0001144204-12-028503.txt : 20120514 0001144204-12-028503.hdr.sgml : 20120514 20120514144539 ACCESSION NUMBER: 0001144204-12-028503 CONFORMED SUBMISSION TYPE: 10-Q PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20120331 FILED AS OF DATE: 20120514 DATE AS OF CHANGE: 20120514 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RJO GLOBAL TRUST CENTRAL INDEX KEY: 0001027099 STANDARD INDUSTRIAL CLASSIFICATION: [6221] IRS NUMBER: 364113382 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 10-Q SEC ACT: 1934 Act SEC FILE NUMBER: 000-22887 FILM NUMBER: 12838139 BUSINESS ADDRESS: STREET 1: C/O R J O'BRIEN FUND MANAGEMENT STREET 2: 222 SOUTH RIVERSIDE PLAZA STE 900 CITY: CHICAGO STATE: IL ZIP: 60606 BUSINESS PHONE: 3123735000 MAIL ADDRESS: STREET 1: C/O R J O'BRIEN FUND MANAGEMENT STREET 2: 222 SOUTH RIVERSIDE PLAZA STE 900 CITY: CHICAGO STATE: IL ZIP: 60606 FORMER COMPANY: FORMER CONFORMED NAME: JWH GLOBAL TRUST DATE OF NAME CHANGE: 19970210 FORMER COMPANY: FORMER CONFORMED NAME: JWH GLOBAL PORTFOLIO TRUST DATE OF NAME CHANGE: 19961114 10-Q 1 v312542_10q.htm FORM 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 March 31, 2012

¨ 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).

¨ Yes x No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION		1

	Item 1. Financial Statements	1

	Consolidated Statements of Financial Condition, as of March 31, 2012 (unaudited) and December 31, 2011	1

	Condensed Consolidated Schedules of Investments, as of March 31, 2012 (unaudited) and December 31, 2011	2

	Consolidated Statements of Operations, for the three months ended March 31, 2012 and 2011 (unaudited)	3

	Consolidated Statement of Changes in Unitholders’ Capital, for the three months ended March 31, 2012 (unaudited)	4

	Notes to Consolidated Financial Statements	5

	Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	14

	Item 3. Quantitative and Qualitative Disclosures about Market Risk	17

	Item 4. Controls and Procedures	17

PART II. OTHER INFORMATION		18

	Item 1. Legal Proceedings	18

	Item 1A. Risk Factors	18

	Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	18

	Item 6. Exhibits	19

SIGNATURES		20

PART I – FINANCIAL INFORMATION

Item 1. Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

		March 31,		December 31,
		2012		2011
		UNAUDITED
Assets

Assets:
Equity in commodity Trading accounts:
Cash on deposit with broker	$	2,382,766	$	2,670,744
Unrealized gain on open contracts		11,536		363,947
Purchased options on futures contracts (premiums paid - $37,722 and $33,376, respectively)		55,307		22,525
Total due from broker		2,449,609		3,057,216

Cash and cash equivalents on deposit with affiliate		5,851,390		9,596,823
Cash on deposit with bank		1,324		648
Fixed income securities (cost $22,676,316 and $21,993,704, respectively), held by affiliate		22,629,381		21,870,890
Interest receivable		71,679		123,363
Cash on deposit with bank - Non-Trading		1,009,290		1,647,219
Prepaid expenses - Non-Trading		135,509		95,825

Total Assets	$	32,148,182	$	36,391,984

Liabilites and Unitholders' Capital

Liabilities:
Equity in commodity Trading accounts: Options written on futures contracts (premiums received - $14,375)	$	-	$	1,006
Accrued commissions		90,841		111,034
Accrued management fees		43,957		48,884
Accrued operating expenses		152,593		217,118
Redemptions payable-Trading		774,512		493,332
Accrued legal fees- Non-Trading		53,000		500
Accrued management fees to U.S. Bank-Non-Trading		18,899		31,715
Distribution payable - Non-Trading		1,530		536,188
Total liabilities		1,135,332		1,439,777

Unitholders' capital:
Unitholders' capital (Trading):
Beneficial owners
Class A (334,053 and 355,858 units outstanding at March 31, 2012 and December 31, 2011, respectively)		28,853,520		32,497,392
Class B (11,301 and 12,697 units outstanding at March 31, 2012 and December 31, 2011, respectively)		1,041,735		1,231,294
Managing owner (535 Class A units outstanding at March 31, 2012 and December 31, 2011)		46,210		48,857

Unitholders' capital (LLC equity/Non-Trading):
Participating owners (287,669 and 306,807 units outstanding at March 31, 2012 and December 31, 2011, respectively)		135,206		158,535
Nonparticipating owners (1,985,619 and 1,966,481 units outstanding at March 31, 2012 and December 31, 2011, respectively)		936,179		1,016,129

Total unitholders' capital		31,012,850		34,952,207

Total Liabilities and Unitholders' Capital	$	32,148,182	$	36,391,984

Net asset value per unit:
Trading:
Class A	$	86.37	$	91.32
Class B	$	92.18	$	96.98
LLC equity/Non-Trading	$	0.47	$	0.52

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedules of Investments

	March 31, 2012						December 31, 2011
	Percentage of						Percentage of
	Net Assets			Fair value			Net Assets			Fair value
	UNAUDITED
Long Positions
Fixed Income Securities
Certificate of Deposit
Japan
Financials (cost $801,128)		2.58	%	$	800,016			-		$	-

Commercial Paper
South Korea Financials (cost $1,497,579)		4.84	%		1,499,940			-			-
United States Energy (cost $1,242,569)		-			-			3.56	%		1,242,938
Financials (cost $1,896,629)		-			-			5.44	%		1,899,873
Total Commercial Paper		4.84	%		1,499,940			9.00	%		3,142,811

Corporate Bonds
United States Financials (cost $3,948,291 and $6,682,059, respectively)		12.61	%		3,912,133			19.22	%		6,717,547
Australia Financials (cost $4,424,295) Great Britain		14.22	%		4,409,269			-			-
Energy (cost $1,527,135)		-			-			4.31	%		1,506,885
Total Corporate Bonds		26.83	%		8,321,402			23.53	%		8,224,432

Government Agencies
United States US Government Agency (cost $12,000,029 and $10,499,879, respectively)		38.70	%		12,003,030			30.04	%		10,498,215

Short-Term Investment Funds
United States Short-Term Investment Funds (cost $4,993 and $5,432, respectively)		0.02	%		4,993			0.02	%		5,432

Total Fixed Income Securities (cost $22,676,316 and $21,993,704, respectively)				$	22,629,381					$	21,870,890

Long Positions
Futures Positions
Agriculture		0.15	%	$	45,082			0.01	%	$	3,573
Currency		-0.05	%		(16,672	)		0.03	%		9,244
Energy		-0.12	%		(38,425	)		-0.34	%		(119,410	)
Indices		0.14	%		43,768			0.05	%		17,851
Interest rates		0.16	%		49,146			0.40	%		139,768
Metals		-0.71	%		(221,421	)		-0.23	%		(80,138	)

Forward Positions
Currency		0.12	%		38,003			-0.99	%		(344,428	)

Total long positions on open contracts				$	(100,519	)				$	(373,540	)

Short Positions
Futures Positions
Agriculture		0.09	%	$	26,969			0.02	%	$	6,835
Currency		-0.18	%		(54,733	)		-0.02	%		(5,365	)
Energy		0.17	%		53,989			0.64	%		225,038
Indices		0.06	%		19,184			-0.13	%		(47,027	)
Interest rates		-0.08	%		(24,997	)		-0.03	%		(10,045	)
Metals		0.59	%		181,887			0.21	%		72,320

Forward Positions
Currency		-0.29	%		(90,244	)		1.42	%		495,731

Total short positions on open contracts				$	112,055					$	737,487

Total unrealized gain on open contracts				$	11,536					$	363,947

Long put options on future contracts
Energy (premiums paid - $10,320)		0.08	%	$	25,680			-		$	-
Interest rates(premiums paid - $10,359)		0.04	%		13,547			-			-
Currency (premiums paid - $17,043 and $33,376, respectively)		0.05	%		16,080			0.06	%		22,525
Total long put options on futures contracts				$	55,307					$	22,525

Short put options on future contracts
Currency (premiums received - $14,375)		-		$	-			-		$	(1,006	)

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

	For the three months ended March 31,
	2012			2011
	UNAUDITED
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	(805,366	)	$	(563,273	)
Change in unrealized gain (loss) on open positions		(337,344	)		(425,355	)
Foreign currency transaction gain (loss)		(11,477	)		137,497
Total Trading gain (loss)		(1,154,187	)		(851,131	)

Net investment income (loss):
Interest income		98,940			82,844
Realized gain (loss) on fixed income securities		(131,014	)		(20,130	)
Change in unrealized gain (loss) on fixed income securities		81,309			10,316
Total net investment gain (loss)		49,235			73,030

Expenses:
Commissions - Class A		386,838			606,676
Commissions - Class B		8,489			10,103
Advisory fees		15,319			15,266
Management fees		135,619			213,022
Incentive fees		-			58,100
Ongoing offering expenses		16,466			30,000
Operating expenses		133,533			185,000
Total expenses		696,264			1,118,167

Trading income (loss)		(1,801,216	)		(1,896,268	)

Non-Trading income (loss):
Interest on Non-Trading reserve		59			1,864
Legal and administrative fees		(756	)		(42,100	)
Management fees paid to US Bank		(102,582	)		(75,608	)
Non-Trading income (loss)		(103,279	)		(115,844	)

Net income (loss)	$	(1,904,495	)	$	(2,012,112	)

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For the three months ended March 31, 2012

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, 2011		355,858		$	32,497,392			12,697		$	1,231,294			535	$	48,857
Trading income (loss)		-			(1,740,142	)		-			(58,427	)		-		(2,647	)
Unitholders' contributions		1,574			137,392			-			-			-		-
Unitholders redemptions		(23,379	)		(2,041,122	)		(1,396	)		(131,132	)		-		-
Balances at March 31, 2012		334,053			28,853,520			11,301			1,041,735			535		46,210

Unitholders' Capital (Trading)	Total Unitholders' Capital - Trading
	Units			Dollars

Balances at December 31, 2011		369,090		$	33,777,543
Trading income (loss)		-			(1,801,216	)
Unitholders' contributions		1,574			137,392
Unitholders' redemptions		(24,775	)		(2,172,254	)
Balances at March 31, 2012		345,889			29,941,465

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, 2011		306,807		$	158,535			1,966,481	$	1,016,129			2,273,288	$	1,174,664
Non-Trading income (loss)		-			(14,334	)		-		(88,945	)		-		(103,279	)
Reallocation due to Redemptions		(19,138	)		(8,995	)		19,138		8,995			-		-
Balances at March 31, 2012		287,669			135,206			1,985,619		936,179			2,273,288		1,071,385

Total Unitholders Capital at December 31, 2011														$	31,012,850

	Unitholders' Capital			Unitholders' Capital			Unitholders' Capital
	Trading Class A			Trading Class B			(LLC Equity/Non-Trading)
Net asset value per unit at December 31, 2011	$	91.32		$	96.98		$	0.52
Net change per unit		(4.95	)		(4.80	)		(0.05	)
Net asset value per unit at March 31, 2012	$	86.37		$	92.18		$	0.47

See accompanying notes to consolidated financial statements.

RJO GLOBAL TRUST AND SUBSIDIARY

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

March 31, 2012

(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 nine independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of March 31, 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 decline in the aggregate net assets 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 agreed to compensate US Bank, as manager, the following: (1) an initial acceptance fee of $120,000; (2) an annual fee of $25,000; (3) a distribution fee of $25,000 per distribution; (4) out-of-pocket expenses; and (5) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at the time the agreement was executed).

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, 2011.

(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 March 31, 2012, the Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week Treasury bill rate for that month in respect of deposits denominated in 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 March 31, 2012, Wells Fargo Bank, N.A. held approximately $28.5 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 on 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.

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 U.S. federal income taxes has been made in the accompanying consolidated financial statements as each beneficial owner is responsible for reporting income (loss) based on the pro rata share of the profits or losses of the Trust. The LLC is also treated as a partnership. Generally, for both U.S. federal and state tax purposes, trusts, such as the RJO Global Trust, are treated as partnerships. The only significant differences in financial and income tax reporting basis are ongoing offering costs.

The Trust files income tax returns in the U.S. federal jurisdiction and in various state and local jurisdictions. The Trust’s U.S. federal income tax returns for all tax years ended on or after December 31, 2009, remain subject to examination by the Internal Revenue Service. The Trust’s state and local income tax returns are subject to examination by the respective state and local authorities over various statutes of limitations, most ranging from three to five years from the date of filing.

(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 requires FCMs 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 Trust 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 the three-month periods ended March 31, 2012 and 2011 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 CFTC 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 investments 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			Balance of		Collections in Excess of			Cash Distributions to Non-Participating		Additional Units in Trust for Participating Owners
Date	RCM			Impaired Value		Impaired Value			Owners		Units		Dollars
12/29/06	$	10,319,318		$	6,643,944	$	-		$	4,180,958		54,914	$	5,154,711
04/20/07		2,787,629			3,856,315		-			-		-		-
06/07/07		265,758			3,590,557		-			-		-		-
06/28/07		4,783,640			-		1,193,083			-		-		-
07/03/07		5,654			-		5,654			-		-		-
08/29/07		-			-		-			2,787,947		23,183		1,758,626
09/19/07		2,584,070			-		2,584,070			-		-		-
12/31/07		2,708,467			-		2,708,467			-		-		-
03/28/08		1,046,068			-		1,046,068			-		-		-
04/29/08		-			-		-			2,241,680		10,736		1,053,815
06/26/08		701,148			-		701,148			-		-		-
12/31/08		769,001			-		769,001			-		-		-
06/29/09		2,748,048			-		2,748,048			-		-		-
12/30/09		1,102,612			-		1,102,612			-		-		-
05/19/10		1,695,150			-		1,695,150			-		-		-
06/04/10		14,329,450	*		-		14,329,450	*		-		-		-
08/01/10		-			-		-			16,076,112		40,839		3,928,806
10/15/10		282,790	*		-		282,790	*		-		-		-
12/30/10		563,163	*		-		563,163	*		-		-		-
06/02/11		343,664	*		-		343,664	*		-		-		-
08/30/11		1,328,832	*		-		1,328,832	*		-		-		-
12/01/11		-			-		-			3,689,555		6,168		561,489

Totals	$	48,364,462		$	-	$	31,401,200		$	28,976,252		135,840	$	12,457,447

*The collections on June 4, 2010 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, were reduced by $970,550, which represented Cargill' s percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill's percentage of distributions at 57.25% of the gross collections.

(7)

Fair Value Measurements

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

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of 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 March 31, 2012 and December 31, 2011, 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 March 31, 2012 and December 31, 2011, respectively:

	March 31, 2012
	Level 1		Level 2			Level 3		Total
Assets
Unrealized gain (loss) on open contracts:
Futures positions	$	63,777	$	-		$	-	$	63,777
Forward currency positions		-		(52,241	)		-		(52,241	)
Purchased options on futures contracts		55,307		-			-		55,307
Fixed income securities		-		22,629,381			-		22,629,381
Total fair value	$	119,084	$	22,577,140		$	-	$	22,696,224

	December 31, 2011
	Level 1			Level 2		Level 3		Total
Assets
Unrealized gain on open contracts:
Futures positions	$	212,644		$	-	$	-	$	212,644
Forward currency positions		-			151,303		-		151,303
Purchased options on futures contracts		22,525			-		-		22,525
Fixed income securities		-			21,870,890		-		21,870,890
Total assets		235,169			22,022,193		-		22,257,362

Liabilities
Options written on futures contracts		(1,006	)		-		-		(1,006	)
Total fair value	$	234,163		$	22,022,193	$	-	$	22,256,356

(8)

Operations

Redemptions

A beneficial owner may cause any or all of his or her Units to be redeemed by the Trust effective as of the last business day of any month based on the net asset value per Unit on such date on five business days’ written notice to NAV Consulting, Inc., the Trust’s administrator, or the Managing Owner. Payment will generally be made within 10 business days of the effective date of the redemption. 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 (the “Trust Agreement”), contains a full description of redemption and distribution policies.

Subscriptions

Investors that are eligible to participate in the private offering of the Units may purchase Units in the Trust pursuant to the terms of the Trust’s Confidential Private Placement Memorandum and Disclosure Document (the “Memorandum”) and a signed subscription form. The Trust Agreement and the Memorandum contain a full description of subscription policies. An investment in the Trust does not include a beneficial interest or investment in the LLC.

Commissions

The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO. Commodity brokerage commissions 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 4.67% of the Trust’s month-end assets on an annual basis (0.389167% monthly) with respect to Class A Units and 2.67% of the Trust’s month-end assets on an annual basis (0.2225% 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 Payments	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 (capped at)		1.57	%		1.57	%
Totals			4.67	%		2.67	%

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

(9) Financial Highlights

The following financial highlights show the Trust’s financial performance for the three-month periods ended March 31, 2012 and March 31, 2011. 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
	Three months ended						Three months ended
	March 31,						March 31,
	2012			2011			2012			2011
Per share operating performance:
Net asset value of Trading units, beginning of period	$	91.32		$	100.64		$	96.98		$	104.75
Total Trading income (loss):
Trading gain (loss)		(3.15	)		(1.61	)		(3.35	)		(1.71	)
Investment income		0.14			0.13			0.14			0.14
Expenses		(1.93	)		(2.28	)		(1.60	)		(1.84	)
Trading income (loss)		(4.94	)		(3.76	)		(4.81	)		(3.41	)
Net asset value of Trading units, end of period	$	86.38		$	96.88		$	92.17		$	101.34

Total return:
Total return before incentive fees		(5.42	)%		(3.62	)%		(4.94	)%		(3.15	)%
Less incentive fee allocations		0.00	%		(0.12	)%		0.00	%		(0.11	)%
Total return		(5.42	)%		(3.74	)%		(4.94	)%		(3.26	)%

Ratios to average net assets:
Trading income (loss)		(3.63	)%		(3.92	)%		(3.69	)%		(3.29	)%
Expenses:
Expenses, less incentive fees		(2.21	)%		(2.20	)%		(1.71	)%		(1.65	)%
Incentive fees		0.00	%		(0.12	)%		0.00	%		(0.11	)%
Total expenses		(2.21	)%		(2.32	)%		(1.71	)%		(1.76	)%

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

The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the three-month periods ended March 31, 2012 and 2011, respectively. The amounts are not annualized.

(10)

Cash Management Agreement with Affiliate

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment adviser and an affiliate of the Managing Owner, as cash manager. The assets managed by RJOIM are held in segregated accounts in custody 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 March 31, 2012, the Trust’s deposits held by RJOIM consisted of cash of $5,851,390 and fixed income securities of $22,629,381. Advisory fees earned by RJOIM aggregated $15,319 and $15,266 for the three months ended March 31, 2012 and 2011, respectively.

(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 March 31, 2012
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

Agriculture	$	187,817	$	(115,766	)	$	72,051
Currency		23,283		(130,849	)		(107,566	)
Energy		65,422		(24,178	)		41,244
Indices		91,940		(28,988	)		62,952
Interest Rates		80,365		(42,669	)		37,696
Metals		37,629		(77,163	)		(39,534	)
	$	486,456	$	(419,613	)	$	66,843

As of December 31, 2011
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value

Agriculture	$	10,408	$	-		$	10,408
Currency		527,500		(350,799	)		176,701
Energy		225,038		(119,410	)		105,628
Indices		17,851		(47,027	)		(29,176	)
Interest Rates		139,768		(10,045	)		129,723
Metals		72,320		(80,138	)		(7,818	)
	$	992,885	$	(607,419	)	$	385,466

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts and in purchased and written options on futures contracts on the consolidated statements of financial condition as of March 31, 2012 and December 31, 2011 respectively.

Trading gain (loss) for the following periods:

	Three Months Ended March 31,
Type of Futures Contracts	2012			2011
Agriculture	$	(200,022	)	$	(98,432	)
Currency		(438,307	)		(524,630	)
Energy		198,001			262,719
Indices		38,216			46,768
Interest Rates		(287,594	)		(628,477	)
Metals		(464,481	)		90,921
	$	(1,154,187	)	$	(851,131	)

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

As of April 30, 2012, the managing owner chose to remove three of the Trust’s CTAs which managed less than 10% of the Trust’s assets each. The managing owner has not yet reallocated the assets that were being traded by these CTAs.

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. Those eight Advisors traded the Trust’s assets for the period of October 1, 2010 to March 31, 2012. As of April 1, 2012 GAJL was terminated and two new Trading Advisors were appointed with funds reallocated to each new advisor of less than 10%. As of March 31, 2012, the Trust’s assets were allocated to the current nine Advisors as follows: ATC (16.66%), CCG (16.66%), NW (16.66%), and six other advisors managing less than 10% each.

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 three-month period ended March 31, 2012, 1,574 Class A Units for $137,392 were purchased by the beneficial owners. The Managing Owner purchased no Units during this time. For the three-month period ending March 31, 2012, the unitholders redeemed a total of 23,379 Class A Units for $2,041,122 and 1,396 Class B Units for $131,132.

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.

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 three-month period ending March 31, 2012, 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 net assets are held in brokerage accounts with RJO. Such assets are used as margin to engage in trading and may be used as margin solely for the Trust’s trading. Except in very unusual circumstances, the Trust should be able to close out any or all of its open trading positions and liquidate any or all of its securities holdings quickly and at market prices. This should permit the Advisors to limit losses as well as reduce market exposure on short notice should their programs indicate reducing market exposure.

The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week Treasury bill rate for that month in respect of deposits denominated in U.S. dollars. For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points. For the quarters ended March 31, 2012 and 2011, the Trust has received or accrued to receive trading interest of $125 and $5,417, respectively from RJO.

Additionally, effective October 6, 2010, the Managing Owner retained RJOIM, an affiliate of the Managing Owner, to serve as a cash manager to the Trust. The Trust’s assets which are managed by the cash manager are held by Wells Fargo Bank, N.A. as custodian. As of March 31, 2012, Wells Fargo Bank, N.A. held approximately $28.5 million of the Trust’s assets. For the quarters ended March 31, 2012 and 2011, the assets held in this account earned $98,815 and $77,427 of interest income, respectively.

Most United States commodity exchanges limit the amount of fluctuation in commodity futures contract prices during a single trading day by regulations. These regulations specify what are referred to as “daily price fluctuation limits” or “daily limits.” The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day’s settlement price at the end of a trading session. Once the daily limit has been reached in a particular commodity, no trades may be made at a price beyond the limit. Positions in the commodity could then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day. Because the “daily limit” rule only governs price movement for a particular trading day, it does not limit losses. In the past, futures prices have moved the daily limit for numerous consecutive trading days and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting commodity futures traders holding such positions to substantial losses for those days.

It is also possible for an exchange or the CFTC to suspend trading in a particular contract, order immediate settlement of a particular contract, or direct that trading in a particular contract be for liquidation only.

There are no known material trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Trust’s liquidity increasing or decreasing in any material way. 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.

Certain Advisors to the Trust 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 Advisors, 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 March 31, 2012

The Trust recorded net trading loss of $(1,742,789) or $(4.95) per trading Unit for Class A Units and a loss of $(58,427) or $(4.80) per trading Unit for Class B Units in the first quarter of 2012 (*** 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, 2012, the Trust (Class A Units) had gained 5.58% since its inception in June 1997. Class B Units have lost 22.79% since their inception in January of 2009.

As of March 31, 2012, the Trust’s assets were allocated to the following Advisors as follows: ATC (16.66%), CCG (16.66%), NW (16.66%), and six other advisors managing less than 10% each.

With short-term interest rates at or near zero and no implosion in the European debt saga, the stock market continued to drift higher with little resistance during January. Bonds were choppy but only slightly lower on the month as interest rates inched higher. Commodities were higher as a sector thanks to strength in crude oil, cattle, and soybean markets. Gold, corn, and natural gas markets were a drag on the sector finishing flat to lower on the month. In February, the stock market moved ahead on light volume during the month and posted its best February since 1997. Bonds and Commodities also posted small gains to start the year. The managed futures industry continues to struggle. A violent reversal by grains, bonds, and some metals caused losses during the month. The Barclay Top 50 which is representative of all managed futures strategies and over 50% of the industry’s assets finished 2012 with its worst 36 month performance period since the index began in 1987. Erratic volatility, fluctuating volume, and government intervention in Europe, Asia, the U.S., and China have been blamed by traders for the difficult environment. The index finds itself two standard deviations from its positive historical average annual return. Some would argue that the U.S. Federal Reserve is already in the middle of its third round of quantitative easing. With short-term interest rates continuing at or near zero and no further shocks in the European debt saga, the stock market continued a climb higher during March and posted its best first quarter in 14 years. Bonds were lower posting their worst quarter in two years. The commodity sector was lower on the month due to weakness in the energy, base metals, meats, and corn markets.

Fiscal Quarter ended March 31, 2011

The Trust recorded net trading losses of $(1,851,345) or $(3.76) per trading Unit for Class A Units and a loss of $(44,923) or $(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.

(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.

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, 2011.

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, 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 March 31, 2012. 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 March 31, 2012.

Changes in Internal Control Over Financial Reporting: There were no changes in the Trust’s internal control over financial reporting, during the quarter ended March 31, 2012, 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

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

There have been no material changes from the risk factors disclosed under the heading “Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2011.

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

a) For the quarter ended March 31, 2012, the Trust issued 1,574 Units in exchange for $137,392 in transactions that were not registered under the Securities Act of 1933, as amended (the “Securities Act”). The Units were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act and Section 506 of Regulation D promulgated there under.

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 first quarter of 2012:

	Units Redeemed				Redemption Date NAV per Unit
Month	Class A		Class B		Class A		Class B
January		5,122		915	$	88.94	$	94.61
February		9,531		242	$	87.27	$	92.99
March		8,726		239	$	86.37	$	92.18

Total		23,379		1,396

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

Item 6. Exhibits

Exhibits

Index to Exhibits

Exhibit Number Description of Document

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

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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.

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:	May 14, 2012

By:	R.J. O’Brien Fund Management, LLC
	Managing Owner

By:	/s/ Jason Manumaleuna
	Jason Manumaleuna
	Principal Financial Officer and duly authorized officer

EX-31.01 2 v312542_ex31-01.htm EXHIBIT 31.01

EXHIBIT 31.01

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

I, Gerald Corcoran, certify that:

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

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;

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;

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

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: May 14, 2012

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

EX-31.02 3 v312542_ex31-02.htm EXHIBIT 31.02

EXHIBIT 31.02

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

I, Jason Manumaleuna, certify that:

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

he 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)

(b)

(c)

(d)

(a)

(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: May 14, 2012

By:	/s/ Jason Manumaleuna
	Jason Manumaleuna, Chief Financial Officer
	(principal financial officer)
	R.J. O’Brien Fund Management, LLC, Managing Owner

EX-32.01 4 v312542_ex32-01.htm EXHIBIT 32.01

EXHIBIT 32.01

SECTION 1350 CERTIFICATION

OF PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER

I, Gerald Corcoran, Chief Executive Officer, and I, Jason Manumaleuna, 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/ Jason Manumaleuna
Gerald Corcoran		Jason Manumaleuna
Chief Executive Officer		Chief Financial Officer
R. J. O’Brien Fund Management, LLC, Managing Owner		R. J. O’Brien Fund Management, LLC, Managing Owner
May 14, 2012		May 14, 2012

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<div style="FONT: 10pt Times New Roman, Times, Serif"> RJO GLOBAL TRUST AND SUBSIDIARY Condensed Consolidated Schedules of Investments   <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="6">March 31, 2012</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="6">December 31, 2011</td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Percentage of</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Percentage of</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Net Assets</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Fair value</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Net Assets</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Fair value</td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="6">UNAUDITED</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold; TEXT-DECORATION: underline"> Long Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Fixed Income Securities</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold">Certificate of Deposit</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-INDENT: 10pt">Japan</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in; WIDTH: 48%"> Financials (cost $801,128)</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="TEXT-ALIGN: right; WIDTH: 10%">2.58</td> <td style="TEXT-ALIGN: left; WIDTH: 1%">%</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">800,016</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Commercial Paper</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 9pt">South Korea Financials (cost $1,497,579)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">4.84</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,499,940</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 9pt">United States Energy (cost $1,242,569)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3.56</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,242,938</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt; PADDING-LEFT: 9pt"> Financials (cost $1,896,629)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">-</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">5.44</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 1,899,873</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Total Commercial Paper</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">7.42</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,299,956</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">9.00</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,142,811</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Corporate Bonds</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 9pt">United States Financials (cost $3,948,291 and $6,682,059, respectively)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">12.61</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,912,133</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">19.22</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">6,717,547</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; TEXT-INDENT: 10pt">Australia Financials (cost $4,424,295) Great Britain</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">14.22</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">4,409,269</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt; PADDING-LEFT: 9pt"> Energy (cost $1,527,135)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">-</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">4.31</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 1,506,885</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Total Corporate Bonds</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">26.83</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">8,321,402</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">23.53</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">8,224,432</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Government Agencies</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; TEXT-INDENT: -0.1in; PADDING-LEFT: 16.2pt"> United States US Government Agency (cost $12,000,029 and $10,499,879, respectively)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">38.70</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">12,003,030</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">30.04</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">10,498,215</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Short-Term Investment Funds</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt; TEXT-INDENT: -0.1in; PADDING-LEFT: 16.2pt"> United States Short-Term Investment Funds (cost $4,993 and $5,432, respectively)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">0.02</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 4,993</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">0.02</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 5,432</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; FONT-WEIGHT: bold"> Total Fixed Income Securities (cost $22,676,316 and $21,993,704, respectively)</td> <td style="PADDING-BOTTOM: 2.5pt; FONT-WEIGHT: bold"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; FONT-WEIGHT: bold">  </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt; FONT-WEIGHT: bold">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; FONT-WEIGHT: bold">  </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,629,381</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 21,870,890</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold; TEXT-DECORATION: underline"> Long Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Futures Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Agriculture</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.15</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">45,082</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.01</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">3,573</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.05</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(16,672</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.03</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">9,244</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Energy</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.12</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(38,425</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.34</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(119,410</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Indices</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.14</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">43,768</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.05</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">17,851</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest rates</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.16</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">49,146</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.40</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">139,768</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Metals</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.71</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(221,421</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.23</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(80,138</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Forward Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.12</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">38,003</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.99</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(344,428</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt"> Total long positions on open contracts</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (100,519</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (373,540</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold; TEXT-DECORATION: underline"> Short Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Futures Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Agriculture</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.09</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">26,969</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.02</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">6,835</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.18</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(54,733</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.02</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(5,365</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Energy</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.17</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">53,989</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.64</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">225,038</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Indices</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.06</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">19,184</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.13</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(47,027</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest rates</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.08</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(24,997</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.03</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(10,045</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Metals</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.59</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">181,887</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.21</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">72,320</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold">Forward Positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-0.29</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(90,244</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1.42</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">495,731</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt"> Total short positions on open contracts</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 112,055</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 737,487</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">Total unrealized gain on open contracts</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 11,536</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 363,947</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold; TEXT-DECORATION: underline"> Long put options on future contracts</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Energy (premiums paid - $10,320)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.08</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">25,680</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left">$</td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest rates(premiums paid - $10,359)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.04</td> <td style="TEXT-ALIGN: left">%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">13,547</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">Currency (premiums paid - $17,043 and $33,376, respectively)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">0.05</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 16,080</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 1pt">0.06</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 22,525</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt"> Total long put options on futures contracts</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 55,307</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,525</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold; TEXT-DECORATION: underline"> Short put options on future contracts</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">Currency (premiums received - $14,375)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt">-</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="TEXT-ALIGN: right; PADDING-BOTTOM: 2.5pt">-</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (1,006</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> </tr> </table> </div>

49235

-1904495

-103279

-11477

<div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="WIDTH: 0.5in">(11)</td> <td>Derivative Instruments and Hedging Activities</td> </tr> </table>   The Trust does not utilize hedge accounting and marks its derivatives to market through operations.    Derivatives not designated as hedging instruments:   <table style="WIDTH: 80%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; FONT-WEIGHT: bold" colspan="13" nowrap="nowrap">As of March 31, 2012</td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Asset</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Liability</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" nowrap="nowrap"> Type of</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Derivatives</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Derivatives</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Net</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" nowrap="nowrap">Futures Contracts</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="WIDTH: 61%">Agriculture</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">187,817</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">(115,766</td> <td style="TEXT-ALIGN: left; WIDTH: 1%">)</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">72,051</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">23,283</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(130,849</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(107,566</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Energy</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">65,422</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(24,178</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">41,244</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Indices</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">91,940</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(28,988</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">62,952</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest Rates</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">80,365</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(42,669</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">37,696</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt">Metals</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 37,629</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (77,163</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (39,534</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 486,456</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (419,613</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 66,843</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> </table>   <table style="WIDTH: 80%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold" colspan="13" nowrap="nowrap"> As of December 31, 2011</td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Asset</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Liability</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" nowrap="nowrap"> Type of</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Derivatives</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Derivatives</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Net</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" nowrap="nowrap">Futures Contracts</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">Fair Value</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="WIDTH: 61%">Agriculture</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">10,408</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">10,408</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">527,500</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(350,799</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">176,701</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Energy</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">225,038</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(119,410</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">105,628</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Indices</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">17,851</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(47,027</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(29,176</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest Rates</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">139,768</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(10,045</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">129,723</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt">Metals</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 72,320</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (80,138</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (7,818</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 992,885</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (607,419</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 385,466</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> </table>   The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts and in purchased and written options on futures contracts on the consolidated statements of financial condition as of March 31, 2012 and December 31, 2011 respectively.   Trading gain (loss) for the following periods:   <table style="WIDTH: 80%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="6" nowrap="nowrap"> Three Months Ended March 31,</td> <td style="FONT-WEIGHT: bold" nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" nowrap="nowrap">Type of Futures Contracts</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">2012</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="2" nowrap="nowrap">2011</td> <td style="PADDING-BOTTOM: 1pt; FONT-WEIGHT: bold" nowrap="nowrap">  </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="WIDTH: 74%">Agriculture</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">(200,022</td> <td style="TEXT-ALIGN: left; WIDTH: 1%">)</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">(98,432</td> <td style="TEXT-ALIGN: left; WIDTH: 1%">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Currency</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(438,307</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(524,630</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Energy</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">198,001</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">262,719</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td>Indices</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">38,216</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">46,768</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Interest Rates</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(287,594</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(628,477</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt">Metals</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (464,481</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 90,921</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (1,154,187</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (851,131</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)</td> </tr> </table>   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. </div>

<div style="FONT: 10pt Times New Roman, Times, Serif"> (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 nine independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of March 31, 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 decline in the aggregate net assets 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:     <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 28.8pt"></td> <td style="WIDTH: 28.1pt">(a)</td> <td>Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td> </td> <td> </td> <td> </td> </tr> </table> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 28.8pt"></td> <td style="WIDTH: 28.1pt">(b)</td> <td>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.</td> </tr> </table>   The unitholders have no right to request redemptions from the LLC.   The LLC agreed to compensate US Bank, as manager, the following: (1) an initial acceptance fee of $120,000; (2) an annual fee of $25,000; (3) a distribution fee of $25,000 per distribution; (4) out-of-pocket expenses; and (5) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at the time the agreement was executed).   See Note (6) for further detail regarding collection and distribution activity related to the assets held at RCM. </div>

-1801216

98940

<div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="WIDTH: 0.5in">(7)</td> <td>Fair Value Measurements</td> </tr> </table>   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 March 31, 2012 and December 31, 2011, 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 March 31, 2012 and December 31, 2011, respectively:   <table style="WIDTH: 80%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif; MARGIN-LEFT: 30.25pt" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="10">March 31, 2012</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 1</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 2</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 3</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Total</td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold">Assets</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Unrealized gain (loss) on open contracts:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in; WIDTH: 48%"> Futures positions</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">63,777</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">63,777</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in">Forward currency positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(52,241</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(52,241</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Purchased options on futures contracts</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">55,307</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">55,307</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">Fixed income securities</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 22,629,381</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 22,629,381</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 27pt; FONT-WEIGHT: bold"> Total fair value</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 119,084</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,577,140</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,696,224</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> </table>   <table style="WIDTH: 80%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif; MARGIN-LEFT: 30.25pt" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="10">December 31, 2011</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="TEXT-ALIGN: center" colspan="2"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 1</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 2</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Level 3</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Total</td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold">Assets</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left"> Unrealized gain on open contracts:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.12in; WIDTH: 48%"> Futures positions</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">212,644</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">212,644</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 9pt">Forward currency positions</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">151,303</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">151,303</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Purchased options on futures contracts</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">22,525</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">22,525</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">Fixed income securities</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 21,870,890</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 21,870,890</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Total assets</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">235,169</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">22,022,193</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">22,257,362</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="FONT-WEIGHT: bold">Liabilities</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">Options written on futures contracts</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (1,006</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (1,006</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 27pt; FONT-WEIGHT: bold"> Total fair value</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 234,163</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,022,193</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 22,256,356</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> </table> </div>

133533

<div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; WIDTH: 100%; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0"> <tr style="TEXT-ALIGN: justify; VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="TEXT-ALIGN: left; WIDTH: 0.5in">(10)</td> <td style="TEXT-ALIGN: justify">Cash Management Agreement with Affiliate</td> </tr> </table>   On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment adviser and an affiliate of the Managing Owner, as cash manager. The assets managed by RJOIM are held in segregated accounts in custody 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 March 31, 2012, the Trust’s deposits held by RJOIM consisted of cash of $5,851,390 and fixed income securities of $22,629,381. Advisory fees earned by RJOIM aggregated $15,319 and $15,266 for the three months ended March 31, 2012 and 2011, respectively. </div>

-337344

-131014

15319

16466 -756 <div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="WIDTH: 0.5in">(6)</td> <td style="TEXT-ALIGN: left">Assets Held at Refco Capital Markets, Ltd.</td> </tr> </table>   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.   <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center; FONT-WEIGHT: bold" colspan="25">Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM</td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center"> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Amounts Received from</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Balance of</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Collections in Excess of</td> <td> </td> <td> </td> <td style="TEXT-ALIGN: center" colspan="2">Cash Distributions to Non-Participating</td> <td> </td> <td> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="6">Additional Units in Trust for Participating Owners</td> <td> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center"> Date</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">RCM</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Impaired Value</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Impaired Value</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Owners</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Units</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2">Dollars</td> <td style="PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center; WIDTH: 22%">12/29/06</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">10,319,318</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">6,643,944</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">-</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">4,180,958</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="TEXT-ALIGN: right; WIDTH: 10%">54,914</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">5,154,711</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">04/20/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,787,629</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,856,315</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/07/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">265,758</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,590,557</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/28/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">4,783,640</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,193,083</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">07/03/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">5,654</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">5,654</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">08/29/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,787,947</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">23,183</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,758,626</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">09/19/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,584,070</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,584,070</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">12/31/07</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,708,467</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,708,467</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">03/28/08</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,046,068</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,046,068</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">04/29/08</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,241,680</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">10,736</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,053,815</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/26/08</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">701,148</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">701,148</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">12/31/08</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">769,001</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">769,001</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/29/09</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,748,048</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">2,748,048</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">12/30/09</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,102,612</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,102,612</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">05/19/10</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,695,150</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,695,150</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/04/10</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">14,329,450</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">14,329,450</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">08/01/10</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">16,076,112</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">40,839</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,928,806</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">10/15/10</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">282,790</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">282,790</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">12/30/10</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">563,163</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">563,163</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">06/02/11</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">343,664</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">343,664</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">08/30/11</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,328,832</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">1,328,832</td> <td style="TEXT-ALIGN: left">*</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center">12/01/11</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">-</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">3,689,555</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">6,168</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">561,489</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right">  </td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: center; PADDING-BOTTOM: 2.5pt">Totals</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 48,364,462</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> -</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 31,401,200</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 28,976,252</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 135,840</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 12,457,447</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> </table>   *The collections on June 4, 2010 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, were reduced by $970,550, which represented Cargill' s percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill's percentage of distributions at 57.25% of the gross collections. </div> <div style="FONT: 10pt Times New Roman, Times, Serif"> (9) Financial Highlights   The following financial highlights show the Trust’s financial performance for the three-month periods ended March 31, 2012 and March 31, 2011. 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.    <table style="WIDTH: 88%; BORDER-COLLAPSE: collapse; FONT: 10pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> Class A</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> Class B</td> <td nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> Three months ended</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> Three months ended</td> <td nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> March 31,</td> <td nowrap="nowrap"> </td> <td nowrap="nowrap"> </td> <td style="TEXT-ALIGN: center" colspan="6" nowrap="nowrap"> March 31,</td> <td nowrap="nowrap"> </td> </tr> <tr style="VERTICAL-ALIGN: bottom"> <td nowrap="nowrap"> </td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2" nowrap="nowrap">2012</td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2" nowrap="nowrap">2011</td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2" nowrap="nowrap">2012</td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: center" colspan="2" nowrap="nowrap">2011</td> <td style="PADDING-BOTTOM: 1pt" nowrap="nowrap"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td>Per share operating performance:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-LEFT: 9pt; WIDTH: 48%" nowrap="nowrap">Net asset value of Trading units, beginning of period</td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">91.32</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">100.64</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">96.98</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> <td style="WIDTH: 1%"> </td> <td style="TEXT-ALIGN: left; WIDTH: 1%">$</td> <td style="TEXT-ALIGN: right; WIDTH: 10%">104.75</td> <td style="TEXT-ALIGN: left; WIDTH: 1%"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 9pt">Total Trading income (loss):</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in">Trading gain (loss)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(3.15</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(1.61</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(3.35</td> <td style="TEXT-ALIGN: left">)</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(1.71</td> <td style="TEXT-ALIGN: left">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in">Investment income</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.14</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.13</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.14</td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">0.14</td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 1pt; PADDING-LEFT: 0.25in">Expenses</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (1.93</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (2.28</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (1.60</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (1.84</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt; PADDING-LEFT: 9pt">Trading income (loss)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (4.94</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (3.76</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (4.81</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (3.41</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt">Net asset value of Trading units, end of period</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 86.38</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 96.88</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 92.17</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left"> $</td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> 101.34</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Total return:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt">Total return before incentive fees</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(5.42</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(3.62</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(4.94</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(3.15</td> <td style="TEXT-ALIGN: left">)%</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt">Less incentive fee allocations</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 0.00</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (0.12</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 0.00</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (0.11</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)%</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">Total return</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (5.42</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.74</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (4.94</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.26</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left">Ratios to average net assets:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt"> Trading income (loss)</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.63</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.92</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.69</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (3.29</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="PADDING-LEFT: 9pt">Expenses:</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right"> </td> <td style="TEXT-ALIGN: left"> </td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-LEFT: 0.25in">Expenses, less incentive fees</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(2.21</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(2.20</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(1.71</td> <td style="TEXT-ALIGN: left">)%</td> <td> </td> <td style="TEXT-ALIGN: left"> </td> <td style="TEXT-ALIGN: right">(1.65</td> <td style="TEXT-ALIGN: left">)%</td> </tr> <tr style="BACKGROUND-COLOR: rgb(204,255,204); VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt; PADDING-LEFT: 0.25in"> Incentive fees</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 0.00</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (0.12</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> 0.00</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">%</td> <td style="PADDING-BOTTOM: 1pt"> </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 1pt solid; TEXT-ALIGN: right"> (0.11</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 1pt">)%</td> </tr> <tr style="BACKGROUND-COLOR: white; VERTICAL-ALIGN: bottom"> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt; PADDING-LEFT: 9pt">Total expenses</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (2.21</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (2.32</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (1.71</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> <td style="PADDING-BOTTOM: 2.5pt"> </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: left">  </td> <td style="BORDER-BOTTOM: black 2.5pt double; TEXT-ALIGN: right"> (1.76</td> <td style="TEXT-ALIGN: left; PADDING-BOTTOM: 2.5pt">)%</td> </tr> </table>   The calculations above do not include activity within the Trust’s Non-Trading Accounts.   The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the three-month periods ended March 31, 2012 and 2011, respectively. The amounts are not annualized. </div> <div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="WIDTH: 0.5in">(3)</td> <td>Fees</td> </tr> </table>   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. </div> <div style="FONT: 10pt Times New Roman, Times, Serif"> <table style="MARGIN-TOP: 0pt; FONT: 10pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0pt" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"></td> <td style="WIDTH: 0.5in">(5)</td> <td>Trading Activities and Related Risks</td> </tr> </table>   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 requires FCMs 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 Trust 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 the three-month periods ended March 31, 2012 and 2011 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 CFTC 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 investments in the Trust. </div> 8489 -4.80

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131132

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386838 -4.95

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137392

1574

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2041122

-23379

137392

1574

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2172254

-24775

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-0.05

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8995

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19138

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Fees

3 Months Ended

Mar. 31, 2012

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.

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Consolidated Statements of Financial Condition (USD $)

Mar. 31, 2012

Dec. 31, 2011

Equity in commodity Trading accounts:

Cash on deposit with broker $ 2,382,766 $ 2,670,744

Unrealized gain on open contracts 11,536 363,947

Purchased options on futures contracts (premiums paid - $37,722 and $33,376, respectively) 55,307 22,525

Total due from broker 2,449,609 3,057,216

Cash and cash equivalents on deposit with affiliate 5,851,390 9,596,823

Cash on deposit with bank 1,324 648

Fixed income securities (cost $22,676,316 and $21,993,704, respectively), held by affiliate 22,629,381 21,870,890

Interest receivable 71,679 123,363

Cash on deposit with bank - Non-Trading 1,009,290 1,647,219

Prepaid expenses - Non-Trading 135,509 95,825

Total Assets 32,148,182 36,391,984

Equity in commodity Trading accounts:

Options written on futures contracts (premiums received - $14,375) 1,006

Accrued commissions 90,841 111,034

Accrued management fees 43,957 48,884

Accrued operating expenses 152,593 217,118

Redemptions payable-Trading 774,512 493,332

Accrued legal fees- Non-Trading 53,000 500

Accrued management fees to U.S. Bank-Non-Trading 18,899 31,715

Distribution payable - Non-Trading 1,530 536,188

Total liabilities 1,135,332 1,439,777

Unitholders' capital:

Total unitholders' capital 31,012,850 34,952,207

Total Liabilities and Unitholders' Capital 32,148,182 36,391,984

Trading

Unitholders' capital:

Total unitholders' capital 29,941,465 33,777,543

Trading | Class A

Net asset value per unit:

Net asset value per unit $ 86.37 $ 91.32

Trading | Class B

Net asset value per unit:

Net asset value per unit $ 92.18 $ 96.98

Trading | Beneficial owners | Class A

Unitholders' capital:

Total unitholders' capital 28,853,520 32,497,392

Trading | Beneficial owners | Class B

Unitholders' capital:

Total unitholders' capital 1,041,735 1,231,294

Trading | Managing owner | Class A

Unitholders' capital:

Total unitholders' capital 46,210 48,857

LLC equity/Non-Trading

Unitholders' capital:

Total unitholders' capital 1,071,385 1,174,664

Net asset value per unit:

Net asset value per unit $ 0.47 $ 0.52

LLC equity/Non-Trading | Participating owners

Unitholders' capital:

Total unitholders' capital 135,206 158,535

LLC equity/Non-Trading | Nonparticipating owners

Unitholders' capital:

Total unitholders' capital $ 936,179 $ 1,016,129

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Condensed Consolidated Schedules of Investments
3 Months Ended

Mar. 31, 2012

Condensed Consolidated Schedules of Investments

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedules of Investments

March 31, 2012 December 31, 2011

Percentage of Percentage of

Net Assets Fair value Net Assets Fair value

UNAUDITED

Long Positions

Fixed Income Securities

Certificate of Deposit

Japan

Financials (cost $801,128) 2.58 % $ 800,016 - $ -

Commercial Paper

South Korea Financials (cost $1,497,579) 4.84 % 1,499,940 - -

United States Energy (cost $1,242,569) - - 3.56 % 1,242,938

Financials (cost $1,896,629) - - 5.44 % 1,899,873

Total Commercial Paper 7.42 % 2,299,956 9.00 % 3,142,811

Corporate Bonds

United States Financials (cost $3,948,291 and $6,682,059, respectively) 12.61 % 3,912,133 19.22 % 6,717,547

Australia Financials (cost $4,424,295) Great Britain 14.22 % 4,409,269 - -

Energy (cost $1,527,135) - - 4.31 % 1,506,885

Total Corporate Bonds 26.83 % 8,321,402 23.53 % 8,224,432

Government Agencies

United States US Government Agency (cost $12,000,029 and $10,499,879, respectively) 38.70 % 12,003,030 30.04 % 10,498,215

Short-Term Investment Funds

United States Short-Term Investment Funds (cost $4,993 and $5,432, respectively) 0.02 % 4,993 0.02 % 5,432

Total Fixed Income Securities (cost $22,676,316 and $21,993,704, respectively) $ 22,629,381 $ 21,870,890

Long Positions

Futures Positions

Agriculture 0.15 % $ 45,082 0.01 % $ 3,573

Currency -0.05 % (16,672 ) 0.03 % 9,244

Energy -0.12 % (38,425 ) -0.34 % (119,410 )

Indices 0.14 % 43,768 0.05 % 17,851

Interest rates 0.16 % 49,146 0.40 % 139,768

Metals -0.71 % (221,421 ) -0.23 % (80,138 )

Forward Positions

Currency 0.12 % 38,003 -0.99 % (344,428 )

Total long positions on open contracts $ (100,519 ) $ (373,540 )

Short Positions

Futures Positions

Agriculture 0.09 % $ 26,969 0.02 % $ 6,835

Currency -0.18 % (54,733 ) -0.02 % (5,365 )

Energy 0.17 % 53,989 0.64 % 225,038

Indices 0.06 % 19,184 -0.13 % (47,027 )

Interest rates -0.08 % (24,997 ) -0.03 % (10,045 )

Metals 0.59 % 181,887 0.21 % 72,320

Forward Positions

Currency -0.29 % (90,244 ) 1.42 % 495,731

Total short positions on open contracts $ 112,055 $ 737,487

Total unrealized gain on open contracts $ 11,536 $ 363,947

Long put options on future contracts

Energy (premiums paid - $10,320) 0.08 % $ 25,680 - $ -

Interest rates(premiums paid - $10,359) 0.04 % 13,547 - -

Currency (premiums paid - $17,043 and $33,376, respectively) 0.05 % 16,080 0.06 % 22,525

Total long put options on futures contracts $ 55,307 $ 22,525

Short put options on future contracts

Currency (premiums received - $14,375) - $ - - $ (1,006 )

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General Information and Summary
3 Months Ended

Mar. 31, 2012

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 nine independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of March 31, 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 decline in the aggregate net assets 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 agreed to compensate US Bank, as manager, the following: (1) an initial acceptance fee of $120,000; (2) an annual fee of $25,000; (3) a distribution fee of $25,000 per distribution; (4) out-of-pocket expenses; and (5) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at the time the agreement was executed).

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

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Consolidated Statements of Financial Condition (Parenthetical) (USD $)

Mar. 31, 2012

Dec. 31, 2011

Purchased options on futures contracts, premiums paid $ 37,722 $ 33,376

Fixed income securities, cost 22,676,316 21,993,704

Options written on futures contracts, premiums $ 14,375

Trading

Unitholders' capital, units outstanding 345,889 369,090

LLC equity/Non-Trading

Unitholders' capital, units outstanding 2,273,288 2,273,288

LLC equity/Non-Trading | Participating owners

Unitholders' capital, units outstanding 287,669 306,807

LLC equity/Non-Trading | Nonparticipating owners

Unitholders' capital, units outstanding 1,985,619 1,966,481

Class A | Trading | Beneficial owners

Unitholders' capital, units outstanding 334,053 355,858

Class A | Trading | Managing owner

Unitholders' capital, units outstanding 535 535

Class B | Trading | Beneficial owners

Unitholders' capital, units outstanding 11,301 12,697

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Derivative Instruments and Hedging Activities
3 Months Ended

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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 March 31, 2012

Asset Liability

Type of Derivatives Derivatives Net

Futures Contracts Fair Value Fair Value Fair Value

Agriculture $ 187,817 $ (115,766 ) $ 72,051

Currency 23,283 (130,849 ) (107,566 )

Energy 65,422 (24,178 ) 41,244

Indices 91,940 (28,988 ) 62,952

Interest Rates 80,365 (42,669 ) 37,696

Metals 37,629 (77,163 ) (39,534 )

$ 486,456 $ (419,613 ) $ 66,843

As of December 31, 2011

Asset Liability

Type of Derivatives Derivatives Net

Futures Contracts Fair Value Fair Value Fair Value

Agriculture $ 10,408 $ - $ 10,408

Currency 527,500 (350,799 ) 176,701

Energy 225,038 (119,410 ) 105,628

Indices 17,851 (47,027 ) (29,176 )

Interest Rates 139,768 (10,045 ) 129,723

Metals 72,320 (80,138 ) (7,818 )

$ 992,885 $ (607,419 ) $ 385,466

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts and in purchased and written options on futures contracts on the consolidated statements of financial condition as of March 31, 2012 and December 31, 2011 respectively.

Trading gain (loss) for the following periods:

Three Months Ended March 31,

Type of Futures Contracts 2012 2011

Agriculture $ (200,022 ) $ (98,432 )

Currency (438,307 ) (524,630 )

Energy 198,001 262,719

Indices 38,216 46,768

Interest Rates (287,594 ) (628,477 )

Metals (464,481 ) 90,921

$ (1,154,187 ) $ (851,131 )

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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As of April 30, 2012, the managing owner chose to remove three of the Trust’s CTAs which managed less than 10% of the Trust’s assets each. The managing owner has not yet reallocated the assets that were being traded by these CTAs.

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Mar. 31, 2011

Trading gain (loss):

Realized gain (loss) on closed positions $ (805,366) $ (563,273)

Change in unrealized gain (loss) on open positions (337,344) (425,355)

Foreign currency transaction gain (loss) (11,477) 137,497

Total Trading gain (loss) (1,154,187) (851,131)

Net investment income (loss):

Interest income 98,940 82,844

Realized gain (loss) on fixed income securities (131,014) (20,130)

Change in unrealized gain (loss) on fixed income securities 81,309 10,316

Total net investment gain (loss) 49,235 73,030

Expenses:

Advisory fees 15,319 15,266

Management fees 135,619 213,022

Incentive fees 58,100

Ongoing offering expenses 16,466 30,000

Operating expenses 133,533 185,000

Total expenses 696,264 1,118,167

Trading income (loss) (1,801,216) (1,896,268)

Non-Trading income (loss):

Interest on Non-Trading reserve 59 1,864

Legal and administrative fees (756) (42,100)

Management fees paid to US Bank (102,582) (75,608)

Non-Trading income (loss) (103,279) (115,844)

Net income (loss) (1,904,495) (2,012,112)

Class A

Expenses:

Commissions 386,838 606,676

Class B

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Commissions $ 8,489 $ 10,103

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Assets Held at Refco Capital Markets, Ltd.
3 Months Ended

Mar. 31, 2012

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 Balance of Collections in
Excess of Cash Distributions to
Non-Participating Additional Units in Trust for
Participating Owners

Date RCM Impaired Value Impaired Value Owners Units Dollars

12/29/06 $ 10,319,318 $ 6,643,944 $ - $ 4,180,958 54,914 $ 5,154,711

04/20/07 2,787,629 3,856,315 - - - -

06/07/07 265,758 3,590,557 - - - -

06/28/07 4,783,640 - 1,193,083 - - -

07/03/07 5,654 - 5,654 - - -

08/29/07 - - - 2,787,947 23,183 1,758,626

09/19/07 2,584,070 - 2,584,070 - - -

12/31/07 2,708,467 - 2,708,467 - - -

03/28/08 1,046,068 - 1,046,068 - - -

04/29/08 - - - 2,241,680 10,736 1,053,815

06/26/08 701,148 - 701,148 - - -

12/31/08 769,001 - 769,001 - - -

06/29/09 2,748,048 - 2,748,048 - - -

12/30/09 1,102,612 - 1,102,612 - - -

05/19/10 1,695,150 - 1,695,150 - - -

06/04/10 14,329,450 * - 14,329,450 * - - -

08/01/10 - - - 16,076,112 40,839 3,928,806

10/15/10 282,790 * - 282,790 * - - -

12/30/10 563,163 * - 563,163 * - - -

06/02/11 343,664 * - 343,664 * - - -

08/30/11 1,328,832 * - 1,328,832 * - - -

12/01/11 - - - 3,689,555 6,168 561,489

Totals $ 48,364,462 $ - $ 31,401,200 $ 28,976,252 135,840 $ 12,457,447

*The collections on June 4, 2010 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, were reduced by $970,550, which represented Cargill' s percentage of distributions, as defined in the Settlement Agreement. All subsequent collections are shown net and were reduced by Cargill's percentage of distributions at 57.25% of the gross collections.

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Trading Activities and Related Risks
3 Months Ended

Mar. 31, 2012

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 requires FCMs 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 Trust 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 the three-month periods ended March 31, 2012 and 2011 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 CFTC 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 investments in the Trust.

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Financial Highlights
3 Months Ended

Mar. 31, 2012

Financial Highlights

(9) Financial Highlights

The following financial highlights show the Trust’s financial performance for the three-month periods ended March 31, 2012 and March 31, 2011. 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

Three months ended Three months ended

March 31, March 31,

2012 2011 2012 2011

Per share operating performance:

Net asset value of Trading units, beginning of period $ 91.32 $ 100.64 $ 96.98 $ 104.75

Total Trading income (loss):

Trading gain (loss) (3.15 ) (1.61 ) (3.35 ) (1.71 )

Investment income 0.14 0.13 0.14 0.14

Expenses (1.93 ) (2.28 ) (1.60 ) (1.84 )

Trading income (loss) (4.94 ) (3.76 ) (4.81 ) (3.41 )

Net asset value of Trading units, end of period $ 86.38 $ 96.88 $ 92.17 $ 101.34

Total return:

Total return before incentive fees (5.42 )% (3.62 )% (4.94 )% (3.15 )%

Less incentive fee allocations 0.00 % (0.12 )% 0.00 % (0.11 )%

Total return (5.42 )% (3.74 )% (4.94 )% (3.26 )%

Ratios to average net assets:

Trading income (loss) (3.63 )% (3.92 )% (3.69 )% (3.29 )%

Expenses:

Expenses, less incentive fees (2.21 )% (2.20 )% (1.71 )% (1.65 )%

Incentive fees 0.00 % (0.12 )% 0.00 % (0.11 )%

Total expenses (2.21 )% (2.32 )% (1.71 )% (1.76 )%

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

The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the three-month periods ended March 31, 2012 and 2011, respectively. The amounts are not annualized.

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Fair Value Measurements
3 Months Ended

Mar. 31, 2012

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 March 31, 2012 and December 31, 2011, 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 March 31, 2012 and December 31, 2011, respectively:

March 31, 2012

Level 1 Level 2 Level 3 Total

Assets

Unrealized gain (loss) on open contracts:

Futures positions $ 63,777 $ - $ - $ 63,777

Forward currency positions - (52,241 ) - (52,241 )

Purchased options on futures contracts 55,307 - - 55,307

Fixed income securities - 22,629,381 - 22,629,381

Total fair value $ 119,084 $ 22,577,140 $ - $ 22,696,224

December 31, 2011

Level 1 Level 2 Level 3 Total

Assets

Unrealized gain on open contracts:

Futures positions $ 212,644 $ - $ - $ 212,644

Forward currency positions - 151,303 - 151,303

Purchased options on futures contracts 22,525 - - 22,525

Fixed income securities - 21,870,890 - 21,870,890

Total assets 235,169 22,022,193 - 22,257,362

Liabilities

Options written on futures contracts (1,006 ) - - (1,006 )

Total fair value $ 234,163 $ 22,022,193 $ - $ 22,256,356

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The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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Operations
3 Months Ended

Mar. 31, 2012

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 NAV Consulting, Inc., the Trust’s administrator, or the Managing Owner. Payment will generally be made within 10 business days of the effective date of the redemption. 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 (the “Trust Agreement”), contains a full description of redemption and distribution policies.

Subscriptions

Investors that are eligible to participate in the private offering of the Units may purchase Units in the Trust pursuant to the terms of the Trust’s Confidential Private Placement Memorandum and Disclosure Document (the “Memorandum”) and a signed subscription form. The Trust Agreement and the Memorandum contain a full description of subscription policies. An investment in the Trust does not include a beneficial interest or investment in the LLC.

Commissions

The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO. Commodity brokerage commissions 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 4.67% of the Trust’s month-end assets on an annual basis (0.389167% monthly) with respect to Class A Units and 2.67% of the Trust’s month-end assets on an annual basis (0.2225% 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 Payments 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 (capped at) 1.57 % 1.57 %

Totals 4.67 % 2.67 %

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

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Cash Management Agreement with Affiliate
3 Months Ended

Mar. 31, 2012

Cash Management Agreement with Affiliate

(10) Cash Management Agreement with Affiliate

On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment adviser and an affiliate of the Managing Owner, as cash manager. The assets managed by RJOIM are held in segregated accounts in custody 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 March 31, 2012, the Trust’s deposits held by RJOIM consisted of cash of $5,851,390 and fixed income securities of $22,629,381. Advisory fees earned by RJOIM aggregated $15,319 and $15,266 for the three months ended March 31, 2012 and 2011, respectively.

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The entire disclosure for related party transactions, including the nature of the relationship(s), a description of the transactions, the amount of the transactions, the effects of any change in the method of establishing the terms of the transaction from the previous period, stated interest rate, expiration date, terms and manner of settlement per the agreement with the related party, and amounts due to or from related parties. If the entity and one or more other entities are under common ownership or management control and this control affects the operating results or financial position, disclosure includes the nature of the control relationship even if there are no transactions between the entities. Disclosure may also include the aggregate amount of current and deferred tax expense for each statement of earnings presented where the entity is a member of a group that files a consolidated tax return, the amount of any tax related balances due to or from affiliates as of the date of each statement of financial position presented, the principal provisions of the method by which the consolidated amount of current and deferred tax expense is allocated to the members of the group and the nature and effect of any changes in that method. Examples of related party transactions include transactions between (a) a parent company and its subsidiary; (b) subsidiaries of a common parent; (c) and entity and its principal owners; and (d) affiliates.

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Consolidated Statement of Changes in Unitholders' Capital (USD $)
3 Months Ended

Mar. 31, 2012

Beginning Balances $ 34,952,207

Net income (loss) (1,904,495)

Ending Balances 31,012,850

Total unitholders' capital 31,012,850

Trading

Beginning Balances (in units) 369,090

Unitholders' contributions (in units) 1,574

Unitholders redemptions (in units) (24,775)

Ending Balances (in units) 345,889

Beginning Balances 33,777,543

Net income (loss) (1,801,216)

Unitholders' contributions 137,392

Unitholders redemptions (2,172,254)

Ending Balances 29,941,465

Total unitholders' capital 29,941,465

Trading | Class A

Net Asset Value Per Unit-Beginning Balance $ 91.32

Net change per unit $ (4.95)

Net Asset Value Per Unit-Ending Balance $ 86.37

Trading | Class B

Net Asset Value Per Unit-Beginning Balance $ 96.98

Net change per unit $ (4.80)

Net Asset Value Per Unit-Ending Balance $ 92.18

Trading | Beneficial owners | Class A

Beginning Balances (in units) 355,858

Unitholders' contributions (in units) 1,574

Unitholders redemptions (in units) (23,379)

Ending Balances (in units) 334,053

Beginning Balances 32,497,392

Net income (loss) (1,740,142)

Unitholders' contributions 137,392

Unitholders redemptions (2,041,122)

Ending Balances 28,853,520

Total unitholders' capital 28,853,520

Trading | Beneficial owners | Class B

Beginning Balances (in units) 12,697

Unitholders redemptions (in units) (1,396)

Ending Balances (in units) 11,301

Beginning Balances 1,231,294

Net income (loss) (58,427)

Unitholders redemptions (131,132)

Ending Balances 1,041,735

Total unitholders' capital 1,041,735

Trading | Managing owner | Class A

Beginning Balances (in units) 535

Ending Balances (in units) 535

Beginning Balances 48,857

Net income (loss) (2,647)

Ending Balances 46,210

Total unitholders' capital 46,210

LLC equity/Non-Trading

Beginning Balances (in units) 2,273,288

Ending Balances (in units) 2,273,288

Beginning Balances 1,174,664

Net income (loss) (103,279)

Ending Balances 1,071,385

Total unitholders' capital 1,071,385

Net Asset Value Per Unit-Beginning Balance $ 0.52

Net change per unit $ (0.05)

Net Asset Value Per Unit-Ending Balance $ 0.47

LLC equity/Non-Trading | Participating owners

Beginning Balances (in units) 306,807

Unitholders redemptions (in units) (19,138)

Ending Balances (in units) 287,669

Beginning Balances 158,535

Net income (loss) (14,334)

Unitholders redemptions (8,995)

Ending Balances 135,206

Total unitholders' capital 135,206

LLC equity/Non-Trading | Nonparticipating owners

Beginning Balances (in units) 1,966,481

Unitholders redemptions (in units) 19,138

Ending Balances (in units) 1,985,619

Beginning Balances 1,016,129

Net income (loss) (88,945)

Unitholders redemptions 8,995

Ending Balances 936,179

Total unitholders' capital $ 936,179

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

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Consolidated Statements of Financial Condition (USD $)	Mar. 31, 2012	Dec. 31, 2011
Equity in commodity Trading accounts:
Cash on deposit with broker	$ 2,382,766	$ 2,670,744
Unrealized gain on open contracts	11,536	363,947
Purchased options on futures contracts (premiums paid - $37,722 and $33,376, respectively)	55,307	22,525
Total due from broker	2,449,609	3,057,216
Cash and cash equivalents on deposit with affiliate	5,851,390	9,596,823
Cash on deposit with bank	1,324	648
Fixed income securities (cost $22,676,316 and $21,993,704, respectively), held by affiliate	22,629,381	21,870,890
Interest receivable	71,679	123,363
Cash on deposit with bank - Non-Trading	1,009,290	1,647,219
Prepaid expenses - Non-Trading	135,509	95,825
Total Assets	32,148,182	36,391,984
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received - $14,375)		1,006
Accrued commissions	90,841	111,034
Accrued management fees	43,957	48,884
Accrued operating expenses	152,593	217,118
Redemptions payable-Trading	774,512	493,332
Accrued legal fees- Non-Trading	53,000	500
Accrued management fees to U.S. Bank-Non-Trading	18,899	31,715
Distribution payable - Non-Trading	1,530	536,188
Total liabilities	1,135,332	1,439,777
Unitholders' capital:
Total unitholders' capital	31,012,850	34,952,207
Total Liabilities and Unitholders' Capital	32,148,182	36,391,984
Trading
Unitholders' capital:
Total unitholders' capital	29,941,465	33,777,543
Trading \| Class A
Net asset value per unit:
Net asset value per unit	$ 86.37	$ 91.32
Trading \| Class B
Net asset value per unit:
Net asset value per unit	$ 92.18	$ 96.98
Trading \| Beneficial owners \| Class A
Unitholders' capital:
Total unitholders' capital	28,853,520	32,497,392
Trading \| Beneficial owners \| Class B
Unitholders' capital:
Total unitholders' capital	1,041,735	1,231,294
Trading \| Managing owner \| Class A
Unitholders' capital:
Total unitholders' capital	46,210	48,857
LLC equity/Non-Trading
Unitholders' capital:
Total unitholders' capital	1,071,385	1,174,664
Net asset value per unit:
Net asset value per unit	$ 0.47	$ 0.52
LLC equity/Non-Trading \| Participating owners
Unitholders' capital:
Total unitholders' capital	135,206	158,535
LLC equity/Non-Trading \| Nonparticipating owners
Unitholders' capital:
Total unitholders' capital	$ 936,179	$ 1,016,129

Consolidated Statements of Financial Condition (Parenthetical) (USD $)	Mar. 31, 2012	Dec. 31, 2011
Purchased options on futures contracts, premiums paid	$ 37,722	$ 33,376
Fixed income securities, cost	22,676,316	21,993,704
Options written on futures contracts, premiums		$ 14,375
Trading
Unitholders' capital, units outstanding	345,889	369,090
LLC equity/Non-Trading
Unitholders' capital, units outstanding	2,273,288	2,273,288
LLC equity/Non-Trading \| Participating owners
Unitholders' capital, units outstanding	287,669	306,807
LLC equity/Non-Trading \| Nonparticipating owners
Unitholders' capital, units outstanding	1,985,619	1,966,481
Class A \| Trading \| Beneficial owners
Unitholders' capital, units outstanding	334,053	355,858
Class A \| Trading \| Managing owner
Unitholders' capital, units outstanding	535	535
Class B \| Trading \| Beneficial owners
Unitholders' capital, units outstanding	11,301	12,697

Document and Entity Information	3 Months Ended
Document and Entity Information	Mar. 31, 2012
Document Information [Line Items]
Document Type	10-Q
Amendment Flag	false
Document Period End Date	Mar. 31, 2012
Document Fiscal Year Focus	2012
Document Fiscal Period Focus	Q1
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

Consolidated Statements of Operations (USD $)	3 Months Ended
Consolidated Statements of Operations (USD $)	Mar. 31, 2012	Mar. 31, 2011
Trading gain (loss):
Realized gain (loss) on closed positions	$ (805,366)	$ (563,273)
Change in unrealized gain (loss) on open positions	(337,344)	(425,355)
Foreign currency transaction gain (loss)	(11,477)	137,497
Total Trading gain (loss)	(1,154,187)	(851,131)
Net investment income (loss):
Interest income	98,940	82,844
Realized gain (loss) on fixed income securities	(131,014)	(20,130)
Change in unrealized gain (loss) on fixed income securities	81,309	10,316
Total net investment gain (loss)	49,235	73,030
Expenses:
Advisory fees	15,319	15,266
Management fees	135,619	213,022
Incentive fees		58,100
Ongoing offering expenses	16,466	30,000
Operating expenses	133,533	185,000
Total expenses	696,264	1,118,167
Trading income (loss)	(1,801,216)	(1,896,268)
Non-Trading income (loss):
Interest on Non-Trading reserve	59	1,864
Legal and administrative fees	(756)	(42,100)
Management fees paid to US Bank	(102,582)	(75,608)
Non-Trading income (loss)	(103,279)	(115,844)
Net income (loss)	(1,904,495)	(2,012,112)
Class A
Expenses:
Commissions	386,838	606,676
Class B
Expenses:
Commissions	$ 8,489	$ 10,103

Consolidated Statement of Changes in Unitholders' Capital (USD $)	3 Months Ended
	Mar. 31, 2012
Beginning Balances	$ 34,952,207
Net income (loss)	(1,904,495)
Ending Balances	31,012,850
Total unitholders' capital	31,012,850
Trading
Beginning Balances (in units)	369,090
Unitholders' contributions (in units)	1,574
Unitholders redemptions (in units)	(24,775)
Ending Balances (in units)	345,889
Beginning Balances	33,777,543
Net income (loss)	(1,801,216)
Unitholders' contributions	137,392
Unitholders redemptions	(2,172,254)
Ending Balances	29,941,465
Total unitholders' capital	29,941,465
Trading \| Class A
Net Asset Value Per Unit-Beginning Balance	$ 91.32
Net change per unit	$ (4.95)
Net Asset Value Per Unit-Ending Balance	$ 86.37
Trading \| Class B
Net Asset Value Per Unit-Beginning Balance	$ 96.98
Net change per unit	$ (4.80)
Net Asset Value Per Unit-Ending Balance	$ 92.18
Trading \| Beneficial owners \| Class A
Beginning Balances (in units)	355,858
Unitholders' contributions (in units)	1,574
Unitholders redemptions (in units)	(23,379)
Ending Balances (in units)	334,053
Beginning Balances	32,497,392
Net income (loss)	(1,740,142)
Unitholders' contributions	137,392
Unitholders redemptions	(2,041,122)
Ending Balances	28,853,520
Total unitholders' capital	28,853,520
Trading \| Beneficial owners \| Class B
Beginning Balances (in units)	12,697
Unitholders redemptions (in units)	(1,396)
Ending Balances (in units)	11,301
Beginning Balances	1,231,294
Net income (loss)	(58,427)
Unitholders redemptions	(131,132)
Ending Balances	1,041,735
Total unitholders' capital	1,041,735
Trading \| Managing owner \| Class A
Beginning Balances (in units)	535
Ending Balances (in units)	535
Beginning Balances	48,857
Net income (loss)	(2,647)
Ending Balances	46,210
Total unitholders' capital	46,210
LLC equity/Non-Trading
Beginning Balances (in units)	2,273,288
Ending Balances (in units)	2,273,288
Beginning Balances	1,174,664
Net income (loss)	(103,279)
Ending Balances	1,071,385
Total unitholders' capital	1,071,385
Net Asset Value Per Unit-Beginning Balance	$ 0.52
Net change per unit	$ (0.05)
Net Asset Value Per Unit-Ending Balance	$ 0.47
LLC equity/Non-Trading \| Participating owners
Beginning Balances (in units)	306,807
Unitholders redemptions (in units)	(19,138)
Ending Balances (in units)	287,669
Beginning Balances	158,535
Net income (loss)	(14,334)
Unitholders redemptions	(8,995)
Ending Balances	135,206
Total unitholders' capital	135,206
LLC equity/Non-Trading \| Nonparticipating owners
Beginning Balances (in units)	1,966,481
Unitholders redemptions (in units)	19,138
Ending Balances (in units)	1,985,619
Beginning Balances	1,016,129
Net income (loss)	(88,945)
Unitholders redemptions	8,995
Ending Balances	936,179
Total unitholders' capital	$ 936,179