Fair Value Measurements (Tables)

67 Months Ended

Jun. 30, 2012

Assets and Liabilities Measured at Fair Value on Recurring Basis

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 June 30, 2012 and December 31, 2011, respectively:

	June 30, 2012
	Level 1			Level 2		Level 3		Total
Assets
Unrealized loss on open contracts:
Futures positions	$	(347,998	)	$	-	$	-	$	(347,998	)
Fixed income securities		-			19,952,245		-		19,952,245
Total assets		(347,998	)		19,952,245		-		19,604,247
Liabilities
Options written on futures contracts		(34,540	)		-		-		(34,540	)
Total fair value	$	(382,538	)	$	19,952,245	$	-	$	19,569,707

	December 31, 2011
	Level 1			Level 2		Level 3		Total
Assets
Unrealized gain on open contracts:
Futures positions	$	212,644		$	-	$	-	$	212,644
Forward currency positions		-			151,303		-		151,303
Purchased options on futures contracts		22,525			-		-		22,525
Fixed income securities		-			21,870,890		-		21,870,890
Total assets		235,169			22,022,193		-		22,257,362
Liabilities
Options written on futures contracts		(1,006	)		-		-		(1,006	)
Total fair value	$	234,163		$	22,022,193	$	-	$	22,256,356