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 September 30, 2013

OR

o 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).  o Yes         x No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION	1
Item 1. Financial Statements	1
Consolidated Statements of Financial Condition, as of September 30, 2013 (unaudited) and December 31, 2012	1
Condensed Consolidated Schedules of Investments, as of September 30, 2013 (unaudited) and December 31, 2012	2-3
Consolidated Statements of Operations, for the three and nine months ended September 30, 2013 and 2012 (unaudited)	4
Consolidated Statement of Changes in Unitholders’ Capital, for the nine months ended September 30, 2013 (unaudited)	5
Notes to Consolidated Financial Statements	6
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	16
Item 3. Quantitative and Qualitative Disclosures about Market Risk	21
Item 4. Controls and Procedures	22
PART II. OTHER INFORMATION	23
Item 1. Legal Proceedings	23
Item 1A. Risk Factors	23
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	23
Item 6. Exhibits	24
SIGNATURES	25

PART I – FINANCIAL INFORMATION

Item 1.  Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

Assets
	September 30,			December 31,
	2013			2012
	UNAUDITED
Assets:
Equity in commodity Trading accounts:
Cash on deposit with broker	$	1,991,348		$	2,216,652
Unrealized gain (loss) on open contracts		(23,065	)		260,744
Purchased options on futures contracts (premiums paid $0 and $753,417, respectively)		-			728,440
Total due from broker		1,968,283			3,205,836
Cash and cash equivalents on deposit with affiliate		3,745,030			8,659,507
Receivable from Global Diversified Managed Futures Portfolio LLC		808,164			-
Cash on deposit with bank		5,761			696,111
Fixed income securities (cost $10,337,195 and $11,005,602, respectively), held by affiliate		10,300,134			11,003,681
Interest receivable		34,120			9,207
Cash on deposit with bank - Non-Trading		1,309,496			1,364,487
Prepaid expenses - Non-Trading		150,919			76,392
Total Assets	$	18,321,907		$	25,015,221
Liabilities and Unitholders' Capital
Liabilities:
Equity in commodity Trading accounts:
Options written on futures contracts (premiums received $0 and $978,634, respectively)	$	-		$	884,242
Accrued commissions		23,399			54,558
Accrued management fees		31,107			37,239
Accrued operating expenses		202,268			209,592
Accrued offering expenses		20,195			-
Redemptions payable-Trading		1,431,675			565,316
Accrued legal fees- Non-Trading		77,442			2,364
Accrued management fees to U.S. Bank-Non-Trading		9,867			10,418
Distribution payable - Non-Trading		1,034			1,034
Total liabilities		1,796,987			1,764,763
Unitholders' capital:
Unitholders' capital (Trading):
Beneficial owners
Class A (211,228 and 274,403 units outstanding at September 30, 2013 and December 31, 2012, respectively)		14,678,297			21,106,894
Class B (5,723 and 8,103 units outstanding at September 30, 2013 and December 31, 2012, respectively)		437,356			675,323
Managing owner (535 Class A units outstanding)		37,178			41,153
Unitholders' capital (LLC equity/Non-Trading):
Participating owners (188,368 and 237,663 units outstanding at September 30, 2013 and December 31, 2012, respectively)		113,693			149,728
Nonparticipating owners (2,084,920 and 2,035,625 units outstanding at September 30, 2013 and December 31, 2012, respectively)		1,258,396			1,277,360
Total unitholders' capital		16,524,920			23,250,458
Total Liabilities and Unitholders' Capital	$	18,321,907		$	25,015,221
Net asset value per unit:
Trading:
Class A	$	69.49		$	76.92
Class B	$	76.42		$	83.34
LLC equity/Non-Trading	$	0.60		$	0.63

See accompanying notes to consolidated financial statements.

1

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedules of Investments

	September 30, 2013					December 31, 2012
	Percentage of					Percentage of
	Net Assets		Fair value			Net Assets		Fair value
	UNAUDITED
Long Positions
Futures Positions
Agriculture	-		$	-		-1.04	%	$	(241,904	)
Currency	-			-		0.12	%		28,665
Energy	-			-		0.33	%		77,294
Indices	-			-		0.22	%		50,444
Interest rates	-			-		0.08	%		19,455
Metals	0.05	%		7,890		0.08	%		18,129
Total long positions on open contracts			$	7,890				$	(47,917	)
Short Positions
Futures Positions
Agriculture	-		$	-		1.39	%	$	324,276
Currency	-			-		0.20	%		47,442
Energy	-			-		-0.22	%		(51,455	)
Indices	-			-		-0.05	%		(11,941	)
Interest rates	-			-		0.03	%		7,003
Metals	-0.19	%		(30,955	)	-0.03	%		(6,664	)
Total short positions on open contracts			$	(30,955	)			$	308,661
Total unrealized gain\loss on open contracts			$	(23,065	)			$	260,744
Long put options on future contracts
Agriculture (premiums paid - $0 and $437,577, respectively)	-		$	-		2.59	%	$	601,497
Total long put options on futures contracts			$	-				$	601,497
Short put options on future contracts
Agriculture (premiums received - $0 and  $106,627, respectively)	-		$	-		-0.44	%	$	(102,345	)
Currency (premiums received - $0 and $73,421, respectively)	-			-		-0.41	%		(95,775	)
Energy (premiums received - $0 and $87,040, respectively)	-			-		-0.46	%		(106,850	)
Indices (premiums received - $0 and $39,900, respectively)	-			-		-0.09	%		(21,850	)
Interest (premiums received - $0 and $29,469, respectively)	-			-		-0.07	%		(16,656	)
Metals (premiums received - $0 and $6,300, respectively)	-			-		-0.02	%		(4,550	)
Total short put options on future contracts			$	-				$	(348,026	)
Long call options on future contracts
Agriculture (premiums paid - $0 and $237,430, respectively)	-		$	-		0.46	%	$	107,423
Energy (premiums paid - $0 and $78,410, respectively)	-			-		0.08	%		19,520
Total long call options on future contracts			$	-				$	126,943
Short call options on future contracts
Agriculture (premiums received - $0 and $460,664, respectively)	-		$	-		-1.64	%	$	(380,603	)
Currency (premiums received - $0 and $83,423, respectively)	-			-		-0.31	%		(71,913	)
Energy (premiums received - $0 and $68,200, respectively)	-			-		-0.28	%		(64,840	)
Indices (premiums received - $0 and $16,800, respectively)	-			-		-0.05	%		(12,000	)
Metals (premiums received - $0 and $6,790, respectively)	-			-		-0.03	%		(6,860	)
Total short put options on future contracts			$	-				$	(536,216	)

See accompanying notes to consolidated financial statements.

2

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedules of Investments

	September 30, 2013									December 31, 2012
	Face		Maturity		Percentage of					Face		Maturity		Percentage of
	Value		Date		Net Assets			Fair value		Value		Date		Net Assets			Fair value
Securities owned
Corporate Bonds
National Australia Bank, Floating Note (cost $0 and $1,504,227, respectively)	$	-		-		-		$	-	$	1,500,000	1/8/2013			6.45	%	$	1,500,105
BB&T Corp Note 2.050% (cost $762,124 and $0, respectively)		750,000	4/28/2014			4.57	%		755,835
Goldman Sachs Group Inc Nt , 6% (cost $739,575 and $0, respectively)		700,000	5/1/2014			4.37	%		721,749
JP Morgan Corp Note, 2.050% (cost $636,316 and $0, respectively)		625,000	1/24/2014			3.80	%		628,319		-		-		-			-
Total Corporate Bonds		2,075,000				12.74	%		2,105,903		1,500,000				6.45	%		1,500,105
Commercial Paper
Suncorp Metway Ltd., (cost $748,330 and $999,542, respectively)		750,000	1/23/2014			4.53	%		748,330		1,000,000	2/5/2013			4.30	%		999,542
Banco De Chile, (cost $0 and $999,222, respectively)		-		-		-			-		1,000,000	3/7/2013			4.30	%		999,222
Korea Development Bank, (cost $749,303 and $999,316, respectively)		750,000	11/1/2013			4.53	%		749,303		1,000,000	1/17/2013			4.30	%		999,316
Shinhan  Bank CP, (cost $698,563 and $0, respectively)		700,000	3/18/2014			4.23	%		698,563		-		-		-			-
Macquarie Bank CP, (cost $748,469 and $0, respectively)		750,000	1/15/2014			4.53	%		748,469		-		-		-			-
Nextera Energy Capital Holdings, (cost $0 and  $999,611, respectively)		-		-		-			-		1,000,000	1/22/2013			4.30	%		999,611
Total Commercial Paper		2,950,000				17.82	%		2,944,665		4,000,000				17.20	%		3,997,691
Government Agencies
Federal Home Loan Bank, 0.3-0.45%, (cost $0 and $2,000,000, respectively)		-		-		-			-		2,000,000	6/4/2014-8/7/2014			8.61	%		2,000,770
Federal Home Loan Bank, 0.6-0.75%, (cost $1,500,000 and $0, respectively)		1,500,000	6/17/2016 - 6/24/2016			9.06	%		1,496,370		-		-		-			-
Freddie Mac Bond, 0.35%, (cost $0 and $2,000,084, respectively)		-		-		-			-		2,000,000	11/26/2014-12/5/2014			8.61	%		2,000,870
Freddie Mac Note, 0.5%, (cost $0 and $1,500,000, respectively)		-		-		-			-		1,500,000	2/21/2014			6.45	%		1,500,645
Freddie Mac Bond, 0.35-0.625%, (cost $2,502,144 and $0, respectively)		2,500,000	11/26/2014-8/21/2015			15.15	%		2,502,745		-		-		-			-
Fannie Mae, 0.55-0.65%, (cost $1,250,000 and $0, respectively)		1,250,000	2/26/2016-3/28/2016			7.55	%		1,248,080		-		-		-			-
Total Government Agencies		5,250,000				31.76	%		5,247,195		5,500,000				23.67	%		5,502,285
Short-Term Investment Funds
United States
Short-Term Investment Funds, (cost $2,371 and $3,600, respectively)						0.01	%		2,371						0.02	%		3,600
Total Fixed Income Securities (cost $10,337,195 and $11,005,602, respectively)								$	10,300,134								$	11,003,681

See accompanying notes to consolidated financial statements.

3

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

	For the three months ended						For the nine months ended
	September 30,			September 30,			September 30,			September 30,
	2013			2012			2013			2012
	UNAUDITED						UNAUDITED
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	127,000		$	(779,555	)	$	(227,405	)	$	(1,420,214	)
Change in unrealized gain (loss) on open positions		(313,812	)		273,115			(353,225	)		(441,764	)
Realized gain (loss) on investment in Global Diversified Managed Futures Portfolio LLC		(12,749	)		-			(12,749	)		-
Change in unrealized gain (loss) on investment in Global Diversified Managed Futures Portfolio LLC		(159,920	)		-			-			-
Foreign currency transaction gain (loss)		2,405			(9,944	)		(1,364	)		(25,345	)
Total Trading gain (loss)		(357,076	)		(516,384	)		(594,743	)		(1,887,323	)
Net investment income (loss):
Interest income		55,729			29,255			190,469			183,719
Realized gain (loss) on fixed income securities		(56,081	)		(18,353	)		(115,248	)		(196,445	)
Change in unrealized gain (loss) on fixed income securities		23,753			20,421			(35,140	)		122,128
Total net investment gain (loss)		23,401			31,323			40,081			109,402
Expenses:
Commissions - Class A		196,175			296,274			655,721			1,015,126
Commissions - Class B		3,064			6,137			10,777			21,459
Advisory fees		7,538			13,729			24,977			40,594
Management fees		87,658			128,690			286,755			368,089
Incentive fees		-			25,462			-			29,873
Ongoing offering expenses		7,000			21,000			28,500			58,467
Operating expenses		108,000			150,000			330,000			420,534
Total expenses		409,435			641,292			1,336,730			1,954,142
Trading income (loss)		(743,110	)		(1,126,353	)		(1,891,392	)		(3,732,063	)
Non-Trading income (loss):
Interest on Non-Trading reserve		65			76			331			218
Collections in excess of impaired value		240,556			-			240,556			-
Legal and administrative fees		(15,304	)		-			(110,486	)		(139,299	)
Management fees paid to US Bank		(108,337	)		(59,931	)		(185,400	)		(235,705	)
Non-Trading income (loss)		116,980			(59,855	)		(54,999	)		(374,786	)
Net income (loss)	$	(626,130	)	$	(1,186,208	)	$	(1,946,391	)	$	(4,106,849	)

See accompanying notes to consolidated financial statements.

4

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For the nine months ended September 30, 2013

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, 2012		274,403		$	21,106,894			8,103		$	675,323			535	$	41,153
Trading income (loss)		-			(1,844,515	)		-			(42,902	)		-		(3,975	)
Transfer from Class A to B		(24	)		(1,832	)		22			1,832			-		-
Unitholders redemptions		(63,151	)		(4,582,250	)		(2,402	)		(196,897	)		-		-
Balances at September 30, 2013		211,228		$	14,678,297			5,723		$	437,356			535	$	37,178
Unitholders' Capital (Trading)	Total Unitholders' Capital - Trading
	Units			Dollars
Balances at December 31, 2012		283,041		$	21,823,370
Trading income (loss)		-			(1,891,392	)
Transfer from Class A to B		(2	)		-
Unitholders' redemptions		(65,553	)		(4,779,147	)
Balances at September 30, 2013		217,486		$	15,152,831
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, 2012		237,663		$	149,728			2,035,625		$	1,277,360			2,273,288	$	1,427,088
Non-Trading income (loss)		-			(7,075	)		-			(47,924	)		-		(54,999	)
Reallocation due to Redemptions		(49,295	)		(28,960	)		49,295			28,960			-		-
Balances at September 30, 2013		188,368		$	113,693			2,084,920		$	1,258,396			2,273,288	$	1,372,089
Total Unitholders Capital at September 30, 2013															$	16,524,920
	Unitholders' Capital			Unitholders' Capital			Unitholders' Capital
	Trading Class A			Trading Class B			(LLC Equity/Non-Trading)
Net asset value per unit at December 31, 2012	$	76.92		$	83.34		$	0.63
Net change per unit		(7.43	)		(6.92	)		(0.03	)
Net asset value per unit at September 30, 2013	$	69.49		$	76.42		$	0.60

See accompanying notes to consolidated financial statements.

5

RJO GLOBAL TRUST AND SUBSIDIARY

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

September 30, 2013

(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 U.S. and international futures and forward contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, as well as exchange for physicals transactions pursuant to the trading instructions of independent commodity 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 five independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of September 30, 2013, pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

As of September 30, 2013, the Trust liquidated substantially all open positions and went to cash within each Advisor’s portfolios. This was in anticipation of allocating the assets with the new Investment Manager beginning in October 2013.  Please refer to Note 6 - Subsequent Events for further detail.

Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner discontinued the public offering of the Units and began 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.   The Class A and Class B Units participate in identical trading programs and differ only with respect to selling commissions.  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.

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 (i) 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 or (ii) beneficial owners holding more than 50% of the outstanding Units appoint a successor; (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.

6

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 upon the collection, sale, settlement or other disposition of the bankruptcy claim, after the deduction of all fees and expenses, pro rata to the unitholders, as follows:

(a)	Any unitholder who had redeemed its 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 distributions from the LLC or the Trust in regard to the Trust’s bankruptcy claim against RCM.

The LLC agreed to compensate US Bank, as manager of the LLC, 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).

(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 (US GAAP) and to practices in the commodities industry.  The following is a description of the more significant accounting and reporting 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 US GAAP 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 US GAAP 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, 2012.

(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 their trade date.  All such transactions are recorded on a mark-to-market 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 reporting period 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.

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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 September 30, 2013, 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 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. (“Wells”) and managed by RJO Investment Management, LLC (“RJOIM”), an affiliate of the Managing Owner.

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 first-in, first-out (FIFO) 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 asset value, 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 fluctuations 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 US GAAP 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 they are not capable of being estimated.  See Note (6) for further details.

8

(h)         Recent Pronouncement

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) requiring disclosure of both gross and net information related to offsetting and related arrangements enabling users of its financial statements to understand the effect of those arrangements on the entity’s financial position.  ASU 2011-11 is effective for interim and annual periods beginning on or after January 1, 2013.  An entity should provide the disclosures required by those amendments retrospectively for all comparative periods presented.   Adoption of ASU 2011-11 will expand the Trust’s disclosures, but will have no effect on the Trust’s net assets. The Trust adopted ASU 2011-11 in 2013, with additional disclosure included in Note 11.

In June 2013, the FASB issued ASU 2013-08, Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements (“ASU 2013-08”), containing new guidance on assessing whether an entity is an investment company, requiring non-controlling ownership interest in investment companies to be measured at fair value and requiring certain additional disclosures. This guidance is effective for annual and interim periods beginning on or after December 15, 2013. The Trust currently follows the guidance within the Investment Companies Topic of the FASB Accounting Standards Codification.  The Trust does not expect the adoption of ASU 2013-08 to have a material effect on the Trust's consolidated financial statements.

(3)   Fees

Management fees are accrued and paid monthly.  Incentive fees are accrued monthly and paid quarterly.  All trading decisions for the periods covered by these financial statements were made by the Advisors pursuant to the Advisory Agreements.

The Trust pays the Advisors a monthly management fee at a 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’s net assets.

The Trust also pays the Advisors a quarterly incentive fee of up to 20% of the “New Trading Profit,” if any, on the portion of the Trust’s net assets managed by a Trading Advisor.  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.

Please refer to the subsequent events note for the new fee structure within the Trust beginning in October 2013.

(4)   Income Taxes

It is expected that that the Trust will be treated as a “partnership” for both U.S. federal and state tax purposes.  As such, 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 its pro rata share of the profits or losses of the Trust.  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, generally 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 international futures contracts, options, and forward contracts (collectively, “derivatives”) through the trading instructions of 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.

9

The purchase and sale of futures requires initial and on-going margin deposits with a futures commission merchant (“FCM”).  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 customer’s pro rata share of segregated funds.  It is possible that the recovered amount could be less than the total of cash and other property deposited by the customer.

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 has 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 and nine-month period ended September 30, 2013 and 2012, are reflected in the consolidated statements of operations and are equal to the 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 through the trading instructions of the Advisors.

The Trust invests its margin in fixed income securities as permitted by U.S. Commodity Futures Trading Commission (“CFTC”) regulations regarding acceptable securities for investment of segregated assets and the RJOIM agreement with the Trust.  Such acceptable securities, include, but are 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 may not 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.  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, as explained in Note (2)(g).  The table below summarizes all recoveries from RCM and distributions to redeemed and continuing unitholders of the Trust.

10

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
10/31/12		404,908	*		-		404,908	*		-		-		-
12/05/12		294,875	*		-		294,875	*		-		-		-
08/05/13		240,556	*		-		240,556	*		-		-		-
Totals	$	49,304,801		$	-	$	32,341,539		$	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 relevant 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 September 30, 2013 and December 31, 2012, the Trust did not have any Level 3 assets or liabilities.

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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 valuation 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 for an asset or liability (Level 3).

The Trust’s exchange-traded futures contracts and options on futures contracts are valued based on quoted prices (unadjusted) in active markets for identical assets or liabilities.  The Trust’s forward currency contracts and options on forward currency contracts are based on third-party quoted dealer values on the interbank market, based on similar assets or liabilities.  The Trust’s fixed income securities are valued using inputs that are observable for the asset or liability, including prices of similar fixed income securities or present values of expected future cash flow models.

Prior to September 30, 2013, the Trust held a non-controlling interest in a non-affiliated limited liability company – the Global Diversified Managed Futures Portfolio, LLC (the “Global Diversified Portfolio”).  The Global Diversified Portfolio trades primarily in exchange-traded futures contracts and fixed income investments, and maintains daily liquidity.  During September 2013, the Trust redeemed its investment in the Global Diversified Portfolio.  The receivable reflected in the statement of financial condition was fully collected by October 11, 2013 and approximates fair value. 

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 September 30, 2013 and December 31, 2012, respectively:

	September 30, 2013
	Level 1			Level 2		Level 3		Total
Assets
Unrealized loss on open contracts:
Futures positions	$	(23,065	)		-		-	$	(23,065	)
Fixed income securities		-			10,300,134		-		10,300,134
Total fair value	$	(23,065	)	$	10,300,134		-	$	10,277,069

	December 31, 2012
	Level 1		Level 2		Level 3		Total
Assets
Unrealized gain on open contracts:
Futures positions	$	260,744	$	-	$	-	$	260,744
Purchased options on futures contracts		728,440		-		-		728,440
Fixed income securities		-		11,003,681		-		11,003,681
Total assets		989,184		11,003,681		-		11,992,865
Liabilities
Options written on futures contracts		884,242		-		-		884,242
Total fair value	$	104,942	$	11,003,681	$	-	$	11,108,623

(8)   Operations

Redemptions

A unitholder 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 an initial subscription for Units is subject to a 1.5% redemption fee, payable to the Managing Owner.  Any redemption made in the twelfth month following an initial subscription for Units or later will not be subject to any redemption fee.  The Trust’s Declaration and Agreement of Trust, as amended and restated from time to time (the “Trust Agreement”), contains a full description of the Trust’s 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 the Trust’s subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.

12

Commissions

The Managing Owner and/or its 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 Payment	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’s net assets.

Please refer to the subsequent events note for the new commission structure within the Trust beginning in October 2013.

 (9)  Financial Highlights

The following financial highlights present the Trust’s financial performance for the three and nine month periods ended September 30, 2013 and September 30, 2012.  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						Class A						Class B
	Three months ended						Three months ended						Nine months ended						Nine months ended
	September 30,						September 30,						September 30,						September 30,
	2013			2012			2013			2012			2013			2012			2013			2012
Per share operating performance:
Net asset value of Trading units, beginning of period	$	72.55		$	83.93		$	79.38		$	90.03		$	76.92		$	91.32		$	83.34		$	96.98
Total Trading income (loss):
Trading gain (loss)		(1.47	)		(1.73	)		(1.60	)		(1.87	)		(2.44	)		(5.59	)		(2.68	)		(5.98	)
Investment income		0.10			0.10			0.10			0.11			0.15			0.32			0.17			0.34
Expenses		(1.69	)		(2.04	)		(1.46	)		(1.75	)		(5.14	)		(5.79	)		(4.41	)		(4.82	)
Trading income (loss)		(3.06	)		(3.67	)		(2.96	)		(3.51	)		(7.43	)		(11.06	)		(6.92	)		(10.46	)
Net asset value of Trading units, end of period	$	69.49		$	80.26		$	76.42		$	86.52		$	69.49		$	80.26		$	76.42		$	86.52
Total return:
Total return before incentive fees		(4.22	%)		(4.48	%)		(3.73	%)		(4.00	%)		(9.66	%)		(12.18	%)		(8.31	%)		(10.85	%)
Less incentive fee allocations		0.00	%		(0.10	%)		0.00	%		(0.10	%)		0.00	%		(0.07	%)		0.00	%		(0.07	%)
Total return		(4.22	%)		(4.58	%)		(3.73	%)		(4.10	%)		(9.66	%)		(12.25	%)		(8.31	%)		(10.92	%)
Ratios to average net assets:
Trading income (loss)		(4.42	%)		(1.98	%)		(3.84	%)		(2.00	%)		(9.98	%)		(6.51	%)		(8.08	%)		(6.48	%)
Expenses:
Expenses, less incentive fees		(2.44	%)		(2.58	%)		(1.89	%)		(2.06	%)		(7.06	%)		(6.86	%)		(5.53	%)		(5.34	%)
Incentive fees		0.00	%		(0.10	%)		0.00	%		(0.10	%)		0.00	%		(0.07	%)		0.00	%		(0.07	%)
Total expenses		(2.44	%)		(2.68	%)		(1.89	%)		(2.16	%)		(7.06	%)		(6.93	%)		(5.53	%)		(5.41	%)

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

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The net income and expense ratios are computed based upon the weighted average net assets for the Trust for the three and nine month periods ended September 30, 2013 and 2012, respectively. The amounts for each period 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, to serve as the Trust’s cash manager.  The assets managed by RJOIM are held in segregated accounts in custody at Wells.  RJOIM is paid an annual fee, currently 0.20%, calculated and accrued daily at a rate equal to 1/360 of the principal balance of the Trust’s deposits held by RJOIM.  As of September 30, 2013, such deposits consisted of $3,745,030 in cash and $10,300,134 in fixed income securities.  Aggregate advisory fees earned by RJOIM totaled $7,538 and $24,977 for the three and nine months ended September 30, 2013, respectively.

(11) Derivative Instruments and Hedging Activities

The Trust does not utilize “hedge accounting” and instead “marks-to-market” its derivatives through operations.

Derivatives not designated as hedging instruments:

As of September 30, 2013
	Asset			Liability
Type of	Derivatives			Derivatives				Net
Futures Contracts	Fair Value			Fair Value				Fair Value
Metals		$	10,970		$	(34,035	)		$	(23,065	)
		$	10,970		$	(34,035	)		$	(23,065	)

As of December 31, 2012
	Asset			Liability
Type of	Derivatives			Derivatives				Net
Futures Contracts	Fair Value			Fair Value				Fair Value
Agriculture		$	678,316		$	(369,972	)		$	308,344
Currency			94,041			(185,622	)			(91,581	)
Energy			76,522			(202,853	)			(126,331	)
Indices			60,504			(55,851	)			4,653
Interest Rates			30,579			(20,778	)			9,801
Metals			23,749			(23,693	)			56
		$	963,711		$	(858,769	)		$	104,942

14

The Company has elected to present the above reported derivative assets and liabilities held by RJO on a net basis in the consolidated statements of financial condition, within the categories of unrealized gain or loss on open contracts, purchased options on futures contracts, and options written on futures contracts.  Further details are provided below:

As of September 30, 2013
	Gross					Net
	Assets		Liabilities			Assets (Liabilities)
Unrealized gain (loss) on open contracts	$	10,970	$	(34,035	)	$	(23,065	)
Total	$	10,970	$	(34,035	)	$	(23,065	)

	Gross					Net
	Assets		Liabilities			Assets (Liabilities)
Unrealized gain (loss) on open contracts	$	593,783	$	(333,039	)	$	260,744
Purchased options on futures contracts		728,440		-			728,440
Options written on futures contracts		-		(884,242	)		(884,242	)
Total	$	1,322,223	$	(1,217,281	)	$	104,942

Trading gain (loss) for the following periods:

	Nine Months Ended September 30
Type of Futures Contracts	2013			2012
Agriculture	$	264,053		$	(300,187	)
Currency		(291,173	)		(819,922	)
Energy		(221,429	)		(79,134	)
Indices		(263,585	)		(526,943	)
Interest Rates		(120,876	)		164,439
Metals		51,016			(325,576	)
	$	(581,994	)	$	(1,887,323	)

	Three Months Ended September 30,
Type of Futures Contracts		2013			2012
Agriculture	$	448,716		$	16,161
Currency		(114,491	)		(176,598	)
Energy		(208,334	)		(261,344	)
Indices		(46,465	)		(189,706	)
Interest Rates		(96,551	)		26,825
Metals		(167,282	)		68,278
	$	(184,407	)	$	(516,384	)

(12) Subsequent Events

The Managing Owner has appointed RPM Risk & Portfolio Management AB (“RPM” or the “Investment Manager”) as Investment Manager to the Trust, pursuant to an Investment Management Agreement, dated August 30, 2013.

A copy of the Investment Management Agreement is filed as Exhibit 10.01 to this report.

The Trust remains a multi-advisor commodity pool where trading decisions for the Trust are delegated to multiple independent commodity trading advisors via advisory agreements.  With the Trust’s appointment of RPM as Investment Manager, the Trust’s assets will be allocated to commodity trading advisors through the Investment Manager’s “Evolving Manager Program.”  The Investment Manager will assume responsibility for selecting, monitoring and managing the commodity trading advisors utilized by the Trust. On October 22, 2013, a Second Amendment to the Trust Agreement was entered into to reflect certain updates to the fees and expenses of the Trust in connection with the appointment of the Investment Manager.  The change in fees and expenses are not expected to significantly affect Class A and Class B unitholders.

A copy of the Second Amendment is filed as Exhibit 3.03 to this report.

On September 2, 2013, the Managing Owner distributed a notice on behalf of the Trust to its unitholders reflecting such fee and expense udpates.

A copy of the notice is filed as Exhibit 99.01 to this report.

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

(a)         Introduction

RJO Global Trust (the “Trust”), is a Delaware statutory trust organized on November 12, 1996 under the Delaware Statutory Trust Act.  The business of the Trust is the speculative trading of commodity interests, including 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 multiple independent commodity trading advisors (“CTAs”).  R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) acquired the managing owner interest in the Trust from Refco Commodity Management, Inc (“RCMI”) on November 30, 2006.  The Managing Owner of the Trust was initially formed as an Illinois corporation in November 2006, and became a Delaware Limited Liability Company in July of 2007.  The Managing Owner is registered as a commodity pool operator under the Commodity Exchange Act, as amended (“CE Act”), and is responsible for administering the business and affairs of the Trust.  The Managing Owner is an affiliate of R.J. O’Brien & Associates LLC, the clearing broker for the Trust (“RJO” or the “Clearing Broker”).  The Managing Owner is responsible for selecting, monitoring, and replacing the CTAs to the Trust.  As of December 31, 2012, trading decisions for the Trust have been delegated to five independent CTAs: NuWave Investment Management, LLC (“NW”), Aventis Asset Management, LLC (“AAM”), Liberty Funds Group, Inc. (“LFG”); Hyman Beck & Co., Inc. (“HBC”) and Global Ag, LLC (“GA”) (each an “Advisor” and collectively the “Advisors”), pursuant to advisory agreements executed between the Trust and, as applicable, each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).  The Trust has no officers, directors or employees.  The Managing Owner may change the allocation to each Advisor, or add, remove, or replace any Advisor without the consent of or advance notice to investors.  Investors will be notified of any material change in the basic investment policies or structure of the Trust.

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 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 from October 1, 2010 to March 31, 2012.  As of April 1, 2012 GAJL was terminated and two new Trading Advisors were appointed and allocated less than 10% of the Trust’s assets.  At April 30, 2012, DCM, TIM, and HCM were terminated as Advisors.  CCG was terminated as of June 30, 2012.  At March 30, 2012, the Trust entered into an Advisory Agreement with Liberty Funds Group, Inc. (“LFG”) and Hyman Beck & Company, Inc. (“HBC”).  At June 30, 2012, the Trust entered into an Advisory Agreement with Aventis Asset Management, LLC (“AAM”).  At August 31, 2012, the Trust entered into an Advisory Agreement with Global AG, LLC (“GA”).  As such, as of September 30, 2013, the Trust’s assets were allocated to the following Advisors:  NW (19.17%), HBC (4.80%), LFG (20.98%), AAM (21.34%), and GA (20.99%), with the remaining percentage allocated to cash.

Effective July 1, 2011, the Managing Owner discontinued the public offering of the Units and began 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 nine-month period ended September 30, 2013, no units were purchased in Class A and Class B by beneficial owners.  The Managing Owner purchased no Units during this time.  For the nine-month period ending September 30, 2013, the unitholders redeemed a total of 63,151 Class A Units for $4,582,250 and 2,402 Class B Units for $196,897.

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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 through the non-performance of the Trust’s forward currency broker, Citibank, N.A (“Citibank”).  Citibank 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 reported 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 nine-month period ending September 30, 2013, 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 its 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 September 30, 2013 and 2012 the Trust has received or accrued to receive trading interest of $215 and $1,181, 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 as custodian to the Trust.  As of September 30, 2013 Wells held approximately $14.0 million of the Trust’s assets.  For the quarters ended September 30, 2013 and 2012 the assets held in this account earned $55,729 and $29,255 of interest income, respectively.

Most U.S. 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 trading day’s settlement price at the end of the session.  Once the daily limit has been reached in a particular commodity, no further trades may be executed 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.

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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 for the quarter ended September 30, 2013.

(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 September 30, 2013

The Trust recorded net trading losses of $(725,559) or $(3.06) per trading unit for Class A units and a loss of $(17,551) or $(2.96) per trading unit for Class B units in the third 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 September 30, 2013, the Trust (Class A units) has lost 15.05% since its inception in June 1997.  Class B units have lost 35.99% since their inception in January 2009.

As such, as of September 30, 2013, the Trust’s assets were allocated to the following Advisors:  NW (19.17%), HBC (4.80%), LFG (20.98%), AAM (21.34%), and GA (20.99%), with the remaining percentage allocated to cash.

Stocks rebounded strongly in July with the S&P 500 rising almost 5% to finish the month at a new all-time high, showing a gain of 18.20% for the year.  After a significant percentage jump in June, interest rates stabilized in July.  The 10-Year U.S. Treasury Note traded in a narrow range during the month averaging 2.6%.  The markets seem to have acknowledged that the U.S. economy is growing steadily without much inflationary pressure.  Still, investors are watching the Fed very closely for any hint of a pullback from its 4-year endeavor to support the economy with easy monetary policy.  A new variable for Fed watchers is the upcoming replacement for Fed Chairman Bernanke.  The U.S. Dollar remained strong against the Japanese Yen, Aussie Dollar and Canadian Dollar but slid a bit during the month against the Euro.  The Dow Jones UBS Commodity Index gained slightly during the month but remains down almost 10% for the year to date.

Stocks lost ground in August for the second time in the last three months.  Concern over military action in Syria and inconsistent economic reports seem to have given the market a reason for pause.  The S&P is still up approximately 16% for the year to date.  US Treasury yields inched higher over the course of the month.  The total return on the US 10-year note is -5.39% for the year to date.  The US Dollar remained strong against the Japanese Yen, Ausie Dollar and Canadian Dollar but continues to remain on the weaker side versus the Euro, Pound, and the Swiss Franc.  The Dow Jones UBS Commodity Index gained just over 3% for the month on the back of stronger energy and precious metals markets, but remains down over 6% for the year to date.

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Stocks regained lost ground, posted a new all-time high mid-month, then settled back a bit at month end to finish September with a 3% gain.  That puts the S&P 500 Total Return index up approximately 20% for the year to date.  Stock and bond markets were both pleased when the Federal Reserve signaled that it would not begin to taper its purchasing of treasuries in the near future.  The Fed’s decision was based on continued weakness in certain areas of the economy and concern for the lack of momentum of the nation’s overall economic recovery.  Commodities trended lower reflecting adequate supplies in agriculture markets and the lessening of tensions surrounding Egypt and Syria in the Middle East which had supported higher oil prices recently.  As a result, the Dow Jones UBS Commodity Index lost 2.55% during the month and has lost almost 9% for the year to date.  After a brief rise in August, the U.S. Dollar resumed a weakening trend in September.  The US Dollar Index has lost 5.6% from its recent peak in early July.

Fiscal Quarter ended September 30, 2012

The Trust recorded net trading losses of $(1,091,211) or $(3.67) per trading unit for Class A units and a loss of $(35,142) or $(3.51) per trading unit for Class B units in the third 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 September 30, 2012, the Trust (Class A units) has lost 1.89% since its inception in June 1997.  Class B units have lost 27.53% since their inception in January 2009.

As  of September 30, 2012, the Trust’s assets were allocated to the following five Advisors:  NW (21.93%), HBC (9.71%), LFG (21.97%), AAM (22.28%), and GA (18.24%), the remaining percentage was allocated to cash.

Stock and commodity sectors climbed higher in September.  Stocks rose a little over 2.5% and the S&P 500 has now gained almost 16.5% for the year to date.  The market has benefited from a Federal Reserve Bank dedicated to supporting a timid economic recovery at all costs.  After climbing for the last 3 years, the S&P rests approximately 9% below its October 2007 peak.  Oil touched a price of $100 dollars per barrel but immediately sold off $10 dollars and now trades in a range based in the low $90’s.  The drought across the mid section of the U.S. has dramatically damaged Corn and Soybean crops.  Prices remain at high levels as we approach the harvest season.  Doubts about crop yields have kept volatility unusually high as well.  Interest rates rose during the middle of the month but pressure subsided after weaker than expected economic news was revealed.  Interest rates remain in a narrow trading range near historical lows.

Fiscal Quarter ended June 30, 2013

The Trust recorded net trading losses of $(827,411) or $(3.25) per trading unit for Class A units and a loss of $(19,101) or $(3.15) per trading unit for Class B units in the second quarter of 2013 (*** 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 June 30, 2013, the Trust (Class A units) has lost 11.31% since its inception in June 1997.  Class B units have lost 33.51% since their inception in January 2009.

As of June 30, 2013, the Trust’s assets were allocated to the following Advisors:  NW (20.29%), HBC (5.22%), LFG (21.81%), AAM (21.03%), and GA (18.90%), with the remaining percentage allocated to cash.

The stock market set new all time highs during the month of April.  The S&P finished April up almost 13% for the year.  Near record low yields persist in German, French, Japanese, and US sovereign debt markets.  Central banks around the world remain committed to a low to near zero interest rate environment in an attempt to provide fuel to weak global economic recoveries.  The Dow Jones UBS Commodity Index continued its slide during April and has lost approximately 4% for the year to date.  With no signs of inflation and stagnant global demand for most commodities, markets just cannot seem to sustain any upside momentum.

The stock market posted new all time highs again during the month of May.  The S&P 500 Total Return Index gained another 2.3% and is up just over 15% for the year.  A stronger U.S. Dollar and a perception of tepid global economic growth kept pressure on the Dow Jones UBS Commodity Index.  The Index lost over 2% during the month and is now down over 6% for the year to date.  While Central banks around the world remain committed to a near zero interest rate environment in an attempt to provide fuel to weak global economic recoveries, longer term rates crept higher during the month.  The yield on the U.S.10-year treasury closed the month at 2.16%, a new high for the year.  The perception that the Central Banks are going to remain committed to an “easy” monetary environment while governments put off dealing with mounting debts and budget issues might just be starting concerns on the part of bond holders.

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During June, the Federal Reserve Bank announced its plan to gradually begin reducing the amount of U.S. Treasury notes and bonds it has been purchasing on a monthly basis.  This caused interest rates to rise to their highest levels in over a year.  The yield on the 10-year note rose rapidly from 2% to just over 2.5%.  While rates continue to be low by historical standards, the change of stance by the Fed did serve to dampen investors’ enthusiasm for stocks, bonds, and commodities during June.  The S&P 500 Total Return Index lost just over 1.4% during June, its first losing month since October of last year.  The Index managed to remain positive for the 2nd quarter and has gained almost 14% for the year to date.  A stronger U.S. dollar didn’t provide any help for the Dow Jones UBS Commodity Index.  The Index lost 4.72% during the month and commodities are now down over 10% for the year to date.  In the commodity sector, crude oil and natural gas have held steady while the metals markets have faced the most selling.

Fiscal Quarter ended June 30, 2012

The Trust recorded net trading losses of $(782,539) or $(2.44) per trading unit for Class A units and a loss of $(21,956) or $(2.15) per trading unit for Class B units in the second 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 June 30, 2011, the Trust (Class A units) had gained 2.60% since its inception in June 1997.  Class B units have lost 24.59% since their inception in January 2009.

As of June 30, 2012, the Trust’s assets were allocated to the following Advisors:  ATC (17.04%), CCG (15.74%), NW (16.45%), JWH (8.08%), Hyman Beck & Company, Inc., and Liberty Funds Group Inc. each controlled less than 10% of the portfolio.

Stocks scored another gain in what has been a near perfect environment for the market over the last 12 months.  The S&P 500 has doubled since March 2009 and remains just 13% below an all time high.  Interest rates have remained at near historic lows and economic activity has been quietly improving.  Still, there is a certain uneasiness surrounding the current situation, as many prudent market watchers are concerned that the Federal Reserve Bank’s accommodative monetary policy is the only support underlying the market.  If the Fed were unable to maintain accommodative monetary policy the market would have to deal quickly with inflationary evidence and questions of currency stability.  Commodities remain in a steady uptrend and, although experiencing some brief pullbacks, have been led higher by food, metal, and energy markets.

Fiscal Quarter ended March 31, 2013

The Trust recorded net trading loss of $(295,521) or $(1.12) per trading Unit for Class A Units and a loss of $(6,248) or $(0.81) per trading Unit for Class B Units in the first quarter of 2013 (*** 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, 2013, the Trust (Class A Units) has lost 7.34% since its inception in June 1997.  Class B Units have lost 30.87% since their inception in January of 2009.

As of March 31, 2013, the Trust’s assets were allocated to the following Advisors as follows:  NW (21.54%), HBC (3.35%), LFG (22.11%), AAM (21.45%), and GA (18.69%), with the remaining percentage allocated to cash.

Several reports out in January 2013 noted that market participation by governments  and central banks around the world reached unprecedented levels over the last few years.  This participation has suppressed market volatility and put off an ultimate response to ballooning global debt problems.  The U.S. Congress and President have pushed back budget discussions until late spring.  The stock market did not experience negative effects as a result.  The S&P 500 jumped out to a 5% gain in January.  Interest rates, on the other hand, have not reacted favorably to the recent developments.  The interest rate on the 10-year U.S. treasury, while still low by historical standards, has crept back into the 2% range after spending much of last year between 1.5% and 1.8%.  Crude oil is creeping back towards $100 per barrel and other commodities appear to be well bid for.

In February, the S&P 500  continued its climb and tested the all-time highs established back in October 2007 by adding a 1.4% profit to its 5% gain in January. Sell offs in crude oil and gold led the commodity sector lower. The Dow Jones UBS Commodity Index was down over 4% in February and is now negative for the year. Yield on the 10-Year U.S. treasury found support at the 2% level and has now drifted back to 1.85%. In part, the commodity sell off and bounce in the treasury market was in response to the U.S. government sequester that took place at month end February and was signed into law on March 1. The automatic spending cuts are expected to dampen economic activity and temporarily put off inflation concerns. Governments around the world continue to participate in the markets, postponing more lasting solutions to the global economic challenges. The ultimate market response to this unprecedented government participation is expected to be significant and could offer some investment opportunities in the managed futures sector.

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In March, the S&P 500 posted new all-time highs, rising 3.75% and finishing the quarter up nearly 11% for year-to-date. The 10-year US Treasury returned 0.26%. The commodity sector, as reflected by the Dow Jones UBS Commodity Index, rose 0.67% during March but remains in negative territory for the year, down 1.13%. Governments and central banks around the world remain engaged and very active in their respective economies as they try to manage a fragile global economic recovery. The strengthening U.S. dollar and the rising U.S. stock market appear to be the result of bleak situations in the European economies rather than outright strength of the U.S. economy.

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%), JWH (8.33%), HCM (8.33%), DCM (8.33%), TIM (8.33%), Hyman Beck & Company, Inc. (8.33%), and Liberty Funds Group Inc. (8.33%).

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.

(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 the Trust’s Annual Report on Form 10-K for the year ended December 31, 2012.

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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 Manager and Director (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 September 30, 2013.  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 Manager and Director and the Chief Financial Officer of the Managing Owner have concluded that the disclosure controls and procedures of the Trust were effective at September 30, 2013.

Changes in Internal Control Over Financial Reporting:  There were no changes in the Trust’s internal control over financial reporting, during the quarter ended September 30, 2013 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.

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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 the business of the Trust.

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, 2012.

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

a)  For the quarter-ended September 30, 2013, the Trust issued no Units 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 2013:

	Units Redeemed				Redemption Date NAV per Unit
Month	Class A		Class B		Class A		Class B
July		8,621		-	$	72.11	$	79.03
August		3,871		-	$	69.50	$	76.30
September		20,384		199	$	69.49	$	76.42
Total		32,876		199

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

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Item 6.  Exhibits

a)   Exhibits

Exhibit Number 3.01 Description of Document 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 Second Amendment to the Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of October 22, 2013.

3.04 Restated Certificate of Trust of the Registrant.3

10.01 Investment Management Agreement, entered into as of August, 2013, among RJO Global Trust, R.J. O’Brien Fund Management LLC and RPM Risk and Portfolio Management AB.

3.03 Second Amendment to the Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of October 22, 2013.

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.

99.01    Notice to Unitholders dated October 18, 2013.

101.INS XBRL Instance Document

101.SCH XBRL Taxonomy Extension Schema

101.CAL XBRL Taxonomy Extension Calculation Linkbase

101.DEF XBRL Taxonomy Extension Definition Linkbase

101.LAB XBRL Taxonomy Extension Label Linkbase

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.

 

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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:           November 13, 2013

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

Managing Owner

By:           /s/Adam Cromell                                                                                                                               

Adam Cromell

Principal Financial Officer and duly authorized officer

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