RJO GLOBAL TRUST - FORM 10-Q

Attached files

file	filename
EX-32.01 - EX-32.01 - RJO GLOBAL TRUST	ex32-01.htm
EX-31.02 - EX-31.02 - RJO GLOBAL TRUST	ex31-02.htm
EX-31.01 - EX-31.01 - RJO GLOBAL TRUST	ex31-01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2016

☐ 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)

(888) 292 - 9399

(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. ☒ 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 ☒

Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ☐ Yes ☒ No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION	1

Item 1. Financial Statements	1
Consolidated Statements of Financial Condition, as of June 30, 2016 (unaudited) and December 31, 2015	1
Condensed Consolidated Schedules of Investments, as of June 30, 2016 (unaudited) and December 31, 2015	2
Consolidated Statements of Operations, for the three and six months ended June 30, 2016 and 2015 (unaudited)	3
Consolidated Statement of Changes in Unitholders’ Capital, for the six months ended June 30, 2016 (unaudited)	4
Notes to Consolidated Financial Statements	5

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	18

Item 3. Quantitative and Qualitative Disclosures about Market Risk	25

Item 4. Controls and Procedures	25

PART II. OTHER INFORMATION	26

Item 1. Legal Proceedings	26

Item 1A. Risk Factors	26

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	26

Item 6. Exhibits	27

SIGNATURES	28

Table of Contents

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statements of Financial Condition

Assets
	June 30,		December 31,
	2016		2015
	UNAUDITED		AUDITED

Assets:
Equity in commodity Trading accounts:
Cash on deposit with broker	$	4,320,265	$	5,323,944
Unrealized gain on open contracts		369,014		3,414
Total due from broker		4,689,279		5,327,358

Cash and cash equivalents on deposit with affiliate		1,744,118		1,449,723
Cash on deposit with bank		159,531		92,621
Interest receivable		526		304
Receivable from US Bank		18,752		20,248

Total Assets	$	6,612,206	$	6,890,254

Liabilities and Unitholders' Capital

Liabilities:
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received $7,285 and $7,356, respectively)		7,300		8,059
Accrued commissions		13,277		13,781
Accrued management fees		14,652		14,747
Accrued incentive fees		26,279		12,324
Accrued operating expenses		131,802		170,958
Accrued offering expenses		14,524		328
Redemptions payable-Trading		75,174		29,009
Distribution payable - Non-Trading		18,752		20,248

Total liabilities		301,760		269,454

Unitholders' capital:
Unitholders' capital (Trading):
Beneficial owners
Class A (102,196 and 110,812 units outstanding at June 30, 2016 and December 31, 2015, respectively)		6,124,677		6,437,129
Class B (839 and 955 units outstanding at June 30, 2016 and December 31, 2015, respectively)		58,440		63,836
Managing owner (535 Class A units outstanding at June 30, 2016 and December 31, 2015)		32,063		31,079


Total unitholders' capital		6,215,180		6,532,044

Non-Controlling Interests		95,266		88,756

Total Capital		6,310,446		6,620,800

Total Liabilities and Unitholders' Capital	$	6,612,206	$	6,890,254

Net asset value per unit:
Trading:
Class A	$	59.93	$	58.09
Class B	$	69.65	$	66.84

See accompanying notes to consolidated financial statements.

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RJO GLOBAL TRUST AND SUBSIDIARIES

Condensed Consolidated Schedule of Investments

	June 30, 2016						December 31, 2015
	Percentage of						Percentage of
	Net Assets			Fair value			Net Assets			Fair value
	UNAUDITED						AUDITED
Long Positions
Futures Positions
Agriculture		0.98	%	$	61,581			-0.17	%	$	(10,975	)
Currency		0.69	%		43,275			0.06	%		4,031
Energy		0.11	%		6,870			-0.43	%		(28,234	)
Indices		0.39	%		24,300			-0.05	%		(3,318	)
Interest rates		2.72	%		171,846			-0.16	%		(10,506	)
Metals		1.01	%		64,025			0.00	%		-

Total long positions on open contracts				$	371,897					$	(49,002	)

Short Positions
Futures Positions
Agriculture		0.08	%	$	5,283			-0.26	%	$	(17,425	)
Currency		0.65	%		40,934			0.33	%		21,518
Energy		-0.50	%		(31,495	)		0.89	%		59,088
Indices		-0.01	%		(869	)		-0.23	%		(15,231	)
Interest rates		-0.02	%		(1,248	)		0.03	%		1,694
Metals		-0.25	%		(15,488	)		0.04	%		2,772

Total short positions on open contracts				$	(2,883	)				$	52,416

Total unrealized gain on open contracts				$	369,014					$	3,414

Short put options on futures contracts
Energy (premiums received - $4,017 and $0, respectively)		-0.05	%	$	(3,290	)		0.00	%	$	-
Interest rates (premiums received - $0 and $4,356, respectively)		0.00	%		-			-0.11	%		(7,440	)

Total short put options on futures contracts				$	(3,290	)				$	(7,440	)

Short call options on futures contracts
Energy (premiums received - $3,268 and $0, respectively)		-0.06	%	$	(4,010	)		0.00	%	$	-
Interest rates (premiums received - $0 and $3,000, respectively)		0.00	%		-			-0.01	%		(619	)

Total short call options on futures contracts				$	(4,010	)				$	(619	)

Total Options written on futures contracts				$	(7,300	)				$	(8,059	)

See accompanying notes to consolidated financial statements.

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RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statements of Operations

	For the three months ended June 30,						For the six months ended June 30,
	2016			2015			2016		2015
	UNAUDITED			UNAUDITED			UNAUDITED		UNAUDITED
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	(304,076	)	$	(754,013	)	$	299,666	$	16,027
Change in unrealized gain (loss) on open positions		364,481			(169,938	)		366,289		(451,006	)
Foreign currency transaction gain (loss)		(4,359	)		19,072			28,277		(3,614	)
Total Trading gain (loss)		56,046			(904,879	)		694,232		(438,593	)

Net investment income (loss):
Interest income		4,005			367			7,919		857
Total net investment income (loss)		4,005			367			7,919		857

Expenses:
Commissions - Class A		73,233			90,929			144,742		193,274
Commissions - Class B		403			448			775		918
Commissions - Class C		-			-			-		865
Commissions - Non-controlling interests		719			661			1,395		661
Management fees		43,937			58,754			91,111		123,100
Incentive fees		26,279			11,931			64,514		86,742
Investment Manager Incentive fees		-			-			-		2,224
Ongoing offering expenses		9,225			8,650			18,700		13,600
Operating expenses		82,500			84,550			165,876		162,750
Total expenses		236,296			255,923			487,113		584,134

Trading income (loss)		(176,245	)		(1,160,435	)		215,038		(1,021,870	)

Less: Operations attributed to non-controlling interests		461			(14,555	)		6,510		(14,555	)

Trading income (loss) net of non-controlling interests		(176,706	)		(1,145,880	)		208,528		(1,007,315	)

Non-Trading income (loss):
Interest on Non-Trading reserve		-			12			-		25
Legal and administrative fees		-			(219,852	)		-		(301,763	)
Management fees paid to US Bank		-			(407,083	)		-		(451,942	)
Non-Trading income (loss)		-			(626,923	)		-		(753,680	)

Net income (loss)	$	(176,706	)	$	(1,772,803	)	$	208,528	$	(1,760,995	)

See accompanying notes to consolidated financial statements.

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RJO GLOBAL TRUST AND SUBSIDIARIES

Consolidated Statement of Changes in Unitholders’ Capital

For the six months ended June 30, 2016

UNAUDITED

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, 2015		110,812		$	6,437,129			955		$	63,836			-		-
Trading income (loss)		-			204,898			-			2,646			-		-
Unitholders' contributions		-			-			-			-			-		-
Unitholders' redemptions		(8,616	)		(517,350	)		(116	)		(8,042	)		-		-
Balances at June 30, 2016		102,196		$	6,124,677			839		$	58,440			-	$	-

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, 2015		535		$	31,079			112,302		$	6,532,044			-	$	88,756
Trading income (loss)		-			984			-			208,528			-		6,510
Unitholders' contributions		-			-			-			-			-		-
Unitholders' redemptions		-			-			(8,732	)		(525,392	)		-		-
Balances at June 30, 2016		535		$	32,063			103,570		$	6,215,180			-	$	95,266


Total Unitholders Capital at June 30, 2016															$	6,310,446
	Unitholders'			Unitholders'
	Capital			Capital

	Trading Class A			Trading Class B
Net asset value per unit at December 31, 2015	$	58.09		$	66.84
Net change per unit		1.84			2.81
Net asset value per unit at June 30, 2016	$	59.93		$	69.65

See accompanying notes to consolidated financial statements.

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RJO GLOBAL TRUST AND SUBSIDIARIES

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

June 30, 2016

(Unaudited)

(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”). RPM has been registered with the CFTC as a commodity trading advisor (CTA), and has been a member in good standing of the NFA in such capacity, since August 27, 2015. Prior to August 27, 2015, RPM was exempt from registration as a CTA pursuant CFTC Rule 4.14(a)(10) as (i) during the course of any 12-month periods, it had not furnished commodity trading advice to more than 15 persons; and (ii) it did not hold itself out generally to the public as a CTA. 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 identify 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.

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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. RJOFM is the managing member of each RJ OASIS series and each Trading Company. RJOFM has no equity interest in any RJ OASIS series or Trading Company.

The Trust is governed by the Tenth Amended and Restated Declaration and Agreement of Trust dated January 31, 2015 (the “Trust Agreement”).

As of June 30, 2016, prior to quarter-end reallocation, RPM has delegated trading decisions for the Trust to six independent Trading Advisors: Revolution Capital Management, LLC (“RCM”), PGR Capital LLP (“PGR”), ROW Asset Management, LLC (“ROW”), Turning Wheel Capital, Inc. (“TWC”), Claughton Capital, LLC (“Claughton”) and Degraves Capital Management PTY (“DCM”), pursuant to advisory agreements executed between RJOFM (in its role as managing member of each RJ OASIS series and each Trading Company), 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 June 30, 2016, prior to quarter-end reallocation, RCM was managing 18.08%, PGR 24.35%, ROW 12.40%, TWC 4.68%, Claughton 6.33% and DCM 5.52% of the Trust’s assets, respectively. Approximately 28.64% of the Trust’s assets were not allocated to any Trading Advisor.

RCM, PGR, ROW, TWC, Claughton and DCM 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 mispricing 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.

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), directing payment of the management and incentive fees payable to the Investment Manager under the Investment Management Agreement and (in its role as managing member of each RJ OASIS series and each Trading Company) directing payment of the management and incentive fees payable to the Trading Advisors under the Advisory Agreements, as applicable.

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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. For the three and six month periods ended June 30, 2016 and 2015, RJO had paid or accrued to pay interest to the Trust of $2,111, $4,236, $129 and $454, respectively.

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 June 30, 2016, Wells held approximately $1,745,000 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. For the three and six month periods ended June 30, 2016 and 2015, the assets held in this account earned $1,894, $3,683, $238 and $403 of interest income, respectively.

As of June 30, 2016, accounting and transfer agency services for the Trust are provided by NAV Consulting, Inc., the Trust’s administrator.

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 were 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”) was appointed as manager of the LLC. US Bank made 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 received cash (“Non-Participating Owners”).

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

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

The LLC compensated 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 (initially $350 per hour).

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.

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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 $18,752 and $20,248 as of June 30, 2016 and December 31, 2015, respectively, are reflected as a distribution payable and a receivable from US Bank in the Consolidated Statements of Financial Condition.

(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 the rules and regulations of the SEC.

Accordingly, they do not include all of the information and footnotes required by US GAAP 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, 2015.

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 Asset Mgmt Series (through January 31, 2016), OASIS Turing Wheel Capital Series, OASIS Claughton Capital Series, and OASIS Degraves Capital Mgmt PTY Series (effective January 9, 2016). 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.

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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 RJOIM, an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells. As of June 30, 2016, Wells held approximately $1,745,000 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.

(d) Ongoing Offering Costs

Ongoing offering costs, subject to a ceiling of 0.50% of the Trust’s average month-end net asset value, 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.

(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.

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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 for this first quarter of 2016. The guidance also requires retrospective or modified retrospective application to all prior periods presented. The adoption of this ASU did not have a material impact on the Trust’s consolidated accounting policy.

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 for this first quarter of 2016. The guidance also requires retrospective application to all prior periods presented. The adoption of this ASU did not have a material impact on its consolidated financial statements, as the Trust has no investments where fair value is measured using the practical expedient.

(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 were 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 was not paid on the LLC’s capital appreciation (if any).

Pursuant to the Advisory Agreements, each Trading Advisor receives from the relevant series’ Trading Company a monthly management fee 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 were 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 were 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 (9).

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(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 a futures commission merchant (“FCM”). The CE 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 six month periods ended June 30, 2016 and 2015, 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, may invest 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 (10) for further details on Derivative Instruments and Hedging Activities

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(6) 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. As of June 30, 2016 and December 31, 2015, respectively, the Trust did not have any Level 2 assets or liabilities.

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 June 30, 2016 and December 31, 2015, respectively, 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. As of June 30, 2016 and December 31, 2015, respectively, the Trust did not have any forward currency contracts or options on forward contracts.

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 June 30, 2016 and December 31, 2015, respectively:

	June 30, 2016
	Level 1			Level 2		Level 3		Total
Assets
Unrealized gain on open contracts:
Futures positions	$	369,014		$	-	$	-	$	369,014
		369,014			-		-		369,014
Liabilities
Options written on futures contracts		(7,300	)		-		-		(7,300	)
		(7,300	)		-		-		(7,300	)

Total fair value	$	361,714		$	-	$	-	$	361,714

	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	)

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(7) 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 are not paid with respect to the LLC’s net assets.

(2) As of June 30, 2016, 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.

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(8) Financial Highlights

The following financial highlights show the Trust’s financial performance of the Trading units by class for the three and six month periods ended June 30, 2016, and 2015, respectively. 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. No financial highlights per share operating performance has been presented for Class C units for the second quarter of 2015 and 2016, respectively, since all Class C units were purchased and fully redeemed in January 2015 and no further Class C units have been issued subsequently. As of June 30, 2016, 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 A						Class B
	Three months ended						Three months ended						Six months ended						Six months ended
	June 30,						June 30,						June 30,						June 30,
	2016			2015			2016			2015			2016			2015			2016			2015
Per share operating performance:
Net asset value of Trading units, beginning of period	$	61.52		$	68.33		$	71.14		$	77.45		$	58.09		$	67.49		$	66.84		$	76.11
Total Trading income (loss):
Trading gain (loss)		0.57			(6.87	)		0.67			(7.80	)		6.20			(3.68	)		7.15			(4.23	)
Investment income		0.04			-			0.04			-			0.07			0.01			0.08			0.01
Expenses		(2.20	)		(1.98	)		(2.20	)		(1.90	)		(4.43	)		(4.34	)		(4.42	)		(4.14	)
Trading income (loss)		(1.59	)		(8.85	)		(1.49	)		(9.70	)		1.84			(8.01	)		2.81			(8.36	)
Net asset value of Trading units, end of period	$	59.93		$	59.48		$	69.65		$	67.75		$	59.93		$	59.48		$	69.65		$	67.75

Total return:
Total return before incentive fees		(2.17	%)		(12.82	%)		(1.68	%)		(12.37	%)		4.15	%		(10.91	%)		5.19	%		(10.04	%)
Less incentive fee allocations		(0.41	%)		(0.14	%)		(0.41	%)		(0.15	%)		(0.98	%)		(0.96	%)		(0.98	%)		(0.94	%)
Total return		(2.58	%)		(12.96	%)		(2.09	%)		(12.52	%)		3.17	%		(11.87	%)		4.21	%		(10.98	%)

Ratios to average net assets:
Trading income (loss)		(2.80	%)		(14.22	%)		(2.47	%)		(13.51	%)		3.20	%		(11.96	%)		4.18	%		(11.03	%)
Expenses:
Expenses, less incentive fees		(3.31	%)		(3.01	%)		(2.81	%)		(2.50	%)		(6.46	%)		(5.72	%)		(5.46	%)		(4.64	%)
Incentive fees		(0.41	%)		(0.14	%)		(0.41	%)		(0.15	%)		(0.98	%)		(0.96	%)		(0.98	%)		(0.94	%)
Total expenses		(3.72	%)		(3.15	%)		(3.22	%)		(2.65	%)		(7.44	%)		(6.68	%)		(6.44	%)		(5.58	%)

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 three and six month periods ended June 30, 2016 and 2015, respectively. 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.

(9) 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. As of June 30, 2016, the Trust’s deposits held by RJOIM consisted of cash of $1,745,000. Since August 1, 2014, RJOIM continues to waive its advisory fee.

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(10) Derivative Instruments and Hedging Activities

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

Derivatives not designated as hedging instruments:

As of June 30, 2016
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

Agriculture	$	123,133	$	(56,269	)	$	66,864
Currency		87,826		(3,617	)		84,209
Energy		15,467		(47,392	)		(31,925	)
Indices		37,275		(13,844	)		23,431
Interest Rates		171,846		(1,248	)		170,598
Metals		59,045		(10,508	)		48,537
	$	494,592	$	(132,878	)	$	361,714

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	)

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 June 30, 2016 and December 31, 2015, respectively.

Trading gain (loss) for the following periods:

	Six Months Ended June 30,
Type of Futures Contracts	2016			2015
Agriculture	$	134,516		$	(18,170	)
Currency		63,370			(298,355	)
Energy		(64,464	)		(54,835	)
Indices		(9,103	)		(19,455	)
Interest Rates		541,312			107,464
Metals		28,601			(155,242	)
	$	694,232		$	(438,593	)

	Three Months Ended June 30,
Type of Futures Contracts	2016			2015
Agriculture	$	163,133		$	(45,178	)
Currency		8,489			(276,525	)
Energy		(165,325	)		(54,979	)
Indices		(297,904	)		(258,412	)
Interest Rates		330,221			(245,948	)
Metals		17,432			(23,837	)
	$	56,046		$	(904,879	)

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

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(11) 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 June 30, 2016 and December 31, 2015:

	Offsetting of Derivative Assets

	As of June 30, 2016							As of December 31, 2015
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	$	494,592	$	(125,578	)	$	369,014	$	185,942	$	(182,528	)	$	3,414

	$	494,592	$	(125,578	)	$	369,014	$	185,942	$	(182,528	)	$	3,414

	As of June 30, 2016										As of December 31, 2015
	Net Amount of Assets in the Statement of Financial Condition										Net Amount of Assets in the Statement of Financial Condition
Individual Trading Companies (with derivative assets and collateral held by RJO)				Gross Amounts Not Offset in the Statement of Financial Condition										Gross Amounts Not Offset in the Statement of Financial Condition

				Financial Instruments		Cash Collateral Received		Net Amount						Financial Instruments		Cash Collateral Received		Net Amount
				Financial Instruments		Cash Collateral Received		Net Amount						Financial Instruments		Cash Collateral Received		Net Amount

OASIS RCM, LLC	$	(2,666	)	$	-	$	-	$	(2,666	)	$	-		$	-	$	-	$	-
OASIS PGR, LLC		148,658			-		-		148,658			(26,242	)		-		-		(26,242	)
OASIS ROW, LLC		114,257			-		-		114,257			11,674			-		-		11,674
OASIS TWC, LLC		3,055			-		-		3,055			(715	)		-		-		(715	)
OASIS Claughton, LLC		105,710			-		-		105,710			18,697			-		-		18,697

	$	369,014		$	-	$	-	$	369,014		$	3,414		$	-	$	-	$	3,414

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	Offsetting of Derivative Liabilities

	As of June 30, 2016							As of December 31, 2015
						Net Amounts of Liabilities Presented 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					Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition


Description

Futures and forward contracts	$	125,578	$	(125,578	)	$	-	$	182,528	$	(182,528	)	$	-
Options written on futures contracts		7,300		-			7,300		8,059		-			8,059

	$	132,878	$	(125,578	)	$	7,300	$	190,587	$	(182,528	)	$	8,059

	Derivative Liabilities and Collateral Pledged by Counterparty

	As of June 30, 2016									As of December 31, 2015
	Net Amount of Liabilities in the Statement of Financial Condition									Net Amount of Liabilities in the Statement of Financial Condition
Individual Trading Companies (with derivative liabilities and collateral held by RJO)			Gross Amounts Not Offset in the Statement of Financial Condition									Gross Amounts Not Offset in the Statement of Financial Condition

			Financial Instruments			Cash Deposits Held by Broker		Net Amount				Financial Instruments			Cash Deposits Held by Broker		Net Amount
			Financial Instruments			Cash Deposits Held by Broker		Net Amount				Financial Instruments			Cash Deposits Held by Broker		Net Amount

OASIS ROW, LLC	$	7,300	$	(7,300	)	$	-	$	-	$	8,059	$	(8,059	)	$	-	$	-

	$	7,300	$	(7,300	)	$	-	$	-	$	8,059	$	(8,059	)	$	-	$	-

(12) Subsequent Events

As of July 25, 2016, the Trust partially redeemed out of the “OASIS Revolution Capital Mgmt Series” (managed by RCM) and partially redeemed out of the “OASIS PGR Capital Series” (managed by PGR) and subscribed to allocate those funds to the cash investment account at Wells to be managed by RJOIM. The amounts redeemed out of the OASIS Revolution Capital Management Series and the OASIS PGR Capital Series was $166,667, and $400,000, respectively, and the amount allocated to Wells was $566,667.

As of August 1, 2016 the Trust partially redeemed out of the “OASIS Revolution Capital Mgmt Series” (managed by RCM); “OASIS ROW Asset Mgmt Series” (managed by ROW) and the “OASIS Degraves Capital Mgmt PTY Series” (managed by DCM ) and after month-end reallocations subscribed to invest into the “OASIS Turning Wheel Capital Series” (managed by TWC) and into the “OASIS Claughton Capital Series” (managed by Claughton), and subscribed to allocate the excess funds to the cash investment account at Wells to be managed by RJOIM. The amounts redeemed out of the OASIS Revolution Capital Mgmt Series, OASIS ROW Asset Mgmt Series and OASIS Degraves Capital Mgmt PTY Series was $41,100, $164,656, and $24,058, respectively; and the amount allocated to OASIS Turning Wheel Capital Series and OASIS Claughton Capital Mgmt PTY Series was $15,773, and $17,243, respectively; and the amount allocated to Wells was $196,798 after month-end reallocation.

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

(a) Introduction

·	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.

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The Trust is governed by the Tenth Amended and Restated Declaration and Agreement of Trust dated January 31, 2015 (the “Trust Agreement”).

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.

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

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

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

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(b) 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. For the six month period ended June 30, 2016, no Class A, no Class B and no Class C, units were purchased by the Beneficial Owners and, no Class A units were converted to Class B units. The Managing Owner did not purchase any units during this time. For the six month period ended June 30, 2016, the Beneficial Owners redeemed a total of 8,732 units for $525,392. For the six month period ending June 30, 2016, the Beneficial Owners redeemed a total of 8,616 Class A units for $517,350 and 116 Class B units for $8,042. No Beneficial Owners Class C units were redeemed during this period. The Managing Owner did not redeem any units during the six month period ended June 30, 2016.

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 Trading Advisors monitor their respective Trading Company’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their respective trading strategies, adjusting position sizes of the Trading Company’s futures and forward contracts and re-allocating Trading Company’s assets to different market sectors. As of June 30, 2016, the market sectors where the Trust maintained an investment having the highest exposure were: Interest Rates having a net long value of $170,598, Currencies having a net long value of $84,209, Agricultural having a net long value of $66,864, Metals having a net long value of $48,537, Indices having a net long value of $23,431 and Energy having a net short value of $31,925. The Trust’s primary exposure to credit risk is its exposure to the non-performance of the Trust’s forward currency broker. The forward 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 clearing houses whose credit supports the obligations of its members and that operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.

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

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 Trading Advisors, and the Trust’s expenses are primarily charged as a fixed percentage of its asset base, however large, or by number of investors. To a lesser extent, some expenses are incurred as minimums regardless of the size of the asset base, such as audit and legal fees.

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 dollar deposits. These borrowings are at a prevailing short-term rate in the relevant currency and have been immaterial to the Trust’s operation to date and are expected to continue to be so.

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During the six month period ended June 30, 2016, the Trust had no credit exposure to a counterparty which is a foreign commodities exchange which was material.

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.

The Trust’s net assets 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 very 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 securities holdings quickly and at market prices. This should permit the Trading 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 dollars. For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points. For the three and six month periods ended June 30, 2016 and 2015, RJO had paid or accrued to pay interest to the Trust of $2,111, $4,236, $129 and $454, respectively.

Additionally, effective October 6, 2010, the Managing Owner retained RJOIM, an affiliate of the Managing Owner, to serve as a cash manager to the Trust. The Trust’s assets which are managed by the cash manager are held by Wells as custodian. As of June 30, 2016, Wells held approximately $1,745,000 of the Trust’s assets. For the three and six month periods ended June 30, 2016 and 2015, the assets held in this account earned $1,894, $3,683, $238 and $403 of interest income, respectively.

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 CFTC 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, and there are no material unused sources of liquid assets.

(d) Results of Operations

The Trust’s success depends on the Trading 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.

The summaries set forth below outline certain performance factors which may have affected the performance of the Trading Advisors for the periods presented. During this time, the Trust’s assets were allocated to different combinations of Trading Advisors over time. As of June 30, 2016, trading decisions for the Trust have been delegated to six independent Trading Advisors: RCM, PGR, ROW, TWC, Claughton and DCM.

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The performance summaries are an outline description of how the Trust performed in the past, and not necessarily any indication of how it will perform in the future. Furthermore, the general causes to which certain trends or market movements are attributed may or may not in fact have caused such trends or movements, as opposed to simply having occurred at about the same time.

Fiscal Quarter ended June 30, 2016

The Trust posted a loss of $(175,225) or $(1.59) per trading unit for Class A units and a loss of $(1,481) or $(1.49) for Class B units. There were no Class C units held during the quarter ended June 30, 2016 (please see Note (2) and Note (9) in the notes to financial statements for more information with respect to the calculation of net asset value). As of June 30, 2016, Class A units have lost 26.74% since their first issuance in June 1997. Class B units have lost 41.66% since their first issuance in January 2009.

As of June 30, 2016, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows: RCM (18.08%), PGR (25.35%), ROW (12.40%), TWC (4.68%), Claughton (6.33%), and DCM (5.52%), with the remaining percentage allocated to cash.

In April 2016, market sentiment got caught up between recovering oil prices, on one hand, and disappointing earnings and central banks’ inertia on the other. The main theme was the resilient rally in energies. Throughout the month, oil prices continued to rise, although with significant day-to-day volatility; Brent crude breaching US$45 per barrel. Elsewhere, market direction was less clear. In equities, at the beginning of the month, stocks remained under pressure amid concerns about global growth and dovish minutes for the Fed. Then, equity markets rebounded forcefully boosted by the jump in oil prices, subsequently climbing to fresh 2016 highs. Towards month end, however, stocks slipped again as a lackluster earnings season and disappointing economic growth dampened investor sentiment. In fixed income, government bond yields pretty much followed equity markets and the overall changes in risk appetite. In currencies, the U.S. dollar remained under pressure and the Japanese yen surged as the Fed expectedly left rates unchanged, while the Bank of Japan unexpectedly made no change to its monetary policy, dashing traders’ hopes of further stimulus measures.

In May 2016, major financial markets, such as equities and bonds, were struggling to find direction. The month started off with a risk-off move. Equity indices retreated and bonds moved higher as weak economic data, such as disappointing earnings from European banks, soft Chinese data, BREXIT talks, a resurgence of Greek woes, and lower-than-expected U.S. non-farm payrolls, reinforced risk aversion. In the second half of the month, the Fed’s interest rate policy once again took center stage. Markets had all but dismissed the prospect of a rate hike in June or July, but the hawkish tone in the FOMC minutes have now significantly increased the chances of a summer rate rise. Accordingly, U.S. Treasury yields jumped and the U.S. dollar rallied while stocks turned volatile. Towards month-end, stronger-than-expected data like the upward revision to the 2016 first quarter U.S. GDP amplified these moves. In commodities, gold and other precious metals sold off. Otherwise, oil closed in on the $50/barrel level for the first time this year as bulls took encouragement from recent unexpected supply disruptions such as production outages in Nigeria and political tensions in Venezuela. The strength recently seen in soybean prices continued amid worries over the rain-ravaged crop in Argentina, the third biggest exporter of the oilseed, and the top shipper of the processing products soymeal and soy oil. Elsewhere, cocoa rebounded after the International Cocoa Organization cut its forecast for world output.

In June 2016, the BREXIT vote sent shockwaves through the financial system and the month was quite volatile. Initially an abysmal U.S. jobs report followed by dovish comments from the Federal Reserve, which left interest rates unchanged, set the tone for an overall bearish market environment. That is, the U.S. dollar and the British pound dropped, especially against the Japanese yen, and global equity and commodity prices came under pressure. Gold prices jumped and a wave of risk aversion drove core government bond yields in Europe and Japan to fresh record lows, with the 10-year Bund yield entering negative territory for the first time. Then, for a short while, risk appetite returned with a vengeance as opinion polls in the UK showed that momentum for the BREXIT “Leave Campaign” had stalled. Nearly all of the abovementioned trends reversed, in whole or in part. On June 24th 2016, the UK voted by a small 4% majority to leave the European Union. The result sent shockwaves through the financial system. Equities and sterling plunged, bonds and precious metals rallied, and the VIX spiked. Towards month-end, markets had stabilized somewhat with equity markets recouping some of the previous losses.

Fiscal Quarter ended June 30, 2015

The Trust posted a loss of $(1,136,424) or $(8.85) per trading unit for Class A units and a loss of $(9,456) or $(9.70) for Class B units. There were no Class C units held during the quarter ended June 30, 2015 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value). As of June 30, 2015, Class A units have lost 27.29% since their first issuance in June 1997. Class B units have lost 43.25% since their first issuance in January 2009.

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As of June 30, 2015, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows: RCM (18.12%), PGR (12.94%), CIM (20.71%), ROW (18.17%), TWC (4.24%) and Claughton (2.80%), with the remaining percentage allocated to cash.

In April, the rally in the US dollar, which had started in 2nd half of 2015, halted and reversed course as expectations of tighter policy by the Federal Reserve had faded amid a series of weaker-than-expected statistics casting doubt over the apparent strength of the US economy. Even though, the Fed said current US economic weakness reflected only “transitory factors” the first rate hike now seems to be postponed until after the summer. The reversal in the dollar was mirrored by the action in fixed income markets, where bond yields jumped towards month-end on signs of progress in Greek debt negotiations and as German consumer prices held above zero for a second successive month igniting premature talk of tapering the ECB’s monthly bond purchases. Most equity markets were up on the month but provided a volatile trading environment as market participants digested increasing and fading Greek debt default worries, new stock market regulations in China, recent U.S. activity data weakness and the Fed’s changing attitude coupled with anxiety about upcoming earnings reports. In commodity markets, crude oil prices posted the strongest monthly gain since 2009 as US production showed signs of slowing and as traders worried over potential supply disruptions in the Middle East.

May was characterized by choppy market conditions as trendiness grinded to a halt. The sell-off, which had started in April, continued well into the first half of May before partially reversing course during the second half. In currencies, the US dollar strengthened again – especially against the Euro – as the ECB signaled a higher pace of its upcoming bond-purchasing program and despite the last FOMC minutes making a June rate hike rather unlikely. The apparent postponement of the Federal Reserve’s first rate hike until after the summer provided a stimulus for global equities although the Fed’s announced “data dependency” of its monetary policy going forward, mixed messages on the state of the ongoing Greek debt negotiations, and Chinese “bubble” fears significantly added to uncertainty. In fixed income, after last month’s major sell-off, bond prices remained unsteady and did not return to their long-term bullish trend as forecast-beating inflation figures were balanced by weaker-than-expected economic data. In commodities, the resurgent dollar helped drive prices down, especially in precious metals, whereas crude remained unchanged on a month-to-month basis despite a volatile trading session.

In June, market volatility stayed elevated. In early June, the sell-off in bonds continued as a robust US jobs report reassured market participants that the Federal Reserve would start raising rates later this year. In currencies, however, renewed US dollar strength was short-lived. The greenback retreated against most of its major counterparts following a more dovish FOMC statement at mid-month. In equities, the Fed and Greece vied for investors’ attention, which created a see-saw market environment. However, at the end of June, Athens’ call for a public referendum on the terms of its creditors’ final bailout offer pulled the rug from under global stock markets as the country is now edging ever closer to exiting the Eurozone in an unorderly fashion. In commodities, corn and soybean markets surged towards month-end after a pair of government reports suggested a tighter supply situation going forward.

Fiscal Quarter ended March 31, 2016

The Trust posted a gain of $381,127 or $3.43 per trading unit for Class A units and a gain of $4,107 or $4.30 for Class B units. There were no Class C units held during the quarter ended March 31, 2016 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value). As of March 31, 2016, Class A units have lost 24.80% since their first issuance in June 1997. Class B units have lost 40.42% since their first issuance in January 2009.

As of March 31, 2016, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows: RCM (19.66%), PGR (17.91%), ROW (18.16%), TWC (4.66%), Claughton (5.31%) and DCM (4.71%), with the remaining percentage allocated to cash.

In January, market action was almost solely driven by deteriorating investor sentiment fueled by the oil glut and concerns about China’s slowing economy. After the first historic Fed rate hike in seven years, the U.S. dollar remained historically strong in anticipation of further rate increases. The U.S. dollar strength has put pressure on dollar-linked currencies such as the Chinese renminbi and the Hong Kong dollar. The dollar-pegged currencies of the Gulf States have also been under pressure as the oil glut has been eroding their petrodollar income. Free-floating currencies of other commodity producing emerging countries like Brazil, South Africa, and Russia have been in free fall. Equities and developed fixed income yields have fallen in tandem with crude oil. Bearish equity and commodity markets only found some solid ground at the end of the month. The reversal was induced by central banks’ comments starting with the speech of the European Central Bank’s (“ECB”’) Mario Draghi expressing that ECB has further tools to push inflation up close to target. ECB’s effort to calm the markets was further supported by its U.S. counterpart’s comment indicating a rate hike at the March Federal Open Market Committee (“FOMC”) meeting as less likely. At the end of the month, oil bulls could take a breather as oil prices rebounded some 25% from a 14-year low on speculation that Russia may cooperate in production cuts with the Organization of Petroleum Exporting Countries. However, this speculation was later downplayed by comments from the Saudis.

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In February, equities continued to trade in concert with oil prices. During the first half of the month, market sentiment turned bearish once again amid lingering concerns about global growth, corporate earnings, and stubbornly low inflation. Equities retreated across the board in tandem with sliding oil prices; the U.S. dollar dropped against all of its major counterparts; gold jumped; the VIX spiked and bonds rallied. In the second half of the month, stock markets rebounded forcefully as oil prices rallied on news that Saudi Arabia, Russia, and two other producers would agree to a production “freeze”. Elsewhere in commodities, the rally in gold was halted; in currencies, the U.S. dollar trimmed its losses as Sterling attracted much of the attention with the Brexit exit worries keeping the pound under pressure; in fixed income, however, yields continued lower, especially in Europe and Japan, as inflation figures failed to lift off, fueling expectations for more quantitative easing (“QE”) in the near future.

In March, overall bullishness gained additional strength helped by a combination of much-stronger-than-expected U.S. data, in particular a sturdy U.S. Jobs Report, paired with surprisingly dovish comments by the Fed, further monetary stimuli by other central banks, namely the ECB, and ongoing talks between Saudi Arabia and Russia about limiting oil production. Equities and commodities rallied throughout the month. For example, commodities, in mid-March, crude oil breached U.S. $40 per barrel as hopes for an output freeze by major producers drove prices higher. In currencies, the U.S. dollar depreciated against most other currencies, major and emerging, after particularly cautious comments made by Fed officials. In fixed income, initially, yields jumped as optimism about the global economy returned before dropping back again mid-month after the ECB had unleashed a bigger-than-expected stimulus package expanding its QE and cutting interest rates further.

Fiscal Quarter ended March 31, 2015

The Trust posted a gain of $117,185 or $0.84 per trading unit for Class A units, a gain of $1,358 or $1.34 for Class B units, and a gain of $20,020 or $3.05 per trading unit for Class C units for the quarter ended March 31, 2015 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value). As of March 31, 2015, Class A units have lost 16.47% since their first issuance in June 1997. Class B units have lost 35.14% since their first issuance in January 2009.

As of March 31, 2015, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows: RCM (15.14%), PGR (23.47%), CIM (36.00%) and ROW (21.21%), with the remaining percentage allocated to cash.

Market action in January 2015 was dominated by central bank activity. On January 15th, the Swiss National Bank’s surprising decision to remove its currency peg against the Euro sent shock waves through global markets, with at least two big retail FX brokerages going bust overnight. A week later, in a dramatic change of policy, the ECB finally announced its own long-awaited quantitative easing program, which turned out to be much bigger-than-expected, further hurting the Euro but providing support for equity markets. Yet another week later, this was followed by rather dovish FOMC statements indicating patience on raising rates amid weaker economic conditions in the U.S., which partly reversed the previous moves in stocks and FX. The Greek leftist party, Syriza, winning the election in Greece further added to overall uncertainty towards month-end. Thus, whereas the currency and, in particular, equity markets provided managers with choppy trading conditions, global bond markets continued to rally amid the gloomy mood providing managers with profitable trading conditions. In commodity markets, with no production cuts insight and weaker global demand in general, oil continued on its downward path dropping below U.S. $50 per barrel.

February started out quite dramatic as February 3rd was the first “coordinated market sell-off” this year with longer term trends reversing forcefully across many different markets. In commodities, oil prices soared on producers’ spending cuts announcements reversing the bearish trend which had been running since July 2014. Easing tensions over Greece and Ukraine, as well as further central bank policy accommodation, boosted stocks but lead to sharp falls in government bonds prices. In currencies, the bullish trend in the U.S. dollar reversed as well, but, given the relative hawkishness of the Fed, the single currency soon stabilized trading in a tight range against other majors for the rest of the month. Whereas the sell-offs in energy and fixed income markets weighed on performance, the rebound in equities provided well-needed balancing profits. Throughout the month, equity markets rose notably on the back of easing geopolitical tensions and because overall economic momentum remained largely intact. While energy markets stayed choppy, European bond yields hit record lows towards month-end ahead of the imminent start of the ECB’s QE program, thus partially reducing losses seen in the first half of the month.

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In March, hawkish expectations of the FOMC meeting were in the spotlight in the first half of the month. Eventually, the Fed dropped the word ‘patience’ from the FOMC statement but indicated that they would not be impatient raising interest rates. As the projected fund rate for the year-end, and for the next year, came in much lower than what had been projected by the Fed previously, it sent the dollar lower after reaching 12-year high against its major pairs. In commodities, oil prices had first plunged to multi-year low then reversed back sharply on U.S. dollar weakness and tensions in Yemen. At month-end when the U.S. dollar was on the rise again, energy commodities were sliding towards previous lows. Equities were mixed in March, in the U.S., macro data trailed expectations pushing stocks lower, whereas ECB’s bond purchases along with improving economic environment boosted equities in Europe to new all-time highs. Dovish stance from all major central banks around the world has kept long-term interest rates low and driven yields to new all-time lows in major euro economies.

(e) Off-Balance Sheet Arrangements

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.

(f) Tabular Disclosure of Contractual Obligations

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 the Trading Advisors. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.

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 the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015.

Item 4. 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 interim report was filed, 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) as of June 30, 2016. 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 June 30, 2016.

Changes in Internal Control Over Financial Reporting: There were no changes in the Trust’s internal control over financial reporting, during the quarter ended June 30, 2016 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 only provide reasonable (but 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.

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PART II - OTHER INFORMATION

Item 1. Legal Proceedings

The Trust is not a party to any material, pending legal proceedings.

Item 1A. Risk Factors

See Part I, Item 2. “Management’s Discussion and Analysis of Financial Condition and Results of Operations” in this report for a discussion of the conditions in the financial markets and economic conditions affecting the business of the Trust.

There have been no material changes from the risk factors disclosed under the heading “Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015.

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

a) All units sold during the twelve-month periods ending June 30, 2016, 2015 and 2014, respectively, were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder.

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 second quarter of 2016:

	Units Redeemed						Redemption Date NAV per Unit
Month	Class A		Class B		Class C		Class A		Class B		Class C
April		3,273		116		-	$	59.67	$	69.12	$	-
May		943		-		-	$	57.01	$	66.14	$	-
June		1,254		-		-	$	59.93	$	69.65	$	-

Total		5,470		116		-

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

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Item 6. Exhibits

Exhibit
Number		Description of Document

3.01		Tenth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of January 31, 2015. (1)

3.02		Restated Certificate of Trust of the Registrant. (2)

10.01		Third Amended and Restated Limited Liability Company Agreement of O’Brien Alternative Strategic Investment Solutions, LLC, dated April 1, 2015. (3)

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. *

* Filed herewith.

(1) Incorporated by reference herein from the exhibit of the same description filed on March 27, 2015 on Form 10-K.

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

(3) Incorporated by reference herein from the exhibit of the same description filed on May 15, 2015 on Form 10-Q.

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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: August 12, 2016

By: R.J. O’Brien Fund Management, LLC

Managing Owner

By: /s/ James A. Gabriele

James A. Gabriele

Principal Financial Officer and duly authorized officer

Attached files

RJO GLOBAL TRUST Reports

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