Derivative Instruments Disclosures

3 Months Ended

Mar. 31, 2014

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments Disclosures

3. Derivative Instruments Disclosures

The Fund’s derivative contracts are comprised of futures and forward currency contracts, none of which are designated as hedging instruments. At March 31, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts
Net unrealized gain on open futures contracts
Agricultural commodities	$	8,717,068	$	(1,226,807	)	$	7,490,261
Currencies		3,008,447		(2,307,152	)		701,295
Energy		1,124,776		(1,651,268	)		(526,492	)
Equity indices		6,728,575		(2,297,858	)		4,430,717
Interest rate instruments		4,422,418		(4,424,771	)		(2,353	)
Metals		7,801,274		(7,990,787	)		(189,513	)
Single stock futures		433,459		(271,097	)		162,362
Net unrealized gain on open futures contracts	$	32,236,017	$	(20,169,740	)	$	12,066,277
Net unrealized gain on open forward currency contracts	$	10,256,472	$	(5,798,442	)	$	4,458,030

At March 31, 2014, there were 57,482 open futures contracts and 2,516 open forward currency contracts. For the three months ended March 31, 2014, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2014
Types of Exposure	Net realized gain			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	4,508,044		$	3,572,869
Currencies		10,224			(6,984,555	)
Energy		(7,984,475	)		(546,717	)
Equity indices		727,403			(20,434,919	)
Interest rate instruments		16,039,082			368,872
Metals		(8,805,263	)		(1,481,194	)
Single stock futures		799,569			(386,187	)
Total futures contracts		5,294,584			(25,891,831	)
Forward currency contracts		(3,177,427	)		3,762,955
Total futures and forward currency contracts	$	2,117,157		$	(22,128,876	)

For the three months ended March 31, 2014, the number of futures contracts closed was 240,145 and the number of forward currency contracts closed was 11,030.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at March 31, 2014 were:

			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
JP Morgan Securities, LLC	$	1,575,042	$	—	$	—	$	1,575,042
Newedge UK Financial Ltd		1,794,181		—		—		1,794,181
Newedge USA, LLC		10,491,235		—		—		10,491,235
UBS AG		2,663,849		—		—		2,663,849
Total	$	16,524,307	$	—	$	—	$	16,524,307

At December 31, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of financial condition:

December 31, 2013	Derivative Assets and Liabilities, at fair value
Statements of Financial Condition Location	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Assets Presented in the Statements of Financial Condition
Equity in broker trading accounts
Net unrealized gain on open futures contracts
Agricultural commodities	$	5,823,273	$	(1,905,881	)	$	3,917,392
Currencies		8,479,775		(793,925	)		7,685,850
Energy		1,961,940		(1,941,715	)		20,225
Equity indices		25,256,880		(391,244	)		24,865,636
Interest rate instruments		5,523,958		(5,895,183	)		(371,225	)
Metals		10,448,475		(9,156,794	)		1,291,681
Single stock futures		617,785		(69,236	)		548,549
Net unrealized gain on open futures contracts	$	58,112,086	$	(20,153,978	)	$	37,958,108
Net unrealized gain on open forward currency contracts	$	5,818,188	$	(5,123,113	)	$	695,075

At December 31, 2013, there were 64,196 open futures contracts and 2,271 open forward currency contracts. For the three months ended March, 31, 2013, the Fund’s derivative contracts had the following impact on the consolidated statements of operations:

	Three Months Ended March 31, 2013
Types of Exposure	Net realized gain			Net change in unrealized gain (loss)
Futures contracts
Agricultural commodities	$	(1,387,392	)	$	625,487
Currencies		16,204,386			(6,991,248	)
Energy		(5,556,731	)		(279,847	)
Equity indices		63,580,916			(3,841,779	)
Interest rate instruments		(41,057,555	)		13,516,723
Metals		(5,086,923	)		6,973,198
Single stock futures		1,613,218			69,593
Total futures contracts		28,309,919			10,072,127
Forward currency contracts		9,005,771			(5,632,208	)
Total futures and forward currency contracts	$	37,315,690		$	4,439,919

For the three months ended March 31, 2013, the number of futures contracts closed was 346,335 and the number of forward currency contracts closed was 11,788.

The Fund’s financial assets, derivative assets, and cash collateral held by counterparties at December 31, 2013 were:

			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Assets in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
JP Morgan Securities, LLC	$	11,027,627	$	—	$	—	$	11,027,627
Newedge UK Financial Ltd		639,551		—		—		639,551
Newedge USA, LLC		26,930,481		—		—		26,930,481
UBS AG		55,524		—		—		55,524
Total	$	38,653,183	$	—	$	—	$	38,653,183