Condensed Consolidated Schedule of Investments

9 Months Ended

Sep. 30, 2011

Condensed Consolidated Schedule of Investments

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

	September 30, 2011						December 31, 2010
	Percentage of						Percentage of
	Net Assets			Fair value			Net Assets			Fair value
Long Positions	UNAUDITED
Fixed Income Securities
Certificate of Deposit
Chile
Financials (cost $1,500,037)		-		$	-			2.68	%	$	1,500,480
Commercial Paper
United States
Financials (cost $1,498,072)		3.54	%		1,498,575			-			-
South Korea
Financials (cost $1,496,831 and $1,499,660, respectively)		3.54	%		1,497,870			2.68	%		1,499,820
United States
Insurance (cost $1,499,561)		-			-			2.68	%		1,499,580
Total Commercial Paper		7.08	%		2,996,445			5.35	%		2,999,400
Corporate Bonds
United States
Financials (cost $4,762,579 and $1,345,903, respectively)		11.03	%		4,671,969			2.40	%		1,344,503
United States
Computers (cost $509,133)		1.20	%		506,690			-			-
Great Britain
Oil Comp-Integrated (cost $1,527,135)		3.58	%		1,513,875			-			-
United States
Telephone-Integrated (cost $672,035)		1.55	%		654,641			-			-
Total Corporate Bonds		17.35	%		7,347,175			2.40	%		1,344,503
Government Agencies
United States
U.S. Government Agency (cost $5,999,850 and $3,393,729, respectively)		14.16	%		5,995,275			6.05	%		3,390,654
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $25,918 and $2,305,747, respectively)		0.06	%		25,918			4.11	%		2,305,747
Total Fixed Income Securities (cost $16,491,553 and $11,544,636, respectively)		38.65	%	$	16,364,813			20.59	%	$	11,540,784
Long Positions
Futures Positions
Agriculture		-0.15	%	$	(63,120	)		1.64	%	$	920,055
Currency		-0.09	%		(36,812	)		0.45	%		251,310
Energy		-0.23	%		(98,030	)		0.12	%		65,691
Indices		0.00	%		389			0.03	%		19,608
Interest rates		0.02	%		8,941			0.21	%		117,158
Metals		-2.25	%		(952,916	)		1.41	%		789,173
Forward Positions
Currency		0.03	%		13,629			-0.86	%		(483,988	)
Total long positions on open contracts				$	(1,127,919	)				$	1,679,007
Short Positions
Futures Positions
Agriculture		0.57	%	$	239,277			-0.58	%	$	(323,637	)
Currency		0.14	%		60,570			-0.04	%		(23,476	)
Energy		0.58	%		247,146			-0.08	%		(45,099	)
Indices		0.05	%		21,588			0.10	%		57,841
Interest rates		0.02	%		6,679			-0.02	%		(13,742	)
Metals		3.30	%		1,399,205			-1.16	%		(651,198	)
Forward Positions
Currency		-0.02	%		(9,659	)		1.21	%		677,647
Total short positions on open contracts				$	1,964,806					$	(321,664	)
Total unrealized gain (loss) on open contracts				$	836,887					$	1,357,343
Long put options on future contracts
Currency (premiums paid - $ 71,734)		0.21	%	$	88,213			-		$	-
Indices (premiums paid - $245,722)				$	-			0.21	%	$	120,263
Total long put options on future contracts				$	88,213					$	120,263
Short put options on future contracts
Currency (premiums received - $ 36,596)		-0.05	%	$	(19,725	)		-		$	-
Total short put options on future contracts				$	(19,725	)		-		$	-