10-Q

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2011

OR

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

SECURITIES EXCHANGE ACT OF 1934

For the transition period from __________ to __________                         

Commission File Number:  000-22887

RJO GLOBAL TRUST

(Exact name of registrant as specified in its charter)

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

c/o R.J. O’Brien Fund Management, LLC

222 South Riverside Plaza

Suite 900

Chicago, IL  60606

(Address of principal executive offices) (Zip Code)

(312) 373-5000

(Registrant's telephone number, including area code)

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

x Yes ¨ No

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

x Yes ¨ No

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

Large accelerated filer  £	Accelerated filer  £
Non-accelerated filer  £ (Do not check if smaller reporting company)	Smaller reporting company x

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

o Yes x No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION	3
Item 1. Financial Statements	3
Consolidated Statements of Financial Condition, as of June 30, 2011 (unaudited) and December 31, 2010	3
Condensed Consolidated Schedule of Investments, as of June 30, 2011 (unaudited) and as of December 31 2010	4
Consolidated Statements of Operations, for the three and six months ended June 30, 2011 and 2010 (unaudited)	5
Consolidated Statement of Changes in Unitholders’ Capital, for the six months ended June 30, 2011 (unaudited)	6
Notes to Consolidated Financial Statements	7
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	15
Item 3. Quantitative and Qualitative Disclosures about Market Risk	21
Item 4. Controls and Procedures	21
PART II. OTHER INFORMATION	21
Item 1. Legal Proceedings	21
Item 1A. Risk Factors	21
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	22
Item 6. Exhibits	23
SIGNATURES	24

2

PART I – FINANCIAL INFORMATION

Item 1.  Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

	June 30,  2011			December 31, 2010
	UNAUDITED
Assets
Assets:
Equity in commodity Trading accounts:
Cash on deposit with brokers	$	10,153,136		$	22,388,362
Unrealized gain (loss) on open contracts		(692,259	)		1,357,343
Purchased options on futures contracts (premiums paid $80,747 and $245,722, respectively)		57,997			120,263
Total due from brokers		9,518,874			23,865,968
Cash and cash equivalents on deposit		18,242,697			18,737,332
Cash on deposit with bank		19,441			16,248
Fixed income securities (cost $12,712,617 and $11,544,636, respectively)		12,691,928			11,540,784
Interest receivable		48,992			36,141
Cash on deposit with bank - Non-Trading		4,476,651			5,133,598
Prepaid expenses - Non-Trading		76,887			81,602
Total Assets	$	45,075,470		$	59,411,673
Liabilities and Unitholders' Capital
Liabilities:
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received - $24,400)	$	9,913		$	-
Accrued commissions		101,755			151,916
Accrued management fees		56,988			76,511
Accrued incentive fees		59,402			278,042
Accrued offering expenses		10,613			16,588
Accrued operating expenses		159,034			201,344
Redemptions payable - Trading		2,026,136			1,549,974
Accrued management fees to U.S. Bank - Non-Trading		12,776			17,492
Distribution payable - Non-Trading		328,748			1,083,908
Total liabilities		2,765,365			3,375,775
Unitholders' capital:
Unitholders’ capital (Trading):
Beneficial owners
Class A (398,781 and 490,278 units outstanding at June 30, 2011 and December 31, 2010, respectively)		36,742,772			49,340,822
Class B (13,481 and 13,420 units outstanding at June 30, 2011 and December 31, 2010, respectively)		1,305,864			1,405,692
Managing owner (535 and 11,679 Class A units outstanding at June 30, 2011 and December 31, 2010, respectively)		49,295			1,175,357
Unitholders' capital (LLC equity/Non-Trading):
Participating owners (340,196 and 407,463 units outstanding at June 30, 2011 and December 31, 2010, respectively)		630,113			737,509
Nonparticipating owners (1,933,092 and 1,865,825 units outstanding at June 30, 2011 and December 31, 2010, respectively)		3,582,061			3,376,518
Total unitholders' capital		42,310,105			56,035,898
Total Liabilities and Unitholders’ Capital	$	45,075,470		$	59,411,673
Net asset value per unit:
Trading:
Class A	$	92.14		$	100.64
Class B	$	96.87		$	104.75
LLC equity/Non-Trading	$	1.85		$	1.81

See accompanying notes to consolidated financial statements.

3

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

	June 30, 2011						December 31, 2010
	Percentage of Net Assets			Fair value			Percentage of Net Assets			Fair value
	UNAUDITED
Long Positions
Fixed Income Securities
Certificate of Deposit
Chile
Financials (cost $1,500,000 and $1,500,037, respectively)		3.55	%	$	1,500,270			2.68	%	$	1,500,480
Commercial Paper
South Korea
Financials (cost $1,499,660)					-			2.68	%		1,499,820
United States
Insurance (cost $1,499,561)					-			2.68	%		1,499,580
Total Commercial Paper					-			5.35	%		2,999,400
Corporate Bonds
United States
Financials (cost $1,972,421 and $1,345,903, respectively)		4.63	%		1,958,936			2.40	%		1,344,503
Great Britain
Special Purpose (cost $1,527,135)		3.61	%		1,526,010						-
United States
Telephone (cost $672,035)		1.57	%		665,743						-
Total Corporate Bonds		9.81	%		4,150,689			2.40	%		1,344,503
Government Agencies
United States
U.S. Government Agency (cost $6,999,000 and $3,393,729, respectively)		16.54	%		6,998,945			6.05	%		3,390,654
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $42,025 and $2,305,746, respectively)		0.10	%		42,024			4.11	%		2,305,747
Total Fixed Income Securities (cost $12,712,617 and $11,544,636, respectively)				$	12,691,928					$	11,540,784
Long Positions
Futures Positions
Agriculture		-0.75	%	$	(318,565	)		1.64	%	$	920,055
Currency		0.04	%		15,783			0.45	%		251,310
Energy		-0.26	%		(108,605	)		0.12	%		65,691
Indices		0.27	%		115,302			0.03	%		19,608
Interest rates		-0.12	%		(51,941	)		0.21	%		117,158
Metals		-0.07	%		(30,682	)		1.41	%		789,173
Forward Positions
Currency		1.10	%		463,724			-0.86	%		(483,988	)
Total long positions on open contracts				$	85,016					$	1,679,007
Short Positions
Futures Positions
Agriculture		0.88	%	$	374,111			-0.58	%	$	(323,637	)
Currency		-0.01	%		(5,313	)		-0.04	%		(23,476	)
Energy		0.18	%		75,780			-0.08	%		(45,099	)
Indices		-0.77	%		(325,249	)		0.10	%		57,841
Interest rates		-0.09	%		(38,866	)		-0.02	%		(13,742	)
Metals		-0.37	%		(155,398	)		-1.16	%		(651,198	)
Forward Positions
Currency		-1.66	%		(702,340	)		1.21	%		677,647
Total short positions on open contracts				$	(777,275	)				$	(321,664	)
Total unrealized gain (loss) on open contracts				$	(692,259	)				$	1,357,343
Long put options on future contracts
Indices (premiums paid - $245,722)				$	-			0.21	%	$	120,263
Long call options on future contracts
Currency (premiums paid - $ 59,700)		0.07	%	$	28,700					$	-
Interest rates (premiums paid - $ 21,047)		0.07	%		29,297						-
Total long call options on future contracts				$	57,997					$	-
Short call options on future contracts
Currency (premiums received - $ 24,400)		-0.02	%	$	(9,913	)				$	-
Total short call options on future contracts				$	(9,913	)				$	-

See accompanying notes to consolidated financial statements.

4

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

UNAUDITED

	For the three months ended  June 30,						For the six months ended June 30,
	2011			2010			2011			2010
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	501,004		$	895,419		$	(62,269	)	$	632,697
Change in unrealized gain (loss) on open positions		(1,507,010	)		(263,057	)		(1,932,365	)		(7,634	)
Foreign currency transaction gain (loss)		(21,405	)		(31,685	)		116,092			(44,932	)
Total Trading gain (loss)		(1,027,411	)		600,677			(1,878,542	)		580,131
Net investment income (loss):
Gain (loss) on trading of fixed income securities:
Realized gain (loss) on closed positions		822			-			(19,308	)		-
Change in unrealized gain (loss) on open positions		(14,347	)		-			(4,031	)		-
Interest income		23,290			16,980			106,134			23,908
Total net investment gain (loss)		9,765			16,980			82,795			23,908
Expenses:
Commissions - Class A		517,624			561,415			1,124,300			1,160,452
Commissions - Class B		10,321			4,293			20,424			7,840
Advisory fees		15,594			-			30,860			-
Management fees		181,534			228,054			394,556			468,960
Incentive fees		59,402			-			117,502			-
Ongoing offering expenses		75,000			20,000			105,000			40,000
Operating expenses		187,048			270,000			372,050			540,000
Total expenses		1,046,523			1,083,762			2,164,692			2,217,252
Trading income (loss)		(2,064,169	)		(466,105	)		(3,960,439	)		(1,613,213	)
Non-Trading income (loss):
Interest on Non-Trading reserve		542			2,842			2,407			5,024
Collections in excess of impaired value		343,664			16,024,600			343,664			16,024,600
Legal and administrative fees		(82,015	)		(152,010	)		(124,116	)		(1,110,691	)
Management fees paid to US Bank		(48,201	)		(75,090	)		(123,808	)		(161,745	)
Non-Trading income (loss)		213,990			15,800,342			98,147			14,757,188
Net income (loss)	$	(1,850,179	)	$	15,334,237		$	(3,862,292	)	$	13,143,975

See accompanying notes to consolidated financial statements.

5

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For the six months ended June 30, 2011

UNAUDITED

Unitholders' Capital (Trading)	Beneficial Owners - Trading Class A						Beneficial Owners - Trading Class B						Managing Owners - Trading Class A
	Units			Dollars			Units			Dollars			Units			Dollars
Balances at December 31, 2010		490,278		$	49,340,822			13,420		$	1,405,692			11,679		$	1,175,357
Trading income (loss)		-			(3,754,650	)		-			(106,554	)		-			(99,235	)
Unitholders’ contributions		3,974			392,000			2,066			210,000			-			-
Transfers from Class A to Class B		-			-			-			-			-			-
Unitholders’ redemptions		(95,471	)		(9,235,400	)		(2,005	)		(203,274	)		(11,144	)		(1,026,827	)
Balances at June 30, 2011		398,781		$	36,742,772			13,481		$	1,305,864			535		$	49,295

Unitholders' Capital (Trading)	Total Unitholders' Capital - Trading
	Units			Dollars
Balances at December 31, 2010		515,377		$	51,921,871
Trading income (loss)		-			(3,960,439	)
Unitholders’ contributions		6,040			602,000
Transfers from Class A to Class B		-			-
Unitholders’ redemptions		(108,620	)		(10,465,501	)
Balances at June 30, 2011		412,797		$	38,097,931

Unitholders' Capital (LLC Equity/Non-Trading)	Participating Owners-						Nonparticipating Owners-				Total Unitholders' Capital-
	LLC Equity/Non-Trading						LLC Equity/Non-Trading				LLC Equity/Non-Trading
	Units			Dollars			Units		Dollars		Units		Dollars
Balances at December 31, 2010		407,463		$	737,509			1,865,825	$	3,376,518		2,273,288	$	4,114,027
Non-Trading income (loss)		-			13,353			-		84,794		-		98,147
Reallocation due to Redemptions		(67,267	)		(120,749	)		67,267		120,749		-		-
Balances at June 30, 2011		340,196		$	630,113			1,933,092	$	3,582,061		2,273,288	$	4,212,174
Total Unitholders Capital at June 30, 2011													$	42,310,105

	Unitholders' Capital Trading Class A				Unitholders' Capital Trading Class B			Unitholders' Capital (LLC Equity/Non-Trading)
Net asset value per unit at December 31, 2010		$	100.64		$	104.75			$	1.81
Net change per unit			(8.50	)		(7.88	)			0.04
Balances at June 30, 2011		$	92.14		$	96.87			$	1.85

See accompanying notes to consolidated financial statements.

6

RJO GLOBAL TRUST AND SUBSIDIARY

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

June 30, 2011

(Unaudited)

(1) General Information and Summary

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

The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to eight independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of June 30, 2011, pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin 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.

The Trust currently offers two classes of units on a private basis: Class A units and Class B units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission, and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to selling commissions.  See Note (8) for further detail regarding commissions.

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

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

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

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

7

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

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

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

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

(2) Summary of Significant Accounting Policies

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

(a) Basis of Presentation

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

The Trust’s unaudited consolidated financial statements and the related notes should be read together with the consolidated financial statements and related notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2010.

(b) Principles of Consolidation

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

(c) Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date.  All such transactions are recorded on the identified cost basis and 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 year or as of the last date of the consolidated financial statements.  As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition.  Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations.  Gains or losses are realized when contracts are liquidated.

The Trust may 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.

8

At June 30, 2011, 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 U.S. Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars.  For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited.  The Trust also earns interest on cash and cash equivalents held at Wells Fargo Bank N.A. and managed by RJO Investment Management LLC, (“RJOIM”), an affiliate of the Managing Owner.  As of June 30, 2011, Wells Fargo Bank, N.A. held approximately $30.9 million of the Trust’s assets.

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

(d) Ongoing Offering Costs

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

(e)  Foreign Currency Transactions

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

(f) Use of Estimates

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

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

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

(3)  Fees

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

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

9

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

(4) Income Taxes

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

(5) Trading Activities and Related Risks

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

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

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

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

The Trust, 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 Fund may not be able to enter into a closing transaction because of an illiquid market.

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

Net trading results from derivatives for periods ended June 30, 2011 and 2010 are reflected in the consolidated statements of operations and equal 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.

The Trust’s primary exposure to fixed income securities are defined by the U.S. Commodity Futures Trading Commission (“CFTC”) guidelines of acceptable securities for investment of segregated assets.  The scope of the acceptable securities by the CTFC are defined further by the RJOIM agreement with the Trust to include but 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.

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

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

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

Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
	Amounts Received from RCM			Balance of Impaired Value		Collections in Excess of Impaired Value			Cash Distributions to Non-Participating Owners		Additional Units in Trust for Participating Owners
Date											Units		Dollars
12/29/06	$	10,319,318		$	6,643,944	$	-		$	4,180,958		54,914	$	5,154,711
04/20/07		2,787,629			3,856,315		-			-		-		-
06/07/07		265,758			3,590,557		-			-		-		-
06/28/07		4,783,640			-		1,193,083			-		-		-
07/03/07		5,654			-		5,654			-		-		-
08/29/07		-			-		-			2,787,947		23,183		1,758,626
09/19/07		2,584,070			-		2,584,070			-		-		-
12/31/07		2,708,467			-		2,708,467			-		-		-
03/28/08		1,046,068			-		1,046,068			-		-		-
04/29/08		-			-		-			2,241,680		10,736		1,053,815
06/26/08		701,148			-		701,148			-		-		-
12/31/08		769,001			-		769,001			-		-		-
06/29/09		2,748,048			-		2,748,048			-		-		-
12/30/09		1,102,612			-		1,102,612			-		-		-
05/19/10		1,695,150			-		1,695,150			-		-		-
06/04/10		14,329,450	*		-		14,329,450	*		-		-		-
08/01/10		-			-		-			16,076,112		40,839		3,928,806
10/15/10		282,790	*		-		282,790	*		-		-		-
12/30/10		563,163	*		-		563,163	*		-		-		-
06/02/11		343,664	*		-		343,664	*		-		-		-
Totals	$	47,035,630		$	-	$	30,072,368		$	25,286,697		129,672	$	11,895,958

* The collections on June 4, October 15, December 30, 2010 and June 2, 2011 were from a settlement agreement reached with Cargill, Inc. and Cargill Investors Services, Inc. (together, "Cargill"). The gross collections of $15,300,000 on June 4, 2010, $661,567 on October 15, 2010, $1,317,479 on December 30, 2010 and $803,975 on June 2, 2011 were reduced by $970,550, $378,777, $754,316 and $460,312 respectively, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement.

(7) Fair Value Measurements

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

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

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

         Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  As of June 30, 2011 and December 31, 2010, the Trust did not have any Level 3 assets or liabilities.

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

The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2011 and December 31, 2010, respectively:

	June 30, 2011
	Level 1			Level 2			Level 3		Total
Unrealized loss on open contracts:
Futures positions	$	(453,643	)	$	-		$	-	$	(453,643	)
Forward currency positions		-			(238,616	)		-		(238,616	)
Purchased options on futures contracts		57,997			-			-		57,997
Written options on futures contracts		(9,913	)		-			-		(9,913	)
Fixed income securities					12,691,928			-		12,691,928
Total fair value	$	(405,559	)	$	12,453,312		$	-	$	12,047,753

	December 31, 2010
	Level 1		Level 2		Level 3		Total
Unrealized gain on open contracts:
Futures positions	$	1,163,684	$	-	$	-	$	1,163,684
Forward currency positions		-		193,659		-		193,659
Purchased options on futures contracts		120,263		-		-		120,263
Fixed income securities		-		11,540,784		-		11,540,784
Total fair value	$	1,283,947	$	11,734,443	$	-	$	13,018,390

(8) Operations

Redemptions

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

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Subscriptions

Investors that are eligible to participate in the private offering of the Units may purchase Units in the Trust effective the first business day of any month based on the net asset value per unit on the last business day of the previous month.  A correctly completed and signed subscription form with the corresponding funds must be received by ACS no later than five business days before the end of such month.  If the forms are completed accurately, the investor’s subscription is accepted and the units purchased become invested on the first business day of the following month.  If the subscription form is incomplete, the subscription is rejected and funds are returned to the investor from the administrator.  Likewise if a subscription form is received without the funds by the fifth business day before the end of the month, the subscription request is rejected.  If funds are received without a subscription form, the funds are returned to the investor.  If a subscription is accepted, 100% of the investment amount is invested as of the effective date.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended, and its Confidential Private Placement Memorandum and Disclosure Document contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.

Commissions

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

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

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

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

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(9) Financial Highlights

The following financial highlights show the Trust’s financial performance for the three and six-month periods ended June 30, 2011 and 2010.  Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period and is not annualized.  Total return is calculated based on the aggregate return of the Trust taken as a whole.

	Class A						Class B						Class A						Class B
	Three months ended June 30,						Three months ended June 30,						Six months ended June 30,						Six months ended June 30,
	2011			2010			2011			2010			2011			2010			2011			2010
Per share operating performance:
Net asset value of Trading units, beginning of period	$	96.88		$	100.86		$	101.34		$	103.40		$	100.64		$	102.84		$	104.75		$	104.91
Total Trading income (loss):
Trading gain (loss)		(2.42	)		1.14			(2.75	)		0.93			(4.07	)		1.19			(4.52	)		0.74
Investment income		0.11			0.03			0.12			0.03			0.24			0.04			0.25			0.04
Expenses		(2.43	)		(2.07	)		(1.84	)		(1.36	)		(4.67	)		(4.12	)		(3.61	)		(2.70	)
Trading income (loss)		(4.74	)		(0.90	)		(4.47	)		(0.40	)		(8.50	)		(2.88	)		(7.88	)		(1.91	)
Net asset value of Trading units, end of period	$	92.14		$	99.96		$	96.87		$	103.00		$	92.14		$	99.96		$	96.87		$	103.00
Total return:
Total return before incentive fees		(4.75	)%		(0.90	)%		(4.28	)%		(0.39	)%		(8.19	)%		(2.88	)%		(7.29	)%		(1.85	)%
Less incentive fee allocations		(0.14	)%		0.00	%		(0.13	)%		0.00	%		(0.26	)%		0.00	%		(0.24	)%		0.00	%
Total return		(4.89	)%		(0.90	)%		(4.41	)%		(0.39	)%		(8.45	)%		(2.88	)%		(7.53	)%		(1.85	)%
Ratios to average net assets:
Trading income (loss)		(4.94	)%		(0.89	)%		(4.68	)%		(0.18	)%		(8.74	)%		(2.96	)%		(7.99	)%		(1.50	)%
Expenses:
Expenses, less incentive fees		(2.40	)%		(2.05	)%		(1.93	)%		(1.31	)%		(4.56	)%		(4.05	)%		(3.56	)%		(2.55	)%
Incentive fees		(0.14	)%		0.00	%		(0.13	)%		0.00	%		(0.26	)%		0.00	%		(0.24	)%		0.00	%
Total expenses		(2.54	)%		(2.05	)%		(2.06	)%		(1.31	)%		(4.82	)%		(4.05	)%		(3.80	)%		(2.55	)%

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

The net loss and expense ratios are computed based upon the weighted average net assets for the Trust for the three and six-month periods ended June 30, 2011 and 2010.

(10) Cash Management Agreement with Affiliate

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment advisor and an affiliate of the Managing Owner, as cash manager.  The assets managed by RJOIM are held in segregated accounts in custody by Wells Fargo Bank, N.A.  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 June 30, 2011 the Trust’s deposits held by RJOIM consisted of cash of $18,242,697 and fixed income securities of $12,691,928. Advisory fees earned by the affiliate aggregated $15,594 and $30,860 for the three and six months ended June 30, 2011, respectively.

(11) Derivative Instruments and Hedging Activities

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

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Derivatives not designated as hedging instruments:

As of June 30, 2011

Type of Futures Contracts	Asset Derivatives Fair Value			Liability Derivatives Fair Value				Net Fair Value
Agriculture	$	(318,565	)		$	374,111		$	55,546
Currency		508,207				(717,566	)		(209,359	)
Energy		(108,605	)			75,780			(32,825	)
Indices		115,302				(325,249	)		(209,947	)
Interest Rates		(90,807	)			29,297			(61,510	)
Metals		(30,682	)			(155,398	)		(186,080	)
	$	74,850			$	(719,025	)	$	(644,175	)

As of December 31, 2010

Type of Futures Contracts	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value
Agriculture	$	920,055	$	(323,637	)	$	596,418
Currency		928,957		(507,464	)		421,493
Energy		65,691		(45,099	)		20,592
Indices		197,712		-			197,712
Interest Rates		117,158		(13,742	)		103,416
Metals		789,173		(651,198	)		137,975
	$	3,018,746	$	(1,541,140	)	$	1,477,606

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts on the consolidated statements of financial condition as of June 30, 2011 and December 31, 2010 respectively.

Trading gain (loss) for the following periods:

	Three months ended June 30,						Six months ended June 30,
Type of Futures Contracts	2011			2010			2011			2010
Agriculture	$	(513,248	)	$	(1,100,748	)	$	(611,681	)	$	(1,632,105	)
Currency		(701,077	)		(399,022	)		(1,225,707	)		137,363
Energy		(66,697	)		(470,356	)		196,021			(578,536	)
Indices		219,316			1,381,313			266,085			1,566,326
Interest Rates		241,800			1,750,823			(386,676	)		1,852,085
Metals		(207,505	)		(561,333	)		(116,584	)		(765,002	)
	$	(1,027,411	)	$	600,677		$	(1,878,542	)	$	580,131

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

(12) Subsequent Events

Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.

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

(a)  Introduction

The RJO Global Trust is a Delaware statutory trust (formed in November 1996) that trades in the U.S. and international futures and forward markets in equities, fixed income, currencies, interest rates, energy and agricultural products, metals, commodities indices, and stock indices.  The primary objective of the Trust is capital appreciation.  R.J. O’Brien Fund Management, LLC, the Managing Owner of the Trust, pursues this objective by allocating the Trust’s assets to a diverse group of experienced commodity trading advisors.  The Managing Owner seeks to reduce volatility and risk of loss by participating in broadly diversified global markets and implementing risk control policies.

The Trust was originally established and operated as a single-advisor commodity pool.  John W. Henry & Company, Inc. (“JWH”) served as the Trust’s sole trading advisor until October 31, 2008.  As of November 1, 2008, the Trust became a multi-advisor commodity pool where trading decisions for the Trust were delegated to five independent commodity trading advisors:  JWH, AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”), pursuant to advisory agreements executed between the Trust and each Advisor.  Effective February 1, 2009, NuWave Investment Management, LLC (“NW”) became the Trust’s sixth Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to the Trust.  Effective June 1, 2009, the Trust entered into an Advisory Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory Agreement with GALP, in connection with GALP’s initiative to migrate all of its clients to its Jersey-based (UK) entity.  As of June 30, 2009, AIS was terminated as an Advisor to the Trust and the Trust’s assets were reallocated with equal weighting of 16.666% each to the remaining four Advisors along with Conquest Capital Group (“CCG”) and Haar Capital Management (“HCM”) beginning July 1, 2009.  As of September 30, 2010, the Advisors to the Trust consisted of JWH, NW, ATC, GAJL, CCG, and HCM.  Beginning October 1, 2010, the Trust entered into Advisory Agreements with two additional Advisors.  On October 1, 2010 Trigon Investment Management (“TIM”) and Dominion Capital Management Institutional Advisers, Inc. (“DCM”) were each allocated approximately 8.33% of the Trust’s assets.

Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.

(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, 2011, 3,974 Class A units for $392,000 and 2,066 Class B units for $210,000 were purchased by the beneficial owners.  The Managing Owner purchased no units during this time.  For the period ending June 30, 2011, the Beneficial Owners redeemed a total of 95,471 Class A units for $9,235,400, and 2,005 Class B units for $203,274.  The Managing Owner redeemed 11,144 Class A units for $1,026,827 during the six-month period ending June 30, 2011.

The Trust’s involvement in the futures and forward markets exposes the Trust to both market risk — the risk arising from changes in the market value of the futures and forward contracts held by the Trust — and credit risk — the risk that another party to a contract will fail to perform its obligations according to the terms of the contract.  The Trust is exposed to a market risk equal to the value of the futures and forward contracts purchased and theoretically unlimited risk of loss on contracts sold short.  The Advisors monitor the Trust’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their respective trading strategies, adjusting position sizes of the Trust’s futures and forward contacts, and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit risk is its exposure to the non-performance of the 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.

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

During the six month period ending June 30, 2011, the Trust had no material credit exposure to a counterparty which is a foreign commodities exchange.

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.

(c) Liquidity

The Trust’s assets at June 30, 2011 are held in brokerage accounts with RJO.  Such assets are used as margin to engage in trading and may be used as margin solely for the Trust’s trading.  Except in unusual circumstances, the Trust should be able to close out any or all of its open trading positions and liquidate any or all of its holdings quickly and at market prices.  This should permit the Advisors to limit losses as well as reduce market exposure on short notice should their programs indicate reducing market exposure.

The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week U.S. Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars.  For deposits denominated in currencies other than U.S. dollars, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  For the period ended June 30, 2011 and June 30, 2010, the Trust has received or accrued to receive trading interest of $48,992 and $23,908, respectively.

Additionally, effective October 6, 2010, the Managing Owner retained RJO Investment Management LLC, 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 Fargo Bank, N.A. as custodian.  As of June 30, 2011, Wells Fargo Bank, N.A. held approximately $30.9 million of the Trust’s assets.

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.

16

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.  Additionally, no material deficiencies in liquidity were identified and there are no material unused sources of liquid assets.

(d) Results of Operations

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

JWH, ATC, GAJL, CCG, NW 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 mispricings in the market, and no macroeconomic assessment of the relative strengths of different national economies or economic sectors is made. However, there are frequent periods during which fundamental factors external to the market dominate prices.  For the discretionary Advisor, HCM, economic fundamentals and macroeconomic assessments are made.

The performance summaries set forth below outline certain factors that affected the performance of the Trust for the periods presented.  The fact that certain trends or market movements were captured does not imply that others, perhaps larger and potentially more profitable trends or market movements, were not missed or that the Advisors will be able to capture similar trends or movements in the future.  Moreover, the fact that the programs were profitable in certain market sectors in the past does not mean that they will be so in the future.

The performance summaries are an outline description of how the Trust performed in the past, 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, 2011

The Trust recorded net trading losses of $(2,064,169) or $(4.74) per trading unit for Class A units and a loss of $(4.47) per trading unit for Class B units in the second quarter of 2011 (*** Please see “Notes to Consolidated Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October 2005, as the following excludes the Trust’s Non-Trading accounts).  As of June 30, 2011, the Trust (Class A units) had gained 12.63% since its inception in June 1997.  Class B units have lost 18.86% since their inception in January of 2009.

On June 30, 2011, the Trust’s assets were allocated to the following Advisors as follows: ATC (16.61%), CCG (17.07%), GAJL (15.69%), HCM (9.37%), JWH (7.31%), NW (17.03%), DCM (8.88%) and TIM (8.03%).

In April stocks scored another gain in what has been a near perfect environment for the market over the last 12 months.  The S&P 500 has doubled since March 2009 and remains just 13% below an all time high.  Interest rates have remained at near historic lows and economic activity has been quietly improving.  Still, there is a certain uneasiness surrounding the current situation, as many prudent market watchers are concerned that the Federal Reserve Bank’s accommodative monetary policy is the only support underlying the market.  If the Fed were unable to maintain accommodative monetary policy the market would have to deal quickly with inflationary evidence and questions of currency stability.  Commodities remain in a steady uptrend and, although experiencing some brief pullbacks, have been led higher by food, metal, and energy markets.

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Stocks lost just over 1% during May while commodities lost just over 5%.  The markets seemed concerned that domestic global economic growth to be slowing.  Concerns over the European Union’s situation with Greece and its debt situation have brought credit market tensions to the forefront.  As a result, U.S. treasuries showed strength again this month with the benchmark 10-year note closing out the month with its yield hovering near 3%.  Given the markets concern over budget deficits and commodity led inflation, it is remarkable that the yield on the 10-year note is trading so low.  The markets appear to be very nervous about the potential of a U.S. budget impasse and a double dip recession.

Stocks staged a strong rally during the last few days of June but still finished the month down almost 2%.  Commodities lost 5% during the month as crude oil and grains sold off dramatically from recent highs.  On the energy front, the International Energy Agency orchestrated the release of 60 million barrels of oil to help loosen the oil market and to keep prices below $100 per barrel.  The USDA reported that farmers have planted a record amount of corn.  In fact, planted acreage is 9% higher than ever before.  Greece avoided a financial default by approving an austerity package despite a series of violent domestic protests.  Allowing Greece to solve its debt problem by creating more debt from within the European Community in a global environment that includes the U.S. fighting its own rising debt problems, finally got the attention of treasury markets around the world.  The unfolding events caused rates to creep up slightly during the month.  July should be interesting as politicians position themselves in the effort to increase the U.S. debt ceiling or face our own credit default.

Fiscal Quarter ended June 30, 2010

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

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

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

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

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

Fiscal Quarter ended March 31, 2011

The Trust recorded net trading losses of $(1,896,268) or $(3.76) per trading unit for Class A units and a loss of $(3.41) per trading unit for Class B units in the first quarter of 2011 (*** Please see “Notes to Consolidated Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October 2005, as the following excludes the Trust’s Non-Trading accounts). As of March 31, 2011, the Trust (Class A units) had gained 18.43% since its inception in June 1997.  Class B units have lost 15.12% since their inception in January 2009.

On March 31, 2011, the Trust’s assets were allocated to the following Advisors as follows: ATC (16.92%), CCG (15.56%), GAJL (17.37%), HCM (8.57%), JWH (8.50%), NW (16.07%), DCM (9.08%) and TIM (7.93%).

The stock market started the year with a solid gain.  U.S. treasuries and the U.S. dollar were slightly weaker.  Precious metals were decidedly weaker during the month but other commodities, lead higher by grains, allowed the Dow Jones UBS commodity index to post a gain of 1%.  The stock market benefitted from low interest rates and strong corporate earnings.  The U.S. bond market has not responded to signs of inflation that have begun to surface in the emerging economies of China, India, and Brazil.  In particular the economies of several Northern African countries have shown stress over food prices.  The political stress in Egypt and Tunisia added significant support to grain and energy prices.  Near month end, market participants saw evidence of those governments beginning to hoard food to make sure supplies are adequate at any cost.  Concern over access to the Suez Canal and the flow of oil exports from the region were reasons given for strength in oil prices.

Stocks kept climbing higher quietly during the month of February.  The rally was disrupted in the latter part of February as violence erupted in Libya.  Stress in the Middle East sparked a renewed rally in the petroleum markets.  In an odd turn of events, market participants identified climbing fuel prices, which on their own might be considered inflationary and negative for fixed income markets, as a reason that global economies might slow and therefore lessen inflationary pressures.  With this as a backdrop, U.S. treasuries posted a modest gain.  Commodity indices led higher by energy and metals markets posted all-time highs.  Domestically, the House and Senate have undertaken a project to revise and pass a budget that will reign in the country’s ballooning budget deficit.  Negotiations do not appear to be going well.  This all adds up to a volatile market outlook.

In March, an earthquake in Japan and the tsunami that followed unleashed a series of events that will change that country forever.  Stocks and commodities plunged following the disaster but recovered during the latter part of the month to finish unchanged.  A coalition of foreign forces decided to intervene in Libya to support the rebel groups battling against Gaddafi.  Unemployment in the U.S. was reported to be improving with the best number since 2008.    The USDA reports the lowest corn inventories in years.

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Fiscal Quarter ended March 31, 2010

The Trust recorded net trading losses of $(1,147,108) or $(1.98) per trading unit for Class A units and a loss of $(1.51) per trading unit for Class B units in the first quarter of 2010 (*** Please see “Notes to Consolidated Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October, 2005, as the following excludes the Trust’s Non-Trading accounts). As of March 31, 2010, the Trust (Class A units) had gained 23.29% since its inception in June 1997.  Class B units have lost -13.39% since inception in January of 2009.

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

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

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

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

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

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

The Trust does not have any material contractual obligations.

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Item 3. Quantitative and Qualitative Disclosures About Market Risk

There has been no material change with respect to the Trust’s market risk as described in the section entitled “Quantitative and Qualitative Disclosures About Market Risk” in our Annual Report on Form 10-K for the year ended December 31, 2010.

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 quarterly report was filed, including the Managing Owner’s Chief Executive Officer (the Trust’s principal executive officer) and Chief Financial Officer (the Trust’s principal financial officer), have evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) as of June 30, 2011.  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, 2011.

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, 2011, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

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

PART II - OTHER INFORMATION

Item 1. Legal Proceedings

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

Item 1A. Risk Factors

There have been no material changes from the risk factors in the section entitled “The Risks You Face” in the Trust’s Pre-Effective Amendment No. 1 to its Registration Statement on Form S-1 filed on April 22, 2011.

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Item 2. Unregistered Sales of Securities and Use of Proceeds

a) None

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

The following table summarizes the redemptions by unitholders during the second quarter of 2011:

	Units Redeemed				Redemption Date NAV per Unit
Month	Class A		Class B		Class A		Class B
April		7,821		-	$	97.98	$	102.66
May		13,334		486	$	95.63	$	100.37
June		21,950		54	$	92.14	$	96.87
Total		43,105		540

Class A units sold January 1, 2011 through June 30, 2011:  3,974

Class B units sold January 1, 2011 through June 30, 2011:  2,066

Units (Class A) unsold through June 30, 2011:  915,870 ($84,388,262)

Units (Class B) unsold through June 30, 2011:  915,870 ($88,720,327)

Aggregate price paid for units sold January 1, 2011 through June 30, 2011:  $602,000

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

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Item 6. Exhibits

a) Exhibits

Index to Exhibits

Exhibit Number	Description of Document
1.01	Third Amended and Restated Selling Agreement by and among RJO Global Trust (the “Registrant”), R.J. O’Brien Securities, LLC, and R.J. O’Brien Fund Management, LLC, dated as of July 1, 2011.
3.01	Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of September 1, 2010.1
3.02	First Amendment to the Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of July 13, 2011.2
3.03	Restated Certificate of Trust of the Registrant.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.
101.INS**	XBRL Instance Document
101.SCH**	XBRL Taxonomy Extension Schema
101.CAL**	XBRL Taxonomy Extension Calculation Linkbase
101.DEF**	XBRL Taxonomy Extension Definition Linkbase
101.LAB**	XBRL Taxonomy Extension Label Linkbase
101.PRE**	XBRL Taxonomy Extension Presentation Linkbase

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

2 Incorporated by reference herein from the exhibit of the same description filed on July 15, 2011 on Form 8-K.

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

** Pursuant to Rule 406T of Regulation S-T, the Interactive Data Files on Exhibit 101 hereto are deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 or 12 of the Securities Act of 1933, as amended, are deemed not filed for purposes of Section 18 of the Securities and Exchange Act of 1934, as amended, and otherwise are not subject to liability under those sections.

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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 15, 2011
By:	R.J. O’Brien Fund Management, LLC
	Managing Owner
By:	/s/ Thomas J. Anderson
	Thomas J. Anderson
	Principal Financial Officer and duly authorized officer

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EX-1.01

THIRD AMENDED AND RESTATED

SELLING AGREEMENT

RJO GLOBAL TRUST

(A DELAWARE BUSINESS TRUST)

Dated as of July 1, 2011

TABLE OF CONTENTS

SECTION 1.	REPRESENTATIONS AND WARRANTIES OF THE MANAGING OWNER AND THE TRUST	1
SECTION 2.	REPRESENTATIONS AND WARRANTIES OF THE LEAD SELLING AGENT	4
SECTION 3.	OFFERING AND SALE OF UNITS	5
SECTION 4.	COVENANTS OF THE MANAGING OWNER	7
SECTION 5.	PAYMENT OF EXPENSES AND FEES	8
SECTION 6.	CONDITIONS OF CLOSING	8
SECTION 7.	INDEMNIFICATION AND EXCULPATION	8
SECTION 8.	STATUS OF PARTIES	10
SECTION 9.	REPRESENTATIONS. WARRANTIES AND AGREEMENTS TO SURVIVE DELIVERY	10
SECTION 10.	TERMINATION	11
SECTION 11.	ASSIGNMENT	11
SECTION 12.	NOTICES AND AUTHORITY TO ACT	11
SECTION 13.	PARTIES	11
SECTION 14.	GOVERNING LAW	12
SECTION 15.	REQUIREMENTS OF LAW	12
SECTION 16.	EXHIBITS	12

RJO GLOBAL TRUST

(A DELAWARE BUSINESS TRUST)

(SUBSCRIPTION PRICE:

NET ASSET VALUE PER UNIT)

THIRD AMENDED AND RESTATED SELLING AGREEMENT

as of July 1, 2011

R.J. O’Brien Securities LLC

222 S Riverside Plaza Suite 900

Chicago, IL 60606

Dear Sirs:

This Third Amended and Restated Selling Agreement (the “Agreement”) amends and restates, in its entirety, that certain Selling Agreement dated as of October 2, 2007, as amended and restated on November 16, 2007, as amended and restated on November 5, 2008, and as amended on September 1, 2010, by and among the Trust, the Managing Owner and the Lead Selling Agent (as defined below).  R.J. O’Brien Fund Management, LLC, a Delaware limited liability company (referred to herein in its corporate capacity and as managing owner, “RJOFM” or “Managing Owner”) became the managing owner to the RJO Global Trust (formerly known as the JWH Global Trust) (the “Trust”) on March 30, 2006.  The Trust was formed pursuant to the Business Trust Act (12 DEL. C. Section 3801 et seq.) of the State of Delaware (the “Trust Act”) on November 12, 1996 for the purpose of engaging in speculative trading of futures contracts on currencies, interest rates, energy, and agricultural products, metals and stock indices, options on such futures contracts, and spot and forward contracts on currencies and precious metals.

The beneficial units in the Trust (the “Units”) are offered in one series and may be offered in additional series in the future.  The Units are offered in two classes and may be offered in additional classes in the future.  The assets of the Trust will be allocated to one or more trading advisors (each a “Trading Advisor” and collectively the “Trading Advisors”).  Each Trading Advisor is registered with the Commodities Futures Trading Commission (the “CFTC”) as a Commodity Trading Advisor, or exempt from such registration, under the Commodity Exchange Act, as amended (the “CEAct”), and is a member of the National Futures Association (the “NFA”) in such capacity.

R.J. O’Brien Securities LLC, a limited liability company formed under the laws of the State of Delaware, will act as the lead selling agent for the Trust (the “Lead Selling Agent”) pursuant to this Agreement. Other selling agents (each an ‘‘Additional Selling Agent” and collectively, the “Additional Selling Agents”) may be selected by the Lead Selling Agent with the consent of the Managing Owner, in accordance with the terms of this Agreement, and an additional selling agent agreement (each, an “Additional Selling Agent Agreement”).

SECTION 1. REPRESENTATIONS AND WARRANTIES OF THE MANAGING OWNER AND THE TRUST

Each of the Managing Owner and the Trust severally as applicable to itself (and in the case of RJOFM as applicable to the Trust) represents and warrants as of the date hereof to, the Lead Selling Agent, as follows:

(a) The Trust will not file any amendment or supplement to the Confidential Private Placement Memorandum and Disclosure Document (the “Memorandum”) currently effective under the rules and regulations of the CFTC and NFA unless the Lead Selling Agent has received reasonable prior notice of and a copy of such amendments or supplements and has not reasonably objected thereto in writing.

(b) The Trust will not utilize any promotional brochure or other marketing materials (collectively, “Promotional Material”) which are reasonably objected to by the Lead Selling Agent.  No reference to the Lead Selling Agent may be made in the Memorandum or in any Promotional Material that has not been approved by the Lead Selling Agent, which approval the Lead Selling Agent may withhold in its reasonable discretion.

(c) The Amended and Restated Certificate of Trust pursuant to which the Trust has been formed (the “Certificate of Trust”) and the Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended or as amended and restated from time to time (the “Declaration and Agreement of Trust”) each provides for the subscription for and sale of the Units; all action required to be taken by the Managing Owner and the Trust as a condition to the continued sale of the Units to qualified subscribers therefore has been, or prior to each Closing Time, as defined in Section 3(a) hereof, will have been taken; and, upon payment of the consideration therefore specified in all accepted Subscription Agreements and Powers of Attorney (the “Subscription Agreement”), the Units will constitute valid beneficial interests in the Trust.

(d) The Trust is a business trust duly organized pursuant to the Certificate of Trust, the Declaration and Agreement of Trust and the Trust Act and validly existing under the laws of the State of Delaware with full power and authority to engage in the trading of futures, options on futures, and spot/forward contracts, as described in the Memorandum.

(e) RJOFM is duly organized and validly existing and in good standing as a limited liability company under the laws of the State of Delaware and in good standing as a foreign corporation in each other jurisdiction in which the nature or conduct of its businesses requires such qualification and the failure to so qualify would materially adversely affect the Trust’s or the Managing Owner’s ability to perform their obligations hereunder.

(f) The Trust and RJOFM have proper power and authority under applicable law to perform their respective obligations under the Declaration and Agreement of Trust, the agreements among the Trust, the Managing Owner and each Trading Advisor (the “Trading Advisor Agreements”) and this Agreement, as described in the Memorandum.

(g) The Memorandum contains all statements and information required to be included by the CEAct and the rules and regulations thereunder.  The Memorandum as of its most recent date of issue will not contain an untrue statement of a material fact or omit to state a material fact necessary to make the statements therein, in light of the circumstances under which such statements were made, not misleading. This representation and warranty shall not, however, apply to any statement or omission in the Memorandum made in reliance upon and in conformity with information relating to the Trading Advisors and furnished by such Trading Advisors; or with respect to any information contained in the prior versions of the Memorandum.

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(h) Since the date as of which information is given in the Memorandum, there has not been any material adverse change not already known in the condition, financial or otherwise, of the Managing Owner or the Trust, whether or not arising in the ordinary course of business.

(i) The Managing Owner at each Closing Time will have a net worth sufficient in amount and satisfactory in form, for classification of the Trust as a partnership for federal income tax purposes under current interpretations of the Internal Revenue Code of 1954 and the Internal Revenue Code of 1986, as amended (collectively, the “Code”), and the regulations thereunder.

(j) The Trading Advisory Agreements, the Declaration and Agreement of Trust, and this Agreement have each been duly and validly authorized, executed and delivered by the Managing Owner and on behalf of the Trust, and each constitutes a legal, valid and binding agreement of the Trust and the Managing Owner signatory thereto enforceable in accordance with its terms.

(k) The execution and delivery of the Declaration and Agreement of Trust, the Trading Advisory Agreements and this Agreement, the incurrence of the obligations set forth in each of such agreements and the consummation of the transactions contemplated therein and in the Memorandum do not and will not constitute a breach of, or default under, any instrument by which either the Managing Owner or the Trust, as the case may be, is bound or any order, rule or regulation applicable to the Managing Owner or the Trust of any court or any governmental body or administrative agency having jurisdiction over the Managing Owner or the Trust.

(l) There is not pending, or, to the Managing Owner’ knowledge, threatened, any action, suit or proceeding before or by any court or other governmental body to which the Managing Owner or the Trust is a party, or to which any of the assets of the Managing Owner or the Trust is subject, which is not referred to in the Memorandum or which is not otherwise known, and which might reasonably be expected to result in any material adverse change in the condition (financial or otherwise), of the Managing Owner or the Trust or is required to be disclosed in the Memorandum pursuant to applicable CFTC Rules. The Managing Owner has not received any notice of an investigation or warning letter from NFA or the CFTC regarding non-compliance by the Managing Owner with the CEAct or the regulations thereunder.

(m) The Managing Owner has all federal and state governmental, regulatory and commodity exchange approvals and licenses, and has effected all filings and registrations with federal and state governmental agencies required to conduct its businesses and to act as described in the Memorandum or required to perform its obligations as described under the Declaration and Agreement of Trust and this Agreement (including, without limitation, registration as a commodity pool operator under the CEAct and membership in NFA as a commodity pool operator), and the performance of such obligations will not contravene or result in a breach of any provision of its certificate of incorporation, by-laws or any agreement, order, law or regulation binding upon it. The principals of the Managing Owner identified in the Memorandum are all of the principals of the Managing Owner, as “principals” is defined by CFTC Rules.  Such principals are duly listed as such on the Managing Owner’s commodity pool operator Form 7-R registration.

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(n) The Trust does not require any federal or state governmental, regulatory or commodity exchange approvals or licenses, or need to effect any filings or registrations with any federal or state governmental agencies in order to conduct its businesses and to act as contemplated by the Memorandum and to issue and sell the Units (other than filings relating solely to the offering of the Units), and to trade in the commodity markets.

SECTION 2. REPRESENTATIONS AND WARRANTIES OF THE LEAD SELLING AGENT.

The Lead Selling Agent represents and warrants to the Trust and the Managing Owner, as follows:

(a) The Lead Selling Agent is a limited liability company duly organized and validly existing and in good standing under the laws of the State of Delaware and in good standing and qualified to do business in the State of Illinois and in each other jurisdiction in which the nature or conduct of its business requires such qualification and the failure to be duly qualified would materially adversely affect the Lead Selling Agent’s ability to perform its obligations hereunder. The Lead Selling Agent has full corporate power and authority to perform its obligations under this Agreement and as described in the Memorandum.

(b) As to the Lead Selling Agent and its principals the Memorandum (as approved in pertinent part by the Lead Selling Agent) at its date of issue did not and will not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements therein not misleading, in light of the circumstances under which such statements were made.

(c) The Lead Selling Agent has, or, at the date of this Agreement, is in the process of acquiring all federal and state governmental, regulatory and exchange licenses and approvals, and has effected all filings and registrations with federal and state governmental and regulatory agencies required to conduct its business and to act as described in the Memorandum or required to perform its obligations under the this Agreement (including, without limitation, membership of the Lead Selling Agent as a dealer in the Financial Industry Regulatory Authority (“FINRA”)), and the performance of such obligations will not violate or result in a breach of any provision of the Lead Selling Agent’s organizational documents, by-laws or any agreement, instrument, order, law or regulation binding upon the Lead Selling Agent.

(d) This Agreement has been duly authorized, executed and delivered by the Lead Selling Agent, and this Agreement constitutes a valid, binding and enforceable agreement of the Lead Selling Agent in accordance with its terms.

(e) The execution and delivery of this Agreement, the incurrence of the obligations set forth herein and therein and the consummation of the transactions contemplated herein and therein and in the Memorandum did not and will not constitute a breach of, or default under, any instrument by which the Lead Selling Agent is bound or any order, rule or regulation applicable to the Lead Selling Agent of any court or any governmental body or administrative agency having jurisdiction over the Lead Selling Agent.

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SECTION 3. OFFERING AND SALE OF UNITS.

(a) The Lead Selling Agent is hereby appointed the principal selling agent of the Trust during the term specified for the purpose of finding acceptable Additional Selling Agents that are duly registered as a broker-dealer in each jurisdiction in which such broker-dealer will markets Units. Units may be sold as of the close of business on the last day of each month on a continuous basis (the “Offering Period”; and the date of each Closing, each a ‘‘Closing Time”). The Managing Owner may terminate the Offering Period at any time subject to the performance by the Managing Owner of all its obligations to be performed hereunder.  Based on the completeness and accuracy in all material respects of all the representations and warranties of the Managing Owner contained herein, the Lead Selling Agent hereby accepts such agency and agrees on the terms and conditions herein set forth to use its best efforts during the Offering Period to retain qualified Additional Selling Agents to procure subscribers for the Units at the current net asset value (the “Net Asset Value”) per Unit, with each such subscriber procured by said Additional Selling Agents being required to subscribe for at least $10,000 of Units, $5,000 of Units in the case of trustees or custodians of eligible employee benefit plans and individual retirement accounts and $5,000 of Units in the case of existing holders of Units (“Unitholders”) who are individuals and $2,500 of Units in the case of existing holders of Units who are custodians of eligible employee benefit plans and individual retirement accounts.  It is understood that the Lead Selling Agent’s agreement to use its best efforts to find acceptable Additional Selling Agents for the Units shall not prevent it from acting in a similar capacity for the securities of other issuers that may be offered or sold during the Offering Period.  The agency of the Lead Selling Agent hereunder shall continue, subject to the provisions of Section 10 of this Agreement, for such period as the Lead Selling Agent and the Managing Owner shall agree upon.

(b) No selling commissions will be paid from the proceeds of sales of Units. The Lead Selling Agent will compensate its own duly licensed registered representatives (the “Registered Representatives”) pursuant to the Lead Selling Agent’s standard compensation procedures. The Lead Selling Agent will cause the Managing Owner in its capacity as the paying agent or the paying agent’s designee to pay Additional Selling Agents selling commissions of up to 2.0% of the Net Asset Value of each Class A Unit sold by the Registered Representative of each such Additional Selling Agent (the “Selling Commission”). The Managing Owner will pay the Selling Commission at such time as the Units are sold and will be reimbursed by the Trust at a rate of 1/12 of 2.35% of the Net Asset Value of each Class A Unit on a monthly basis until the earlier of (i) such time as the Managing Owner has been reimbursed up to 2.35% of the initial Net Asset Value of the Units or (ii) such time as the respective Units have been held for 12 months (the “Selling Commission Reimbursement”).  No selling commission will be paid with respect to Class B Units.  The Lead Selling Agent will cause the payment of up to 2.0% per annum of the month-end Net Asset Value of the Class A Units attributable to Class A Units sold by a Registered Representative of the Additional Selling Agent to the Registered Representative who, at the time such payment is made, has agreed to provide the additional services described below beginning in the month in which the Managing Owner no longer receives the Selling Commission Reimbursement pursuant to the 4th sentence of this Section 3(b).  The Managing Owner will pay the Lead Selling Agent a one-time fee equal to 0.12% of each month’s new offering proceeds.

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(c) The ongoing compensation described in Section 3(b) will only be paid to eligible Registered Representatives and is contingent upon the provision by a Registered Representative who sold outstanding Units in his capacity as a registered representative of the Additional Selling Agent of additional services in connection with such Units, including: (i) inquiring of the Managing Owner from time to time, at the request of an owner of such Units, as to the Net Asset Value of a Unit; (ii) inquiring of the Managing Owner from time to time, at the request of an owner of such Units, regarding the commodities markets and the Trust; (iii) assisting, at the request of the Managing Owner, in the redemption of Units sold by such Registered Representative; and (iv) providing such other services to the owners of such Units as the Managing Owner may, from time to time, reasonably request.

(d) Ongoing compensation shall be paid only in respect of Units sold by Registered Representatives who are eligible to receive such ongoing compensation as described above. No ongoing compensation whatsoever shall be paid on any Units sold by Registered Representatives not eligible to receive such ongoing compensation at the time of payment. With respect to particular Units substitute Registered Representatives who are appropriately registered and who agree in writing to perform the services described in Section 3(b) above with respect to such Units (“Substitute Registered Representatives”) may also receive ongoing compensation with respect to such Units.  Such ongoing compensation shall be paid monthly.

(e) Ongoing compensation which cannot be paid because an Additional Selling Agent (or a Registered Representative) has not met the eligibility requirements shall he retained by the Lead Selling Agent or the Managing Owner.

(f) The Lead Selling Agent will use its best efforts to find eligible Additional Selling Agents to market the Units on the terms stated herein and in the Memorandum. It is understood that the Lead Selling Agent has no commitment with regard to the appointment of Additional Selling Agents other than to use its best efforts. In connection with the appointment of Additional Selling Agents, the Lead Selling Agent represents that it will comply fully with all applicable laws, and the rules of FINRA, the SEC, the CFTC, state securities administrators and any other regulatory body.  The Lead Selling Agent shall cause the Additional Selling Agents that it shall appoint to not execute any sales of Units from a discretionary account over which it has control without prior written approval of the customer in whose name such discretionary account is maintained.

(g) The Lead Selling Agent shall cause any Additional Selling Agents that it shall appoint to agree not to recommend the purchase of Units to any subscriber unless the Additional Selling Agent shall have reasonable grounds to believe, on the basis of information obtained from the subscriber concerning, among other things, the subscriber’s investment objectives, other investments, financial situation and needs, that the subscriber is or will be in a financial position appropriate to enable the subscriber to realize to a significant extent the benefits of the Trust, including tax benefits described in the Memorandum; the subscriber has a fair market net worth sufficient to sustain the risks inherent in participating in the Trust, including loss of investment and lack of liquidity; and the Units are otherwise a suitable investment for the subscriber.  The Lead Selling Agent represents and warrants that it has reasonable grounds to believe, based on information in the Memorandum and information to which the Lead Selling Agent has otherwise had access from RJOFM, that all material facts relating to an investment in the Units are adequately and accurately disclosed in the Memorandum. In connection with making the foregoing representations and warranties, the Lead Selling Agent further represents and warrants that it has, among other things, examined the Memorandum and obtained such additional information from RJOFM regarding the information set forth therein as the Lead Selling Agent has deemed necessary or appropriate to determine whether the Memorandum adequately and accurately discloses all material facts relating to an investment in the Trust and provides an adequate basis to subscribers for evaluating an investment in the Units.

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(h) In connection with making the representations and warranties set forth in this paragraph, the Lead Selling Agent has not relied on inquiries made by or on behalf of any other parties.

(i) The Lead Selling Agent agrees to cause any Additional Selling Agents that it may appoint to inform all prospective purchasers and marketers of Units of all pertinent facts relating to the liquidity and marketability of the Units as set forth in the Memorandum.

(i) None of the Lead Selling Agent, the Trust or the Managing Owner shall, directly or indirectly, pay or award any finder’s fees, commissions or other compensation to any person engaged by a potential investor for investment advice as an inducement to such advisor to advise the purchase of Units; provided, however, the normal sales commissions payable to a registered broker-dealer or other properly licensed person for selling Units shall not be prohibited hereby.

(j) All payments for subscriptions shall be made by transfer of funds to the subscription account of the Trust as described in the Memorandum.

(k) It is understood and agreed that the Lead Selling Agent may rely, in connection with the offering and sale of Units in any jurisdiction, on advice given by counsel as to the legality of the offer or sale of the Units in such jurisdiction, provided, however, that the Lead Selling Agent, and Additional Selling Agent shall be responsible for compliance with all applicable laws, rules and regulations with respect to the actions of its employees, acting as such, in connection with sales of Units in any jurisdiction.

SECTION 4. COVENANTS OF THE MANAGING OWNER.

(a) The Managing Owner will notify the Lead Selling Agent and confirm such notification in writing (i) of any request by the SEC, CFTC or any other federal or state regulatory body for any amendment or supplement to the Memorandum or for additional information relating thereto and (ii) of the issuance by the SEC, CFTC or any other federal or state regulatory body of any order suspending the CFTC registration or NFA membership of the Managing Owner as a commodity pool operator, or any order or decree enjoining the offering or the use of the then current Memorandum or of the institution, or notice of the intended institution, of any action or proceeding for that purpose.

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(b) If any event relating to or affecting the Managing Owner or the Trust shall occur as a result of which it is necessary, in the reasonable opinion of the Managing Owner or the Lead Selling Agent, to amend or supplement the Memorandum in order to make the Memorandum not materially misleading in light of the circumstances existing at the time it is delivered to a subscriber, the Managing Owner and the Trust will forthwith prepare and furnish to the Lead Selling Agent, at the expense of the Managing Owner, a reasonable number of copies of an amendment or amendments of, or a supplement or supplements to, the Memorandum which will amend or supplement the Memorandum so that as amended or supplemented it will not contain an untrue statement of a material fact or omit to state a material fact necessary in order to make the statements therein, in light of the circumstances existing at the time the Memorandum is delivered to a subscriber, not misleading. No such amendment or supplement shall be filed without the approval of the Lead Selling Agent and their counsel.

SECTION 5. PAYMENT OF EXPENSES AND FEES.

RJOFM, as necessary, will advance the expenses incident to the performance of the obligations of the Managing Owner and the Trust hereunder, including: (i) the printing and delivery to the Lead Selling Agent and Additional Selling Agents in quantities as hereinabove stated of the Memorandum and any supplements or amendments thereto, and of any supplemental sales materials; (ii) the reproduction of this Agreement and the printing and filing of the Memorandum (and, in certain cases, the exhibits thereto) with the SEC, CFTC and NFA; (iii) the services of counsel and accountants for RJOFM and the Trust, including certain services of CF & Co LLP in connection with their review of the performance records in the Memorandum; and (iv) “road show” presentations.

SECTION 6. CONDITIONS OF CLOSING.

The obligations of each of the parties hereunder are subject to the accuracy of the representations and warranties of the other parties hereto, to the performance by such other parties of their respective obligations hereunder and to the following further conditions:

(a) At each Closing Time no objection to the content thereof shall have been expressed or threatened by the CFTC or NFA.

(b) Upon the request of any party hereto, the parties hereto shall have been furnished with such information, opinions and documents as the parties hereto may reasonably require for the purpose of enabling them to perform their respective obligations contemplated herein.

(c) The representations and warranties set forth herein shall be deemed restated as of each subsequent Closing Time as if made as of the date thereof.

SECTION 7. INDEMNIFICATION AND EXCULPATION.

(a) Indemnification By The Managing Owner. The Managing Owner agrees to indemnify and hold harmless the Lead Selling Agent and each person, if any, who controls the Leading Selling Agent within the meaning of Section 15 of the Securities Act of 1933, as amended (the “1933 Act”), as follows:

(i) against any and all loss, liability, claim, damage and expense whatsoever arising out of any untrue statement or alleged untrue statement of a material fact contained in the Memorandum (or any amendment or supplement thereto) or the omission or alleged omission therefrom of a material fact necessary in order to make the statements therein, in light of the circumstances under which they were made, not misleading; and

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(ii) against any and all loss, liability, claim, damage and expense whatsoever to the extent of the aggregate amount paid in settlement of any litigation, or any investigation or proceeding by any governmental agency or body commenced or threatened, or of any claim whatsoever based upon any such untrue statement or omission or any such alleged untrue statement or omission (any settlement to be subject to indemnity hereunder only if effected with the written consent of the Managing Owner); and

(iii) against any and all expense whatsoever (including the fees and disbursements of counsel and, in the case of the Lead Selling Agent, or Additional Selling Agent made pursuant to a Additional Selling Agent Agreement) reasonably incurred in investigating, preparing or defending against litigation, or any investigation or proceeding by any governmental agency or body, commenced or threatened, or any claim whatsoever based upon any such untrue statement or omission, or any such alleged untrue statement or omission, to the extent that any such expense is not paid under clauses (i) or (ii) above.

In no case shall the Managing Owner be liable under this indemnity to the Lead Selling Agent if such untrue statement or omission or alleged untrue statement or omission was made in reliance upon and in conformity with information relating to the Lead Selling Agent and furnished or approved by the Lead Selling Agent, or to any Additional Selling Agent, if such untrue statement or alleged untrue statement was made in reliance upon and in conformity with information (including any material omission from such information), if any, relating to, such Additional Selling Agent and furnished or approved by such party.

In no case shall the Managing Owner be liable under this indemnity agreement with respect to any claim made against any indemnified party unless the Managing Owner shall be notified in writing of the nature of the claim within a reasonable time after the assertion thereof, but failure to so notify the Managing Owner shall not relieve the Managing Owner from any liability which it may have than on account of this indemnity agreement unless such failure to notify shall materially prejudice the Managing Owner.  The Managing Owner shall be entitled to participate at its own expense in the defense or if it so elects within a reasonable time after receipt of such notice, to assume the defense of that portion of any suit so brought relating to the Managing Owner’s indemnification obligations hereunder, which defense shall be conducted by counsel chosen by it and satisfactory to the indemnified party or parties, defendant or defendants therein. In the event that the Managing Owner elects to assume the defense of any such suit and retain such counsel, the indemnified party or parties, defendant or defendants in the suit, shall, in the absence of conflicting claims, bear the fees and expenses of any additional counsel thereafter retained by it or them.

In no event, however, shall the Managing Owner be obligated to indemnify the Lead Selling Agent hereunder, and the Lead Selling Agent agrees not to attempt to obtain any indemnity from the Managing Owner hereunder, to the extent that the Managing Owner and the Lead Selling Agent are advised by counsel reasonably satisfactory to the Managing Owner and the Lead Selling Agent that payment of such indemnity could adversely affect the classification of the Trust as a partnership for U.S. federal income tax purposes.

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The Managing Owner agrees to notify the Lead Selling Agent within a reasonable time of the assertion of any claim in connection with the sale of the Units against it or any of its officers or directors or any person who controls either of the Managing Owner within the meaning of Section 15 of the 1933 Act.

(b) Indemnification By The Lead Selling Agent. The Lead Selling Agent agrees to indemnify and hold harmless the Trust and the Managing Owner and each person, if any, who controls the Trust and the Managing Owner within the meaning of Section 15 of the 1933 Act (and in the case of the Managing Owner and the Trust, each person who is a director of the Managing Owner), (i) to the same extent as the indemnity from the Managing Owner set forth in 10(b) hereof, but only insofar as the losses, claims, damages, liabilities or expenses indemnified against arise out of or are based upon any untrue statement or omission or alleged untrue statement or omission relating or with respect to the Lead Selling Agent or any of its principals, or their operations, which was made in the Memorandum or any amendment or supplement thereto and furnished by or approved by the Lead Selling Agent for inclusion therein and (ii) against any and all loss, liability, claim, damage and expense whatsoever resulting from a demand, claim, lawsuit, action or proceeding relating to the actions or capacities of the Lead Selling Agent (including a breach of its obligations hereunder) and any Additional Selling Agent relating to the offering of Units under this Agreement or any Additional Selling Agent Agreement.

(c) Contribution. If the indemnification provided for in this Section 7 is not permitted under applicable law under subsection (a) or (b) above in respect of any losses, claims, damages or liabilities (or actions in respect thereof) referred to therein, then each indemnifying party shall contribute to the amount paid or payable by such indemnified party as a result of such losses, claims, damages or liabilities (or actions in respect thereof) in such proportion as is appropriate to reflect the relative benefits received by such parties.

SECTION 8. STATUS OF PARTIES.

In selling the Units for the Trust, the Lead Selling Agent is acting solely as an agent for the Trust and not as a principal. The Lead Selling Agent will use its best efforts to assist the Trust in obtaining performance by each purchaser whose offer to purchase Units from the Trust has been accepted on behalf of the Trust, but the Lead Selling Agent shall not have any liability to the Trust in the event that Subscription Agreements are improperly completed or any such purchase is not consummated for any reason. Except as specifically provided herein, the Lead Selling Agent shall in no respect be deemed to be an agent of the Trust.

SECTION 9. REPRESENTATIONS. WARRANTIES AND AGREEMENTS TO SURVIVE DELIVERY.

All representations, warranties and agreements contained in this Agreement or contained in certificates of any party hereto submitted pursuant hereto shall remain operative and in full force and effect, regardless of any investigation made by, or on behalf of, the Lead Selling Agent, the Managing Owner, the Trust or any person who controls any of the foregoing.

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SECTION 10. TERMINATION.

(a) This Agreement shall continue in effect for a period of one year from the date the Agreement was entered into unless otherwise terminated as set forth in this Section 10.  If this Agreement is not terminated upon the expiration of such one-year period, this Agreement shall automatically renew for an additional one-year period and shall continue to renew for additional one-year periods until this Agreement is otherwise terminated, as provided for herein.

(b) This Agreement shall terminate on the earlier of (i) such date as the Lead Selling Agent may determine by giving 60 days’ prior written notice to the other parties to this Agreement, (ii) such date as the Trust may determine by giving 60 days’ prior written notice to the Lead Selling Agent or, without such notice, upon termination of the offering of the Units or dissolution of the Trust or (iii) by the Trust, without notice, upon breach by the Lead Selling Agent of, or non-compliance by the Lead Selling Agent with, any material term of this Agreement.

(c) The termination of this Agreement for any reason set forth in Sections 10(b)(i) or 10(b)(ii) shall not affect:

(i) the ongoing obligations of the Trust to pay selling commissions, ongoing compensation or installment selling commissions accrued prior to the termination hereof, or the indemnification obligations under Section 7 hereof. In the event this Agreement is terminated pursuant to Section 10(b)(iii), the Managing Owner may withhold accrued but unpaid selling commissions and ongoing compensation or installment selling commissions due the Lead Selling Agent until the Trust has been put in the same financial position as it would have been absent such breach or non-compliance.

SECTION 11. ASSIGNMENT.

This Agreement may be transferred and assigned by any party hereto only with the prior express written consent of all other parties. The Lead Selling Agent may transfer and assign any agreement with an Additional Selling Agent only with the prior express written consent of the Additional Selling Agent that is a party to that agreement and of the Managing Owner.

SECTION 12. NOTICES AND AUTHORITY TO ACT.

All communications hereunder shall be in writing and, if sent to the Lead Selling Agent, RJOFM, the Futures Broker or the Trust, shall be mailed, delivered, or sent via facsimile or e-mail, and confirmed to R.J. O’Brien Fund Management, LLC, 222 S. Riverside Plaza Suite 900, Chicago, Illinois 60606, Attention: Annette A. Cazenave; facsimile: (312) 373-4831; e-mail: acazenave@rjobrien.com; with a copy to Alston & Bird LLP, 90 Park Avenue, New York, New York 10016, Attention: Timothy P. Selby; facsimile: (212) 922-3894; e-mail: tim.selby@alston.com.

SECTION 13. PARTIES.

This Agreement shall inure to the benefit of and be binding upon the Lead Selling Agent, the Trust, the Managing Owner, and the Futures Broker, and such parties’ respective successors to the extent provided herein. This Agreement and the conditions and provisions hereof are intended to be and are for the sole and exclusive benefit of the parties hereto and their respective successors, assigns and controlling persons and parties indemnified hereunder, and for the benefit of no other person, firm or corporation. No purchaser of a Unit shall be considered to be a successor or assign solely on the basis of such purchase.

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The parties acknowledge that the obligations of this Agreement are not binding against the Unitholders individually but are binding only upon the assets and property of the Trust, and in the event of any obligation or claim arising hereunder against the Trust, no resort shall he had to the personal property of any Unitholder for the satisfaction of such obligation or claim.

SECTION 14. GOVERNING LAW.

This agreement and the rights and obligations of the parties created hereby shall be governed by the laws of the State of Illinois without regard to the principles of choice of law thereof.

SECTION 15. REQUIREMENTS OF LAW.

Whenever in this Agreement it is stated that a party will take or refrain from taking a particular action, such party may nevertheless refrain from taking or take such action if advised by counsel that doing so is required by law or advisable to ensure compliance with law, and shall not be subject to any liability hereunder for doing so, although such action shall permit termination of the Agreement by the other parties hereto.

If the foregoing is in accordance with each party’s understanding of its agreement, each party is requested to sign and return to RJOFM as Managing Owner a counterpart hereof, whereupon this instrument along with all counterparts will become a binding agreement between us in accordance with its terms.

SECTION 16. EXHIBITS

(a) EXHIBIT A: R.J. O’Brien Securities LLC Privacy Policy

(b) EXHIBIT B: R.J. O’Brien Securities LLC Business Continuity Plan Summary

[Signatures to Follow]

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Very truly yours,
RJO  GLOBAL TRUST
By:	R.J. O’Brien Fund Management, LLC, its Managing Owner
By:	/s/ Annette A. Cazenave
	Name:  Annette A. Cazenave
	Title:  Executive Vice President
R.J. O’BRIEN SECURITIES, LLC
By:	/s/ Thomas J. Anderson
	Name: Thomas J. Anderson
	Title: Chief Financial Officer
R.J. O’BRIEN FUND MANAGEMENT, LLC
By:	/s/ Gerald F. Corcoran
	Name: Gerald F. Corcoran
	Title: Chief Executive Officer

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EXHIBIT A

R.J. O’Brien Securities, LLC

PRIVACY POLICY

Respecting the privacy and security of personal information is important to us. Please read this Privacy Policy carefully.

We do not disclose any nonpublic personal information about our customers or former customers to anyone, except as permitted by law.

Collection of Information

We collect nonpublic personal information about you from the following sources:

- Information we receive from you on applications or other forms;

- Information about your transactions with us, our affiliates or others; and

Information we receive from a consumer reporting agency.

- Information Sharing with Nonaffiliated Third Parties as Permitted by Law

We are permitted by law to share all the information we collect, as described above, with (1) companies that perform marketing services on our behalf and (2) other third parties that assist us with preparing and processing orders and statements.

Confidentiality and Security

We restrict access to nonpublic personal information about you to those employees who need to know that information to provide products or services to you. We maintain physical, electronic and procedural safeguards that are designed to protect your nonpublic information.

EXHIBIT B

R.J. O’Brien Securities, LLC’s Business Continuity Planning

R.J. O’Brien Securities, LLC has developed a Business Continuity Plan on how we will respond to events that significantly disrupt our business. Since the timing and impact of disasters and disruptions is unpredictable, we will have to be flexible in responding to actual events as they occur. With that in mind, we are providing you with this information on our business continuity plan.

Contacting Us – If after a significant business disruption you cannot contact us as you usually do at (312) 373-5000, you should call our alternative number (312) 451-6830.

Our Business Continuity Plan – We plan to quickly recover and resume business operations after a significant business disruption and respond by safeguarding our employees and property, making a financial and operational assessment, protecting the firm’s books and records, and allowing our customers to transact business. In short, our business continuity plan is designed to permit our firm to resume operations as quickly as possible, given the scope and severity of the significant business disruption.

Our business continuity plan addresses: data back up and recovery; all mission critical systems; financial and operational assessments; alternative communications with customers, employees, business constituents, and regulators; alternate physical location of employees; critical supplier, contractor, bank and counter-party impact; and regulatory reporting.

Varying Disruptions – Significant business disruptions can vary in their scope, such as only our firm, a single building housing our firm, the business district where our firm is located, the city where we arc located, or the whole region. Within each of these areas, the severity of the disruption can also vary from minimal to severe. In a disruption to only our firm or a building housing our firm, we will transfer our operations to a local site when needed and expect to recover and resume business within one day. In a disruption affecting our business district, city, or region, we will transfer our operations to a site outside of the affected area, and recover and resume business within 2 days. In either situation, we plan to continue in business, and notify you through telephone or email with information on how to contact us. If the significant business disruption is so severe that it prevents us from remaining in business, we will assure our customer’s prompt access to their funds and securities.

For more information – If you have questions about our business continuity planning, you can contact us at 312-373-5000 or at info@rjosecurities.com

EX-31.01

EXHIBIT 31.01

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

I, Gerald Corcoran, certify that:

1. I have reviewed this quarterly report on Form 10-Q of RJO Global Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 15, 2011
By:	/s/ Gerald Corcoran
	Gerald Corcoran, Chief Executive Officer
	(principal executive officer)
	R.J. O’Brien Fund Management, LLC, Managing Owner

EX-31.02

EXHIBIT 31.02

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

I, Thomas J. Anderson, certify that:

1. I have reviewed this quarterly report on Form 10-Q of RJO Global Trust;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a–15(f) and 15d–15(f)) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b)  Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

(d)  Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date: August 15, 2011
By:	/s/ Thomas J. Anderson
	Thomas J. Anderson, Chief Financial Officer
	(principal financial officer)
	R.J. O’Brien Fund Management, LLC, Managing Owner

EX-32.01

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

OF PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER

I, Gerald Corcoran, Chief Executive Officer, and I, Thomas J. Anderson, Chief Financial Officer, of R.J. O’Brien Fund Management, LLC (“RJOFM”), the Managing Owner of RJO Global Trust (the “Trust”), certify that, to my knowledge (i) the attached Form 10-Q fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 and (ii) the information contained in the attached Form 10-Q fairly presents, in all material respects, the financial condition and results of operations of the Trust.

/s/ Gerald Corcoran	/s/ Thomas J. Anderson
Gerald Corcoran	Thomas J. Anderson
Chief Executive Officer	Chief Financial Officer
R. J. O’Brien Fund Management, LLC, Managing Owner	R. J. O’Brien Fund Management, LLC, Managing Owner
August 15, 2011	August 15, 2011

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Consolidated Statements of Financial Condition (Parenthetical) (USD $)	Jun. 30, 2011	Dec. 31, 2010
Purchased options on futures contracts, premiums paid	$ 80,747	$ 245,722
Fixed income securities, cost	12,712,617	11,544,636
Options written on futures contracts, premiums	$ 24,400
Trading | Beneficial owners | Class A
Unitholders' capital, units outstanding	398,781	490,278
Trading | Managing owner | Class A
Unitholders' capital, units outstanding	535	11,679
Trading | Beneficial owners | Class B
Unitholders' capital, units outstanding	13,481	13,420
Trading
Unitholders' capital, units outstanding	412,797	515,377
LLC equity/Non-Trading
Unitholders' capital, units outstanding	2,273,288	2,273,288
LLC equity/Non-Trading | Participating owners
Unitholders' capital, units outstanding	340,196	407,463
LLC equity/Non-Trading | Nonparticipating owners
Unitholders' capital, units outstanding	1,933,092	1,865,825

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Consolidated Statements of Operations (USD $)	3 Months Ended		6 Months Ended
	Jun. 30, 2011	Jun. 30, 2010	Jun. 30, 2011	Jun. 30, 2010
Trading gain (loss):
Realized gain (loss) on closed positions on trading of commodity contracts	$ 501,004	$ 895,419	$ (62,269)	$ 632,697
Change in unrealized gain (loss) on open position son trading of commodity contracts	(1,507,010)	(263,057)	(1,932,365)	(7,634)
Foreign currency transaction gain (loss)	(21,405)	(31,685)	116,092	(44,932)
Total Trading gain (loss	(1,027,411)	600,677	(1,878,542)	580,131
Net investment income (loss):
Realized gain (loss) on closed positions on trading of fixed income securities	822		(19,308)
Change in unrealized gain (loss) on open positions on trading of fixed income securities	(14,347)		(4,031)
Interest income	23,290	16,980	106,134	23,908
Total net investment gain (loss)	9,765	16,980	82,795	23,908
Expenses:
Advisory fees	15,594		30,860
Management fees	181,534	228,054	394,556	468,960
Incentive fees	59,402		117,502
Ongoing offering expenses	75,000	20,000	105,000	40,000
Operating expenses	187,048	270,000	372,050	540,000
Total expenses	1,046,523	1,083,762	2,164,692	2,217,252
Trading income (loss)	(2,064,169)	(466,105)	(3,960,439)	(1,613,213)
Non-Trading income (loss):
Interest on Non-Trading reserve	542	2,842	2,407	5,024
Collections in excess of impaired value	343,664	16,024,600	343,664	16,024,600
Legal and administrative fees	(82,015)	(152,010)	(124,116)	(1,110,691)
Management fees paid to US Bank	(48,201)	(75,090)	(123,808)	(161,745)
Non-Trading income (loss)	213,990	15,800,342	98,147	14,757,188
Net income (loss)	(1,850,179)	15,334,237	(3,862,292)	13,143,975
Class A
Expenses:
Commissions	517,624	561,415	1,124,300	1,160,452
Class B
Expenses:
Commissions	$ 10,321	$ 4,293	$ 20,424	$ 7,840

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Document and Entity Information	6 Months Ended
	Jun. 30, 2011
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Jun. 30, 2011
Document Fiscal Year Focus	2011
Document Fiscal Period Focus	Q2
Entity Registrant Name	RJO GLOBAL TRUST
Entity Central Index Key	0001027099
Current Fiscal Year End Date	--12-31
Entity Filer Category	Smaller Reporting Company
Entity Common Stock, Shares Outstanding	0

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Assets Held at Refco Capital Markets, Ltd.

6 Months Ended

Jun. 30, 2011

Assets Held at Refco Capital Markets, Ltd.

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

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

Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
	Amounts Received from RCM			Balance of Impaired Value		Collections in Excess of Impaired Value			Cash Distributions to Non-Participating Owners		Additional Units in Trust for Participating Owners
Date											Units		Dollars
12/29/06	$	10,319,318		$	6,643,944	$	-		$	4,180,958		54,914	$	5,154,711
04/20/07		2,787,629			3,856,315		-			-		-		-
06/07/07		265,758			3,590,557		-			-		-		-
06/28/07		4,783,640			-		1,193,083			-		-		-
07/03/07		5,654			-		5,654			-		-		-
08/29/07		-			-		-			2,787,947		23,183		1,758,626
09/19/07		2,584,070			-		2,584,070			-		-		-
12/31/07		2,708,467			-		2,708,467			-		-		-
03/28/08		1,046,068			-		1,046,068			-		-		-
04/29/08		-			-		-			2,241,680		10,736		1,053,815
06/26/08		701,148			-		701,148			-		-		-
12/31/08		769,001			-		769,001			-		-		-
06/29/09		2,748,048			-		2,748,048			-		-		-
12/30/09		1,102,612			-		1,102,612			-		-		-
05/19/10		1,695,150			-		1,695,150			-		-		-
06/04/10		14,329,450	*		-		14,329,450	*		-		-		-
08/01/10		-			-		-			16,076,112		40,839		3,928,806
10/15/10		282,790	*		-		282,790	*		-		-		-
12/30/10		563,163	*		-		563,163	*		-		-		-
06/02/11		343,664	*		-		343,664	*		-		-		-
Totals	$	47,035,630		$	-	$	30,072,368		$	25,286,697		129,672	$	11,895,958

* The collections on June 4, October 15, December 30, 2010 and June 2, 2011 were from a settlement agreement reached with Cargill, Inc. and Cargill Investors Services, Inc. (together, "Cargill"). The gross collections of $15,300,000 on June 4, 2010, $661,567 on October 15, 2010, $1,317,479 on December 30, 2010 and $803,975 on June 2, 2011 were reduced by $970,550, $378,777, $754,316 and $460,312 respectively, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement.

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Derivative Instruments and Hedging Activities

6 Months Ended

Jun. 30, 2011

Derivative Instruments and Hedging Activities

(11) Derivative Instruments and Hedging Activities

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

Derivatives not designated as hedging instruments:

As of June 30, 2011

Type of Futures Contracts	Asset Derivatives Fair Value			Liability Derivatives Fair Value				Net Fair Value
Agriculture	$	(318,565	)		$	374,111		$	55,546
Currency		508,207				(717,566	)		(209,359	)
Energy		(108,605	)			75,780			(32,825	)
Indices		115,302				(325,249	)		(209,947	)
Interest Rates		(90,807	)			29,297			(61,510	)
Metals		(30,682	)			(155,398	)		(186,080	)
	$	74,850			$	(719,025	)	$	(644,175	)

As of December 31, 2010

Type of Futures Contracts	Asset Derivatives Fair Value		Liability Derivatives Fair Value			Net Fair Value
Agriculture	$	920,055	$	(323,637	)	$	596,418
Currency		928,957		(507,464	)		421,493
Energy		65,691		(45,099	)		20,592
Indices		197,712		-			197,712
Interest Rates		117,158		(13,742	)		103,416
Metals		789,173		(651,198	)		137,975
	$	3,018,746	$	(1,541,140	)	$	1,477,606

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts on the consolidated statements of financial condition as of June 30, 2011 and December 31, 2010 respectively.

Trading gain (loss) for the following periods:

	Three months ended June 30,						Six months ended June 30,
Type of Futures Contracts	2011			2010			2011			2010
Agriculture	$	(513,248	)	$	(1,100,748	)	$	(611,681	)	$	(1,632,105	)
Currency		(701,077	)		(399,022	)		(1,225,707	)		137,363
Energy		(66,697	)		(470,356	)		196,021			(578,536	)
Indices		219,316			1,381,313			266,085			1,566,326
Interest Rates		241,800			1,750,823			(386,676	)		1,852,085
Metals		(207,505	)		(561,333	)		(116,584	)		(765,002	)
	$	(1,027,411	)	$	600,677		$	(1,878,542	)	$	580,131

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

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Summary of Significant Accounting Policies

6 Months Ended

Jun. 30, 2011

Summary of Significant Accounting Policies

(2) Summary of Significant Accounting Policies

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

(a) Basis of Presentation

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

The Trust’s unaudited consolidated financial statements and the related notes should be read together with the consolidated financial statements and related notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2010.

(b) Principles of Consolidation

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

(c) Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date.  All such transactions are recorded on the identified cost basis and 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 year or as of the last date of the consolidated financial statements.  As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition.  Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations.  Gains or losses are realized when contracts are liquidated.

The Trust may 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.

At June 30, 2011, 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 U.S. Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars.  For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited.  The Trust also earns interest on cash and cash equivalents held at Wells Fargo Bank N.A. and managed by RJO Investment Management LLC, (“RJOIM”), an affiliate of the Managing Owner.  As of June 30, 2011, Wells Fargo Bank, N.A. held approximately $30.9 million of the Trust’s assets.

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

(d) Ongoing Offering Costs

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

(e)  Foreign Currency Transactions

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

(f) Use of Estimates

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

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

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

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Operations

6 Months Ended

Jun. 30, 2011

Operations

(8) Operations

Redemptions

A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last business day of any month based on the net asset value per unit on such date on five business days’ written notice to ACS Securities Services, Inc., (“ACS”) the Trust’s administrator, or the Managing Owner.  Payment will generally be made within 10 business days of the effective date of the redemption.  Any redemption made during the first 11 months of investment is subject to a 1.5% redemption penalty, payable to the Managing Owner.  Any redemption made in the twelfth month of investment or later will not be subject to any redemption penalty.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended, 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 effective the first business day of any month based on the net asset value per unit on the last business day of the previous month.  A correctly completed and signed subscription form with the corresponding funds must be received by ACS no later than five business days before the end of such month.  If the forms are completed accurately, the investor’s subscription is accepted and the units purchased become invested on the first business day of the following month.  If the subscription form is incomplete, the subscription is rejected and funds are returned to the investor from the administrator.  Likewise if a subscription form is received without the funds by the fifth business day before the end of the month, the subscription request is rejected.  If funds are received without a subscription form, the funds are returned to the investor.  If a subscription is accepted, 100% of the investment amount is invested as of the effective date.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended, and its Confidential Private Placement Memorandum and Disclosure Document contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.

Commissions

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

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

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

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

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Financial Highlights

6 Months Ended

Jun. 30, 2011

Financial Highlights

(9) Financial Highlights

The following financial highlights show the Trust’s financial performance for the three and six-month periods ended June 30, 2011 and 2010.  Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period and is not annualized.  Total return is calculated based on the aggregate return of the Trust taken as a whole.

	Class A						Class B						Class A						Class B
	Three months ended June 30,						Three months ended June 30,						Six months ended June 30,						Six months ended June 30,
	2011			2010			2011			2010			2011			2010			2011			2010
Per share operating performance:
Net asset value of Trading units, beginning of period	$	96.88		$	100.86		$	101.34		$	103.40		$	100.64		$	102.84		$	104.75		$	104.91
Total Trading income (loss):
Trading gain (loss)		(2.42	)		1.14			(2.75	)		0.93			(4.07	)		1.19			(4.52	)		0.74
Investment income		0.11			0.03			0.12			0.03			0.24			0.04			0.25			0.04
Expenses		(2.43	)		(2.07	)		(1.84	)		(1.36	)		(4.67	)		(4.12	)		(3.61	)		(2.70	)
Trading income (loss)		(4.74	)		(0.90	)		(4.47	)		(0.40	)		(8.50	)		(2.88	)		(7.88	)		(1.91	)
Net asset value of Trading units, end of period	$	92.14		$	99.96		$	96.87		$	103.00		$	92.14		$	99.96		$	96.87		$	103.00
Total return:
Total return before incentive fees		(4.75	)%		(0.90	)%		(4.28	)%		(0.39	)%		(8.19	)%		(2.88	)%		(7.29	)%		(1.85	)%
Less incentive fee allocations		(0.14	)%		0.00	%		(0.13	)%		0.00	%		(0.26	)%		0.00	%		(0.24	)%		0.00	%
Total return		(4.89	)%		(0.90	)%		(4.41	)%		(0.39	)%		(8.45	)%		(2.88	)%		(7.53	)%		(1.85	)%
Ratios to average net assets:
Trading income (loss)		(4.94	)%		(0.89	)%		(4.68	)%		(0.18	)%		(8.74	)%		(2.96	)%		(7.99	)%		(1.50	)%
Expenses:
Expenses, less incentive fees		(2.40	)%		(2.05	)%		(1.93	)%		(1.31	)%		(4.56	)%		(4.05	)%		(3.56	)%		(2.55	)%
Incentive fees		(0.14	)%		0.00	%		(0.13	)%		0.00	%		(0.26	)%		0.00	%		(0.24	)%		0.00	%
Total expenses		(2.54	)%		(2.05	)%		(2.06	)%		(1.31	)%		(4.82	)%		(4.05	)%		(3.80	)%		(2.55	)%

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

The net loss and expense ratios are computed based upon the weighted average net assets for the Trust for the three and six-month periods ended June 30, 2011 and 2010.

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Fair Value Measurements

6 Months Ended

Jun. 30, 2011

Fair Value Measurements

(7) Fair Value Measurements

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

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

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

         Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  As of June 30, 2011 and December 31, 2010, the Trust did not have any Level 3 assets or liabilities.

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

The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2011 and December 31, 2010, respectively:

	June 30, 2011
	Level 1			Level 2			Level 3		Total
Unrealized loss on open contracts:
Futures positions	$	(453,643	)	$	-		$	-	$	(453,643	)
Forward currency positions		-			(238,616	)		-		(238,616	)
Purchased options on futures contracts		57,997			-			-		57,997
Written options on futures contracts		(9,913	)		-			-		(9,913	)
Fixed income securities					12,691,928			-		12,691,928
Total fair value	$	(405,559	)	$	12,453,312		$	-	$	12,047,753

	December 31, 2010
	Level 1		Level 2		Level 3		Total
Unrealized gain on open contracts:
Futures positions	$	1,163,684	$	-	$	-	$	1,163,684
Forward currency positions		-		193,659		-		193,659
Purchased options on futures contracts		120,263		-		-		120,263
Fixed income securities		-		11,540,784		-		11,540,784
Total fair value	$	1,283,947	$	11,734,443	$	-	$	13,018,390

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Condensed Consolidated Schedule of Investments

6 Months Ended

Jun. 30, 2011

Condensed Consolidated Schedule of Investments

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

	June 30, 2011						December 31, 2010
	Percentage of Net Assets			Fair value			Percentage of Net Assets			Fair value
	UNAUDITED
Long Positions
Fixed Income Securities
Certificate of Deposit
Chile
Financials (cost $1,500,000 and $1,500,037, respectively)		3.55	%	$	1,500,270			2.68	%	$	1,500,480
Commercial Paper
South Korea
Financials (cost $1,499,660)					-			2.68	%		1,499,820
United States
Insurance (cost $1,499,561)					-			2.68	%		1,499,580
Total Commercial Paper					-			5.35	%		2,999,400
Corporate Bonds
United States
Financials (cost $1,972,421 and $1,345,903, respectively)		4.63	%		1,958,936			2.40	%		1,344,503
Great Britain
Special Purpose (cost $1,527,135)		3.61	%		1,526,010						-
United States
Telephone (cost $672,035)		1.57	%		665,743						-
Total Corporate Bonds		9.81	%		4,150,689			2.40	%		1,344,503
Government Agencies
United States
U.S. Government Agency (cost $6,999,000 and $3,393,729, respectively)		16.54	%		6,998,945			6.05	%		3,390,654
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $42,025 and $2,305,746, respectively)		0.10	%		42,024			4.11	%		2,305,747
Total Fixed Income Securities (cost $12,712,617 and $11,544,636, respectively)				$	12,691,928					$	11,540,784
Long Positions
Futures Positions
Agriculture		-0.75	%	$	(318,565	)		1.64	%	$	920,055
Currency		0.04	%		15,783			0.45	%		251,310
Energy		-0.26	%		(108,605	)		0.12	%		65,691
Indices		0.27	%		115,302			0.03	%		19,608
Interest rates		-0.12	%		(51,941	)		0.21	%		117,158
Metals		-0.07	%		(30,682	)		1.41	%		789,173
Forward Positions
Currency		1.10	%		463,724			-0.86	%		(483,988	)
Total long positions on open contracts				$	85,016					$	1,679,007
Short Positions
Futures Positions
Agriculture		0.88	%	$	374,111			-0.58	%	$	(323,637	)
Currency		-0.01	%		(5,313	)		-0.04	%		(23,476	)
Energy		0.18	%		75,780			-0.08	%		(45,099	)
Indices		-0.77	%		(325,249	)		0.10	%		57,841
Interest rates		-0.09	%		(38,866	)		-0.02	%		(13,742	)
Metals		-0.37	%		(155,398	)		-1.16	%		(651,198	)
Forward Positions
Currency		-1.66	%		(702,340	)		1.21	%		677,647
Total short positions on open contracts				$	(777,275	)				$	(321,664	)
Total unrealized gain (loss) on open contracts				$	(692,259	)				$	1,357,343
Long put options on future contracts
Indices (premiums paid - $245,722)				$	-			0.21	%	$	120,263
Long call options on future contracts
Currency (premiums paid - $ 59,700)		0.07	%	$	28,700					$	-
Interest rates (premiums paid - $ 21,047)		0.07	%		29,297						-
Total long call options on future contracts				$	57,997					$	-
Short call options on future contracts
Currency (premiums received - $ 24,400)		-0.02	%	$	(9,913	)				$	-
Total short call options on future contracts				$	(9,913	)				$	-

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Fees

6 Months Ended

Jun. 30, 2011

Fees

(3)  Fees

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

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

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

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Income Taxes

6 Months Ended

Jun. 30, 2011

Income Taxes

(4) Income Taxes

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

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Subsequent Events

6 Months Ended

Jun. 30, 2011

Subsequent Events

(12) Subsequent Events

Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.

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Trading Activities and Related Risks

6 Months Ended

Jun. 30, 2011

Trading Activities and Related Risks

(5) Trading Activities and Related Risks

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

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

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

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

The Trust, 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 Fund may not be able to enter into a closing transaction because of an illiquid market.

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

Net trading results from derivatives for periods ended June 30, 2011 and 2010 are reflected in the consolidated statements of operations and equal 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.

The Trust’s primary exposure to fixed income securities are defined by the U.S. Commodity Futures Trading Commission (“CFTC”) guidelines of acceptable securities for investment of segregated assets.  The scope of the acceptable securities by the CTFC are defined further by the RJOIM agreement with the Trust to include but 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 investment in the Trust.

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Consolidated Statement of Changes in Unitholders' Capital (USD $)	6 Months Ended
	Jun. 30, 2011
Beginning Balances	$ 56,035,898
Net income (loss)	(3,862,292)
Ending Balances	42,310,105
Trading
Beginning Balances (in units)	515,377
Unitholders' contributions (in units)	6,040
Unitholders' redemptions (in units)	(108,620)
Ending Balances (in units)	412,797
Beginning Balances	51,921,871
Net income (loss)	(3,960,439)
Unitholders' contributions	602,000
Unitholders' redemptions	(10,465,501)
Ending Balances	38,097,931
Trading | Beneficial owners | Class A
Beginning Balances (in units)	490,278
Unitholders' contributions (in units)	3,974
Unitholders' redemptions (in units)	(95,471)
Ending Balances (in units)	398,781
Beginning Balances	49,340,822
Net income (loss)	(3,754,650)
Unitholders' contributions	392,000
Unitholders' redemptions	(9,235,400)
Ending Balances	36,742,772
Trading | Beneficial owners | Class B
Beginning Balances (in units)	13,420
Unitholders' contributions (in units)	2,066
Unitholders' redemptions (in units)	(2,005)
Ending Balances (in units)	13,481
Beginning Balances	1,405,692
Net income (loss)	(106,554)
Unitholders' contributions	210,000
Unitholders' redemptions	(203,274)
Ending Balances	1,305,864
Trading | Managing owner | Class A
Beginning Balances (in units)	11,679
Unitholders' redemptions (in units)	(11,144)
Ending Balances (in units)	535
Beginning Balances	1,175,357
Net income (loss)	(99,235)
Unitholders' redemptions	(1,026,827)
Ending Balances	49,295
Trading | Class A
Net Asset Value Per Unit-Beginning Balance	$ 100.64
Net change per unit	$ (8.50)
Net Asset Value Per Unit-Ending Balance	$ 92.14
Trading | Class B
Net Asset Value Per Unit-Beginning Balance	$ 104.75
Net change per unit	$ (7.88)
Net Asset Value Per Unit-Ending Balance	$ 96.87
LLC equity/Non-Trading
Beginning Balances (in units)	2,273,288
Ending Balances (in units)	2,273,288
Beginning Balances	4,114,027
Net income (loss)	98,147
Ending Balances	4,212,174
Net Asset Value Per Unit-Beginning Balance	$ 1.81
Net change per unit	$ 0.04
Net Asset Value Per Unit-Ending Balance	$ 1.85
LLC equity/Non-Trading | Participating owners
Beginning Balances (in units)	407,463
Unitholders' redemptions (in units)	(67,267)
Ending Balances (in units)	340,196
Beginning Balances	737,509
Net income (loss)	13,353
Unitholders' redemptions	(120,749)
Ending Balances	630,113
LLC equity/Non-Trading | Nonparticipating owners
Beginning Balances (in units)	1,865,825
Unitholders' redemptions (in units)	67,267
Ending Balances (in units)	1,933,092
Beginning Balances	3,376,518
Net income (loss)	84,794
Unitholders' redemptions	120,749
Ending Balances	$ 3,582,061

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General Information and Summary

6 Months Ended

Jun. 30, 2011

General Information and Summary

(1) General Information and Summary

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

The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to eight independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of June 30, 2011, pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin 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.

The Trust currently offers two classes of units on a private basis: Class A units and Class B units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission, and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to selling commissions.  See Note (8) for further detail regarding commissions.

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

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

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

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

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

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

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

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

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Cash Management Agreement with Affiliate

6 Months Ended

Jun. 30, 2011

Cash Management Agreement with Affiliate

(10) Cash Management Agreement with Affiliate

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment advisor and an affiliate of the Managing Owner, as cash manager.  The assets managed by RJOIM are held in segregated accounts in custody by Wells Fargo Bank, N.A.  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 June 30, 2011 the Trust’s deposits held by RJOIM consisted of cash of $18,242,697 and fixed income securities of $12,691,928. Advisory fees earned by the affiliate aggregated $15,594 and $30,860 for the three and six months ended June 30, 2011, respectively.

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Consolidated Statements of Financial Condition (USD $)	Jun. 30, 2011	Dec. 31, 2010
Equity in commodity Trading accounts:
Cash on deposit with brokers	$ 10,153,136	$ 22,388,362
Unrealized gain (loss) on open contracts	(692,259)	1,357,343
Purchased options on futures contracts (premiums paid $80,747 and $245,722, respectively)	57,997	120,263
Total due from brokers	9,518,874	23,865,968
Cash and cash equivalents on deposit	18,242,697	18,737,332
Cash on deposit with bank	19,441	16,248
Fixed income securities (cost $12,712,617 and $11,544,636, respectively)	12,691,928	11,540,784
Interest receivable	48,992	36,141
Cash on deposit with bank - Non-Trading	4,476,651	5,133,598
Prepaid expenses - Non-Trading	76,887	81,602
Total Assets	45,075,470	59,411,673
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received - $24,400)	9,913
Accrued commissions	101,755	151,916
Accrued management fees	56,988	76,511
Accrued incentive fees	59,402	278,042
Accrued offering expenses	10,613	16,588
Accrued operating expenses	159,034	201,344
Redemptions payable - Trading	2,026,136	1,549,974
Accrued management fees to U.S. Bank - Non-Trading	12,776	17,492
Distribution payable - Non-Trading	328,748	1,083,908
Total liabilities	2,765,365	3,375,775
Unitholders' capital:
Unitholders' capital	42,310,105	56,035,898
Total Liabilities and Unitholders' Capital	45,075,470	59,411,673
Trading
Unitholders' capital:
Unitholders' capital	38,097,931	51,921,871
Trading | Beneficial owners | Class A
Unitholders' capital:
Unitholders' capital	36,742,772	49,340,822
Trading | Beneficial owners | Class B
Unitholders' capital:
Unitholders' capital	1,305,864	1,405,692
Trading | Managing owner | Class A
Unitholders' capital:
Unitholders' capital	49,295	1,175,357
Trading | Class A
Net asset value per unit:
Net asset value per unit	$ 92.14	$ 100.64
Trading | Class B
Net asset value per unit:
Net asset value per unit	$ 96.87	$ 104.75
LLC equity/Non-Trading
Unitholders' capital:
Unitholders' capital	4,212,174	4,114,027
Net asset value per unit:
Net asset value per unit	$ 1.85	$ 1.81
LLC equity/Non-Trading | Participating owners
Unitholders' capital:
Unitholders' capital	630,113	737,509
LLC equity/Non-Trading | Nonparticipating owners
Unitholders' capital:
Unitholders' capital	$ 3,582,061	$ 3,376,518