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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 June 30, 2011
 
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
 
3
     
Item 1. Financial Statements
 
3
     
Consolidated Statements of Financial Condition, as of June 30, 2011 (unaudited) and December 31, 2010
 
3
     
Condensed Consolidated Schedule of Investments, as of June 30, 2011 (unaudited) and as of December 31 2010
 
4
     
Consolidated Statements of Operations, for the three and six months ended June 30, 2011 and 2010 (unaudited)
 
5
     
Consolidated Statement of Changes in Unitholders’ Capital, for the six months ended June 30, 2011 (unaudited)
 
6
     
Notes to Consolidated Financial Statements
 
7
     
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations
 
15
     
Item 3. Quantitative and Qualitative Disclosures about Market Risk
 
21
     
Item 4. Controls and Procedures
 
21
     
PART II. OTHER INFORMATION
 
21
     
Item 1. Legal Proceedings
 
21
     
Item 1A. Risk Factors
 
21
     
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds
 
22
     
Item 6. Exhibits
 
23
     
SIGNATURES
 
24

 
2

 

PART I – FINANCIAL INFORMATION

Item 1.  Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statements of Financial Condition

   
June 30,
 2011
   
December 31,
2010
 
    UNAUDITED        
Assets
           
Assets:
           
Equity in commodity Trading accounts:
           
Cash on deposit with brokers
  $ 10,153,136     $ 22,388,362  
Unrealized gain (loss) on open contracts
    (692,259 )     1,357,343  
Purchased options on futures contracts (premiums paid $80,747 and $245,722, respectively)
    57,997       120,263  
Total due from brokers
    9,518,874       23,865,968  
                 
Cash and cash equivalents on deposit
    18,242,697       18,737,332  
Cash on deposit with bank
    19,441       16,248  
Fixed income securities (cost $12,712,617 and $11,544,636, respectively)
    12,691,928       11,540,784  
Interest receivable
    48,992       36,141  
Cash on deposit with bank - Non-Trading
    4,476,651       5,133,598  
Prepaid expenses - Non-Trading
    76,887       81,602  
                 
Total Assets
  $ 45,075,470     $ 59,411,673  
                 
Liabilities and Unitholders' Capital
               
Liabilities:
               
Equity in commodity Trading accounts:
               
Options written on futures contracts (premiums received - $24,400)
  $ 9,913     $ -  
Accrued commissions
    101,755       151,916  
Accrued management fees
    56,988       76,511  
Accrued incentive fees
    59,402       278,042  
Accrued offering expenses
    10,613       16,588  
Accrued operating expenses
    159,034       201,344  
Redemptions payable - Trading
    2,026,136       1,549,974  
Accrued management fees to U.S. Bank - Non-Trading
    12,776       17,492  
Distribution payable - Non-Trading
    328,748       1,083,908  
Total liabilities
    2,765,365       3,375,775  
                 
Unitholders' capital:
               
Unitholders’ capital (Trading):
               
Beneficial owners
               
Class A (398,781 and 490,278 units outstanding at June 30, 2011 and December 31, 2010, respectively)
    36,742,772       49,340,822  
Class B (13,481 and 13,420 units outstanding at June 30, 2011 and December 31, 2010, respectively)
    1,305,864       1,405,692  
Managing owner (535 and 11,679 Class A units outstanding at June 30, 2011 and December 31, 2010, respectively)
    49,295       1,175,357  
                 
Unitholders' capital (LLC equity/Non-Trading):
               
Participating owners (340,196 and 407,463 units outstanding at June 30, 2011 and December 31, 2010, respectively)
    630,113       737,509  
Nonparticipating owners (1,933,092 and 1,865,825 units outstanding at June 30, 2011 and December 31, 2010, respectively)
    3,582,061       3,376,518  
                 
Total unitholders' capital
    42,310,105       56,035,898  
                 
Total Liabilities and Unitholders’ Capital
  $ 45,075,470     $ 59,411,673  
                 
Net asset value per unit:
               
Trading:
               
Class A
  $ 92.14     $ 100.64  
Class B
  $ 96.87     $ 104.75  
LLC equity/Non-Trading
  $ 1.85     $ 1.81  

See accompanying notes to consolidated financial statements.

 
3

 

RJO GLOBAL TRUST AND SUBSIDIARY
Condensed Consolidated Schedule of Investments
 
   
June 30, 2011
   
December 31, 2010
 
   
Percentage of Net Assets
   
Fair value
   
Percentage of Net Assets
   
Fair value
 
   
UNAUDITED
             
Long Positions
                 
Fixed Income Securities
                       
Certificate of Deposit
                       
Chile
                       
Financials (cost $1,500,000 and $1,500,037, respectively)
    3.55 %   $ 1,500,270       2.68 %   $ 1,500,480  
                                 
Commercial Paper
                               
South Korea
                               
Financials (cost $1,499,660)
            -       2.68 %     1,499,820  
United States
                               
Insurance (cost $1,499,561)
            -       2.68 %     1,499,580  
Total Commercial Paper
            -       5.35 %     2,999,400  
                                 
Corporate Bonds
                               
United States
                               
Financials (cost $1,972,421 and $1,345,903, respectively)
    4.63 %     1,958,936       2.40 %     1,344,503  
Great Britain
                               
Special Purpose (cost $1,527,135)
    3.61 %     1,526,010               -  
United States
                               
Telephone (cost $672,035)
    1.57 %     665,743               -  
Total Corporate Bonds
    9.81 %     4,150,689       2.40 %     1,344,503  
                                 
Government Agencies
                               
United States
                               
U.S. Government Agency (cost $6,999,000 and $3,393,729, respectively)
    16.54 %     6,998,945       6.05 %     3,390,654  
                                 
Short-Term Investment Funds
                               
United States
                               
Short-Term Investment Funds (cost $42,025 and $2,305,746, respectively)
    0.10 %     42,024       4.11 %     2,305,747  
                                 
Total Fixed Income Securities (cost $12,712,617 and $11,544,636, respectively)
          $ 12,691,928             $ 11,540,784  
                                 
Long Positions
                               
Futures Positions
                               
Agriculture
    -0.75 %   $ (318,565 )     1.64 %   $ 920,055  
Currency
    0.04 %     15,783       0.45 %     251,310  
Energy
    -0.26 %     (108,605 )     0.12 %     65,691  
Indices
    0.27 %     115,302       0.03 %     19,608  
Interest rates
    -0.12 %     (51,941 )     0.21 %     117,158  
Metals
    -0.07 %     (30,682 )     1.41 %     789,173  
                                 
Forward Positions
                               
Currency
    1.10 %     463,724       -0.86 %     (483,988 )
                                 
Total long positions on open contracts
          $ 85,016             $ 1,679,007  
                                 
Short Positions
                               
Futures Positions
                               
Agriculture
    0.88 %   $ 374,111       -0.58 %   $ (323,637 )
Currency
    -0.01 %     (5,313 )     -0.04 %     (23,476 )
Energy
    0.18 %     75,780       -0.08 %     (45,099 )
Indices
    -0.77 %     (325,249 )     0.10 %     57,841  
Interest rates
    -0.09 %     (38,866 )     -0.02 %     (13,742 )
Metals
    -0.37 %     (155,398 )     -1.16 %     (651,198 )
                                 
Forward Positions
                               
Currency
    -1.66 %     (702,340 )     1.21 %     677,647  
                                 
Total short positions on open contracts
          $ (777,275 )           $ (321,664 )
Total unrealized gain (loss) on open contracts
          $ (692,259 )           $ 1,357,343  
Long put options on future contracts
                               
Indices (premiums paid - $245,722)
          $ -       0.21 %   $ 120,263  
Long call options on future contracts
                               
Currency (premiums paid - $ 59,700)
    0.07 %   $ 28,700             $ -  
Interest rates (premiums paid - $ 21,047)
    0.07 %     29,297               -  
Total long call options on future contracts
          $ 57,997             $ -  
Short call options on future contracts
                               
Currency (premiums received - $ 24,400)
    -0.02 %   $ (9,913 )           $ -  
                                 
Total short call options on future contracts
          $ (9,913 )           $ -  

See accompanying notes to consolidated financial statements.

 
4

 

RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statements of Operations
UNAUDITED


   
For the three months ended
 June 30,
   
For the six months ended
June 30,
 
   
2011
   
2010
   
2011
   
2010
 
Trading gain (loss):
                       
Gain (loss) on trading of commodity contracts:
                       
Realized gain (loss) on closed positions
  $ 501,004     $ 895,419     $ (62,269 )   $ 632,697  
Change in unrealized gain (loss) on open positions
    (1,507,010 )     (263,057 )     (1,932,365 )     (7,634 )
Foreign currency transaction gain (loss)
    (21,405 )     (31,685 )     116,092       (44,932 )
Total Trading gain (loss)
    (1,027,411 )     600,677       (1,878,542 )     580,131  
                                 
Net investment income (loss):
                               
Gain (loss) on trading of fixed income securities:
                               
Realized gain (loss) on closed positions
    822       -       (19,308 )     -  
Change in unrealized gain (loss) on open positions
    (14,347 )     -       (4,031 )     -  
Interest income
    23,290       16,980       106,134       23,908  
Total net investment gain (loss)
    9,765       16,980       82,795       23,908  
                                 
Expenses:
                               
Commissions - Class A
    517,624       561,415       1,124,300       1,160,452  
Commissions - Class B
    10,321       4,293       20,424       7,840  
Advisory fees
    15,594       -       30,860       -  
Management fees
    181,534       228,054       394,556       468,960  
Incentive fees
    59,402       -       117,502       -  
Ongoing offering expenses
    75,000       20,000       105,000       40,000  
Operating expenses
    187,048       270,000       372,050       540,000  
Total expenses
    1,046,523       1,083,762       2,164,692       2,217,252  
                                 
Trading income (loss)
    (2,064,169 )     (466,105 )     (3,960,439 )     (1,613,213 )
                                 
Non-Trading income (loss):
                               
Interest on Non-Trading reserve
    542       2,842       2,407       5,024  
Collections in excess of impaired value
    343,664       16,024,600       343,664       16,024,600  
Legal and administrative fees
    (82,015 )     (152,010 )     (124,116 )     (1,110,691 )
Management fees paid to US Bank
    (48,201 )     (75,090 )     (123,808 )     (161,745 )
Non-Trading income (loss)
    213,990       15,800,342       98,147       14,757,188  
                                 
Net income (loss)
  $ (1,850,179 )   $ 15,334,237     $ (3,862,292 )   $ 13,143,975  

See accompanying notes to consolidated financial statements.

 
5

 

RJO GLOBAL TRUST AND SUBSIDIARY
Consolidated Statement of Changes in Unitholders’ Capital
For the six months ended June 30, 2011
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, 2010
    490,278     $ 49,340,822       13,420     $ 1,405,692       11,679     $ 1,175,357  
Trading income (loss)
    -       (3,754,650 )     -       (106,554 )     -       (99,235 )
Unitholders’ contributions
    3,974       392,000       2,066       210,000       -       -  
Transfers from Class A to Class B
    -       -       -       -       -       -  
Unitholders’ redemptions
    (95,471 )     (9,235,400 )     (2,005 )     (203,274 )     (11,144 )     (1,026,827 )
Balances at June 30, 2011
    398,781     $ 36,742,772       13,481     $ 1,305,864       535     $ 49,295  

Unitholders' Capital (Trading)
 
Total Unitholders' Capital - Trading
 
   
Units
   
Dollars
 
Balances at December 31, 2010
    515,377     $ 51,921,871  
Trading income (loss)
    -       (3,960,439 )
Unitholders’ contributions
    6,040       602,000  
Transfers from Class A to Class B
    -       -  
Unitholders’ redemptions
    (108,620 )     (10,465,501 )
Balances at June 30, 2011
    412,797     $ 38,097,931  

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, 2010
    407,463     $ 737,509       1,865,825     $ 3,376,518       2,273,288     $ 4,114,027  
Non-Trading income (loss)
    -       13,353       -       84,794       -       98,147  
Reallocation due to Redemptions
    (67,267 )     (120,749 )     67,267       120,749       -       -  
Balances at June 30, 2011
    340,196     $ 630,113       1,933,092     $ 3,582,061       2,273,288     $ 4,212,174  
                                                 
Total Unitholders Capital at June 30, 2011
                                          $ 42,310,105  

 
Unitholders' Capital
Trading Class A
   
Unitholders' Capital
Trading Class B
 
Unitholders' Capital
(LLC Equity/Non-Trading)
 
Net asset value per unit at December 31, 2010
  $ 100.64     $ 104.75     $ 1.81  
Net change per unit
    (8.50 )     (7.88 )     0.04  
Balances at June 30, 2011
  $ 92.14     $ 96.87     $ 1.85  

See accompanying notes to consolidated financial statements.

 
6

 

RJO GLOBAL TRUST AND SUBSIDIARY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
June 30, 2011
(Unaudited)

(1)
General Information and Summary
 
RJO Global Trust (the “Trust”), a Delaware statutory trust organized on November 12, 1996, was formed to engage in the speculative trading of futures contracts on currencies, interest rates, energy and agricultural products, metals, commodity indices and stock indices, spot and forward contracts on currencies and precious metals, and exchanges for physicals pursuant to the trading instructions of independent trading advisors.  Since December 1, 2006, R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) has been the Managing Owner of the Trust.  R.J. O’Brien & Associates, LLC (“RJO”), an affiliate of RJOFM, is the clearing broker and the broker for forward contracts for the Trust.  R.J. O’Brien Securities, LLC (“Selling Agent”) is the lead selling agent of the units of beneficial interest of the Trust (the “Units”).
 
The Trust is a multi-advisor commodity pool where trading decisions for the Trust are delegated to eight independent commodity trading advisors (each an “Advisor” and collectively the “Advisors”) as of June 30, 2011, pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).
 
Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.  The Trust filed a Post-Effective Amendment to its Registration Statement on Form S-1 with the Securities and Exchange Commission (the “SEC”) on July 5, 2011 to deregister the remaining Units that were unsold under the public offering.  The Post-Effective Amendment was declared effective by the SEC on July 8, 2011.
 
The Trust currently offers two classes of units on a private basis: Class A units and Class B units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission, and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B units are traded pursuant to identical trading programs and differ only in respect to selling commissions.  See Note (8) for further detail regarding commissions.
 
The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following:  (1) beneficial owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) 120 days after the filing of a bankruptcy petition by or against the Managing Owner, unless the bankruptcy court approves the sale and assignment of the interests of the Managing Owner to a purchaser/assignor that assumes the duties of the Managing Owner; (3) 120 days after the notice of the retirement, resignation, or withdrawal of the Managing Owner, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (4) 90 days after the insolvency of the Managing Owner or any other event that would cause the Managing Owner to cease being managing owner of the Trust, unless beneficial owners holding more than 50% of the outstanding units appoint a successor; (5) dissolution of the Managing Owner; (6) insolvency or bankruptcy of the Trust; (7) a decrease in the aggregate net asset value of the Trust to less than $2,500,000; (8) a decline in the net asset value per unit to $50 or less; (9) dissolution of the Trust; or (10) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.
 
Prior to December 1, 2006, the managing owner of the Trust was Refco Commodity Management, Inc. (“RCMI”).  An affiliate of RCMI, Refco Capital Markets, Ltd. (“RCM”) had held certain assets of the Trust, acting as the Trust’s broker of forward contracts during 2005.  During that year, RCM experienced financial difficulties resulting in RCM’s inability to liquidate the assets.  RCM filed for bankruptcy protection in October, 2005.  As a result, the Trust held a bankruptcy claim against RCM.
 
Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited liability company, was established to pursue the claims against RCM.  Any assets or liabilities held by the LLC are designated as “Non-Trading.”  Any revenue earned or expenses incurred by the LLC are also designated as “Non-Trading.”  The Trust is the sole member of the LLC and holds that membership for the benefit of the unitholders who were investors in the Trust at the time of the bankruptcy of RCM.  U.S. Bank National Association (“US Bank”) is the manager of the LLC.  US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as follows:
 
          (a)         Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash.
 
 
7

 
 
          (b)         Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then net asset value of the Trust.

The unitholders have no right to request redemptions from the LLC.
 
The LLC compensates US Bank, as manager, the following:  (1) an annual fee of $25,000; (2) a distribution fee of $25,000 per distribution; (3) out-of-pocket expenses; and (4) an hourly fee for all personnel at the then expected hourly rate ($350 per hour at execution of agreement).
 
See Note (6) for further detail regarding collection and distribution activity related to the assets held at RCM.
 
(2)
Summary of Significant Accounting Policies
 
The accounting and reporting policies of the Trust conform to accounting principles generally accepted in the United States of America and to practices in the commodities industry.  The following is a description of the more significant of those policies that the Trust follows in preparing its consolidated financial statements.
 
(a)
Basis of Presentation
 
The accompanying unaudited consolidated financial statements of the Trust have been prepared in accordance with accounting principles generally accepted in the United States of America for interim financial information and with rules and regulations of the SEC.  Accordingly, they do not include all of the information and footnotes required by accounting principles generally accepted in the United States of America for complete financial statements.  In the opinion of management, all adjustments (consisting only of normal recurring adjustments) considered necessary for a fair presentation of the financial condition and results of operations of the Trust for the periods presented have been included.
 
The Trust’s unaudited consolidated financial statements and the related notes should be read together with the consolidated financial statements and related notes included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2010.
 
(b)
Principles of Consolidation
 
The accompanying consolidated financial statements include the accounts of the Trust and its wholly-owned subsidiary, JWH Special Circumstance, LLC.  All material intercompany transactions have been eliminated upon consolidation.
 
(c)
Revenue Recognition
 
Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date.  All such transactions are recorded on the identified cost basis and measured at fair value daily.  Unrealized gains on open contracts reflected in the consolidated statements of financial condition represent the difference between original contract amount and fair value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the consolidated financial statements.  As the broker has the right of offset, the Trust presents unrealized gains and losses on open futures contracts (the difference between contract trade price and quoted market price) as a net amount in the consolidated statements of financial condition.  Any change in net unrealized gain or loss on futures and forward contracts from the preceding period is reported in the consolidated statements of operations.  Gains or losses are realized when contracts are liquidated.
 
The Trust may write (sell) and purchase exchange listed options on commodities or financial instruments.  An option is a contract allowing, but not requiring, its holder to buy (call) or sell (put) a specific or standard commodity or financial instrument at a specified price during a specified time period.  The option premium is the total price paid or received for the option contract.  When the Trust writes an option, the premium received is recorded as a liability in the statement of financial condition and measured at fair value daily.  When the Trust purchases an option, the premium paid is recorded as an asset in the consolidated statements of financial condition and measured at fair value daily.  Realized gains (losses) and changes in unrealized gains (losses) on options contracts are included in the consolidated statements of operations.  When a written option expires or the Trust enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction, including commission, is recognized as a component of realized gain (loss) on closed positions.  When a purchased option is exercised, the proceeds on the sale of an underlying instrument (for a purchased put option), or the purchase cost of an underlying instrument (for a purchased call option) is adjusted by the amount of the premium paid.
 
 
8

 
 
At June 30, 2011, 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 U.S. Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars.  For deposits denominated in other currencies, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  To the extent excess cash is not invested in securities, such cash will be subject to the creditworthiness of the institution where such funds are deposited.  The Trust also earns interest on cash and cash equivalents held at Wells Fargo Bank N.A. and managed by RJO Investment Management LLC, (“RJOIM”), an affiliate of the Managing Owner.  As of June 30, 2011, Wells Fargo Bank, N.A. held approximately $30.9 million of the Trust’s assets.
 
Fixed income securities are recorded at fair value, with changes in fair value recorded in the statement of operations as unrealized gain (loss) on fixed income securities.  Realized gains (losses) from liquidation of fixed income securities are determined in the specific identification basis.  Premiums and discounts on securities purchased are amortized over the lives of the respective instruments.  Interest income is recognized on the accrual basis.
 
(d)
Ongoing Offering Costs
 
Ongoing offering costs, subject to a ceiling of 0.50% of the Trust’s average month-end net assets, are paid by the Trust and expensed as incurred.
 
(e) 
Foreign Currency Transactions
 
Trading accounts in foreign currency denominations are susceptible to both movements in the underlying contract markets as well as fluctuation in currency rates.  Foreign currencies are translated into U.S. dollars for closed positions at an average exchange rate for the year, while year-end balances are translated at the year-end currency rates.  The impact of the translation is reflected in the consolidated statements of operations.
 
(f)
Use of Estimates
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.
 
(g)
Valuation of Assets Held at Refco Capital Markets, Ltd.
 
The Trust recorded an impairment charge against its assets held at RCM at December 31, 2005, based on management’s estimate of fair value at that time.  Subsequent recoveries from RCM were credited against the then book value of the claim.  On June 28, 2007, the Trust’s cumulative recoveries from RCM exceeded the book value of the impaired assets held at RCM, which resulted in no remaining book value for those assets.  All recoveries in excess of the book value of the impaired assets have been recorded as “Collections in excess of impaired value” on the Trust’s consolidated statements of operations.  Any future administrative and/or legal expenses associated with liquidation of the assets held at RCM have not been reflected as such future expenses are not capable of being estimated.  See Note (6) for further details.
 
(3) 
Fees
 
Management fees are accrued and paid monthly.  Incentive fees are accrued monthly and paid quarterly.  Trading decisions for the periods covered by these financial statements were made by the Advisors.
 
Pursuant to the Advisory Agreements, each Advisor receives a monthly management fee at the rate of up to 0.167% (a 2.0% annual rate) of the Trust’s month-end net assets calculated after deduction of brokerage fees, but before reduction for any incentive fee or other costs and before inclusion of new unitholder subscriptions and redemptions for the month.  These management fees are not paid on the LLC net assets.
 
 
9

 
 
The Trust also pays the Advisors a quarterly incentive fee of up to 20% of the “New Trading Profit,” if any, of the Trust.  The incentive fee is based on the performance of each Advisor’s portion of the assets allocated to it.  New Trading Profit in any quarter is equal to the “Trading Profit” for such quarter that is in excess of the highest level of such cumulative trading profit as of any previous calendar quarter-end.  Trading Profit is calculated by including realized and unrealized profits and losses, excluding interest income, and deducting the management fee and brokerage fee.
 
(4)
Income Taxes
 
No provision for federal income taxes has been made in the accompanying consolidated financial statements as each beneficial owner is responsible for reporting income (loss) based on the pro rata share of the profits or losses of the Trust.  Generally, for both federal and state tax purposes, trusts, such as the RJO Global Trust, are treated as partnerships.  The LLC is also treated as a partnership. The only significant differences in financial and income tax reporting basis are ongoing offering costs.
 
(5)
Trading Activities and Related Risks
 
The Trust engages in the speculative trading of U.S. and foreign futures contracts, options, and forward contracts (collectively derivatives) through the Advisors.  These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy.  The Trust is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.
 
The purchase and sale of futures requires margin deposits with a futures commission merchant (“FCM”).  Additional deposits may be necessary for any loss on contract value.  The Commodity Exchange Act, as amended, requires an FCM to segregate or secure all customer transactions and assets from the FCM’s proprietary activities.  A customer’s cash and other property, such as U.S. Treasury Bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.  In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available.  It is possible that the recovered amount could be less than the total of cash and other property deposited.
 
The Trust has cash on deposit with an affiliate interbank market maker in connection with its trading of forward contracts.  In the normal course of business, the Trust does not require collateral from such interbank market maker.  Due to forward contracts being traded in unregulated markets between principals, the Trust also assumes a credit risk, the risk of loss from counterparty non-performance.
 
For derivatives, risks arise from changes in the market value of the contracts.  Theoretically, the Trust is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
 
The Trust, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option.  There is also the risk the Fund 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 periods ended June 30, 2011 and 2010 are reflected in the consolidated statements of operations and equal gain or loss from trading less brokerage commissions.  Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts, options, and forward contracts.
 
The Trust’s primary exposure to fixed income securities are defined by the U.S. Commodity Futures Trading Commission (“CFTC”) guidelines of acceptable securities for investment of segregated assets.  The scope of the acceptable securities by the CTFC are defined further by the RJOIM agreement with the Trust to include but not limited to, U.S. Treasury and government agencies’ securities, purchase agreements – collateralized by U.S. Treasury and government agencies, corporate debt securities, and bank debt securities.  The Trust’s total investment in corporate debt securities, bank deposit securities, and certificate of deposits combined cannot exceed 40% of the Trust’s total assets.
 
 
10

 
 
The beneficial owners bear the risk of loss only to the extent of the market value of their respective investment in the Trust.
 
(6)
Assets Held at Refco Capital Markets, Ltd.
 
Effective October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which represented the assets held at RCM plus $1,000,000 in cash, were transferred to a Non-Trading account, as explained in Note (2)(g).  On December 31, 2005 the $56,544,206 of assets held at RCM were reduced by $39,580,944 for impairment to $16,963,262, or 30% of the original value of the assets.  The table below summarizes all recoveries from RCM and distributions to redeemed and continuing unitholders.
 
Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
 
   
Amounts
Received from RCM
    Balance of Impaired Value    
Collections in
Excess of Impaired Value
   
Cash Distributions to
Non-Participating Owners
   
Additional Units in Trust for
Participating Owners
 
Date
                 
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 *     -       -       -  
                                                 
Totals
  $ 47,035,630     $ -     $ 30,072,368     $ 25,286,697       129,672     $ 11,895,958  
 

*
The collections on June 4, October 15, December 30, 2010 and June 2, 2011 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, $661,567 on October 15, 2010, $1,317,479 on December 30, 2010 and $803,975 on June 2, 2011 were reduced by $970,550, $378,777, $754,316 and $460,312 respectively, which represented Cargill's percentage of distributions, as defined in the Settlement Agreement.
 
(7)
Fair Value Measurements
 
In accordance with the Fair Value Measurements Topic of the Financial Accounting Standards Board Accounting Standards Codification, the Trust established a three-level valuation hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency of inputs to the valuation of an asset or liability as of the measurement date.  The three levels are defined as follows:
 
          Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date.  An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.  The value of the Trust’s exchange-traded futures contracts and options fall into this category.
 
         Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly.  This category includes forward currency contracts, options on forward currency contracts, and fixed income securities that the Trust values using models or other valuation methodologies derived from observable market data.
 
         Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  As of June 30, 2011 and December 31, 2010, the Trust did not have any Level 3 assets or liabilities.
 
An asset or liability’s categorization within the valuation hierarchy is based upon the lowest level of input that is significant to the fair value measurement. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
 
The following table presents the Trust’s fair value hierarchy for those assets and liabilities measured at fair value on a recurring basis as of June 30, 2011 and December 31, 2010, respectively:
 
   
June 30, 2011
       
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Unrealized loss on open contracts:
                       
Futures positions
  $ (453,643 )   $ -     $ -     $ (453,643 )
Forward currency positions
    -       (238,616 )     -       (238,616 )
Purchased options on futures contracts
    57,997       -       -       57,997  
Written options on futures contracts
    (9,913 )     -       -       (9,913 )
Fixed income securities
            12,691,928       -       12,691,928  
Total fair value
  $ (405,559 )   $ 12,453,312     $ -     $ 12,047,753  

   
December 31, 2010
       
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Unrealized gain on open contracts:
                       
Futures positions
  $ 1,163,684     $ -     $ -     $ 1,163,684  
Forward currency positions
    -       193,659       -       193,659  
Purchased options on futures contracts
    120,263       -       -       120,263  
Fixed income securities
    -       11,540,784       -       11,540,784  
Total fair value
  $ 1,283,947     $ 11,734,443     $ -     $ 13,018,390  

(8)
Operations
 
Redemptions
 
A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last business day of any month based on the net asset value per unit on such date on five business days’ written notice to ACS Securities Services, Inc., (“ACS”) the Trust’s administrator, or the Managing Owner.  Payment will generally be made within 10 business days of the effective date of the redemption.  Any redemption made during the first 11 months of investment is subject to a 1.5% redemption penalty, payable to the Managing Owner.  Any redemption made in the twelfth month of investment or later will not be subject to any redemption penalty.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended, contains a full description of redemption and distribution policies.
 
 
11

 
 
Subscriptions
 
Investors that are eligible to participate in the private offering of the Units may purchase Units in the Trust effective the first business day of any month based on the net asset value per unit on the last business day of the previous month.  A correctly completed and signed subscription form with the corresponding funds must be received by ACS no later than five business days before the end of such month.  If the forms are completed accurately, the investor’s subscription is accepted and the units purchased become invested on the first business day of the following month.  If the subscription form is incomplete, the subscription is rejected and funds are returned to the investor from the administrator.  Likewise if a subscription form is received without the funds by the fifth business day before the end of the month, the subscription request is rejected.  If funds are received without a subscription form, the funds are returned to the investor.  If a subscription is accepted, 100% of the investment amount is invested as of the effective date.  The Trust’s Ninth Amended and Restated Declaration and Agreement of Trust, as amended, and its Confidential Private Placement Memorandum and Disclosure Document contain a full description of subscription policies.  An investment in the Trust does not include a beneficial interest or investment in the LLC.
 
Commissions
 
The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO.  Commodity brokerage commissions are typically paid upon the completion or liquidation of a trade and are referred to as “round-turn commissions,” which cover both the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract.
 
The Trust’s brokerage fee constitutes a “wrap fee” of 5.0% of the Trust’s month-end assets on an annual basis (0.417% monthly) with respect to Class A units and 3.0% of the Trust’s month-end assets on an annual basis (0.25% 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
    1.57 %     1.57 %
Liberty Funds Group
 
Consulting fees
    0.33 %     0.33 %
Totals
        5.00 %     3.00 %

Commissions were not paid with respect to the LLC net assets.
 
 
12

 
 
(9)
Financial Highlights
 
The following financial highlights show the Trust’s financial performance for the three and six-month periods ended June 30, 2011 and 2010.  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
June 30,
   
Three months ended
June 30,
   
Six months ended
June 30,
   
Six months ended
June 30,
 
   
2011
   
2010
   
2011
   
2010
   
2011
   
2010
   
2011
   
2010
 
Per share operating performance:
                                               
Net asset value of Trading units, beginning of period
  $ 96.88     $ 100.86     $ 101.34     $ 103.40     $ 100.64     $ 102.84     $ 104.75     $ 104.91  
Total Trading income (loss):
                                                               
Trading gain (loss)
    (2.42 )     1.14       (2.75 )     0.93       (4.07 )     1.19       (4.52 )     0.74  
Investment income
    0.11       0.03       0.12       0.03       0.24       0.04       0.25       0.04  
Expenses
    (2.43 )     (2.07 )     (1.84 )     (1.36 )     (4.67 )     (4.12 )     (3.61 )     (2.70 )
Trading income (loss)
    (4.74 )     (0.90 )     (4.47 )     (0.40 )     (8.50 )     (2.88 )     (7.88 )     (1.91 )
Net asset value of Trading units, end of period
  $ 92.14     $ 99.96     $ 96.87     $ 103.00     $ 92.14     $ 99.96     $ 96.87     $ 103.00  
                                                                 
Total return:
                                                               
Total return before incentive fees
    (4.75 )%     (0.90 )%     (4.28 )%     (0.39 )%     (8.19 )%     (2.88 )%     (7.29 )%     (1.85 )%
Less incentive fee allocations
    (0.14 )%     0.00 %     (0.13 )%     0.00 %     (0.26 )%     0.00 %     (0.24 )%     0.00 %
Total return
    (4.89 )%     (0.90 )%     (4.41 )%     (0.39 )%     (8.45 )%     (2.88 )%     (7.53 )%     (1.85 )%
                                                                 
Ratios to average net assets:
                                                               
Trading income (loss)
    (4.94 )%     (0.89 )%     (4.68 )%     (0.18 )%     (8.74 )%     (2.96 )%     (7.99 )%     (1.50 )%
Expenses:
                                                               
Expenses, less incentive fees
    (2.40 )%     (2.05 )%     (1.93 )%     (1.31 )%     (4.56 )%     (4.05 )%     (3.56 )%     (2.55 )%
Incentive fees
    (0.14 )%     0.00 %     (0.13 )%     0.00 %     (0.26 )%     0.00 %     (0.24 )%     0.00 %
Total expenses
    (2.54 )%     (2.05 )%     (2.06 )%     (1.31 )%     (4.82 )%     (4.05 )%     (3.80 )%     (2.55 )%

The calculations above do not include activity within the Trust's Non-Trading accounts.

The net loss and expense ratios are computed based upon the weighted average net assets for the Trust for the three and six-month periods ended June 30, 2011 and 2010.
 
(10)
Cash Management Agreement with Affiliate
 
On October 6, 2010, the Managing Owner retained RJOIM, an SEC registered investment advisor and an affiliate of the Managing Owner, as cash manager.  The assets managed by RJOIM are held in segregated accounts in custody by Wells Fargo Bank, N.A.  RJOIM is paid an annual fee, currently 0.20% calculated and accrued daily at a rate equal to 1/360 of the principal balance.  As of June 30, 2011 the Trust’s deposits held by RJOIM consisted of cash of $18,242,697 and fixed income securities of $12,691,928. Advisory fees earned by the affiliate aggregated $15,594 and $30,860 for the three and six months ended June 30, 2011, respectively.
 
(11)
Derivative Instruments and Hedging Activities
 
The Trust does not utilize hedge accounting and marks its derivatives to market through operations.
 
 
13

 
 
Derivatives not designated as hedging instruments:
 
As of June 30, 2011

Type of Futures Contracts
 
Asset Derivatives Fair Value
 
Liability Derivatives Fair Value
   
Net Fair Value
 
Agriculture
  $ (318,565 )   $ 374,111     $ 55,546  
Currency
    508,207       (717,566 )     (209,359 )
Energy
    (108,605 )     75,780       (32,825 )
Indices
    115,302       (325,249 )     (209,947 )
Interest Rates
    (90,807 )     29,297       (61,510 )
Metals
    (30,682 )     (155,398 )     (186,080 )
    $ 74,850     $ (719,025 )   $ (644,175 )

As of December 31, 2010

Type of Futures Contracts
 
Asset Derivatives Fair Value
   
Liability Derivatives Fair Value
   
Net Fair Value
 
Agriculture
  $ 920,055     $ (323,637 )   $ 596,418  
Currency
    928,957       (507,464 )     421,493  
Energy
    65,691       (45,099 )     20,592  
Indices
    197,712       -       197,712  
Interest Rates
    117,158       (13,742 )     103,416  
Metals
    789,173       (651,198 )     137,975  
    $ 3,018,746     $ (1,541,140 )   $ 1,477,606  
 
The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts on the consolidated statements of financial condition as of June 30, 2011 and December 31, 2010 respectively.
 
Trading gain (loss) for the following periods:
 
   
Three months ended
June 30,
   
Six months ended
June 30,
 
Type of Futures Contracts
 
2011
   
2010
   
2011
   
2010
 
Agriculture
  $ (513,248 )   $ (1,100,748 )   $ (611,681 )   $ (1,632,105 )
Currency
    (701,077 )     (399,022 )     (1,225,707 )     137,363  
Energy
    (66,697 )     (470,356 )     196,021       (578,536 )
Indices
    219,316       1,381,313       266,085       1,566,326  
Interest Rates
    241,800       1,750,823       (386,676 )     1,852,085  
Metals
    (207,505 )     (561,333 )     (116,584 )     (765,002 )
    $ (1,027,411 )   $ 600,677    
$
(1,878,542 )   $ 580,131  
 
See Note (5) for additional information on the Trust’s purpose for entering into derivatives not designed as hedging instruments and its overall risk management strategies.
 
(12)
Subsequent Events
 
Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.
 
 
14

 
 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
 
(a) 
Introduction
 
The RJO Global Trust is a Delaware statutory trust (formed in November 1996) that trades in the U.S. and international futures and forward markets in equities, fixed income, currencies, interest rates, energy and agricultural products, metals, commodities indices, and stock indices.  The primary objective of the Trust is capital appreciation.  R.J. O’Brien Fund Management, LLC, the Managing Owner of the Trust, pursues this objective by allocating the Trust’s assets to a diverse group of experienced commodity trading advisors.  The Managing Owner seeks to reduce volatility and risk of loss by participating in broadly diversified global markets and implementing risk control policies.
 
The Trust was originally established and operated as a single-advisor commodity pool.  John W. Henry & Company, Inc. (“JWH”) served as the Trust’s sole trading advisor until October 31, 2008.  As of November 1, 2008, the Trust became a multi-advisor commodity pool where trading decisions for the Trust were delegated to five independent commodity trading advisors:  JWH, AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”), pursuant to advisory agreements executed between the Trust and each Advisor.  Effective February 1, 2009, NuWave Investment Management, LLC (“NW”) became the Trust’s sixth Advisor.  As of March 31, 2009, PLP was terminated as an Advisor to the Trust.  Effective June 1, 2009, the Trust entered into an Advisory Agreement with Global Advisors (Jersey) Limited (“GAJL”) to replace its Advisory Agreement with GALP, in connection with GALP’s initiative to migrate all of its clients to its Jersey-based (UK) entity.  As of June 30, 2009, AIS was terminated as an Advisor to the Trust and the Trust’s assets were reallocated with equal weighting of 16.666% each to the remaining four Advisors along with Conquest Capital Group (“CCG”) and Haar Capital Management (“HCM”) beginning July 1, 2009.  As of September 30, 2010, the Advisors to the Trust consisted of JWH, NW, ATC, GAJL, CCG, and HCM.  Beginning October 1, 2010, the Trust entered into Advisory Agreements with two additional Advisors.  On October 1, 2010 Trigon Investment Management (“TIM”) and Dominion Capital Management Institutional Advisers, Inc. (“DCM”) were each allocated approximately 8.33% of the Trust’s assets.
 
Effective July 1, 2011, the Managing Owner determined to discontinue the public offering of the Units and begin offering the Units on a private placement basis only.
 
(b)
Capital Resources
 
The Trust’s capital resources fluctuate based upon the purchase and redemption of units and the gains and losses of the Trust’s trading activities.  For the six-month period ended June 30, 2011, 3,974 Class A units for $392,000 and 2,066 Class B units for $210,000 were purchased by the beneficial owners.  The Managing Owner purchased no units during this time.  For the period ending June 30, 2011, the Beneficial Owners redeemed a total of 95,471 Class A units for $9,235,400, and 2,005 Class B units for $203,274.  The Managing Owner redeemed 11,144 Class A units for $1,026,827 during the six-month period ending June 30, 2011.
 
The Trust’s involvement in the futures and forward markets exposes the Trust to both market risk — the risk arising from changes in the market value of the futures and forward contracts held by the Trust — and credit risk — the risk that another party to a contract will fail to perform its obligations according to the terms of the contract.  The Trust is exposed to a market risk equal to the value of the futures and forward contracts purchased and theoretically unlimited risk of loss on contracts sold short.  The Advisors monitor the Trust’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their respective trading strategies, adjusting position sizes of the Trust’s futures and forward contacts, and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit risk is its exposure to the non-performance of the Trust’s forward currency broker.  The forward currency broker generally enters into forward contracts with large, well-capitalized institutions and then enters into a back-to-back contract with the Trust.  The Trust also may trade on exchanges that do not have associated clearing houses whose credit supports the obligations of its members and that operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.
 
 
15

 
 
The Trust’s trading activities involve varying degrees of off-balance sheet risk whereby changes in the market values of the futures and forward contracts underlying the financial instruments or the Trust’s satisfaction of the obligations may exceed the amount recognized in the statement of financial condition of the Trust.
 
The amount of assets invested in the Trust generally does not affect its performance, as typically this amount is not a limiting factor on the positions acquired by the Advisors, and the Trust’s expenses are primarily charged as a fixed percentage of its asset base, however large, or by number of investors. To a lesser extent, some expenses are incurred as minimums regardless of the size of the asset base, such as audit and legal fees.
 
The Trust borrows only to a limited extent and only on a strictly short-term basis in order to finance losses on non-U.S. dollar denominated trading positions pending the conversion of the Trust’s U.S. dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency.  They have been immaterial to the Trust’s operation to date and are expected to continue to be so.
 
During the six month period ending June 30, 2011, 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 assets at June 30, 2011 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 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 holdings quickly and at market prices.  This should permit the Advisors to limit losses as well as reduce market exposure on short notice should their programs indicate reducing market exposure.
 
The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 100% of the average four-week U.S. Treasury Bill rate for that month in respect of deposits denominated in U.S. dollars.  For deposits denominated in currencies other than U.S. dollars, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  For the period ended June 30, 2011 and June 30, 2010, the Trust has received or accrued to receive trading interest of $48,992 and $23,908, respectively.
 
Additionally, effective October 6, 2010, the Managing Owner retained RJO Investment Management LLC, an affiliate of the Managing Owner, to serve as a cash manager to the Trust.  The Trust’s assets which are managed by the cash manager are held by Wells Fargo Bank, N.A. as custodian.  As of June 30, 2011, Wells Fargo Bank, N.A. held approximately $30.9 million of the Trust’s assets.
 
Most United States commodity exchanges limit the amount of fluctuation in commodity futures contract prices during a single trading day by regulations.  These regulations specify what are referred to as “daily price fluctuation limits” or “daily limits.”  The daily limits establish the maximum amount the price of a futures contract may vary either up or down from the previous day’s settlement price at the end of a trading session.  Once the daily limit has been reached in a particular commodity, no trades may be made at a price beyond the limit.  Positions in the commodity could then be taken or liquidated only if traders are willing to effect trades at or within the limit during the period for trading on such day.  Because the “daily limit” rule only governs price movement for a particular trading day, it does not limit losses.  In the past, futures prices have moved the daily limit for numerous consecutive trading days and thereby prevented prompt liquidation of futures positions on one side of the market, subjecting commodity futures traders holding such positions to substantial losses for those days.
 
 
16

 
 
It is also possible for an exchange or the CFTC to suspend trading in a particular contract, order immediate settlement of a particular contract, or direct that trading in a particular contract be for liquidation only.
 
There are no known material trends, demands, commitments, events or uncertainties at the present time that are reasonably likely to result in the Trust’s liquidity increasing or decreasing in any material way.  Additionally, no material deficiencies in liquidity were identified and there are no material unused sources of liquid assets.
 
(d)
Results of Operations
 
The Trust’s success depends on the Advisors’ ability to recognize and capitalize on major price movements and other profit opportunities in different sectors of the world economy.  Because of the speculative nature of its trading, operational or economic trends have little relevance to the Trust’s results, and its past performance is not necessarily indicative of its future results.  The Managing Owner believes, however, that there are certain market conditions — for example, markets with major price movements — in which the Trust has a better opportunity of being profitable than in others.
 
JWH, ATC, GAJL, CCG, NW and DCM 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 Advisor, HCM, 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 June 30, 2011
 
The Trust recorded net trading losses of $(2,064,169) or $(4.74) per trading unit for Class A units and a loss of $(4.47) per trading unit for Class B units in the second quarter of 2011 (*** Please see “Notes to Consolidated Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October 2005, as the following excludes the Trust’s Non-Trading accounts).  As of June 30, 2011, the Trust (Class A units) had gained 12.63% since its inception in June 1997.  Class B units have lost 18.86% since their inception in January of 2009.
 
On June 30, 2011, the Trust’s assets were allocated to the following Advisors as follows: ATC (16.61%), CCG (17.07%), GAJL (15.69%), HCM (9.37%), JWH (7.31%), NW (17.03%), DCM (8.88%) and TIM (8.03%).
 
In April 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.
 
 
17

 
 
Stocks lost just over 1% during May while commodities lost just over 5%.  The markets seemed concerned that domestic global economic growth to be slowing.  Concerns over the European Union’s situation with Greece and its debt situation have brought credit market tensions to the forefront.  As a result, U.S. treasuries showed strength again this month with the benchmark 10-year note closing out the month with its yield hovering near 3%.  Given the markets concern over budget deficits and commodity led inflation, it is remarkable that the yield on the 10-year note is trading so low.  The markets appear to be very nervous about the potential of a U.S. budget impasse and a double dip recession.
 
Stocks staged a strong rally during the last few days of June but still finished the month down almost 2%.  Commodities lost 5% during the month as crude oil and grains sold off dramatically from recent highs.  On the energy front, the International Energy Agency orchestrated the release of 60 million barrels of oil to help loosen the oil market and to keep prices below $100 per barrel.  The USDA reported that farmers have planted a record amount of corn.  In fact, planted acreage is 9% higher than ever before.  Greece avoided a financial default by approving an austerity package despite a series of violent domestic protests.  Allowing Greece to solve its debt problem by creating more debt from within the European Community in a global environment that includes the U.S. fighting its own rising debt problems, finally got the attention of treasury markets around the world.  The unfolding events caused rates to creep up slightly during the month.  July should be interesting as politicians position themselves in the effort to increase the U.S. debt ceiling or face our own credit default.
 
Fiscal Quarter ended June 30, 2010
 
The Trust recorded net trading losses of $(466,105) or $(0.90) per trading unit for Class A units and a loss of $(0.40) per trading unit for Class B units in the second quarter of 2010 (*** Please see “Notes to 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, 2010, the Trust (Class A units) had gained 22.19% since its inception in June 1997.  Class B units have lost 13.73% since their inception in January of 2009.
 
On June 30, 2010, the Trust’s assets were allocated equally to the following Advisors as follows: ATC (16.66%), CCG (16.66%), GAJL (16.66%), HCM (16.66%), JWH (16.66%) and NW (16.66%).
 
The stock market sold off aggressively on the last day of April but still managed a small gain for the month.  Weakness was tied to an evolving story with Goldman Sachs as the SEC announced a criminal investigation into the firm’s sales tactics.  European markets were weak for much of the month as debt issues in Greece have brought much focus on the economies and financial situations of other European Union countries.  Note that the Europe, Australasia, and Far East Index are negative for the year while the S&P 500 is up over 7%.  After creeping higher during much of March, long-term interest rates moved lower during the month.  The U.S. dollar remains a mixed story.  It has not kept pace with the strength in gold, the Australian dollar, or the Canadian dollar but it remains strong against the euro.  Gold and crude oil are both up about 5% for the year and actually made new highs for the year in April, while natural gas and grain markets remain in negative territory and are near their lows for the year.  The markets remained difficult for our Advisors to navigate.  Four of the Advisors had small profits but ATC and HCM lost a modest amount of money and that caused the Trust to turn into a negative month.  NW and CCG are profitable for the year-to-date.  The other four Advisors are down just slightly.  The split between the euro and other currencies is also a common theme among the Advisors.  At April 30, the majority is short the euro and long other currencies against the U.S. dollar.
 
After an April that saw mixed performance in the underlying equity markets, May was ruled by volatility and negative returns.  By some measures, the U.S. markets posted their worst May since 1940 and the markets had some of their largest intraday swings in history.  This volatility, as represented by the VIX, came into May at 22.05 and left the month at 32.07, while spiking to over 48 mid-month.  Crude oil lost 20% of its value during May and long-term interest rates fell to 50-year lows.  The U.S. dollar gained against the euro, rising almost 10% during the month.  Needless to say, the markets are very fluid and active at this point.  Three of our Advisors posted positive results during May.  The strong performance by CCG and NW was enough to lead the Trust to a positive month.  CCG was helped by a short position in the S&P 500.  NW was helped by quickly reversing its April stance to take short stock and energy positions in early May.  Our Advisors held long positions in long-term interest rates which were a positive for much of the month as long-term rates moved lower.
 
 
18

 
 
The stock market remained under pressure during June, losing just over 5%.  The market is down almost 7% for the year at the midway point of 2010.  The market sell-off was attributed to concerns over a possible double dip recession in the U.S.  The recovery in Europe seems to have stalled and concerns over the European Union members’ debt situations cast a favorable light on U.S debt markets where demand for U.S. treasuries drove yields to record lows for the two- and five-year notes.  The yield on the 10-year U.S. Treasury, while not a record low, finished the month at 2.9%, a level not seen since the dark days in the spring of 2009.  The U.S. dollar weakened a bit but the US Dollar Index remains up over 10% for the year.  Gold made a new high for the year at $1,270 per ounce, which was an all-time high in nominal dollar terms, but settled back to finish the month with a small gain.  Crude oil behaved in a similar pattern by firming early in the month then trailing off at month end in sympathy to the stock market’s weakness.  June was another tough month for the managed futures industry.  June also completed the fourth losing calendar quarter out of the last six quarters for the Barclay Top 50 CTA Index, which represents the performance of the top 50 commodity trading advisors in the industry in terms of assets under management.  The Barclay Top 50 CTA Index historically has been profitable in 63% of calendar quarters.  None of the Advisors to the Trust posted a profit during June.  NW and CCG remain positive on the year while the others are weathering the various markets’ gyrations.
 
Fiscal Quarter ended March 31, 2011
 
The Trust recorded net trading losses of $(1,896,268) or $(3.76) per trading unit for Class A units and a loss of $(3.41) per trading unit for Class B units in the first quarter of 2011 (*** Please see “Notes to Consolidated Financial Statements” in Part I — Item 1 for explanation of net asset value/unit pursuant to events of October 2005, as the following excludes the Trust’s Non-Trading accounts). As of March 31, 2011, the Trust (Class A units) had gained 18.43% since its inception in June 1997.  Class B units have lost 15.12% since their inception in January 2009.
 
On March 31, 2011, the Trust’s assets were allocated to the following Advisors as follows: ATC (16.92%), CCG (15.56%), GAJL (17.37%), HCM (8.57%), JWH (8.50%), NW (16.07%), DCM (9.08%) and TIM (7.93%).
 
The stock market started the year with a solid gain.  U.S. treasuries and the U.S. dollar were slightly weaker.  Precious metals were decidedly weaker during the month but other commodities, lead higher by grains, allowed the Dow Jones UBS commodity index to post a gain of 1%.  The stock market benefitted from low interest rates and strong corporate earnings.  The U.S. bond market has not responded to signs of inflation that have begun to surface in the emerging economies of China, India, and Brazil.  In particular the economies of several Northern African countries have shown stress over food prices.  The political stress in Egypt and Tunisia added significant support to grain and energy prices.  Near month end, market participants saw evidence of those governments beginning to hoard food to make sure supplies are adequate at any cost.  Concern over access to the Suez Canal and the flow of oil exports from the region were reasons given for strength in oil prices.
 
Stocks kept climbing higher quietly during the month of February.  The rally was disrupted in the latter part of February as violence erupted in Libya.  Stress in the Middle East sparked a renewed rally in the petroleum markets.  In an odd turn of events, market participants identified climbing fuel prices, which on their own might be considered inflationary and negative for fixed income markets, as a reason that global economies might slow and therefore lessen inflationary pressures.  With this as a backdrop, U.S. treasuries posted a modest gain.  Commodity indices led higher by energy and metals markets posted all-time highs.  Domestically, the House and Senate have undertaken a project to revise and pass a budget that will reign in the country’s ballooning budget deficit.  Negotiations do not appear to be going well.  This all adds up to a volatile market outlook.
 
In March, an earthquake in Japan and the tsunami that followed unleashed a series of events that will change that country forever.  Stocks and commodities plunged following the disaster but recovered during the latter part of the month to finish unchanged.  A coalition of foreign forces decided to intervene in Libya to support the rebel groups battling against Gaddafi.  Unemployment in the U.S. was reported to be improving with the best number since 2008.    The USDA reports the lowest corn inventories in years.
 
 
19

 

Fiscal Quarter ended March 31, 2010
 
The Trust recorded net trading losses of $(1,147,108) or $(1.98) per trading unit for Class A units and a loss of $(1.51) per trading unit for Class B units in the first quarter of 2010 (*** 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, 2010, the Trust (Class A units) had gained 23.29% since its inception in June 1997.  Class B units have lost -13.39% since inception in January of 2009.
 
On March 31, 2010, the Trust’s assets were allocated equally to the following Advisors as follows: ATC (16.66%), CCG (16.66%), GAJL (16.66%), HCM (16.66%), JWH (16.66%) and NW (16.66%).
 
An overall sell-off in stocks and commodities was the most notable event during January.  The U.S. dollar strengthened during January despite some poor economic reports.  The U.S. dollar rally seemed to catch a number of market participants off guard. The stock market started the year strongly, but fell 8% from its intra-month high to finish with a loss of 3.6% for the month.  Crude oil fell 13% and gold fell 7% from their respective intra-month highs. This paralleled the problems experienced by other commodity markets which had been hoping to see signs of improving domestic and international demand. The Trust fought through another difficult month. It has been one of the most difficult periods on record for managed futures strategies.  Our Advisors remain committed to research and to improving their risk adjusted performance.  During the month, half of the Advisors made money. Those who did had less exposure to long-term trend following.  The three profitable Advisors focused on shorter-time frames or fundamental economic conditions of a few specific underlying markets.
 
After selling off aggressively in early February, the stock market rebounded to finish with a modest gain.  Commodity markets, lead by crude oil and gold, also gained ground during the month.  Commodities and stocks continued to move with an uncharacteristically high degree of positive correlation.  For example, the charts for gold, crude oil, and the S&P 500 look very similar.  Each of the three markets finds itself in the middle of a wide trading range bordered by November 2009 highs and early February lows.  The only market that appears to be trending is the U.S. dollar.  It has strengthened 11% or more against the euro, the British pound, and the Swiss franc.  The U.S. dollar however, has not strengthened against the Australian dollar, Japanese yen, or Canadian dollar.  The situation highlights European weakness as opposed to U.S. strength.  During the month NW and CCG made money.  GAJL and HCM were frustrated by choppy commodity markets.  JWH and ATC were also frustrated by a lack of follow through in downside moves that had begun developing in several sectors.
 
The stock market rose steadily during March and finished with a gain of almost 6%.  The U.S. dollar strengthened against the euro as European financial problems appear to be worse than our own in terms of budget deficits and burgeoning government debt.  The U.S. dollar lost ground, however, against the Australian dollar and Canadian dollar which both stand to strengthen from rising demand for their abundant natural resources.  Gold was weaker most of the month but a late rally leveled it for the month and for the year-to-date.  Crude oil was up almost 8% during March leaving it near the top of a $75 – $85 trading range that has persisted since November of last year.  Weakness in the natural gas and grain markets, due to concerns about oversupply, have created a drag on the commodity indices which remain in negative territory for the year-to-date.  During the month HCM and NW lost a modest amount of money but each of the other four advisors were profitable.  GAJL had the best month.  Their models had long positions in the petroleum based energy markets and short positions in the natural gas and grain markets.  There was consensus among our Advisors related to long-term interest rates with each Advisor registering short positions.  It should be noted that trading volume has begun to increase steadily over the last few months.  This should help our Advisors with the execution of their trading strategies.
 
(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.
 
The Trust does not have any material contractual obligations.
 
 
20

 
 
Item 3. Quantitative and Qualitative Disclosures About Market Risk
 
There has been no material change with respect to the Trust’s market risk as described in the section entitled “Quantitative and Qualitative Disclosures About Market Risk” in our Annual Report on Form 10-K for the year ended December 31, 2010.
 
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, including the Managing Owner’s Chief Executive Officer (the Trust’s principal executive officer) and Chief Financial Officer (the Trust’s principal financial officer), have evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures (as defined in Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) as of June 30, 2011.  The Trust’s disclosure controls and procedures are designed to provide reasonable assurance that information the Trust is required to disclose in the reports that the Trust files or submits under the Exchange Act are recorded, processed and summarized and reported within the time period specified in the applicable rules and forms.  Based on this evaluation, the Chief Executive Officer and Chief Financial Officer of the Managing Owner have concluded that the disclosure controls and procedures of the Trust were effective at June 30, 2011.
 
Changes in Internal Control Over Financial Reporting:  There were no changes in the Trust’s internal control over financial reporting, during the quarter ended June 30, 2011, that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
 
Limitations on the Effectiveness of Controls: Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.
 
PART II - OTHER INFORMATION
 
Item 1. Legal Proceedings
 
The Trust is not a party to any material pending legal proceedings.
 
Item 1A. Risk Factors
 
There have been no material changes from the risk factors in the section entitled “The Risks You Face” in the Trust’s Pre-Effective Amendment No. 1 to its Registration Statement on Form S-1 filed on April 22, 2011.
 
 
21

 
 
Item 2. Unregistered Sales of Securities and Use of Proceeds
 
 
a) None
 
 
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 second quarter of 2011:
 
   
Units
Redeemed
   
Redemption Date
NAV per Unit
 
Month
 
Class A
   
Class B
   
Class A
   
Class B
 
April
    7,821       -     $ 97.98     $ 102.66  
May
    13,334       486     $ 95.63     $ 100.37  
June
    21,950       54     $ 92.14     $ 96.87  
                                 
Total
    43,105       540                  
                                 

Class A units sold January 1, 2011 through June 30, 2011:  3,974
Class B units sold January 1, 2011 through June 30, 2011:  2,066
Units (Class A) unsold through June 30, 2011:  915,870 ($84,388,262)
Units (Class B) unsold through June 30, 2011:  915,870 ($88,720,327)
Aggregate price paid for units sold January 1, 2011 through June 30, 2011:  $602,000
 
100% of all subscription proceeds are invested directly into the Trust.
 
 
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Item 6. Exhibits

 
a)
Exhibits

Index to Exhibits
 
Exhibit Number
 
Description of Document
     
1.01
 
Third Amended and Restated Selling Agreement by and among RJO Global Trust (the “Registrant”), R.J. O’Brien Securities, LLC, and R.J. O’Brien Fund Management, LLC, dated as of July 1, 2011.
     
3.01
 
Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of September 1, 2010.1
     
3.02
 
First Amendment to the Ninth Amended and Restated Declaration and Agreement of Trust of the Registrant, dated as of July 13, 2011.2
     
3.03
 
Restated Certificate of Trust of the Registrant.3
     
31.01
 
Rule 13a-14(a)/15d-14(a) Certifications of Principal Executive Officer.
     
31.02
 
Rule 13a-14(a)/15d-14(a) Certifications of Principal Financial Officer.
     
32.01
 
Section 1350 Certification of Principal Executive Officer and Principal Financial Officer.
     
101.INS**
 
XBRL Instance Document