Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2011

Derivative Instruments and Hedging Activities

(11)         Derivative Instruments and Hedging Activities

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

Derivatives not designated as hedging instruments:

As of September 30, 2011
	Asset			Liability
Type of	Derivatives			Derivatives		Net
Futures Contracts	Fair Value			Fair Value		Fair Value
Agriculture	$	(63,120	)	$	239,277	$	176,157
Currency		65,030			31,186		96,216
Energy		(98,030	)		247,146		149,116
Indices		389			21,588		21,977
Interest Rates		8,941			6,679		15,620
Metals		(952,916	)		1,399,205		446,289
	$	(1,039,706	)	$	1,945,081	$	905,375

As of December 31, 2010
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	920,055	$	(323,637	)	$	596,418
Currency		928,957		(507,464	)		421,493
Energy		65,691		(45,099	)		20,592
Indices		197,712		-			197,712
Interest Rates		117,158		(13,742	)		103,416
Metals		789,173		(651,198	)		137,975
	$	3,018,746	$	(1,541,140	)	$	1,477,606

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts on the consolidated statements of financial condition as of September 30, 2011 and December 31, 2010 respectively.

Trading gain (loss) for the following periods:

	Three months ended September 30,							Nine months ended September 30,
Type of Futures Contracts	2011			2010			Type of Futures Contracts	2011			2010
Agriculture		(402,415	)		1,688,457		Agriculture	$	(1,014,096	)		56,352
Currency		(131,022	)		742,038		Currency		(1,356,729	)		965,736
Energy		(187,631	)		(524,873	)	Energy		8,390			(1,098,998	)
Indices		1,125,206			(1,464,111	)	Indices		1,391,291			215
Interest Rates		1,637,315			1,131,421		Interest Rates		1,250,639			2,999,170
Metals		581,377			57,592		Metals		464,793			(711,820	)
	$	2,622,830		$	1,630,524			$	744,288		$	2,210,655

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.