SECURITIES
      AND EXCHANGE COMMISSION


WASHINGTON,
      D.C. 20549


FORM
      10-Q





x Quarterly report pursuant to Section 13 or 15(d) of the Securities


Exchange
      Act of 1934








For
      the
      quarterly period ended June 30, 2006,





or


* Transition report pursuant to Section 13 or 15(d) of the Securities


Exchange
      Act of 1934





For
      the
      transition period from ____________ to _____________








COMMISSION
      FILE NUMBER 0-49767








MLM
      INDEXTM FUND





(Exact
      name of registrant as specified in its charter)








DELAWARE


(State
      or
      other jurisdiction of incorporation or organization)








47
      Hulfish Street, Suite 510, Princeton, New Jersey





(Address
      of principal executive offices)








Unleveraged
      Series: 22-2897229


Leveraged
      Series: 22-3722683


(IRS
      Employer Identification Number)





08542





(Zip
      Code)








(609)
      924-8868





(Registrant's
      telephone number including area code)








(Former
      name, former address and former fiscal year, if


changed
      since last report)





Indicate
      by check mark whether the registrant (1) has filed all reports


required
      to be filed by Section 13 or 15(d) of the Securities Exchange Act
      of


1934
      during the preceding 12 months, and (2) has been subject to such
      filing


requirements
      for the past 90 days.





Yes x  No *




1




**MLM
      IndexTM Fund**


**Index
      to FORM 10Q**


**June
      30, 2006**






PART
      I -
      FINANCIAL INFORMATION


Item
                        1 Financial Statements:
                    Page
                        NumberStatements
                        of Financial Condition as of June 30, 2006
                        (unaudited) and December 31, 2005 (audited)
                    3Condensed
                        Schedules of Investments as of June 30, 2006
                        (unaudited) and December 31, 2005 (audited)
                    4Unaudited
                        Interim Statements of Operations for the three
                        months ended June 30, 2006 and 2005 and for the six months
                        ended June 30,
                        2006 and 2005
                    5Unaudited
                        Interim Statements of Changes in Investors’
                        Interest for the six months ended June 30, 2006 and
                        2005
                    6Unaudited
                        Interim Statements of Cash Flows for the six months
                        ended June 30, 2006 and 2005
                    8Item
                        2 Management’s Discussion and Analysis of Financial
                        Condition and Results of Operations
                    16Item
                        3Quantitative
                        and Qualitative Disclosures of Market Risk
                    20Item
                        4Controls
                        and Procedures
                    21**PART
                        II - OTHER INFORMATION**Item
                        1Legal
                        Proceedings
                    22Item
                        2Changes
                        in Securities and Use of Proceeds
                    22Item
                        3Defaults
                        Upon Senior Securities
                    22Item
                        4Submission
                        of Matters to a Vote of Security
                        Holders
                    22Item
                        5Other
                        Information
                    22Item
                        6Exhibits
                        and Reports on Form 8-K
                    22




2
 *Index*


MLM
      IndexTM Fund


Interim
      Statements of Financial Condition


As
      of
      June 30, 2006 (Unaudited) and December 31, 2005 (Audited)








June
                30,
              2006
            
            December
                31,
              2005**Assets**Cash
                and cash equivalents
            
            $
            278,089,906
            
            $
            332,619,312Due
                from broker
            
            
            12,352,096
            
            
            17,436,086Prepaid
                expenses
            
            
            70,464
            
            
            -Interest
                receivable
            
            
            1,027,177
            
            
            1,315,230Other
                assets
            
            
            1,268
            
            
            1,016Total
                assets
            
            $
            291,540,912
            
            $
            351,371,644**Liabilities
                and investors’ interest**Redemptions
                payable
            
            $
            12,786,650
            
            $
            6,215,572Brokerage
                commissions payable
            
            
            271,294
            
            
            315,530Management
                fee payable
            
            
            584,612
            
            
            445,018Accrued
                expenses
            
            
            73,587
            
            
            270,629Subscriptions
                received in advance
            
            
            -
            
            
            -Total
                liabilities
            
            
            13,716,144
            
            
            7,246,749Investors’
                interest
            
            
            277,824,768
            
            
            344,124,895Total
                liabilities and investors’ interest
            
            $
            291,540,912
            
            $
            351,371,644




*See
      Notes to Financial Statements*


3
 *Index*


MLM
      IndexTM Fund


Interim
      Condensed Schedules of Investments


June
      30,
      2006 (Unaudited)





**Security
                Description**
            
            **Number
                of**
              **Contracts**
            
            **Unrealized**
              **Appreciation**
              **(Depreciation)**
            
            **Percentage
                of**
              **Investors'**
              **Interest**FuturesLong
                Futures Contracts1Financial
            
            
            1,077
            
            $
            60,363
            
            
            0.02
            %Commodity
            
            
            1,807
            
            
            2,015,248
            
            
            0.732,884
            
            
            2,075,611
            
            
            0.75Short
                Futures Contracts1Financial
            
            
            2,197
            
            
            (171,017
            )
            
            (0.06
            )Commodity
            
            
            2,074
            
            
            611,616
            
            
            0.224,271
            
            
            440,599
            
            
            0.16Net
                unrealized appreciation on futures contracts
            
            
            
            
            $
            2,516,210
            
            
            0.91
            %





December
                31, 2005 (Audited)**Security
                Description**
            
            **Number
                of**
              **Contracts**
            
            **Unrealized**
              **Appreciation**
              **(Depreciation)**
            
            **Percentage
                of**
              **Investors'**
              **Interest**FuturesLong
                Futures Contracts1Financial
            
            
            1,699
            
            $
            1,108,076
            
            
            0.32
            %Commodity
            
            
            2,799
            
            
            7,263,034
            
            
            2.114,498
            
            
            8,371,110
            
            
            2.43Short
                Futures Contracts1Financial
            
            
            2,365
            
            
            2,636,198
            
            
            0.77Commodity
            
            
            2,962
            
            
            (1,235,563
            )
            
            (0.36
            )5,327
            
            
            1,400,635
            
            
            0.41Net
                unrealized gain on futures contracts
            
            
            
            
            $
            9,771,745
            
            
            2.84
            %




*See
      Notes to Financial Statements*





1 All such
      amounts are included, net, in due from brokers on the statements of financial
      condition.


4
 *Index*


MLM
      IndexTM Fund


Unaudited
      Interim Statements of Operations




**For
                  the three**
                **months
                  ended**
                **June
                  30, 2006**
              
              **For
                  the three**
                **months
                  ended**
                **June
                  30, 2005**
              
              **For
                  the six**
                **months
                  ended**
                **June
                  30, 2006**
              
              **For
                  the six**
                **months
                  ended**
                **June
                  30, 2005****Investment
                  income**Interest
              
              $
              3,576,435
              
              $
              2,593,295
              
              $
              7,208,479
              
              $
              4,774,383**Expenses**Brokerage
                  commissions
              
              
              847,407
              
              
              1,044,280
              
              
              1,755,330
              
              
              2,104,930Management
                  fee
              
              
              850,250
              
              
              1,036,542
              
              
              1,760,271
              
              
              2,088,704Operating
                  expenses
              
              
              494,263
              
              
              546,095
              
              
              1,018,367
              
              
              1,119,902Total
                  expenses
              
              
              2,191,921
              
              
              2,626,917
              
              
              4,533,968
              
              
              5,313,536Net
                  investment gain (loss)
              
              
              1,384,514
              
              
              (33,622
              )
              
              2,674,511
              
              
              (539,153
              )**Realized
                  and unrealized gain (loss) on****investments**Net
                  realized gain or (loss)
              
              
              (15,400,106
              )
              
              (11,110,143
              )
              
              (8,095,618
              )
              
              (20,073,472
              )Net
                  change in unrealized appreciation (depreciation) on
                  investments
              
              
              286,694
              
              
              10,513,510
              
              
              (7,057,405
              )
              
              14,372,258Net
                  realized and unrealized loss on Investments
              
              
              (15,113,412
              )
              
              (596,633
              )
              
              (15,153,023
              )
              
              (5,701,214
              )Net
                  Income (Loss)
              
              $
              (13,728,898
              )
              $
              (630,255
              )
              $
              (12,478,511
              )
              $
              (6,240,367
              )




*See
      Notes to Financial Statements*




5
 *Index*


MLM
      IndexTM Fund


Unaudited
      Interim Statement of Changes in Investors’ Interest


For
      the
      six months ended June 30, 2006





**Leveraged
                Series**
            
            **Unleveraged
                Series****Class
                A**
              **Shares**
            **Class
                B**
              **Shares**
            **Class
                C**
              **Shares**
            **Class
                D**
              **Shares**
            **Total**
              **Leveraged**
              **Series**
            
            **Class
                A**
              **Shares**
            **Class
                B**
              **Shares**
            **Class
                C**
              **Shares**
            **Class
                D**
              **Shares**
            **Total**
              **Unleveraged**
              **Series**
            **Total**
              **Investors’**
              **Interest**Investors’
              interest
                at
              December
                31,
              2005
            $32,127,839
            $103,075,225
            $8,877,426
            $24,944,520
            $169,025,010
            
            $20,644,133
            $74,731,650
            $113,199
            $79,610,905
            $175,099,887
            $344,124,895Subscriptions
            1,889,787
            11,390,603
            0
            10,104,000
            23,336,207
            
            186,550
            4,768,642
            0
            2,369,000
            7,324,192
            30,660,399Redemptions
            (3,700,665)
            (11,342,420)
            (2,752,137)
            (13,478,456)
            (43,190,504)
            
            (4,421,905)
            (25,460,389)
            0
            (11,409,470)
            (41,291,763)
            (84,482,267)Transfers
            23,614
            (23,259,245)
            0
            10,513,163
            238,450
            
            (97,428)
            (1,147,952)
            0
            1,006,930
            (238,450)
            0Net
                Income
              (Loss)
            (2,373,275)
            (6,802,700)
            (416,634)
            (1,431,485)
            (11,024,094)
            
            (273,803)
            (590,711)
            (1,246)
            (588,656)
            (1,454,417)
            (12,478,511)Investors’
              interest
                at
              June
                30, 2006
            $27,967,300
            $73,061,463
            $5,708,655
            $30,651,742
            $138,385,069
            
            $16,037,547
            $52,301,240
            $111,953
            $70,988,709
            $139,439,449
            $277,824,516Shares
                at
              December
                31,
              2005
            337,861
            989,350
            104,702
            243,837
            1,675,751
            
            190,487
            643,509
            1,107
            777,818
            1,612,922
            3,288,672Subscriptions
            20,416
            110,901
            0
            101,469
            232,786
            
            1,718
            41,140
            0
            23,132
            65,990
            298,776Redemptions
            (39,973)
            (230,420)
            (32,420)
            (134,758)
            (437,571)
            
            (908)
            (9,886)
            0
            (111,249)
            (111,249)
            (548,820)Transfers
            0
            (106,296)
            0
            109,914
            109,914
            
            (40,954)
            (219,500)
            0
            9,844
            9,844
            119,758Shares
                at June 30, 2006
            318,304
            763,535
            72,282
            320,462
            1,580,880
            
            150,343
            455,263
            1,107
            699,545
            1,577,507
            3,158,386Net
                asset
              value
                per
              share:June
                30, 2006
            $87.863579
            $96.992771
            $78.976940
            $95.648649
            
            
            $106.673199
            $114.881473
            $101.107601
            $101.478337





*See
      Notes to Financial Statements*


6
 *Index*


MLM
      IndexTM Fund


Unaudited
      Interim Statement of Changes in Investors’ Interest


For
      the
      six months ended June 30, 2005







**Leveraged
                Series**
            
            **Unleveraged
                Series****Class
                A**
              **Shares**
            **Class
                B**
              **Shares**
            **Class
                C**
              **Shares**
            **Class
                D**
              **Shares**
            **Total**
              **Leveraged**
              **Series**
            
            **Class
                A**
              **Shares**
            **Class
                B**
              **Shares**
            **Class
                C**
              **Shares**
            **Class
                D**
              **Shares**
            **Total**
              **Unleveraged**
              **Series**
            **Total**
              **Investors’**
              **Interest**Investors’
                interest at December 31, 2004
            $36,053,534
            $120,716,973
            $9,042,749
            $20,889,960
            $186,703,216
            
            $25,454,828
            $81,098,538
            $468,278
            $65,139,985
            $172,161,629
            $358,864,845Subscriptions
            2,922,006
            15,258,005
            -
            1,601,754
            19,781,765
            
            2,199,655
            13,609,606
            -
            11,828,000
            27,637,261
            47,419,026Redemptions
            (2,467,744)
            (14,649,728)
            -
            (29,169)
            (17,146,641)
            
            (2,962,539)
            (12,730,183)
            (60,853)
            (4,360,864)
            (20,114,439)
            (37,261,080)Transfers
            460,412
            694,436
            -
            1,108,693
            2,263,541
            
            (208,021)
            (3,101,168)
            -
            1,045,648
            (2,263,541)
            -Net
                loss
            (1,287,810)
            (3,390,306)
            (240,558)
            (501,259)
            (5,419,933)
            
            (251,446)
            (441,053)
            (1,596)
            (126,339)
            (820,434)
            (6,240,367)Investors’
                interest at June 30, 2005
            $35,680,398
            $118,629,380
            $8,802,191
            $23,069,979
            $186,181,948
            
            $24,232,477
            $78,435,740
            $405,829
            $73,526,430
            $176,600,476
            $362,782,424Shares
                at December 31, 2004
            378,833
            1,175,293
            108,672
            208,900
            1,871,697
            
            236,937
            711,557
            4,683
            651,400
            1,604,577
            3,476,274Subscriptions
            31,361
            151,882
            -
            16,196
            199,438
            
            20,630
            119,949
            -
            119,257
            259,836
            459,274Redemptions
            (26,822)
            (146,665)
            -
            (305)
            (173,792)
            
            (27,759)
            (112,474)
            (615)
            (43,777)
            (184,6253)
            (358,4173)Transfers
            4,895
            6,626
            -
            11,321
            22,842
            
            (1,949)
            (27,295)
            -
            10,513
            (18,732)
            4,109Shares
                at June 30, 2005
            388,266
            1,187,136
            108,672
            236,111
            1,920,185
            
            227,859
            691,736
            4,068
            737,392
            1,661,056
            3,581,241Net
                asset value per share:June
                30, 2005
            $91.896888
            $99.929065
            $81.286464
            $97.708103
            
            
            $106.348417
            $113.389645
            $99.712433
            $99.711395




*See
      Notes to Financial Statements*





7
 *Index*


MLM
      IndexTM Fund


Unaudited
      Interim Statements of Cash Flows






**For
                the six months ended June 30****2006**
            
            2005**Cash
                flows from operating activities**Net
                gain/loss
            
            $
            (12,478,511
            )
            $
            (6,240,367
            )Adjustments
                to reconcile net loss to net cash and cash equivalents used in operating
                activities:Unrealized
                appreciation (depreciation) on investments
            
            
            (7,057,405
            )
            
            14,372,258Net
                realized gain (loss) on investments
            
            
            (8,095,618
            )
            
            (20,073,472
            )Net
                change in operating assets and liabilities:Due
                from broker
            
            
            20,237,013
            
            
            6,830,904Prepaid
                expenses
            
            
            149,256
            
            
            (30,280
            )Interest
                receivable
            
            
            288,053
            
            
            (614,097
            )Other
                assets
            
            
            -
            
            
            10Brokerage
                commissions payable
            
            
            (44,236
            )
            
            (56,699
            )Management
                fee payable
            
            
            139,594
            
            
            (10,619
            )Accrued
                expenses
            
            
            (416,762
            )
            
            (375,905
            )Net
                cash and cash equivalents used in operating activities
            
            
            (7,278,616
            )
            
            (6,198,267
            )**Cash
                flows from financing activities**Subscriptions
                received, net of selling commissions
            
            
            30,660,399
            
            
            47,140,526Redemptions
                paid
            
            
            (77,911,188
            )
            
            (34,625,409
            )Net
                cash and cash equivalents provided by financing activities
            
            
            (47,250,790
            )
            
            12,515,117Net
                increase in cash and cash equivalents
            
            
            (54,529,406
            )
            
            6,316,850Cash
                and cash equivalents at beginning of year
            
            
            332,619,312
            
            
            347,850,015Cash
                and cash equivalents at end of year
            
            $
            278,089,906
            
            $
            354,166,865




*See
      Notes to Financial Statements*


8
 *Index*


MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)







**1.** **Organization**





MLM
      IndexTM Fund (the “Trust”) 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 Trust was organized for the primary purpose of seeking
      capital appreciation through the speculative trading of a diversified portfolio
      of futures contracts traded on U.S. exchanges using the MLM IndexTM Trading
      Program, which is based upon the MLM IndexTM (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.





**2.** **Significant
          Accounting Policies**





**Basis
      of Presentation**





The
      accompanying financial statements have been prepared in conformity with U.S.
      generally accepted accounting principles. The following is a summary of the
      significant accounting and reporting policies used in preparing the financial
      statements.





**Cash
      and Cash Equivalents**





Cash
      equivalents consist of highly liquid financial instruments with maturities
      of
      three months or less. The Trust’s cash equivalents consisted of
      approximately:





**June
                30, 2006**
            
            **December
                31, 2005**Overnight
                money markets
            
            $
            13,490,000
            
            $
            12,663,000Money
                market securities
            
            
            263,194,711
            
            
            317,477,170Total
            
            $
            276,684,711
            
            $
            330,140,170





9
 *Index*


MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)








**2.** **Significant
          Accounting Policies (continued)**





**Due
      from Brokers**





The
      Trust’s trading activities utilize one broker located in the United States. Due
      from broker represents cash balances held, unrealized profit or loss on futures
      contracts, and amounts receivable or payable for transactions not settled at
      June 30, 2006 and December 31, 2005.





**Valuation
      of Trading Positions**





The
      Trust’s trading positions are valued at market value. Market value is
      principally based on listed market prices or broker or dealer price quotations.
      Cash equivalents are carried at amortized cost which approximates fair value.
      All positions including the net unrealized appreciation or depreciation are
      included in amounts due from broker. The resulting change in unrealized profit
      or loss is reflected in net change in unrealized appreciation (depreciation)
      on
      investments on the statements of operations.





**Investment
      Transactions and Investment Income**





All
      investment transactions are recorded on a trade date basis. Realized gain and
      loss is recorded on the specific identification method. Interest income is
      recorded using the accrual basis of accounting.





**Use
      of Estimates**





The
      preparation of the accompanying financial statements in conformity with U.S.
      generally accepted accounting principles requires management to make estimates
      and assumptions that affect the reported amounts of assets and liabilities
      and
      disclosure of contingent assets and liabilities at the date of the financial
      statements and the reported amounts of revenue and expenses during the reporting
      period. Actual results could differ from those estimates.





**Income
      Taxes**





The
      Unleveraged Series and the Leveraged Series each will be classified for federal
      income tax purposes as separate partnerships. 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.





**3.** **Investors’
          Interest**





The
      Trust
      is comprised of two series: the Unleveraged Series, which attempts to replicate
      the Index without leverage, and the Leveraged Series (collectively, the
“Series”), which attempts to replicate the Index at three times leverage. Prior
      to December 2004, each Series had five classes of shares: Class A, Class A-1,
      Class B, Class B-1 and Class C. On December 1, 2004, Class D shares
      were offered in each Series. On December 31, 2004, the General Partner elected
      to close Class A-1 and Class B-1. Class A, Class B, Class C
      and Class D share are sold by authorized selling agents appointed by Mount
      Lucas Management Corporation (“the Manager”) to accredited investors at a price
      equal to each Class’ 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. Subscriptions are accepted as of the first day of any calendar
      month.


10
 *Index*


MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)








**3.** **Investors’
          Interest (continued)**





The
      Manager allocates profits and losses among the investors of a Series based
      on
      the balance in each investor’s capital account as of the beginning of each
      month.





The
      Manager paid all of the expenses associated with the organization of the Trust
      and the offered shares. As a result, each shareholder of Class A and Class
      B
      shares pays the Manager an organizational fee in the amount of 0.5% of their
      aggregate investment, net of any selling commission. Class A and Class B
      shareholders are not charged an organizational fee once their contribution
      equals $1,000,000 or more. Class C and Class D shareholders are not charged
      an
      organizational fee.





The
      Class A and Class C shares of the Unleveraged and Leveraged Series 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.





As
      of
      June 30, 2006, the Manager of the Trust had contributed $1,000 to each Series
      of
      the Trust.





**4.** **Margin
          Requirements**





The
      Trust
      had margin requirements of approximately $11,771,410 **** and
      $16,316,636 at June 30, 2006 and December 31, 2005, respectively, which were
      satisfied by net unrealized profits and cash at the broker.




11
 *Index*


MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)








**5.** **Management
          Fee and Other Fees and Expenses**





The
      Trust
      pays the Manager a management fee and the introducing broker a brokerage fee
      as
      a percentage of net assets, as of the first day of each month at the annualized
      rates as follows:





**Leveraged
                Series****Brokerage**
              **Fee**
            
            **Management**
              **Fee**
            
            **Organizational**
              **Fee**
            
            **Operating**
              **Expense**
            
            **Selling**
              **Expense**
            
            **Total
                Fees**
              **and**
              **Commissions**Class
                A
            
            
            1.75
            %
            
            2.80
            %
            
            0.50
            %
            
            0.35
            %
            
            4.00
            %
            
            9.40
            %Class
                B
            
            
            1.75
            %
            
            1.30
            %
            
            0.50
            %
            
            0.35
            %
            
            N/A
            
            
            3.90
            %Class
                C
            
            
            0.90
            %
            
            2.05
            %
            
            N/A
            
            
            0.35
            %
            
            4.00
            %
            
            7.30
            %Class
                D
            
            
            0.90
            %
            
            1.30
            %
            
            N/A
            
            
            0.35
            %
            
            N/A
            
            
            2.55
            %











**Unleveraged
                Series****Brokerage**
              **Fee**
            
            **Management**
              **Fee**
            
            **Organizational**
              **Fee**
            
            **Operating**
              **Expense**
            
            **Selling**
              **Expense**
            
            **Total
                Fees**
              **and**
              **Commissions**Class
                A
            
            
            0.85
            %
            
            1.50
            %
            
            0.50
            %
            
            0.35
            %
            
            4.00
            %
            
            7.20
            %Class
                B
            
            
            0.85
            %
            
            0.50
            %
            
            0.50
            %
            
            0.35
            %
            
            N/A
            
            
            2.20
            %Class
                C
            
            
            0.40
            %
            
            1.00
            %
            
            N/A
            
            
            0.35
            %
            
            4.00
            %
            
            5.75
            %Class
                D
            
            
            0.40
            %
            
            0.50
            %
            
            N/A
            
            
            0.35
            %
            
            N/A
            
            
            1.25
            %





The
      Trust
      pays 0.35% of average net assets for the Trust’s legal, accounting, auditing and
      other operating expenses and fees. The Trust also pays the cash manager, Credit
      Suisse Asset Management (“CSAM”), banking fees and State of New Jersey K-1
      filing fees directly. These amounts are included in operating expenses on the
      statements of operations.





**6.** **Derivative
          Financial Instruments**





Derivatives
      are subject to various risks similar to non-derivative financial instruments
      including market, credit, liquidity and operational risk. The risk 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.





The
      Trust
      purchases and sells futures in financial instruments and commodities. The Trust
      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 table reflects the fair value of the Trust’s derivative financial
      instruments.


12
 *Index*


MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)








**Fair
                Value at**June
                30, 2006
            
            December
                31, 2005Assets
            
            Liabilities
            
            Assets
            
            LiabilitiesFinancial
                Futures
            
            $
            60,363
            
            $
            (171,017
            )
            $
            1,108,076
            
            $
            2,636,198Commodity
                Futures
            
            
            2,015,248
            
            
            611,616
            
            
            7,263,034
            
            
            (1,235,563
            )Total
            
            $
            2,075,611
            
            $
            440,599
            
            $
            8,371,110
            
            $
            1,400,635




13
 *Index*


MLM
        Index TM Fund
 Notes
          to
          Unaudited Interim Financial Statements (continued)
 
 6. Financial
              Highlights
  The
                following represents the per share operating performance and ratios
                to average
                investors’ interest and other supplemental information for the six months ended
                June 30, 2006:


Leveraged
                  Series
              
              Unleveraged
                  SeriesClass
                  A
                Shares
              
              Class
                  B
                Shares
              
              Class
                  C
                Shares
              
              Class
                  D
                Shares
              
              Class
                  A
                Shares
              
              Class
                  B
                Shares
              
              Class
                  C
                Shares
              
              Class
                  D
                SharesPer
                  share operating performance:Net
                  asset value per share at December 31, 2005
              
              $
              95.09
              
              $
              104.18
              
              $
              84.79
              
              $
              102.30
              
              $
              108.38
              
              $
              116.13
              
              $
              102.23
              
              $
              102.35Income
                  from investment operations:Net
                  investment income (loss)
              
              
              0.57
              
              
              1.40
              
              
              0.73
              
              
              1.31
              
              
              1.31
              
              
              1.95
              
              
              1.59
              
              
              1.79Net
                  realized and unrealized loss on investment transactions
              
              
              (7.80
              )
              
              (8.59
              )
              
              (6.54
              )
              
              (7.96
              )
              
              (3.01
              )
              
              (3.20
              )
              
              (2.71
              )
              
              (2.67
              )Total
                  from investment operations
              
              
              (7.23
              )
              
              (7.19
              )
              
              (5.81
              )
              
              (6.65
              )
              
              (1.70
              )
              
              (1.25
              )
              
              (1.12
              )
              
              (0.88
              )Net
                  asset value per share at June 30, 2006
              
              $
              87.86
              
              $
              96.99
              
              $
              78.98
              
              $
              95.65
              
              $
              106.68
              
              $
              114.88
              
              $
              101.11
              
              $
              101.47Total
                  Return:
              
              
              -7.60
              %
              
              -6.90
              %
              
              -6.85
              %
              
              -6.50
              %
              
              -1.57
              %
              
              -1.08
              %
              
              -1.10
              %
              
              -0.85
              %Ratio
                  to Average Investors’ Interest:Net
                  investment income (loss)
              
              
              0.60
              %
              
              1.35
              %
              
              0.88
              %
              
              1.34
              %
              
              1.21
              %
              
              1.21
              %
              
              1.55
              %
              
              1.75
              %Expenses
              
              
              -1.72
              %
              
              -0.97
              %
              
              -1.36
              %
              
              -0.98
              %
              
              -1.08
              %
              
              -0.58
              %
              
              -0.82
              %
              
              -0.57
              %





Total
      return is calculated as the change in the net asset value per share for the
      six
      months ended June 30, 2006. The per share operating performance and ratios


are
      computed based upon the weighted average shares outstanding and weighted average
      investors’ interest, respectively, for each class, for the six months ended June
      30, 2006.




14
 *Index*





MLM
      Index TM Fund


Notes
      to
      Unaudited Interim Financial Statements (continued)







6. Financial
          Highlights (continued)






The
      following represents the per share operating performance and ratios to average
      investors’ interest and other supplemental information
      for the six months ended June 30, 2005:





Leveraged
                Series
            
            Unleveraged
                SeriesClass
                A
              Shares
            
            Class
                B
              Shares
            
            Class
                C
              Shares
            
            Class
                D
              Shares
            
            Class
                A
              Shares
            
            Class
                B
              Shares
            
            Class
                C
              Shares
            
            Class
                D
              SharesPer
                share operating performance:Net
                asset value per share at December 31, 2004
            
            $
            95.17
            
            $
            102.71
            
            $
            83.21
            
            $
            100.00
            
            $
            107.43
            
            $
            113.97
            
            $
            100.00
            
            $
            100.00Income
                from investment operations:Net
                investment income (loss)
            
            
            (.37
            )
            
            0.36
            
            
            (.02
            )
            
            0.35
            
            
            0.03
            
            
            0.78
            
            
            0.57
            
            
            0.85Net
                realized and unrealized loss on investment transactions
            
            
            (2.90
            )
            
            (3.14
            )
            
            (2.19
            )
            
            (2.64
            )
            
            (1.34
            )
            
            (1.36
            )
            
            (0.81
            )
            
            (1.14
            )Total
                from investment operations
            
            
            (3.27
            )
            
            (2.78
            )
            
            (2.21
            )
            
            (2.29
            )
            
            (1.08
            )
            
            (0.58
            )
            
            (0.24
            )
            
            (0.29
            )Net
                asset value per share at June 30, 2005
            
            $
            91.90
            
            $
            99.93
            
            $
            81.00
            
            $
            97.71
            
            $
            106.35
            
            $
            113.39
            
            $
            99.76
            
            $
            99.71Total
                Return:
            
            
            (3.44
            %)
            
            (2.71
            %)
            
            (2.66
            %)
            
            (2.29
            %)
            
            (1.01
            %)
            
            (0.51
            %)
            
            (0.24
            %)
            
            (0.29
            %)Ratio
                to Average Investors’ Interest:Net
                investment income (loss)
            
            
            (0.40
            %)
            
            0.36
            %
            
            (0.02
            %)
            
            0.36
            %
            
            0.24
            %
            
            0.68
            %
            
            0.57
            %
            
            0.85
            %Expenses
            
            
            (1.71
            %)
            
            (0.96
            %)
            
            (1.33
            %)
            
            (0.95
            %)
            
            (1.06
            %)
            
            (0.56
            %)
            
            (0.81
            %)
            
            (0.56
            %)





Total
      return is calculated as the change in the net asset value per share for the
      six
      months ended June 30, 2005. The per share operating performance and ratios
      are computed
      based upon the weighted average shares outstanding and weighted average
      investors’ interest, respectively, for each class, for the six months ended June
      30, 2005.





15
 *Index*




**Item
                2.**
            **Management's
                Discussion and Analysis of Financial Condition and Results of
                Operations**





**General**





The
      MLM
      IndexTM Fund (the “Trust”) is a business trust organized under the laws of
      Delaware. The Trust engages primarily in the speculative trading of a
      diversified portfolio of futures contracts using the MLM IndexTM Trading Program
      (the “Trading Program”). Futures contracts are standardized contracts made on or
      through a commodity exchange and provide for future delivery of commodities,
      precious metals, foreign currencies or financial instruments and, in the case
      of
      certain contracts such as stock index futures contracts and Eurodollar futures
      contracts, provide for cash settlement. The Trust's objective is the
      appreciation of its assets through speculative trading. The Trust began trading
      on January 4, 1999.





Mount
      Lucas Management Corporation (the “Manager”), a Delaware corporation, acts as
      the manager and trading advisor of the Trust. The Manager was formed in 1986
      to
      act as an investment manager. As part of a planned merger in October 1999,
      the
      Manager combined operations with Mount Lucas Index Management Corporation (the
      former manager of the Trust), CA Partners, Inc. and Little Brook Corporation
      of
      New Jersey. The purpose of the merger was to streamline and consolidate the
      operations of the affiliated entities. As of June 30, 2006, the Manager had
      approximately $1.4 billion of assets under advisement. The Manager is a
      registered investment adviser under the Investment Advisers Act of 1940 and
      is a
      registered commodity trading advisor and commodity pool operator with the
      Commodity Futures Trading Commission (the "CFTC") and a member of the National
      Futures Association (the "NFA"). The Manager may from time to time operate
      other
      investment vehicles.





The
      Trust
      and the Manager maintain their principal business office at 47 Hulfish Street,
      Suite 510, Princeton, New Jersey 08542 and their telephone number is (609)
      924-8868.





The
      purpose of the Trust is to replicate the results of the MLM IndexTM, an index
      designed to measure the risk premium available to futures traders. Designed
      as
      such, the results of the Trust depend on two factors, the results of the MLM
      IndexTM itself, and the Manager's ability to replicate that Index. It is
      important to note that the Manager also calculates the results of the MLM
      IndexTM. Thus, their role is twofold - to calculate the results of the MLM
      IndexTM, and to replicate the results of the MLM IndexTM for the Trust. Any
      changes made to the composition of the MLM IndexTM by the MLM IndexTM Committee of
      the Manager will effect the trading of the Trust, since the object of the Trust
      is to replicate the MLM IndexTM as published.





**Results
      of the MLM IndexTM**





The
      MLM
      IndexTM is calculated from the prices of 22 liquid futures markets. These markets
      are traded on domestic and foreign exchanges. For each market, the MLM IndexTM
generally uses the price of 4 different delivery months each year. For example,
      in the Japanese Yen futures market, the MLM IndexTM uses the March, June,
      September and December delivery months. On the day before trading day, the
      MLM
      IndexTM determines whether to hold a long or short position in each constituent
      contract based
      on
      the calculation methodology of the MLM IndexTM. Once established, that position
      is held for the subsequent period, at which time it is re-evaluated. The monthly
      results of each constituent market are then used to calculate the MLM IndexTM
return. The objective of the Trust is to replicate this monthly
      return.


16
 *Index*





Clearly,
      the volatility of the constituent markets in the MLM IndexTM can affect the
      results of the Trust. The influences on this volatility are varied and
      unpredictable. However, since the object of the Trust is to replicate the MLM
      IndexTM, the Manager takes no unusual action to mitigate this volatility. The
      role of the Manager is to buy or sell the appropriate number of futures
      contracts in each constituent market such that the aggregate return of those
      positions replicates as closely as possible the results of the MLM
      IndexTM.





In
      order
      to accomplish this objective, the Manager must calculate the number of contracts
      based on both the assets in the Trust and the distribution of the assets between
      the Unleveraged and Leveraged Series of the Trust. Since the MLM IndexTM
rebalances positions each month, at that time the Manager must ascertain the
      asset level and execute orders to achieve the desired allocations. This is
      achieved by adding the performance results of the Trust for the month to the
      assets at the beginning of the month, and adding additions of capital from
      new
      subscriptions and subtracting redemptions in order to determine the asset level
      at the end of the period.





**Summary
      of Critical Accounting Policies**





The
      preparation of financial statements in conformity with U.S. generally accepted
      accounting principles requires management to make estimates and assumptions
      that
      affect the amounts reported in the financial statements and accompanying notes.
      Management believes that the estimates utilized in preparing the financial
      statements are reasonable and prudent; however, actual results could differ
      from
      those estimates. The Trust's significant accounting policies are described
      in
      detail in Note 2 of the Notes to Unaudited Interim Financial
      Statements.





The
      Trust
      records all investments at market value in its financial statements, with
      changes in market value reported as a component of realized and unrealized
      gain
      (loss) on investments in the statements of operations. Generally, market values
      are based on market prices; however, in certain circumstances, significant
      judgments and estimates by the Manager are involved in determining fair value
      in
      the absence of an active market closing price.





**Financial
      Condition**





To
      replicate the results of the MLM IndexTM, the Trust must effect trades on
      domestic or foreign futures exchanges. Since the beginning of operations, the
      Trust has used Refco, LLC (“Refco”) as its futures commission merchant. In
      October 2005 the Trust moved all of its brokerage accounts to Citigroup Global
      Markets (“CGM”). The Manager deposits a percentage of the assets of the Trust in
      two separate accounts at CGM, one for the Unleveraged Series and one for the
      Leveraged Series. The amount deposited is determined by the margin requirement
      established by the exchanges to hold the positions in the Trust. The margin
      requirement varies, but is generally about 2% of assets for the Unleveraged
      Series and 5% of assets for the Leveraged Series.


17
 *Index*


The
      balance of the assets of the Trust is held in two separate custodial accounts
      at
      Investors Bank and Trust (the “Bank”). The Trust has contracted with Credit
      Suisse Asset Management (CSAM) to manage the money in these accounts so as
      to
      maximize the interest income which accrues to the Trust, while maintaining
      strict credit controls as determined by the Commodities Exchange Act (“CE Act”).
      When CGM requires additional assets to maintain the positions for the Trust,
      the
      Bank makes a wire transfer to CGM. If CGM has surplus assets in the accounts,
      CGM makes a wire transfer to the accounts at the Bank.





The
      Trust
      owns no capital assets and does not borrow money. Since the objective of the
      Trust is to replicate the results of the MLM IndexTM, its entire asset base
      participates in the speculative trading of futures contracts. As such, all
      the
      assets of the Trust are at risk. The level of assets will be determined by
      the
      results of the Trust, and the effect of addition of capital and the redemption
      of Trust interests. These variables are impossible to predict with any
      certainty.





**Liquidity**





The
      majority of the Trust's assets are held in liquid short term interest rate
      instruments. The Trust takes substantial exposure in futures markets, which
      require relatively small deposits, called margin, to hold the positions. In
      general, the Trust will have the minimum amount on deposit with brokers as
      margin, with the balance held in custodial accounts with a major financial
      institution.





Upon
      10
      days written notice to the Manager, a holder of interests in the Trust may
      liquidate that holding at the end of any month at the net asset value of the
      interests. While the Manager generally must honor all requests for redemption
      if
      presented in proper form, the Manager may temporarily suspend any redemption
      if
      the effect of such redemption, either alone or in conjunction with other
      redemptions, would impair the relevant Series' ability to operate if the
      impairment would be caused by a third party other than the Manager. Further,
      the
      right to obtain redemption is contingent upon the relevant Series having assets
      sufficient to discharge its liabilities on the date of redemption. Under certain
      circumstances, the Manager may find it advisable to establish a reserve for
      contingent liabilities. In such event, the amount receivable by a redeeming
      holder of interests will be reduced by his proportionate share of the reserve.
      There is no secondary market for interests in the Trust, and none is
      anticipated. There are restrictions for transfer of interests.





Although
      the Trust trades in futures contracts which are in general liquid, the exchanges
      impose daily trading limits, which act to suspend trading when a particular
      market or contract trades up or down to a pre-determined price level. Should
      this happen, and the Trust was attempting to execute trades in that situation,
      the Trust may not be able to accurately replicate the results of the MLM IndexTM.
      These rules have not had a material impact on the operation of the Trust to
      date.





**Market
      and Credit Risks**





The
      nature of the Trust is such that it undertakes substantial market risk in
      following its mandate to replicate the MLM IndexTM. Although the Manager monitors
      the intraday and daily valuation of the portfolio, no extraordinary measures
      are
      taken to reduce market risk. Specifically, the Manager maintains positions
      required to match, as closely as possible, the return of the MLM Index. One
      could imagine certain circumstances where the Manager might be called upon
      to
      make a change to this policy, such
      as
      the closing of an exchange or some other emergency situation. In such case,
      the
      Manager would use its best efforts to respond to such circumstances with the
      interests of the investors in mind.


18
 *Index*





The
      MLM
      IndexTM is designed to capture returns from sustained trends in the constituent
      futures markets. When these trends exist in a market or sector, the MLM IndexTM
tends to exhibit positive performance in that market or sector. Conversely,
      if a
      market or sector is trendless and volatile, the performance for the market
      or
      sector is likely to be negative. The lack of any significant trend is generally
      an indication of poor results.





The
      MLM
      IndexTM is not designed to predict which market will exhibit positive performance
      in any given year. The manager does not select the constituent markets based
      on
      expectations of future performance. The MLM IndexTM is designed to represent
      participation in a diverse basket of future contracts using a trend-following
      algorithm. The MLM IndexTM is a diversified Index producing different levels of
      return in the various sectors from year-to-year.





The
      Trust
      incurs various kinds of credit risk in its operations. In order to facilitate
      the trading of the Trust, assets must be placed with both Futures Commission
      Merchants and Broker/Dealers. Management of the Trust deals only with
      established registered firms in both capacities, and monitors their financial
      condition on an ongoing basis. In addition, if the Trust were to enter into
      over-the-counter (“OTC”) transactions, additional counterparty risk would be
      incurred. There were no OTC transactions for the six months end June 30,
      2006.





**Results
      of Operations**





At
      June
      30, 2006, the Trust had assets of $291,540,912 and liabilities of $13,716,144
      compared with assets of $351,371,644 and liabilities of $7,246,749 at December
      31, 2005. Changes in the net assets of the Trust are the result of subscriptions
      and redemptions to the Trust, and the net income (loss) from operations,
      including the results from futures trading, interest income, and fees and
      expenses. For the six-month period ending June 30, 2006, subscriptions to the
      Trust totaled $30,660,399 and redemptions totaled $84,482,267. During the
      six-month period ending June 30, 2006, the Trust had a net loss of $12,478,511
      compared with a net loss of $6,240,367 for the same period in 2005. Some
      expenses of the Trust are based on a percentage of net assets, and therefore
      increase as the net assets of the Trust increase.





The
      Trust’s net income is directly related to the performance of the MLM IndexTM,
      which the Trust is designed to replicate. For the six months ended June 30,
      2006, MLM IndexTM performance was -0.33%, lower than the +0.56% recorded in the
      same period ended June 30, 2005. Trust’s performance may be negative in years
      when the MLM IndexTM is positive due to the timing of subscriptions and
      redemptions, the fees charged, and the allocation of assets between the
      Unleveraged and Leveraged Series of the Trust. Since inception of the Trust,
      the
      correlation of monthly results between the Unleveraged Series of the Trust
      and
      the MLM IndexTM adjusted for fees is 0.99. The correlation between the Leveraged
      Series of the Trust and the MLM IndexTM adjusted for leverage and fees is
      0.99.





The
      components of the return of the MLM IndexTM are the capital gains earned from the
      changes in futures market prices, and the interest income earned on cash
      balances less expenses incurred. The mechanics and rules of futures markets
      allow the Trust to earn interest on approximately 100% of the assets
      in
      the Trust. The interest income takes two forms, directly from the Trust's
      futures broker paid on the margin deposits held by it, and excess cash. During
      2001, management altered the method of earning interest on the excess cash.
      Previously, excess cash was placed in a money market mutual fund. Larger asset
      size permitted the Trust to retain the services of a professional money manager
      to invest the Trust's cash assets without the expenses associated with money
      market mutual funds.


19
 *Index*


**Item
                  3.**
              **Quantitative
                  and Qualitative Disclosures About Market
                  Risk**





The
      following is a discussion of the quantification of market risk for the Trust.
      Such calculations are often referred to as Value-at-Risk, or VAR. The method
      used here may or may not differ from other methods used for VAR calculations
      by
      other firms. There is no one fixed method of VAR calculation, and this method
      may not be comparable to other methods.





The
      market risk, or VAR of the Trust is directly related to the composition of
      the
      MLM IndexTM. Each month, the position of the MLM IndexTM can be either long or
      short based on a 252 business day moving average rule. Since positions can
      be
      offset inside of sectors (one contract long in a particular commodity and one
      contract short in a related commodity), specific sector risk is less relevant
      than the historical risk of the MLM IndexTM as a whole. Since the object of the
      Trust is to replicate the MLM IndexTM, it is reasonable to use the historic
      values of that Index to estimate market risk.





The
      VAR
      of the Fund is calculated as follows:





1.
            The
                Manager calculates the standard deviation of the historical returns
                of the
                MLM IndexTM over two time periods, using daily returns over the preceding 1
                year ending at the date of this report, and using monthly returns
                over the
                preceding 10 years.  Those results for the period ended June 30, 2006
                are 0.26% and 1.85%, respectively.  It is important to note that this
                calculation is made on the historical data of the MLM IndexTM.  It is
                not based on the actual trading of the Trust and does not include
                any
                operational risk.  The standard deviation is used to measure the
                dispersion of the returns of the MLM
                IndexTM.





2.
            For
                the purposes of VAR, one attempts to estimate the size of a loss
                that may
                occur with some small probability.  VAR does not estimate the
                possibility of some total loss, only the probability of a loss of
                some
                magnitude.  The calculation is complicated by the fact that the
                standard deviation of the distribution assumes a normal distribution,
                which may or may not be a good estimate of the actual distribution. 
                For the purposes of this estimate, the Manager has chosen to calculate
                the
                size of a daily and monthly loss that might occur with a probability
                of 1%
                (1 chance in 100).  To do this, the standard deviation is multiplied
                by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust
                for
                the possibility of a non-normal distribution.  For daily returns,
                this estimate is a loss of 0.9165%.  For monthly returns the estimate
                is loss of 6.52125%.





3.
            To
                ascertain a dollar loss amount for the Trust, the assets of the Trust
                as
                of June 30, 2006 are multiplied by the estimate of the risk calculated
                in
                step 2 above.  The risk estimate is based on the Unleveraged MLM
                IndexTM, so Trust assets must be adjusted for the distribution of assets
                among the Unleveraged and Leveraged Series of the Trust, with the
                leveraged assets having three times the risk of the Unleveraged
                assets.  Based on the asset levels as of June 30, 2006, the Manager
                estimates that the Trust could expect to lose $5,144,412 in any given
                day
                and $36,237,737 in any given month.


20
 *Index*




The
      estimate above, though reasonable, should not be taken as an assurance that
      losses in the Trust could not be greater than these amounts. This is simply
      a
      quantitative estimate based on the historical performance of the MLM IndexTM. A
      loss that occurs with a small probability may be substantially greater than
      the
      loss indicated above. Also, market conditions could change dramatically from
      the
      conditions that prevailed over the period used to calculate the estimate,
      thereby affecting the realized volatility of the market. Furthermore, other
      factors could effect trading, such as the inability to execute orders in a
      particular market due to operational or regulatory restrictions that may alter
      the pattern of the Trust’s returns. Specifically, the Manager advises other
      funds in addition to the Trust. In certain markets there is a limit to the
      size
      of a position that one entity can control (speculative limits). Since positions
      cannot exceed speculative limits, the Manager may have to allocate positions
      across accounts and funds, resulting in a less than complete replication of
      the
      MLM IndexTM. As outlined in the offering for the Trust, it is best to remember
      that all the assets invested are at a risk of loss.





Since
      the
      calculation of the VAR does not look at the specific instrument risks, but
      rather the results of the MLM IndexTM as a whole, risks related to actual
      execution are not included in the calculation. For example, counter-party risks
      from OTC transactions are not factored into the calculation.





Additional
      market risk may be attributed to the actual execution of the orders for the
      Trust. The Trust executes the majority of its orders on the last day of each
      month. As assets of the Trust grow, large orders may be placed in periods of
      reduced liquidity. Such orders may move the markets in which they are executed,
      adversely affecting the performance of the Trust. The Manager makes every effort
      to execute all orders efficiently, but general levels of liquidity are beyond
      the control of management. In certain circumstances, markets may move to the
      daily trading limits imposed by the exchanges, and the Trust may be unable
      to
      execute the necessary orders to replicate the MLM IndexTM, causing a divergence
      of performance between the Fund and the MLM IndexTM, known as
“slippage”.


**Item
                  4.**
              **Controls
                  and Procedures**





The
      President and the Chief Operating Officer of the Manager evaluated the
      effectiveness of the design and operation of the Trust’s disclosure controls and
      procedures. These controls and procedures are designed to ensure that the Trust
      records, processes, and summarizes the information required to be disclosed
      in
      the reports submitted to the Securities and Exchange Commission in a timely
      and
      effective manner. Based upon this evaluation, they concluded that, as of June
      30, 2006, the Trust’s disclosure controls are effective. There have been no
      significant changes in the Trust’s internal control over financial reporting in
      the quarter ended June 30, 2006 that has materially affected or is reasonably
      likely to materially affect the Trust’s internal control over financial
      reporting.




21
 *Index*




Part
      II. OTHER
      INFORMATION


**Item
                  1.**
              **Legal
                  Proceedings.**
 
 The
        Manager is not aware of any proceedings threatened or pending against the
        Trust
        and its affiliates which, if determined adversely, would have a material
        adverse
        effect on the financial condition or results of operations of the
        Trust.
 
 **Item
                  2.**
              **Changes
                  in Securities and Use of
                  Proceeds:**




Leveraged
                  Series
              
              Unleveraged
                  SeriesClass
                  A
              Class
                  B
              Class
                  C
              Class
                  D
              
              Class
                  A
              Class
                  B
              Class
                  C
              Class
                  DApr-06
                  Subscriptions $
              $262,875
              $1,930,801
              $0
              $3,359,000
              
              $75,000
              $737,256
              $0
              $0Subscriptions
                  Units
              2,806
              18,716
              0
              33,067
              
              679
              4,633
              0
              0#
                  of
                  Purchasers
              5
              17
              0
              17
              
              2
              12
              0
              0Unit
                  Price
              93.686045
              103.160998
              83.982060
              101.582922
              
              108.497409
              116.651059
              102.673138
              102.963636May-06
                  Subscriptions $
              $24,875
              $1,946,469
              $0
              $4,700,000
              
              0
              $534,790
              $0
              $600,000Subscriptions
                  Units
              276
              19,620
              0
              48,076
              
              0
              4,633
              0
              5,886#
                  of
                  Purchasers
              1
              22
              
              19
              
              0
              11
              0
              2Unit
                  Price
              89.982050
              99.206800
              78.976397
              97.761168
              
              107.278520
              115.436930
              101.600584
              101.930581Jun-06
                  Subscriptions $
              $118,903
              $750,070
              $0
              $395,000
              
              0
              $1,203,875
              $0
              $610,000Subscriptions
                  Units
              1,353
              7,733
              0
              4,130
              
              0
              10,479
              0
              6,011#
                  of
                  Purchasers
              2
              15
              0
              3
              
              0
              11
              0
              5Unit
                  Price
              87.863579
              96.992771
              78.976940
              95.648649
              
              106.6732199
              114.881473
              101.107601
              101.478338
 **Item
                    3.**
                **Defaults
                    Upon Senior Securities.**
 
 None.
 
 **Item
                    4.**
                **Submission
                    of Matters to Vote of Security
                    Holders.**
 
 None.
 
 **Item
                    5.**
                **Other
                    Information.**
 
 None.
 
 **Item
                    6.**
                **Exhibits
                    and Reports on Form 8-K.**
 
 (a)
                Exhibits
 14.1
                  Code
                      of Ethics.
 22
 *Index*
  31.1
                Certification
                    of President of the Manager Pursuant to Rule 13A-14(a) and Rule
                    15D-14(a),
                    of the Securities Exchange Act, as
                    amended.
 
 31.2
                Certification
                    of Chief Operating Officer of the Manager Pursuant to Rule 13A-14(a)
                    and
                    Rule 15D-14(a), of the Securities Exchange Act, as
                    amended.
 
 32.1
                Certification
                    of President of the Manager Pursuant to 18 U.S.C. Section 1350,
                    as adopted
                    Pursuant to Section 906 of the Sarbanes-Oxley Act of
                    2002.
 
 32.2
                Certification
                    of Chief Operating Officer of the Manager Pursuant to 18 U.S.C.
                    Section
                    1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley
                    Act of
                    2002.




23
 *Index*


SIGNATURES
 
 Pursuant
        to the requirements of the Securities Exchange Act of 1934, the registrant
        has duly caused this report to be signed on its behalf by the undersigned
        thereunto duly authorized.
 
 MLM
        INDEXTM FUND
 
 By:
        Mount
        Lucas Management Corporation
 Its:
        Manager
 
 By:
        /s/ Timothy J. Rudderow
 Timothy
        J. Rudderow, President
 
 
 
 
 Date:
        August 7, 2006
   24