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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549   
 

 
FORM 10-Q
 

 
 QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2016
 
OR
 
 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)
 
(888) 292 - 9399
(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.  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).   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
 
 Indicate by check mark whether the Registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  Yes      No 


TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION
1
 
 
1
1
2
3
4
5
 
 
19
 
 
28
 
 
28
 
 
PART II. OTHER INFORMATION
29
 
 
29
 
 
29
 
 
29
 
 
30
 
 
31

PART I – FINANCIAL INFORMATION
Item 1.  Financial Statements
 
RJO GLOBAL TRUST AND SUBSIDIARIES
 
Consolidated Statements of Financial Condition
 
             
             
Assets
           
   
September 30,
   
December 31,
 
   
2016
   
2015
 
   
UNAUDITED
   
AUDITED
 
             
Assets:
           
Equity in commodity Trading accounts:
           
Cash on deposit with broker
 
$
3,867,640
   
$
5,323,944
 
Net unrealized gain on open contracts
   
187,205
     
3,414
 
Total due from broker
   
4,054,845
     
5,327,358
 
                 
Cash and cash equivalents on deposit with affiliate
   
1,796,443
     
1,449,723
 
Cash on deposit with bank
   
117,388
     
92,621
 
Interest receivable
   
448
     
304
 
Receivable from US Bank
   
17,890
     
20,248
 
                 
Total Assets
 
$
5,987,014
   
$
6,890,254
 
                 
Liabilities and Unitholders' Capital
               
                 
Liabilities:
               
Equity in commodity Trading accounts:
               
Net unrealized loss on open contracts
 
$
2,873
   
$
-
 
Options written on futures contracts (premiums received - $21,315 and $7,356, respectively)
   
21,900
     
8,059
 
Accrued commissions
   
12,003
     
13,781
 
Accrued management fees
   
12,118
     
14,747
 
Accrued incentive fees
   
8,994
     
12,324
 
Accrued operating expenses
   
165,095
     
170,958
 
Accrued offering expenses
   
3,918
     
328
 
Redemptions payable-Trading
   
59,152
     
29,009
 
Distribution payable - Non-Trading
   
17,890
     
20,248
 
                 
Total liabilities
   
303,943
     
269,454
 
                 
                 
Unitholders' capital:
               
Unitholders' capital (Trading):
               
Beneficial owners
               
Class A (97,100 and 110,812 units outstanding at
September 30, 2016 and December 31, 2015, respectively)
   
5,503,273
     
6,437,129
 
Class B (839 and 955 units outstanding at
September 30, 2016 and December 31, 2015, respectively)
   
55,538
     
63,836
 
Class C (0 and 0 units outstanding at
September 30, 2016 and December 31, 2015, respectively)
   
-
     
-
 
Class D (0 and 0 units outstanding at
September 30, 2016 and December 31, 2015, respectively)
   
-
     
-
 
Managing owner (535 Class A units outstanding at
September 30, 2016 and December 31, 2015, respectively)
   
30,325
     
31,079
 
                 
Total unitholders' capital
   
5,589,136
     
6,532,044
 
                 
Non-Controlling Interests
   
93,935
     
88,756
 
                 
Total Capital
   
5,683,071
     
6,620,800
 
                 
                 
Total Liabilities and Unitholders' Capital
 
$
5,987,014
   
$
6,890,254
 
                 
Net asset value per unit:
               
Trading:
               
Class A
 
$
56.68
   
$
58.09
 
Class B
 
$
66.20
   
$
66.84
 
 
See accompanying notes to consolidated financial statements.
 
RJO GLOBAL TRUST AND SUBSIDIARIES
 
Condensed Consolidated Schedule of Investments
 
                         
               
   
September 30, 2016
   
December 31, 2015
 
   
Percentage of
         
Percentage of
       
   
Net Assets
   
Fair value
   
Net Assets
   
Fair value
 
   
UNAUDITED
   
AUDITED
 
Long Positions
                       
Futures Positions
                       
Agriculture
   
1.01
%
 
$
57,477
     
-0.17
%
 
$
(10,975
)
Currency
   
0.37
%
   
20,888
     
0.06
%
   
4,031
 
Energy
   
0.53
%
   
30,171
     
-0.43
%
   
(28,234
)
Indices
   
0.52
%
   
29,829
     
-0.05
%
   
(3,318
)
Interest rates
   
0.34
%
   
19,555
     
-0.16
%
   
(10,506
)
Metals
   
-0.04
%
   
(2,270
)
   
0.00
%
   
-
 
                                 
Total long positions on open contracts
         
$
155,650
           
$
(49,002
)
                                 
Short Positions
                               
Futures Positions
                               
Agriculture
   
0.92
%
 
$
52,095
     
-0.26
%
 
$
(17,425
)
Currency
   
0.10
%
   
5,522
     
0.33
%
   
21,518
 
Energy
   
-0.28
%
   
(15,984
)
   
0.89
%
   
59,088
 
Indices
   
-0.07
%
   
(4,007
)
   
-0.23
%
   
(15,231
)
Interest rates
   
-0.09
%
   
(5,259
)
   
0.03
%
   
1,694
 
Metals
   
-0.06
%
   
(3,685
)
   
0.04
%
   
2,772
 
                                 
Total short positions on open contracts
         
$
28,682
           
$
52,416
 
                                 
Total net unrealized gain on open contracts
         
$
184,332
           
$
3,414
 
                                 
Short put options on futures contracts
                               
Energy (premiums received - $4,245 and $0, respectively)
   
-0.01
%
 
$
(560
)
   
0.00
%
 
$
-
 
Indices (premiums received - $3,499 and $0, respectively)
   
-0.03
%
   
(1,495
)
   
0.00
%
   
-
 
Interest rates (premiums received - $0 and $4,356, respectively)
   
0.00
%
   
-
     
-0.11
%
   
(7,440
)
Metals (premiums received - $3,453 and $0, respectively)
   
-0.07
%
   
(4,050
)
   
0.00
%
   
-
 
                                 
Total short put options on futures contracts
         
$
(6,105
)
         
$
(7,440
)
                                 
Short call options on futures contracts
                               
Energy (premiums received - $3,438 and $0, respectively)
   
-0.16
%
 
$
(9,040
)
   
0.00
%
 
$
-
 
Indices (premiums received - $3,439 and $0, respectively)
   
-0.08
%
   
(4,285
)
   
0.00
%
   
-
 
Interest rates (premiums received - $0 and $3,000, respectively)
   
0.00
%
   
-
     
-0.01
%
   
(619
)
Metals (premiums received - $3,241 and $0, respectively)
   
-0.04
%
   
(2,470
)
   
0.00
%
   
-
 
                                 
Total short call options on futures contracts
         
$
(15,795
)
         
$
(619
)
                                 
Total options written on futures contracts
         
$
(21,900
)
         
$
(8,059
)
 
See accompanying notes to consolidated financial statements.


RJO GLOBAL TRUST AND SUBSIDIARIES
 
Consolidated Statements of Operations
 
   
                         
   
For the three months ended
September 30,
   
For the nine months ended
September 30,
 
   
2016
   
2015
   
2016
   
2015
 
   
UNAUDITED
   
UNAUDITED
   
UNAUDITED
   
UNAUDITED
 
Trading gain (loss):
                       
Gain (loss) on trading of commodity contracts:
                       
Realized gain (loss) on closed positions
 
$
55,134
   
$
(77,130
)
 
$
354,800
   
$
(61,103
)
Change in net unrealized gain (loss) on open positions
   
(185,253
)
   
48,844
     
181,036
     
(402,162
)
Foreign currency transaction gain (loss)
   
3,280
     
(10,292
)
   
31,557
     
(13,905
)
Total Trading gain (loss)
   
(126,839
)
   
(38,578
)
   
567,393
     
(477,170
)
                                 
Net investment income (loss):
                               
Interest income
   
3,388
     
715
     
11,307
     
1,572
 
Total net investment income (loss)
   
3,388
     
715
     
11,307
     
1,572
 
                                 
Expenses:
                               
Commissions - Class A
   
65,566
     
70,320
     
210,308
     
263,595
 
Commissions - Class B
   
350
     
320
     
1,125
     
1,238
 
Commissions - Class C
   
-
     
-
     
-
     
865
 
Commissions - Non-controlling interests
   
754
     
623
     
2,149
     
1,284
 
Management fees
   
37,524
     
49,447
     
128,635
     
172,547
 
Incentive fees
   
8,994
     
-
     
73,508
     
86,742
 
Investment Manager Incentive fees
   
-
     
-
     
-
     
2,224
 
Ongoing offering expenses
   
6,824
     
10,800
     
25,524
     
24,400
 
Operating expenses
   
82,500
     
96,450
     
248,376
     
259,199
 
Total expenses
   
202,512
     
227,960
     
689,625
     
812,094
 
                                 
Trading income (loss)
   
(325,963
)
   
(265,823
)
   
(110,925
)
   
(1,287,692
)
                                 
Less: Operations attributed to non-controlling interests
   
(1,331
)
   
74
     
5,179
     
(14,481
)
                                 
Trading income (loss) net of non-controlling interests
   
(324,632
)
   
(265,897
)
   
(116,104
)
   
(1,273,211
)
                                 
Non-Trading income (loss):
                               
Interest on Non-Trading reserve
   
-
     
-
     
-
     
25
 
Legal and administrative fees
   
-
     
-
     
-
     
(301,763
)
Management fees paid to US Bank
   
-
     
-
     
-
     
(451,942
)
Non-Trading income (loss)
   
-
     
-
     
-
     
(753,680
)
                                 
Net income (loss)
 
$
(324,632
)
 
$
(265,897
)
 
$
(116,104
)
 
$
(2,026,891
)
 
See accompanying notes to consolidated financial statements.


RJO GLOBAL TRUST AND SUBSIDIARIES
 
Consolidated Statement of Changes in Unitholders’ Capital
 
For the nine months ended September 30, 2016
 
UNAUDITED
 
                                     
                                     
Unitholders’ Capital (Trading)
 
Beneficial Owners - Trading Class A
   
Beneficial Owners - Trading Class B
     
   
Units
   
Dollars
   
Units
   
Dollars
         
                                     
Balances at December 31, 2015
   
110,812
   
$
6,437,129
     
955
   
$
63,836
     
 
   
 
 
 
Trading income (loss)
   
-
     
(115,094
)
   
-
     
(256
)
   
 
     
 
 
Unitholders’ redemptions
   
(13,712
)
   
(818,762
)
   
(116
)
   
(8,042
)
   
 
     
 
 
Balances at September 30, 2016
   
97,100
   
$
5,503,273
     
839
   
$
55,538
         
 
 
 
                                                 
Unitholders’ Capital (Trading)
 
Managing Owners - Trading Class A
   
Total Unitholders’ Capital - Trading
   
Non-Controlling Interests
 
   
Units
   
Dollars
   
Units
   
Dollars
   
Units
   
Dollars
 
                                                 
Balances at December 31, 2015
   
535
   
$
31,079
     
112,302
   
$
6,532,044
     
-
   
$
88,756
 
Trading income (loss)
   
-
     
(754
)
   
-
     
(116,104
)
   
-
     
5,179
 
Unitholders’ redemptions
   
-
     
-
     
(13,828
)
   
(826,804
)
   
-
     
-
 
Balances at September 30, 2016
   
535
   
$
30,325
     
98,474
   
$
5,589,136
     
-
   
$
93,935
 
                                                 
                                                 
Total Unitholders Capital at September 30, 2016
                                   
$
5,683,071
 
   
Unitholders’
   
Unitholders’
                             
   
Capital
   
Capital
   
 
                         
   
Trading Class A
   
Trading Class B
                             
Net asset value per unit at December 31, 2015
 
$
58.09
   
$
66.84
   
 
 
                         
Net change per unit
   
(1.41
)
   
(0.64
)
   
 
                         
Net asset value per unit at September 30, 2016
 
$
56.68
   
$
66.20
   
 
 
                         
 
See accompanying notes to consolidated financial statements.



RJO GLOBAL TRUST AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
September 30, 2016
(Unaudited)

(1) General Information and Summary
 
The 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 U.S. and international futures, spot and forward contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, as well as securities and any rights pertaining thereto and any options thereon, pursuant to the trading instructions of multiple independent commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).
 
R.J. O’Brien Fund Management, LLC, the managing owner of the Trust (“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 has been registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and has been a member in good standing of the National Futures Association (“NFA”) in such capacity, since December 1, 2006.  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”) through its investment in RJ OASIS (as defined below).

Units of beneficial ownership of the Trust (“units”) 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.  Effective January 15, 2014, the Managing Owner began offering Class C and Class D units.  The Class A and Class B units are no longer offered.

Pursuant to an Investment Management Agreement dated August 30, 2013 (the “Investment Management Agreement”), the Managing Owner appointed RPM Risk & Portfolio Management Aktiebolag, a limited liability company organized under the laws of Sweden, as investment manager to the Trust (“RPM” or the “Investment Manager”).  RPM has been registered with the CFTC as a commodity trading advisor (CTA), and has been a member in good standing of the NFA in such capacity, since August 27, 2015.  Prior to August 27, 2015, RPM was exempt from registration as a CTA pursuant CFTC Rule 4.14(a)(10) as (i) during the course of any 12-month periods, it had not furnished commodity trading advice to more than 15 persons; and (ii) it did not hold itself out generally to the public as a CTA.  The Trust remains a multi-advisor commodity pool where trading decisions for the Trust are delegated to the Trading Advisors, representing the Investment Manager’s “Evolving Manager Program”.  RPM is responsible for selecting, monitoring, and replacing each commodity trading advisor available for its Evolving Manager Program.  RPM is also responsible for the Trust’s allocations to each Trading Advisor through the Trust’s investment in RJ OASIS (as defined below).  RPM may also add, remove or replace any Trading 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 Evolving Manager Program seeks to identify and select commodity trading advisors with shorter track records and with smaller assets under management who, in the opinion of the Investment Manager, appear to have potential for long-term over-performance relative to their respective peer group.  RPM may add, delete or modify such categories of investment strategies in line with its investment objective and policy.  The strategies include three broad based categories that are described as follows (each, an “Eligible Strategy”):
 
·
 Trend Following. A strategy that is often classified as “long volatility” because it tries to take advantage of large movements or “trends” in prices.  Trading programs are often fully systematic with limited application of discretion using a wide range of technical analysis methods to determine when trends occur.
 
·
 Short-Term Trading. A strategy that refers to all futures and currency investment strategies with a trading horizon ranging from intraday to less than a month, which seeks to exploit short-term price inefficiencies.  This is typically done using technical analysis.

 
·
 Fundamental Trading. A strategy that attempts to predict the future direction of markets based on macroeconomic data with less focus on price data alone.  A fundamental approach seeks to find opportunities where price does not properly reflect the fundamental valuation of the underlying asset, i.e. its intrinsic value.  A fundamental valuation can be done using various approaches but the most common methodologies are macroeconomic analysis and relative valuation.

The Investment Manager will, in its discretion, determine the minimum or maximum target allocation or allocation range, or the manner in which to rebalance the Trust or adjust relative weightings of the Trust.  RPM has complete flexibility in allocation and reallocating the Trust’s capital in any manner that it may deem appropriate.  There can be no assurance as to which factors the Investment Manager may consider in making capital allocations for the Trust, or as to which allocation the Investment Manager may make.

The Trust’s assets are currently allocated to O’Brien Alternative Strategic Investment Solutions, LLC (“RJ OASIS”), a Delaware series limited liability company operated by RJOFM.  Each “series” of RJ OASIS feeds into a separate trading company established to facilitate trading by a particular Trading Advisor (each, a “Trading Company” and collectively, the “Trading Companies”).  The Trading Companies are operated by RJOFM.  RJOFM is the managing member of each RJ OASIS series and each Trading Company.  RJOFM has no equity interest in any RJ OASIS series or Trading Company.

The Trust is governed by the Tenth Amended and Restated Declaration and Agreement of Trust dated January 31, 2015 (the “Trust Agreement”).

As of September 30, 2016, prior to quarter-end reallocation, RPM has delegated trading decisions for the Trust to six independent Trading Advisors:  Revolution Capital Management, LLC (“RCM”), PGR Capital LLP (“PGR”), ROW Asset Management, LLC (“ROW”), Turning Wheel Capital, Inc. (“TWC”), Claughton Capital, LLC (“Claughton”) and Degraves Capital Management PTY (“DCM”),  pursuant to advisory agreements executed between RJOFM (in its role as managing member of each RJ OASIS series and each Trading Company), and, as applicable, each Trading Company and each Trading Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

The Advisory Agreements provide that each Trading Advisor has discretion in and responsibility for the selection of the Trading Company’s commodity transactions with respect to that portion of the series’ assets allocated to it.  As of September 30, 2016, prior to quarter-end reallocation, RCM was managing 17.82%, PGR 22.27%, ROW 13.31%, TWC 4.92%, Claughton 3.26% and DCM 6.05%% of the Trust’s assets, respectively.  Approximately 32.37% of the Trust’s assets were not allocated to any Trading Advisor.

RCM, PGR, ROW, TWC, Claughton 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 mispricing in the market, and no macroeconomic assessments of the relative strengths of different national economies or economic sectors are made.  However, there are frequent periods during which fundamental factors external to the market dominate prices.  

The Trust has no officers, directors or employees.  
 
RJO is a “futures commission merchant,” the Managing Owner is a “commodity pool operator” and the Trading Advisors to the Trust are “commodity trading advisors,” as those terms are used in the CE Act.  As such, they are registered with and subject to regulation by the CFTC and are each a member of NFA in such respective capacities.  R.J. O’Brien Securities, LLC, an affiliate of RJOFM and the lead selling agent for the Trust, is registered as a broker-dealer with the SEC, and is a member of the Financial Industry Regulatory Authority (“FINRA”).
 
The Managing Owner is responsible for the preparation of monthly and annual reports to the beneficial owners of the Trust (the “Beneficial Owners”); filing reports required by the CFTC, the NFA, the SEC and any state agencies having jurisdiction over the Trust calculation of the Trust’s net asset value (“NAV”) (meaning the total assets less total liabilities of the Trust); directing payment of the management and incentive fees payable to the Investment Manager under the Investment Management Agreement and (in its role as managing member of each RJ OASIS series and each Trading Company) directing payment of the management and incentive fees payable to the Trading Advisors under the Advisory Agreements, as applicable.

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 NAV to less than $2,500,000, except as provided in the Trust Agreement; (8) a decline in the NAV per unit to $50 or less of one or more share classes, except as provided in Trust Agreement; (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.

A portion of the Trust’s net assets are deposited in the Trust’s accounts with RJO, the Trust’s clearing broker and currency dealer.  For U.S. dollar deposits, 100% of interest earned on the Trust’s assets, calculated by the average four-week Treasury bill rate, is paid to the Trust.  For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the Trust are retained by RJO.  For the three and nine month periods ended September 30, 2016 and 2015, RJO had paid or accrued to pay interest to the Trust of $1,939, $6,175, $166 and $621, respectively.  

On October 6, 2010, the Managing Owner appointed RJO Investment Management LLC (“RJOIM”), an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells Fargo Bank, N.A. (“Wells”).  As of September 30, 2016, Wells held approximately $1,797,000 of the Trust’s assets.  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.  For the three and nine month periods ended September 30, 2016 and 2015, the assets held in this account earned $1,449, $5,132, $549 and $951 of interest income, respectively.

As of September 30, 2016, accounting and transfer agency services for the Trust are provided by NAV Consulting, Inc., the Trust’s administrator.

Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against REFCO, LTD, and all Non-Trading Accounts were transferred to the LLC.  Any new funds received from REFCO, LTD by the LLC were distributed to unitholders who were investors in the Trust at the time of the bankruptcy of REFCO, LTD and Refco, Inc.  U.S. Bank National Association (“US Bank”) was appointed as manager of the LLC.  US Bank made 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 explained above, as follows:
 
(a) Any unitholder who had redeemed their entire interest in the Trust prior to distribution received cash (“Non-Participating Owners”).
 
(b) Any unitholder who had continued to own units in the Trust received additional units in the Trust at the then net asset value of the Trust (“Participating Owner”).
 
The unitholders had no rights to request redemptions from the LLC.
 
The LLC compensated US Bank, as manager, 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 (initially $350 per hour).
 

Effective as of June 15, 2015 (the “Termination Date”), the LLC was dissolved by US Bank.  US Bank effected the dissolution based upon their belief that substantially all of the LLC’s claims had been liquidated and the related proceeds had been distributed to the unitholders, and that the LLC was not likely to receive further significant recoveries related to such claims.  Accordingly, the LLC has ceased to carry on its business as of the Termination Date except insofar as may be necessary for the winding up of its business.  As of the Termination Date, the LLC has taken full account of its assets and liabilities, and has made payment or has otherwise provided for all of its remaining debts and liabilities.  US Bank has established a contingency reserve with all remaining funds from the LLC in its possession in the approximate amount of $475,000 to pay for any future wind up expenses of, or other claims made against, the LLC on or prior to June 15, 2017 (the “Reserve Termination Date”).  To the extent no claims or obligations of the LLC remain outstanding as of the Reserve Termination Date (as determined in US Bank’s reasonable discretion), US Bank will distribute the then remaining funds to the unitholders, provided, however, if the amount of remaining funds available for distribution does not significantly exceed the cost of making such distribution, US Bank reserves the right to donate the remaining amounts to a nationally recognized charity.

Accordingly, the LLC/Non-trading unitholders capital accounts were distributed to US Bank on the Termination Date.  Amounts estimated to be due to Participating Owners aggregating $17,890 and $20,248 as of September 30, 2016 and December 31, 2015, respectively, are reflected as a distribution payable and a receivable from US Bank in the Consolidated Statements of Financial Condition.
  
(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 the 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, 2015.

While the Trust is not registered, and is not required to be registered as an investment company under the Investment Company Act of 1940, as amended, it meets the definition of an investment company within the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946, Financial Services - Investment Companies, and follows the accounting and reporting guidance therein.
 
(b) Principles of Consolidation
 
The accompanying consolidated financial statements include the accounts of the Trust, its wholly-owned subsidiaries: the LLC through the Termination Date (see Note (1) above), the OASIS Centurion Asset Mgmt Series (through January 31, 2016), OASIS Turing Wheel Capital Series, OASIS Claughton Capital Series, and OASIS Degraves Capital Mgmt PTY Series (effective January 9, 2016).  The consolidated financial statements also include the controlling and majority equity interest in the OASIS Revolution Capital Mgmt Series, OASIS PGR Capital Series and OASIS ROW Asset Mgmt Series.  Interests in such series of RJ OASIS not wholly-owned by the Trust are shown as non-controlling interests.  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.  Net 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 net 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 net 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.
 
For each series of RJ OASIS in which the Trust invests, that portion of the Trust’s net assets are deposited into an account of the relevant Trading Company held at RJO,  the clearing broker and currency dealer for each Trading Company.  For U.S. dollar deposits, 100% of interest earned on the series’ assets, calculated by the average four-week Treasury bill rate, is paid to the series.  For non-U.S. dollar deposits, the current rate of interest is equal to a rate of one-month LIBOR less 100 basis points.  Any amounts received by RJO in excess of amounts paid to the series are retained by RJO.  On October 6, 2010, the Managing Owner appointed RJOIM, an affiliate of the Managing Owner, to manage the Trust’s cash deposited with Wells.  As of Sepetember 30, 2016, Wells held approximately $1,797,000 of the Trust’s assets.  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.

(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 accrued monthly.
 
(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 quarter and year-end balances are translated at the quarter and 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 REFCO, LTD at December 31, 2005, based on management’s estimate of fair value at that time.  Subsequent recoveries from REFCO, LTD were credited against the then book value of the claim.  On June 28, 2007, the Trust’s cumulative recoveries from REFCO, LTD exceeded the book value of the impaired assets held at REFCO, LTD, 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.  As part of the winding down of the LLC, US Bank, as Manager of the LLC, has taken into full account the LLC’s liabilities and assets, and has made payment and otherwise provided for all remaining LLC’s debits and liabilities.  

(h) Recent Pronouncements
 
On May 28, 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, Revenue from Contracts with Customers, which requires an entity to recognize the amount of revenue to which it expects to be entitled for the transfer of promised goods or services to customers.  The ASU will replace most existing revenue recognition guidance in U.S. GAAP when it becomes effective.  The standard permits the use of either the retrospective or cumulative effect transition method.  In July 2015, the FASB voted to delay the effective date of this ASU by one year.  The ASU will now be effective commencing with the Trust’s quarter ending March 31, 2018.  Early adoption of this ASU is allowed no sooner than the original effective date.  The Trust has not yet selected a transition method nor has it determined the effect of the standard on its ongoing financial reporting.

In August 2014, the FASB issued ASU No. 2014-15, Presentation of Financial Statements - Going Concern: Disclosures of Uncertainties about an Entity’s Ability to Continue as a Going Concern, which requires management to evaluate whether there are conditions or events that raise substantial doubt about the entity’s ability to continue as a going concern within one year after the date that the financial statements are issued or are available to be issued.  This ASU also requires management to disclose certain information depending on the results of the going concern evaluation.  The provisions of this ASU are effective for annual periods ending after December 15, 2016, and for interim and annual periods thereafter.  Early adoption is permitted.  This amendment is applicable to the Trust beginning in the first quarter of fiscal year 2017.  The adoption of this standard is not expected to have a material impact on the consolidated financial statements.
 
(3) Fees

Management fees are accrued and paid monthly by the relevant series’ Trading Company.  Incentive fees are accrued monthly and paid quarterly, as applicable, by the relevant series’ Trading Company.  Trading decisions for the period of these financial statements were made by the Trading Advisors.
 
Management fees and incentive fees were not due on the LLC net assets.  See Note (1).

Pursuant to the Trust Agreement, the Trust pays the Managing Owner a fee of 0.50% of the Trust’s month-end net assets on an annual basis.  
 
Pursuant to the Investment Management Agreement, the Trust pays RPM a monthly management fee at a rate of 0.0625% (a 0.75% annual rate) of the Trust’s month-end net asset calculated after determined and before reduction for any RPM management fees then being calculated and all other fees and expenses as of such month end, and before giving effect to any subscriptions for units in the Trust made as of the beginning of the month immediately following such month end and to any distributions or redemptions accrued during or as of such month end.
 
Pursuant to the Investment Management Agreement, RPM will receive from the Class C and D units a quarterly incentive fee of 10% of any “New Appreciation”, if any, of any New Assets.  “New Assets” are that portion of the assets contributed to the Trust from the date of the Investment Management Agreement.  New Appreciation in any quarter is equal to the amount by which the net asset value of the New Assets, prior to reduction for any accrued RPM performance fee, but after reduction for all other fees and expenses allocable to the New Assets (including the RPM management fee and management and incentive fees paid to the Trading Advisors, as described below), exceeds the cumulative trading profit as of any previous calendar quarter-end.  Interest income shall not be taken into account in calculating New Appreciation.

Pursuant to the Advisory Agreements, each Trading Advisor receives from the relevant series’ Trading Company a monthly management fee ranging from 0.042% to 0.083% (a 0.5% to 1% 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. 
 
Pursuant to its Advisory Agreement, each Trading Advisor may also receive from the relevant series’ Trading Company a quarterly incentive fee ranging from 15% to 20% of the “New Trading Profit,” if any, of the Trust.  The incentive fee is based on the performance of each Trading Advisor’s portion of the assets allocated to them.  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 net unrealized profits and losses, excluding interest income, and deducting the management fee and brokerage fee.  
 
For a description of the fees paid by the Trust to RJOIM, the Trust’s cash manager, see Note (9).

(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, 2013 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, through its indirect investment in the Trading Companies, engages in the speculative trading of U.S. and international futures contracts, options, and forward contracts (collectively derivatives).  These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy.  The Trading Companies are exposed to both market risk - the risk arising from changes in the market value of the contract - 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 initial and on-going margin deposits with a futures commission merchant (“FCM”).  The CE Act 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 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, through its indirect investment in the Trading Companies, has cash on deposit with the FCM 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 Trading Companies are exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.
 
A Trading Company, 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 Trading Company may not be able to enter into a closing transaction because of an illiquid market.


The Trading Companies may purchase exchange-traded options.  As such, the relevant Trading Company 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 Trading Companies to a risk of loss limited to the premiums paid.
 
Net trading results from derivatives for the nine month periods ended September 30, 2016 and 2015, respectively, 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 its indirect investment with the Trading Companies.

The Trust, through its indirect investment in the Trading Companies, may invest its margin in fixed income securities as permitted by 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 cannot 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.
 
See Note (10) for further details on Derivative Instruments and Hedging Activities.

(6) 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 any 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 are valued using models or other valuation methodologies derived from observable market data.  As of September 30, 2016 and December 31, 2015, respectively, the Trust did not have any Level 2 assets or liabilities.
 
          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, 2016 and December 31, 2015, respectively, 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 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 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, 2016 and December 31, 2015, respectively:
 
   
September 30, 2016
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                       
Net unrealized gain on open contracts:
                       
Futures positions
 
$
187,205
   
$
-
   
$
-
   
$
187,205
 
     
187,205
     
-
     
-
     
187,205
 
Liabilities
                               
Net unrealized loss on open contracts:
                               
Futures positions
   
(2,873
)
   
-
     
-
     
(2,873
)
Options written on futures contracts
   
(21,900
)
   
-
     
-
     
(21,900
)
     
(24,773
)
   
-
     
-
     
(24,773
)
                                 
Total fair value
 
$
162,432
   
$
-
   
$
-
   
$
162,432
 
 
   
December 31, 2015
 
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets
                               
Net unrealized gain on open contracts:
                               
Futures positions
 
$
3,414
   
$
-
   
$
-
   
$
3,414
 
     
3,414
     
-
     
-
     
3,414
 
Liabilities
                               
Options written on futures contracts
   
(8,059
)
   
-
     
-
     
(8,059
)
     
(8,059
)
   
-
     
-
     
(8,059
)
                                 
Total fair value
 
$
(4,645
)
 
$
-
   
$
-
   
$
(4,645
)
 
(7) 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 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.  The Trust Agreement contains a full description of 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 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 on a per trade (“half-turn”) basis, in addition to any transactional (floor brokerage, give-up charges, NFA, clearing and exchange) fees are typically paid to the clearing broker at the time of the initial purchase (or sale) and again at the subsequent sale (or purchase) of a commodity futures contract.  These half-turn commission and fees are charged to expense when incurred.

“Commission and fees” included the following across each class of units (1):

Recipient
 
Nature of Payment
 
Class A Units
   
Class B Units
   
Class C Units
   
Class D Units (2)
 
Managing Owner
 
Managing Owner Fee
   
0.50
%
   
0.50
%
   
0.50
%
   
0.50
%
Selling Agents
 
Selling Commission
   
2.00
%
   
0.00
%
   
0.00
%
   
2.00
%
Selling Agents
 
Selling Commission (initial sales charge) (3)
   
0.00
%
   
0.00
%
   
0.00
%
   
2.00
%
Managing Owner
 
Wholesale Fee (4)
   
0.00
%
   
0.00
%
   
0.35
%
   
0.35
%
Clearing Broker
 
Clearing, NFA and exchange fees (approximately) (5)
   
1.75
%
   
1.75
%
   
1.75
%
   
1.75
%
                                     
         
4.25
%
   
2.25
%
   
2.60
%
   
6.60
%

(1)  The above costs, fees and expenses are reflected in the commission by class line on the consolidated statement of operations.  Commissions are not paid with respect to the LLC’s net assets.

(2)  As of September 30, 2016, no Class D units had been sold.

(3)  Class D units may be subject to an initial sales charge of up to 2.00% of the subscription amount upon investment.

(4)  The Class C and Class D units are subject to a wholesaling fee of .35% to the Managing Owner to compensate agents who may facilitate distribution of such units.

(5)  Fees are charged as actually incurred.

(8) Financial Highlights
 
The following financial highlights show the Trust’s financial performance of the Trading units by class for the three and nine month periods ended September 30, 2016, and 2015, respectively.  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’s Trading units taken as a whole.  No financial highlights per share operating performance has been presented for Class C units for the third quarter of 2015 and 2016, respectively, since all Class C units were purchased and fully redeemed in January 2015 and no further Class C units have been issued subsequently.  As of September 30, 2016, no Class D units had been sold and, therefore, the Trust’s financial performance with respect to the class D units is not reflected below.

   
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,
 
   
2016
   
2015
   
2016
   
2015
   
2016
   
2015
   
2016
   
2015
 
Per share operating performance:
                                               
    Net asset value of Trading
         units, beginning of period
 
$
59.93
   
$
59.48
   
$
69.65
   
$
67.75
   
$
58.09
   
$
67.49
   
$
66.84
   
$
76.11
 
    Total Trading income (loss):
                                                               
         Trading gain (loss)
   
(1.31
)
   
(0.33
)
   
(1.53
)
   
(0.37
)
   
4.89
     
(4.01
)
   
5.62
     
(4.60
)
         Investment income
   
0.04
     
-
     
0.04
     
-
     
0.11
     
0.01
     
0.12
     
0.01
 
         Expenses
   
(1.98
)
   
(1.85
)
   
(1.96
)
   
(1.78
)
   
(6.41
)
   
(6.19
)
   
(6.38
)
   
(5.92
)
    Trading income (loss)
   
(3.25
)
   
(2.18
)
   
(3.45
)
   
(2.15
)
   
(1.41
)
   
(10.19
)
   
(0.64
)
   
(10.51
)
    Net asset value of Trading units, end of period
 
$
56.68
   
$
57.30
   
$
66.20
   
$
65.60
   
$
56.68
   
$
57.30
   
$
66.20
   
$
65.60
 
                                                                 
Total return:
                                                               
    Total return before incentive fees
   
(5.28
%)
   
(3.65
%)
   
(4.80
%)
   
(3.17
%)
   
(1.28
%)
   
(14.07
%)
   
0.20
%
   
(12.82
%)
    Less incentive fee allocations
   
(0.15
%)
   
0.00
%
   
(0.15
%)
   
0.00
%
   
(1.15
%)
   
(1.02
%)
   
(1.15
%)
   
(0.98
%)
Total return
   
(5.43
%)
   
(3.65
%)
   
(4.95
%)
   
(3.17
%)
   
(2.43
%)
   
(15.09
%)
   
(0.95
%)
   
(13.80
%)
                                                                 
Ratios to average net assets:
                                                               
    Trading income (loss)
   
(5.48
%)
   
(3.76
%)
   
(5.03
%)
   
(3.29
%)
   
(1.86
%)
   
(15.96
%)
   
(0.44
%)
   
(14.49
%)
    Expenses:
                                                               
         Expenses, less incentive fees
   
(3.24
%)
   
(3.20
%)
   
(2.71
%)
   
(2.69
%)
   
(9.71
%)
   
(8.86
%)
   
(8.16
%)
   
(7.29
%)
         Incentive fees
   
(0.15
%)
   
0.00
%
   
(0.15
%)
   
0.00
%
   
(1.15
%)
   
(1.02
%)
   
(1.15
%)
   
(0.98
%)
    Total expenses
   
(3.39
%)
   
(3.20
%)
   
(2.86
%)
   
(2.69
%)
   
(10.86
%)
   
(9.88
%)
   
(9.31
%)
   
(8.27
%)

The calculations above do not include activity within the Trust’s Non-Trading Accounts.
 
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, 2016 and 2015, respectively.  The amounts are not annualized.  Total return is calculated for each class of unitholders’ capital taken as a whole.  An individual investor’s return may vary from these returns.

(9)  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, as 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.  As of August 1, 2014, RJOIM agreed to waive all advisory fees previously charged to the Trust, back to January 1, 2014, in response to a request by the Managing Owner for said rebate.  This request was made due to the decrease in the size of the Trust’s deposit with RJOIM and the current interest rate environment.  As of September 30, 2016, the Trust’s deposits held by RJOIM consisted of cash of $1,797,000.  Since August 1, 2014, RJOIM continues to waive its advisory fee. 

(10) Derivative Instruments and Hedging Activities
 
The Trust does not utilize “hedge accounting” and instead “marks-to-market” any derivatives through operations.
 
Derivatives not designated as hedging instruments:
 
As of September 30, 2016
             
   
Asset
   
Liability
       
Type of
 
Derivatives
   
Derivatives
   
Net
 
Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                   
Agriculture
 
$
156,017
   
$
(46,445
)
 
$
109,572
 
Currency
   
38,761
     
(12,351
)
   
26,410
 
Energy
   
57,186
     
(52,599
)
   
4,587
 
Indices
   
33,695
     
(13,653
)
   
20,042
 
Interest rates
   
30,041
     
(15,745
)
   
14,296
 
Metals
   
11,901
     
(24,376
)
   
(12,475
)
   
$
327,601
   
$
(165,169
)
 
$
162,432
 
                         
 
As of December 31, 2015
                 
   
Asset
   
Liability
         
Type of
 
Derivatives
   
Derivatives
   
Net
 
Futures Contracts
 
Fair Value
   
Fair Value
   
Fair Value
 
                         
Agriculture
 
$
32,649
   
$
(61,049
)
 
$
(28,400
)
Currency
   
26,412
     
(863
)
   
25,549
 
Energy
   
104,889
     
(74,035
)
   
30,854
 
Indices
   
5,225
     
(23,774
)
   
(18,549
)
Interest rates
   
4,782
     
(21,653
)
   
(16,871
)
Metals
   
11,985
     
(9,213
)
   
2,772
 
   
$
185,942
   
$
(190,587
)
 
$
(4,645
)
 
The above reported fair values are included in equity in commodity trading accounts – net unrealized gain on open contracts and in purchased options on futures and written options on futures contracts in the consolidated statements of financial condition as of September 30, 2016 and December 31, 2015, respectively. 

Trading gain (loss) for the following periods:

   
Nine Months Ended September 30,
 
Type of Futures Contracts
 
2016
   
2015
 
Agriculture
 
$
222,679
   
$
(109,355
)
Currency
   
(14,698
)
   
(443,817
)
Energy
   
(66,462
)
   
149,498
 
Indices
   
115,184
     
(112,781
)
Interest rates
   
334,005
     
204,790
 
Metals
   
(23,315
)
   
(165,505
)
   
$
567,393
   
$
(477,170
)
 
   
Three Months Ended September 30,
 
Type of Futures Contracts
   
2016
     
2015
 
Agriculture
 
$
88,163
   
$
(91,186
)
Currency
   
(78,068
)
   
(145,463
)
Energy
   
(1,999
)
   
204,334
 
Indices
   
124,288
     
(93,326
)
Interest rates
   
(207,307
)
   
97,326
 
Metals
   
(51,916
)
   
(10,263
)
   
$
(126,839
)
 
$
(38,578
)

See Note (5) for additional information on the trading of derivatives not designed as hedging instruments and the related risks.

(11) Offsetting

As indicated in Note (1), the Trust’s assets are currently indirectly allocated to each of the Trading Companies.  All of the Trading Companies utilize RJO as their clearing broker.  Each Trading Company has its own separate clearing agreement with RJO, under which each of the Trading Companies are subject to master netting agreements or similar arrangements that allow RJO to offset any assets of the individual entity by any liabilities of the individual Trading Company, as necessary, if RJO determines that the amount of margin is not appropriate or the Trading Company is not able to perform.  Each of the Trading Companies hold significant cash deposits with RJO, which can be and is used by the Trading Companies to settle any obligations due to RJO.  The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties and they do not apply across different Trading Companies.
 
For financial reporting purposes, the Trust nets its similar derivative assets and liabilities that are subject to netting arrangements in the Statements of Financial Condition.  The following tables present the Trust’s derivative assets and liabilities by investment type and by counterparty, net of amounts available for offset under a master netting agreement, along with the related collateral received or pledged by the Trading Companies (cash on deposit with broker) as of September 30, 2016 and December 31, 2015:
 
   
Offsetting of Derivative Assets
 
                                     
   
As of September 30, 2016
   
As of December 31, 2015
 
   
Gross
   
Gross Amounts
   
Net Amounts of Assets
   
Gross
   
Gross Amounts
   
Net Amounts of Assets
 
   
Amounts of
   
Offset in the
   
Presented in the
   
Amounts of
   
Offset in the
   
Presented in the
 
   
Recognized
   
Statement of
   
Statement of
   
Recognized
   
Statement of
   
Statement of
 
 Description
 
Assets
   
Financial Condition
   
Financial Condition
   
Assets
   
Financial Condition
   
Financial Condition
 
                                     
 Futures and forward contracts
 
$
327,601
   
$
(140,396
)
 
$
187,205
   
$
185,942
   
$
(182,528
)
 
$
3,414
 
                                                 
   
$
327,601
   
$
(140,396
)
 
$
187,205
   
$
185,942
   
$
(182,528
)
 
$
3,414
 
 
 
   
Derivative Assets and Collateral Held by Counterparty
 
                                                 
   
As of September 30, 2016
   
As of December 31, 2015
 
   
Net Amount of
    Gross Amounts Not           
Net Amount of
    Gross Amounts Not        
 
Assets in the
   
Offset in theStatement
       
Assets in the
   
Offset in the Statement
       
Individual Trading Companies  
Statement of
   
of Financial Condition
         
Statement of
    of Financial Condition        
(with derivative assets and
 
Financial
   
Financial
   
Cash Collateral
   
Net
   
Financial
   
Financial
   
Cash Collateral
   
Net
 
 collateral held by RJO)
 
Condition
   
Instruments
   
Received
   
Amount
   
Condition
   
Instruments
   
Received
   
Amount
 
                                                 
 OASIS PGR, LLC
 
$
56,693
   
$
-
   
$
-
   
$
56,693
   
$
(26,242
)
 
$
-
   
$
-
   
$
(26,242
)
 OASIS ROW, LLC
   
101,364
     
-
     
-
     
101,364
     
11,674
     
-
     
-
     
11,674
 
 OASIS TWC, LLC
   
-
     
-
     
-
     
-
     
(715
)
   
-
     
-
     
(715
)
 OASIS Claughton, LLC
   
29,148
     
-
     
-
     
29,148
     
18,697
     
-
     
-
     
18,697
 
                                                                 
   
$
187,205
   
$
-
   
$
-
   
$
187,205
   
$
3,414
   
$
-
   
$
-
   
$
3,414
 
 
 
   
Offsetting of Derivative Liabilities
 
                                     
   
As of September 30, 2016
   
As of December 31, 2015
 
               
Net Amounts of
               
Net Amounts of
 
   
Gross
   
Gross Amounts
   
Liabilities
   
Gross
   
Gross Amounts
   
Liabilities
 
   
Amounts of
   
Offset in the
   
Presented in the
   
Amounts of
   
Offset in the
   
Presented in the
 
   
Recognized
   
Statement of
   
Statement of
   
Recognized
   
Statement of
   
Statement of
 
 Description
 
Liabilities
   
Financial Condition
   
Financial Condition
   
Liabilities
   
Financial Condition
   
Financial Condition
 
                                     
 Futures and forward contracts
 
$
143,269
   
$
(140,396
)
 
$
2,873
   
$
182,528
   
$
(182,528
)
 
$
-
 
 Options written on futures contracts
   
21,900
     
-
     
21,900
     
8,059
     
-
     
8,059
 
                                                 
   
$
165,169
   
$
(140,396
)
 
$
24,773
   
$
190,587
   
$
(182,528
)
 
$
8,059
 
 
 
   
Derivative Liabilities and Collateral Pledged by Counterparty
 
                                   
   
As of September 30, 2016
 
As of December 31, 2015
 
    Net Amount of   Gross Amounts Not      
Net Amount of
  Gross Amounts Not      
   
Liabilities in
 
Offset in the Statement
of Financial Condition
     
Liabilities in
 
 Offset in the Statement
of Financial Condition
     
Individual Trading Companies  
the Statement
      the Statement      
(with derivative liabilities and
 
of Financial
 
Financial
 
Cash Deposits
 
Net
 
of Financial
 
Financial
 
Cash Deposits
 
Net
 
collateral held by RJO)
 
Condition
 
Instruments
 
Held by Broker
 
Amount
 
Condition
 
Instruments
 
Held by Broker
 
Amount
 
                                   
 OASIS RCM, LLC
 
$
2,679
   
$
(2,679
)
 
$
-
   
$
-
   
$
-
   
$
-
   
$
-
   
$
-
 
 OASIS ROW, LLC
   
21,900
     
(21,900
)
   
-
     
-
     
8,059
     
(8,059
)
   
-
     
-
 
 OASIS TWC, LLC
   
194
     
(194
)
   
-
     
-
     
-
     
-
     
-
     
-
 
                                                                 
   
$
24,773
   
$
(24,773
)
 
$
-
   
$
-
   
$
8,059
   
$
(8,059
)
 
$
-
   
$
-
 


 
(12) Subsequent Events
 
As of October 1, 2016, the Trust partially redeemed out of the “OASIS ROW Asset Mgmt Series” (managed by ROW) and the “OASIS Turning Wheel Capital Series” (managed by TWC ) and after month-end reallocations subscribed to invest into the “OASIS Revolution Capital Mgmt Series” (managed by RCM); “OASIS PGR Capital Series” (managed by PGR); “OASIS Claughton Capital Series” (managed by Claughton) and into the “OASIS Degraves Capital Mgmt PTY Series” (managed by DCM), and subscribed to allocate additional funds from the cash investment account at Wells that is managed by RJOIM.   The amounts redeemed out of the OASIS ROW Asset Mgmt Series and OASIS Turning Wheel Capital Series was $30,365 and $416, respectively; and the amount allocated to OASIS Revolution Capital Mgmt Series, OASIS PGR Capital Series , OASIS Claughton Capital Series and OASIS Degraves Capital Mgmt PTY Series was $40,360, $195,341, $112,290 and $2,830, respectively; and the amount allocated from Wells was $320,039  after month-end reallocation.
 
As of November 1, 2016, the Trust partially redeemed out of the “OASIS ROW Asset Mgmt Series” (managed by ROW); “OASIS Turning Wheel Capital Series” (managed by TWC ) and out of the “OASIS Claughton Capital Series” (managed by Claughton) and after month-end reallocations subscribed to invest into the “OASIS Revolution Capital Mgmt Series” (managed by RCM); and into the “OASIS PGR Capital Series” (managed by PGR) and into the “OASIS Degraves Capital Mgmt PTY Series” (managed by DCM), and subscribed to allocate the excess funds to the cash investment account at Wells to be managed by RJOIM.   The amounts redeemed out of the OASIS ROW Asset Mgmt Series, OASIS Turning Wheel Capital Series and OASIS Claughton Capital Series was $69,081, $163,307 and $24,296, respectively; and the amount allocated to OASIS Revolution Capital Mgmt Series, OASIS PGR Capital Series  and OASIS Degraves Capital Mgmt PTY Series was $9,720, $168,006 and $44,170, respectively; and the amount allocated to Wells was $34,788 after month-end reallocation.

As of November 3, 2016, the Trust partially redeemed out of the “OASIS Revolution Capital Mgmt Series” (managed by RCM)  and fully redeemed out of the “OASIS Turning Wheel Capital Mgmt Series” (managed by TWC) and subscribed to allocate the excess funds to the cash investment account at Wells to be managed by RJOIM.  The amounts redeemed out of the OASIS Revolution Capital Mgmt Series and out of the OASIS Turning Wheel Capital Series was $266,667, and $109,421, respectively, and the amount allocated to Wells was $376,088.
 
As of November 4, 2016, the Trust fully redeemed out of the “OASIS PGR Capital Series” (managed by PGR) and fully redeemed out of the “OASIS Claughton Capital Series” (managed by Claughton) and subscribed to allocate the excess funds to the cash investment account at Wells to be managed by RJOIM.  The amounts redeemed out of the OASIS PGR Capital Series and out of the OASIS Claughton Capital Series was $1,338,011, and $299,126, respectively, and the amount allocated to Wells was $1,637,137.
 
The current NAV as of close of business November 11, 2016 for Class A and Class B units are $50.68 and $59.34, respectively.


Item 2.  Management’s Discussion and Analysis of Financial Condition and Results of Operations
 
(a)         Introduction

The 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 U.S. and international futures, spot and forward contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, as well as securities and any rights pertaining thereto and any options thereon, pursuant to the trading instructions of multiple independent commodity trading advisors (each a “Trading Advisor” and collectively, the “Trading Advisors”).
 
R.J. O’Brien Fund Management, LLC, the managing owner of the Trust (“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 has been registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator, and has been a member in good standing of the National Futures Association (“NFA”) in such capacity, since December 1, 2006.  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”) through its investment in RJ OASIS (as defined below).

Units of beneficial ownership of the Trust (“units”) 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.  Effective January 15, 2014, the Managing Owner began offering Class C and Class D units.  The Class A and Class B units are no longer offered.

Pursuant to an Investment Management Agreement dated August 30, 2013 (the “Investment Management Agreement”), the Managing Owner appointed RPM Risk & Portfolio Management Aktiebolag, a limited liability company organized under the laws of Sweden, as investment manager to the Trust (“RPM” or the “Investment Manager”).  RPM has been registered with the CFTC as a commodity trading advisor (CTA), and has been a member in good standing of the NFA in such capacity, since August 27, 2015.  Prior to August 27, 2015, RPM was exempt from registration as a CTA pursuant CFTC Rule 4.14(a)(10) as (i) during the course of any 12-month periods, it had not furnished commodity trading advice to more than 15 persons; and (ii) it did not hold itself out generally to the public as a CTA.  The Trust remains a multi-advisor commodity pool where trading decisions for the Trust are delegated to the Trading Advisors, representing the Investment Manager’s “Evolving Manager Program”.  RPM is responsible for selecting, monitoring, and replacing each commodity trading advisor available for its Evolving Manager Program.  RPM is also responsible for the Trust’s allocations to each Trading Advisor through the Trust’s investment in RJ OASIS (as defined below).  RPM may also add, remove or replace any Trading 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 Evolving Manager Program seeks to identify and select commodity trading advisors with shorter track records and with smaller assets under management who, in the opinion of the Investment Manager, appear to have potential for long-term over-performance relative to their respective peer group.  RPM may add, delete or modify such categories of investment strategies in line with its investment objective and policy.  The strategies include three broad based categories that are described as follows (each, an “Eligible Strategy”):
 
·
Trend Following. A strategy that is often classified as “long volatility” because it tries to take advantage of large movements or “trends” in prices.  Trading programs are often fully systematic with limited application of discretion using a wide range of technical analysis methods to determine when trends occur.
 
·
Short-Term Trading. A strategy that refers to all futures and currency investment strategies with a trading horizon ranging from intraday to less than a month, which seeks to exploit short-term price inefficiencies.  This is typically done using technical analysis.
 
·
Fundamental Trading. A strategy that attempts to predict the future direction of markets based on macroeconomic data with less focus on price data alone.  A fundamental approach seeks to find opportunities where price does not properly reflect the fundamental valuation of the underlying asset, i.e. its intrinsic value.  A fundamental valuation can be done using various approaches but the most common methodologies are macroeconomic analysis and relative valuation.


The Investment Manager will, in its discretion, determine the minimum or maximum target allocation or allocation range, or the manner in which to rebalance the Trust or adjust relative weightings of the Trust.  RPM has complete flexibility in allocation and reallocating the Trust’s capital in any manner that it may deem appropriate.  There can be no assurance as to which factors the Investment Manager may consider in making capital allocations for the Trust, or as to which allocation the Investment Manager may make.

The Trust’s assets are currently allocated to O’Brien Alternative Strategic Investment Solutions, LLC (“RJ OASIS”), a Delaware series limited liability company operated by RJOFM.  Each “series” of RJ OASIS feeds into a separate trading company established to facilitate trading by a particular Trading Advisor (each, a “Trading Company” and collectively, the “Trading Companies”).  The Trading Companies are operated by RJOFM.  RJOFM is the managing member of each RJ OASIS series and each Trading Company.  RJOFM has no equity interest in any RJ OASIS series or Trading Company.

The Trust is governed by the Tenth Amended and Restated Declaration and Agreement of Trust dated January 31, 2015 (the “Trust Agreement”).

As of September 30, 2016, prior to quarter-end reallocation, RPM has delegated trading decisions for the Trust to six independent Trading Advisors:  Revolution Capital Management, LLC (“RCM”), PGR Capital LLP (“PGR”), ROW Asset Management, LLC (“ROW”), Turning Wheel Capital, Inc. (“TWC”), Claughton Capital, LLC (“Claughton”) and Degraves Capital Management PTY (“DCM”),  pursuant to advisory agreements executed between RJOFM (in its role as managing member of each RJ OASIS series and each Trading Company), and, as applicable, each Trading Company and each Trading Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”).

The Advisory Agreements provide that each Trading Advisor has discretion in and responsibility for the selection of the Trading Company’s commodity transactions with respect to that portion of the series’ assets allocated to it.  As of September 30, 2016, prior to quarter-end reallocation, RCM was managing 17.82%, PGR 22.27%, ROW 13.31%, TWC 4.92%, Claughton 3.26% and DCM 6.05% of the Trust’s assets, respectively.  Approximately 32.37% of the Trust’s assets were not allocated to any Trading Advisor.

In 2005, certain assets held by the Trust’s prior clearing broker, Refco Capital Markets, LTD (“REFCO, LTD”), were determined to be illiquid.  On October 31, 2005, $57,544,206 of equity was moved to a separate non-trading account (the “Non-Trading Account”) and 2,273,288 in substitute units were issued to the unitholders at that time, pro rata to their share in the Trust.  At December 31, 2005, the illiquid assets were determined to be impaired and were reduced by $39,580,944 for impairment, based on management’s estimate at that time.
 
Through 2006, the Trust received $10,319,318 from the prior clearing broker in bankruptcy court and distributed $9,335,669 to unitholders in the manner as described in (a) and (b) below. 

Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a limited liability company, was established to pursue additional claims against REFCO, LTD, and all Non-Trading Accounts were transferred to the LLC.  Any new funds received from REFCO, LTD by the LLC were distributed to unitholders who were investors in the Trust at the time of the bankruptcy of REFCO, LTD and Refco, Inc.  U.S. Bank National Association (“US Bank”) was appointed as manager of the LLC.  US Bank made 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 explained above, as follows:
 
(a) Any unitholder who had redeemed their entire interest in the Trust prior to distribution received cash (“Non-Participating Owners”).
 
(b) Any unitholder who had continued to own units in the Trust received additional units in the Trust at the then net asset value of the Trust (“Participating Owner”).
 
The unitholders had no rights to request redemptions from the LLC.
 
The LLC compensated US Bank, as manager, 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 (initially $350 per hour).

Effective as of June 15, 2015 (the “Termination Date”), the LLC was dissolved by US Bank.  US Bank effected the dissolution based upon their belief that substantially all of the LLC’s claims had been liquidated and the related proceeds had been distributed to the unitholders, and that the LLC was not likely to receive further significant recoveries related to such claims.  Accordingly, the LLC has ceased to carry on its business as of the Termination Date except insofar as may be necessary for the winding up of its business.  As of the Termination Date, the LLC has taken full account of its assets and liabilities, and has made payment or has otherwise provided for all of its remaining debts and liabilities.  US Bank has established a contingency reserve with all remaining funds from the LLC in its possession in the approximate amount of $475,000 to pay for any future wind up expenses of, or other claims made against, the LLC on or prior to June 15, 2017 (the “Reserve Termination Date”).  To the extent no claims or obligations of the LLC remain outstanding as of the Reserve Termination Date (as determined in US Bank’s reasonable discretion), US Bank will distribute the then remaining funds to the unitholders, provided, however, if the amount of remaining funds available for distribution does not significantly exceed the cost of making such distribution, US Bank reserves the right to donate the remaining amounts to a nationally recognized charity.

Accordingly, the LLC/Non-trading unitholders capital accounts were distributed to US Bank on the Termination Date.  Amounts estimated to be due to Participating Owners aggregating $17,890 and $20,248 as of September 30, 2016 and December 31, 2015, respectively, are reflected as a distribution payable and a receivable from US Bank in the Consolidated Statements of Financial Condition.
   
(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, 2016, no Class A, no Class B and no Class C, units were purchased by the Beneficial Owners and, no Class A units were converted to Class B units.  The Managing Owner did not purchase any units during this time.  For the nine month period ended September 30, 2016, the Beneficial Owners redeemed a total of 13,828 units for $826,804.  For the nine month period ending September 30, 2016, the Beneficial Owners redeemed a total of 13,712 Class A units for $816,762 and 116 Class B units for $8,042.  No Beneficial Owners Class C units were redeemed during this period.  The Managing Owner did not redeem any units during the nine month period ended September 30, 2016.
 
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 Trading Advisors monitor their respective Trading Company’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 Trading Company’s futures and forward contracts and re-allocating Trading Company’s assets to different market sectors.  As of September 30, 2016, the market sectors where the Trust maintained an investment having the highest exposure were: Agricultural having a net long value of $109,572, Currencies having a net long value of $26,410, Indices having a net long value of $20,042, Interest Rates having a net long value of $14,296, Energy having a net long of $4,587and Metals having a net short value of $12,475.  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.
 
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 Trading 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 dollar deposits.  These borrowings are at a prevailing short-term rate in the relevant currency and have been immaterial to the Trust’s operation to date and are expected to continue to be so.

During the nine month period ended September 30, 2016, the Trust had no credit exposure to a counterparty which is a foreign commodities exchange which was material.
 
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 Trading 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 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.  For the three and nine month periods ended September 30, 2016 and 2015, RJO had paid or accrued to pay interest to the Trust of $1,939, $6,175, $166 and $621, respectively.  
 
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.  As of September 30, 2016, Wells held approximately $1,797,000 of the Trust’s assets.  For the three and nine month periods ended September 30, 2016 and 2015, the assets held in this account earned $1,449, $5,132, $549 and $951 of interest income, respectively.

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.
 
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, and there are no material unused sources of liquid assets.
 
(d)         Results of Operations

The Trust’s success depends on the Trading 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.

The summaries set forth below outline certain performance factors which may have affected the performance of the Trading Advisors for the periods presented.  During this time, the Trust’s assets were allocated to different combinations of Trading Advisors over time.  As of September 30, 2016, trading decisions for the Trust have been delegated to six independent Trading Advisors:  RCM, PGR, ROW, TWC, Claughton and DCM.

The performance summaries are an outline description of how the Trust performed in the past, and 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, 2016

The Trust posted a loss of $(321,737) or $(3.25) per trading unit for Class A units and a loss of $(2,895) or $(3.45) for Class B units.  There were no Class C units held during the quarter ended September 30, 2016 (please see Note (2) and Note (9) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of September 30, 2016, Class A units have lost 30.71% since their first issuance in June 1997.  Class B units have lost 44.55% since their first issuance in January 2009. 

As of September 30, 2016, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (17.82%), PGR (22.27%), ROW (13.31%), TWC (4.92%), Claughton (3.26%), and DCM (6.05%), with the remaining percentage allocated to cash. 

After June’s Brexit-shock, July 2016 was a lot quieter with the VIX reaching new lows for the year.  During the first half of the month, Brexit worries continued to put pressure on the British pound and UK stocks.  In fixed income, government bond yields in several countries touched new record lows.  In equities, however, global stocks rebounded forcefully, eventually reaching new record high levels, bolstered by expectations of continued central bank accommodation, strong U.S. jobs data, and a more confident view of the global economy in general.  By mid-month, the risk-on mood had spread to basically all financial markets pushing government bond yields up from record lows. In currencies, the U.S. dollar appreciated significantly in expectation of another rate hike by the Fed later this year; especially against the Japanese yen due to prospects of further policy easing in Japan.  Towards month-end, however, risk appetite was undermined again by sliding oil prices due to bearish U.S. inventory data and disappointing second quarter U.S. GDP growth.  Bond yields and the U.S. dollar fell back again, whereas equities remained largely unaffected.

In August 2016, markets had to deal with confusing and partly conflicting signals.  In the beginning of the month, the rally in equity markets continued as the Bank of England substantially beat expectations regarding further monetary stimulus whereas the Bank of Japan disappointed.  In the second half of the month, equities struggled to keep their upward momentum.  U.S. statistics came in mixed, with stagnating retail sales and tame inflation on the one hand and a continued strong labor market on the other.  Additionally, there were confusing signals from the Federal Reserve where the minutes revealed that the Federal Open Market Committee (“FOMC”) is split over the timing of the next rate hike.  Apparently, market participants perceived the Fed’s tone as more hawkish as bonds sold off and the U.S. dollar strengthened noticeably towards month-end.  In commodity markets the situation was more straightforward.  In energies, prices reversed forcefully and oil rallied throughout the month on hopes that major producers would somehow agree on an output freeze. In soft commodities, prices in soybeans, corn, and other grains rallied as adverse weather in Argentina and Brazil continues to affect the countries’ harvests.

In September 2016, central bank (non-)activity continued to unnerve markets.  First, bonds retreated and stocks softened as the European Central Bank’s (“ECB”) once again disappointed market participants by making no change to its monetary policy, i.e. not expanding its QE efforts.  Disappointing U.S. data added to uncertainty.  However, in commodities, crude soared on news that U.S. oil inventories had fallen more than expected.  In the second week, the VIX jumped to 19% and equity markets sold off as optimism about the Fed policy outlook evaporated and energy stocks were hit by steep falls for oil prices.  Crude was down sharply after warnings from the International Energy Agency that the global oil glut would last well into 2017.  Then, both the Bank of Japan and the Federal Reserve delivered their respective policy announcements with the Fed leaving its policy unchanged while the Bank of Japan made some unexpected changes to its quantitative and qualitative easing (QQE) programs.  Equities and bonds rallied as the U.S. dollar tumbled against most of its major counterparts.  Finally, in the last week of September, events happened in quick succession.  First, crude oil made strong gains after Organization of Petroleum Exporting Countries (“OPEC”) surprisingly unveiled a tentative agreement to cut production for first time in eight years.  However, the general OPEC-driven jump in risk appetite faded quickly as concerns over the health of Deutsche Bank drove equities lower again triggering rallies for bonds, the Japanese yen, and gold.

Fiscal Quarter ended September 30, 2015
The Trust posted a loss of $(263,785) or $(2.18) per trading unit for Class A units and a loss of $(2,112) or $(2.15) for Class B units.  There were no Class C units held during the quarter ended September 30, 2015 (please see Note (2) and Note (9) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of September 30, 2015, Class A units have lost 29.96% since their first issuance in June 1997.  Class B units have lost 5.05% since their first issuance in January 2009.
As of September 30, 2015, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (16.43%), PGR (18.35%), CIM (22.56%), ROW (14.62%), TWC (4.04%) and Claughton (3.52%), with the remaining percentage allocated to cash.

In July 2015, directionless volatility remained high in global equity and fixed income markets where indices and yields fluctuated in response to developments in China and Greece.  In the first half of the month, indices dropped and yields jumped in response to tumbling Chinese equity markets and another acceleration in the Greek bailout drama as voters there favored not to accept creditors’ bailout terms.  By mid-month, however, these trends reversed due to a rebound in Chinese equities and the Greek parliament agreeing to its creditors’ bailout plan after all.  Elsewhere, moves were more sustainable.  In currencies, the U.S. dollar renewed its rally seen in the first quarter of the year following upbeat comments by the Federal Reserve as economic data reinforced expectations of at least one rate hike later this year.  In commodities, market direction was also quite clear, i.e. the stronger dollar, higher U.S. interest rate expectations, concerns over weaker Chinese growth, and rising supply sent prices in oil, grains, copper, and especially gold downward.

The main event in August was the People’s Bank of China devaluating its currency, which sent shockwaves through the financial system.  The devaluation was the renminbi’s biggest drop in decades raising fears about the condition of the world’s second largest economy and, thus, about global growth itself.  The move dominated market action as the VIX (markets’ “fear gauge”) reached levels not seen since the European debt crisis in 2011.  Equities tumbled, along with emerging market currencies and commodities, as nervous market participants moved into government bonds and gold.  However, in the last few days of the month, markets rebounded forcefully creating the second coordinated market sell-off (rather “buy-in”) for the year on August 27.  Equities bounced back, bond yields jumped, and the VIX dropped to long-term average levels as expectations for the Federal Reserve’s first rate hike were pushed back by officials’ dovish comments.  Global growth fears also seemed exaggerated after a hefty upward revision of U.S. 2015Q2 GDP growth to an annual rate of 3.7% (from 2.3%).  The reversal in crude oil was particularly brutal with oil prices rocketing more than 25% in three successive trading sessions amid vague hints of a change in OPEC’s supply policy.

In September, market sentiment stayed largely gloomy amid global growth concerns.  Although volatility indices retreated a bit towards more long-term average levels, the market environment remained volatile and difficult to trade.  For example, in the beginning of the month, following weak manufacturing figures out of China and the U.S., the strong rally in oil prices seen at the end of the previous month reversed sharply.  Following the reversal of the reversal, oil prices then continued lower throughout the month.   Equities started the month on a positive note, with bond yields rising as well, following strong U.S. employment figures.  However, by mid-month, stock markets and bond yields sounded the retreat as the cautious tone of the FOMC latest policy statement seriously undermined confidence among market participants.  Towards month-end, the fallout from the VW emission scandal provided another knock to sentiment, as car making stocks on both sides of the Atlantic suffered further steep falls.  In currencies, the U.S. dollar appreciated towards month-end, reversing its previous course once again, following an upward revision to U.S. 2015Q2 GDP growth and Federal Reserve boss Janet Yellen indicating that an interest rate rise later this year was still in the cards.

Fiscal Quarter ended June 30, 2016

The Trust posted a loss of $(175,225) or $(1.59) per trading unit for Class A units and a loss of $(1,481) or $(1.49) for Class B units.  There were no Class C units held during the quarter ended June 30, 2016 (please see Note (2) and Note (9) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of June 30, 2016, Class A units have lost 26.74% since their first issuance in June 1997.  Class B units have lost 41.66% since their first issuance in January 2009. 


As of June 30, 2016, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (18.08%), PGR (25.35%), ROW (12.40%), TWC (4.68%), Claughton (6.33%), and DCM (5.52%), with the remaining percentage allocated to cash. 

In April 2016, market sentiment got caught up between recovering oil prices, on one hand, and disappointing earnings and central banks’ inertia on the other.  The main theme was the resilient rally in energies.  Throughout the month, oil prices continued to rise, although with significant day-to-day volatility; Brent crude breaching U.S. $45 per barrel.  Elsewhere, market direction was less clear.  In equities, at the beginning of the month, stocks remained under pressure amid concerns about global growth and dovish minutes for the Fed.  Then, equity markets rebounded forcefully boosted by the jump in oil prices, subsequently climbing to fresh 2016 highs.  Towards month end, however, stocks slipped again as a lackluster earnings season and disappointing economic growth dampened investor sentiment.  In fixed income, government bond yields pretty much followed equity markets and the overall changes in risk appetite.  In currencies, the U.S. dollar remained under pressure and the Japanese yen surged as the Fed expectedly left rates unchanged, while the Bank of Japan unexpectedly made no change to its monetary policy, dashing traders’ hopes of further stimulus measures.

In May 2016, major financial markets, such as equities and bonds, were struggling to find direction.  The month started off with a risk-off move.  Equity indices retreated and bonds moved higher as weak economic data, such as disappointing earnings from European banks, soft Chinese data, BREXIT talks, a resurgence of Greek woes, and lower-than-expected U.S. non-farm payrolls, reinforced risk aversion.  In the second half of the month, the Fed’s interest rate policy once again took center stage.  Markets had all but dismissed the prospect of a rate hike in June or July, but the hawkish tone in the FOMC minutes have now significantly increased the chances of a summer rate rise.  Accordingly, U.S. Treasury yields jumped and the U.S. dollar rallied while stocks turned volatile.  Towards month-end, stronger-than-expected data like the upward revision to the 2016 first quarter U.S. GDP amplified these moves.  In commodities, gold and other precious metals sold off.  Otherwise, oil closed in on the $50 per barrel level for the first time this year as bulls took encouragement from recent unexpected supply disruptions such as production outages in Nigeria and political tensions in Venezuela.  The strength recently seen in soybean prices continued amid worries over the rain-ravaged crop in Argentina, the third biggest exporter of the oilseed, and the top shipper of the processing products soymeal and soy oil.  Elsewhere, cocoa rebounded after the International Cocoa Organization cut its forecast for world output.

In June 2016, the BREXIT vote sent shockwaves through the financial system and the month was quite volatile.  Initially an abysmal U.S. jobs report followed by dovish comments from the Federal Reserve, which left interest rates unchanged, set the tone for an overall bearish market environment.  That is, the U.S. dollar and the British pound dropped, especially against the Japanese yen, and global equity and commodity prices came under pressure.  Gold prices jumped and a wave of risk aversion drove core government bond yields in Europe and Japan to fresh record lows, with the 10-year Bund yield entering negative territory for the first time.  Then, for a short while, risk appetite returned with a vengeance as opinion polls in the UK showed that momentum for the BREXIT “Leave Campaign” had stalled.  Nearly all of the abovementioned trends reversed, in whole or in part.  On June 24th 2016, the UK voted by a small 4% majority to leave the European Union.  The result sent shockwaves through the financial system.  Equities and sterling plunged, bonds and precious metals rallied, and the VIX spiked.  Towards month-end, markets had stabilized somewhat with equity markets recouping some of the previous losses.

Fiscal Quarter ended June 30, 2015

The Trust posted a loss of $(1,136,424) or $(8.85) per trading unit for Class A units and a loss of $(9,456) or $(9.70) for Class B units.  There were no Class C units held during the quarter ended June 30, 2015 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of June 30, 2015, Class A units have lost 27.29% since their first issuance in June 1997.  Class B units have lost 43.25% since their first issuance in January 2009. 

As of June 30, 2015, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (18.12%), PGR (12.94%), CIM (20.71%), ROW (18.17%), TWC (4.24%) and Claughton (2.80%), with the remaining percentage allocated to cash. 


In April, the rally in the U.S. dollar, which had started in 2nd half of 2015, halted and reversed course as expectations of tighter policy by the Federal Reserve had faded amid a series of weaker-than-expected statistics casting doubt over the apparent strength of the U.S. economy.  Even though, the Fed said current U.S. economic weakness reflected only “transitory factors” the first rate hike now seems to be postponed until after the summer.  The reversal in the dollar was mirrored by the action in fixed income markets, where bond yields jumped towards month-end on signs of progress in Greek debt negotiations and as German consumer prices held above zero for a second successive month igniting premature talk of tapering the ECB’s monthly bond purchases.  Most equity markets were up on the month but provided a volatile trading environment as market participants digested increasing and fading Greek debt default worries, new stock market regulations in China, recent U.S. activity data weakness and the Fed’s changing attitude coupled with anxiety about upcoming earnings reports.  In commodity markets, crude oil prices posted the strongest monthly gain since 2009 as US production showed signs of slowing and as traders worried over potential supply disruptions in the Middle East. 

May was characterized by choppy market conditions as trendiness grinded to a halt.  The sell-off, which had started in April, continued well into the first half of May before partially reversing course during the second half.  In currencies, the U.S. dollar strengthened again – especially against the Euro – as the ECB signaled a higher pace of its upcoming bond-purchasing program and despite the last FOMC minutes making a June rate hike rather unlikely.  The apparent postponement of the Federal Reserve’s first rate hike until after the summer provided a stimulus for global equities although the Fed’s announced “data dependency” of its monetary policy going forward, mixed messages on the state of the ongoing Greek debt negotiations, and Chinese “bubble” fears significantly added to uncertainty.  In fixed income, after last month’s major sell-off, bond prices remained unsteady and did not return to their long-term bullish trend as forecast-beating inflation figures were balanced by weaker-than-expected economic data.  In commodities, the resurgent dollar helped drive prices down, especially in precious metals, whereas crude remained unchanged on a month-to-month basis despite a volatile trading session.  

In June, market volatility stayed elevated.  In early June, the sell-off in bonds continued as a robust U.S. jobs report reassured market participants that the Federal Reserve would start raising rates later this year.  In currencies, however, renewed U.S. dollar strength was short-lived.  The greenback retreated against most of its major counterparts following a more dovish FOMC statement at mid-month.  In equities, the Fed and Greece vied for investors’ attention, which created a see-saw market environment.  However, at the end of June, Athens’ call for a public referendum on the terms of its creditors’ final bailout offer pulled the rug from under global stock markets as the country is now edging ever closer to exiting the Eurozone in an unorderly fashion.  In commodities, corn and soybean markets surged towards month-end after a pair of government reports suggested a tighter supply situation going forward. 

Fiscal Quarter ended March 31, 2016

The Trust posted a gain of $381,127 or $3.43 per trading unit for Class A units and a gain of $4,107 or $4.30 for Class B units.  There were no Class C units held during the quarter ended March 31, 2016 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of March 31, 2016, Class A units have lost 24.80% since their first issuance in June 1997.  Class B units have lost 40.42% since their first issuance in January 2009.

As of March 31, 2016, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (19.66%), PGR (17.91%), ROW (18.16%), TWC (4.66%), Claughton (5.31%) and DCM (4.71%), with the remaining percentage allocated to cash.

In January, market action was almost solely driven by deteriorating investor sentiment fueled by the oil glut and concerns about China’s slowing economy.  After the first historic Fed rate hike in seven years, the U.S. dollar remained historically strong in anticipation of further rate increases.  The U.S. dollar strength has put pressure on dollar-linked currencies such as the Chinese renminbi and the Hong Kong dollar.  The dollar-pegged currencies of the Gulf States have also been under pressure as the oil glut has been eroding their petrodollar income.  Free-floating currencies of other commodity producing emerging countries like Brazil, South Africa, and Russia have been in free fall.  Equities and developed fixed income yields have fallen in tandem with crude oil.  Bearish equity and commodity markets only found some solid ground at the end of the month.  The reversal was induced by central banks’ comments starting with the speech of the ECB’s Mario Draghi expressing that ECB has further tools to push inflation up close to target.  ECB’s effort to calm the markets was further supported by its U.S. counterpart’s comment indicating a rate hike at the March FOMC meeting as less likely.  At the end of the month, oil bulls could take a breather as oil prices rebounded some 25% from a 14-year low on speculation that Russia may cooperate in production cuts with OPEC.  However, this speculation was later downplayed by comments from the Saudis.


In February, equities continued to trade in concert with oil prices.  During the first half of the month, market sentiment turned bearish once again amid lingering concerns about global growth, corporate earnings, and stubbornly low inflation.  Equities retreated across the board in tandem with sliding oil prices; the U.S. dollar dropped against all of its major counterparts; gold jumped; the VIX spiked and bonds rallied.  In the second half of the month, stock markets rebounded forcefully as oil prices rallied on news that Saudi Arabia, Russia, and two other producers would agree to a production “freeze”.  Elsewhere in commodities, the rally in gold was halted; in currencies, the U.S. dollar trimmed its losses as Sterling attracted much of the attention with the Brexit exit worries keeping the pound under pressure; in fixed income, however, yields continued lower, especially in Europe and Japan, as inflation figures failed to lift off, fueling expectations for more quantitative easing (“QE”) in the near future.

In March, overall bullishness gained additional strength helped by a combination of much-stronger-than-expected U.S. data, in particular a sturdy U.S. Jobs Report, paired with surprisingly dovish comments by the Fed, further monetary stimuli by other central banks, namely the ECB, and ongoing talks between Saudi Arabia and Russia about limiting oil production.  Equities and commodities rallied throughout the month.  For example, commodities, in mid-March, crude oil breached U.S. $40 per barrel as hopes for an output freeze by major producers drove prices higher.  In currencies, the U.S. dollar depreciated against most other currencies, major and emerging, after particularly cautious comments made by Fed officials.  In fixed income, initially, yields jumped as optimism about the global economy returned before dropping back again mid-month after the ECB had unleashed a bigger-than-expected stimulus package expanding its QE and cutting interest rates further.

Fiscal Quarter ended March 31, 2015

The Trust posted a gain of $117,185 or $0.84 per trading unit for Class A units, a gain of $1,358 or $1.34 for Class B units, and a gain of $20,020 or $3.05 per trading unit for Class C units for the quarter ended March 31, 2015 (please see Note (2) and Note (8) in the notes to financial statements for more information with respect to the calculation of net asset value).  As of March 31, 2015, Class A units have lost 16.47% since their first issuance in June 1997.  Class B units have lost 35.14% since their first issuance in January 2009.

As of March 31, 2015, the Trust’s assets were indirectly allocated to the following Trading Advisors as follows:   RCM (15.14%), PGR (23.47%), CIM (36.00%) and ROW (21.21%), with the remaining percentage allocated to cash.

Market action in January 2015 was dominated by central bank activity.  On January 15th, the Swiss National Bank’s surprising decision to remove its currency peg against the Euro sent shock waves through global markets, with at least two big retail FX brokerages going bust overnight.  A week later, in a dramatic change of policy, the ECB finally announced its own long-awaited quantitative easing program, which turned out to be much bigger-than-expected, further hurting the Euro but providing support for equity markets.  Yet another week later, this was followed by rather dovish FOMC statements indicating patience on raising rates amid weaker economic conditions in the U.S., which partly reversed the previous moves in stocks and FX.  The Greek leftist party, Syriza, winning the election in Greece further added to overall uncertainty towards month-end.  Thus, whereas the currency and, in particular, equity markets provided managers with choppy trading conditions, global bond markets continued to rally amid the gloomy mood providing managers with profitable trading conditions.  In commodity markets, with no production cuts insight and weaker global demand in general, oil continued on its downward path dropping below U.S. $50 per barrel.

February started out quite dramatic as February 3rd was the first “coordinated market sell-off” this year with longer term trends reversing forcefully across many different markets.  In commodities, oil prices soared on producers’ spending cuts announcements reversing the bearish trend which had been running since July 2014.  Easing tensions over Greece and Ukraine, as well as further central bank policy accommodation, boosted stocks but lead to sharp falls in government bond prices.  In currencies, the bullish trend in the U.S. dollar reversed as well, but, given the relative hawkishness of the Fed, the single currency soon stabilized trading in a tight range against other majors for the rest of the month.  Whereas the sell-offs in energy and fixed income markets weighed on performance, the rebound in equities provided well-needed balancing profits.  Throughout the month, equity markets rose notably on the back of easing geopolitical tensions and because overall economic momentum remained largely intact.  While energy markets stayed choppy, European bond yields hit record lows towards month-end ahead of the imminent start of the ECB’s QE program, thus partially reducing losses seen in the first half of the month.

In March, hawkish expectations of the FOMC meeting were in the spotlight in the first half of the month.  Eventually, the Fed dropped the word ‘patience’ from the FOMC statement but indicated that they would not be impatient raising interest rates.  As the projected fund rate for the year-end, and for the next year, came in much lower than what had been projected by the Fed previously, it sent the dollar lower after reaching 12-year high against its major pairs.  In commodities, oil prices had first plunged to multi-year low then reversed back sharply on U.S. dollar weakness and tensions in Yemen.  At month-end when the U.S. dollar was on the rise again, energy commodities were sliding towards previous lows.  Equities were mixed in March, in the U.S., macro data trailed expectations pushing stocks lower, whereas ECB’s bond purchases along with improving economic environment boosted equities in Europe to new all-time highs.  Dovish stance from all major central banks around the world has kept long-term interest rates low and driven yields to new all-time lows in major euro economies.

(e)         Off-Balance Sheet Arrangements

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.
 
(f)         Tabular Disclosure of Contractual Obligations
 
The business of the Trust is the speculative trading of commodity interests, including U.S. and international futures, spot and forward contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, hybrid instruments, swaps, any rights pertaining thereto and any options thereon or on physical commodities, as well as securities and any rights pertaining thereto and any options thereon, pursuant to the trading instructions of the Trading Advisors.  The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term.  That is, they are held for less than one year.  Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.
 
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, 2015.

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 interim report was filed, 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 Exchange Act) as of September 30, 2016.  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 September 30, 2016.
 
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, 2016 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 only provide reasonable (but 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
 
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, 2015.
 
Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds
 
 
a)   All units sold during the twelve-month periods ending September 30, 2016, 2015 and 2014, respectively,  were issued in reliance upon applicable exemptions from registration under Section 4(2) of the Securities Act of 1933, as amended, and Section 506 of Regulation D promulgated thereunder.
 
 
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 third quarter of 2016: 

   
Units Redeemed
   
Redemption Date NAV per Unit
 
Month
 
Class A
   
Class B
   
Class C
   
Class A
   
Class B
   
Class C
 
July
   
2,760
     
-
     
-
   
$
60.46
   
$
70.38
   
$
-
 
August
   
1,292
     
-
     
-
   
$
58.35
   
$
68.04
   
$
-
 
September
   
1,044
     
-
     
-
   
$
56.68
   
$