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	)				$	-