Derivative Instruments and Hedging Activities

67 Months Ended

Jun. 30, 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 June 30, 2012
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	80,272	$	(110,998	)	$	(30,726	)
Currency		13,751		(116,128	)		(102,377	)
Energy		16,608		(60,345	)		(43,737	)
Indices		8,390		(241,103	)		(232,713	)
Interest Rates		55,791		(68,355	)		(12,564	)
Metals		91,875		(52,296	)		39,579
	$	266,687	$	(649,225	)	$	(382,538	)

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 June 30, 2012 and December 31, 2011 respectively.

Trading gain (loss) for the following periods:

	Three months ended June 30,						Six months ended June 30,
Type of Futures Contracts	2012			2011			2012			2011
Agriculture	$	(116,326	)	$	(513,248	)	$	(316,348	)	$	(611,681	)
Currency		(205,017	)		(701,077	)		(643,324	)		(1,225,707	)
Energy		(15,791	)		(66,697	)		182,210			196,021
Indices		(375,453	)		219,316			(337,237	)		266,085
Interest Rates		425,208			241,800			137,614			(386,676	)
Metals		70,627			(207,505	)		(393,854	)		(116,584	)
	$	(216,752	)	$	(1,027,411	)	$	(1,370,939	)	$	(1,878,542	)

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.