Derivative Instruments and Hedging Activities

9 Months Ended

Sep. 30, 2012

Derivative Instruments and Hedging Activities [Abstract]

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, 2012
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	970,188	$	(958,839	)	$	11,349
Currency		31,309		(47,372	)		(16,063	)
Energy		143,943		(122,350	)		21,593
Indices		25,788		(28,565	)		(2,777	)
Interest Rates		40,242		(32,993	)		7,249
Metals		269,400		(184,616	)		84,784
	$	1,480,870	$	(1,374,735	)	$	106,135

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/(loss) on open contracts, purchased options on futures contracts and in options written on futures contracts on the consolidated statements of financial condition as of September 30, 2012 and December 31, 2011, respectively.

Trading gain (loss) for the following periods:

	Three months ended September 30,						Nine months ended September 30,
Type of Futures Contracts	2012			2011			2012			2011
Agriculture	$	16,161		$	(402,415	)	$	(300,187	)	$	(1,014,096	)
Currency		(176,598	)		(131,022	)		(819,922	)		(1,356,729	)
Energy		(261,344	)		(187,631	)		(79,134	)		8,390
Indices		(189,706	)		1,125,206			(526,943	)		1,391,291
Interest Rates		26,825			1,637,315			164,439			1,250,639
Metals		68,278			581,377			(325,576	)		464,793
	$	(516,384	)	$	2,622,830		$	(1,887,323	)	$	744,288

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.