Derivative Instruments and Hedging Activities

3 Months Ended

Mar. 31, 2013

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 instead "marks-to-market" its derivatives through operations.

Derivatives not designated as hedging instruments:

As of March 31, 2013
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	2,634,453	$	(2,567,518	)	$	66,935
Currency		15,272		(24,940	)		(9,668	)
Energy		17,494		(66,420	)		(48,926	)
Indices		48,180		(22,120	)		26,060
Interest Rates		42,661		(21,685	)		20,976
Metals		25,574		(21,128	)		4,446
	$	2,783,634	$	(2,723,811	)	$	59,823

As of December 31, 2012
	Asset		Liability
Type of	Derivatives		Derivatives			Net
Futures Contracts	Fair Value		Fair Value			Fair Value
Agriculture	$	678,316	$	(369,972	)	$	308,344
Currency		94,041		(185,622	)		(91,581	)
Energy		76,522		(202,853	)		(126,331	)
Indices		60,504		(55,851	)		4,653
Interest Rates		30,579		(20,778	)		9,801
Metals		23,749		(23,693	)		56
	$	963,711	$	(858,769	)	$	104,942

The Company has elected to present the above reported derivative assets and liabilities held by RJO on a net basis in the consolidated statements of financial condition, within the categories of unrealized gain or loss on open contracts, purchased options on futures contracts, and options written on futures contracts. Further details are provided below:

As of March 31, 2013
	Gross					Net
	Assets		Liabilities			Assets (Liabilities)
Unrealized gain (loss) on open contracts	$	690,004	$	(621,024	)	$	68,980
Purchased options on futures contracts		2,270,356		(28,709	)		2,241,647
Options written on futures contracts		-		(2,250,804	)		(2,250,804	)
Total	$	2,960,360	$	(2,900,537	)	$	59,823

As of December 31, 2012
	Gross					Net
	Assets		Liabilities			Assets (Liabilities)
Unrealized gain (loss) on open contracts	$	680,499	$	(419,755	)	$	260,744
Purchased options on futures contracts		810,560		(82,120	)		728,440
Options written on futures contracts		14,597		(898,839	)		(884,242	)
Total	$	1,505,656	$	(1,400,714	)	$	104,942

Trading gain (loss) for the following periods:

	Three Months Ended March 31,
Type of Futures Contracts	2013			2012
Agriculture	$	212,660		$	(200,022	)
Currency		(36,443	)		(438,307	)
Energy		120,898			198,001
Indices		(159,118	)		38,216
Interest Rates		(6,931	)		(287,594	)
Metals		1,962			(464,481	)
	$	133,028		$	(1,154,187	)

See Item 1: 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.