RJO GLOBAL TRUST - FORM 10-Q - November 12, 2010

Attached files

file	filename
EX-10.02 - RJO GLOBAL TRUST	v201949_ex10-02.htm
EX-31.01 - RJO GLOBAL TRUST	v201949_ex31-01.htm
EX-10.01 - RJO GLOBAL TRUST	v201949_ex10-01.htm
EX-31.02 - RJO GLOBAL TRUST	v201949_ex31-02.htm
EX-32.01 - RJO GLOBAL TRUST	v201949_ex32-01.htm

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2010

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

SECURITIES EXCHANGE ACT OF 1934

For the transition period from ________ to ________

Commission File Number: 000-22887

RJO GLOBAL TRUST

(Exact name of registrant as specified in its charter)

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

c/o R.J. O’Brien Fund Management, LLC

222 South Riverside Plaza

Suite 900

Chicago, IL 60606

(Address of principal executive offices) (Zip Code)

(312) 373-5000

(Registrant's telephone number, including area code)

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

x Yes ¨ No

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

¨ Yes ¨ No

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

Large accelerated filer ¨	Accelerated filer ¨

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

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

¨ Yes x No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION	3

Item 1. Financial Statements	3
Consolidated Statements of Financial Condition, as of September 30, 2010 (unaudited) and December 31, 2009	3
Condensed Consolidated Schedule of Investments, as of September 30, 2010 (unaudited)	4
Condensed Consolidated Schedule of Investments, as of December 31, 2009	5
Consolidated Statements of Operations, for the three and nine months ended September 30, 2010 and 2009 (unaudited)	6
Consolidated Statement of Changes in Unitholders’ Capital, for the nine months ended September 30, 2010 (unaudited)	7

Notes to Consolidated Financial Statements	8

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	17

Item 3. Quantitative and Qualitative Disclosures about Market Risk	23

Item 4T. Controls and Procedures	23

PART II. OTHER INFORMATION	24

Item 1. Legal Proceedings	24

Item 1A. Risk Factors	24

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	24

Item 6. Exhibits	25

SIGNATURES	26

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

	September 30,		December 31,
	2010		2009
	UNAUDITED
Assets
Assets:
Equity in commodity Trading accounts:
Cash on deposit with brokers	$	54,177,135	$	59,500,719
Unrealized gain on open contracts		1,835,271		767,006
Purchased options on futures contracts (premiums paid - $ 206,000)		142,800		-
Total due from brokers		56,155,206		60,267,725

Cash on deposit with bank		12,866		38,436
Interest receivable		5,171		1,694
Cash on deposit with bank - Non-Trading		3,702,032		9,214,964
Prepaid expenses - Non-trading		78,182		-

Total Assets	$	59,953,457	$	69,522,819

Liabilities and Unitholders' Capital
Liabilities:
Accrued commissions	$	157,070	$	169,886
Accrued management fees		79,341		85,057
Accrued incentive fees		161		17,109
Accrued offering expenses		15,377		22,768
Accrued operating expenses		359,816		239,638
Redemptions payable - Trading		748,180		878,988
Accrued legal fees - Non-Trading		-		627,762
Accrued management fees to U.S. Bank - Non-Trading		22,511		18,426
Distribution payable - Non-Trading		329,592		-
Total liabilities		1,712,048		2,059,634

Unitholders' capital:
Unitholders’ capital (Trading):
Beneficial owners:
Class A (518,900 and 551,440 units outstanding at September 30, 2010 and December 31, 2009, respectively)		52,312,292		56,711,089
Class B (12,676 and 9,358 units outstanding at September 30, 2010 and December 31, 2009, respectively)		1,323,422		981,765
Managing owner (11,679 Class A units outstanding at September 30, 2010 and December 31, 2009)		1,177,360		1,201,090

Unitholders' capital (LLC equity/Non-Trading):
Participating owners (436,380 and 512,964 units outstanding at September 30, 2010 and December 31, 2009, respectively)		658,104		1,933,873
Nonparticipating owners (1,836,908 and 1,760,324 units outstanding at September 30, 2010 and December 31, 2009, respectively)		2,770,231		6,635,368
Total unitholders' capital		58,241,409		67,463,185

Total Liabilities and Unitholders’ Capital	$	59,953,457	$	69,522,819

Net asset value per unit:
Trading:
Class A	$	100.81	$	102.84
Class B	$	104.40	$	104.91
LLC equity/Non-Trading	$	1.51	$	3.77

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

as of September 30, 2010

UNAUDITED

	Number of		Principal
	contracts		(notional)		Fair value
Long positions (5.16%)
Futures Positions (5.17%)
Agriculture		578	$	18,174,841	$	1,076,231
Currency		328		65,762,329		297,518
Energy		61		4,115,424		102,810
Indices		91		6,763,266		242,119
Interest rates		217		47,410,044		167,182
Metals		388		59,072,072		1,123,099

Forward Positions (-0.01%)
Currency		26,880,000		31,172,578		(5,243	)

Total long positions			$	232,470,554	$	3,003,716

Short positions (-2.01%)
Future positions (-1.95%)
Agriculture		75	$	2,471,867	$	(136,504	)
Energy		92		6,097,556		(108,066	)
Indices		56		4,238,472		(5,138	)
Interest rates		22		7,945,299		(278	)
Metals		103		8,556,522		(882,708	)

Forward Positions (-0.06%)
Currency		26,955,000		31,157,279		(35,751	)

Total short positions			$	60,466,995	$	(1,168,445	)

Total unrealized gain on open contracts (3.15%)					$	1,835,271

Long put options on future contracts (0.25%)
Indices (premiums paid - $ 206,000)		80			$	142,800

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

as of December 31, 2009

	Number of		Principal
	contracts		(notional)		Fair value
Long positions (1.69%)
Futures Positions (1.45%)
Agriculture		459	$	14,175,201	$	542,222
Currency		58		5,175,139		18,650
Energy		45		3,386,896		25,657
Indices		90		6,006,445		118,235
Interest rates		225		73,893,816		(167,286	)
Metals		165		13,101,937		437,926

Forward Positions (0.24%)
Currency		25,375,000		28,588,150		162,279

Total long positions			$	144,327,584	$	1,137,683

Short positions (-0.55%)
Future positions (-0.31%)
Agriculture		142	$	3,758,129	$	(12,859	)
Currency		50		6,823,909		61,052
Energy		17		2,077,755		(72,953	)
Indices		35		2,261,654		(1,017	)
Interest rates		292		78,210,549		102,023
Metals		62		5,294,294		(284,081	)

Forward Positions (-0.24%)
Currency		21,765,000		23,079,582		(162,842	)

Total short positions			$	121,505,872	$	(370,677	)

Total unrealized gain on open contracts (1.14%)					$	767,006

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

UNAUDITED

	For the three months ended September 30,						For the nine months ended September 30,
	2010			2009			2010			2009
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	626,298		$	(1,535,233	)	$	1,258,995		$	(3,447,170	)
Change in unrealized gain (loss) on open positions		1,012,699			1,257,461			1,005,065			188,207
Foreign currency transaction gain (loss)		(8,473	)		74,206			(53,405	)		120,470
Total Trading gain (loss)		1,630,524			(203,566	)		2,210,655			(3,138,493	)

Investment Income:
Interest income		18,744			14,709			42,652			43,998

Expenses:
Commissions - Class A		560,394			669,700			1,720,846			2,063,805
Commissions - Class B		4,721			3,176			12,561			11,322
Management fees		230,043			278,075			699,002			927,798
Incentive fees		161			28,702			161			37,040
Ongoing offering expenses		30,000			65,000			70,000			238,000
Operating expenses		217,000			300,000			757,000			1,015,678
Total expenses		1,042,319			1,344,653			3,259,570			4,293,643

Trading income (loss)		606,949			(1,533,510	)		(1,006,263	)		(7,388,138	)

Non-Trading income (loss):
Interest on Non-Trading reserve		2,876			2,194			7,900			5,369
Collections in excess of impaired value		-			-			16,024,600			2,748,048
Legal and administrative fees		204,053			(591,427	)		(906,638	)		(1,325,303	)
Management fees paid to US Bank		(100,104	)		(80,625	)		(261,850	)		(282,212	)
Non-Trading income (loss)		106,825			(669,858	)		14,864,012			1,145,902

Net income (loss)	$	713,774		$	(2,203,368	)	$	13,857,749		$	(6,242,236	)

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For the nine months ended September 30, 2010

UNAUDITIED

Unitholders' Capital (Trading)	Beneficial Owners - Trading Class A						Beneficial Owners - Trading Class B						Managing Owners - Trading Class A
	Units			Dollars			Units			Dollars			Units		Dollars

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

Unitholders' Capital (Trading)	Total Unitholders' Capital - Trading
	Units			Dollars

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

Unitholders' Capital (LLC Equity/Non-	Participating Owners-						Nonparticipating Owners-					Total Unitholders' Capital-
Trading)	LLC Equity/Non-Trading						LLC Equity/Non-Trading					LLC Equity/Non-Trading
	Units			Dollars			Units		Dollars			Units		Dollars

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

Total Unitholders Capital at September 30, 2010														$	58,241,409

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

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

September 30, 2010

(Unaudited)

(1)	General Information and Summary

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

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

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

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

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

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

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

(a)

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

(b)

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

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

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

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

(2)	Summary of Significant Accounting Policies

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

(a)	Basis of Presentation

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

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

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

(b)	Principles of Consolidation

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

(c)	Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gains on open contracts reflected in the consolidated statements of financial condition represent the difference between original contract amount and market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the consolidated financial statements. As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition. Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations. Gains or losses are realized when contracts are liquidated.

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

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

(d)	Ongoing Offering Costs

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

(e)	Foreign Currency Transactions

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

(f)	Use of Estimates

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

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

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

(3)

Fees

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

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

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

(4)	Income Taxes

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

(5)	Trading Activities and Related Risks

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

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

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

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

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

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

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

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

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

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

Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
	Amounts Received from			Balance of		Collections in Excess of			Cash Distributions to Non-Participating		Additional Units in Trust for Participating Owners
Date	RCM			Impaired Value		Impaired Value			Owners		Units		Dollars
12/29/06	$	10,319,318		$	6,643,944	$	-		$	4,180,958		54,914	$	5,154,711
04/20/07		2,787,629			3,856,315		-			-		-		-
06/07/07		265,758			3,590,557		-			-		-		-
06/28/07		4,783,640			-		1,193,083			-		-		-
07/03/07		5,654			-		5,654			-		-		-
08/29/07		-			-		-			2,787,947		23,183		1,758,626
09/19/07		2,584,070			-		2,584,070			-		-		-
12/31/07		2,708,467			-		2,708,467			-		-		-
03/28/08		1,046,068			-		1,046,068			-		-		-
04/29/08		-			-		-			2,241,680		10,736		1,053,815
06/26/08		701,148			-		701,148			-		-		-
12/31/08		769,001			-		769,001			-		-		-
06/29/09		2,748,048			-		2,748,048			-		-		-
12/30/09		1,102,612			-		1,102,612			-		-		-
05/19/10		1,695,150			-		1,695,150			-		-		-
06/04/10		14,329,450	*		-		14,329,450	*		-		-		-
08/01/10		-			-		-			16,076,112		40,839		3,928,806

Totals	$	45,846,013		$	-	$	28,882,751		$	25,286,697		129,672	$	11,895,958

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

(7)	Fair Value Measurements

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

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

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

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

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

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

	September 30, 2010
	Level 1		Level 2			Level 3		Total

Unrealized gain (loss) on open contracts:
Futures positions	$	1,876,265	$	-		$	-	$	1,876,265
Forward currency positions		-		(40,994	)		-		(40,994	)
Purchased options on futures contracts		142,800		-			-		142,800

Total fair value	$	2,019,065	$	(40,994	)	$	-	$	1,978,071

	December 31, 2009
	Level 1		Level 2			Level 3		Total

Unrealized gain (loss) on open contracts:
Futures positions	$	767,569	$	-		$	-	$	767,569
Forward currency positions		-		(563	)		-		(563	)

Total fair value	$	767,569	$	(563	)	$	-	$	767,006

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

(8)	Operations

Redemptions

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

Subscriptions

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

Commissions

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

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

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

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

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

(9)	Financial Highlights

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

	Class A						Class B						Class A						Class B
	Three months ended						Three months ended						Nine months ended						Nine months ended
	September 30,						September 30,						September 30,						September 30,
	2010			2009			2010			2009			2010			2009			2010			2009
Per share operating performance:
Net asset value of Trading units, beginning of period	$	99.96		$	110.27		$	103.00		$	111.38		$	102.84		$	119.39		$	104.91		$	119.39
Total Trading income (loss):
Trading gain (loss)		3.05			(0.32	)		2.90			(0.34	)		3.95			(4.82	)		4.17			(4.89	)
Investment income		0.04			0.02			0.04			0.02			0.08			0.07			0.09			0.07
Expenses		(2.24	)		(2.27	)		(1.54	)		(1.74	)		(6.06	)		(6.94	)		(4.77	)		(5.25	)
Trading income (loss)		0.85			(2.57	)		1.40			(2.06	)		(2.03	)		(11.69	)		(0.51	)		(10.07	)
Net asset value of Trading units, end of period	$	100.81		$	107.70		$	104.40		$	109.32		$	100.81		$	107.70		$	104.40		$	109.32

Total return:
Total return before incentive fees		0.85	%		(2.33	)%		1.36	%		(1.85	)%		(1.97	)%		(9.79	)%		(0.49	)%		(8.43	)%
Less incentive fee allocations		0.00	%		(0.04	)%		0.00	%		(0.04	)%		0.00	%		(0.05	)%		0.00	%		(0.05	)%
Total return		0.85	%		(2.37	)%		1.36	%		(1.89	)%		(1.97	)%		(9.84	)%		(0.49	)%		(8.48	)%

Ratios to average net assets:
Trading income (loss)		1.13	%		(2.37	)%		1.81	%		(1.88	)%		(1.90	)%		(10.59	)%		0.55	%		(9.17	)%
Expenses:
Expenses, less incentive fees		(1.98	)%		(2.08	)%		(1.51	)%		(1.58	)%		(6.01	)%		(6.17	)%		(4.56	)%		(4.72	)%
Incentive fees		0.00	%		(0.04	)%		0.00	%		(0.04	)%		0.00	%		(0.05	)%		0.00	%		(0.05	)%
Total expenses		(1.98	)%		(2.12	)%		(1.51	)%		(1.62	)%		(6.01	)%		(6.22	)%		(4.56	)%		(4.77	)%

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

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

(10)	Derivative Instruments and Hedging Activities.

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

Derivatives not designated as hedging instruments:

As of September 30, 2010

	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

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

As of December 31, 2009

	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

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

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

Trading gain (loss) for the following periods:

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

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

(11)	Subsequent Events

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

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

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

(a)	Capital Resources

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

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

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

(b)

Liquidity

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

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

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

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

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

(c)	Results of Operations

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

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

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

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

Fiscal Quarter ended September 30, 2010

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

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

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

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

Fiscal Quarter ended September 30, 2009

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

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

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

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

Fiscal Quarter ended June 30, 2010

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

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

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

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

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

Fiscal Quarter ended June 30, 2009

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

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

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

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

Fiscal Quarter ended March 31, 2010

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

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

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

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

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

Fiscal Quarter ended March 31, 2009

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

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

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

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

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

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

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

The Trust does not have any material contractual obligations.

Item 3. Quantitative and Qualitative Disclosures About Market Risk

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

Item 4T. Controls and Procedures

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

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

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

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

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

Item 1A. Risk Factors

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

Item 2. Unregistered Sales of Securities and Use of Proceeds

a) None

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

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

	Units Redeemed				Redemption Date NAV per Unit
Month	Class A		Class B		Class A		Class B
July		6,294		-	$	96.15	$	99.24
August		6,342		575	$	99.64	$	103.02
September		6,945		470	$	100.81	$	104.40

Total		19,581		1,045

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

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

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

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

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

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

Item 6. Exhibits

Exhibits

Index to Exhibits

Exhibit Number		Description of Document

3.01		Ninth Amended and Restated Declaration and Agreement of Trust of RJO Global Trust (the “Registrant”), dated as of September 1, 2010.1

3.03		Restated Certificate of Trust of the Registrant.2

10.01		Advisory Agreement, made as of October 1, 2010, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Dominion Capital Management Institutional Advisors, Inc.*

10.02		Advisory Agreement, made as of October 1, 2010, among RJO Global Trust, R.J. O’Brien Fund Management, LLC, and Trigon Investment Advisors, LLC*

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

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

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

*Confidential Treatment was requested with respect to the omitted portions of these exhibits.

1 Incorporated by reference herein from the exhibit of the same description filed on September 7, 2010 on Form 8-K.

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

SIGNATURES

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

RJO Global Trust

Date:	November 12, 2010

By:	R.J. O’Brien Fund Management, LLC
	Managing Owner

By:	/s/ Thomas J. Anderson
	Thomas J. Anderson
	Principal Financial Officer and duly authorized officer

Attached files

RJO GLOBAL TRUST Reports

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