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	)