Condensed Consolidated Schedule of Investments

9 Months Ended

Sep. 30, 2012

Condensed Consolidated Schedule of Investments [Abstract]

Condensed Consolidated Schedule of Investments

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

	September 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 $649,412)		2.56	%	$	649,412			-		$	-
Australia
Financials (cost $1,847,851)		7.28	%		1,847,851			-			-
Chile
Financials (cost $998,211)		3.93	%		998,211			-			-
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		13.77	%		3,495,474			9.00	%		3,142,811
Corporate Bonds
United States
Financials (cost $2,305,348 and $6,682,059, respectively)		9.06	%		2,300,965			19.22	%		6,717,547
Australia
Financials (cost $2,906,266)		11.43	%		2,901,846			-			-
Great Britain
Energy (cost $1,527,135)		-			-			4.31	%		1,506,885
Total Corporate Bonds		20.49	%		5,202,811			23.53	%		8,224,432
Government Agencies
United States
US Government Agency (cost $5,999,550 and $10,499,879, respectively)		23.64	%		6,002,235			30.04	%		10,498,215
Short-Term Investment Funds
United States
Short-Term Investment Funds (cost $3,825 and $5,432, respectively)		0.02	%		3,825			0.02	%		5,432
Total Fixed Income Securities (cost $14,710,463 and $21,993,704, respectively)				$	14,704,345					$	21,870,890
Long Positions
Futures Positions
Agriculture		-1.53	%	$	(387,861	)		0.01	%	$	3,573
Currency		-0.06	%		(16,433	)		0.03	%		9,244
Energy		-0.68	%		171,683			-0.34	%		(119,410	)
Indices		-0.08	%		(21,477	)		0.05	%		17,851
Interest rates		0.18	%		44,597			0.40	%		139,768
Metals		2.08	%		527,160			-0.23	%		(80,138	)
Forward Positions
Currency		-			-			-0.99	%		(344,428	)
Total long positions on open contracts				$	317,669					$	(373,540	)
Short Positions
Futures Positions
Agriculture		1.14	%	$	290,772			0.02	%	$	6,835
Currency		0.00	%		370			-0.02	%		(5,365	)
Energy		-0.29	%		(74,850	)		0.64	%		225,038
Indices		0.12	%		30,400			-0.13	%		(47,027	)
Interest rates		0.00	%		(1,160	)		-0.03	%		(10,045	)
Metals		-1.59	%		(403,296	)		0.21	%		72,320
Forward Positions
Currency		-			-			1.42	%		495,731
Total short positions on open contracts				$	(157,764	)				$	737,487
Total unrealized gain on open contracts				$	159,905					$	363,947
Long put options on future contracts
Agriculture (premiums paid - $183,880)		0.51	%		128,350						-
Currency (premiums paid - $33,376)		-			-			0.06	%		22,525
Total long put options on futures contracts				$	128,350					$	22,525
Short put options on future contracts
Agriculture (premiums received - $340,595)		-1.01	%	$	(256,992	)		-		$	-
Energy (premiums received - $60,320)		-0.16	%		(41,360	)		-			-
Metals (premiums received - $12,810)		-0.03	%		(7,980	)		-			-
Indices (premiums received - $14,375)					-			0.00	%		(1,006	)
Total short put options on futures contracts				$	(306,332	)				$	(1,006	)
Long call options on future contracts
Agriculture (premiums paid - $817,214)		1.58	%		387,468			-			-
Total long call options on futures contracts				$	387,468					$	-
Short call options on future contracts
Agriculture (premiums received - $273,697)		-0.59	%	$	(150,388	)		-		$	-
Energy (premiums received - $33,700)		-0.13	%		(33,880	)		-			-
Indices (premiums received - $19,125)		-0.05	%		(11,700	)		-			-
Interest rates (premiums received - $45,063)		-0.14	%		(36,188	)		-			-
Metals (premiums received - $34,350)		-0.12	%		(31,100	)		-			-
Total short call options on futures contracts				$	(263,256	)				$	-

See accompanying notes to consolidated financial statements.