RJO GLOBAL TRUST - FORM 10-K - EX-13.01

Attached files

file	filename
EX-10.08 - EX-10.08 - RJO GLOBAL TRUST	ex10-08.htm
EX-32.01 - EX-32.01 - RJO GLOBAL TRUST	ex32-01.htm
EX-10.04 - EX-10.04 - RJO GLOBAL TRUST	ex10-04.htm
EX-10.02 - EX-10.02 - RJO GLOBAL TRUST	ex10-02.htm
EX-10.07 - EX-10.07 - RJO GLOBAL TRUST	ex10-07.htm
EX-32.02 - EX-32.02 - RJO GLOBAL TRUST	ex32-02.htm
EX-10.09 - EX-10.09 - RJO GLOBAL TRUST	ex10-09.htm
EX-10.03 - EX-10.03 - RJO GLOBAL TRUST	ex10-03.htm
EX-10.10 - EX-10.10 - RJO GLOBAL TRUST	ex10-10.htm
EX-31.01 - EX-31.01 - RJO GLOBAL TRUST	ex31-01.htm
EX-31.02 - EX-31.02 - RJO GLOBAL TRUST	ex31-02.htm
EX-10.06 - EX-10.06 - RJO GLOBAL TRUST	ex10-06.htm
EX-10.05 - EX-10.05 - RJO GLOBAL TRUST	ex10-05.htm
10-K - 10-K - RJO GLOBAL TRUST	rjoglobal10k123115.htm
EX-14.01 - EX-14.01 - RJO GLOBAL TRUST	ex14-01.htm

Exhibit 13.01

Message from the Managing Owner

Dear Unitholder:

The RJO Global Trust (“Trust”) retains the services of RPM Risk and Portfolio Management Aktiebolag (“RPM”) to manage the Trust’s assets pursuant to RPM’s Evolving CTA Strategy. The strategy accesses trend following, fundamental, and short-term trading strategies using Commodity Trading Advisors (“CTAs”) having relative short track records and somewhat lower assets under management. These evolving managers have two to seven year track records with $20 million to $1 billion assets under management. RPM believes that the managers generally are able to access a broader array of markets more efficiently and operate more nimble business organizations. RPM’s research indicates that, on average, these managers have historically outperformed more established CTAs and, thus, this business phase is the most attractive period for CTAs from a risk/return perspective. RPM targets a 13% annual volatility for the Trust using this strategy.

In 2015, in a largely range bound and volatile market environment, the Trust delivered performance in line with industry benchmarks. In early 2015, major trends seen in the latter half of 2014 reversed forcefully, hurting performance, as divergence in economic conditions contracted. By mid-2015, markets entered crisis mode based on global growth concerns; CTAs were temporarily able to profit from these moves before markets reversed once again. The second half of the year was dominated by changing expectations toward the U.S. Federal Reserve’s first rate hike. Performance was mixed across sectors, strategies, and sub-strategies.

Throughout the year, the Trust allocated approximately 60% to trend following strategies. The weighting was lower earlier in the year and increased again in the third quarter 2015. Short-term trading strategies were underweighted while fundamental strategies received an increased allocation. The trend following component was beneficial; however, the diversifying strategies failed to add significant incremental benefit.

In 2015, the Trust experienced net losses due to profits in energies and fixed income being outweighed by losses in soft commodities and stock indices. Compared to established technical traders, evolving fundamental traders were quite successful in trading this year’s bond yields and the U.S. dollar. In 2015, the Trust’s trend-following managers had mixed performance while the short-term and fundamental traders ended the year negative.

RPM believes that the outlook for 2016 as a whole looks promising, as it expects that renewed divergence in monetary policies and growth rates in major regions should create profitable trading opportunities in currency and fixed income markets, in particular for managers with a relative value focus. RPM also believes that ongoing geopolitical tensions in Europe and the Middle East should create elevated volatility creating unique trading opportunities.

We thank you for your continued support.

Past performance is not indicative of future results.

/s/ Julie M. DeMatteo
Julie M. DeMatteo Chief Executive Officer and Director
R.J. O’Brien Fund Management, LLC Managing Owner RJO Global Trust

RJO GLOBAL TRUST

Table of Contents

Report of Independent Registered Public Accounting Firm – CF & Co., L.L.P.	41

Financial Statements:

Consolidated Statements of Financial Condition as of December 31, 2015 and 2014	42

Condensed Consolidated Schedules of Investments as of December 31, 2015 and 2014	43

Consolidated Statements of Operations, for the years ended December 31, 2015, 2014 and 2013	44

Consolidated Statement of Changes in Unitholders’ Capital, for the years ended December 31, 2015, 2014 and 2013	45

Notes to Consolidated Financial Statements	46

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Managing Owner and Beneficial Owners of RJO Global Trust and Subsidiaries:

We have audited the accompanying consolidated statements of financial condition, including the condensed consolidated schedules of investments, of RJO Global Trust and Subsidiaries (the “Trust”) as of December 31, 2015 and 2014 and the related consolidated statements of operations and changes in unitholders’ capital for each of the three years in the period ended December 31, 2015. These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of RJO Global Trust and Subsidiaries as of December 31, 2015 and 2014 and the results of their operations and changes in unitholders’ capital, for each of the three years in the period ended December 31, 2015, in conformity with U.S. generally accepted accounting principles.

/S/ CF & Co., L.L.P.
CF & Co., L.L.P.
Dallas, Texas
March 28, 2016

RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statements of Financial Condition

Assets
	December 31,		December 31,
	2015		2014
Assets:
Equity in commodity Trading accounts:
Cash on deposit with broker	$	5,323,944	$	8,868,386
Unrealized gain on open contracts		3,414		481,931
Total due from broker		5,327,358		9,350,317

Cash and cash equivalents on deposit with affiliate		1,449,723		512,044
Cash on deposit with bank		92,621		577,715
Interest receivable		304		85
Receivable from US Bank - see Note (1)		20,248		-
Cash on deposit with bank - Non-Trading		-		1,488,635

Total Assets	$	6,890,254	$	11,928,796

Liabilities and Unitholders' Capital

Liabilities:
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received $7,356 and $16,012, respectively)	$	8,059	$	15,976
Accrued commissions		13,781		22,388
Accrued management fees		14,747		21,207
Accrued incentive fees		12,324		126,277
Accrued operating expenses		170,958		175,834
Accrued offering expenses		328		18,660
Subscription received in advance		-		500,000
Redemptions payable-Trading		29,009		289,671
Accrued legal fees- Non-Trading		-		2,000
Accrued management fees to U.S. Bank-Non-Trading		-		11,407
Distribution payable - Non-Trading - see Note (1)		20,248		258,800
Total liabilities		269,454		1,442,220



Unitholders' capital:
Unitholders' capital (Trading):
Beneficial owners
Class A (110,812 and 135,669 units outstanding at December 31, 2015 and December 31, 2014, respectively)		6,437,129		9,156,293
Class B (955 and 1,021 units outstanding at December 31, 2015 and December 31, 2014, respectively)		63,836		77,713
Managing owner (535 Class A units outstanding at December 31, 2015 and December 31, 2014, respectively)		31,079		36,107

Unitholders' capital (LLC equity/Non-Trading):
Participating owners (0 and 115,497 units outstanding at December 31, 2015 and December 31, 2014, respectively)		-		61,804
Nonparticipating owners (0 and 2,157,791 units outstanding at December 31, 2015 and December 31, 2014, respectively)		-		1,154,659

Total unitholders' capital		6,532,044		10,486,576

Non-Controlling Interests		88,756		-

Total Capital		6,620,800		10,486,576

Total Liabilities and Unitholders' Capital	$	6,890,254	$	11,928,796

Net asset value per unit:
Trading:
Class A	$	58.09	$	67.49
Class B	$	66.84	$	76.11
LLC equity/Non-Trading		-	$	0.54

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARIES

Condensed Consolidated Schedule of Investments

	December 31, 2015						December 31, 2014
	Percentage of Net Assets			Fair value			Percentage of Net Assets			Fair value

Long Positions
Futures Positions
Agriculture		-0.17	%	$	(10,975	)		-0.50	%	$	(52,553	)
Currency		0.06	%		4,031			0.00	%		-
Energy		-0.43	%		(28,234	)		-0.12	%		(12,759	)
Indices		-0.05	%		(3,318	)		0.00	%		(175	)
Interest rates		-0.16	%		(10,506	)		1.59	%		166,261
Metals		0.00	%		-			-0.01	%		(1,425	)

Forward Positions
Currency		0.00	%		-			0.26	%		27,671

Total long positions on open contracts				$	(49,002	)				$	127,020

Short Positions
Futures Positions
Agriculture		-0.26	%	$	(17,425	)		0.89	%	$	93,077
Currency		0.33	%		21,518			0.38	%		39,919
Energy		0.89	%		59,088			2.05	%		215,346
Indices		-0.23	%		(15,231	)		0.00	%		-
Interest rates		0.03	%		1,694			0.00	%		-
Metals		0.04	%		2,772			0.43	%		44,785

Forward Positions
Currency		0.00	%		-			-0.36	%		(38,216	)

Total short positions on open contracts				$	52,416					$	354,911

Total unrealized gain on open contracts				$	3,414					$	481,931

Short put options on futures contract
Agriculture (premiums received - $0 and $8,212, respectively)		0.00	%	$	-			-0.11	%	$	(11,963	)
Interest rates (premiums received - $4,356 and $0, respectively)		-0.11	%		(7,440	)		0.00	%		-

Total short put options on futures contracts				$	(7,440	)				$	(11,963	)

Short call options on futures contracts
Agriculture (premiums received - $0 and $7,800, respectively)		0.00	%	$	-			-0.04	%	$	(4,013	)
Interest rates (premiums received - $3,000 and $0, respectively)		-0.01	%		(619	)		0.00	%		-

Total short call options on futures contracts				$	(619	)				$	(4,013	)

Total options written on futures contracts				$	(8,059	)				$	(15,976	)

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statements of Operations

	Years Ended December 31,
	2015			2014			2013

Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	336,809		$	881,958		$	(200,091	)
Change in unrealized gain (loss) on open positions		(479,256	)		(280,669	)		432,476
Realized gain (loss) on investment in
Global Diversified Managed Futures Portfolio LLC		-			-			(12,749	)
Foreign currency transaction (loss)		(22,435	)		(82,790	)		(23,147	)
Total Trading gain (loss)		(164,882	)		518,499			196,489

Net investment income (loss):
Interest income		2,532			22,022			199,885
Realized gain (loss) on fixed income securities		-			(51,697	)		(114,591	)
Change in unrealized gain (loss) on fixed income securities		-			36,503			(34,582	)
Total net investment gain (loss)		2,532			6,828			50,712

Expenses:
Commissions - Class A		330,955			536,175			777,646
Commissions - Class B		1,561			5,768			12,350
Commissions - Class C		865			-			-
Commissions - Non-controlling interests		1,915			-			-
Advisory fees		-			-			28,101
Management fees		218,826			282,920			356,452
Incentive fees		99,066			211,404			118,791
Investment Manager Incentive fees		2,224			-			-
Ongoing offering expenses		35,200			57,000			46,500
Operating expenses		337,899			433,250			438,000
Total expenses		1,028,511			1,526,517			1,777,840

Trading (loss)		(1,190,861	)		(1,001,190	)		(1,530,639	)

Less: Operations attributed to non-controlling interests		(11,244	)		-			-

Trading income (loss) net of non-controlling interests		(1,179,617	)		(1,001,190	)		(1,530,639	)

Non-Trading income (loss):
Interest on Non-Trading reserve		25			264			370
Collections in excess of impaired value		-			192,445			240,556
Legal and administrative fees		(301,763	)		(19,882	)		(256,885	)
Management fees paid to US Bank		(451,942	)		(146,588	)		(220,905	)
Non-Trading income (loss)		(753,680	)		26,239			(236,864	)

Net income (loss)	$	(1,933,297	)	$	(974,951	)	$	(1,767,503	)

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statement of Changes in Unitholders’ Capital

For the years ended December 31, 2015, 2014 and 2013

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

Balances at December 31, 2012		274,403		$	21,106,894			8,103		$	675,323			-		$	-
Trading income (loss)		-			(1,498,416	)		-			(29,187	)		-			-
Transfers from Class A to Class B		(156	)		(10,854	)		142			10,854			-			-
Unitholders redemptions		(83,789	)		(6,028,261	)		(3,681	)		(297,641	)		-			-
Balances at December 31, 2013		190,458			13,569,363			4,564			359,349			-			-
Trading income (loss)		-			(970,141	)		-			(29,039	)		-			-
Unitholders redemptions		(54,789	)		(3,442,929	)		(3,543	)		(252,597	)		-			-
Balances at December 31, 2014		135,669			9,156,293			1,021			77,713			-			-
Trading income (loss)		-			(1,185,579	)		-			(9,030	)		-			20,020
Unitholders' contributions		-			-			-			-			6,569			500,000
Unitholders redemptions		(24,857	)		(1,533,585	)		(66	)		(4,847	)		(6,569	)		(520,020	)
Balances at December 31, 2015		110,812		$	6,437,129			955		$	63,836			-		$	-

Unitholders' Capital (Trading)	Managing Owners - Trading Class A						Total Unitholders' Capital - Trading						Non-Controlling Interests
	Units			Dollars			Units			Dollars			Units			Dollars

Balances at December 31, 2012		535		$	41,153			283,041		$	21,823,370			-		$	-
Trading income (loss)		-			(3,036	)		-			(1,530,639	)		-			-
Transfers from Class A to Class B		-			-			(14	)		-			-			-
Unitholders' redemptions		-			-			(87,470	)		(6,325,902	)		-			-
Balances at December 31, 2013		535			38,117			195,557			13,966,829			-			-
Trading income (loss)		-			(2,010	)		-			(1,001,190	)		-			-
Unitholders' redemptions		-			-			(58,332	)		(3,695,526	)		-			-
Balances at December 31, 2014		535			36,107			137,225			9,270,113			-			-
Trading income (loss)		-			(5,028	)		-			(1,179,617	)		-			(11,244	)
Unitholders' contributions		-			-			6,569			500,000			-			100,000
Unitholders' redemptions		-			-			(31,492	)		(2,058,452	)		-			-
Balances at December 31, 2015		535		$	31,079			112,302		$	6,532,044			-		$	88,756

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

Balances at December 31, 2012		237,663			149,728			2,035,625			1,277,360			2,273,288			1,427,088
Non-Trading income (loss)		-			(22,145	)		-			(214,719	)		-			(236,864	)
Reallocation due to Redemptions		(66,429	)		(37,931	)		66,429			37,931						-
Unitholders' distribution		-			-			-			-			-			-
Balances at December 31, 2013		171,234			89,652			2,102,054			1,100,572			2,273,288			1,190,224
Non-Trading income (loss)		-			(592	)		-			26,831			-			26,239
Reallocation due to Redemptions		(55,737	)		(27,256	)		55,737			27,256			-			-
Unitholders' distribution		-			-			-			-			-			-
Balances at December 31, 2014		115,497			61,804			2,157,791			1,154,659			2,273,288			1,216,463
Non-Trading income (loss)		-			(36,957	)		-			(716,723	)		-			(753,680	)
Reallocation due to Redemptions		(21,106	)		(5,632	)		21,106			5,632			-			-
Unitholders' distribution - see Note (1)		(94,391	)		(19,215	)		(2,178,897	)		(443,568	)		(2,273,288	)		(462,783	)
Balances at December 31, 2015		-		$	-			-		$	-			-		$	-

Total Unitholders Capital at December 31, 2015																$	6,620,800

	Unitholders' Capital Trading Class A			Unitholders' Capital Trading Class B			Unitholders' Capital Trading Class C		Unitholders' Capital (LLC Equity/Non-Trading)

Net asset value per unit at December 31, 2014	$	67.49		$	76.11		$	-	$	0.54
Net change per unit		(9.40	)		(9.27	)		-		(0.54	)
Net asset value per unit at December 31, 2015	$	58.09		$	66.84		$	-	$	-

See accompanying notes to consolidated financial statements.

Notes to Consolidated Financial Statements –

December 31, 2015, 2014, 2013

(1) General Information and Summary

The RJO Global Trust (the “Trust”), is a Delaware statutory trust organized on November 12, 1996 under the Delaware Statutory Trust Act. The business of the Trust is the speculative trading of commodity interests, including U.S. and international futures, spot and forward contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, as well as securities and any rights pertaining thereto and any options thereon, pursuant to the trading instructions of multiple independent commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).

R.J. O’Brien Fund Management, LLC, the managing owner of the Trust (“RJOFM” or the “Managing Owner”), acquired the managing owner interest in the Trust from Refco Commodity Management, Inc. (“RCMI”) on November 30, 2006. The Managing Owner of the Trust was initially formed as an Illinois corporation in November 2006, and became a Delaware limited liability company in July of 2007. The Managing Owner has been registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and has been a member in good standing of the National Futures Association (“NFA”) in such capacity, since December 1, 2006. The Managing Owner is registered as a commodity pool operator under the Commodity Exchange Act, as amended (“CE Act”), and is responsible for administering the business and affairs of the Trust. The Managing Owner is an affiliate of R.J. O’Brien & Associates LLC, the clearing broker for the Trust (“RJO” or the “Clearing Broker”) through its investment in RJ OASIS (as defined below).

Units of beneficial ownership of the Trust (“units”) commenced selling on April 3, 1997. Effective July 1, 2011, the Managing Owner discontinued the public offering of the units and began offering the units on a private placement basis only. The Trust filed a Post-Effective Amendment to its Registration Statement on Form S-1 with the Securities and Exchange Commission (the “SEC”) on July 5, 2011 to deregister the remaining units that were unsold under the public offering. The Post-Effective Amendment was declared effective by the SEC on July 8, 2011. Effective January 15, 2014, the Managing Owner began offering Class C and Class D units. The Class A and Class B units are no longer offered.

Pursuant to an Investment Management Agreement dated August 30, 2013 (the “Investment Management Agreement”), the Managing Owner appointed RPM Risk & Portfolio Management Aktiebolag, a limited liability company organized under the laws of Sweden, as investment manager to the Trust (“RPM” or the “Investment Manager”). The Trust remains a multi-advisor commodity pool where trading decisions for the Trust are delegated to the Trading Advisors, representing the Investment Manager’s “Evolving Manager Program”. RPM is responsible for selecting, monitoring, and replacing each commodity trading advisor available for its Evolving Manager Program. RPM is also responsible for the Trust’s allocations to each Trading Advisor through the Trust’s investment in RJ OASIS (as defined below). RPM may also add, remove or replace any Trading Advisor without the consent of or advance notice to investors. Investors will be notified of any material change in the basic investment policies or structure of the Trust.

The Evolving Manager Program seeks to identity and select commodity trading advisors with shorter track records and with smaller assets under management who, in the opinion of the Investment Manager, appear to have potential for long-term over-performance relative to their respective peer group. RPM may add, delete or modify such categories of investment strategies in line with its investment objective and policy. The strategies include three broad based categories that are described as follows (each, an “Eligible Strategy”):

Trend Following. A strategy that is often classified as “long volatility” because it tries to take advantage of large movements or “trends” in prices. Trading programs are often fully systematic with limited application of discretion using a wide range of technical analysis methods to determine when trends occur.

·	Short-Term Trading. A strategy that refers to all futures and currency investment strategies with a trading horizon ranging from intraday to less than a month, which seeks to exploit short-term price inefficiencies. This is typically done using technical analysis.

Fundamental Trading. A strategy that attempts to predict the future direction of markets based on macroeconomic data with less focus on price data alone. A fundamental approach seeks to find opportunities where price does not properly reflect the fundamental valuation of the underlying asset, i.e. its intrinsic value. A fundamental valuation can be done using various approaches but the most common methodologies are macroeconomic analysis and relative valuation.

The Investment Manager will, in its discretion, determine the minimum or maximum target allocation or allocation range, or the manner in which to rebalance the Trust or adjust relative weightings of the Trust. RPM has complete flexibility in allocation and reallocating the Trust’s capital in any manner that it may deem appropriate. There can be no assurance as to which factors the Investment Manager may consider in making capital allocations for the Trust, or as to which allocation the Investment Manager may make.

The Trust’s assets are currently allocated to O’Brien Alternative Strategic Investment Solutions, LLC (“RJ OASIS”), a Delaware series limited liability company operated by RJOFM. Each “series” of RJ OASIS feeds into a separate trading company established to facilitate trading by a particular Trading Advisor (each, a “Trading Company” and collectively, the “Trading Companies”). The Trading Companies are operated by RJOFM.

On January 31, 2015, the Trust entered into the Tenth Amended and Restated Declaration and Agreement of Trust (the “Trust Agreement”) to aggregate comments made through previous amendments to the Ninth Amended and Restated Declaration and Agreement of Trust, as well as to: (i) make certain clarifying edits; (ii) reflect certain updates to the language regarding the fees and expenses of the Trust; and (iii) revise language regarding certain regulatory requirements of the Trust that are no longer applicable. None of the foregoing items are expected to significantly affect the unitholders.

As of December 31, 2015, prior to quarter-end reallocation, RPM has delegated trading decisions for the Trust to five independent Trading Advisors: Revolution Capital Management, LLC (“RCM”), PGR Capital LLP (“PGR”), Centurion Investment Management, LLC (“CIM”), ROW Asset Management, LLC (“ROW”), Turning Wheel Capital, Inc. (“TWC”) and Claughton Capital, LLC (“Claughton”), pursuant to advisory agreements executed between the Managing Owner, and, as applicable, each Trading Company and each Trading Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

The Advisory Agreements provide that each Trading Advisor has discretion in and responsibility for the selection of the Trading Company’s commodity transactions with respect to that portion of the Series’ assets allocated to it. As of December 31, 2015, prior to quarter-end reallocation, RCM was managing 18.34%, PGR 19.92%, CIM 14.67%, ROW 16.44%, TWC 5.03% and Claughton 2.85% of the Trust’s assets, respectively. Approximately 22.75% of the Trust’s assets were not allocated to any Trading Advisor.

The Trust has no officers, directors or employees.

RJO is a “futures commission merchant,” the Managing Owner is a “commodity pool operator” and the Trading Advisors to the Trust are “commodity trading advisors,” as those terms are used in the CE Act. As such, they are registered with and subject to regulation by the CFTC and are each a member of NFA in such respective capacities. R.J. O’Brien Securities, LLC, an affiliate of RJOFM and the lead selling agent for the Trust, is registered as a broker-dealer with the SEC, and is a member of the Financial Industry Regulatory Authority (“FINRA”).

The Managing Owner is responsible for the preparation of monthly and annual reports to the beneficial owners of the Trust (the “Beneficial Owners”), filing reports required by the CFTC, the NFA, the SEC and any state agencies having jurisdiction over the Trust; calculation of the Trust’s net asset value (“NAV”) (meaning the total assets less total liabilities of the Trust) and directing payment of the management and incentive fees payable to the Investment Manager and Trading Advisors under the Investment Management Agreement and Advisory Agreements, as applicable.

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 NAV to less than $2,500,000; (8) a decline in the NAV 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.

A portion of the Trust’s net assets are deposited in the Trust’s accounts with RJO, the Trust’s clearing broker and currency dealer. For U.S. dollar deposits, 100% of interest earned on the Trust’s assets, calculated by the average four-week Treasury bill rate, is paid to the Trust. For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points. Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO. On October 6, 2010, the Managing Owner appointed RJO Investment Management LLC (“RJOIM”), an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells Fargo Bank, N.A. (“Wells”). As of December 31, 2015, Wells held approximately $1,450,000 of the Trust’s assets. 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.

As of December 31, 2015, accounting and transfer agency services for the Trust are provided by NAV Consulting, Inc., the Trust’s administrator.

In 2005, certain assets held by the Trust’s prior clearing broker, Refco Capital Markets, LTD (“REFCO, LTD”), were determined to be illiquid. On October 31, 2005, $57,544,206 of equity was moved to a separate non-trading account (the “Non-Trading Account”) and 2,273,288 in substitute units were issued to the unitholders at that time, pro rata to their share in the Trust. At December 31, 2005, the illiquid assets were determined to be impaired and were reduced by $39,580,944 for impairment, based on management’s estimate at that time.

Through 2006, the Trust received $10,319,318 from the prior clearing broker in bankruptcy court and distributed $9,335,669 to unitholders in the manner as described in (a) and (b) below.

Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against REFCO, LTD, and all Non-Trading Accounts were transferred to the LLC. Any new funds received from REFCO, LTD by the LLC will be distributed to unitholders who were investors in the Trust at the time of the bankruptcy of REFCO, LTD and Refco, Inc. U.S. Bank National Association (“US Bank”) is the manager of the LLC. US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as explained above, as follows:

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

(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.

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

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

Effective as of June 15, 2015 (the “Termination Date”), the LLC was dissolved by US Bank. US Bank effected the dissolution based upon their belief that substantially all of the LLC’s claims had been liquidated and the related proceeds had been distributed to the unitholders, and that the LLC was not likely to receive further significant recoveries related to such claims. Accordingly, the LLC has ceased to carry on its business as of the Termination Date except insofar as may be necessary for the winding up of its business. As of the Termination Date, the LLC has taken full account of its assets and liabilities, and has made payment or has otherwise provided for all of its remaining debts and liabilities. US Bank has established a contingency reserve with all remaining funds from the LLC in its possession in the approximate amount of $475,000 to pay for any future wind up expenses of, or other claims made against, the LLC on or prior to June 15, 2017 (the “Reserve Termination Date”). To the extent no claims or obligations of the LLC remain outstanding as of the Reserve Termination Date (as determined in US Bank’s reasonable discretion), US Bank will distribute the then remaining funds to the unitholders, provided, however, if the amount of remaining funds available for distribution does not significantly exceed the cost of making such distribution, US Bank reserves the right to donate the remaining amounts to a nationally recognized charity.

Accordingly, the LLC/Non-trading unitholders capital accounts were distributed to US Bank on the Termination Date. Amounts estimated to be due to Participating Owners aggregating $20,248 are reflected as a distribution payable and a receivable from US Bank in the Consolidated Statements of Financial Condition.

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

(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 consolidated financial statements of the Trust have been prepared in accordance with accounting principles generally accepted in the United States of America. While the Trust is not registered, and is not required to be registered as an investment company under the Investment Company Act of 1940, as amended, it meets the definition of an investment company within the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services - Investment Companies, and follows the accounting and reporting guidance therein.

(b) Principles of Consolidation

The accompanying consolidated financial statements include the accounts of the Trust, its wholly-owned subsidiaries: the LLC through the Termination Date (see Note (1) above), the OASIS Centurion Investment Mgmt Series, OASIS Turing Wheel Capital Series, and OASIS Claughton Capital Series. The consolidated financial statements also include the controlling and majority equity interest in the OASIS Revolution Capital Mgmt Series, OASIS PGR Capital Series and OASIS ROW Asset Mgmt Series. Interests in such series of RJ OASIS not wholly-owned by the Trust are shown as non-controlling interests. All material intercompany transactions have been eliminated upon consolidation.

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on their trade date. All such transactions are recorded on a mark-to-market basis and measured at fair value daily. Unrealized gains on open contracts reflected in the consolidated statements of financial condition represent the difference between original contract amount and fair 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 reporting period 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 write (sell) and 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 writes an option, the premium received is recorded as a liability in the statement of financial condition and measured at fair value daily. When the Trust purchases an option, the premium paid is recorded as an asset in the consolidated statements of financial condition and measured at fair value daily. Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the consolidated statements of operations. When a written option expires or the Trust enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as a component of realized gain (loss) on closed positions. 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.

For each series of RJ OASIS in which the Trust invests, that portion of the Trust’s net assets are deposited into an account of the relevant Trading Company held at RJO, the clearing broker and currency dealer for each Trading Company. For U.S. dollar deposits, 100% of interest earned on the series’ assets, calculated by the average four-week Treasury bill rate, is paid to the series. For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points. Any amounts received by RJO in excess of amounts paid to the series are retained by RJO. On October 6, 2010, the Managing Owner appointed RJO Investment Management LLC (“RJOIM”), an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells Fargo Bank, N.A. (“Wells”). As of December 31, 2015, Wells held approximately $1,450,000 of the Trust’s assets. 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.

Fixed income securities are recorded at fair value, with changes in fair value recorded in the statement of operations as unrealized gain (loss) on fixed income securities. Realized gains (losses) from liquidation of fixed income securities are determined on first-in, first-out (FIFO) basis. Premiums and discounts on securities purchased are amortized over the lives of the respective instruments. Interest income is recognized on the accrual basis.

(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 accrued monthly.

(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 REFCO, LTD at December 31, 2005, based on management’s estimate of fair value at that time. Subsequent recoveries from REFCO, LTD were credited against the then book value of the claim. On June 28, 2007, the Trust’s cumulative recoveries from REFCO, LTD exceeded the book value of the impaired assets held at REFCO, LTD, 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. As part of the winding down of the LLC, US Bank, as Manager of the LLC, has taken into full account the LLC’s liabilities and assets, and has made payment and otherwise provided for all remaining LLC’s debits and liabilities. See Note (6) for further details.

(h) Recent Pronouncements

On May 28, 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers. The ASU will replace most existing revenue recognition guidance in U.S. GAAP when it becomes effective. The standard permits the use of either the retrospective or cumulative effect transition method. In July 2015, the FASB voted to delay the effective date of this ASU by one year. The ASU will now be effective commencing with the Trust’s quarter ending March 31, 2018. Early adoption of this ASU is allowed no sooner than the original effective date. The Trust has not yet selected a transition method nor has it determined the effect of the standard on its ongoing financial reporting.

In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements - Going Concern: Disclosures of Uncertainties about an Entity’s Ability to Continue as a Going Concern, which requires management to evaluate whether there are conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern within one year after the date that the financial statements are issued or are available to be issued. This ASU also requires management to disclose certain information depending on the results of the going concern evaluation. The provisions of this ASU are effective for annual periods ending after December 15, 2016, and for interim and annual periods thereafter. Early adoption is permitted. This amendment is applicable to the Trust beginning in the first quarter of fiscal year 2017. The adoption of this standard is not expected to have a material impact on the consolidated financial statements.

In February 2015, the FASB issued ASU 2015-02, Amendments to the Consolidation Analysis. ASU 2015-02 amends the consolidation considerations when evaluating certain limited partnerships, variable interest entities and investment funds. The ASU is effective for the Trust in the first quarter of 2016 and early adoption is permitted. The guidance also requires retrospective or modified retrospective application to all prior periods presented. The Trust does not expect adoption of this ASU to have a material impact on its consolidated financial statements.

In May 2015, the FASB issued ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU 2015-07 removes the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the NAV per share practical expedient. ASU 2015-07 is effective for the Trust in the first quarter of 2016, with early adoption permitted. The guidance also requires retrospective application to all prior periods presented. The Trust does not expect adoption of this ASU to have a material impact on its consolidated financial statements.

(3) Fees

Management fees are accrued and paid monthly by the relevant series’ Trading Company. Incentive fees are accrued monthly and paid quarterly, as applicable, by the relevant series’ Trading Company. Trading decisions for the period of these financial statements were made by the Trading Advisors.

Pursuant to the Trust Agreement, the Trust pays the Managing Owner a fee of 0.50% of the Trust’s month-end net assets on an annual basis. The Managing Owner fee was not paid on the LLC’s net assets.

Pursuant to the Investment Management Agreement, the Trust pays RPM a monthly management fee at a rate of 0.0625% (a 0.75% annual rate) of the Trust’s month-end net asset calculated after determined and before reduction for any RPM management fees then being calculated and all other fees and expenses as of such month end, and before giving effect to any subscriptions for units in the Trust made as of the beginning of the month immediately following such month end and to any distributions or redemptions accrued during or as of such month end. These management fees are not paid on the LLC’s net assets.

Pursuant to the Investment Management Agreement, RPM will receive from the Class C and D units a quarterly incentive fee of 10% of any “New Appreciation”, if any, of any New Assets. “New Assets” are that portion of the assets contributed to the Trust from the date of the Investment Management Agreement. New Appreciation in any quarter is equal to the amount by which the net asset value of the New Assets, prior to reduction for any accrued RPM performance fee, but after reduction for all other fees and expenses allocable to the New Assets (including the RPM management fee and management and incentive fees paid to the Trading Advisors, as described below), exceeds the cumulative trading profit as of any previous calendar quarter-end. Interest income shall not be taken into account in calculating New Appreciation. This incentive fee is not paid on the LLC’s capital appreciation (if any).

Pursuant to the Trust’s agreements with the Trading Advisors, each Trading Advisor receives a monthly management fee at the rate ranging from 0.042% to 0.083% (a 0.5% to 1% 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’s net assets.

Pursuant to its Advisory Agreement, each Trading Advisor may also receive from the relevant series’ Trading Company a quarterly incentive fee ranging from 15% to 20% of the “New Trading Profit,” if any, of the Trust. The incentive fee is based on the performance of each Trading Advisor’s portion of the assets allocated to them. 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. These incentive fees are not paid on the LLC’s capital appreciation (if any).

For a description of the fees paid by the Trust to RJOIM, the Trust’s cash manager, see Note (10).

(4) Income Taxes

It is expected that that the Trust will be treated as a “partnership” for both U.S. federal and state tax purposes. As such, no provision for U.S. federal income taxes has been made in the accompanying consolidated financial statements as each beneficial owner is responsible for reporting income (loss) based on its pro rata share of the profits or losses of the Trust. The only significant differences in financial and income tax reporting basis are ongoing offering costs.

The Trust files income tax returns in the U.S. federal jurisdiction and in various state and local jurisdictions. The Trust’s U.S. federal income tax returns for all tax years ended on or after December 31, 2012, remain subject to examination by the Internal Revenue Service. The Trust’s state and local income tax returns are subject to examination by the respective state and local authorities over various statutes of limitations, generally ranging from three to five years from the date of filing.

(5) Trading Activities and Related Risks

The Trust, through its indirect investment in the Trading Companies, engages in the speculative trading of U.S. and international futures contracts, options, and forward contracts (collectively derivatives). These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy. The Trading Companies are exposed to both market risk - the risk arising from changes in the market value of the contract - 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 initial and on-going margin deposits with an FCM. 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 customer’s pro rata share of segregated funds. It is possible that the recovered amount could be less than the total of cash and other property deposited by the customer.

The Trust, through its indirect investment in the Trading Companies, has cash on deposit with the FCM 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 counterparty non-performance.

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

A Trading Company, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Trading Company may not be able to enter into a closing transaction because of an illiquid market.

The Trading Companies may purchase exchange-traded options. As such, the relevant Trading Company 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 Trading Companies to a risk of loss limited to the premiums paid.

Net trading results from derivatives for the years ended December 31, 2015, 2014, and 2013, respectively, are reflected in the consolidated statements of operations and are equal to the gain or loss from trading less brokerage commissions. Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts, options and forward contracts through its indirect investment with the Trading Companies.

The Trust, through its indirect investment in the trading Companies, invests its margin in fixed income securities as permitted by CFTC regulations regarding acceptable securities for investment of segregated assets and the RJOIM agreement with the Trust. Such acceptable securities, include, but are not limited to, U.S. Treasury and government agencies’ securities, purchase agreements collateralized by U.S. Treasury and government agencies, corporate debt securities, and bank debt securities. The Trust’s total investment in corporate debt securities, bank deposit securities, and certificate of deposits combined cannot exceed 40% of the Trust’s total assets.

The Beneficial Owners bear the risk of loss only to the extent of the market value of their respective investments in the Trust.

See Note (11) for further details on Derivative Instruments and Hedging Activities.

(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 REFCO, LTD plus $1,000,000 in cash, were transferred to a Non-Trading account, as explained in Note 2(g). On December 31, 2005 the $56,544,206 of assets held at REFCO, LTD 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 REFCO, LTD and distributions to redeemed and continuing unitholders.

Recoveries from REFCO, LTD, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at REFCO, LTD
	Amounts Received from			Balance of		Collections in Excess of			Cash Distributions to Non-Participating		Additional Units in Trust for Participating Owners
Date	REFCO LTD			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
10/15/10		282,790	*		-		282,790	*		-		-		-
12/30/10		563,163	*		-		563,163	*		-		-		-
06/02/11		343,664	*		-		343,664	*		-		-		-
08/30/11		1,328,832	*		-		1,328,832	*		-		-		-
12/01/11		-			-		-			3,689,555		6,168		561,489
10/31/12		404,908	*		-		404,908	*		-		-		-
12/05/12		294,875	*		-		294,875	*		-		-		-
08/05/13		240,556	*		-		240,556	*		-		-		-
12/12/14		192,445	*		-		192,445	*		-		-		-

Totals	$	49,497,246		$	-	$	32,533,984		$	28,976,252		135,840	$	12,457,447

*The collections on June 4, 2010 were from a settlement agreement (the “Settlement Agreement”) reached with Cargill, Inc. and Cargill Investors Services, Inc. (together, “Cargill”). The gross collections of $15,300,000 on June 4, 2010, were reduced by $970,550, which represented Cargill’s percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill’s percentage of distributions at 57.25% of the gross collections.

(7) Fair Value Measurements

In accordance with the Fair Value Measurements Topic of the Financial Accounting Standards Board Accounting Standards 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 any 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, options on forward currency contracts and fixed income securities that are valued 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 December 31, 2015 and December 31, 2014, 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 Trust’s exchange-traded futures contracts and options on futures contracts are valued based on quoted prices (unadjusted) in active markets for identical assets or liabilities. The Trust’s forward currency contracts and options on forward currency contracts are based on third-party quoted dealer values on the interbank market, based on similar assets or liabilities. The Trust’s fixed income securities are valued using inputs that are observable for the asset or liability, including prices of similar fixed income securities or present values of expected future cash flow models.

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 December 31, 2015 and 2014, respectively:

	December 31, 2015
	Level 1			Level 2		Level 3		Total
Assets
Unrealized gain on open contracts:
Futures positions	$	3,414		$	-	$	-	$	3,414
		3,414			-		-		3,414
Liabilities
Options written on futures contracts		(8,059	)		-		-		(8,059	)
		(8,059	)		-		-		(8,059	)

Total fair value	$	(4,645	)	$	-	$	-	$	(4,645	)

	December 31, 2014
	Level 1			Level 2			Level 3		Total
Assets
Unrealized gain (loss) on open contracts:
Futures positions	$	492,477		$	-		$	-	$	492,477
Forwards currency positions		-			(10,546	)		-		(10,546	)
		492,477			(10,546	)		-		481,931
Liabilities
Options written on futures contracts		(15,976	)		-			-		(15,976	)
		(15,976	)		-			-		(15,976	)

Total fair value	$	476,501		$	(10,546	)	$	-	$	465,955

(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 based on the net asset value per unit on such date on five business days’ written notice to NAV Consulting, 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. The Trust Agreement contains a full description of redemption and distribution policies.

Subscriptions

Investors that are eligible to participate in the private offering of the units may purchase units in the Trust pursuant to the terms of the Trust’s Confidential Private Placement Memorandum and disclosure document (the “Memorandum”) and a signed subscription form. The Trust Agreement and the Memorandum 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 on a per trade (‘half-turn”) basis, in addition to any transactional (floor brokerage, give-up charges, NFA, clearing and exchange) fees are typically paid to the clearing broker at the time of the initial purchase (or sale) and again at the subsequent sale (or purchase) of a commodity futures contract. These “half-turn commission and fees” are charged to expense when incurred.

“Commission and fees” included the following across each class of units (1):

Recipient	Nature of Payment	Class A Units			Class B Units			Class C Units			Class D Units (2)
Managing Owner	Managing Owner Fee		0.50	%		0.50	%		0.50	%		0.50	%
Selling Agents	Selling Commission		2.00	%		0.00	%		0.00	%		2.00	%
Selling Agents	Selling Commission (initial sales charge) (3)		0.00	%		0.00	%		0.00	%		2.00	%
Managing Owner	Wholesale Fee (4)		0.00	%		0.00	%		0.35	%		0.35	%
Clearing Broker	Clearing, NFA and exchange fees (approximately) (5)		1.83	%		1.83	%		1.83	%		1.83	%

			4.33	%		2.33	%		2.68	%		6.68	%

(1) The above costs, fees and expenses are reflected in the commission by class line on the consolidated statement of operations. Commissions were not paid with respect to the LLC’s net assets.

(2) As of December 31, 2015, no Class D units had been sold.

(3) Class D units may be subject to an initial sales charge of up to 2.00% of the subscription amount upon investment.

(4) The Class C and Class D units are subject to a wholesaling fee of .35% to the Managing Owner to compensate agents who may facilitate distribution of such units.

(5) Fees are charged as actually incurred.

(9) Financial Highlights

The following financial highlights show the Trust’s financial performance of the Trading units for the periods ended December 31, 2015, 2014 or 2013. 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’s Trading units taken as a whole. As of December 31, 2015, no Class D units had been sold and, therefore, the Trust’s financial performance with respect to the Class D units is not reflected below.

	Class A									Class B									Class C*
	2015			2014			2013			2015			2014			2013			2015			2014		2013
Per share operating performance:
Net asset value of Trading units, beginning of period	$	67.49		$	71.25		$	76.92		$	76.11		$	78.74		$	83.34		$	-		$	-	$	-
Total Trading income (loss):
Trading gain (loss)		(1.38	)		5.31			1.37			(1.59	)		6.08			1.53			-			-		-
Investment income		0.02			0.04			0.20			0.02			0.04			0.22			-			-		-
Expenses		(8.04	)		(9.11	)		(7.24	)		(7.70	)		(8.75	)		(6.35	)		-			-		-
Trading income (loss)		(9.40	)		(3.76	)		(5.67	)		(9.27	)		(2.63	)		(4.60	)		-			-		-
Net asset value of Trading units, end of period	$	58.09		$	67.49		$	71.25		$	66.84		$	76.11		$	78.74		$	-		$	-	$	-

Total return:
Total return before incentive fees		(12.71	%)		(3.28	%)		(6.72	%)		(11.01	%)		(1.94	%)		(4.79	%)		5.22	%		-		-
Less incentive fee allocations		(1.22	%)		(1.99	%)		(0.66	%)		(1.17	%)		(1.41	%)		(0.73	%)		(1.22	%)		-		-
Total return		(13.93	%)		(5.27	%)		(7.38	%)		(12.18	%)		(3.35	%)		(5.52	%)		4.00	%		-		-

Ratios to average net assets:
Trading (loss)		(15.48	%)		(9.26	%)		(8.61	%)		(13.10	%)		(15.76	%)		(5.78	%)		3.93	%		-		-
Expenses:
Expenses, less incentive fees		(11.87	%)		(12.34	%)		(9.30	%)		(9.76	%)		(10.67	%)		(7.33	%)		(0.49	%)		-		-
Incentive fees		(1.22	%)		(1.99	%)		(0.66	%)		(1.17	%)		(1.41	%)		(0.73	%)		(1.22	%)		-		-
Total expenses		(13.09	%)		(14.33	%)		(9.96	%)		(10.93	%)		(12.08	%)		(8.06	%)		(1.71	%)		-		-

The calculations above do not include activity within the Trust’s Non-Trading Accounts.

The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the periods ended December 31, 2015, 2014 and 2013. The amounts are not annualized. Total return is calculated for each class of unitholders’ capital taken as a whole. An individual investor’s return may vary from these returns.

*No financial highlights per share operating performance has been presented for Class C units since all Class C units were purchased and fully redeemed in January 2015. Class C net assets were zero at the beginning and the end of the year.

(10) Cash Management Agreement with Affiliate.

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment adviser and an affiliate of the Managing Owner, as cash manager. The assets managed by RJOIM are held in segregated accounts in custody at Wells. RJOIM is paid an annual fee, currently 0.20% calculated and accrued daily at a rate equal to 1/360 of the principal balance. As of August 1, 2014, RJOIM agreed to waive all advisory fees previously charged to the Trust, back to January 1, 2014, in response to a request by the Managing Owner for said rebate. This request was made due to the decrease in the size of the Trust’s deposit with RJOIM and the current interest rate environment. The total amount waived as of July 31, 2014, was $3,483. As of December 31, 2015 and 2014, the Trust’s deposits held by RJOIM consisted of cash of $1,449,728 and $512,044, respectively, and fixed income securities of $0 and $0, respectively. Advisory fees earned by RJOIM aggregated $0, $0, and $28,101, for the years ended December 31, 2015, 2014 and 2013 respectively. Since August 1, 2014, RJOIM continues to waive its advisory fee.

(11) Derivative Instruments and Hedging Activities.

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

Derivatives not designated as hedging instruments:

As of December 31, 2015
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

Agriculture	$	32,649	$	(61,049	)	$	(28,400	)
Currency		26,412		(863	)		25,549
Energy		104,889		(74,035	)		30,854
Indices		5,225		(23,774	)		(18,549	)
Interest rates		4,782		(21,653	)		(16,871	)
Metals		11,985		(9,213	)		2,772
	$	185,942	$	(190,587	)	$	(4,645	)

As of December 31, 2014
	Asset		Liability
Type of futures,	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

Agriculture	$	119,669	$	(95,121	)	$	24,548
Currency		60,876		(31,502	)		29,374
Energy		218,011		(15,424	)		202,587
Indices		12,875		(13,050	)		(175	)
Interest rates		168,536		(2,275	)		166,261
Metals		44,235		(875	)		43,360
	$	624,202	$	(158,247	)	$	465,955

The above reported fair values are included in equity in commodity trading accounts – unrealized gain on open contracts and in purchased options on futures and written options on futures contracts in the consolidated statements of financial condition as of December 31, 2015 and 2014, respectively.

Trading gain (loss) for the following periods:

	Year ended December 31,
Type of Futures Contracts	2015			2014			2013
Agriculture	$	(177,298	)	$	(42,004	)	$	441,400
Currency		(480,313	)		790,640			(221,046	)
Energy		687,431			126,535			(430,320	)
Indices		(226,266	)		(566,210	)		394,694
Interest rates		16,128			188,370			(204,765	)
Metals		15,436			21,168			229,275
	$	(164,882	)	$	518,499		$	209,238

See Note (5) for additional information on the trading of derivatives not designed as hedging instruments and the related risks.

(12) Offsetting.

As indicated in Note (1), the Trust’s assets are currently indirectly allocated to each of the Trading Companies. All of the Trading Companies utilize RJO as their clearing broker. Each Trading Company has its own separate clearing agreement with RJO, under which each of the Trading Companies are subject to master netting agreements or similar arrangements that allow RJO to offset any assets of the individual entity by any liabilities of the individual Trading Company, as necessary, if RJO determines that the amount of margin is not appropriate or the Trading Company is not able to perform. Each of the Trading Companies hold significant cash deposits with RJO, which can be and is used by the Trading Companies to settle any obligations due to RJO. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties and they do not apply across different Trading Companies.

For financial reporting purposes, the Trust nets its similar derivative assets and liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following tables present the Trust’s derivative assets and liabilities by investment type and by counterparty, net of amounts available for offset under a master netting agreement, along with the related collateral received or pledged by the Trading Companies (cash on deposit with broker) as of December 31, 2015 and December 31, 2014:

	Offsetting of Derivative Assets

	As of December 31, 2015							As of December 31, 2014
Description	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition		Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Assets Presented in the Statement of Financial Condition

Futures and forward contracts	$	185,942	$	(182,528	)	$	3,414	$	624,202	$	(142,271	)	$	481,931

	$	185,942	$	(182,528	)	$	3,414	$	624,202	$	(142,271	)	$	481,931

	Derivative Assets and Collateral Held by Counterparty

	As of December 31, 2015										As of December 31, 2014
	Net Amount of Assets in the			Gross Amounts Not Offset in the Statement of Financial Condition							Net Amount of Assets in the		Gross Amounts Not Offset in the Statement of Financial Condition
Individual Trading Companies (with derivative assets and collateral held by RJO)	Statement of Financial Condition			Financial Instruments		Cash Collateral Received		Net Amount			Statement of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount

OASIS PGR, LLC	$	(26,242	)	$	-	$	-	$	(26,242	)	$	297,570	$	-	$	-	$	297,570
OASIS ROW, LLC		11,674			-		-		11,674			184,361		-		-		184,361
OASIS TWC, LLC		(715	)		-		-		(715	)		-		-		-		-
OASIS Claughton, LLC		18,697			-		-		18,697			-		-		-		-

	$	3,414		$	-	$	-	$	3,414		$	481,931	$	-	$	-	$	481,931

	Offsetting of Derivative Liabilities

	As of December 31, 2015							As of December 31, 2014
Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition		Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition			Net Amounts of Liabilities Presented in the Statement of Financial Condition

Futures and forward contracts	$	182,528	$	(182,528	)	$	-	$	142,271	$	(142,271	)	$	-
Options written on futures contracts		8,059		-			8,059		15,976		-			15,976

	$	190,587	$	(182,528	)	$	8,059	$	158,247	$	(142,271	)	$	15,976

	Derivative Liabilities and Collateral Pledged by Counterparty

	As of December 31, 2015									As of December 31, 2014
	Net Amount of Liabilities in		Gross Amounts Not Offset in the Statement of Financial Condition							Net Amount of Liabilities in		Gross Amounts Not Offset in the Statement of Financial Condition
Individual Trading Companies (with derivative liabilities and collateral held by RJO)	the Statement of Financial Condition		Financial Instruments			Cash Deposits Held by Broker		Net Amount		the Statement of Financial Condition		Financial Instruments			Cash Deposits Held by Broker		Net Amount

OASIS ROW, LLC	$	8,059	$	(8,059	)	$	-	$	-	$	15,976	$	(15,976	)	$	-	$	-

	$	8,059	$	(8,059	)	$	-	$	-	$	15,976	$	(15,976	)	$	-	$	-

(13) Subsequent Events.

As of January 9, 2016, the Trust subscribed to invest into the “OASIS Degraves Capital Mgmt Series” (managed by Degraves Capital Mgmt PTY). The amount allocated to OASIS Degraves Capital Mgmt Series was $333,333.

As of February 1, 2016, the Trust redeemed out of the “OASIS Centurion Investment Mgmt Series” (managed by CIM) and after month-end reallocation subscribed to allocate those funds to the cash investment account at Wells to be managed by RJOIM. The amount redeemed out of the OASIS Centurion Investment Mgmt Series was $980,410 and the amount allocated to Wells was $980,410 after the month-end reallocation.

The Trust expects to pay annual expenses of approximately 7.19% (for Class C units) to 11.96% (for Class D units) after taking into account estimated interest income of its average month-end assets.

Acknowledgment

To the best of my knowledge and belief, the information contained herein is accurate and complete.

/s/ James Gabriele
James Gabriele Chief Financial Officer R.J. O’Brien Fund Management, LLC
The Managing Owner and Commodity Pool Operator of
RJO Global Trust
March 28, 2016

RJO GLOBAL TRUST - FORM 10-K - EX-13.01 - March 28, 2016

Attached files

RJO GLOBAL TRUST Reports