Condensed Consolidated Schedules of Investments

67 Months Ended

Jun. 30, 2012

Condensed Consolidated Schedules of Investments

RJO GLOBAL TRUST AND SUBSIDIARY
Condensed Consolidated Schedule of Investments
	June 30, 2012						December 31, 2011
	Percentage of						Percentage of
	Net Assets			Fair value			Net Assets			Fair value
	UNAUDITED
Long Positions
Fixed Income Securities
Commercial Paper
South Korea
Financials (cost $999,017)		3.57	%	$	999,017			-		$	-
Australia
Financials (cost $1,298,353)		4.65	%		1,298,353			-			-
Chile
Financials (cost $1,248,127)		4.47	%		1,248,127			-			-
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		12.69	%		3,545,497			9.00	%		3,142,811
Corporate Bonds
United States
Financials (cost $2,305,348 and $6,682,059, respectively)		8.23	%		2,301,256			19.22	%		6,717,547
Australia
Financials (cost $4,424,295)		15.75	%		4,402,115			-			-
Great Britain
Energy (cost $1,527,135)		-			-			4.31	%		1,506,885
Total Corporate Bonds		23.98	%		6,703,371			23.53	%		8,224,432
Government Agencies
United States
US Government Agency (cost $9,699,550 and $10,499,879, respectively)		34.70	%		9,699,284			30.04	%		10,498,215
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $4,093 and $5,432, respectively)		0.01	%		4,093			0.02	%		5,432
Total Fixed Income Securities (cost $19,978,783 and $21,993,704, respectively)				$	19,952,245					$	21,870,890
Long Positions
Futures Positions
Agriculture		0.31	%	$	85,341			0.01	%	$	3,573
Currency		-0.01	%		(2,638	)		0.03	%		9,244
Energy		0.06	%		15,729			-0.34	%		(119,410	)
Indices		0.08	%		22,188			0.05	%		17,851
Interest rates		-0.05	%		(12,962	)		0.40	%		139,768
Metals		-0.22	%		(61,931	)		-0.23	%		(80,138	)
Forward Positions
Currency		-			-			-0.99	%		(344,428	)
Total long positions on open contracts				$	45,727					$	(373,540	)
Short Positions
Futures Positions
Agriculture		-0.42	%	$	(116,067	)		0.02	%	$	6,835
Currency		-0.36	%		(99,739	)		-0.02	%		(5,365	)
Energy		-0.21	%		(59,466	)		0.64	%		225,038
Indices		-0.79	%		(220,361	)		-0.13	%		(47,027	)
Interest rates		0.00	%		398			-0.03	%		(10,045	)
Metals		0.36	%		101,510			0.21	%		72,320
Forward Positions
Currency		-		$	-			1.42	%	$	495,731
Total short positions on open contracts				$	(393,725	)				$	737,487
Total unrealized gain (loss) on open contracts				$	(347,998	)				$	363,947
Long put options on future contracts
Currency (premiums paid - $33,376)		-			-			0.06	%		22,525
Total long put options on futures contracts				$	-					$	22,525
Short put options on future contracts
Indices (premiums received -  $34,125)		-0.12	%	$	(34,540	)		-		$	-
Currency (premiums received - $14,375)		-			-			0.00	%		(1,006	)
Total short put options on futures contracts					(34,540	)					(1,006	)
See accompanying notes to consolidated financial statements.