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TRADING ACTIVITIES AND RELATED RISKS (Tables)
 12 Months Ended
Dec. 31, 2023
TRADING ACTIVITIES AND RELATED RISKS [Abstract]  
Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition
The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of December 31, 2023 and December 31, 2022 are as follows:

Type of Instrument *
  
Statements of Financial Condition Location
  
Asset
Derivatives at
December 31, 2023
Fair Value
    
Liability
Derivatives at
December 31, 2023
Fair Value
    
Net
  
Agriculture Contracts
  
Net unrealized gain (loss) on open futures contracts
  
$
2,891,417
    
$
(4,979,129
)
  
$
(2,087,712
)
Energy Contracts
  
Net unrealized gain (loss) on open futures contracts
    
713,181
      
(3,495,730
)
    
(2,782,549
)
Metal Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,898,129
      
(10,044,952
)
    
(3,146,823
)
Stock Indices Contracts
  
Net unrealized gain (loss) on open futures contracts
    
3,118,236
      
(1,639,469
)
    
1,478,767
  
Short-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
774,634
      
(1,914,820
)
    
(1,140,186
)
Long-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
653,960
      
(3,047,252
)
    
(2,393,292
)
Forward Currency Contracts
  
Net unrealized gain (loss) on open forward currency contracts
    
41,529,719
      
(44,014,850
)
    
(2,485,131
)
Credit Default Index Swap Contracts**
  
Credit default index swaps
    
13,971,793
      
(2,893,335
)
    
11,078,458
  
Interest Rate Swap Contracts**   Interest rate swaps     1,493,055       (1,506,037 )     (12,982 )
Totals
  
 
  
$
72,044,124
    
$
(73,535,574
)
  
$
(1,491,450
)

*
Derivatives not designated as hedging instruments under ASC 815
**
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Type of Instrument *
  
Statements of Financial Condition Location
  
Asset
Derivatives at
December 31, 2022
Fair Value
    
Liability
Derivatives at
December 31, 2022
Fair Value
    
Net
  
Agriculture Contracts
  
Net unrealized gain (loss) on open futures contracts
  
$
2,362,910
    
$
(4,530,228
)
  
$
(2,167,318)
  
Energy Contracts
  
Net unrealized gain (loss) on open futures contracts
    
2,696,056
      
(291,953
)
    
2,404,103
  
Metal Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,724,134
      
(4,773,071
)
    
1,951,063
Stock Indices Contracts
  
Net unrealized gain (loss) on open futures contracts
    
1,794,093
      
(3,944,508
)
    
(2,150,415)
  
Short-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
2,220,136
      
(374,153
)
    
1,845,983
Long-Term Interest Rate Contracts
  
Net unrealized gain (loss) on open futures contracts
    
6,290,661
      
(5,547,673
)
    
742,988
Forward Currency Contracts
  
Net unrealized gain (loss) on open forward currency contracts
    
23,501,515
      
(21,533,765
)
    
1,967,750
Credit Default Index Swap Contracts**   Credit default index swaps     508,868       (127,621 )     381,247  
Interest Rate Swap Contracts**   Interest rate swaps     4,972,588       (1,685,351 )     3,287,237  
Totals
  
 
  
$
51,070,961
    
$
(42,808,323
)
  
$
8,262,638
  
 
*
Derivatives not designated as hedging instruments under ASC 815
**
 Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations
The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the years ended December 31, 2023, 2022 and 2021 are as follows:
 
Type of Instrument
  
Trading Gains (Losses)
for the Year Ended
December 31, 2023
    
Trading Gains (Losses)
for the Year Ended
December 31, 2022
    
Trading Gains (Losses)
for the Year Ended
December 31, 2021
  
Agriculture Contracts
  
$
253,436
    
$
3,256,094
    
$
11,225,479
  
Energy Contracts
    
5,297,617
      
11,981,812
      
18,460,897
  
Metal Contracts
    
(5,364,577
)
    
5,747,066
      
912,723
  
Stock Indices Contracts
    
3,877,206
      
4,512,070
      
24,373,954
  
Short-Term Interest Rate Contracts
    
(3,905,407
)
    
20,066,141
      
(8,846,023
)
Long-Term Interest Rate Contracts
    
(16,786,822
)
    
37,316,495
      
(19,674,575
)
Forward Currency Contracts
    
(12,903,908
)
    
54,314,414
      
22,723,556
  
Credit default index swap contracts
    
11,336,500
      
(2,673,590
)
    
1,122,174
  
Interest rate swap contracts
    
(6,825,132
)
    
9,535,253
      
(1,237,587
)
Total
  
$
(25,021,087
)
  
$
144,055,755
    
$
49,060,598
  
 
 
 
Line Item in the Statements of Operations
  
Trading Gains (Losses)
for the Year Ended
December 31, 2023
    
Trading Gains (Losses)
for the Year Ended
December 31, 2022
    
Trading Gains (Losses)
for the Year Ended
December 31, 2021
  
Futures trading gains (losses):
                  
Realized***
  
$
(3,930,348
)
  
$
80,846,427
    
$
35,560,622
  
Change in unrealized
    
(12,698,199
)
    
2,033,251
      
(9,108,166
)
Forward currency trading gains (losses):
                        
Realized***
    
(8,451,027
)
    
50,568,689
      
26,828,250
  
Change in unrealized
    
(4,452,881
)
    
3,745,725
      
(4,104,694
)
Swap trading gains (losses):
                        
Realized***
    
3,260,123
      
3,353,466
      
1,344,538
  
Change in unrealized    
1,251,245
      
3,508,197
      
(1,459,952
)
Total
  
$
(25,021,087
)
  
$
144,055,755
    
$
49,060,598
  
 
***
For the years ended December 31, 2023, 2022 and 2021, the amounts above include gains (losses) on foreign currency cash balances at the futures brokers of $43,766, $(83,317) and $225,042, respectively, and gains (losses) on spot trades in connection with forward currency trading at the interbank market maker of $(2,238,901), $(1,251,414) and $2,727,387, respectively.
Offsetting of Derivative Assets and Collateral Received by Counterparty
Offsetting of Derivative Assets by Counterparty
As of December 31, 2023
 
 
 
 
Type of Instrument
  
 
 
 
 
Counterparty
  
Gross
Amounts of
Recognized Assets
    
Gross
Amounts
Offset in the
Statements of
Financial Condition
    
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
7,705,322
    
$
(7,705,322
)
  
$
0
  
Futures contracts
  
Goldman, Sachs & Co.
    
7,344,235
      
(7,344,235
)
    
0
  
Forward currency contracts
  
NatWest Markets Plc
    
41,529,719
      
(41,529,719
)
    
0
  
Centrally cleared swap contracts*
  
Centrally Cleared
    
15,464,848
      
(4,399,372
)
    
11,065,476
  
Total derivatives
  
 
  
$
72,044,124
    
$
(60,978,648
)
  
$
11,065,476
  

*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
  
Derivative Assets and Collateral Received by Counterparty
 
As of December 31, 2023
 

 
Net Amounts of
Unrealized Gain
Presented in the
    
Gross Amounts Not Offset in the
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Received
    
Net Amount
  
UBS Securities LLC
  
$
0
    
$
0
    
$
0
    
$
0
  
Goldman, Sachs & Co.
    
0
      
0
      
0
      
0
  
NatWest Markets plc
    
0
      
0
      
0
      
0
  
Centrally Cleared
    
11,065,476
      
0
      
0
      
11,065,476
  
Total
  
$
11,065,476
    
$
0
    
$
0
    
$
11,065,476
  
 
 
Offsetting of Derivative Assets by Counterparty
As of December 31, 2022
 
  
       
 
 
 
  
Gross
Amounts of
    
Gross
Amounts
Offset in the
Statements of
    
Net Amounts of
Unrealized Gain
Presented in the
Statements of
  
Type of Instrument
  
Counterparty
  
Recognized Assets
    
Financial Condition
    
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
11,125,617
    
$
(9,805,944
)
  
$
1,319,673
  
Futures contracts
  
Goldman, Sachs & Co.
    
10,962,373
      
(9,655,642
)
    
1,306,731
  
Forward currency contracts
  
NatWest Markets Plc
    
23,501,515
      
(21,533,765
)
    
1,967,750
  
Centrally cleared swap contracts*   Centrally Cleared     5,481,456       (1,812,972 )     3,668,484  
Total derivatives
  
 
  
$
51,070,961
    
$
(42,808,323
)
  
$
8,262,638
  
 
*
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2022

 
Net Amounts of
Unrealized Gain
    
Gross Amounts Not Offset in the
    
 

 
Presented in the
    
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Received
    
Net Amount
  
UBS Securities LLC
  
$
1,319,673
    
$
0
    
$
0
    
$
1,319,673
  
Goldman, Sachs & Co.
    
1,306,731
      
0
      
0
      
1,306,731
  
NatWest Markets Plc
    
1,967,750
      
0
      
0
      
1,967,750
  
Centrally Cleared     3,668,484       0       0       3,668,484  
Total
  
$
8,262,638
    
$
0
    
$
0
    
$
8,262,638
  
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2023
 
 
 
 
Type of Instrument
  
 
 
 
 
Counterparty
  
Gross Amounts
of Recognized
Liabilities
    
Gross
Amounts
Offset in the
Statements of
Financial Condition
    
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
12,209,145
    
$
(7,705,322
)
  
$
4,503,823
  
Futures contracts
  
Goldman, Sachs & Co.
    
12,912,207
      
(7,344,235
)
    
5,567,972
  
Forward currency contracts
  
NatWest Markets Plc
    
44,014,850
      
(41,529,719
)
    
2,485,131
  
Centrally cleared swap contracts
  
Centrally Cleared
    
4,399,372
      
(4,399,372
)
    
0
  
Total derivatives
  
 
  
$
73,535,574
    
$
(60,978,648
)
  
$
12,556,926
  
 
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2023

 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
  
 
 
  
Statements of
  
Financial
  
Cash Collateral
      
Counterparty
  
Financial Condition
  
Instruments
  
Pledged
  
Net Amount
  
UBS Securities LLC
  
$
4,503,823
    
$
0
    
$
(4,503,823
)
  
$
0
  
Goldman, Sachs & Co.
    
5,567,972
      
0
      
(5,567,972
)
    
0
  
NatWest Markets Plc
    
2,485,131
      
0
      
(2,485,131
)
    
0
  
Centrally Cleared
    
0
      
0
      
0
      
0
  
Total
  
$
12,556,926
    
$
0
    
$
(12,556,926
)
  
$
0
  
 
Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2022
 
  
       
 
 
 
  
Gross Amounts
of Recognized
    
Gross
Amounts
Offset in the
Statements of
    
Net Amounts of
Unrealized Loss
Presented in the
Statements of
  
Type of Instrument
  
Counterparty
  
Liabilities
    
Financial Condition
    
Financial Condition
  
Futures contracts
  
UBS Securities LLC
  
$
9,805,944
    
$
(9,805,944
)
  
$
0
  
Futures contracts
  
Goldman, Sachs & Co.
    
9,655,642
      
(9,655,642
)
    
0
  
Forward currency contracts
  
NatWest Markets Plc
    
21,533,765
      
(21,533,765
)
    
0
  
Centrally cleared swap contracts   Centrally Cleared     1,812,972       (1,812,972 )     0  
Total derivatives
  
 
  
$
42,808,323
    
$
(42,808,323
)
  
$
0
  
 
Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2022

 
Net Amounts of
Unrealized Loss
    
Gross Amounts Not Offset in the
    
 

 
Presented in the
    
Statements of Financial Condition
    
 

 
Statements of
    
Financial
    
Cash Collateral
    
 
Counterparty
  
Financial Condition
    
Instruments
    
Pledged
    
Net Amount
  
UBS Securities LLC
  
$
0
    
$
0
    
$
0
 
$
0
  
Goldman, Sachs & Co. LLC
    
0
      
0
      
0
   
0
  
NatWest Markets Plc
    
0
      
0
      
0
   
0
  
Centrally Cleared     0       0       0       0  
 Total
  
$
0
    
$
0
    
$
0
 
$
0