Derivative Instruments and Hedging Activities

3 Months Ended

Mar. 31, 2012

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 March 31, 2012
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	187,817	$	(115,766	)	$	72,051
Currency		23,283		(130,849	)		(107,566	)
Energy		65,422		(24,178	)		41,244
Indices		91,940		(28,988	)		62,952
Interest Rates		80,365		(42,669	)		37,696
Metals		37,629		(77,163	)		(39,534	)
	$	486,456	$	(419,613	)	$	66,843

As of December 31, 2011
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	10,408	$	-		$	10,408
Currency		527,500		(350,799	)		176,701
Energy		225,038		(119,410	)		105,628
Indices		17,851		(47,027	)		(29,176	)
Interest Rates		139,768		(10,045	)		129,723
Metals		72,320		(80,138	)		(7,818	)
	$	992,885	$	(607,419	)	$	385,466

The above reported fair values are included in equity in commodity Trading accounts – unrealized gain on open contracts and in purchased and written options on futures contracts on the consolidated statements of financial condition as of March 31, 2012 and December 31, 2011 respectively.

Trading gain (loss) for the following periods:

	Three Months Ended March 31,
Type of Futures Contracts	2012			2011
Agriculture	$	(200,022	)	$	(98,432	)
Currency		(438,307	)		(524,630	)
Energy		198,001			262,719
Indices		38,216			46,768
Interest Rates		(287,594	)		(628,477	)
Metals		(464,481	)		90,921
	$	(1,154,187	)	$	(851,131	)

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