,691 or $7.32 perunit in March.

During the quarter there were 380,983.44 units sold tothe beneficial owners for an investment of $58,139,432. Beneficial ownersredeemed a total of 46,967.88 units during the quarter. The Managing Ownerredeemed a total of 32.78 units during the quarter. At the end of the quarterthere were 1,715,123.63 units outstanding owned by the Beneficial Owners and21,743.03 units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2004, theTrust had no material credit exposure to a counterparty, which is a foreigncommodity exchange, or to any counterparties dealing in over the countercontracts.

** **

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**(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.

**Item 3.**   Quantitativeand Qualitative Disclosures About Market Risk

There has been no material change with respect tomarket risk since the “Quantitative and Qualitative Disclosures About MarketRisk” was made in the Form 10-K of the Trust dated December 31, 2004.

**Item 4.**   Controlsand Procedures

Under the supervision and with the participation ofthe management of Refco Commodity Management, Inc., the Managing Owner of theTrust, including the Managing Owner’s President and Chief Financial Officer,the Trust has evaluated the effectiveness of the design and operation of itsdisclosure controls and procedures as of the end of the period covered by thisquarterly report, and, based on their evaluation, the President and ChiefFinancial Officer of the Managing Owner have concluded that these disclosurecontrols and procedures were effective. There were no changes in the Trust’s internal control over financialreporting, during the quarter ended September 30, 2005, that have materiallyaffected, or are reasonably likely to materially affect, the Trust’s internalcontrol over financial reporting.

Any control system, no matter how well designed andoperated, can provide reasonable (not absolute) assurance that its objectiveswill be met.  Furthermore, no evaluationof controls can provide absolute assurance that all control issues andinstances of fraud, if any, have been detected.

**PART II — OTHER INFORMATION**

**Item 1.**   LegalProceedings

On October10, 2005, Refco Inc., the parent company of RCMI announced that it haddiscovered through an internal review a receivable owed to the Company by anentity controlled by Phillip R. Bennett, Chief Executive Officer and Chairman ofthe Board of Directors of the Company, in the amount of approximately $430million. Mr. Bennett repaid the receivable in cash, including all accruedinterest, on October 10, 2005. Based upon the results of the review to date,Refco Inc. believes that the receivable was the result of the assumption by anentity controlled by Mr. Bennett of certain historical obligations owed byunrelated third parties to Refco, Inc., which may have been uncollectible.Independent counsel and forensic auditors have been retained to assist Refco,Inc., Audit Committee in the investigation of these matters.

On October12, 2005, Mr. Bennett was initially charged with one count of securities fraud.On November 10, 2005, he was indicted on eight counts of conspiracy, fraud, andother charges by a federal grand jury. The indictment was delivered in theUnited States District Court for the Southern District of New York. Prosecutorscharge in the indictment that Mr. Bennett hid customer and company losses fromRefco, Inc. auditors and investors from as early as the late 1990s. Thoselosses, according to the indictment, were then transferred to a companycontrolled by Mr. Bennett and hidden through a series of transactions.

Refco, Inc.and other affiliated entities, including RCMI, have subsequently filed forbankruptcy.  See “Note 7 — SubsequentEvents” in Part I — Item 1 for more information.  Such information is incorporated by referenceherein.

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

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

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 table summarizes the redemptions byunitholders during the third quarter of 2005:

| Month     | ** ** | **Units Redeemed** | ** ** | **Redemption Date NAV per Unit** |
|-----------|------------|--------------------|------------|----------------------------------|
| July      |       | 31,058.61          |       | 136.71                           |
| August    |       | 33,786.17          |       | 139.94                           |
| September |       | 33,253.14          |       | 140.78                           |
| **Total** |       | **98,097.92**      |       |                             |

 

Units sold through 9/30/05: 67,039.25

Units unsold through 9/30/05: 3,792,285.16   ($533,877,904.71)

Aggregate price paid for units sold through 9/30/05: $9,323,960.45

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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 and Principal  Financial Officer |
| 32.01      |       | Section 1350  Certification                                                                              |

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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:  |   | November 27, 2006                                                                                          |
|--------|--------|------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                       |
| By:    |   | Refco Commodity Management, Inc.,                                                                          |
|   |   | Managing Owner                                                                                             |
|   |   |                                                                                                       |
| By:    |   | /s/ Robert Shapiro                                                                                         |   |
|   |   | Robert Shapiro                                                                                             |
|   |   | President and Chief Financial Officer                                                                      |
|   |   | (Duly authorized officer of the Managing Owner and  the Principal Financial Officer of the Managing Owner) |

 

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