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Investment in Derivatives Contracts (Note F)

12 Months Ended

Dec. 31, 2011

NOTE F – INVESTMENTS IN DERIVATIVES CONTRACTS

Investments in derivative contracts are subject to additional risks that can result in a loss of the investment. The Fund’s activities and exposure are classified by the following underlying risks: interest rate, credit foreign currency exchange rate, commodity price, and equity price risks. In addition, the Fund is also subject to counterparty risk should its counterparties fail to meet the terms of their contracts.

The Fund’s derivative activity is stated at fair value. Changes in unrealized appreciation or depreciation of the investments are recognized as unrealized gains and losses in the statement of operations.

Forward Contracts: Forward currency and commodities transactions are contracts for delayed delivery of specific currencies and commodities in which the seller agrees to make delivery at a specified date. The Fund enters into these contracts to hedge itself against foreign currency exchange rate risk for its foreign currency dominated assets and liabilities. Risks associated with foreign currency and commodities contracts include the inability of counterparties to meet the terms of their contracts as well as movements in fair value and exchange rates. Changes in unrealized appreciation or depreciation of the investments are recognized as unrealized gains and losses in the statement of operations.

Futures Contracts: A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date. The fund may use futures contracts to gain exposure to, or hedge against, changes in the value of equities and commodities, interest rates or foreign currencies.

Futures contracts provide reduced counterparty risk to the Fund since futures are exchange-traded. The purchase and sale of futures contracts requires margin deposits with a Futures Commission Merchant. (“FCM”) Payments are made or received by the Fund each day, depending on the fluctuations in the contract value, and are recorded as unrealized gains or losses on the Fund’s financial statements.

The volume of the Fund’s derivative activities based on their notional amounts and number of contracts as of December 31, 2011 and 2010:

December 31, 2011	Long Exposure			Short Exposure
Primary Underlying Risk		Notional Amounts	Number of Contracts		Notional Amounts	Number of Contracts
Foreign currency exchange rate
Forward contracts	$	4,013,000	4,042,940	$	5,320,000	5,307,817
Commodity price
Futures contracts		188,425,000	1,105		111,445,000	1,179
Total	$	192,438,000	4,044,045	$	116,765,000	5,308,996

December 31, 2010	Long Exposure			Short Exposure
Primary Underlying Risk		Notional Amounts	Number of Contracts		Notional Amounts	Number of Contracts
Foreign currency exchange rate
Forward contracts	$	8,594,000	8,487,381	$	8,722,000	8,604,344
Commodity price
Futures contracts		155,475,000	1,347		43,533,000	345
Total	$	164,069,000	8,488,728	$	52,255,000	8,604,689

The fair value amounts of derivative instruments in the statement of financial condition as derivative contracts, categorized by primary underlying risk for the year ended December 31, 2011 and 2010:

	December 31, 2011				December 31, 2010
Primary underlying risk	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
Foreign currency exchange rate
Forward contracts	$	33,269	$	75,746	$	125,219	$	136,162
Commodity price
Futures contracts		2,445,257		1,794,785		2,802,842		1,198,075

Gross derivative assets and liabilities		2,478,526		1,870,531		2,928,061		1,334,237

Less: Master netting arrangements		-0-		-0-		-0-		-0-
Less: Cash collateral applied		-0-		-0-		-0-		-0-

Net derivative assets and liabilities	$	2,478,526	$	1,870,531	$	2,928,061	$	1,334,237

The net gain and loss amounts included in the statement of operations as net gain from derivative contracts, categorized by underlying risk for the year ended December 31, 2011 and 2010:

		December 31, 2011			December 31, 2010
Primary underlying risk		Amount of Loss			Amount of Gain
Foreign currency exchange rate
Forward contracts	$	(526,124	)	$	178,435
Commodity price
Futures contracts		(4,628,874	)		4,130,863
Total	$	(5,154,998	)	$	4,309,298

For the years ended December 31, 2011 and 2010, futures contracts per Note B are presented net of interest income and expense, and commission expense for a net decrease of $418,032 and $236,916 respectively.