RJO Global Trust 10-Q 2009 Q1 Quarterly report

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2009

OR

o TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

For the transition period from ______________ to ______________              

Commission File Number:  000-22887

RJO GLOBAL TRUST

(Exact name of registrant as specified in its charter)

Delaware	36-4113382
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o R.J. O’Brien Fund Management, LLC

222 South Riverside Plaza

Suite 900

Chicago, IL  60606

(Address of principal executive offices) (Zip Code)

(312) 373-5000

(Registrant's telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

x Yes         ¨ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

¨ 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 definition 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    x (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).

o Yes         x No

TABLE OF CONTENTS

PART I. FINANCIAL INFORMATION
Item 1. Financial Statements	3
Consolidated Statements of Financial Condition, as of March 31, 2009 (unaudited) and December 31, 2008	3
Condensed Consolidated Schedule of Investments, as of March 31, 2009 (unaudited)	4
Condensed Consolidated Schedule of Investments, as of December 31, 2008	5
Consolidated Statements of Operations, for the three months ended March 31, 2009 and 2008 (unaudited)	6
Consolidated Statement of Changes in Unitholders' Capital, for the three months ended March 31, 2009 unaudited)	7
Notes to Consolidated Financial Statements	8
Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations	15
Item 3. Quantitative and Qualitative Disclosures about Market Risk	20
Item 4T. Controls and Procedures	20
PART II. OTHER INFORMATION	20
Item 1. Legal Proceedings	20
Item 1A. Risk Factors	20
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds	20
Item 6. Exhibits	22
SIGNATURES	23

2

PART I – FINANCIAL INFORMATION

PART I. Financial Statements

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Financial Condition

	March 31,		December 31,
	2009		2008
	UNAUDITED
Assets
Assets:
Equity in commodity Trading accounts:
Cash on deposit with brokers	$	72,799,552	$	83,527,981
Unrealized gain on open contracts		296,131		1,106,722
Cash on deposit with bank		27,170		28,562
Cash on deposit with bank - Non-Trading		7,011,761		7,334,582
		80,134,614		91,997,847
Interest receivable		9,770		9,415
Total Assets	$	80,144,384	$	92,007,262
Liabilities and Unitholders' Capital
Liabilities:
Accrued commissions	$	210,095	$	242,450
Accrued management fees		107,059		119,365
Accrued incentive fees		13,164		1,134,235
Accrued offering expenses		64,503		1,108
Accrued operating expenses		199,202		315,568
Redemptions payable - Trading		1,219,640		2,815,236
Accrued legal fees - Non-Trading		165,436		6,149
Accrued management fees to U.S. Bank - Non-Trading		30,870		27,477
Distribution payable - Non-Trading		39,801		39,801
Total liabilities		2,049,770		4,701,389
Unitholders' capital:
Unitholders’ capital (Trading):
Beneficial owners
Class A (607,524 and 658,747 units outstanding at
March 31, 2009 and December 31, 2008, respectively)		69,012,764		78,645,263
Class B (8,569 and 0 units outstanding at
March 31, 2009 and December 31, 2008, respectively)		978,362		-
Managing owner (11,679 and 11,679 Class A units outstanding at
March 31, 2009 and December 31, 2008, respectively)		1,326,734		1,394,355
Unitholders' capital (LLC equity/Non-Trading):
Participating owners (574,903 and 611,108 units outstanding at
March 31, 2009 and December 31, 2008, respectively)		1,713,211		1,953,345
Nonparticipating owners (1,698,385 and 1,662,180 units outstanding at
March 31, 2009 and December 31, 2008, respectively)		5,063,543		5,312,910
Total unitholders' capital		78,094,614		87,305,873
Total Liabilities and Unitholders’ Capital	$	80,144,384	$	92,007,262
Net asset value per unit:
Trading:
Class A	$	113.60	$	119.39
Class B	$	114.16	$	-
LLC equity/Non-Trading	$	2.98	$	3.20
See accompanying notes to consolidated financial statements.

3

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

as of March 31, 2009

UNAUDITED

	Number of contracts		Principal (notional)		Value/open trade equity
Long positions (0.70%)
Futures Positions (0.70%)
Agriculture		152	$	3,737,425	$	245,210
Currency		97		18,345,225		156,542
Energy		58		3,049,640		(103,447	)
Indices		4		163,006		(6,794	)
Interest rates		247		62,223,791		208,052
Metals		116		6,668,213		47,875
Total long positions			$	94,187,300	$	547,438
Short positions (-0.32%)
Future positions (-0.32%)
Agriculture		250	$	6,285,989	$	(164,916	)
Currency		49		5,423,409		(28,681	)
Energy		47		1,894,965		47,861
Indices		28		1,286,300		(520	)
Interest rates		1		163,968		(1,369	)
Metals		80		3,610,932		(103,682	)
Total short positions			$	18,665,563	$	(251,307	)
Total unrealized gain on open contracts (0.38%)					$	296,131
Cash on deposit with brokers (93.22%)						72,799,552
Cash on deposit with bank (9.01%)						7,038,931
Other liabilites in excess of assets (-2.61%)						(2,040,000	)
Net assets (100.00%)					$	78,094,614
See accompanying notes to consolidated financial statements.

4

RJO GLOBAL TRUST AND SUBSIDIARY

Condensed Consolidated Schedule of Investments

as of December 31, 2008

	Number of		Principal		Value/open
	contracts		(notional)		trade equity
Long positions (1.23%)
Futures Positions (1.23%)
Agriculture		143	$	3,700,746	$	262,644
Currency		166		29,196,605		312,953
Energy		47		2,276,791		(15,025	)
Indices		2		96,575		(96,575	)
Interest rates		165		64,017,826		414,481
Metals		62		3,413,855		190,371
Total long positions			$	102,702,398	$	1,068,849
Short positions (0.04%)
Future positions (0.04%)
Agriculture		278	$	6,016,398	$	(27,872	)
Currency		25		2,547,180		(30,573	)
Energy		17		923,156		(9,051	)
Indices		40		1,340,663		80,642
Interest rates		5		2,443,007		(10,528	)
Metals		63		2,762,199		35,255
Total short positions			$	16,032,603	$	37,873
Total unrealized gain on open contracts (1.27%)					$	1,106,722
Cash on deposit with brokers (95.67%)						83,527,981
Cash on deposit with bank (8.43%)						7,363,144
Other liabilites in excess of assets (-5.37%)						(4,691,974	)
Net assets (100.00%)					$	87,305,873
See accompanying notes to consolidated financial statements.

5

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statements of Operations

UNAUDITED

	For the three months ended March 31,
	2009			2008
Trading gain (loss):
Gain (loss) on trading of commodity contracts:
Realized gain (loss) on closed positions	$	(1,322,728	)	$	14,976,936
Change in unrealized gain (loss) on open positions		(810,591	)		20,940
Foreign currency transaction gain (loss)		(26,054	)		5,869,031
Total Trading gain (loss)		(2,159,373	)		20,866,907
Investment Income:
Interest income		19,112			324,639
Expenses:
Commissions - Class A		732,175			1,071,632
Commissions - Class B		4,814			-
Management fees		333,507			428,676
Incentive fees		13,164			-
Ongoing offering expenses		103,000			103,000
Operating expenses		465,678			121,207
Total expenses		1,652,338			1,724,515
Trading income (loss)		(3,792,599	)		19,467,031
Non-Trading income (loss):
Interest on Non-Trading reserve		3,050			52,341
Collections in excess of impaired value		-			1,046,068
Legal and administrative fees		(385,999	)		(106,765	)
Management fees paid to US Bank		(106,552	)		(57,171	)
Non-Trading income (loss)		(489,501	)		934,473
Net income (loss)	$	(4,282,100	)	$	20,401,504
See accompanying notes to consolidated financial statements.

6

RJO GLOBAL TRUST AND SUBSIDIARY

Consolidated Statement of Changes in Unitholders’ Capital

For the three months ended March 31, 2009

UNAUDITIED

Unitholders' Capital (Trading)	Beneficial Owners - Trading Class A						Beneficial Owners - Trading Class B						Managing Owners - Trading
	Units			Dollars			Units			Dollars			Units		Dollars
Balances at December 31, 2008		658,747		$	78,645,263			-		$	-			11,679	$	1,394,355
Net income		-			(3,680,290	)		-			(44,688	)		-		(67,621	)
Unitholders’ contributions		-			-			-			-			-		-
Transfers from Class A to Class B		(8,819	)		(1,051,674	)		8,819			1,051,674			-		-
Unitholders’ redemptions		(42,404	)		(4,900,535	)		(250	)		(28,624	)		-		-
Balances at March 31, 2009		607,524		$	69,012,764			8,569		$	978,362			11,679	$	1,326,734
Unitholders' Capital (Trading)	Total Unitholders' Capital - Trading
	Units			Dollars
Balances at December 31, 2008		670,426		$	80,039,618
Net income		-			(3,792,599	)
Unitholders’ contributions		-			-
Transfers from Class A to Class B		-			-
Unitholders’ redemptions		(42,654	)		(4,929,159	)
Balances at March 31, 2009		627,772		$	71,317,860
Unitholders' Capital (LLC Equity/Non-Trading)	Participating Owners - LLC Equity/Non-Trading						Nonparticipating Owners - LLC Equity/Non-Trading						Toral Unitholders' Capital - LLC Equity/Non-Trading
	Units			Dollars			Units			Dollars			Units		Dollars
Balances at December 31, 2008		611,108		$	1,953,345			1,662,180		$	5,312,910			2,273,288	$	7,266,255
Net income		-			(132,243	)		-			(357,258	)		-		(489,501	)
Unitholders’ contributions		-			-			-			-			-		-
Reallocation due to Redemptions		(36,205	)		(107,891	)		36,205			107,891			-		-
Unitholders' distribution		-						-			-			-		-
Balances at March 31, 2009		574,903		$	1,713,211			1,698,385		$	5,063,543			2,273,288	$	6,776,754
Total Unitholders Capital at March 31, 2009															$	78,094,614
	Unitholders' Capital Trading Class A			Unitholders' Capital Trading Class B			Unitholders' Capital (LLC Equity/ Non-Trading)
Net asset value per unit at December 31, 2008	$	119.39		$	119.39		$	3.20
Net change per unit		(5.79	)		(5.22	)		(0.22	)
Net asset value per unit at March 31, 2009	$	113.60		$	114.17		$	2.98
See accompanying notes to consolidated financial statements.

7

RJO GLOBAL TRUST AND SUBSIDIARY

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

March 31, 2009

(Unaudited)

(1)General Information and Summary

RJO Global Trust (the “Trust”), formerly known as the JWH Global Trust, a Delaware statutory trust organized on November 12, 1996, was formed to engage in the speculative trading of futures contracts on currencies, interest rates, energy and agricultural products, metals and stock indices, spot and forward contracts on currencies and precious metals, and exchanges for physicals pursuant to the trading instructions of independent trading advisors. Since December 1, 2006, R.J. O’Brien Fund Management, LLC (“RJOFM” or the “Managing Owner”) has been the Managing Owner of the Trust. R.J. O’Brien & Associates, LLC. (“RJO”), an affiliate of RJOFM, is the clearing broker and the broker for forward contracts for the Trust.

As of December 31, 2008, trading decisions for the Trust have been delegated to five independent commodity trading advisors: John W. Henry & Company, Inc. (“JWH”), AIS Futures Management (“AIS”), Abraham Trading Corp. (“ATC”), Global Advisors LP (“GALP”) and Peninsula LP (“PLP”) (each an “Advisor” and collectively the “Advisors”), pursuant to advisory agreements executed between the Trust and each Advisor (each an “Advisory Agreement” and collectively the “Advisory Agreements”.)  Effective February 1, 2009, NuWave Investment Management, LLC (“NuWave”) became the Trust’s sixth Advisor. As of March 31, 2009, PLP was no longer a trading advisor to the Trust and the Trust’s assets were reallocated to the remaining five advisors: 18% to JWH, 18% to GALP, 10% to AIS, 27% to ATC and 27% to NuWave.

Units of beneficial ownership of the Trust commenced selling on April 3, 1997.  The Managing Owner filed a registration statement on Form S-1 on behalf of the Trust with respect to the registration of 1,000,000 units of beneficial interest on September 19, 2007 (File No. 333-146177). This registration statement became effective with the Securities and Exchange Commission (the “SEC”) on December 4, 2007 and was amended by Post-Effective Amendment No. 1 on Form S-1, filed with the SEC on April 18, 2008, Post-Effective Amendment No. 2 on Form S-1, filed with the SEC on October 6, 2008, Post-Effective Amendment No. 3 on Form S-1, filed with the SEC on December 12, 2008.

Prior to December 12, 2008, the Trust only offered one class of units for subscription.  As described in the Trust’s Post-Effective Amendment No. 3 on Form S-1, the Trust now offers two classes of units.  Class A units are subject to a selling commission.  Class B units are not charged a selling commission, and will only be offered to certain qualified investors participating in a program through certain financial advisors.  Both Class A and Class B interests are traded pursuant to identical trading programs and differ only in respect to the Managing Owner’s brokerage commission and organization and offering costs.  See Note (8) for further detail regarding commissions.

 The Trust will be terminated on December 31, 2026, unless terminated earlier upon the occurrence of one of the following:

 (1) beneficial owners holding more than 50% of the outstanding units notify the Managing Owner to dissolve the Trust as of a specific date; (2) dissolution of the Managing Owner of the Trust; (3) bankruptcy of the Trust; (4) a decrease in the net asset value to less than $2,500,000; (5) a decline in the net asset value per unit to $50 or less; (6) dissolution of the Trust; or (7) any event that would make it unlawful for the existence of the Trust to be continued or require dissolution of the Trust.

Prior to December 1, 2006, the managing owner of the Trust was Refco Commodity Management, Inc. (“RCMI”).  An affiliate of RCMI, Refco Capital Markets, Ltd. (“RCM”), had held certain assets of the Trust acting as the Trust’s broker of forward contracts during 2005.  During that year, RCM experienced financial difficulties resulting in RCM’s inability to liquidate the assets.  RCM filed for bankruptcy protection in October, 2005.  As a result, the Trust held a bankruptcy claim against RCM.

Effective January 1, 2007, JWH Special Circumstance LLC (the “LLC”), a Delaware limited liability company, was established to pursue the claims against RCM. Any assets or liabilities held by the LLC are designated as “Non-Trading”. Any revenue earned or expenses incurred by the LLC are also designated as “Non-Trading”. The Trust is the sole member of the LLC and holds that membership for the benefit of the unitholders who were investors in the Trust at the time of the bankruptcy of RCM.  U.S. Bank National Association (“US Bank”) is the manager of the LLC. US Bank may make distributions to the unitholders, as defined above, upon collection, sale, settlement or other disposition of the bankruptcy claim and after payment of all fees and expenses pro rata to the unitholders, as follows:

 (a) Any unitholder who had redeemed their entire interest in the Trust prior to distribution shall receive cash (“Non Participating Owners”).

 (b) Any unitholder who had continued to own units in the Trust shall receive additional units in the Trust at the then Net Asset Value of the Trust (“Participating Owners”).

8

The unitholders have no rights to request redemptions from the LLC.

The LLC has agreed to compensate 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  ($350 per hour at execution of agreement).

See Note (6) for further detail regarding collection and distribution activity related to the assets held at RCM.

(2) Summary of Significant Accounting Policies

(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 instructions to Form 10-Q and Rule 10-01 of Regulation S-X.  Accordingly, they do not include all of the information and footnotes required by accounting principles generally accepted in the United States of America for complete financial statements.  In the opinion of management, all adjustments (consisting only of normal recurring adjustments) considered necessary for a fair statement of the financial condition and results of operation 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, 2008.

(b)    Principles of Consolidation

The accompanying consolidated financial statements include the accounts of the Trust and its wholly-owned subsidiary, JWH Special Circumstance, LLC. All material intercompany transactions have been eliminated upon consolidation.

(c)    Revenue Recognition

Commodity futures contracts, forward contracts, physical commodities, and related options are recorded on the trade date.  All such transactions are recorded on the identified cost basis and marked to market daily.  Unrealized gains on open contracts reflected in the statements of financial condition represent the difference between original contract amount and market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the year or as of the last date of the financial statements.

The Trust earns interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 75% 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.

(d)     Ongoing Offering Costs

Ongoing offering costs subject to a ceiling of 0.50% of the Trust’s average month-end net assets, are paid by the Trust and expensed as incurred. In anticipation of renewing the offering for new subscriptions, $103,000 in ongoing offering costs were accrued during the first three months of 2009.

(e)    Foreign Currency Transactions

Trading accounts in foreign currency denominations are susceptible to both movements in the underlying contract markets as well as fluctuation in currency rates.  Foreign currencies are translated into U.S. dollars for closed positions at an average exchange rate for the year, while year-end balances are translated at the year-end currency rates.  The impact of the translation is reflected in the statements of operations.

(f)     Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period.  Actual results could differ from those estimates.

(g)    Valuation of Assets Held at Refco Capital Markets, Ltd.

The Trust recorded an impairment charge against its assets held at RCM at December 31, 2005, based on management’s estimate of fair value at that time.  Subsequent recoveries from RCM were credited against the then book value of the claim.  On June 28, 2007, the Trust’s cumulative recoveries from RCM exceeded the book value of the impaired assets held at RCM, which resulted in no remaining book value for those assets.  All recoveries in excess of the book value of the impaired assets have been recorded as “Collections in excess of impaired value” on the Trust’s statement of operations.  See Note 6 for further details.  Any future administrative and/or legal expenses associated with liquidation of the assets held at RCM have not been reflected as such future expenses are not estimable.

9

(h)    Fair Value Measurements

The Trust adopted the provisions of Statement of Financial Accounting Statement No. 157 (“SFAS 157”) “Fair Value Measurements,” on January 1, 2008.  SFAS 157 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value.  SFAS 157 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

SFAS No. 157 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels.  The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date.  An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis.  The value of the Trust’s exchange-traded futures contracts 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 and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data.

Level 3 inputs are unobservable inputs for an asset or liability.  Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date.  During 2009 and 2008, the Trust did not have any Level 3 assets or liabilities.

As of March 31, 2009 and December 31, 2008, the Trust’s financial assets and liabilities consisted of exchange-traded futures contracts valued within Level 1 of the fair value hierarchy.  In the past, and potentially the future, the Trust may invest in inter-bank currency markets valued within Level 2 of the fair value hierarchy.

(3)Fees

Management fees are accrued and paid monthly. Incentive fees are accrued monthly and paid quarterly. Trading decisions for the period of these financial statements were made by the Advisors.

Pursuant to the Trust’s agreements with the trading advisors, each trading advisor receives a monthly management fee at the rate of up to 0.167% (a 2% annual rate) of the Trust’s month-end net assets calculated after deduction of brokerage fees, but before reduction for any incentive fee or other costs and before inclusion of new unitholder subscriptions and redemptions for the month. These management fees were not paid on the LLC net assets.

The Trust also pays the trading advisors a quarterly incentive fee equal to 20% of the “New Trading Profit”, if any, of the Trust. The incentive fee is based on the performance of each advisor’s portion of the assets allocated to 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 unrealized profits and losses, excluding interest income, and deducting the management fee and brokerage fee.

10

(4)Income Taxes

No provision for Federal income taxes has been made in the accompanying financial statements as each beneficial owner is responsible for reporting income (loss) based on the pro rata share of the profits or losses of the Trust.  Generally, for both Federal and state tax purposes, trusts, such as the RJO Global Trust, are treated as partnerships. The LLC will also be treated as a partnership. The only significant differences in financial and income tax reporting basis are ongoing offering costs.

(5)Trading Activities and Related Risks

The Trust engages in the speculative trading of U.S. and foreign futures contracts, and forward contracts (collectively derivatives).  These derivatives include both financial and non-financial contracts held as part of a diversified trading strategy.  The Trust is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

The purchase and sale of futures requires margin deposits with a futures commission merchant (“FCM”).  Additional deposits may be necessary for any loss on contract value.  The Commodity Exchange Act requires an FCM to segregate all customer transactions and assets from the FCM’s proprietary activities.  A customer’s cash and other property, such as U.S. Treasury Bills, deposited with an FCM are considered commingled with all other customer funds subject to the FCM’s segregation requirements.  In the event of an FCM’s insolvency, recovery may be limited to a pro rata share of segregated funds available.  It is possible that the recovered amount could be less than the total of cash and other property deposited.

The Trust has cash on deposit with an affiliated interbank market maker in connection with its trading of forward contracts.    In the normal course of business, the Trust does not require collateral from such interbank market maker.  Due to forward contracts being traded in unregulated markets between principals, the Trust also assumes a credit risk, the risk of loss from counter party non-performance.

For derivatives, risks arise from changes in the market value of the contracts.  Theoretically, the Trust is exposed to a market risk equal to the value of futures and forward contracts purchased and unlimited liability on such contracts sold short.

Net trading results from derivatives for the periods ended March 31, 2009 and 2008, are reflected in the statements of operations and equal gain or loss from trading.  Such trading results reflect the net gain or loss arising from the Trust’s speculative trading of futures contracts and forward contracts.

The notional amounts of open contracts at March 31, 2009 and December 31, 2008, as disclosed in the respective Condensed Consolidated Schedule of Investments, do not represent the Trust’s risk of loss due to market and credit risk, but rather represent the Trust’s extent of involvement in derivatives at the date of the statement of financial condition.

The beneficial owners bear the risk of loss only to the extent of the market value of their respective investment in the Trust.

(6)   Assets Held at Refco Capital Markets, Ltd.

Effective October 31, 2005, $57,544,206 of equity and 2,273,288 in substitute units, which represented the assets held at RCM plus $1,000,000 in cash were transferred to a Non-Trading account.. On December 31, 2005 the $56,544,206 of assets held at RCM were reduced by $39,580,944 for impairment to $16,963,262, or 30% of the original value of the assets. The table below summarizes all recoveries from RCM and distributions to redeemed and continuing unitholders:

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Recoveries from RCM, Distributions paid by US Bank from the LLC, and effect on impaired value of assets held at RCM
			Collections	Cash Distributions to	Additional Units in Trust
	Amounts Received	Balance of	in Excess of	Non-Participating	for Participating Owners
Date	from RCM	Impaired Value	Impaired Value	Owners	Units	Dollars
12/29/06	$         10,319,318	$            6,643,944	$                     -	$                    4,180,958	54,914	$       5,154,711
04/20/07	2,787,629	3,856,315	-	-	-	-
06/07/07	265,758	3,590,557	-	-	-	-
06/28/07	4,783,640	-	1,193,083	-	-	-
07/03/07	5,654	-	5,654	-	-	-
08/29/07	-	-	-	2,787,947	23,183	1,758,626
09/19/07	2,584,070	-	2,584,070	-	-	-
12/31/07	2,708,467	-	2,708,467	-	-	-
03/28/08	1,046,068	-	1,046,068	-	-	-
04/29/08	��-	-	-	2,241,680	10,736	1,053,815
06/26/08	701,148	-	701,148	-	-	-
12/31/08	769,001		769,001	-	-	-
Totals	$         25,970,753	$                           -	$       9,007,491	$                    9,210,585	88,833	$       7,967,152

(7)    Recent Pronouncements

In April 2009, the Financial Accounting Standards Board issued FSP FAS 107-1 and APB 28-1, “Interim Disclosures About Fair Value of Financial Instruments” (FSP FAS 107-1 and APB 28-1). FSP FAS 107-1 and APB 28-1 require fair value disclosures in both interim as well as annual financial statements in order to provide more timely information about the effects of current market conditions on financial statements. FSP FAS 107-1 and APB 28-1 is effective for interim and annual periods ending after June 15, 2009. The adoption of this standard will not have a material impact on the Trust’s consolidated financial statements.

(8)  Operations

Redemptions

A beneficial owner may cause any or all of his or her units to be redeemed by the Trust effective as of the last business day of any month of the Trust based on the Net Asset Value per unit on such date on five business days’ written notice to the Bank of New York Mellon or the Managing Owner.  Payment will generally be made within ten business days of the effective date of the redemption.  As of September 1, 2007, any redemption made during the first eleven months of investment is subject to a 2% redemption penalty, payable to the Managing Owner.  As of December 12, 2008 this was reduced to a 1.5% redemption penalty.  Any redemption made in the twelfth month of investment or later will not be subject to any redemption penalty.  The Trust’s Eighth Amended and Restated Declaration and Agreement of Trust contains a full description of redemption and distribution policies.

Commissions

The Managing Owner and/or affiliates act as commodity brokers for the Trust through RJO.  Commodity brokerage commissions are typically paid upon the completion or liquidation of a trade and are referred to as “round-turn commissions,” which cover both the initial purchase (or sale) and the subsequent offsetting sale (or purchase) of a commodity futures contract. The Trust did not pay commodity brokerage commissions on a per-trade basis until November 1, 2008, but rather paid flat-rate brokerage fees on a monthly basis of 5.0% per annum (or 0.41666% per month) of the Trust’s month-end assets, after reduction of the management fee.  Prior to September 1, 2007, the Trust paid commodity brokerage commissions on a monthly basis of 6.0% per annum.  The clearing brokers received these brokerage fees irrespective of the number of trades executed on the Trust’s behalf.

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Effective November 1, 2008, the Trust’s brokerage fee constitutes a “wrap fee” of 4.65% to 5.0% of the Trust’s month-end assets on an annual basis (0.3875% to 0.417% monthly) with respect to Class A units and 2.65% to 3.0% of the Trust’s month-end assets on an annual basis (0.221% to 0.25% monthly) with respect to Class B units, which covers the fees described below and not just the cost of brokerage executions, which is paid on a per-trade basis.  “Brokerage fee” includes the following across each class of units:

Recipient	Nature of Payment	Class A Units	Class B Units
Managing Owner	Brokerage fee	0.75%	0.75%
Selling Agent	Selling commission	2.00%	0.00%
Managing Owner	Underwriting expenses	0.35%	0.35%
Managing Owner	Clearing, NFA, and exchange fees	Estimated 1.22% - 1.42%, capped at 1.57%	Estimated 1.22% - 1.42%, capped at 1.57%
Liberty Funds Group	Consulting fees	0.33%	0.33%
Totals		4.65% to 5.00%	2.65% to 3.00%

Effective January 1, 2009, 8,819 units converted from Class A to Class B in accordance with an agreement made by an existing securities broker/dealer.

In accordance with FINRA regulations, underwriting expenses, including selling commissions, are limited to 10% of either the existing net asset values for all units of record as of November 1, 2008, or 10% of original subscription price for any new subscriptions thereafter.  Once the maximum amount of underwriting compensation has been met, the Trust will issue an additional class of units which will be charged neither selling commissions nor underwriting expenses.

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

(9)   Financial Highlights

The following financial highlights show the Trust’s financial performance for the three-month  periods ended March 31, 2009 and 2008.  Total return is calculated as the change in a theoretical beneficial owner’s investment over the entire period and is not annualized.  Total return is calculated based on the aggregate return of the Trust taken as a whole.

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	Class A						Class B
	Three months ended						Three months ended
	March 31,						March 31,
	2009			2008			2009
Per share operating performance:
Net asset value of Trading units, beginning of year	$	119.39		$	84.69		$	119.39
Total Trading income (loss):
Trading gain (loss)		(3.28	)		24.92			(3.46	)
Investment income		0.03			0.39			0.03
Expenses		(2.54	)		(2.09	)		(1.80	)
Trading income (loss)		(5.79	)		23.22			(5.23	)
Net asset value of Trading units, end of year		113.60			107.91			114.16
Total return:
Total return before incentive fees		(5.10	)%		21.52	%		(4.58	)%
Less incentive fee allocations		(0.02	)%		0.00	%		0.00	%
Total return		(5.12	)%		21.52	%		(4.58	)%
Ratios to average net assets:
Trading income (loss)		(2.85	)%		26.28	%		(2.91	)%
Expenses:
Expenses, less incentive fees		(2.20	)%		(2.14	)%		(1.61	)%
Incentive fees		(0.02	)%		0.00	%		0.00	%
Total expenses		(2.22	)%		(2.14	)%		(1.61	)%
The calculations above do not include activity within the Trust's Non-Trading accounts. The Trust did not have any Class B units during the three month period ended March 31, 2008.

The net loss and expense ratios are computed based upon the weighted average net assets for the Trust for the three-month periods ended March 31, 2009 and 2008.

(10)   Subsequent Events

On April 3, 2009, the Trust filed Post-Effective Amendment No. 4 to its Registration Statement on Form S-1 with the SEC.

As of May 1, 2009, the Trust will earn interest on 100% of the Trust’s average daily balances on deposit with RJO during each month at 80% of the average four-week Treasury Bill rate for that month in respect of deposits denominated in dollars.

(11)  SFAS No. 161

In March 2008, the FASB issued SFAS No. 161, “Disclosures about Derivative Instruments and Hedging Activities”. SFAS No. 161 amends and expands the disclosure requirements of SFAS 133, “Accounting for Derivative Instruments and Hedging Activities”, to provide users of financial statements with an enhanced understanding of the use of derivative instruments, financial performance, and cash flows. This Statement requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivatives. SFAS No. 161 is effective for fiscal years beginning after November 15, 2008. The Trust has adopted SFAS No. 161 as of January 1, 2009.

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Derivatives not designated as hedging instruments under SFAS 133

As of March 31, 2009
	Asset			Liability
Type of	Derivatives			Derivatives				Net
Futures Contracts	Fair Value			Fair Value				Fair Value
Agriculture		$	269,607		$	(189,313	)		$	80,294
Currency			198,514			(70,653	)			127,861
Energy			75,052			(130,640	)			(55,587	)
Indices			17,562			(24,876	)			(7,314	)
Interest Rates			213,668			(6,985	)			206,683
Metals			421,764			(477,571	)			(55,807	)
		$	1,196,167		$	(900,037	)		$	296,131
As of December 31, 2008
	Asset			Liability
Type of	Derivatives			Derivatives				Net
Futures Contracts	Fair Value			Fair Value				Fair Value
Agriculture		$	453,592		$	(218,820	)		$	234,772
Energy			31,924			(56,000	)			(24,076	)
Indices			99,173			(115,106	)			(15,933	)
Interest Rates			748,271			(61,938	)			686,333
Metals			387,665			(162,039	)			225,626
		$	1,720,625		$	(613,903	)		$	1,106,722

The above reported fair values are included in equity in commodity Trading accounts – Unrealized gain on open contracts on the consolidated statement of financial condition as of March 31, 2009 and December 31, 2008, respectively.

Trading gains (losses) for the three months ended:

Type of Futures Contracts	March 31, 2009			March 31, 2008
Agriculture	$	(433,304	)	$	3,475,540
Currency		(332,666	)		7,760,275
Energy		(128,124	)		376,501
Indices		(465,304	)		3,054,801
Interest Rates		(969,948	)		4,331,270
Metals		169,974			1,868,520
	$	(2,159,373	)	$	20,866,907

The above reported trading gain (loss) amounts are included in gain (loss) on trading of commodity contracts realized and unrealized in the consolidated statement of operations.

See Note (5) for additional information on the Trust’s purpose for entering into derivatives not designed as hedging instruments and its overall risk management strategies.

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

(a) 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.   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.

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 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.  They have been immaterial to the Trust’s operation to date and are expected to continue to be so.

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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.

(b) Liquidity

The Trust’s assets at March 31, 2009 are held in brokerage accounts with RJO.  Such assets are used as margin to engage in trading and may be used as margin solely for the Trust’s trading.   Except in unusual circumstances, the Trust should be able to close out any or all of its open trading positions and liquidate any or all of its holdings quickly and at market prices.  This should permit the 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 75% of the average four-week Treasury Bill rate for that month in respect of deposits denominated in dollars. For deposits denominated in currencies other than dollars, the Trust earns interest at a rate of one-month LIBOR less 100 basis points.  For the fiscal quarters ended  March 31, 2009 and 2008, the Trust had received or accrued to receive trading interest of $19,112 and $324,639 respectively.

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 the Trust’s trading activities and attempt to control the Trust’s exposure to market risk by, among other things, refining their trading strategies, adjusting position sizes of the Trust’s futures and forward contacts and re-allocating Trust assets to different market sectors.  The Trust’s primary exposure to credit risk is its exposure to the non-performance of the forwards currency broker.  The forwards 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 clearinghouses whose credit supports the obligations of its members and operate as principals markets, in which case the Trust will be exposed to the credit risk of the other party to such trades.

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.

(c) 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.

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JWH, ATC and GALP are technical traders, and as such, their programs do not predict price movements. No fundamental economic supply or demand analysis is used in attempting to identify mispricings in the market, and no macroeconomic 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.  For the discretionary trading advisors, AIS and PLP, economic fundamentals and macroeconomic assessments are made.

The performance summaries set forth below outline certain major price trends which JWH’s programs have identified for the Trust during the last three fiscal years, until October 31, 2008, and for JWH, ATC, and GALP for November and December of 2008. November and December also reflect the opportunities captured on a fundamental basis by AIS and PLP.  The fact that certain trends or market movements were captured does not imply that others, perhaps larger and potentially more profitable trends or market movements, were not missed or that the Advisors will be able to capture similar trends or movements in the future.  Moreover, the fact that the programs were profitable in certain market sectors in the past does not mean that they will be so in the future.

The performance summaries are an outline description of how the Trust performed in the past, not necessarily any indication of how it will perform in the future.  Furthermore, the general causes to which certain trends or market movements are attributed may or may not in fact have caused such trends or movements, as opposed to simply having occurred at about the same time.

Fiscal Quarter ended March 31, 2009

The Trust recorded net trading losses of $3,792,599 or $5.79 per trading unit for Class A units and $5.23 per trading unit for Class B units in the first quarter of 2009 (*** Please see “Notes to Financial Statements” in Part I — Item 1 for explanation of Net Asset Value/unit pursuant to events of October, 2005, as the following excludes the Trust’s Non-Trading accounts). As of March 31, 2009, the Trust had gained 38.86% since its inception in June 1997.

On March 31, 2009, the Trust’s assets were allocated to the following Trading Advisors as follows: ATC (27%), AIS (10%), GALP (18%), JWH (18%) and NuWave (27%)

The first quarter of 2009 began much as the fourth quarter of 2008 ended, with continued broad market volatility.  Stock markets and commodity markets remained under pressure and declined in lock step during January, February, and early March.  Prices reversed and began climbing during the first week of March as negative sentiment on the part of investors appeared to be at its highest.  Correlation between commodity prices and stock prices, with few exceptions, remained unusually high during the quarter.  The U.S. Dollar had an almost exact inverse relationship to stock and commodity prices during the quarter.  It actually strengthened against most major foreign currencies as stocks and commodities sold off and then began to weaken after stocks and commodities bottomed out.  The results of fixed income markets during the quarter told two stories.  Short term rates remained low and in choppy markets as the Federal Reserve left Fed Fund targets in the 0% to 0.25% range.  Long term rates, however, edged higher in January and February as concerns over the inflationary impact of the government’s stimulus packages drove down note and bond prices.  Bond and note holders received a big boost, however, in late March when the Fed signaled that it would buy an enormous amount of medium and long term notes in an effort to keep mortgage rates low and to maintain a high level of liquidity in the markets.

The traders in Trust who employ rule based or systematic approaches managed the volatility well and the performance was down slightly until the sharp market reversals in March caused some slightly larger losses.  These managers employ methods that vary widely in terms of investment time horizons.  Those with shorter term outlooks did a little worse during January and February while the long term down trends established during the fall of 2008 remained in place, but managed the March reversals better than the managers with longer term styles. The managers of the Trust who employ a more discretionary approach continued to struggle with the unprecedented volatility and uncertainty that surrounded the markets during the quarter.  They posted small losses for the quarter as well.

It was a difficult quarter in general for the Managed Futures industry.  The Barclay Commodity Trading Advisor Index, a broad measure of managed futures performance, lost ground each month during the quarter.  Approximately 8 out of every 10 managers in the industry were showing negative year to date performance at quarter end.  This difficult period follows a strong performance period for the industry in 2008.  Periods like this are to be expected from time to time and first quarter profile was consistent with other losing periods from the past.  The objective of the Trust’s portfolio of managers is to conserve capital during difficult periods like this using disciplined risk management and a broad diversification of asset exposure, investment style, and investment time frame.

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Fiscal Quarter ended March 31, 2008

The Trust recorded net trading gains of $19,467,032 or $ 23.22 per trading unit in the first quarter of 2008 (*** Please see “Notes to Financial Statements” in Part I — Item 1 for explanation of Net Asset Value/unit pursuant to events of October, 2005, as the following exludes the Trust’s Non-Trading accounts). As of March 31, 2008, the Trust had gained 31.91% since its inception in June 1997.

On March 31, 2008, JWH was managing 100% of the Trust’s assets.  The Trust assets were allocated as follows:  JWH GlobalAnalytics® (40%), Financial and Metals Portfolio (20%), and JWH Diversified Plus (40%).

The Trust experienced positive performance for the month of January.  An important shift in the market’s focus seemed to be emerging at the start of 2008. Last year the global economy was relatively strong. The market consternation was related to specific issues affecting the housing and credit markets in the U.S. In January, the concern was more generalized, as the market began to adjust to the possibility of a U.S. recession and a significant slowdown in global growth. By mid month, many of the world’s major stock markets were experiencing double-digit declines. Concerns about the economy and the performance of U.S. equities led the U.S. Federal Reserve Board (the Fed) to cut interest rates 75 basis points on January 22nd  - the first inter-meeting rate move since 2001. This reduction was followed by a second cut of 50 basis points on January 30th. The Fed Funds rate ended the month at 3%. The aggressive stance of the Fed and the White House and Congress coming to an agreement on an economic stimulus package combined to stabilize equity prices towards the end of the month.  The Trust’s trading in global equity futures was profitable during the month. U.S. equities suffered through one of the worst Januarys on record as fears of a U.S. recession intensified. The S&P 500 lost 6.1% for the month, while the NASDAQ Composite shed 9.9%.  Financial shares were particularly hard hit as uncertainty about the extent of sub-prime write-offs persisted. Increasing risk of recession took its toll on the technology sector as a number of bellwether issuers suffered significant declines. Global decoupling and the belief that the world economy can be immune from weakness in the U.S. was put to the test in January as stock markets worldwide and, in particular, those in Japan and Europe experienced worse declines than the U.S. markets. Similarly, there was strong performance in the interest rate sector as both the long and the short end of the U.S. yield curve rallied sharply in response to weakening economic data, declining stock prices and monetary stimulus. The yield on the benchmark U.S. 10-year bond declined 43 basis points to 3.59% by month-end. The actions by the Fed were notable in terms of both magnitude and timing, as they reduced interest rates by close to 30% in two separate moves over an 8-day period. Significant profits were generated in Eurodollar futures and  Japanese government bonds (JGBs) performed well. Trading in currencies was more challenging, resulting in slightly positive performance from this sector. The dollar declined modestly. Rising volatility and investor fear resulted in a general unwinding of currency carry trades. Within the G-10 universe, the low-yielding Japanese yen and Swiss franc were the strongest currencies, appreciating the most. The relative weakness of the British pound continued in January and the long position in the euro/British pound cross rate was a top performer for the Trust.  Trading in metals was positive with positions in gold driving performance. Gold traded to an all-time high during the month above $930 per ounce. The continued weakness of the U.S. dollar, stock and credit markets  as well as disruptions in African mining activity drove the rally. Positions in silver also contributed to performance in the sector as it loosely followed the direction of gold. Positions in base metals were unprofitable. Trading in energies was negative for January.  Crude oil and the crude oil products started the year faltering from near record prices. Trading was volatile as an impending OPEC meeting on February 1st added to market uncertainty. Positions in natural gas were also unprofitable as the market traded in a directionless pattern for most of the month. The Trust continues to benefit from the bull market in grain prices. Positions in corn, wheat, soybeans and bean oil were all profitable. Corn positions led the way as the price moved higher in response to a USDA report that showed a sharp drop-off in the U.S. corn stockpile. Wheat prices also were helped by reports of lower than expected planting intentions. Positions in sugar and coffee also contributed to profits this month.

February was another positive month for the Trust. Data released during the month continues to point to a weakening in the U.S. economy.  As the severity of the credit crisis and its ramifications become more apparent and pessimism about the deteriorating state of the economy was met with optimism about the prospects of official forms of economic stimulus, an interesting trading dynamic was created.  Some sectors were confined to broad ranges, while others experienced explosive moves.  Generally, major global equity indices traded in a broad range during the month as market anxiety vacillated between fears of recession and concerns about inflation.  The S&P 500 finished with a modest loss for the month as market volatility declined from the peak readings registered in January. In this environment, the Trust’s trading was positive as positions in European and U.S. markets offset losses in the Japanese Nikkei. Trading in interest rates was unprofitable as the psychology of the market shifted during the month. In January, fear and prospects for a slower global economy drove global bond prices to extremes. In his testimony to the U.S. Senate Banking Committee, Fed chairman, Ben Bernanke, underscored the Fed’s dovish stance on interest rates. He warned that downside risks to the economy remain due to weakness in the housing, labor and credit market.  The U.S. yield curve steepened as long-term interest rates moved higher. The benchmark U.S. 10-year note yield approached 4% during the month, up from a low of 3.30%  in January, only to end the month at 3.5%.  After rallying

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early in February, the dollar reversed course and closed the month weaker against most major currencies as narrowing interest rate differentials and the prospect for higher inflation in the U.S. combined to weigh on the currency. The low-yielding Swiss franc and Japanese yen were among the strongest currencies against the dollar as risk appetite in the market remains low. The USD/JPY exchange rate closed the month at a multi-year low of 103.75. Trading in the euro was choppy and less profitable; nevertheless, the currency did manage to close at an all-time high of 1.5180. As global demand pushed commodity prices to historic levels, the commodity markets generated the majority of the Trust’s February returns. The greatest profits came from the agriculture markets, particularly from grains and soft commodities. In some cases, the moves were significant: bean oil was up 27% during the month, coffee was up 19%, wheat was up 15%, and sugar was up 14%.  It is uncommon for these markets in this sector to move higher so strongly in the same month. The demand for food related commodities from a flatter, more prosperous global economy is an important theme driving agricultural commodities. The weakness of the dollar is another important factor. The energy sector was also profitable as crude oil surged above $100 per barrel. The initial stage of the approximate 10% rally in the price of crude during the month may be attributable to the unwinding of large short positions that were established in January. In addition to the old themes of strong demand and dollar weakness, the perception in the market that OPEC would defend levels below $90 per barrel helped to support prices. Natural gas was a significant contributor to the sector’s profits during the month also. Performance from the metals sector was positive as both precious and base metals were higher. Gold continues its march toward the $1,000/ounce level. The weak dollar, further Fed rate cuts and macroeconomic concerns, including the prospects for further inflation, are fundamentals that can have a positive influence on the price of gold.  The movements higher in base metals during the month were based on production outages reported in both China and South Africa. This puts further pressure on inventories which are at multi-year lows.

The Trust posted a positive return in March. The crisis in the financial markets continued in March possibly reaching the nadir on March 17th.  This date also marked the year-to-date low in the S&P 500 and coincided with price reversals in a number of key markets. U.S. officials provided a substantial policy response to the deteriorating markets: in addition to reducing the Federal Funds rate by 75 bps on March 18th, the Federal Reserve established new lending facilities aimed at adding more liquidity and providing access to a broader array of financial institutions. The U.S. Treasury also proposed an overhaul of the financial system. In the near term these measures were effective in alleviating some of the stress in the markets. Equity prices rallied, certain credit spreads tightened and volatility subsided. Currencies were the most profitable sector this month as interest rate differentials between the U.S. and Europe widened further. The Euro traded at a record level of 1.5804 during the month and closed near its all-time high at month-end. The Federal Reserve rate cut on March 18th brought the Fed Funds rate to 2.25%.  On the other hand, the European Central Bank has left official lending rates stable at 4.00% during 2008. The fund generated profits in most major currencies against the dollar. The interest rate sector was at the center of the storm in March as the U.S Federal Reserve actions described above provided a powerful boost to a market that was reeling from fear. These actions prompted meaningful price reversals across the sector.   The stock market was also under pressure which made government bonds and securities the logical haven from the storm. Yields on 10-year U.S. government bonds fell early in the month to close at 3.44%. Performance from this sector was slightly positive. Positions in U.S. and Japanese interest rates performed best.  Equity markets sold off early in March as financial shares were battered on credit concerns. The technology sector was marked down along with growth projections for the U.S economy. However, stocks did recover in the second half of the month. Overall, trading in global equities was profitable for the month with positions in the Japanese Nikkei being the best performer.  Precious metals keyed off of developments in the financial markets. Gold soared to record highs early in the month.  When the markets staged their recovery, gold sold off sharply.  Gold traded down from a monthly high near $1,040/ounce to close the month at $921. Positions in both precious and base metals were unprofitable for the month. Although crude oil prices reached new highs above $100 per barrel in March, natural gas supplied a majority of the profits in the energy sector. Natural gas rallied more than 7% during the month as colder-than-expected temperatures and increased demand may slow the build in natural gas inventories. Positions in London gas oil were also profitable. The agricultural sector was a significant drag on performance in March as trading in all component markets was negative. Trading and price action in the grain markets was largely independent from the moves in the financial markets and the dollar. Most grain prices were enjoying a remarkable bull market heading into March and arguably due for a correction.  Recently expanded daily exchange price limits allowed for dramatic moves to the downside in wheat, soybeans and soybean products. Corn bucked the trend and finished the month stronger, buoyed by bullish reports from the USDA. Soft commodities such as sugar, coffee and cotton reversed course during the month, suffering from a reduction in speculative risk taking.

During the quarter no units were sold. Beneficial Owners redeemed a total of  47,216 units during the quarter. The Managing Owner redeemed a total of 5,123 units during the quarter. At the end of the quarter there were 784,658 units outstanding owned by the beneficial owners and 15,095 units outstanding owned by the Managing Owner.

During the fiscal quarter ending March 31, 2008, the Trust had no material credit exposure to a counterparty, which is a foreign commodity exchange, or to any counterparties dealing in over the counter contracts.

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(d)           Off-Balance-Sheet Arrangements; Disclosure of Contractual Obligations

The Trust does not have any off-balance-sheet arrangements (as defined in Regulation S-K 303(a)(4)(ii)) that have or are reasonably likely to have a current or future effect on its financial condition, changes in financial condition, revenues or expenses, results of operations, liquidity, capital expenditures or capital resources that are material to investors.

The Trust does not have any material contractual obligations.

Item 3.  Quantitative and Qualitative Disclosures About Market Risk

There has been no material change with respect to the Trust’s market risk as described in the section entitled "Quantitative and Qualitative Disclosures About Market Risk" in our annual report on Form 10-K for the year ended December 31, 2008.

Item 4T.  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 report was filed,  including the Managing Owner’s Chief Executive Officer (the Trust’s principal executive officer) and Chief Financial Officer,(the Trust’s principal financial officer), have evaluated the effectiveness of the design and operation of the Trust’s disclosure controls and procedures (as defined in Rules 13a-15(c) and 15d-15(e) under the Exchange Act) as of March 31, 2009.  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 March 31, 2009.

Changes in Internal Control Over Financial Reporting:There were no changes in the Trust’s internal control over financial reporting; during the quarter ended March 31, 2009 that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

Limitations on the Effectiveness of Controls: Any control system, no matter how well designed and operated, can provide reasonable (not absolute) assurance that its objectives will be met.  Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected.

PART II - OTHER INFORMATION

Item 1.  Legal Proceedings

The LLC is pursuing certain claims with respect to assets of the Trust formerly held by RCM.  See “Notes to Consolidated Financial Statement – Note 1.”  There is no assurance that such efforts will result in additional recoveries.

Item 1A. Risk Factors

There have been no material changes from the risk factors in the section entitled “The Risks You Face” in the Trust Post-Effective Amendment Number 2 to the Registration Statement on Form S-1 filed on December 12, 2008 and declared effective December 12, 2008.

Item 2.  Unregistered Sales of Securities and Use of Proceeds

(a)  None

(b)  The Trust permits unitholders to redeem units at the end of each month at the Net Asset Value per unit on the redemption date.  The redemption of units has no impact on the net asset value of the units that remain outstanding and units may not be reissued once they are redeemed.

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The following table summarizes the redemptions by unitholders during the first quarter of 2009:

	Units Redeemed		Redemption Date NAV per Unit
Month	Class A	Class B	Class A	Class B
January	26,251	-	$                    116.47	$                    116.67
February	5,623	115	$                    115.03	$                    115.42
March	10,530	135	$                    113.60	$                    114.16
Total	42,404	250

Units sold January 1, 2009  through March 31, 2009: 0

Units (Class A) unsold through March 31, 2009: 1,000,000 ($113,449,025)

Units (Class B) unsold through March 31, 2009: 1,000,000 ($114,160,000)

Aggregate price paid for units sold January 1, 2009 through March 31, 2009: $0

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Item 6.  Exhibits

a)  Exhibits

Index to Exhibits

Exhibit	Description of Document
Number
3.01	Eighth Amended and Restated Declaration and Agreement of Trust of RJO Global Trust (the “Registrant”), dated as of September 26, 2008.1
3.02	Restated Certificate of Trust of the Registrant.2
31.01	Rule 13a-14(a)/15d-14(a) Certifications of Principal Executive Officer.
31.02	Rule 13a-14(a)/15d-14(a) Certifications of Principal Financial Officer.
32.01	Section 1350 Certification of Principal Executive Officer and Principal Financial Officer.

1 Incorporated by reference herein from the exhibit of the same description filed on December 12, 2008 with Post-Effective Amendment No. 3 to the Registrant’s Registration Statement on Form S-1 (Reg. No. 333-146177).

2 Incorporated by reference from the exhibit of the same description filed on September 30, 2008 on Form 8-K.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned and thereunto duly authorized.

RJO Global Trust

Date:	May 15, 2009
By:	R.J. O’Brien Fund Management, LLC.
	Managing Owner
By:	/s/ Thomas J. Anderson
	Thomas J. Anderson
	Chief Financial Officer and duly authorized officer

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