false
--12-31
Q1
2012
2012-03-31
10-Q
0001482878
100040
Smaller Reporting Company
FactorShares 2X: Oil Bull/S&P500 Bear
13833
2005
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong>(4) Agreements</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong> </strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong>(a) Management Fee</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong> </strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund pays the Managing Owner a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the average daily NAV of the Fund (the "Management Fee"). The Management Fee is paid in consideration of the Managing Owner's advisory services to the Fund. From the Management Fee, the Managing Owner will be responsible for paying any license fee relating to the Index. As of March 4, 2011, the Managing Owner voluntarily agreed to waive receipt of its management fees and/or assume the expenses of the Fund so that Fund expenses do not exceed an annual rate of 2% of the value of the Fund's average daily net assets. As of July 18, 2011, the Managing Owner voluntarily agreed to waive receipt of its management fees and/or assume the expenses of the Fund so that Fund expenses will not exceed an annual rate of 2.99% of the value of the Fund's average daily net assets. As of August 1, 2011, the Managing Owner discontinued the voluntary waiver of management fees and reimbursement of expenses. The waiver and reimbursement for the period from February 22, 2011 to July 31, 2011 were voluntary on the part of the Managing Owner.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The reduction in management fee, pursuant to the undertaking, amounted to $3,786 for the Period from February 22, 2011 to March 31, 2011.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>b) The Administrator, Transfer Agent and Custodian</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund has appointed State Street Bank and Trust Company ("State Street"), a Massachusetts trust company, as the administrator (the "Administrator"), the transfer agent (the "Transfer Agent") and the custodian (the "Custodian") of the Fund and has entered into an Administration Agreement, a Transfer Agency and Service Agreement and a Custodian Agreement in connection therewith, respectively.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The monthly fees for administrative and custody services are up to 0.0475% per annum of the average net assets of the Fund up to $200 million and 0.0225% thereafter, subject to an annual minimum fee of $32,500 for the first twelve months of the Fund's operations and $60,000 annually in subsequent years. Additionally, the Fund may pay the Transfer Agent approximately $13,500 per annum plus several additional and de minimis fees, as applicable.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(c) The Distributor</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Foreside Fund Services, LLC (the "Distributor") provides certain distribution services to the Fund. Pursuant to the Distribution Services Agreement between the Managing Owner, the Fund and the Distributor, the Distributor assists the Managing Owner and the Fund with certain functions and duties relating to distribution and marketing services provided to the Fund, including reviewing and approving marketing materials and certain regulatory compliance matters. The Distributor also assists with the processing of creation and redemption orders.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Distributor is paid an annual fee of up to $12,000 by the Fund and a monthly fee of up to 0.005% per annum of the Fund's average monthly net asset value. The distribution fees amounted to $2,707 for the Three Months Ended March 31, 2012 and $500 for the Period from February 22, 2011 to March 31, 2011 as disclosed in the Statements of Operations.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(d) The Commodity Broker</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Interactive Brokers LLC, a Connecticut limited liability company, serves as the Fund's clearing broker. The Commodity Broker is a member of Factor Advisors, LLC, the parent and the sole owner of the Managing Owner. In its capacity as clearing broker, the Commodity Broker executes and clears the Fund's futures transactions and performs certain administrative services for the Fund.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund pays respective brokerage commissions, including applicable exchange fees, National Futures Association ("NFA") fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The brokerage commission and fees amounted to $947 for the Three Months Ended March 31, 2012 and $1,193 for the Period from February 22, 2011 to March 31, 2011 as disclosed in the Statements of Operations.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(e) The Trustee</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Under the Amended and Restated Declaration of Trust and Trust Agreement (the "Trust Agreement"), Wilmington Trust Company, the Trustee of the Fund (the "Trustee") serves as the sole trustee of the Fund in the State of Delaware. The Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. Under the Trust Agreement, the Managing Owner has the exclusive management and control of all aspects of the business of the Fund. The Trustee does not owe any other duties to the Fund, the Managing Owner or the Shareholders of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor does the Trustee have any liability for the acts or omissions of the Managing Owner. The trustee fees amounted to $620 for the Three Months Ended March 31, 2012 and $257 for the Period from February 22, 2011 to March 31, 2011 which is included in Other Expenses in the Statements of Operations.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(f) Routine Offering, Operational, Administrative and Other Ordinary Expenses</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund pays all of the routine offering, operational, administrative and other ordinary expenses, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs. The routine offering, operational, administrative and other ordinary expenses amounted to $91,134 for the Three Months Ended March 31, 2012 and $56,654 for the Period from February 22, 2011 to March 31, 2011.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The reimbursement of Fund expenses, pursuant to the undertaking (as discussed in Note 4a), amounted to $22,405 for the Period from February 22, 2011 to March 31, 2011.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(g) Organizational and Offering Costs</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Expenses incurred in connection with organizing the Fund and up to the offering of its Shares upon commencement of its investment operations on February 22, 2011, were paid by Factor Advisors, LLC without reimbursement. Accordingly, all such expenses are not reflected in the Statements of Operations. The Fund will bear the costs of its continuous offering of Shares and ongoing offering expenses. Such ongoing offering costs will be included as a portion of the Routine Offering, Operational, Administrative and Other Ordinary Expenses. These costs will include registration fees for regulatory agencies and all legal, accounting, printing and other expenses associated therewith. These costs will be accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter period if warranted.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> For the Three Months Ended March 31, 2012 and the Period from February 22, 2011 to March 31, 2011, the Fund did not incur any such expenses.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(h) Extraordinary Fees and Expenses</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund will pay all extraordinary fees and expenses, if any. Extraordinary fees and expenses are non-recurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the Three Months Ended March 31, 2012 and the Period from February 22, 2011 to March 31, 2011, the Fund did not incur any such expenses.</p> <!--EndFragment--></div> </div>
20011
24063
2707
500
22405
206524
-2487242
5025802
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong>(8) Indemnifications</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. As of March 31, 2012, the Fund had not received any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote.</p> <!--EndFragment--></div> </div>
3534764
3272915
4262500
4184453
-135104
-97285
-12810
-232389
-87197
-74387
17.34
21.48
17.04
21.46
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong>(10) Net Asset Value and Financial Highlights</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong> </strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 6pt; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund is presenting the following net asset value and financial highlights related to investment performance for a Share outstanding for the Three Months Ended March 31, 2012 and for the Period from February 22, 2011 to March 31, 2011. The net investment income/(loss) and expense ratios are calculated using average net assets. The net asset value presentation is calculated by dividing the Fund's net assets by the average daily number of Shares outstanding. The net investment income/(loss) and expense ratios have been annualized. The total return is based on the change in net asset value or market value of the Shares during the period. An individual investor's return and ratios may vary based on the timing of their transactions in Fund Shares.</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; WIDTH: 49%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> </td> <td style="BORDER-BOTTOM: black 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 23%; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: top"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> <strong>Three Months Ended<br /> March 31, 2012</strong></p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; WIDTH: 3%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="BORDER-BOTTOM: black 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 25%; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> <strong>For the Period from<br /> February 22, 2011* to<br /> March 31, 2011</strong></p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> </td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom; FONT-WEIGHT: bold" nowrap="nowrap">Net Asset Value</td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net asset value per Share, beginning of period</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom"> $ 21.46</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">$ 25.00</td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net investment income/(loss)</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom"> (0.91)</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">(0.12)</td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net realized and unrealized gain/(loss)</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom"> (3.51)</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">2.62</td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net income/(loss)</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom"> (4.42)</td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">2.50</td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net asset value per Share, end of period</td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $ 17.04</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $ 27.50</p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Market value per Share, end of period</td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; TEXT-INDENT: 0.5in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $ 17.34</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; TEXT-INDENT: 0.5in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $ 27.40</p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"><strong>Ratios to average Net Assets</strong> <sub>a</sub></td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom"> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Expense ratio<sub>b</sub></td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 21.24%</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 4.85%</p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Expense ratio before waiver / reimbursement</td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 21.24%</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 9.02%</p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap">Net investment income/(loss)</td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> (21.24)%</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> (4.58)%</p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"><strong>Total Return, at net asset value</strong> <sub>c</sub></td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> (20.60)%</p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 10.00% <sub>d</sub></p> </td> </tr> <tr> <td style="TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"><strong>Total Return, at market value</strong> <sub>c</sub></td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> (19.27)% </p> </td> <td style="TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: top"> </td> <td style="PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom" nowrap="nowrap"> <p style="BORDER-BOTTOM: black 2.25pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> 14.45% <sub>d</sub> </p> </td> </tr> </table> <p style="FONT: 8pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.25in; TEXT-INDENT: -0.25in"> </p> <table style="MARGIN-TOP: 0px; FONT: 8pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0px" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"> </td> <td style="FONT-SIZE: 10pt; WIDTH: 0.25in"><sub>a</sub></td> <td>Percentages are annualized.</td> </tr> </table> <table style="MARGIN-TOP: 0px; FONT: 8pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0px" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"> </td> <td style="FONT-SIZE: 10pt; WIDTH: 0.25in"><sub>b</sub></td> <td>For the period March 4, 2011 through March 31, 2011 Fund expenses had been capped at 2% of average net assets. See Note 4(a).</td> </tr> </table> <table style="MARGIN-TOP: 0px; FONT: 8pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0px" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"> </td> <td style="FONT-SIZE: 10pt; WIDTH: 0.25in"><sub>c</sub></td> <td>Percentages are not annualized.</td> </tr> </table> <table style="MARGIN-TOP: 0px; FONT: 8pt Times New Roman, Times, Serif; MARGIN-BOTTOM: 0px" cellspacing="0" cellpadding="0" width="100%"> <tr style="VERTICAL-ALIGN: top"> <td style="WIDTH: 0px"> </td> <td style="FONT-SIZE: 10pt; WIDTH: 0.25in"><sub>d</sub></td> <td>Net Asset Value (NAV) returns are calculated from when the Fund began investment operations (February 22, 2011), while returns based on Market Value are calculated from the date shares were initially listed and publicly available (February 24, 2011).</td> </tr> </table> <!--EndFragment--></div> </div>
91134
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(7) Profit and Loss Allocations and Distributions</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Pursuant to the Trust Agreement, income and expenses are allocated <em>pro rata</em> among the Shareholders monthly based on their respective percentage interests as of the close of the last trading day of the preceding month. Any losses allocated to the Managing Owner which are in excess of the Managing Owner's capital balance are allocated to the Shareholders in accordance with their respective interest in the Fund as a percentage of total Shareholders' capital. Distributions (other than redemption of units) may be made at the sole discretion of the Managing Owner on a <em>pro rata</em> basis in accordance with the respective interests of the Shareholders.</p> <!--EndFragment--></div> </div>
3786
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong>(9) Termination</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The term of the Fund is perpetual unless terminated earlier in certain circumstances as described in the Prospectus.</p> <!--EndFragment--></div> </div>
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(3) Investments</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(a) Short-Term Investments</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund may purchase U.S. Treasury Bills, agency securities, money market funds and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Fund's trading in futures contracts.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(b) Derivative Instruments</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In seeking to achieve the Fund's investment objective, the Managing Owner uses a mathematical approach to investing. Using this approach, the Managing Owner determines the type, quantity and mix of investment positions that the Managing Owner believes in combination should produce daily returns consistent with the Fund's objective.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> All open derivative positions at March 31, 2012 and December 31, 2011 for the Fund are disclosed in the Schedules of Investments and the notional value of these open positions relative to shareholders' capital of the Fund is generally representative of the notional value of open positions to shareholders' capital throughout the reporting period for the Fund. The volume associated with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders' capital consistent with the Fund's investment objective.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Following is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund enters into futures contracts to gain exposure to changes in the value of the underlying commodity or financial index. A commodities futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of a commodity at a specified time and place. The contractual obligations of a buyer or seller of a commodities futures contract may generally be satisfied by taking or making physical delivery of the underlying commodity or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. Futures contracts based on an underlying financial index are cash settlement contracts.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Upon entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as Cash held by broker, as disclosed in the Statements of Financial Condition, and is restricted as to its use. Pursuant to the futures contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing a futures transaction.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Futures contracts involve, to varying degrees, elements of market risk (specifically commodity or financial index price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying commodity or securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded and the exchange's clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> Fair Value of Derivative Instruments</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> As of March 31, 2012</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid" colspan="2">Asset Derivatives</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid" colspan="2">Liability Derivatives</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 18%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 30%; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Statement of Financial Condition</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; WIDTH: 13%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 8pt; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid"> Unrealized Appreciation</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 27%; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Statement of Financial Condition</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; WIDTH: 12%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 8pt; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid"> Unrealized Depreciation</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Commodities Risk</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> Payable on open futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> $ (135,104)*</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Equity Risk</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> Payable on open futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> $ (97,285)*</td> </tr> </table> <p style="FONT: 7pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> *Includes cumulative depreciation of futures contracts as reported in the Schedules of Investments.</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> </p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> Fair Value of Derivative Instruments</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> As of December 31, 2011</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid" colspan="2">Asset Derivatives</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid" colspan="2">Liability Derivatives</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 18%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 30%; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Statement of Financial Condition</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; WIDTH: 13%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 8pt; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid"> Unrealized Appreciation</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 27%; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Statement of Financial Condition</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; WIDTH: 12%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 8pt; FONT-WEIGHT: bold; BORDER-RIGHT: windowtext 1pt solid"> Unrealized Depreciation</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Commodities Risk</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> Payable on open futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> $ (12,810)*</td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Equity Risk</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> Payable on open futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> $ (74,387)*</td> </tr> </table> <p style="FONT: 7pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> *Includes cumulative depreciation of futures contracts as reported in the Schedules of Investments.</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> </p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> The Effect of Derivative Instruments on the Statement of Operations</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> For the Three Months Ended March 31, 2012</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 19%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 32%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Location of Gain (Loss) on Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 23%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Realized Gain (Loss) on Derivatives Recognized in Income</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 26%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income</strong></p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: left; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> Commodities Risk</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> <br /> Net realized gain/(loss) on futures contracts and/or<br /> Change in unrealized gain/(loss) on futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $245,293</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $(122,294)</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> Equity Risk</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> <br /> Net realized gain/(loss) on futures contracts and/or<br /> Change in unrealized gain/(loss) on futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $(450,870)</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $(22,898)</p> </td> </tr> </table> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> The futures contracts open at March 31, 2012 are indicative of the activity for the Three Months Ended March 31, 2012.</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> </p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> </p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> The Effect of Derivative Instruments on the Statement of Operations</p> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> For the Period From February 22, 2011 to March 31, 2011</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 19%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 32%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Location of Gain (Loss) on Derivatives</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 23%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Realized Gain (Loss) on Derivatives Recognized in Income</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 26%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> <strong>Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Income</strong></p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: left; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> Commodities Risk</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> <br /> Net realized gain/(loss) on futures contracts and/or<br /> Change in unrealized gain/(loss) on futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $383,803</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $292,733</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> Equity Risk</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 7pt; BORDER-RIGHT: windowtext 1pt solid"> <br /> Net realized gain/(loss) on futures contracts and/or<br /> Change in unrealized gain/(loss) on futures contracts</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> $103,439</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> ($277,398)</p> </td> </tr> </table> <p style="FONT: 9pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> The futures contracts open at March 31, 2011 are indicative of the activity for the Period from February 22, 2011 to March 31, 2011.</p> <!--EndFragment--></div> </div>
345
104449
130698
2910120
2910120
3660
4709
2057000
2371928
1000
1000
<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" -->
<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(6) Risk</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(a) Correlation Risk</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund does not seek to achieve its stated investment objective over a period of time greater than one day because of daily rebalancing and mathematical compounding prevents the Fund from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200% or -200%) of the periodic return of the corresponding benchmark and will likely differ significantly.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> A number of factors may affect the Fund's ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that the Fund will achieve a high degree of correlation. A failure to achieve a high degree of correlation may prevent the Fund from achieving its investment objective. A number of factors may adversely affect the Fund's correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the futures contracts or Financial Instruments in which the Fund invests. The Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. In addition, there is a special form of correlation risk that derives from the Fund's use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of the Fund to be either greater than or less than the target return for the same period stated in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index may cause a decrease in the performance relative to the target return for the same period.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(b) Leverage Risk</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Leverage offers a means of magnifying market movements into larger changes in an investment's value and provides greater investment exposure than an unleveraged investment. Futures contracts are used to create leverage. The Fund employs leveraged investment techniques to achieve its investment objective.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(c) Liquidity Risk</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which the Fund invests, the Fund might not be able to dispose of certain holdings quickly or at prices that represent what the market value may have been in an orderly market. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with its underlying Index.</p> <!--EndFragment--></div> </div>
15256
7224
2805
947
1193
-350769
502577
4372
332
-26249
51675
22405
8032
1193
145192
277398
8388
292733
345
-91134
-28768
429216
546008
429216
546008
429216
546008
429216
546008
429216
546008
3399660
3370200
4249690
4258840
33
48
43
68
429216
546008
0.2518
0.2543
0.2518
0.2543
19235
8594
352094
225119
2057000
2371928
<!--DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd" -->
<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(1) Organization</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> FACTORSHARES 2X: OIL BULL/S&P500 BEAR (the "Fund"), a Delaware statutory trust formed on January 26, 2010, commenced investment operations on February 22, 2011. The Fund offers common units of beneficial interest (the "Shares") only to certain eligible financial institutions (the "Authorized Participants") in one or more blocks of 100,000 Shares (a "Basket"). Factor Capital Management, LLC (the "Managing Owner"), a Delaware limited liability company and a wholly owned subsidiary of Factor Advisors, LLC, serves as the managing owner and commodity pool operator of the Fund. The Managing Owner seeded the Fund with a capital contribution of $1,000 in exchange for 40 Shares at the initial issuance price of $25.00 per share on March 22, 2010. From March 22, 2010 through February 21, 2011 the Fund had no operating activities and as a result the financial statement disclosures related to the prior period have been omitted.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund commenced investment operations on February 22, 2011. The Fund Shares commenced trading on the NYSE Arca, Inc. (the "NYSE Arca") on February 24, 2011 under the symbol "FOL".</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> This report covers the three months ended March 31, 2012 and 2011 (hereinafter referred to as the "Three Months Ended March 31, 2012" and the "Period from February 22, 2011 to March 31, 2011", respectively).</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The proceeds of the offering of Shares are invested by the Fund in accordance with its investment objective. The Fund is designed for investors who believe the oil market segment will increase in value relative to the large-cap U.S. equities market segment, in one day or less. The objective of the Fund is to seek to track approximately +200% of the daily return of the S&P Crude Oil-Equity Spread Total Return Index (the "Index"). The Fund seeks to track the spread, or the difference in daily returns, between the S&P GSCI Crude Oil Excess Return Index and the Standard & Poor's 500 Stock Price Return Index Futures segments primarily by establishing a leveraged long position in the NYMEX Light Sweet Crude Oil<sup>™</sup> Futures (the "Oil Index Futures Contract"), and a leveraged short position in the E-mini Standard & Poor's 500 Stock Price Index<sup>™</sup> Futures (the "Equity Index Futures Contract"). The Fund may also invest in Substitute Futures and/or Financial Instruments from time-to-time. The term "Substitute Futures" refers to futures contracts other than the Oil Index Futures Contract and the Equity Index Futures Contract that underlie the Index that the Managing Owner expects will tend to exhibit trading prices or returns that generally correlate with the Oil Index Futures Contract and/or the Equity Index Futures Contract, as applicable. The term "Financial Instruments" refers to forward agreements and swaps that the Managing Owner expects will tend to exhibit trading prices or returns that generally correlate with the Oil Index Futures Contract and/or the Equity Index Futures Contract, as applicable.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Oil Index Futures Contract provides an exposure to a major benchmark index of NYMEX Light Sweet Crude Oil prices at Cushing, Oklahoma of West Texas Intermediate Crude Oil ("WTI"). The Oil Index Futures Contract is a futures contract that permits investors to invest in a substitute instrument in place of crude oil commodity prices and thereby speculate on, or hedge exposure to, crude oil prices. The Oil Index Futures Contract serves as a proxy for crude oil prices because the performance of the Oil Index Futures Contract is dependent upon and reflects the changes in the price of light sweet crude oil for distribution and sales in the U.S. oil market, which reflects the performance of oil in the U.S. market. The Equity Index Futures Contract provides an exposure to the large-cap U.S. equity market segment in the U.S. because it is a futures contract that permits investors to invest in a substitute instrument in place of the large cap U.S. equity market and thereby speculate on, or hedge exposure to, the direction of large-cap equity stock prices. The Equity Index Futures Contract serves as a proxy for large-cap equity prices because the performance of the Equity Index Futures Contract is dependent upon and reflects the changes in the price of the underlying large cap equities.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In order to pursue its investment objective, the Fund seeks to invest approximately +200% of the value of its fund capital (i.e., the estimated net asset value) (the "Fund Capital") in the front month Oil Index Futures Contract (or Substitute Futures and/or Financial Instruments). Simultaneously, the Fund seeks to invest approximately −200% of the value of its Fund Capital in the front month Equity Index Futures Contract (or Substitute Futures and/or Financial Instruments). Around the Net Asset Value ("NAV") Calculation Time, and in order to continue to pursue its daily investment objective, the Fund seeks to rebalance daily its front month Oil Index Futures Contracts (or Substitute Futures and/or Financial Instruments) to equal approximately +200% of the value of its Fund Capital. Similarly, around the NAV Calculation Time, the Fund seeks to rebalance daily its front month Equity Index Futures Contract (or Substitute Futures and/or Financial Instruments) to equal approximately −200% of the value of its Fund Capital.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund has a leverage ratio of approximately 4:1 upon daily rebalancing.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund does not seek to achieve its stated investment objective over a period of time greater than one day because daily rebalancing and mathematical compounding prevents the Fund from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200% or -200%) of the period return of the corresponding benchmark and will likely differ significantly. Investors should monitor their Fund holdings consistent with their strategies, as frequently as daily.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Standard & Poor's®, S&P® and GSCI® are registered trademarks of Standard & Poor's Financial Services LLC ("S&P") and have been licensed for use by the Managing Owner. The Fund is not sponsored, endorsed, sold or promoted by S&P or its affiliates.</p> <!--EndFragment--></div> </div>
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(2) Summary of Significant Accounting Policies</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(a) Basis of Accounting</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The accompanying financial statements of the Fund have been prepared in conformity with U.S. generally accepted accounting principles.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The accompanying financial statements are unaudited, but in the opinion of management, all adjustments (which include normal recurring adjustments) considered necessary to present fairly the financial statements have been made. Certain information and footnote disclosure normally included in financial statements prepared in accordance with U.S. generally accepted accounting principles may have been condensed or omitted. The Fund's Prospectus dated May 7, 2012 should be read in conjunction with these interim financial statements. Interim period results are not necessarily indicative of results for a full-year period.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(b) Use of Estimates</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The preparation of the financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and accompanying notes. Actual results could differ from those estimates.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(c) Cash</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Cash, when shown in the Statements of Financial Condition, represents non-segregated cash and does not include short term investments.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong>(d) Segregated Cash Held by Broker</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund's arrangement with Interactive Brokers, LLC (the "Commodity Broker") requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. These amounts are shown as Segregated Cash held by broker in the Statements of Financial Condition. The Fund deposits cash and United States Treasury Obligations with the Commodity Broker subject to Commodity Futures Trading Commission (the "CFTC") regulations and various exchange and broker requirements. The combination of the Fund's deposits with its Commodity Broker of cash and United States Treasury Obligations and the unrealized gain or loss on open futures contracts represents the Fund's overall equity in its brokerage trading account. The Fund uses its cash held by the Commodity Broker to satisfy variation margin requirements. The Fund earns interest on its cash deposited with the Commodity Broker and is recorded on the accrual basis.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(e) Final Net Asset Value for Fiscal Period</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The calculation time of the Fund's final net asset value for creation and redemption of Fund shares for the Three Months Ended March 31, 2012 was at 2:30 p.m. Eastern Time.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Although the Fund's shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 2:30 p.m. Eastern Time represents the final opportunity to transact in creation or redemption units for the Three Months Ended March 31, 2012.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Fair value per share is determined at the close of the NYSE Arca and may be later than when the Fund's NAV per share is calculated.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> For financial reporting purposes, the Fund values transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of the Fund's final creation/redemption NAV at March 31, 2012 and December 31, 2011.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong>(f) Investment Valuation</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Futures contracts are generally valued at the last settled price on the applicable exchange on which that futures contract trades.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Financial Instruments are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Managing Owner. However, if the price of the underlying Index Futures Contract becomes unavailable with respect to a specific Financial Instrument, the Managing Owner may, in its sole discretion, choose to determine a fair value price as the basis for determining the fair value of such position in a Financial Instrument for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying Index Futures Contract and would be based on principles that the Managing Owner deems fair and equitable so long as such principles are consistent with normal industry standards.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(g) Financial Instruments and Fair Value</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (FASB) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund's own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The following tables summarize the valuation of investments at March 31, 2012 and December 31, 2011 using the fair value hierarchy:</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center; TEXT-INDENT: 0in"> <strong><u>March 31, 2012</u></strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> </p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> U.S. Government Treasury Obligations</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Short-Term<br /> Investments</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 22%; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> Futures Contracts</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 18%; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> Total</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Level I - Quoted<br /> Prices</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0.5in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> -</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $429,216 <font style="FONT-SIZE: 6pt">a</font></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $(232,389) <font style="FONT-SIZE: 6pt">b</font></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $ 196,827</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Total</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $429,216 </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $ (232,389) </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $ 196,827</td> </tr> </table> <p style="FONT: 6pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> a - Included in Short-term investments in the Statements of Financial Condition.</p> <p style="FONT: 6pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> b - Included in Payable on open futures contracts in the Statements of Financial Condition.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center; TEXT-INDENT: 0in"> <strong><u>December 31, 2011</u></strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center; TEXT-INDENT: 0.5in"> <strong> </strong></p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> U.S. Government Treasury Obligations</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; WIDTH: 20%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Short-Term<br /> Investments</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: left; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 22%; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> Futures Contracts</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 18%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> Total</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Level I - Quoted<br /> Prices</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0.5in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> -</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: justify; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0.5in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $546,008<font style="FONT-SIZE: 8pt">a</font></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $(87,197) <font style="FONT-SIZE: 6pt">b</font></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> </p> <p style="TEXT-ALIGN: right; TEXT-INDENT: 0in; MARGIN: 0px; FONT: 10pt Times New Roman, Times, Serif"> $458,811</p> </td> </tr> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: justify; BORDER-LEFT: windowtext 1pt solid; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Total</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> -</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $546,008 </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $(87,197) </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; TEXT-INDENT: 0in; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-RIGHT: windowtext 1pt solid"> $458,811</td> </tr> </table> <p style="FONT: 6pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> a - Included in Short-term investments in the Statements of Financial Condition.</p> <p style="FONT: 6pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> b - Included in Payable on open futures contracts in the Statements of Financial Condition.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> There were no Level III type holdings at March 31, 2012 and December 31, 2011 and during the Three Months Ended March 31, 2012 and in the Period from February 22, 2011 to December 31, 2011.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> During the Three Months Ended March 31, 2012 and the Period from February 22, 2011 to December 31, 2011, there were no significant transfers between Level I and Level II.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In May 2011, FASB Issued ASU No. 2011-04 "Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in US GAAP and International Financial Reporting Standards ("IFRS") ("ASU 2011-04"). ASU 2011-04 includes common requirements for measurement of disclosure about fair value between US GAAP and IFRS. ASU 2011-04 requires reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, ASU 2011-04 requires reporting entities to make disclosure about amounts and reason for all transfers in and out of Level 1 and Level 2 fair value measurements. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management has evaluated the implications of ASU 2011-04 and determined that it had no impact on the financial statements for the period ended March 31, 2012.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong>(h) Investment Transactions and Related Income</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, with the exception of futures transactions which are recorded on the average cost basis, and marked to market daily. Unrealized appreciation/depreciation on open futures contracts is reflected in Receivable / Payable on open futures contracts in the Statements of Financial Condition and the change in the unrealized appreciation/depreciation between periods is reflected in the Statements of Operations. Discounts on short-term securities purchased are accreted daily and reflected as Interest Income in the Statements of Operations.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify"> <strong>(i) Federal Income Taxes</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.5in; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> <strong> </strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Fund's income, gain, loss, deductions and other items for the Fund's taxable year ending with or within the beneficial owner's taxable year.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Management of the Fund has reviewed the open tax year and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the Financial Accounting Standards Board and on-going analysis of tax law, regulation, and interpretations thereof.</p> <!--EndFragment--></div> </div>
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt; TEXT-ALIGN: justify"> <strong>(5) Creations and Redemptions</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> The Fund issues and redeems Shares from time to time, but only in one or more Baskets. A Basket is a block of 100,000 Shares of the Fund. Baskets may be created or redeemed only by Authorized Participants.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> Except when aggregated in Baskets, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with the Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements - such as references to the Transaction Fee imposed on creations and redemptions - is not relevant to retail investors.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(a) Transaction Fees on Creation and Redemption Transactions</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> In connection with orders to create and redeem one or more Baskets, an Authorized Participant is required to pay a transaction fee, or AP Transaction Fee, of $500 per order, of which $50 goes directly to the Custodian and $450 is paid to the Fund and is recorded as Other Income in the Statements of Operations. The AP Transaction Fees are paid by the Authorized Participants and not by the Fund. The Fund earned $-0- and $1,350, respectively, in AP Transaction Fees for the Three Months Ended March 31, 2012 and for the Period from February 22, 2011 to March 31, 2011.</p> <p style="font-size: 100%"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify"> <strong>(b) Share Transactions</strong></p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 12pt 0.5in; TEXT-ALIGN: justify; TEXT-INDENT: 0in"> There were no Share Transactions during the Three Months Ended March 31, 2012.</p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: center"> Summary of Share Transactions for the Period from February 22, 2011 to March 31, 2011</p> <table style="WIDTH: 100%; BORDER-COLLAPSE: collapse; FONT: 9pt Times New Roman, Times, Serif" cellspacing="0" cellpadding="0"> <tr style="VERTICAL-ALIGN: top"> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 34%; PADDING-RIGHT: 5.4pt; FONT-SIZE: 10pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 33%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> <strong>Shares</strong></p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; WIDTH: 33%; PADDING-RIGHT: 5.4pt; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> <strong> </strong></p> <p style="TEXT-ALIGN: center; MARGIN: 0px; FONT: 7pt Times New Roman, Times, Serif"> <strong>Paid in Capital</strong></p> </td> </tr> <tr> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: top; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Shares Sold</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> 300,000 </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: right; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5px; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> $7,691,042 </td> </tr> <tr> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: top; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Shares Redeemed</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> <p style="BORDER-BOTTOM: black 0.5pt solid; TEXT-ALIGN: right; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> (100,000)</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> <p style="BORDER-BOTTOM: black 0.5pt solid; TEXT-ALIGN: right; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> (2,665,240)</p> </td> </tr> <tr> <td style="BORDER-BOTTOM: windowtext 1pt solid; TEXT-ALIGN: center; BORDER-LEFT: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: top; BORDER-TOP: windowtext 1pt solid; BORDER-RIGHT: windowtext 1pt solid"> Net Increase/(Decrease)</td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> <p style="BORDER-BOTTOM: black 1.5pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> 200,000</p> </td> <td style="BORDER-BOTTOM: windowtext 1pt solid; PADDING-LEFT: 5.4pt; PADDING-RIGHT: 5.4pt; VERTICAL-ALIGN: bottom; BORDER-RIGHT: windowtext 1pt solid"> <p style="BORDER-BOTTOM: black 1.5pt double; TEXT-ALIGN: right; MARGIN: 0px; FONT: 8pt Times New Roman, Times, Serif"> $5,025,802</p> </td> </tr> </table> <!--EndFragment--></div> </div>
0
300000
7691042
0
100000
2665240
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<div> <div><font style="font-size: 100%"><!--StartFragment--></font> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify"> <strong>(11) Subsequent Events</strong></p> <p style="FONT: 8pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px 0px 0px 0.25in; TEXT-INDENT: -0.25in"> </p> <p style="FONT: 10pt Times New Roman, Times, Serif; font-size: 100%; MARGIN: 0px; TEXT-ALIGN: justify; TEXT-INDENT: 0.5in"> <font style="COLOR: black">The Fund evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial</font> statements <font style="COLOR: black">were issued. This evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments</font></p> <!--EndFragment--></div> </div>
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ISO4217:USD
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