Schedule of Investments

6 Months Ended

Jun. 30, 2012

Schedule of Investments [Abstract]

Schedule of Investments

SCHEDULE OF INVESTMENTS

June 30, 2012

(Unaudited)

Investments

Principal Amount (000)		Description	Coupon			Maturity		Ratings(1)		Value
		Short-Term Investments
		U.S. Government and Agency Obligations
$	30,000	Federal Home Loan Mortgage Corporation		0.000	%		8/07/12		Aaa	$	29,998,500
	18,860	Federal Home Loan Mortgage Corporation		1.000	%		8/28/12		Aaa		18,884,914
	21,000	Federal National Mortgage Association		0.000	%		9/04/12		Aaa		20,997,018
	20,000	Federal National Mortgage Association		0.000	%		11/30/12		Aaa		19,990,780
	15,000	U.S. Treasury Bills		0.000	%		8/23/12		Aaa		14,999,025
	25,000	U.S. Treasury Bills		0.000	%		11/15/12		Aaa		24,989,375
	10,000	U.S. Treasury Bills		0.000	%		2/07/13		Aaa		9,990,230
	10,000	U.S. Treasury Bills		0.000	%		5/30/13		Aaa		9,982,510
	149,860	Total U.S. Government and Agency Obligations (cost $149,828,083)									149,832,352
		Repurchase Agreements
	13,601	Repurchase Agreement with State Street Bank, dated 6/29/12, repurchase price $13,600,984, collateralized by $13,250,000 U.S. Treasury Notes, 1.750%, due 5/31/16, value $13,874,976		0.010	%		7/02/12		N/A		13,600,973
		Total Repurchase Agreements (cost $13,600,973)									13,600,973
		Total Short-Term Investments (cost $163,429,056)								$	163,433,325

Investments in Derivatives

Futures Contracts outstanding:

Commodity Group	Contract	Contract Position (2)	Contract Expiration		Number of Contracts			Notional Amount at Value			Unrealized Appreciation (Depreciation)
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract	Long		August 2012		61		$	5,965,800		$	8,300
	ICE Brent Crude Oil Futures Contract	Long		September 2012		47			4,600,360			(543,370	)
	ICE Brent Crude Oil Futures Contract	Long		November 2012		8			782,320			33,280
	NYMEX Crude Oil Futures Contract	Long		August 2012		166			14,103,360			104,580
	NYMEX Crude Oil Futures Contract	Long		September 2012		127			10,841,990			(1,128,470	)
	Total Crude Oil											(1,525,680	)
	Heating Oil
	ICE Gas Oil Futures Contract	Long		August 2012		20			1,686,500			(8,725	)
	ICE Gas Oil Futures Contract	Long		September 2012		8			671,800			14,300
	NYMEX Heating Oil Futures Contract	Long		August 2012		41			4,666,448			120,712
	NYMEX Heating Oil Futures Contract	Long		September 2012		14			1,594,421			33,369
	NYMEX Heating Oil Futures Contract	Long		November 2012		6			685,692			27,249
	Total Heating Oil											186,905
	Natural Gas
	NYMEX Natural Gas Futures Contract	Long		August 2012		205			5,789,200			43,050
	NYMEX Natural Gas Futures Contract	Long		September 2012		119			3,371,270			348,815
	NYMEX Natural Gas Futures Contract	Long		November 2012		80			2,472,800			(55,650	)
	Total Natural Gas											336,215
Energy (continued)	Unleaded Gas
	NYMEX Gasoline RBOB Futures Contract	Long		August 2012		31		$	3,426,604		$	87,074
	NYMEX Gasoline RBOB Futures Contract	Long		September 2012		23			2,470,545			23,915
	NYMEX Gasoline RBOB Futures Contract	Long		November 2012		6			595,904			42,827
	Total Unleaded Gas											153,816
	Total Energy											(848,744	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Contract	Long		August 2012		197			9,332,875			(438,550	)
	Copper
	CEC Copper Futures Contract	Long		September 2012		113			9,877,613			(743,663	)
	LME Copper Futures Contract	Long		August 2012		52			10,003,500			346,450
	Total Copper											(397,213	)
	Nickel
	LME Nickel Futures Contract	Long		August 2012		32			3,208,704			84,096
	LME Nickel Futures Contract	Long		September 2012		16			1,605,984			39,552
	LME Nickel Futures Contract	Short		August 2012		(16	)		(1,604,352	)		(39,552	)
	Total Nickel											84,096
	Zinc
	LME Zinc Futures Contract	Long		July 2012		29			1,364,088			(91,531	)
	LME Zinc Futures Contract	Long		August 2012		30			1,411,500			(15,750	)
	LME Zinc Futures Contract	Long		September 2012		29			1,362,637			(14,863	)
	LME Zinc Futures Contract	Short		July 2012		(29	)		(1,364,088	)		13,775
	Total Zinc											(108,369	)
	Lead
	LME Lead Futures Contract	Long		July 2012		18			832,725			(80,325	)
	LME Lead Futures Contract	Long		August 2012		35			1,623,125			2,963
	LME Lead Futures Contract	Short		July 2012		(18	)		(832,725	)		(29,675	)
	Total Lead											(107,037	)
	Total Industrial Metals											(967,073	)
Agriculturals	Corn
	CBOT Corn Futures Contract	Long		September 2012		337		$	10,590,225		$	1,535,681
	Soybean
	CBOT Soybean Futures Contract	Long		November 2012		175			12,492,812			570,713
	Wheat
	CBOT Wheat Futures Contract	Long		September 2012		113			4,278,462			533,737
	KCBT Wheat Futures Contract	Long		September 2012		110			4,158,000			454,325
	Total Wheat											988,062
	Soybean Meal
	CBOT Soybean Meal Futures Contract	Long		August 2012		8			343,600			9,840
	CBOT Soybean Meal Futures Contract	Long		December 2012		67			2,767,770			79,360
	Total Soybean Meal											89,200
	Soybean Oil
	CBOT Soybean Oil Futures Contract	Long		December 2012		93			2,961,864			177,042
	Total Agriculturals											3,360,698
Precious Metals	Gold
	CEC Gold Futures Contract	Long		August 2012		120			19,250,400			320,100
	Silver
	CEC Silver Futures Contract	Long		September 2012		47			6,488,820			81,545
	Platinum
	NYMEX Platinum Futures Contract	Long		October 2012		21			1,525,020			(40,950	)
	Palladium
	NYMEX Palladium Futures Contract	Long		September 2012		14			818,370			(35,485	)
	Total Precious Metals											325,210
Foods and Fibers	Cotton
	ICE Cotton Futures Contract	Long		December 2012		113			4,030,145			(177,740	)
	Sugar
	ICE Sugar Futures Contract	Long		October 2012		308			7,247,610			439,853
	Coffee
	ICE Coffee C Futures Contract	Long		September 2012		55			3,520,688			251,438
	LIFFE Coffee Robusta Futures Contract	Long		September 2012		64			1,365,760			36,200
	Total Coffee											287,638
Foods and Fibers (continued)	Cocoa
	ICE Cocoa Futures Contract	Long		September 2012		53		$	1,214,230		$	48,520
	Total Foods and Fibers											598,271
Livestock	Live Cattle
	CME Live Cattle Futures Contract	Long		August 2012		159			7,660,620			101,500
	CME Live Cattle Futures Contract	Long		October 2012		16			796,160			12,720
	Total Live Cattle											114,220
	Lean Hogs
	CME Lean Hog Futures Contract	Long		July 2012		55			2,125,750			143,030
	CME Lean Hog Futures Contract	Long		August 2012		50			1,895,500			100,768
	CME Lean Hog Futures Contract	Long		October 2012		5			165,900			360
	Total Lean Hogs											244,158
	Feeder Cattle
	CME Feeder Cattle Futures Contract	Long		August 2012		14			1,060,150			(19,300	)
	CME Feeder Cattle Futures Contract	Long		October 2012		10			781,125			(18,700	)
	Total Feeder Cattle											(38,000	)
	Total Livestock											320,378
	Total Futures Contracts outstanding										$	2,788,740

Call Options Written outstanding:

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		August 2012		(58	)	$	108.5	$	(5,220	)
	NYMEX Crude Oil Futures Options		July 2012		(147	)		91.0		(64,680	)
	Total Crude Oil									(69,900	)
	Heating Oil
	NYMEX Heating Oil Futures Options		July 2012		(41	)		2.9		(27,724	)
	Natural Gas
	NYMEX Natural Gas Futures Options		July 2012		(202	)		2,950.0		(248,460	)
	Unleaded Gas
	NYMEX Gasoline RBOB Futures Options		July 2012		(30	)		28,500.0		(14,994	)
	Total Energy									(361,078	)
Industrial Metals	Aluminum
	LME Primary Aluminum Futures Options (3)		August 2012		(98	)		2,100.0		(3,920	)
	Copper
	LME Copper Futures Options (3)		August 2012		(52	)		8,025.0		(119,730	)
	Nickel
	LME Nickel Futures Options (3)		August 2012		(16	)		17,900.0		(16,825	)
	Zinc
	LME Zinc Futures Options (3)		August 2012		(29	)		2,050.0		(7,852	)
	Lead
	LME Lead Futures Options (3)		August 2012		(18	)		2,075.0		(3,789	)
	Total Industrial Metals									(152,116	)
Agriculturals	Corn
	CBOT Corn Futures Options		August 2012		(169	)		565.0		(648,538	)
	Soybean
	CBOT Soybean Futures Options		October 2012		(87	)		1,520.0		(245,231	)
	Wheat
	CBOT Wheat Futures Options		August 2012		(56	)		725.0		(165,200	)
	KCBT Wheat Futures Options		August 2012		(55	)		760.0		(103,125	)
	Total Wheat									(268,325	)
Agriculturals (continued)	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2012		(38	)	$	450.0	$	(63,650	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2012		(47	)		545.0		(65,565	)
	Total Agriculturals									(1,291,309	)
Precious Metals	Gold
	CEC Gold Futures Options		July 2012		(60	)		1,740.0		(12,000	)
	Silver
	CEC Silver Futures Options		August 2012		(24	)		3,125.0		(41,040	)
	Total Precious Metals									(53,040	)
Foods and Fibers	Cotton
	ICE Cotton Futures Options		November 2012		(31	)		740.0		(63,395	)
	ICE Cotton Futures Options		November 2012		(26	)		780.0		(35,750	)
	Total Cotton									(99,145	)
	Sugar
	ICE Sugar Futures Options		September 2012		(154	)		212.5		(179,379	)
	Coffee
	ICE Coffee C Futures Options		August 2012		(38	)		172.5		(102,885	)
	Cocoa
	ICE Cocoa Futures Options		August 2012		(26	)		2,550.0		(6,500	)
	Total Foods and Fibers									(387,909	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2012		(107	)		128.0		(9,630	)
	Lean Hogs
	CME Lean Hogs Futures Options		July 2012		(54	)		93.0		(82,080	)
	CME Lean Hogs Futures Options		July 2012		(1	)		100.0		(70	)
	Total Lean Hogs									(82,150	)
	Total Livestock									(91,780	)
	Total Call Options Written outstanding (premiums received $1,504,277)				(1,664	)			$	(2,337,232	)

⁽¹⁾  Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investor Service, Inc. or Fitch, Inc. rating.

⁽²⁾  The Fund expects to invest only in long futures contracts. Some short futures positions arise in futures contracts traded on the London Metal Exchange (“LME”) solely as the result of closing existing long LME futures positions. For every short LME futures contract outstanding, the Fund had previously entered into a long LME futures contract. The London Clearing House is the counterparty for both the long and short position.

⁽³⁾  For fair value measurement disclosure purposes, these Call Options Written are categorized as Level 2. See Notes to Financial Statements, Footnote 2—Summary of Significant Accounting Policies, Investment Valuation and Fair Value Measurements for more information.

N/A	Not applicable.
CBOT	Chicago Board of Trade
CEC	Commodities Exchange Center
CME	Chicago Mercantile Exchange
ICE	Intercontinental Exchange
KCBT	Kansas City Board of Trade
LIFFE	London International Financial Futures Exchange
LME	London Metal Exchange
NYMEX	New York Mercantile Exchange
RBOB	Reformulated Gasoline Blendstock for Oxygen Blending