Document_and_Entity_Informatio
Document and Entity Information | 9 Months Ended |
Sep. 30, 2014 | |
Document and Entity Information [Abstract] | ' |
Entity Registrant Name | 'MLM INDEX FUND |
Entity Central Index Key | '0001075058 |
Current Fiscal Year End Date | '--12-31 |
Entity Well-known Seasoned Issuer | 'No |
Entity Voluntary Filers | 'No |
Entity Current Reporting Status | 'Yes |
Entity Filer Category | 'Non-accelerated Filer |
Entity Common Stock, Shares Outstanding | 0 |
Document Fiscal Year Focus | '2014 |
Document Fiscal Period Focus | 'Q3 |
Document Type | '10-Q |
Amendment Flag | 'false |
Document Period End Date | 30-Sep-14 |
CONDENSED_STATEMENTS_OF_FINANC
CONDENSED STATEMENTS OF FINANCIAL CONDITION (Unaudited) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
ASSETS | ' | ' |
Cash and cash equivalents | $217,791,056 | $195,766,730 |
Due from broker | 14,006,845 | 20,334,702 |
Net unrealized gain on open futures contracts, at fair value | 6,346,661 | 985,336 |
Interest receivable | 258 | 27 |
Total assets | 238,144,820 | 217,086,795 |
Liabilities | ' | ' |
Redemptions payable | 652,772 | 6,546,302 |
Brokerage commissions payable | 61,795 | 64,900 |
Management fee payable | 100,205 | 97,764 |
Subscriptions received in advance | 250,000 | 0 |
Accrued expenses | 42,163 | 41,604 |
Total liabilities | 1,106,935 | 6,750,570 |
Investors' interest | 237,037,885 | 210,336,225 |
Total liabilities and investors' interest | 238,144,820 | 217,086,795 |
MLM Index Unleveraged Series [Member] | ' | ' |
ASSETS | ' | ' |
Cash and cash equivalents | 53,455,368 | 38,783,078 |
Due from broker | 4,232,472 | 4,228,397 |
Net unrealized gain on open futures contracts, at fair value | 1,913,688 | 581,248 |
Interest receivable | 177 | 7 |
Total assets | 59,601,705 | 43,592,730 |
Liabilities | ' | ' |
Redemptions payable | 613,438 | 4,728,284 |
Brokerage commissions payable | 14,710 | 14,594 |
Management fee payable | 24,602 | 19,388 |
Accrued expenses | 8,865 | 8,652 |
Total liabilities | 661,615 | 4,770,918 |
Investors' interest | 58,940,090 | 38,821,812 |
Total liabilities and investors' interest | 59,601,705 | 43,592,730 |
MLM Index Leveraged Series [Member] | ' | ' |
ASSETS | ' | ' |
Cash and cash equivalents | 9,672 | 354,768 |
Due from broker | 3,732,197 | 5,751,321 |
Net unrealized gain on open futures contracts, at fair value | 381,124 | 191,379 |
Total assets | 4,122,993 | 6,297,468 |
Liabilities | ' | ' |
Redemptions payable | 39,334 | 1,818,018 |
Brokerage commissions payable | 3,404 | 6,411 |
Management fee payable | 4,355 | 8,401 |
Accrued expenses | 1,650 | 1,398 |
Total liabilities | 48,743 | 1,834,228 |
Investors' interest | 4,074,250 | 4,463,240 |
Total liabilities and investors' interest | 4,122,993 | 6,297,468 |
MLM Commodity L/N Index Unleveraged Series [Member] | ' | ' |
ASSETS | ' | ' |
Cash and cash equivalents | 126,587,694 | 123,776,520 |
Due from broker | 2,817,802 | 5,734,958 |
Net unrealized gain on open futures contracts, at fair value | 666,770 | 78,333 |
Interest receivable | 39 | 19 |
Total assets | 130,072,305 | 129,589,830 |
Liabilities | ' | ' |
Brokerage commissions payable | 31,474 | 31,849 |
Management fee payable | 53,993 | 54,163 |
Subscriptions received in advance | 250,000 | 0 |
Accrued expenses | 24,708 | 24,721 |
Total liabilities | 360,175 | 110,733 |
Investors' interest | 129,712,130 | 129,479,097 |
Total liabilities and investors' interest | 130,072,305 | 129,589,830 |
MLM Commodity L/S Index Unleveraged Series [Member] | ' | ' |
ASSETS | ' | ' |
Cash and cash equivalents | 37,738,322 | 32,852,364 |
Due from broker | 3,224,374 | 4,620,026 |
Net unrealized gain on open futures contracts, at fair value | 3,385,079 | 134,376 |
Interest receivable | 42 | 1 |
Total assets | 44,347,817 | 37,606,767 |
Liabilities | ' | ' |
Brokerage commissions payable | 12,207 | 12,046 |
Management fee payable | 17,255 | 15,812 |
Accrued expenses | 6,940 | 6,833 |
Total liabilities | 36,402 | 34,691 |
Investors' interest | 44,311,415 | 37,572,076 |
Total liabilities and investors' interest | $44,347,817 | $37,606,767 |
CONDENSED_SCHEDULE_OF_INVESTME
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Futures [Member], USD $) | Sep. 30, 2014 | Dec. 31, 2013 | ||
Schedule of Investments [Line Items] | ' | ' | ||
Unrealized gain | $6,346,661 | [1] | $985,336 | [1] |
Percentage of investors' interest (in hundredths) | 2.68% | [1] | 0.46% | [1] |
Long futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 434 | [1] | 1,008 | [1] |
Unrealized gain | 992,265 | [1] | 324,337 | [1] |
Percentage of investors' interest (in hundredths) | 0.42% | [1] | 0.15% | [1] |
Long futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 164 | [1] | 67 | [1] |
Unrealized gain | 12,355 | [1] | 216,333 | [1] |
Percentage of investors' interest (in hundredths) | 0.01% | [1] | 0.10% | [1] |
Long futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 270 | [1] | 941 | [1] |
Unrealized gain | 979,910 | [1] | 108,004 | [1] |
Percentage of investors' interest (in hundredths) | 0.41% | [1] | 0.05% | [1] |
Short futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -1,569 | [1] | -1,044 | [1] |
Unrealized gain | 5,354,396 | [1] | 660,999 | [1] |
Percentage of investors' interest (in hundredths) | 2.26% | [1] | 0.31% | [1] |
Short futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -205 | [1] | -204 | [1] |
Unrealized gain | 894,013 | [1] | 526,576 | [1] |
Percentage of investors' interest (in hundredths) | 0.38% | [1] | 0.25% | [1] |
Short futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -1,364 | [1] | -840 | [1] |
Unrealized gain | 4,460,383 | [1] | 134,423 | [1] |
Percentage of investors' interest (in hundredths) | 1.88% | [1] | 0.06% | [1] |
MLM Index Unleveraged Series [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Unrealized gain | 1,913,688 | [1] | 581,248 | [1] |
Percentage of investors' interest (in hundredths) | 3.25% | [1] | 1.49% | [1] |
MLM Index Unleveraged Series [Member] | Long futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 158 | [1] | 100 | [1] |
Unrealized gain | 88,825 | [1] | 169,425 | [1] |
Percentage of investors' interest (in hundredths) | 0.15% | [1] | 0.43% | [1] |
MLM Index Unleveraged Series [Member] | Long futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 137 | [1] | 50 | [1] |
Unrealized gain | 12,115 | [1] | 164,220 | [1] |
Percentage of investors' interest (in hundredths) | 0.02% | [1] | 0.42% | [1] |
MLM Index Unleveraged Series [Member] | Long futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 21 | [1] | 50 | [1] |
Unrealized gain | 76,710 | [1] | 5,205 | [1] |
Percentage of investors' interest (in hundredths) | 0.13% | [1] | 0.01% | [1] |
MLM Index Unleveraged Series [Member] | Short futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -498 | [1] | -312 | [1] |
Unrealized gain | 1,824,863 | [1] | 411,823 | [1] |
Percentage of investors' interest (in hundredths) | 3.10% | [1] | 1.06% | [1] |
MLM Index Unleveraged Series [Member] | Short futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -171 | [1] | -152 | [1] |
Unrealized gain | 748,231 | [1] | 392,430 | [1] |
Percentage of investors' interest (in hundredths) | 1.27% | [1] | 1.01% | [1] |
MLM Index Unleveraged Series [Member] | Short futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -327 | [1] | -160 | [1] |
Unrealized gain | 1,076,632 | [1] | 19,393 | [1] |
Percentage of investors' interest (in hundredths) | 1.83% | [1] | 0.05% | [1] |
MLM Index Leveraged Series [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Unrealized gain | 381,124 | [1] | 191,379 | [1] |
Percentage of investors' interest (in hundredths) | 9.36% | [1] | 4.30% | [1] |
MLM Index Leveraged Series [Member] | Long futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 31 | [1] | 35 | [1] |
Unrealized gain | 14,650 | [1] | 54,751 | [1] |
Percentage of investors' interest (in hundredths) | 0.36% | [1] | 1.23% | [1] |
MLM Index Leveraged Series [Member] | Long futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 27 | [1] | 17 | [1] |
Unrealized gain | 240 | [1] | 52,113 | [1] |
Percentage of investors' interest (in hundredths) | 0.01% | [1] | 1.17% | [1] |
MLM Index Leveraged Series [Member] | Long futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 4 | [1] | 18 | [1] |
Unrealized gain | 14,410 | [1] | 2,638 | [1] |
Percentage of investors' interest (in hundredths) | 0.35% | [1] | 0.06% | [1] |
MLM Index Leveraged Series [Member] | Short futures contracts [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -100 | [1] | -107 | [1] |
Unrealized gain | 366,474 | [1] | 136,628 | [1] |
Percentage of investors' interest (in hundredths) | 9.00% | [1] | 3.07% | [1] |
MLM Index Leveraged Series [Member] | Short futures contracts [Member] | Financial [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -34 | [1] | -52 | [1] |
Unrealized gain | 145,782 | [1] | 134,146 | [1] |
Percentage of investors' interest (in hundredths) | 3.58% | [1] | 3.01% | [1] |
MLM Index Leveraged Series [Member] | Short futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -66 | [1] | -55 | [1] |
Unrealized gain | 220,692 | [1] | 2,482 | [1] |
Percentage of investors' interest (in hundredths) | 5.42% | [1] | 0.06% | [1] |
MLM Commodity L/N Index Unleveraged Series [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Unrealized gain | 666,770 | [1] | 78,333 | [1] |
Percentage of investors' interest (in hundredths) | 0.51% | [1] | 0.06% | [1] |
MLM Commodity L/N Index Unleveraged Series [Member] | Long futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 184 | [1] | 676 | [1] |
Unrealized gain | 666,770 | [1] | 78,333 | [1] |
Percentage of investors' interest (in hundredths) | 0.51% | [1] | 0.06% | [1] |
MLM Commodity L/S Index Unleveraged Series [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Unrealized gain | 3,385,079 | [1] | 134,376 | [1] |
Percentage of investors' interest (in hundredths) | 7.64% | [1] | 0.36% | [1] |
MLM Commodity L/S Index Unleveraged Series [Member] | Long futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | 61 | [1] | 197 | [1] |
Unrealized gain | 222,020 | [1] | 21,828 | [1] |
Percentage of investors' interest (in hundredths) | 0.50% | [1] | 0.06% | [1] |
MLM Commodity L/S Index Unleveraged Series [Member] | Short futures contracts [Member] | Commodity [Member] | ' | ' | ||
Schedule of Investments [Line Items] | ' | ' | ||
Number of Contracts | -971 | [1] | -625 | [1] |
Unrealized gain | $3,163,059 | [1] | $112,548 | [1] |
Percentage of investors' interest (in hundredths) | 7.14% | [1] | 0.30% | [1] |
[1] | Derivatives are not designated as hedging instruments. |
UNAUDITED_CONDENSED_STATEMENTS
UNAUDITED CONDENSED STATEMENTS OF OPERATIONS (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Investment income | ' | ' | ' | ' |
Interest | $29,139 | $21,979 | $80,109 | $95,329 |
Expenses | ' | ' | ' | ' |
Interest | 0 | 137 | 0 | 0 |
Brokerage commissions | 194,391 | 207,821 | 571,065 | 663,034 |
Management fee | 299,743 | 303,706 | 856,900 | 941,163 |
Operating expenses | 244,415 | 239,085 | 702,506 | 714,422 |
Total expenses | 738,549 | 750,749 | 2,130,471 | 2,318,619 |
Net investment loss | -709,410 | -728,770 | -2,050,362 | -2,223,290 |
Realized and unrealized gain (loss) on investments | ' | ' | ' | ' |
Net realized (loss) gain on investments | -5,340,770 | 2,397,432 | -4,183,646 | -9,322,783 |
Net change in unrealized appreciation and depreciation on investments | 4,042,333 | -305,401 | 5,348,588 | 1,544,130 |
Net realized and unrealized gain (loss) on investments | -1,298,437 | 2,092,031 | 1,164,942 | -7,778,653 |
Net gain (loss) | -2,007,847 | 1,363,261 | -885,420 | -10,001,943 |
MLM Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investment income | ' | ' | ' | ' |
Interest | 5,209 | 3,693 | 13,569 | 17,966 |
Expenses | ' | ' | ' | ' |
Brokerage commissions | 47,006 | 48,774 | 125,582 | 144,975 |
Management fee | 73,474 | 61,593 | 171,326 | 180,347 |
Operating expenses | 59,136 | 50,665 | 143,298 | 148,035 |
Total expenses | 179,616 | 161,032 | 440,206 | 473,357 |
Net investment loss | -174,407 | -157,339 | -426,637 | -455,391 |
Realized and unrealized gain (loss) on investments | ' | ' | ' | ' |
Net realized (loss) gain on investments | -52,692 | 357,848 | 24,861 | -998,403 |
Net change in unrealized appreciation and depreciation on investments | 1,714,662 | -400,021 | 1,321,918 | 52,648 |
Net realized and unrealized gain (loss) on investments | 1,661,970 | -42,173 | 1,346,779 | -945,755 |
Net gain (loss) | 1,487,563 | -199,512 | 920,142 | -1,401,146 |
MLM Index Leveraged Series [Member] | ' | ' | ' | ' |
Investment income | ' | ' | ' | ' |
Interest | 17 | 0 | 31 | 2,561 |
Expenses | ' | ' | ' | ' |
Interest | 0 | 137 | 0 | 0 |
Brokerage commissions | 10,783 | 25,810 | 35,374 | 116,924 |
Management fee | 12,991 | 32,082 | 42,839 | 142,976 |
Operating expenses | 4,451 | 9,182 | 14,621 | 44,539 |
Total expenses | 28,225 | 67,211 | 92,834 | 304,439 |
Net investment loss | -28,208 | -67,211 | -92,803 | -301,878 |
Realized and unrealized gain (loss) on investments | ' | ' | ' | ' |
Net realized (loss) gain on investments | 11,946 | 214,922 | 51,203 | -1,255,705 |
Net change in unrealized appreciation and depreciation on investments | 313,549 | -213,295 | 188,666 | 204,081 |
Net realized and unrealized gain (loss) on investments | 325,495 | 1,627 | 239,869 | -1,051,624 |
Net gain (loss) | 297,287 | -65,584 | 147,066 | -1,353,502 |
MLM Commodity L/N Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investment income | ' | ' | ' | ' |
Interest | 18,842 | 14,736 | 52,953 | 55,385 |
Expenses | ' | ' | ' | ' |
Brokerage commissions | 98,229 | 95,152 | 296,711 | 275,419 |
Management fee | 165,312 | 162,427 | 500,988 | 460,695 |
Operating expenses | 140,389 | 138,949 | 424,675 | 388,156 |
Total expenses | 403,930 | 396,528 | 1,222,374 | 1,124,270 |
Net investment loss | -385,088 | -381,792 | -1,169,421 | -1,068,885 |
Realized and unrealized gain (loss) on investments | ' | ' | ' | ' |
Net realized (loss) gain on investments | -4,757,657 | 1,348,420 | -2,885,410 | -4,792,180 |
Net change in unrealized appreciation and depreciation on investments | -907,514 | 541,685 | 587,864 | 301,091 |
Net realized and unrealized gain (loss) on investments | -5,665,171 | 1,890,105 | -2,297,546 | -4,491,089 |
Net gain (loss) | -6,050,259 | 1,508,313 | -3,466,967 | -5,559,974 |
MLM Commodity L/S Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investment income | ' | ' | ' | ' |
Interest | 5,071 | 3,550 | 13,556 | 19,417 |
Expenses | ' | ' | ' | ' |
Brokerage commissions | 38,373 | 38,085 | 113,398 | 125,716 |
Management fee | 47,966 | 47,604 | 141,747 | 157,145 |
Operating expenses | 40,439 | 40,289 | 119,912 | 133,692 |
Total expenses | 126,778 | 125,978 | 375,057 | 416,553 |
Net investment loss | -121,707 | -122,428 | -361,501 | -397,136 |
Realized and unrealized gain (loss) on investments | ' | ' | ' | ' |
Net realized (loss) gain on investments | -542,367 | 476,242 | -1,374,300 | -2,276,495 |
Net change in unrealized appreciation and depreciation on investments | 2,921,636 | -233,770 | 3,250,140 | 986,310 |
Net realized and unrealized gain (loss) on investments | 2,379,269 | 242,472 | 1,875,840 | -1,290,185 |
Net gain (loss) | $2,257,562 | $120,044 | $1,514,339 | ($1,687,321) |
UNAUDITED_CONDENSED_STATEMENT_
UNAUDITED CONDENSED STATEMENT OF CHANGES IN INVESTORS' INTEREST (USD $) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | |
Investors' interest at December 31 | ' | ' | $210,336,225 | $214,658,080 |
Subscriptions | ' | ' | 31,799,401 | 54,123,470 |
Redemptions | ' | ' | -4,212,321 | -40,417,844 |
Net income (loss) | -2,007,847 | 1,363,261 | -885,420 | -10,001,943 |
Investors' interest at September 30 | 237,037,885 | 218,361,763 | 237,037,885 | 218,361,763 |
MLM Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 38,821,812 | 38,414,277 |
Subscriptions | ' | ' | 22,874,401 | 16,995,000 |
Redemptions | ' | ' | -3,676,265 | -9,943,494 |
Net income (loss) | 1,487,563 | -199,512 | 920,142 | -1,401,146 |
Investors' interest at September 30 | 58,940,090 | 44,064,637 | 58,940,090 | 44,064,637 |
MLM Index Unleveraged Series [Member] | Class A Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 1,133,968 | 2,677,401 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | -741,914 | -1,001,617 |
Net income (loss) | ' | ' | -13,022 | -87,500 |
Investors' interest at September 30 | 379,032 | 1,588,284 | 379,032 | 1,588,284 |
Shares at December 31 (in shares) | ' | ' | 11,165 | 25,400 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | -7,431 | -9,669 |
Shares at September 30 (in shares) | 3,734 | 15,731 | 3,734 | 15,731 |
Net asset value per share (in dollars per share) | $101.52 | $100.97 | $101.52 | $100.97 |
MLM Index Unleveraged Series [Member] | Class B Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 786,759 | 3,111,377 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | -64,093 | -2,193,199 |
Net income (loss) | ' | ' | 4,254 | -73,680 |
Investors' interest at September 30 | 726,920 | 844,498 | 726,920 | 844,498 |
Shares at December 31 (in shares) | ' | ' | 6,674 | 25,686 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | -551 | -18,461 |
Shares at September 30 (in shares) | 6,123 | 7,225 | 6,123 | 7,225 |
Net asset value per share (in dollars per share) | $118.73 | $116.91 | $118.73 | $116.91 |
MLM Index Unleveraged Series [Member] | Class C Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 1,175 | 53,171 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | 0 | -50,416 |
Net income (loss) | ' | ' | 8 | -1,590 |
Investors' interest at September 30 | 1,183 | 1,165 | 1,183 | 1,165 |
Shares at December 31 (in shares) | ' | ' | 11 | 500 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | 0 | -489 |
Shares at September 30 (in shares) | 11 | 11 | 11 | 11 |
Net asset value per share (in dollars per share) | $104.06 | $102.52 | $104.06 | $102.52 |
MLM Index Unleveraged Series [Member] | Class D Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 36,899,910 | 32,572,328 |
Subscriptions | ' | ' | 3,275,000 | 16,995,000 |
Redemptions | ' | ' | -2,870,258 | -6,698,262 |
Net income (loss) | ' | ' | 417,912 | -1,238,376 |
Investors' interest at September 30 | 37,722,564 | 41,630,690 | 37,722,564 | 41,630,690 |
Shares at December 31 (in shares) | ' | ' | 342,573 | 295,650 |
Subscriptions (in shares) | ' | ' | 30,845 | 156,624 |
Redemptions (in shares) | ' | ' | -26,819 | -62,058 |
Shares at September 30 (in shares) | 346,599 | 390,216 | 346,599 | 390,216 |
Net asset value per share (in dollars per share) | $108.84 | $106.69 | $108.84 | $106.69 |
MLM Index Unleveraged Series [Member] | Class E Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 0 | ' |
Subscriptions | ' | ' | 19,599,401 | ' |
Redemptions | ' | ' | 0 | ' |
Net income (loss) | ' | ' | 510,990 | ' |
Investors' interest at September 30 | 20,110,391 | ' | 20,110,391 | ' |
Shares at December 31 (in shares) | ' | ' | 0 | ' |
Subscriptions (in shares) | ' | ' | 195,994 | ' |
Redemptions (in shares) | ' | ' | 0 | ' |
Shares at September 30 (in shares) | 195,994 | ' | 195,994 | ' |
Net asset value per share (in dollars per share) | $102.61 | ' | $102.61 | ' |
MLM Index Leveraged Series [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 4,463,240 | 20,038,105 |
Subscriptions | ' | ' | 0 | 90,000 |
Redemptions | ' | ' | -536,056 | -11,435,880 |
Net income (loss) | 297,287 | -65,584 | 147,066 | -1,353,502 |
Investors' interest at September 30 | 4,074,250 | 7,338,723 | 4,074,250 | 7,338,723 |
MLM Index Leveraged Series [Member] | Class A Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 369,018 | 1,823,994 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | -260,250 | -329,170 |
Net income (loss) | ' | ' | -6,058 | -170,290 |
Investors' interest at September 30 | 102,710 | 1,324,534 | 102,710 | 1,324,534 |
Shares at December 31 (in shares) | ' | ' | 4,998 | 22,834 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | -3,641 | -4,405 |
Shares at September 30 (in shares) | 1,357 | 18,429 | 1,357 | 18,429 |
Net asset value per share (in dollars per share) | $75.68 | $71.87 | $75.68 | $71.87 |
MLM Index Leveraged Series [Member] | Class B Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 1,118,984 | 5,070,580 |
Subscriptions | ' | ' | 0 | 90,000 |
Redemptions | ' | ' | -226,982 | -2,921,997 |
Net income (loss) | ' | ' | 27,160 | -341,140 |
Investors' interest at September 30 | 919,162 | 1,897,443 | 919,162 | 1,897,443 |
Shares at December 31 (in shares) | ' | ' | 12,268 | 52,162 |
Subscriptions (in shares) | ' | ' | 0 | 926 |
Redemptions (in shares) | ' | ' | -2,546 | -31,639 |
Shares at September 30 (in shares) | 9,722 | 21,449 | 9,722 | 21,449 |
Net asset value per share (in dollars per share) | $94.55 | $88.47 | $94.55 | $88.47 |
MLM Index Leveraged Series [Member] | Class C Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 1,010 | 1,075 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | 0 | 0 |
Net income (loss) | ' | ' | 38 | -96 |
Investors' interest at September 30 | 1,048 | 979 | 1,048 | 979 |
Shares at December 31 (in shares) | ' | ' | 14 | 14 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | 0 | 0 |
Shares at September 30 (in shares) | 14 | 14 | 14 | 14 |
Net asset value per share (in dollars per share) | $77.63 | $72.56 | $77.63 | $72.56 |
MLM Index Leveraged Series [Member] | Class D Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 2,974,228 | 13,142,456 |
Subscriptions | ' | ' | 0 | 0 |
Redemptions | ' | ' | -48,824 | -8,184,713 |
Net income (loss) | ' | ' | 125,926 | -841,976 |
Investors' interest at September 30 | 3,051,330 | 4,115,767 | 3,051,330 | 4,115,767 |
Shares at December 31 (in shares) | ' | ' | 31,023 | 129,732 |
Subscriptions (in shares) | ' | ' | 0 | 0 |
Redemptions (in shares) | ' | ' | -513 | -85,375 |
Shares at September 30 (in shares) | 30,510 | 44,357 | 30,510 | 44,357 |
Net asset value per share (in dollars per share) | $100.02 | $92.79 | $100.02 | $92.79 |
MLM Commodity L/N Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 129,479,097 | 109,268,062 |
Subscriptions | ' | ' | 3,700,000 | 25,538,470 |
Net income (loss) | -6,050,259 | 1,508,313 | -3,466,967 | -5,559,974 |
Investors' interest at September 30 | 129,712,130 | 129,246,558 | 129,712,130 | 129,246,558 |
MLM Commodity L/N Index Unleveraged Series [Member] | Class D Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 74,744,967 | 71,782,634 |
Subscriptions | ' | ' | 3,700,000 | 5,523,122 |
Net income (loss) | ' | ' | -2,135,095 | -3,440,809 |
Investors' interest at September 30 | 76,309,872 | 73,864,947 | 76,309,872 | 73,864,947 |
Shares at December 31 (in shares) | ' | ' | 819,002 | 740,605 |
Subscriptions (in shares) | ' | ' | 39,614 | 58,790 |
Shares at September 30 (in shares) | 858,616 | 799,395 | 858,616 | 799,395 |
Net asset value per share (in dollars per share) | $88.88 | $92.40 | $88.88 | $92.40 |
MLM Commodity L/N Index Unleveraged Series [Member] | Class E Shares [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 54,734,130 | 37,485,428 |
Subscriptions | ' | ' | 0 | 20,015,348 |
Net income (loss) | ' | ' | -1,331,872 | -2,119,165 |
Investors' interest at September 30 | 53,402,258 | 55,381,611 | 53,402,258 | 55,381,611 |
Shares at December 31 (in shares) | ' | ' | 618,735 | 400,000 |
Subscriptions (in shares) | ' | ' | 0 | 218,735 |
Shares at September 30 (in shares) | 618,735 | 618,735 | 618,735 | 618,735 |
Net asset value per share (in dollars per share) | $86.31 | $89.51 | $86.31 | $89.51 |
MLM Commodity L/S Index Unleveraged Series [Member] | ' | ' | ' | ' |
Investors' interest at December 31 | ' | ' | 37,572,076 | 46,937,636 |
Subscriptions | ' | ' | 5,225,000 | 11,500,000 |
Redemptions | ' | ' | ' | -19,038,470 |
Net income (loss) | 2,257,562 | 120,044 | 1,514,339 | -1,687,321 |
Investors' interest at September 30 | $44,311,415 | $37,711,845 | $44,311,415 | $37,711,845 |
Shares at December 31 (in shares) | ' | ' | 441,627 | 530,192 |
Subscriptions (in shares) | ' | ' | 63,740 | 133,049 |
Redemptions (in shares) | ' | ' | ' | -223,267 |
Shares at September 30 (in shares) | 505,367 | 439,974 | 505,367 | 439,974 |
Net asset value per share (in dollars per share) | $87.68 | $85.71 | $87.68 | $85.71 |
UNAUDITED_CONDENSED_STATEMENT_1
UNAUDITED CONDENSED STATEMENT OF CASH FLOWS (USD $) | 9 Months Ended | |
Sep. 30, 2014 | Sep. 30, 2013 | |
Cash flows from operating activities | ' | ' |
Net income (loss) | ($885,420) | ($10,001,943) |
Net change in operating assets and liabilities | ' | ' |
Due from broker | 6,327,857 | 5,777,365 |
Net unrealized gain on open futures contracts | -5,361,325 | -1,545,000 |
Interest receivable | -231 | -201,691 |
Other assets | 0 | 1,073 |
Brokerage commissions payable | -3,105 | -9,620 |
Management fee payable | 2,441 | -10,267 |
Accrued expenses | 559 | 53,764 |
Net cash and cash equivalents provided by (used in) operating activities | 80,776 | -5,936,319 |
Cash flows from financing activities | ' | ' |
Subscriptions received, net of selling commissions | 32,049,401 | 52,113,470 |
Redemptions paid | -10,105,851 | -41,685,914 |
Net cash and cash equivalents provided by (used in) financing activities | 21,943,550 | 10,427,556 |
Net increase (decrease) in cash and cash equivalents | 22,024,326 | 4,491,237 |
Cash and cash equivalents at beginning of period | 195,766,730 | 195,312,622 |
Cash and cash equivalents at end of period | 217,791,056 | 199,803,859 |
Supplemental disclosure of non-cash financing activities: | ' | ' |
Redemptions payable | 652,772 | 375,425 |
Subscriptions recorded which were received in advance | 0 | 2,040,000 |
MLM Index Unleveraged Series [Member] | ' | ' |
Cash flows from operating activities | ' | ' |
Net income (loss) | 920,142 | -1,401,146 |
Net change in operating assets and liabilities | ' | ' |
Due from broker | -4,075 | 1,001,892 |
Net unrealized gain on open futures contracts | -1,332,440 | -47,330 |
Interest receivable | -170 | -77,627 |
Brokerage commissions payable | 116 | 1,241 |
Management fee payable | 5,214 | 1,546 |
Accrued expenses | 213 | 9,709 |
Net cash and cash equivalents provided by (used in) operating activities | -411,000 | -511,715 |
Cash flows from financing activities | ' | ' |
Subscriptions received, net of selling commissions | 22,874,401 | 15,075,000 |
Redemptions paid | -7,791,111 | -10,000,703 |
Net cash and cash equivalents provided by (used in) financing activities | 15,083,290 | 5,074,297 |
Net increase (decrease) in cash and cash equivalents | 14,672,290 | 4,562,582 |
Cash and cash equivalents at beginning of period | 38,783,078 | 36,597,519 |
Cash and cash equivalents at end of period | 53,455,368 | 41,160,101 |
Supplemental disclosure of non-cash financing activities: | ' | ' |
Redemptions payable | 613,438 | 353,916 |
Subscriptions recorded which were received in advance | 0 | 1,950,000 |
MLM Index Leveraged Series [Member] | ' | ' |
Cash flows from operating activities | ' | ' |
Net income (loss) | 147,066 | -1,353,502 |
Net change in operating assets and liabilities | ' | ' |
Due from broker | 2,019,124 | 1,262,225 |
Net unrealized gain on open futures contracts | -189,745 | -199,934 |
Interest receivable | 0 | 5 |
Other assets | 0 | 1,073 |
Brokerage commissions payable | -3,007 | -12,080 |
Management fee payable | -4,046 | -16,040 |
Accrued expenses | 252 | 699 |
Net cash and cash equivalents provided by (used in) operating activities | 1,969,644 | -317,554 |
Cash flows from financing activities | ' | ' |
Subscriptions received, net of selling commissions | 0 | 0 |
Redemptions paid | -2,314,740 | -12,646,741 |
Net cash and cash equivalents provided by (used in) financing activities | -2,314,740 | -12,646,741 |
Net increase (decrease) in cash and cash equivalents | -345,096 | -12,964,295 |
Cash and cash equivalents at beginning of period | 354,768 | 14,038,218 |
Cash and cash equivalents at end of period | 9,672 | 1,073,923 |
Supplemental disclosure of non-cash financing activities: | ' | ' |
Redemptions payable | 39,334 | 21,509 |
Subscriptions recorded which were received in advance | 0 | 90,000 |
MLM Commodity L/N Index Unleveraged Series [Member] | ' | ' |
Cash flows from operating activities | ' | ' |
Net income (loss) | -3,466,967 | -5,559,974 |
Net change in operating assets and liabilities | ' | ' |
Due from broker | 2,917,156 | 4,211,776 |
Net unrealized gain on open futures contracts | -588,437 | -308,012 |
Interest receivable | -20 | -93,161 |
Brokerage commissions payable | -375 | 4,621 |
Management fee payable | -170 | 8,327 |
Accrued expenses | -13 | 33,707 |
Net cash and cash equivalents provided by (used in) operating activities | -1,138,826 | -1,702,716 |
Cash flows from financing activities | ' | ' |
Subscriptions received, net of selling commissions | 3,950,000 | 25,538,470 |
Net cash and cash equivalents provided by (used in) financing activities | 3,950,000 | 25,538,470 |
Net increase (decrease) in cash and cash equivalents | 2,811,174 | 23,835,754 |
Cash and cash equivalents at beginning of period | 123,776,520 | 100,936,268 |
Cash and cash equivalents at end of period | 126,587,694 | 124,772,022 |
MLM Commodity L/S Index Unleveraged Series [Member] | ' | ' |
Cash flows from operating activities | ' | ' |
Net income (loss) | 1,514,339 | -1,687,321 |
Net change in operating assets and liabilities | ' | ' |
Due from broker | 1,395,652 | -698,528 |
Net unrealized gain on open futures contracts | -3,250,703 | -989,724 |
Interest receivable | -41 | -30,908 |
Brokerage commissions payable | 161 | -3,402 |
Management fee payable | 1,443 | -4,100 |
Accrued expenses | 107 | 9,649 |
Net cash and cash equivalents provided by (used in) operating activities | -339,042 | -3,404,334 |
Cash flows from financing activities | ' | ' |
Subscriptions received, net of selling commissions | 5,225,000 | 11,500,000 |
Redemptions paid | 0 | -19,038,470 |
Net cash and cash equivalents provided by (used in) financing activities | 5,225,000 | -7,538,470 |
Net increase (decrease) in cash and cash equivalents | 4,885,958 | -10,942,804 |
Cash and cash equivalents at beginning of period | 32,852,364 | 43,740,617 |
Cash and cash equivalents at end of period | $37,738,322 | $32,797,813 |
Organization
Organization | 9 Months Ended |
Sep. 30, 2014 | |
Organization [Abstract] | ' |
Organization | ' |
1. Organization | |
MLM Index™ Fund was formed under the Business Trust Statute of the State of Delaware as a business trust in December 1997 and commenced operations on January 4, 1999. The MLM Index™ Fund was organized for the primary purpose of seeking capital appreciation through the speculative trading of a diversified portfolio of futures contracts using the MLM Index™ Trading Program, which is based upon the MLM Index™ (the “Index”). The Index is a benchmark of the hypothetical returns available to a futures investor. The Index is comprised of a diverse portfolio of futures markets, including both financial and tangible markets. | |
At September 30, 2014, the MLM Index™ Fund is comprised of four series: the MLM Index™ Unleveraged Series (“Unleveraged Series”), the MLM Index™ Leveraged Series (“Leveraged Series”), the MLM Commodity L/N Index Unleveraged Series (“Commodity L/N” or “Commodity L/N Unleveraged Series”) and the MLM Commodity L/S Index Unleveraged Series (“Commodity L/S” or “Commodity L/S Unleveraged Series”). MLM Index™ Fund and its series are collectively referred to herein as the “Trust”. | |
Mount Lucas Management LP (the “Manager”) is the Manager for the Trust and its Series. The Manager is a registered investment advisor under the Investment Advisers Act of 1940, is registered as a Commodity Pool Operator and a Commodity Trading Advisor with the Commodity Futures Trading Commission and is a member of the National Futures Association. |
Summary_of_Significant_Account
Summary of Significant Accounting Policies | 9 Months Ended | ||
Sep. 30, 2014 | |||
Summary of Significant Accounting Policies [Abstract] | ' | ||
Summary of Significant Accounting Policies | ' | ||
2. Summary of Significant Accounting Policies | |||
Basis of Presentation | |||
The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage and the MLM Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage (collectively, the “Series”). The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP). The following is a summary of the significant accounting and reporting policies used in preparing the financial statements. | |||
Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted. In the opinion of the Manager, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial positions of the Trust and each Series as of September 30, 2014 and the results of its operations for the three and nine months ended September 30, 2014 and 2013. The operating results for these interim periods may not be indicative of the results expected for a full year. These financial statements should be read in conjunction with the audited financial statements and accompanying notes included in the Annual Report on Form 10-K for the year ended December 31, 2013. | |||
Use of Estimates | |||
The preparation of the accompanying financial statements in conformity with accounting principles generally accepted in the United States of America 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 the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | |||
Cash and Cash Equivalents | |||
Cash and cash equivalents consist of highly liquid financial instruments with maturities of three months or less, when purchased. Certain of each Series' cash at broker is restricted to meet margin requirements (see Note 5). | |||
Due from Broker | |||
Each Series' trading activities utilize one broker located in the United States. Due from broker represents cash balances held, and amounts receivable or payable for transactions not settled at September 30, 2014 and December 31, 2013. | |||
Fair Value Measurements | |||
Each Series has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. | |||
Financial assets and liabilities recorded on the statement of assets and liabilities are categorized based on the inputs to the valuation techniques as follows: | |||
Level 1: | |||
Financial assets and liabilities whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market (examples include active exchange-traded equity securities, listed derivatives, most U.S. government and agency securities, and certain other sovereign government obligations). | |||
Level 2: | |||
Financial assets and liabilities whose values are based on the following: | |||
a) | Quoted prices for similar assets or liabilities in active markets (for example, restricted stock); | ||
b) | Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently); | ||
c) | Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and | ||
d) | Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans). | ||
Level 3: | |||
Financial assets and liabilities whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset or liability (examples include private equity investments, certain commercial mortgage whole loans and long-dated or complex derivatives, including certain foreign exchange options and long-dated options on gas and power). | |||
As required by US GAAP, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. As of September 30, 2014 and December 31, 2013, all of the derivative instruments held by the Trust are fair valued based on quoted prices in active markets (Level 1). | |||
Each Series' trading positions are valued at fair value and cash equivalents are carried at their net asset value per share including accrued interest, as applicable. All positions including the net unrealized appreciation or depreciation are included under the caption “net unrealized gain/(loss) on open futures contracts” on the statements of financial condition. Fair value is principally based on quoted market prices or broker or dealer price quotations. The resulting change in unrealized profit or loss is reflected in net gain (loss) on change in unrealized appreciation (depreciation) on investments on the statements of operations. | |||
Investment Transactions and Investment Income | |||
All securities transactions are recorded on a trade-date basis. Realized gain and loss are recorded using specific identification method. Interest income is recorded using the accrual basis of accounting. | |||
Income Taxes | |||
Each of the Series of the Trust is classified for Federal income tax purposes as a separate partnership. Investors in each Series will reflect their proportionate share of realized profit or loss on their separate tax returns. Accordingly, no provisions for income taxes are required for the Trust or any Series. | |||
All of the Series of the Trust recognize tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions were “more likely than not” to be sustained assuming examination by tax authorities. The Manager has reviewed all of the Series of the Trust’s tax positions for all open years (after December 31, 2008) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. The Trust has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2010 through 2013 tax years generally remain subject to examination by U.S. federal and most state tax authorities. | |||
Redemptions Payable | |||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value of each Series by the number of outstanding investors’ interests for that Series. |
Cash_and_Cash_Equivalents
Cash and Cash Equivalents | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Cash and Cash Equivalents [Abstract] | ' | ||||||||||||||||||||
Cash and Cash Equivalents | ' | ||||||||||||||||||||
3. Cash and Cash Equivalents | |||||||||||||||||||||
The Trust’s cash and cash equivalents consisted of: | |||||||||||||||||||||
30-Sep-14 | Unleveraged | Leveraged | Commodity L/N | Commodity L/S | Trust Total | ||||||||||||||||
Series | Series | Unleveraged | Unleveraged | ||||||||||||||||||
Series | Series | ||||||||||||||||||||
Institutional Treasury Money Market Fund | $ | 21,447,000 | $ | 3,000 | $ | 4,886,000 | $ | 5,112,000 | $ | 31,448,000 | |||||||||||
U.S. Government Agency Securities | 31,898,873 | ─ | 121,591,310 | 32,529,125 | 186,019,308 | ||||||||||||||||
Cash | 108,051 | 4,903 | 108,486 | 96,068 | 317,508 | ||||||||||||||||
Cash in Checking Account | 1,444 | 1,769 | 1,898 | 1,129 | 6,240 | ||||||||||||||||
Total | $ | 53,455,368 | $ | 9,672 | $ | 126,587,694 | $ | 37,738,322 | $ | 217,791,056 | |||||||||||
31-Dec-13 | Unleveraged | Leveraged | Commodity L/N | Commodity L/S | Trust Total | ||||||||||||||||
Series | Series | Unleveraged | Unleveraged | ||||||||||||||||||
Series | Series | ||||||||||||||||||||
Institutional Treasury Money Market Fund | $ | 293,000 | $ | 4,000 | $ | 2,127,000 | $ | 66,000 | $ | 2,490,000 | |||||||||||
U.S. Government Agency Securities | 38,439,414 | 299,995 | 121,557,716 | 32,694,535 | 192,991,660 | ||||||||||||||||
Cash | 48,922 | 48,951 | 89,866 | 90,574 | 278,313 | ||||||||||||||||
Cash in Checking Account | 1,742 | 1,822 | 1,938 | 1,255 | 6,757 | ||||||||||||||||
Total | $ | 38,783,078 | $ | 354,768 | $ | 123,776,520 | $ | 32,852,364 | $ | 195,766,730 |
Investors_Interest
Investors' Interest | 9 Months Ended |
Sep. 30, 2014 | |
Investors' Interest [Abstract] | ' |
Investors' Interest | ' |
4. Investors’ Interest | |
The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage and the Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage (collectively, the “Series”). The MLM Commodity L/S Index is a subset of the MLM Index and contains only the commodity futures contracts of the entire MLM Index. The MLM Commodity L/N Index contains the same commodity futures contracts, but does not have short positions when the MLM Index algorithm indicates a short position in a particular contract. Class A, Class B, Class C, Class D and Class E shares are sold by authorized selling agents appointed by the Manager to accredited investors at a price equal to each Class’s net asset value. Shares may be redeemed at net asset value as of the last day of any month upon at least ten business days’ written notice to the Manager. As of September 30, 2014, the Commodity L/N Leveraged Series and the Commodity L/S Leveraged Series have not commenced trading and have no assets. In addition, as of September 30, 2014, the Commodity L/N Unleveraged Series and the Commodity L/S Unleveraged Series have never had any investors in classes A, B or C. Furthermore, as of September 30, 2014, the Leveraged Series and the Commodity L/S Unleveraged Series have never had any investors in class E. | |
The Manager allocates profits and losses among the investors of a Series based on the balance in each investor’s capital account. | |
The Class A and Class C shares are subject to a sales commission of 0% to 4% of the subscription amount, payable to the selling agent from the investor’s investment for each series. The amount of the sales commission will be determined by the selling agent. |
Margin_Requirements
Margin Requirements | 9 Months Ended | ||||||||
Sep. 30, 2014 | |||||||||
Margin Requirements [Abstract] | ' | ||||||||
Margin Requirements | ' | ||||||||
5. Margin Requirements | |||||||||
The Trust had margin requirements as follows at September 30, 2014 and December 31, 2013: | |||||||||
September 30, | December 31, | ||||||||
2014 | 2013 | ||||||||
Unleveraged Series | $ | 1,217,968 | $ | 788,023 | |||||
Leveraged Series | 241,144 | 266,992 | |||||||
Commodity L/N Unleveraged Series | 242,880 | 1,530,033 | |||||||
Commodity L/S Unleveraged Series | 1,888,040 | 1,615,519 | |||||||
Total | $ | 3,590,032 | $ | 4,200,567 | |||||
Each Series' margin requirements were satisfied by net unrealized profits and cash at the broker. |
Management_Fee_and_Other_Fees_
Management Fee and Other Fees and Expenses | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Management Fee and Other Fees and Expenses [Abstract] | ' | ||||||||||||||||||||||||
Management Fee and Other Fees and Expenses | ' | ||||||||||||||||||||||||
6. Management Fee and Other Fees and Expenses | |||||||||||||||||||||||||
Each Series pays the Manager a management fee as a percentage of net assets, as of the first day of each month at the annualized rates as follows: | |||||||||||||||||||||||||
Prior to May 1, 2013: | |||||||||||||||||||||||||
Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | 0.85 | % | 1.5 | % | N/ | A | 0.35 | % | 4 | % | 6.7 | % | |||||||||||||
Class B | 0.85 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1.7 | % | |||||||||||||
Class C | 0.4 | % | 1 | % | N/ | A | 0.35 | % | 4 | % | 5.75 | % | |||||||||||||
Class D | 0.4 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1.25 | % | |||||||||||||
Class E | 0.15 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1 | % | |||||||||||||
Leveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | 1.75 | % | 2.8 | % | N/ | A | 0.35 | % | 4 | % | 8.9 | % | |||||||||||||
Class B | 1.75 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 3.4 | % | |||||||||||||
Class C | 0.9 | % | 2.05 | % | N/ | A | 0.35 | % | 4 | % | 7.3 | % | |||||||||||||
Class D | 0.9 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 2.55 | % | |||||||||||||
Class E | 0.35 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 2 | % | |||||||||||||
Effective May 1, 2013: | |||||||||||||||||||||||||
Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | N/A | * | 2.7 | % | N/ | A | N/A | * | 4 | % | 6.7 | % | |||||||||||||
Class B | N/A | * | 1.7 | % | N/ | A | N/A | * | N/ | A | 1.7 | % | |||||||||||||
Class C | N/A | * | 1.75 | % | N/ | A | N/A | * | 4 | % | 5.75 | % | |||||||||||||
Class D | N/A | * | 1.25 | % | N/ | A | N/A | * | N/ | A | 1.25 | % | |||||||||||||
Class E | N/A | * | 1 | % | N/ | A | N/A | * | N/ | A | 1 | % | |||||||||||||
Leveraged Series | |||||||||||||||||||||||||
Total fees | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | And | ||||||||||||||||||||
fee | fee | fee | expense | expense | commissions | ||||||||||||||||||||
Class A | N/A | * | 4.9 | % | N/ | A | N/A | * | 4 | % | 8.9 | % | |||||||||||||
Class B | N/A | * | 3.4 | % | N/ | A | N/A | * | N/ | A | 3.4 | % | |||||||||||||
Class C | N/A | * | 3.3 | % | N/ | A | N/A | * | 4 | % | 7.3 | % | |||||||||||||
Class D | N/A | * | 2.55 | % | N/ | A | N/A | * | N/ | A | 2.55 | % | |||||||||||||
Class E | N/A | * | 2 | % | N/ | A | N/A | * | N/ | A | 2 | % | |||||||||||||
* Effective May 1, 2013, brokerage fee and operating expenses are included in the management fee charged by the Manager. The total of Brokerage fee, Management fee and Operating expense fee is unchanged and presented separately in the statement of operations. | |||||||||||||||||||||||||
Each Series pays the cash manager and banking fees directly. |
Derivative_Financial_Instrumen
Derivative Financial Instruments | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Derivative Financial Instruments [Abstract] | ' | ||||||||||||||||||||||||
Derivative Financial Instruments | ' | ||||||||||||||||||||||||
7. Derivative Financial Instruments | |||||||||||||||||||||||||
Derivatives are subject to various risks similar to non-derivative financial instruments including market, credit, liquidity and operational risk. The risks of derivatives should not be viewed in isolation but rather should be considered on an aggregate basis along with the Trust’s other trading-related activities. | |||||||||||||||||||||||||
Each Series purchases and sells futures in financial instruments and commodities. Each Series records its derivative activities on a mark-to-market basis with realized and unrealized gains (losses) recognized currently in the statements of operations and in due from brokers on the statements of financial condition. | |||||||||||||||||||||||||
The following tables reflect the fair value of each Series derivative financial instruments at September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 830,104 | $ | (69,758 | ) | $ | 572,412 | $ | (15,762 | ) | |||||||||||||||
Commodity futures | 1,228,395 | (75,053 | ) | 238,206 | (213,608 | ) | |||||||||||||||||||
Total | $ | 2,058,499 | $ | (144,811 | ) | $ | 810,618 | $ | (229,370 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Leveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 160,956 | $ | (14,934 | ) | $ | 194,140 | $ | (7,881 | ) | |||||||||||||||
Commodity futures | 249,463 | (14,361 | ) | 78,556 | (73,436 | ) | |||||||||||||||||||
Total | $ | 410,419 | $ | (29,295 | ) | $ | 272,696 | $ | (81,317 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Commodity L/N Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Commodity futures | $ | 666,770 | $ | ─ | $ | 275,213 | $ | (196,880 | ) | ||||||||||||||||
Total | $ | 666,770 | $ | ─ | $ | 275,213 | $ | (196,880 | ) | ||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Commodity L/S Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Commodity futures | $ | 3,582,607 | $ | (197,528 | ) | $ | 946,194 | $ | (811,818 | ) | |||||||||||||||
Total | $ | 3,582,607 | $ | (197,528 | ) | $ | 946,194 | $ | (811,818 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Trust Total | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 991,060 | $ | (84,692 | ) | $ | 766,552 | $ | (23,643 | ) | |||||||||||||||
Commodity futures | 5,727,235 | (286,942 | ) | 1,538,169 | (1,295,742 | ) | |||||||||||||||||||
Total | $ | 6,718,295 | $ | (371,634 | ) | $ | 2,304,721 | $ | (1,319,385 | ) | |||||||||||||||
The following tables reflect the realized and unrealized gains (losses) from derivative financial instruments for the three and nine months ended September 30, 2014 and 2013. (Included in the unrealized gain (loss) amounts on the Condensed Statement of Operations for September 30, 2014 and 2013, are unrealized gains (losses) from U.S. Government Agency Securities and unrealized gains (losses) from currency positions.): | |||||||||||||||||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Unleveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 190,537 | $ | 690,674 | $ | 881,211 | $ | 177,709 | $ | (301,242 | ) | $ | (123,533 | ) | |||||||||||
Commodity futures | (243,229 | ) | 1,038,864 | 795,635 | 180,139 | (98,332 | ) | 81,807 | |||||||||||||||||
Total | $ | (52,692 | ) | $ | 1,729,538 | $ | 1,676,846 | $ | 357,848 | $ | (399,574 | ) | $ | (41,726 | ) | ||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Leveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 58,326 | $ | 120,498 | $ | 178,824 | $ | 105,806 | $ | (169,569 | ) | $ | (63,763 | ) | |||||||||||
Commodity futures | (46,380 | ) | 196,911 | 150,531 | 109,116 | (42,115 | ) | 67,001 | |||||||||||||||||
Total | $ | 11,946 | $ | 317,409 | $ | 329,355 | $ | 214,922 | $ | (211,684 | ) | $ | 3,238 | ||||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/N | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (4,757,657 | ) | $ | (908,249 | ) | $ | (5,665,906 | ) | $ | 1,348,420 | $ | 543,354 | $ | 1,891,774 | ||||||||||
Total | $ | (4,757,657 | ) | $ | (908,249 | ) | $ | (5,665,906 | ) | $ | 1,348,420 | $ | 543,354 | $ | 1,891,774 | ||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/S | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (542,367 | ) | $ | 2,921,711 | $ | 2,379,344 | $ | 476,242 | $ | (232,884 | ) | $ | 243,358 | |||||||||||
Total | $ | (542,367 | ) | $ | 2,921,711 | $ | 2,379,344 | $ | 476,242 | $ | (232,884 | ) | $ | 243,358 | |||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Trust Total | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 248,863 | $ | 811,172 | $ | 1,060,035 | $ | 283,515 | $ | (470,811 | ) | $ | (187,296 | ) | |||||||||||
Commodity futures | (5,589,633 | ) | 3,249,237 | (2,340,396 | ) | 2,113,917 | 170,023 | 2,283,940 | |||||||||||||||||
Total | $ | (5,340,770 | ) | $ | 4,060,409 | $ | (1,280,361 | ) | $ | 2,397,432 | $ | (300,788 | ) | $ | 2,096,644 | ||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Unleveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 466,151 | $ | 203,696 | $ | 669,847 | $ | (681,784 | ) | $ | (143,248 | ) | $ | (825,032 | ) | ||||||||||
Commodity futures | (441,290 | ) | 1,128,744 | 687,454 | (316,619 | ) | 190,578 | (126,041 | ) | ||||||||||||||||
Total | $ | 24,861 | $ | 1,332,440 | $ | 1,357,301 | $ | (998,403 | ) | $ | 47,330 | $ | (951,073 | ) | |||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Leveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 159,589 | $ | (40,237 | ) | $ | 119,352 | $ | (599,596 | ) | $ | (101,145 | ) | $ | (700,741 | ) | |||||||||
Commodity futures | (108,386 | ) | 229,982 | 121,596 | (656,109 | ) | 301,079 | (355,030 | ) | ||||||||||||||||
Total | $ | 51,203 | $ | 189,745 | $ | 240,948 | $ | (1,255,705 | ) | $ | 199,934 | $ | (1,055,771 | ) | |||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/N | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (2,885,410 | ) | $ | 588,437 | $ | (2,296,973 | ) | $ | (4,792,180 | ) | $ | 308,012 | $ | (4,484,168 | ) | |||||||||
Total | $ | (2,885,410 | ) | $ | 588,437 | $ | (2,296,973 | ) | $ | (4,792,180 | ) | $ | 308,012 | $ | (4,484,168 | ) | |||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/S | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (1,374,300 | ) | $ | 3,250,703 | $ | 1,876,403 | $ | (2,276,495 | ) | $ | 989,724 | $ | (1,286,771 | ) | ||||||||||
Total | $ | (1,374,300 | ) | $ | 3,250,703 | $ | 1,876,403 | $ | (2,276,495 | ) | $ | 989,724 | $ | (1,286,771 | ) | ||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Trust Total | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 625,740 | $ | 163,459 | $ | 789,199 | $ | (1,281,380 | ) | $ | (244,393 | ) | $ | (1,525,773 | ) | ||||||||||
Commodity futures | (4,809,386 | ) | 5,197,866 | 388,480 | (8,041,403 | ) | 1,789,393 | (6,252,010 | ) | ||||||||||||||||
Total | $ | (4,183,646 | ) | $ | 5,361,325 | $ | 1,177,679 | $ | (9,322,783 | ) | $ | 1,545,000 | $ | (7,777,783 | ) | ||||||||||
The following tables reflect the trading activity for derivative financial instruments for the three months and six months ended September 30, 2014 and 2013: | |||||||||||||||||||||||||
Number of | Number of | Number of | Number of | ||||||||||||||||||||||
Contracts Opened | Contracts Closed | Contracts Opened | Contracts Closed | ||||||||||||||||||||||
Three months ended | Three months ended | Three months ended | Three months ended | ||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | 30-Sep-13 | 30-Sep-13 | ||||||||||||||||||||||
Unleveraged | 738 | 660 | 517 | 513 | |||||||||||||||||||||
Leveraged | 146 | 134 | 278 | 311 | |||||||||||||||||||||
Commodity L/N | 482 | 1,299 | 414 | 628 | |||||||||||||||||||||
Commodity L/S | 943 | 681 | 695 | 648 | |||||||||||||||||||||
Trust Total | 2,309 | 2,774 | 1,904 | 2,100 | |||||||||||||||||||||
Number of | Number of | Number of | Number of | ||||||||||||||||||||||
Contracts Opened | Contracts Closed | Contracts Opened | Contracts Closed | ||||||||||||||||||||||
Nine months ended | Nine months ended | Nine months ended | Nine months ended | ||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | 30-Sep-13 | 30-Sep-13 | ||||||||||||||||||||||
Unleveraged | 2,039 | 1,795 | 2,025 | 1,943 | |||||||||||||||||||||
Leveraged | 513 | 524 | 1,760 | 2,107 | |||||||||||||||||||||
Commodity L/N | 4,297 | 4,789 | 2,669 | 3,093 | |||||||||||||||||||||
Commodity L/S | 3,439 | 3,229 | 3,798 | 3,884 | |||||||||||||||||||||
Trust Total | 10,288 | 10,337 | 10,252 | 11,027 |
Financial_Highlights
Financial Highlights | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights | ' | ||||||||||||||||||||||||||||||||||||||||||||||||
8. Financial Highlights | |||||||||||||||||||||||||||||||||||||||||||||||||
The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2014: | |||||||||||||||||||||||||||||||||||||||||||||||||
Unleveraged Series | Leveraged Series | Commodity L/N Unleveraged Series | Commodity L/S Unleveraged Series | ||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class B | Class C | Class D | Class E | Class A | Class B | Class C | Class D | Class D | Class E | Class D | ||||||||||||||||||||||||||||||||||||||
Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | ||||||||||||||||||||||||||||||||||||||
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per share at December 31, 2013/issuance | $ | 101.57 | $ | 117.9 | $ | 103.38 | $ | 107.71 | $ | 100 | -1 | $ | 73.83 | $ | 91.22 | $ | 74.84 | $ | 95.88 | $ | 91.26 | $ | 88.46 | $ | 85.08 | ||||||||||||||||||||||||
Loss from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.42 | ) | (0.78 | ) | (1.07 | ) | (0.71 | ) | (0.22 | ) | (1.76 | ) | (1.18 | ) | (1.38 | ) | (1.25 | ) | (0.60 | ) | (0.59 | ) | (0.55 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.37 | 1.61 | 1.75 | 1.84 | 2.83 | 3.61 | 4.51 | 4.17 | 5.39 | (1.78 | ) | (1.56 | ) | 3.15 | |||||||||||||||||||||||||||||||||||
Total from investment operations | (0.05 | ) | 0.83 | 0.68 | 1.13 | 2.61 | 1.85 | 3.33 | 2.79 | 4.14 | (2.38 | ) | (2.15 | ) | 2.6 | ||||||||||||||||||||||||||||||||||
Net asset value per share at September 30, 2014 | $ | 101.52 | $ | 118.73 | $ | 104.06 | $ | 108.84 | $ | 102.61 | $ | 75.68 | $ | 94.55 | $ | 77.63 | $ | 100.02 | $ | 88.88 | $ | 86.31 | $ | 87.68 | |||||||||||||||||||||||||
Total Return: | (0.05 | )% | 0.7 | % | 0.66 | % | 1.05 | % | 2.61 | -2% | 2.51 | % | 3.65 | % | 3.73 | % | 4.32 | % | (2.61 | )% | (2.43 | )% | 3.06 | % | |||||||||||||||||||||||||
Ratio to Average Investors’ Interest: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.60 | )% | (0.68 | )% | (1.04 | )% | (0.66 | )% | (0.22 | -2% | (2.91 | )% | (1.35 | )% | (1.86 | )% | (1.31 | )% | (0.66 | )% | (0.66 | )% | (0.63 | )% | |||||||||||||||||||||||||
Expenses | (1.63 | )% | (0.71 | )% | (1.07 | )% | (0.69 | )% | (0.22% | )(2) | (2.89 | )% | (1.33 | )% | (1.85 | )% | (1.30 | )% | (0.70 | )% | (0.70 | )% | (0.66 | )% | |||||||||||||||||||||||||
Total return is calculated as the change in the net asset value per share for the nine months ended September 30, 2014. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the nine months ended September 30, 2014. | |||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Net asset value at date of issuance. | ||||||||||||||||||||||||||||||||||||||||||||||||
-2 | Total return, ratio of Net investment expense and Expenses calculated from data of issuance. | ||||||||||||||||||||||||||||||||||||||||||||||||
The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2013: | |||||||||||||||||||||||||||||||||||||||||||||||||
Unleveraged Series | Leveraged Series | Commodity L/N Unleveraged | Commodity L/S Unleveraged Series | ||||||||||||||||||||||||||||||||||||||||||||||
Series | |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class B | Class C | Class D | Class A | Class B | Class C | Class D | Class D | Class E | Class D | |||||||||||||||||||||||||||||||||||||||
Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | |||||||||||||||||||||||||||||||||||||||
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per share at December 31, 2012 | $ | 105.41 | $ | 121.13 | $ | 106.27 | $ | 110.17 | $ | 79.88 | $ | 97.21 | $ | 79.67 | $ | 101.31 | $ | 96.92 | $ | 93.71 | $ | 88.53 | |||||||||||||||||||||||||||
Loss from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.46 | ) | (0.80 | ) | (1.09 | ) | (0.73 | ) | (1.84 | ) | (1.21 | ) | (1.42 | ) | (1.26 | ) | (0.61 | ) | (0.59 | ) | (0.56 | ) | |||||||||||||||||||||||||||
Net realized and unrealized loss on investment transactions | (2.98 | ) | (3.42 | ) | (2.66 | ) | (2.75 | ) | (6.17 | ) | (7.53 | ) | (5.69 | ) | (7.26 | ) | (3.91 | ) | (3.61 | ) | (2.26 | ) | |||||||||||||||||||||||||||
Total from investment operations | (4.44 | ) | (4.22 | ) | (3.75 | ) | (3.48 | ) | (8.01 | ) | (8.74 | ) | (7.11 | ) | (8.52 | ) | (4.52 | ) | (4.20 | ) | (2.82 | ) | |||||||||||||||||||||||||||
Net asset value per share at September 30, 2013 | $ | 100.97 | $ | 116.91 | $ | 102.52 | $ | 106.69 | $ | 71.87 | $ | 88.47 | $ | 72.56 | $ | 92.79 | $ | 92.4 | $ | 89.51 | $ | 85.71 | |||||||||||||||||||||||||||
Total Return: | (4.21 | )% | (3.48 | )% | (3.53 | )% | (3.16 | )% | (10.03 | )% | (8.99 | )% | (8.92 | )% | (8.41 | )% | (4.66 | )% | (4.48 | )% | (3.19 | )% | |||||||||||||||||||||||||||
Ratio to Average Investors’ Interest: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.50 | )% | (0.77 | )% | (1.37 | )% | (0.66 | )% | (2.54 | )% | (1.45 | )% | (1.89 | )% | (1.48 | )% | (0.64 | )% | (0.63 | )% | (0.66 | )% | |||||||||||||||||||||||||||
Expenses | (1.54 | )% | (0.82 | )% | (1.44 | )% | (0.70 | )% | (2.56 | )% | (1.47 | )% | (1.90 | )% | (1.51 | )% | (0.69 | )% | (0.67 | )% | (0.71 | )% | |||||||||||||||||||||||||||
Total return is calculated as the change in the net asset value per share for the nine months ended September 30, 2013. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the nine months ended September 30, 2013. |
Subsequent_Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2014 | |
Subsequent Events [Abstract] | ' |
Subsequent Events | ' |
9. Subsequent Events | |
From October 1, 2014 through November 7, 2014, the Trust had no subscriptions for any Series. | |
The Trust had redemptions of approximately $139,000 for the Unleveraged Series and $18,000 for the Leveraged Series. There were no redemptions for the Commodity L/N Unleveraged Series or the Commodity L/S Unleveraged Series. |
Summary_of_Significant_Account1
Summary of Significant Accounting Policies (Policies) | 9 Months Ended | ||
Sep. 30, 2014 | |||
Summary of Significant Accounting Policies [Abstract] | ' | ||
Basis of Presentation | ' | ||
Basis of Presentation | |||
The Trust is comprised of four series: the Unleveraged Series, which attempts to replicate the Index without leverage, the Leveraged Series, which attempts to replicate the Index at three times leverage, the Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity Long/Neutral Index without leverage and the MLM Commodity L/S Unleveraged Series which attempts to replicate the MLM Commodity Long/Short Index without leverage (collectively, the “Series”). The accompanying financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (US GAAP). The following is a summary of the significant accounting and reporting policies used in preparing the financial statements. | |||
Certain information and footnote disclosures normally included in annual financial statements prepared in accordance with US GAAP have been omitted. In the opinion of the Manager, the financial statements contain all adjustments (consisting of only normal recurring adjustments) necessary to state fairly the financial positions of the Trust and each Series as of September 30, 2014 and the results of its operations for the three and nine months ended September 30, 2014 and 2013. The operating results for these interim periods may not be indicative of the results expected for a full year. These financial statements should be read in conjunction with the audited financial statements and accompanying notes included in the Annual Report on Form 10-K for the year ended December 31, 2013. | |||
Use of Estimates | ' | ||
Use of Estimates | |||
The preparation of the accompanying financial statements in conformity with accounting principles generally accepted in the United States of America 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 the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. | |||
Cash and Cash Equivalents | ' | ||
Cash and Cash Equivalents | |||
Cash and cash equivalents consist of highly liquid financial instruments with maturities of three months or less, when purchased. Certain of each Series' cash at broker is restricted to meet margin requirements (see Note 5). | |||
Due from Broker | ' | ||
Due from Broker | |||
Each Series' trading activities utilize one broker located in the United States. Due from broker represents cash balances held, and amounts receivable or payable for transactions not settled at September 30, 2014 and December 31, 2013. | |||
Fair Value Measurements | ' | ||
Fair Value Measurements | |||
Each Series has categorized its financial instruments, based on the priority of the inputs to the valuation technique, into a three-level fair value hierarchy. The fair value hierarchy gives the highest priority to quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). If the inputs used to measure the financial instruments fall within different levels of the hierarchy, the categorization is based on the lowest level input that is significant to the fair value measurement of the instrument. | |||
Financial assets and liabilities recorded on the statement of assets and liabilities are categorized based on the inputs to the valuation techniques as follows: | |||
Level 1: | |||
Financial assets and liabilities whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market (examples include active exchange-traded equity securities, listed derivatives, most U.S. government and agency securities, and certain other sovereign government obligations). | |||
Level 2: | |||
Financial assets and liabilities whose values are based on the following: | |||
a) | Quoted prices for similar assets or liabilities in active markets (for example, restricted stock); | ||
b) | Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently); | ||
c) | Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and | ||
d) | Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans). | ||
Level 3: | |||
Financial assets and liabilities whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset or liability (examples include private equity investments, certain commercial mortgage whole loans and long-dated or complex derivatives, including certain foreign exchange options and long-dated options on gas and power). | |||
As required by US GAAP, financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. As of September 30, 2014 and December 31, 2013, all of the derivative instruments held by the Trust are fair valued based on quoted prices in active markets (Level 1). | |||
Each Series' trading positions are valued at fair value and cash equivalents are carried at their net asset value per share including accrued interest, as applicable. All positions including the net unrealized appreciation or depreciation are included under the caption “net unrealized gain/(loss) on open futures contracts” on the statements of financial condition. Fair value is principally based on quoted market prices or broker or dealer price quotations. The resulting change in unrealized profit or loss is reflected in net gain (loss) on change in unrealized appreciation (depreciation) on investments on the statements of operations. | |||
Investment Transactions and Investment Income | ' | ||
Investment Transactions and Investment Income | |||
All securities transactions are recorded on a trade-date basis. Realized gain and loss are recorded using specific identification method. Interest income is recorded using the accrual basis of accounting. | |||
Income Taxes | ' | ||
Income Taxes | |||
Each of the Series of the Trust is classified for Federal income tax purposes as a separate partnership. Investors in each Series will reflect their proportionate share of realized profit or loss on their separate tax returns. Accordingly, no provisions for income taxes are required for the Trust or any Series. | |||
All of the Series of the Trust recognize tax benefits or expenses of uncertain tax positions in the year such determination is made when the positions were “more likely than not” to be sustained assuming examination by tax authorities. The Manager has reviewed all of the Series of the Trust’s tax positions for all open years (after December 31, 2008) and concluded that no provision for unrecognized tax benefits or expense is required in these financial statements. The Trust has elected an accounting policy to classify interest and penalties related to unrecognized tax benefits as interest or other expense. The 2010 through 2013 tax years generally remain subject to examination by U.S. federal and most state tax authorities. | |||
Redemptions Payable | ' | ||
Redemptions Payable | |||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value of each Series by the number of outstanding investors’ interests for that Series. |
Cash_and_Cash_Equivalents_Tabl
Cash and Cash Equivalents (Tables) | 9 Months Ended | ||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||
Cash and Cash Equivalents [Abstract] | ' | ||||||||||||||||||||
Schedule of Cash and Cash Equivalents | ' | ||||||||||||||||||||
The Trust’s cash and cash equivalents consisted of: | |||||||||||||||||||||
30-Sep-14 | Unleveraged | Leveraged | Commodity L/N | Commodity L/S | Trust Total | ||||||||||||||||
Series | Series | Unleveraged | Unleveraged | ||||||||||||||||||
Series | Series | ||||||||||||||||||||
Institutional Treasury Money Market Fund | $ | 21,447,000 | $ | 3,000 | $ | 4,886,000 | $ | 5,112,000 | $ | 31,448,000 | |||||||||||
U.S. Government Agency Securities | 31,898,873 | ─ | 121,591,310 | 32,529,125 | 186,019,308 | ||||||||||||||||
Cash | 108,051 | 4,903 | 108,486 | 96,068 | 317,508 | ||||||||||||||||
Cash in Checking Account | 1,444 | 1,769 | 1,898 | 1,129 | 6,240 | ||||||||||||||||
Total | $ | 53,455,368 | $ | 9,672 | $ | 126,587,694 | $ | 37,738,322 | $ | 217,791,056 | |||||||||||
31-Dec-13 | Unleveraged | Leveraged | Commodity L/N | Commodity L/S | Trust Total | ||||||||||||||||
Series | Series | Unleveraged | Unleveraged | ||||||||||||||||||
Series | Series | ||||||||||||||||||||
Institutional Treasury Money Market Fund | $ | 293,000 | $ | 4,000 | $ | 2,127,000 | $ | 66,000 | $ | 2,490,000 | |||||||||||
U.S. Government Agency Securities | 38,439,414 | 299,995 | 121,557,716 | 32,694,535 | 192,991,660 | ||||||||||||||||
Cash | 48,922 | 48,951 | 89,866 | 90,574 | 278,313 | ||||||||||||||||
Cash in Checking Account | 1,742 | 1,822 | 1,938 | 1,255 | 6,757 | ||||||||||||||||
Total | $ | 38,783,078 | $ | 354,768 | $ | 123,776,520 | $ | 32,852,364 | $ | 195,766,730 |
Margin_Requirements_Tables
Margin Requirements (Tables) | 9 Months Ended | ||||||||
Sep. 30, 2014 | |||||||||
Margin Requirements [Abstract] | ' | ||||||||
Margin Requirements on Trust Assets | ' | ||||||||
The Trust had margin requirements as follows at September 30, 2014 and December 31, 2013: | |||||||||
September 30, | December 31, | ||||||||
2014 | 2013 | ||||||||
Unleveraged Series | $ | 1,217,968 | $ | 788,023 | |||||
Leveraged Series | 241,144 | 266,992 | |||||||
Commodity L/N Unleveraged Series | 242,880 | 1,530,033 | |||||||
Commodity L/S Unleveraged Series | 1,888,040 | 1,615,519 | |||||||
Total | $ | 3,590,032 | $ | 4,200,567 |
Management_Fee_and_Other_Fees_1
Management Fee and Other Fees and Expenses (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Management Fee and Other Fees and Expenses [Abstract] | ' | ||||||||||||||||||||||||
Property Management Fee, Percent Fee | ' | ||||||||||||||||||||||||
Each Series pays the Manager a management fee as a percentage of net assets, as of the first day of each month at the annualized rates as follows: | |||||||||||||||||||||||||
Prior to May 1, 2013: | |||||||||||||||||||||||||
Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | 0.85 | % | 1.5 | % | N/ | A | 0.35 | % | 4 | % | 6.7 | % | |||||||||||||
Class B | 0.85 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1.7 | % | |||||||||||||
Class C | 0.4 | % | 1 | % | N/ | A | 0.35 | % | 4 | % | 5.75 | % | |||||||||||||
Class D | 0.4 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1.25 | % | |||||||||||||
Class E | 0.15 | % | 0.5 | % | N/ | A | 0.35 | % | N/ | A | 1 | % | |||||||||||||
Leveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | 1.75 | % | 2.8 | % | N/ | A | 0.35 | % | 4 | % | 8.9 | % | |||||||||||||
Class B | 1.75 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 3.4 | % | |||||||||||||
Class C | 0.9 | % | 2.05 | % | N/ | A | 0.35 | % | 4 | % | 7.3 | % | |||||||||||||
Class D | 0.9 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 2.55 | % | |||||||||||||
Class E | 0.35 | % | 1.3 | % | N/ | A | 0.35 | % | N/ | A | 2 | % | |||||||||||||
Effective May 1, 2013: | |||||||||||||||||||||||||
Unleveraged, Commodity L/N Unleveraged Series, and Commodity L/S Unleveraged Series | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | Total fees | ||||||||||||||||||||
fee | fee | fee | expense | expense | and | ||||||||||||||||||||
commissions | |||||||||||||||||||||||||
Class A | N/A | * | 2.7 | % | N/ | A | N/A | * | 4 | % | 6.7 | % | |||||||||||||
Class B | N/A | * | 1.7 | % | N/ | A | N/A | * | N/ | A | 1.7 | % | |||||||||||||
Class C | N/A | * | 1.75 | % | N/ | A | N/A | * | 4 | % | 5.75 | % | |||||||||||||
Class D | N/A | * | 1.25 | % | N/ | A | N/A | * | N/ | A | 1.25 | % | |||||||||||||
Class E | N/A | * | 1 | % | N/ | A | N/A | * | N/ | A | 1 | % | |||||||||||||
Leveraged Series | |||||||||||||||||||||||||
Total fees | |||||||||||||||||||||||||
Brokerage | Management | Organizational | Operating | Selling | And | ||||||||||||||||||||
fee | fee | fee | expense | expense | commissions | ||||||||||||||||||||
Class A | N/A | * | 4.9 | % | N/ | A | N/A | * | 4 | % | 8.9 | % | |||||||||||||
Class B | N/A | * | 3.4 | % | N/ | A | N/A | * | N/ | A | 3.4 | % | |||||||||||||
Class C | N/A | * | 3.3 | % | N/ | A | N/A | * | 4 | % | 7.3 | % | |||||||||||||
Class D | N/A | * | 2.55 | % | N/ | A | N/A | * | N/ | A | 2.55 | % | |||||||||||||
Class E | N/A | * | 2 | % | N/ | A | N/A | * | N/ | A | 2 | % | |||||||||||||
* Effective May 1, 2013, brokerage fee and operating expenses are included in the management fee charged by the Manager. The total of Brokerage fee, Management fee and Operating expense fee is unchanged and presented separately in the statement of operations. |
Derivative_Financial_Instrumen1
Derivative Financial Instruments (Tables) | 9 Months Ended | ||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||
Derivative Financial Instruments [Abstract] | ' | ||||||||||||||||||||||||
Schedule of Price Risk Derivatives | ' | ||||||||||||||||||||||||
The following tables reflect the fair value of each Series derivative financial instruments at September 30, 2014 and December 31, 2013: | |||||||||||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 830,104 | $ | (69,758 | ) | $ | 572,412 | $ | (15,762 | ) | |||||||||||||||
Commodity futures | 1,228,395 | (75,053 | ) | 238,206 | (213,608 | ) | |||||||||||||||||||
Total | $ | 2,058,499 | $ | (144,811 | ) | $ | 810,618 | $ | (229,370 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Leveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 160,956 | $ | (14,934 | ) | $ | 194,140 | $ | (7,881 | ) | |||||||||||||||
Commodity futures | 249,463 | (14,361 | ) | 78,556 | (73,436 | ) | |||||||||||||||||||
Total | $ | 410,419 | $ | (29,295 | ) | $ | 272,696 | $ | (81,317 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Commodity L/N Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Commodity futures | $ | 666,770 | $ | ─ | $ | 275,213 | $ | (196,880 | ) | ||||||||||||||||
Total | $ | 666,770 | $ | ─ | $ | 275,213 | $ | (196,880 | ) | ||||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Commodity L/S Unleveraged Series | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Commodity futures | $ | 3,582,607 | $ | (197,528 | ) | $ | 946,194 | $ | (811,818 | ) | |||||||||||||||
Total | $ | 3,582,607 | $ | (197,528 | ) | $ | 946,194 | $ | (811,818 | ) | |||||||||||||||
30-Sep-14 | 31-Dec-13 | ||||||||||||||||||||||||
Trust Total | Asset | Liability | Asset | Liability | |||||||||||||||||||||
Financial futures | $ | 991,060 | $ | (84,692 | ) | $ | 766,552 | $ | (23,643 | ) | |||||||||||||||
Commodity futures | 5,727,235 | (286,942 | ) | 1,538,169 | (1,295,742 | ) | |||||||||||||||||||
Total | $ | 6,718,295 | $ | (371,634 | ) | $ | 2,304,721 | $ | (1,319,385 | ) | |||||||||||||||
Schedule of Realized and Unrealized Gains (Losses) from Derivative Financial Instruments | ' | ||||||||||||||||||||||||
The following tables reflect the realized and unrealized gains (losses) from derivative financial instruments for the three and nine months ended September 30, 2014 and 2013. (Included in the unrealized gain (loss) amounts on the Condensed Statement of Operations for September 30, 2014 and 2013, are unrealized gains (losses) from U.S. Government Agency Securities and unrealized gains (losses) from currency positions.): | |||||||||||||||||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Unleveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 190,537 | $ | 690,674 | $ | 881,211 | $ | 177,709 | $ | (301,242 | ) | $ | (123,533 | ) | |||||||||||
Commodity futures | (243,229 | ) | 1,038,864 | 795,635 | 180,139 | (98,332 | ) | 81,807 | |||||||||||||||||
Total | $ | (52,692 | ) | $ | 1,729,538 | $ | 1,676,846 | $ | 357,848 | $ | (399,574 | ) | $ | (41,726 | ) | ||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Leveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 58,326 | $ | 120,498 | $ | 178,824 | $ | 105,806 | $ | (169,569 | ) | $ | (63,763 | ) | |||||||||||
Commodity futures | (46,380 | ) | 196,911 | 150,531 | 109,116 | (42,115 | ) | 67,001 | |||||||||||||||||
Total | $ | 11,946 | $ | 317,409 | $ | 329,355 | $ | 214,922 | $ | (211,684 | ) | $ | 3,238 | ||||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/N | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (4,757,657 | ) | $ | (908,249 | ) | $ | (5,665,906 | ) | $ | 1,348,420 | $ | 543,354 | $ | 1,891,774 | ||||||||||
Total | $ | (4,757,657 | ) | $ | (908,249 | ) | $ | (5,665,906 | ) | $ | 1,348,420 | $ | 543,354 | $ | 1,891,774 | ||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/S | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (542,367 | ) | $ | 2,921,711 | $ | 2,379,344 | $ | 476,242 | $ | (232,884 | ) | $ | 243,358 | |||||||||||
Total | $ | (542,367 | ) | $ | 2,921,711 | $ | 2,379,344 | $ | 476,242 | $ | (232,884 | ) | $ | 243,358 | |||||||||||
Three months ended September 30, 2014 | Three months ended September 30, 2013 | ||||||||||||||||||||||||
Trust Total | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 248,863 | $ | 811,172 | $ | 1,060,035 | $ | 283,515 | $ | (470,811 | ) | $ | (187,296 | ) | |||||||||||
Commodity futures | (5,589,633 | ) | 3,249,237 | (2,340,396 | ) | 2,113,917 | 170,023 | 2,283,940 | |||||||||||||||||
Total | $ | (5,340,770 | ) | $ | 4,060,409 | $ | (1,280,361 | ) | $ | 2,397,432 | $ | (300,788 | ) | $ | 2,096,644 | ||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Unleveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 466,151 | $ | 203,696 | $ | 669,847 | $ | (681,784 | ) | $ | (143,248 | ) | $ | (825,032 | ) | ||||||||||
Commodity futures | (441,290 | ) | 1,128,744 | 687,454 | (316,619 | ) | 190,578 | (126,041 | ) | ||||||||||||||||
Total | $ | 24,861 | $ | 1,332,440 | $ | 1,357,301 | $ | (998,403 | ) | $ | 47,330 | $ | (951,073 | ) | |||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Leveraged | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 159,589 | $ | (40,237 | ) | $ | 119,352 | $ | (599,596 | ) | $ | (101,145 | ) | $ | (700,741 | ) | |||||||||
Commodity futures | (108,386 | ) | 229,982 | 121,596 | (656,109 | ) | 301,079 | (355,030 | ) | ||||||||||||||||
Total | $ | 51,203 | $ | 189,745 | $ | 240,948 | $ | (1,255,705 | ) | $ | 199,934 | $ | (1,055,771 | ) | |||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/N | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (2,885,410 | ) | $ | 588,437 | $ | (2,296,973 | ) | $ | (4,792,180 | ) | $ | 308,012 | $ | (4,484,168 | ) | |||||||||
Total | $ | (2,885,410 | ) | $ | 588,437 | $ | (2,296,973 | ) | $ | (4,792,180 | ) | $ | 308,012 | $ | (4,484,168 | ) | |||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Commodity L/S | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Commodity futures | $ | (1,374,300 | ) | $ | 3,250,703 | $ | 1,876,403 | $ | (2,276,495 | ) | $ | 989,724 | $ | (1,286,771 | ) | ||||||||||
Total | $ | (1,374,300 | ) | $ | 3,250,703 | $ | 1,876,403 | $ | (2,276,495 | ) | $ | 989,724 | $ | (1,286,771 | ) | ||||||||||
Nine months ended September 30, 2014 | Nine months ended September 30, 2013 | ||||||||||||||||||||||||
Trust Total | Realized | Unrealized | Total | Realized | Unrealized | Total | |||||||||||||||||||
Financial futures | $ | 625,740 | $ | 163,459 | $ | 789,199 | $ | (1,281,380 | ) | $ | (244,393 | ) | $ | (1,525,773 | ) | ||||||||||
Commodity futures | (4,809,386 | ) | 5,197,866 | 388,480 | (8,041,403 | ) | 1,789,393 | (6,252,010 | ) | ||||||||||||||||
Total | $ | (4,183,646 | ) | $ | 5,361,325 | $ | 1,177,679 | $ | (9,322,783 | ) | $ | 1,545,000 | $ | (7,777,783 | ) | ||||||||||
Schedule of Derivative Trading Activity of Contracts Opened and Closed | ' | ||||||||||||||||||||||||
The following tables reflect the trading activity for derivative financial instruments for the three months and six months ended September 30, 2014 and 2013: | |||||||||||||||||||||||||
Number of | Number of | Number of | Number of | ||||||||||||||||||||||
Contracts Opened | Contracts Closed | Contracts Opened | Contracts Closed | ||||||||||||||||||||||
Three months ended | Three months ended | Three months ended | Three months ended | ||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | 30-Sep-13 | 30-Sep-13 | ||||||||||||||||||||||
Unleveraged | 738 | 660 | 517 | 513 | |||||||||||||||||||||
Leveraged | 146 | 134 | 278 | 311 | |||||||||||||||||||||
Commodity L/N | 482 | 1,299 | 414 | 628 | |||||||||||||||||||||
Commodity L/S | 943 | 681 | 695 | 648 | |||||||||||||||||||||
Trust Total | 2,309 | 2,774 | 1,904 | 2,100 | |||||||||||||||||||||
Number of | Number of | Number of | Number of | ||||||||||||||||||||||
Contracts Opened | Contracts Closed | Contracts Opened | Contracts Closed | ||||||||||||||||||||||
Nine months ended | Nine months ended | Nine months ended | Nine months ended | ||||||||||||||||||||||
30-Sep-14 | 30-Sep-14 | 30-Sep-13 | 30-Sep-13 | ||||||||||||||||||||||
Unleveraged | 2,039 | 1,795 | 2,025 | 1,943 | |||||||||||||||||||||
Leveraged | 513 | 524 | 1,760 | 2,107 | |||||||||||||||||||||
Commodity L/N | 4,297 | 4,789 | 2,669 | 3,093 | |||||||||||||||||||||
Commodity L/S | 3,439 | 3,229 | 3,798 | 3,884 | |||||||||||||||||||||
Trust Total | 10,288 | 10,337 | 10,252 | 11,027 |
Financial_Highlights_Tables
Financial Highlights (Tables) | 9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
Sep. 30, 2014 | |||||||||||||||||||||||||||||||||||||||||||||||||
Financial Highlights [Abstract] | ' | ||||||||||||||||||||||||||||||||||||||||||||||||
Per share operating performance and ratios to average investors' interest and other supplemental information | ' | ||||||||||||||||||||||||||||||||||||||||||||||||
The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2014: | |||||||||||||||||||||||||||||||||||||||||||||||||
Unleveraged Series | Leveraged Series | Commodity L/N Unleveraged Series | Commodity L/S Unleveraged Series | ||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class B | Class C | Class D | Class E | Class A | Class B | Class C | Class D | Class D | Class E | Class D | ||||||||||||||||||||||||||||||||||||||
Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | ||||||||||||||||||||||||||||||||||||||
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per share at December 31, 2013/issuance | $ | 101.57 | $ | 117.9 | $ | 103.38 | $ | 107.71 | $ | 100 | -1 | $ | 73.83 | $ | 91.22 | $ | 74.84 | $ | 95.88 | $ | 91.26 | $ | 88.46 | $ | 85.08 | ||||||||||||||||||||||||
Loss from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.42 | ) | (0.78 | ) | (1.07 | ) | (0.71 | ) | (0.22 | ) | (1.76 | ) | (1.18 | ) | (1.38 | ) | (1.25 | ) | (0.60 | ) | (0.59 | ) | (0.55 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investment transactions | 1.37 | 1.61 | 1.75 | 1.84 | 2.83 | 3.61 | 4.51 | 4.17 | 5.39 | (1.78 | ) | (1.56 | ) | 3.15 | |||||||||||||||||||||||||||||||||||
Total from investment operations | (0.05 | ) | 0.83 | 0.68 | 1.13 | 2.61 | 1.85 | 3.33 | 2.79 | 4.14 | (2.38 | ) | (2.15 | ) | 2.6 | ||||||||||||||||||||||||||||||||||
Net asset value per share at September 30, 2014 | $ | 101.52 | $ | 118.73 | $ | 104.06 | $ | 108.84 | $ | 102.61 | $ | 75.68 | $ | 94.55 | $ | 77.63 | $ | 100.02 | $ | 88.88 | $ | 86.31 | $ | 87.68 | |||||||||||||||||||||||||
Total Return: | (0.05 | )% | 0.7 | % | 0.66 | % | 1.05 | % | 2.61 | -2% | 2.51 | % | 3.65 | % | 3.73 | % | 4.32 | % | (2.61 | )% | (2.43 | )% | 3.06 | % | |||||||||||||||||||||||||
Ratio to Average Investors’ Interest: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.60 | )% | (0.68 | )% | (1.04 | )% | (0.66 | )% | (0.22 | -2% | (2.91 | )% | (1.35 | )% | (1.86 | )% | (1.31 | )% | (0.66 | )% | (0.66 | )% | (0.63 | )% | |||||||||||||||||||||||||
Expenses | (1.63 | )% | (0.71 | )% | (1.07 | )% | (0.69 | )% | (0.22% | )(2) | (2.89 | )% | (1.33 | )% | (1.85 | )% | (1.30 | )% | (0.70 | )% | (0.70 | )% | (0.66 | )% | |||||||||||||||||||||||||
Total return is calculated as the change in the net asset value per share for the nine months ended September 30, 2014. The per share operating performance and ratios are computed based upon the weighted average shares outstanding and the weighted average of investors’ interest, respectively for each class, for the nine months ended September 30, 2014. | |||||||||||||||||||||||||||||||||||||||||||||||||
-1 | Net asset value at date of issuance. | ||||||||||||||||||||||||||||||||||||||||||||||||
-2 | Total return, ratio of Net investment expense and Expenses calculated from data of issuance. | ||||||||||||||||||||||||||||||||||||||||||||||||
The following represents the per share operating performance and ratios to the average investors’ interest and other supplemental information for the nine months ended September 30, 2013: | |||||||||||||||||||||||||||||||||||||||||||||||||
Unleveraged Series | Leveraged Series | Commodity L/N Unleveraged | Commodity L/S Unleveraged Series | ||||||||||||||||||||||||||||||||||||||||||||||
Series | |||||||||||||||||||||||||||||||||||||||||||||||||
Class A | Class B | Class C | Class D | Class A | Class B | Class C | Class D | Class D | Class E | Class D | |||||||||||||||||||||||||||||||||||||||
Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | Shares | |||||||||||||||||||||||||||||||||||||||
Per share operating performance: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per share at December 31, 2012 | $ | 105.41 | $ | 121.13 | $ | 106.27 | $ | 110.17 | $ | 79.88 | $ | 97.21 | $ | 79.67 | $ | 101.31 | $ | 96.92 | $ | 93.71 | $ | 88.53 | |||||||||||||||||||||||||||
Loss from investment operations: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.46 | ) | (0.80 | ) | (1.09 | ) | (0.73 | ) | (1.84 | ) | (1.21 | ) | (1.42 | ) | (1.26 | ) | (0.61 | ) | (0.59 | ) | (0.56 | ) | |||||||||||||||||||||||||||
Net realized and unrealized loss on investment transactions | (2.98 | ) | (3.42 | ) | (2.66 | ) | (2.75 | ) | (6.17 | ) | (7.53 | ) | (5.69 | ) | (7.26 | ) | (3.91 | ) | (3.61 | ) | (2.26 | ) | |||||||||||||||||||||||||||
Total from investment operations | (4.44 | ) | (4.22 | ) | (3.75 | ) | (3.48 | ) | (8.01 | ) | (8.74 | ) | (7.11 | ) | (8.52 | ) | (4.52 | ) | (4.20 | ) | (2.82 | ) | |||||||||||||||||||||||||||
Net asset value per share at September 30, 2013 | $ | 100.97 | $ | 116.91 | $ | 102.52 | $ | 106.69 | $ | 71.87 | $ | 88.47 | $ | 72.56 | $ | 92.79 | $ | 92.4 | $ | 89.51 | $ | 85.71 | |||||||||||||||||||||||||||
Total Return: | (4.21 | )% | (3.48 | )% | (3.53 | )% | (3.16 | )% | (10.03 | )% | (8.99 | )% | (8.92 | )% | (8.41 | )% | (4.66 | )% | (4.48 | )% | (3.19 | )% | |||||||||||||||||||||||||||
Ratio to Average Investors’ Interest: | |||||||||||||||||||||||||||||||||||||||||||||||||
Net investment expense | (1.50 | )% | (0.77 | )% | (1.37 | )% | (0.66 | )% | (2.54 | )% | (1.45 | )% | (1.89 | )% | (1.48 | )% | (0.64 | )% | (0.63 | )% | (0.66 | )% | |||||||||||||||||||||||||||
Expenses | (1.54 | )% | (0.82 | )% | (1.44 | )% | (0.70 | )% | (2.56 | )% | (1.47 | )% | (1.90 | )% | (1.51 | )% | (0.69 | )% | (0.67 | )% | (0.71 | )% |
Organization_Details
Organization (Details) | Sep. 30, 2014 |
Fund | |
Organization [Abstract] | ' |
Number of funds in the trust | 4 |
Summary_of_Significant_Account2
Summary of Significant Accounting Policies (Details) | 9 Months Ended |
Sep. 30, 2014 | |
Broker | |
Fund | |
Summary of Significant Accounting Policies [Abstract] | ' |
Number of funds in the trust | 4 |
Number of times the fund attempts to replicate leverage | 3 |
Maximum maturity period of investments to be considered as cash equivalents | '3 months |
Number of brokers used for each series' trading activity | 1 |
Cash_and_Cash_Equivalents_Deta
Cash and Cash Equivalents (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 | Sep. 30, 2013 | Dec. 31, 2012 |
Cash and Cash Equivalents [Line Items] | ' | ' | ' | ' |
Institutional Treasury Money Market Fund | $31,448,000 | $2,490,000 | ' | ' |
U.S. Government Agency Securities | 186,019,308 | 192,991,660 | ' | ' |
Cash | 317,508 | 278,313 | ' | ' |
Cash in Checking Account | 6,240 | 6,757 | ' | ' |
Total | 217,791,056 | 195,766,730 | 199,803,859 | 195,312,622 |
Unleveraged Series [Member] | ' | ' | ' | ' |
Cash and Cash Equivalents [Line Items] | ' | ' | ' | ' |
Institutional Treasury Money Market Fund | 21,447,000 | 293,000 | ' | ' |
U.S. Government Agency Securities | 31,898,873 | 38,439,414 | ' | ' |
Cash | 108,051 | 48,922 | ' | ' |
Cash in Checking Account | 1,444 | 1,742 | ' | ' |
Total | 53,455,368 | 38,783,078 | ' | ' |
Leveraged Series [Member] | ' | ' | ' | ' |
Cash and Cash Equivalents [Line Items] | ' | ' | ' | ' |
Institutional Treasury Money Market Fund | 3,000 | 4,000 | ' | ' |
U.S. Government Agency Securities | 0 | 299,995 | ' | ' |
Cash | 4,903 | 48,951 | ' | ' |
Cash in Checking Account | 1,769 | 1,822 | ' | ' |
Total | 9,672 | 354,768 | ' | ' |
Commodity L/N Unleveraged Series [Member] | ' | ' | ' | ' |
Cash and Cash Equivalents [Line Items] | ' | ' | ' | ' |
Institutional Treasury Money Market Fund | 4,886,000 | 2,127,000 | ' | ' |
U.S. Government Agency Securities | 121,591,310 | 121,557,716 | ' | ' |
Cash | 108,486 | 89,866 | ' | ' |
Cash in Checking Account | 1,898 | 1,938 | ' | ' |
Total | 126,587,694 | 123,776,520 | ' | ' |
Commodity L/S Unleveraged Series [Member] | ' | ' | ' | ' |
Cash and Cash Equivalents [Line Items] | ' | ' | ' | ' |
Institutional Treasury Money Market Fund | 5,112,000 | 66,000 | ' | ' |
U.S. Government Agency Securities | 32,529,125 | 32,694,535 | ' | ' |
Cash | 96,068 | 90,574 | ' | ' |
Cash in Checking Account | 1,129 | 1,255 | ' | ' |
Total | $37,738,322 | $32,852,364 | ' | ' |
Investors_Interest_Details
Investors' Interest (Details) | 9 Months Ended |
Sep. 30, 2014 | |
Fund | |
Investors' Interest [Abstract] | ' |
Number of funds in the trust | 4 |
Number of times the fund attempts to replicate leverage | 3 |
Number of business days' written notice required to redeem shares, minimum | '10 days |
Percentage of sales commissions related to Class A and Class C shares, minimum (in hundredths) | 0.00% |
Percentage of sales commissions related to Class A and Class C shares, maximum (in hundredths) | 4.00% |
Margin_Requirements_Details
Margin Requirements (Details) (USD $) | Sep. 30, 2014 | Dec. 31, 2013 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ' | ' |
Margin requirements | $3,590,032 | $4,200,567 |
Unleveraged Series [Member] | ' | ' |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ' | ' |
Margin requirements | 1,217,968 | 788,023 |
Leveraged Series [Member] | ' | ' |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ' | ' |
Margin requirements | 241,144 | 266,992 |
Commodity L/N Unleveraged Series [Member] | ' | ' |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ' | ' |
Margin requirements | 242,880 | 1,530,033 |
Commodity L/S Unleveraged Series [Member] | ' | ' |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ' | ' |
Margin requirements | $1,888,040 | $1,615,519 |
Management_Fee_and_Other_Fees_2
Management Fee and Other Fees and Expenses (Details) | 4 Months Ended | 8 Months Ended | |
Apr. 30, 2013 | Dec. 31, 2013 | ||
Class A [Member] | Unleveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 6.70% | 6.70% | |
Class A [Member] | Unleveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.85% | ' | [1] |
Class A [Member] | Unleveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.50% | 2.70% | |
Class A [Member] | Unleveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class A [Member] | Unleveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class A [Member] | Unleveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 4.00% | 4.00% | |
Class A [Member] | Leveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 8.90% | 8.90% | |
Class A [Member] | Leveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.75% | ' | [1] |
Class A [Member] | Leveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 2.80% | 4.90% | |
Class A [Member] | Leveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class A [Member] | Leveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class A [Member] | Leveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 4.00% | 4.00% | |
Class B [Member] | Unleveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.70% | 1.70% | |
Class B [Member] | Unleveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.85% | ' | [1] |
Class B [Member] | Unleveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.50% | 1.70% | |
Class B [Member] | Unleveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class B [Member] | Unleveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class B [Member] | Unleveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class B [Member] | Leveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 3.40% | 3.40% | |
Class B [Member] | Leveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.75% | ' | [1] |
Class B [Member] | Leveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.30% | 3.40% | |
Class B [Member] | Leveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class B [Member] | Leveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class B [Member] | Leveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class C [Member] | Unleveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 5.75% | 5.75% | |
Class C [Member] | Unleveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.40% | ' | [1] |
Class C [Member] | Unleveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.00% | 1.75% | |
Class C [Member] | Unleveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class C [Member] | Unleveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class C [Member] | Unleveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 4.00% | 4.00% | |
Class C [Member] | Leveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 7.30% | 7.30% | |
Class C [Member] | Leveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.90% | ' | [1] |
Class C [Member] | Leveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 2.05% | 3.30% | |
Class C [Member] | Leveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class C [Member] | Leveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class C [Member] | Leveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 4.00% | 4.00% | |
Class D [Member] | Unleveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.25% | 1.25% | |
Class D [Member] | Unleveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.40% | ' | [1] |
Class D [Member] | Unleveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.50% | 1.25% | |
Class D [Member] | Unleveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class D [Member] | Unleveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class D [Member] | Unleveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class D [Member] | Leveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 2.55% | 2.55% | |
Class D [Member] | Leveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.90% | ' | [1] |
Class D [Member] | Leveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.30% | 2.55% | |
Class D [Member] | Leveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class D [Member] | Leveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class D [Member] | Leveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class E [Member] | Unleveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.00% | 1.00% | |
Class E [Member] | Unleveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.15% | ' | [1] |
Class E [Member] | Unleveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.50% | 1.00% | |
Class E [Member] | Unleveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class E [Member] | Unleveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class E [Member] | Unleveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class E [Member] | Leveraged [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 2.00% | 2.00% | |
Class E [Member] | Leveraged [Member] | Brokerage fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class E [Member] | Leveraged [Member] | Management fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 1.30% | 2.00% | |
Class E [Member] | Leveraged [Member] | Organizational fee [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
Class E [Member] | Leveraged [Member] | Operating expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | 0.35% | ' | [1] |
Class E [Member] | Leveraged [Member] | Selling expense [Member] | ' | ' | |
Component of Operating Other Cost and Expense [Line Items] | ' | ' | |
Management fees and other fees and expenses (in hundredths) | ' | ' | |
[1] | Effective May 1, 2013, brokerage fee and operating expenses are included in the management fee charged by the Manager. The total of Brokerage fee, Management fee and Operating expense fee is unchanged and presented separately in the statement of operations and presented separately in the statement of operations. |
Derivative_Financial_Instrumen2
Derivative Financial Instruments (Details) (USD $) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2014 | Sep. 30, 2013 | Sep. 30, 2014 | Sep. 30, 2013 | Dec. 31, 2013 | |
Contract | Contract | Contract | Contract | ||
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | $6,718,295 | ' | $6,718,295 | ' | $2,304,721 |
Liability | -371,634 | ' | -371,634 | ' | -1,319,385 |
Realized | -5,340,770 | 2,397,432 | -4,183,646 | -9,322,783 | ' |
Unrealized | 4,060,409 | -300,788 | 5,361,325 | 1,545,000 | ' |
Total derivatives realized and unrealized gain or (loss) | -1,280,361 | 2,096,644 | 1,177,679 | -7,777,783 | ' |
Number of Contracts Opened | 2,309 | 1,904 | 10,288 | 10,252 | ' |
Number of Contracts Closed | 2,774 | 2,100 | 10,337 | 11,027 | ' |
Financial futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 991,060 | ' | 991,060 | ' | 766,552 |
Liability | -84,692 | ' | -84,692 | ' | -23,643 |
Realized | 248,863 | 283,515 | 625,740 | -1,281,380 | ' |
Unrealized | 811,172 | -470,811 | 163,459 | -244,393 | ' |
Total derivatives realized and unrealized gain or (loss) | 1,060,035 | -187,296 | 789,199 | -1,525,773 | ' |
Commodity futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 5,727,235 | ' | 5,727,235 | ' | 1,538,169 |
Liability | -286,942 | ' | -286,942 | ' | -1,295,742 |
Realized | -5,589,633 | 2,113,917 | -4,809,386 | -8,041,403 | ' |
Unrealized | 3,249,237 | 170,023 | 5,197,866 | 1,789,393 | ' |
Total derivatives realized and unrealized gain or (loss) | -2,340,396 | 2,283,940 | 388,480 | -6,252,010 | ' |
Unleveraged Series [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 2,058,499 | ' | 2,058,499 | ' | 810,618 |
Liability | -144,811 | ' | -144,811 | ' | -229,370 |
Realized | -52,692 | 357,848 | 24,861 | -998,403 | ' |
Unrealized | 1,729,538 | -399,574 | 1,332,440 | 47,330 | ' |
Total derivatives realized and unrealized gain or (loss) | 1,676,846 | -41,726 | 1,357,301 | -951,073 | ' |
Number of Contracts Opened | 738 | 517 | 2,039 | 2,025 | ' |
Number of Contracts Closed | 660 | 513 | 1,795 | 1,943 | ' |
Unleveraged Series [Member] | Financial futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 830,104 | ' | 830,104 | ' | 572,412 |
Liability | -69,758 | ' | -69,758 | ' | -15,762 |
Realized | 190,537 | 177,709 | 466,151 | -681,784 | ' |
Unrealized | 690,674 | -301,242 | 203,696 | -143,248 | ' |
Total derivatives realized and unrealized gain or (loss) | 881,211 | -123,533 | 669,847 | -825,032 | ' |
Unleveraged Series [Member] | Commodity futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 1,228,395 | ' | 1,228,395 | ' | 238,206 |
Liability | -75,053 | ' | -75,053 | ' | -213,608 |
Realized | -243,229 | 180,139 | -441,290 | -316,619 | ' |
Unrealized | 1,038,864 | -98,332 | 1,128,744 | 190,578 | ' |
Total derivatives realized and unrealized gain or (loss) | 795,635 | 81,807 | 687,454 | -126,041 | ' |
Leveraged Series [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 410,419 | ' | 410,419 | ' | 272,696 |
Liability | -29,295 | ' | -29,295 | ' | -81,317 |
Realized | 11,946 | 214,922 | 51,203 | -1,255,705 | ' |
Unrealized | 317,409 | -211,684 | 189,745 | 199,934 | ' |
Total derivatives realized and unrealized gain or (loss) | 329,355 | 3,238 | 240,948 | -1,055,771 | ' |
Number of Contracts Opened | 146 | 278 | 513 | 1,760 | ' |
Number of Contracts Closed | 134 | 311 | 524 | 2,107 | ' |
Leveraged Series [Member] | Financial futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 160,956 | ' | 160,956 | ' | 194,140 |
Liability | -14,934 | ' | -14,934 | ' | -7,881 |
Realized | 58,326 | 105,806 | 159,589 | -599,596 | ' |
Unrealized | 120,498 | -169,569 | -40,237 | -101,145 | ' |
Total derivatives realized and unrealized gain or (loss) | 178,824 | -63,763 | 119,352 | -700,741 | ' |
Leveraged Series [Member] | Commodity futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 249,463 | ' | 249,463 | ' | 78,556 |
Liability | -14,361 | ' | -14,361 | ' | -73,436 |
Realized | -46,380 | 109,116 | -108,386 | -656,109 | ' |
Unrealized | 196,911 | -42,115 | 229,982 | 301,079 | ' |
Total derivatives realized and unrealized gain or (loss) | 150,531 | 67,001 | 121,596 | -355,030 | ' |
Commodity L/N Unleveraged Series [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 666,770 | ' | 666,770 | ' | 275,213 |
Liability | 0 | ' | 0 | ' | -196,880 |
Realized | -4,757,657 | 1,348,420 | -2,885,410 | -4,792,180 | ' |
Unrealized | -908,249 | 543,354 | 588,437 | 308,012 | ' |
Total derivatives realized and unrealized gain or (loss) | -5,665,906 | 1,891,774 | -2,296,973 | -4,484,168 | ' |
Number of Contracts Opened | 482 | 414 | 4,297 | 2,669 | ' |
Number of Contracts Closed | 1,299 | 628 | 4,789 | 3,093 | ' |
Commodity L/N Unleveraged Series [Member] | Commodity futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 666,770 | ' | 666,770 | ' | 275,213 |
Liability | 0 | ' | 0 | ' | -196,880 |
Realized | -4,757,657 | 1,348,420 | -2,885,410 | -4,792,180 | ' |
Unrealized | -908,249 | 543,354 | 588,437 | 308,012 | ' |
Total derivatives realized and unrealized gain or (loss) | -5,665,906 | 1,891,774 | -2,296,973 | -4,484,168 | ' |
Commodity L/S Unleveraged Series [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 3,582,607 | ' | 3,582,607 | ' | 946,194 |
Liability | -197,528 | ' | -197,528 | ' | -811,818 |
Realized | -542,367 | 476,242 | -1,374,300 | -2,276,495 | ' |
Unrealized | 2,921,711 | -232,884 | 3,250,703 | 989,724 | ' |
Total derivatives realized and unrealized gain or (loss) | 2,379,344 | 243,358 | 1,876,403 | -1,286,771 | ' |
Number of Contracts Opened | 943 | 695 | 3,439 | 3,798 | ' |
Number of Contracts Closed | 681 | 648 | 3,229 | 3,884 | ' |
Commodity L/S Unleveraged Series [Member] | Commodity futures [Member] | ' | ' | ' | ' | ' |
Derivatives [Line Items] | ' | ' | ' | ' | ' |
Asset | 3,582,607 | ' | 3,582,607 | ' | 946,194 |
Liability | -197,528 | ' | -197,528 | ' | -811,818 |
Realized | -542,367 | 476,242 | -1,374,300 | -2,276,495 | ' |
Unrealized | 2,921,711 | -232,884 | 3,250,703 | 989,724 | ' |
Total derivatives realized and unrealized gain or (loss) | $2,379,344 | $243,358 | $1,876,403 | ($1,286,771) | ' |
Financial_Highlights_Details
Financial Highlights (Details) (USD $) | 9 Months Ended | ||
Sep. 30, 2014 | Sep. 30, 2013 | ||
Commodity L/N Unleveraged Series [Member] | Class D [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $91.26 | $96.92 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.60) | ($0.61) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | ($1.78) | ($3.91) | |
Net income from investment operations (in dollars per share) | ($2.38) | ($4.52) | |
Net asset value per share at September 30 (in dollars per share) | $88.88 | $92.40 | |
Total Return (in hundredths) | -2.61% | -4.66% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.66% | -0.64% | |
Expenses (in hundredths) | -0.70% | -0.69% | |
Commodity L/N Unleveraged Series [Member] | Class E [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $88.46 | $93.71 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.59) | ($0.59) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | ($1.56) | ($3.61) | |
Net income from investment operations (in dollars per share) | ($2.15) | ($4.20) | |
Net asset value per share at September 30 (in dollars per share) | $86.31 | $89.51 | |
Total Return (in hundredths) | -2.43% | -4.48% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.66% | -0.63% | |
Expenses (in hundredths) | -0.70% | -0.67% | |
Commodity L/S Unleveraged Series [Member] | Class D [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $85.08 | $88.53 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.55) | ($0.56) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $3.15 | ($2.26) | |
Net income from investment operations (in dollars per share) | $2.60 | ($2.82) | |
Net asset value per share at September 30 (in dollars per share) | $87.68 | $85.71 | |
Total Return (in hundredths) | 3.06% | -3.19% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.63% | -0.66% | |
Expenses (in hundredths) | -0.66% | -0.71% | |
Unleveraged [Member] | Class A [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $101.57 | $105.41 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.42) | ($1.46) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $1.37 | ($2.98) | |
Net income from investment operations (in dollars per share) | ($0.05) | ($4.44) | |
Net asset value per share at September 30 (in dollars per share) | $101.52 | $100.97 | |
Total Return (in hundredths) | -0.05% | -4.21% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -1.60% | -1.50% | |
Expenses (in hundredths) | -1.63% | -1.54% | |
Unleveraged [Member] | Class B [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $117.90 | $121.13 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.78) | ($0.80) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $1.61 | ($3.42) | |
Net income from investment operations (in dollars per share) | $0.83 | ($4.22) | |
Net asset value per share at September 30 (in dollars per share) | $118.73 | $116.91 | |
Total Return (in hundredths) | 0.70% | -3.48% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.68% | -0.77% | |
Expenses (in hundredths) | -0.71% | -0.82% | |
Unleveraged [Member] | Class C [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $103.38 | $106.27 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.07) | ($1.09) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $1.75 | ($2.66) | |
Net income from investment operations (in dollars per share) | $0.68 | ($3.75) | |
Net asset value per share at September 30 (in dollars per share) | $104.06 | $102.52 | |
Total Return (in hundredths) | 0.66% | -3.53% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -1.04% | -1.37% | |
Expenses (in hundredths) | -1.07% | -1.44% | |
Unleveraged [Member] | Class D [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $107.71 | $110.17 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.71) | ($0.73) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $1.84 | ($2.75) | |
Net income from investment operations (in dollars per share) | $1.13 | ($3.48) | |
Net asset value per share at September 30 (in dollars per share) | $108.84 | $106.69 | |
Total Return (in hundredths) | 1.05% | -3.16% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.66% | -0.66% | |
Expenses (in hundredths) | -0.69% | -0.70% | |
Unleveraged [Member] | Class E [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $100 | [1] | ' |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($0.22) | ' | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $2.83 | ' | |
Net income from investment operations (in dollars per share) | $2.61 | ' | |
Net asset value per share at September 30 (in dollars per share) | $102.61 | ' | |
Total Return (in hundredths) | 2.61% | [2] | ' |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -0.22% | [2] | ' |
Expenses (in hundredths) | -0.22% | [2] | ' |
Leveraged [Member] | Class A [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $73.83 | $79.88 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.76) | ($1.84) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $3.61 | ($6.17) | |
Net income from investment operations (in dollars per share) | $1.85 | ($8.01) | |
Net asset value per share at September 30 (in dollars per share) | $75.68 | $71.87 | |
Total Return (in hundredths) | 2.51% | -10.03% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -2.91% | -2.54% | |
Expenses (in hundredths) | -2.89% | -2.56% | |
Leveraged [Member] | Class B [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $91.22 | $97.21 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.18) | ($1.21) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $4.51 | ($7.53) | |
Net income from investment operations (in dollars per share) | $3.33 | ($8.74) | |
Net asset value per share at September 30 (in dollars per share) | $94.55 | $88.47 | |
Total Return (in hundredths) | 3.65% | -8.99% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -1.35% | -1.45% | |
Expenses (in hundredths) | -1.33% | -1.47% | |
Leveraged [Member] | Class C [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $74.84 | $79.67 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.38) | ($1.42) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $4.17 | ($5.69) | |
Net income from investment operations (in dollars per share) | $2.79 | ($7.11) | |
Net asset value per share at September 30 (in dollars per share) | $77.63 | $72.56 | |
Total Return (in hundredths) | 3.73% | -8.92% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -1.86% | -1.89% | |
Expenses (in hundredths) | -1.85% | -1.90% | |
Leveraged [Member] | Class D [Member] | ' | ' | |
Per share operating performance [Abstract] | ' | ' | |
Net asset value per share, at December 31 / issuance (in dollars per share) | $95.88 | $101.31 | |
Income (loss) from investment operations [Abstract] | ' | ' | |
Net investment expense (in dollars per share) | ($1.25) | ($1.26) | |
Net realized and unrealized gain (loss) on investment transactions (in dollars per share) | $5.39 | ($7.26) | |
Net income from investment operations (in dollars per share) | $4.14 | ($8.52) | |
Net asset value per share at September 30 (in dollars per share) | $100.02 | $92.79 | |
Total Return (in hundredths) | 4.32% | -8.41% | |
Ratio to Average Investors' Interest [Abstract] | ' | ' | |
Net investment expense (in hundredths) | -1.31% | -1.48% | |
Expenses (in hundredths) | -1.30% | -1.51% | |
[1] | Net asset value at date of issuance. | ||
[2] | Total return, ratio of Net investment expense and Expenses calculated from data of issuance. |
Subsequent_Events_Details
Subsequent Events (Details) (Subsequent Event [Member], USD $) | Nov. 07, 2014 |
Unleveraged Series [Member] | ' |
Subsequent Event [Line Items] | ' |
Trust share subscriptions | $0 |
Trust redemptions | 139,000 |
Leveraged Series [Member] | ' |
Subsequent Event [Line Items] | ' |
Trust share subscriptions | 0 |
Trust redemptions | 18,000 |
Commodity L/N Unleveraged Series [Member] | ' |
Subsequent Event [Line Items] | ' |
Trust share subscriptions | 0 |
Trust redemptions | 0 |
Commodity L/S Unleveraged Series [Member] | ' |
Subsequent Event [Line Items] | ' |
Trust share subscriptions | 0 |
Trust redemptions | $0 |