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 September 30, 2003,


                                       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 INDEX 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
                          Enhanced 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-



<PAGE>





MLM Index Fund
Index to FORM 10Q
September 30, 2003

Contents

PART I - FINANCIAL INFORMATION

                                                                          Page
                                                                          Number
Item 1   Financial Statements:

Interim Statements of Financial Condition as of September 30,
  2003 (unaudited) and December 31, 2002(audited)                           3

Interim Condensed Schedule of Investments as of September 30,
  2003 (unaudited) and December 31, 2002(audited)                           4

Unaudited Interim Statements of Operations For the Three
  Months Ended September 30, 2003 and 2002 and For the Nine Months
  Ended September 30, 2003 and 2002                                         5

Unaudited Interim Statement of Changes in Partners' Capital
  for the Nine Months Ended September 30, 2003 and 2002                     6

Notes to Unaudited Interim Financial Statements for the
  Nine Months September 30, 2003                                            8


Item 2   Management's Discussion and Analysis of Financial Condition       14
                   and Results of Operations


Item 3   Quantitative and Qualitative Disclosures of Market Risk           16

Item 4   Controls and Procedures                                           16

PART II - OTHER INFORMATION

Item 1   Legal Proceeding                                                  17


Item 2   Changes in Securities and Use of Proceeds                         17

Item 3   Defaults Upon Senior Securities                                   18


Item 4   Submission of Matters to a Vote of Security Holders               18


Item 5   Other Information                                                 18


Item 6   Exhibits and Reports on Form 8-K                                  18



                                      2


<PAGE>





MLM Index Fund
INTERIM STATEMENTS OF FINANCIAL CONDITION
AS OF September 30, 2003 (Unaudited) AND DECEMBER 31, 2002 (Audited)



                                             September 30,       December 31,
                                                  2003               2002
                                             ----------------------------------
Assets
Cash and cash equivalents                     $204,463,735     $195,744,016
Due from broker                                 22,231,315       16,239,584
Prepaid expenses                                   103,432                -
Other assets                                       303,580           33,157
                                             ----------------------------------
Total assets                                  $227,102,062     $212,016,757
                                             ==================================

Liabilities and investors' interest
Redemptions payable                           $  2,986,856     $  7,377,075
Brokerage commission payable                       257,206          237,304
Management fee payable                             304,445          263,552
Accrued expenses                                    45,141          144,413
                                             ----------------------------------
Total liabilities                                3,593,648        8,022,344

Investors' interest                            223,508,414      203,994,413
                                             ----------------------------------
Total liabilities and investors' interest     $227,102,062     $212,016,757
                                             ==================================




See Notes to Financial Statements









                                      3


<PAGE>







MLM Index Fund
CONDENSED SCHEDULES OF INVESTMENTS

SEPTEMBER 30, 2003 (Unaudited)
                                                      Percentage of
Security Description                Market Value      Investors' Interest
--------------------------------------------------------------------------------


Futures Contracts-(7.21%)
   Long                            $7,819,838         6.61%
   Short                              703,848         0.60%
Net unrealized appreciation on
   futures contracts               $8,523,686         7.21%
                                   =============================================






December 31, 2002 (Audited)
                                                      Percentage of
Security Description               Market Value       Investors' Interest
--------------------------------------------------------------------------------

Futures Contracts- 8.87%
   Long                            $17,832,683        8.74%
   Short                               271,250        0.13%
Net unrealized appreciation on     ---------------------------------------------
   futures contracts
                                   $18,103,933        8.87%
                                   =============================================









See Notes to Financial Statements





                                      4





<PAGE>
<TABLE>
<CAPTION>


MLM Index Fund
UNAUDITED INTERIM STATEMENTS OF OPERATIONS



                                          For the three      For the three       For the nine         For the nine
                                          months ended       months ended        months ended         months ended
                                          September 30,      September 30,       September 30,        September 30,
                                              2003               2002                2003                 2002
<S>                                      <C>                <C>                  <C>                 <C>
Investment income
Interest                                 $    519,882        $    855,123        $  1,801,793        $  2,639,505

Expenses
Brokerage commissions                         767,176             703,504           2,372,109           2,109,358
Management fee                                717,173             660,593           2,245,930           1,988,753
Operating expenses                            368,397             183,167             943,391             529,819
                                         -------------------------------------------------------------------------
Total expenses                              1,852,746           1,547,264           5,561,430           4,627,930

Net investment income (loss)               (1,332,864)           (692,141)         (3,759,637)         (1,988,425)


Realized and unrealized gain (loss)
on investments
Net realized gain (loss)                  (25,836,115)          1,826,777         (12,339,387)        (27,264,496)
Net change in unrealized appreciation
(depreciation) on investments
                                            3,147,448           7,829,067          (9,288,349)          7,307,674
                                         -------------------------------------------------------------------------


Net realized and unrealized gain
(loss) on investments                     (22,688,667)          9,655,844         (21,627,736)        (19,956,822)
                                         -------------------------------------------------------------------------


Net income (loss)                        $(24,021,531)       $  8,963,703        $(25,387,373)       $(21,945,247)
                                         =========================================================================



See Notes to Financial Statements


</TABLE>



                                                   5

<PAGE>


MLM Index Fund
UNAUDITED INTERIM STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2003
<TABLE>
<CAPTION>


                                                                                  Enhanced Series
                                           ----------------------------------------------------------------------------------------
                                                                                                                          Total
                                            Class A-1      Class A       Class B-1        Class B        Class C         Enhanced
                                             Shares        Shares         Shares          Shares         Shares           Series
                                           ----------------------------------------------------------------------------------------

<S>                                       <C>           <C>           <C>               <C>            <C>           <C>

Investors' interest at December 31, 2002   $166,740      $27,666,865    $1,820,270       $90,368,012    $6,071,072    $126,092,959
Subscriptions                                     -        6,511,424             -        21,250,458       681,500      28,443,382
Redemptions                                 (58,786)      (3,882,004)     (212,432)      (11,367,704)            -     (15,520,926)
Transfers                                         -         (492,976)            -           653,664             -         160,688
Net loss                                    (13,770)      (4,778,466)     (226,488)      (14,883,114)     (972,588)    (20,874,426)
                                           ----------------------------------------------------------------------------------------
Investors' interest at September 30, 2003   $94,184      $25,024,843    $1,381,350       $86,021,316    $5,779,984    $118,301,677
                                           ========================================================================================

Shares at December 31, 2002                1,567.81       294,432.67     16,888.48        918,690.21     74,838.99    1,306,418.16
Subscriptions                                     -        71,951.55             -        221,708.87      9,234.41      302,894.83
Redemptions                                 (526.06)      (45,041.77)    (1,981.38)      (120,585.58)            -     (168,134.79)
Transfers                                         -        (5,379.68)            -          6,320.94             -          941.26
                                           ----------------------------------------------------------------------------------------
Shares at September 30, 2003                1041.75       315,962.77     14,907.10      1,026,134.44     84,073.40    1,442,119.46
                                           ========================================================================================
Net asset value per share:
   September 30, 2003                        $90.41           $79.20        $92.66            $83.83        $68.75
                                           ========================================================================================


<CAPTION>

                                                                                                         Unleveraged Series
                                ---------------------------------------------------------------------------------------------------
                                                                                                                       Total
                                                                                                    Total     Investors' Interest
                                 Class A-1      Class A       Class B-1        Class B           Unleveraged       ($100 Par
                                  Shares         Shares         Shares         Shares              Series         Value/Share)
                                ---------------------------------------------------------------------------------------------------

<S>                            <C>          <C>             <C>             <C>              <C>              <C>
Investors' interest
  at December 31, 2002         $ 800,249    $ 13,253,585    $ 1,233,316    $ 62,614,304      $  77,901,454     $   203,994,413
Subscriptions                          -       5,335,509              -      38,506,918         43,842,427          72,285,809
Redemptions                     (153,541)     (1,293,076)          (430)    (10,416,462)       (11,863,509)        (27,384,435)
Transfers                              -          80,547              -        (241,235)          (160,688)                  -
Net loss                         (31,009)       (942,356)       (54,041)     (3,485,541)        (4,512,947)        (25,387,373)
                               ----------------------------------------------------------------------------------------------------
Investors' interest
  at September 30, 2003        $ 615,699    $ 16,434,209    $ 1,178,845    $ 86,977,984      $ 105,206,737     $   223,508,414
                               ====================================================================================================

Shares at December 31, 2002     7,275.76      124,491.78      10,783.92      566,291.85         708,843.31        2,015,261.47
Subscriptions                          -       50,277.60              -      355,324.10         405,601.70          708,496.53
Redemptions                     1,377.12)     (12,376.80)         (3.75)     (94,010.17)       (107,767.84)        (275,902.63)
Transfers                              -          821.60              -       (2,112.89)         (1,291.29)            (350,03)
                               ----------------------------------------------------------------------------------------------------
Shares at September 30, 2003    5,898.64      163,214.18      10,780.17      825,492.89       1,005,385.88        2,447,505.34
                               ====================================================================================================
Net asset value per share:
   September 30, 2003          $  104.38    $     100.69    $    109.35    $     105.36
                               ==========================================================



</TABLE>

See Notes to Financial Statements

                                                              6
<PAGE>

MLM Index Fund
UNAUDITED INTERIM STATEMENT OF CHANGES IN PARTNERS' CAPITAL
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2002
<TABLE>
<CAPTION>
                                                                Enhanced Series
                               -----------------------------------------------------------------------------
                                                                                                Total
                               Class A-1     Class A    Class B-1     Class B      Class C     Enhanced
                                 Shares      Shares      Shares        Shares      Shares       Series
                               -----------------------------------------------------------------------------

<S>                            <C>        <C>          <C>           <C>          <C>         <C>
Investors' interest at         $153,689    $26,820,513  $4,193,995   $91,711,548  $4,024,210   $126,903,955
December 31, 2001
Subscriptions                         -      7,131,229      24,875    25,504,117   2,457,750     35,117,971
Redemptions                     (19,733)    (1,969,598)   (688,675)   (9,708,347)          -    (12,386,353)
Transfers                        54,046       (651,375)          -    (2,403,291)          -     (3,000,620)
Net (loss)                      (23,908)    (4,234,190)   (513,139)  (14,042,353)   (501,239)   (19,314,829)
                               -----------------------------------------------------------------------------
Investors' interest at
September 30, 2002             $164,094    $27,096,579  $3,017,056   $91,061,674  $5,980,721   $127,320,124
                               =============================================================================

Shares at December 31, 2001       1,241        242,231      33,918       803,319      42,419      1,123,128
Subscriptions                         -         77,589         197       262,564      32,420        372,770
Redemptions                        (199)       (20,122)     (5,565)      (99,188)          -       (125,074)
Transfers                           526         (7,530)          -       (25,197)          -        (32,201)
                               ----------------------------------------------------------------------------
Shares at September 30, 2002      1,568        292,168      28,550       941.498      74,839      1,338,623
                               =============================================================================
Net asset value per share:
   September 30,2002            $104.67    $     92.74  $   105.67   $     96.72  $    79.91
                               ==============================================================


<CAPTION>
                                                                Unleveraged Series
                              --------------------------------------------------------------------------------
                                                                                                   Total
                                                                                    Total         Investors'
                              Class A-1     Class A     Class B-1     Class B      Unleveraged    Interest
                                Shares       Shares      Shares        Shares        Series       ($100 Par
                                                                                                 Value/Share)
                              --------------------------------------------------------------------------------

<S>                           <C>          <C>         <C>          <C>            <C>          <C>
Investors' interest at         $910,801    $ 8,248,822  $1,985,391   $59,157,708   $70,302,722   $197,206,677
December 31, 2001
Subscriptions                         -      6,392,490           -    14,727,184    21,119,674     56,237,645
Redemptions                     (21,267)      (576,051)   (713,291)  (10,171,537)  (11,482,146)   (23,868,499)
Transfers                       (54,046)      (185,926)          -     3,240,592     3,000,620              -
Net (loss)                      (42,040)      (451,923)    (52,182)   (2,084,273)   (2,630,418)   (21,945,247)
                              --------------------------------------------------------------------------------
Investors' interest at
September 30, 2002             $793,448    $13,427,412  $1,219,918   $64,869,674   $80,310,452   $207,630,576
                              ================================================================================

Shares at December 31, 2001       7,976         74,313      16,874       517,660       616,823      1,739,951
Subscriptions                         -         60,020           -       135,533       195,553        568,323
Redemptions                        (199)        (5,522)     (6,088)      (90,641)     (102,450)      (227,524)
Transfers                          (500)        (1,749)          -       29,982         27,733         (4,468)
                              --------------------------------------------------------------------------------
Shares at September 30, 2002      7,277        127,062      10,786       592,534       737,659      2,076,282
                              ================================================================================
Net asset value per share:
   September 30,2002           $ 109.05    $    105.68  $   113.11   $    109.48
                              ==================================================


See Notes to Financial Statements
</TABLE>

                                                   7
<PAGE>


MLM Index Fund
Notes to Financial Statements


1. Significant Accounting Policies

Organization and Basis of Financial Statements

MLM Index Fund (the "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 Fund 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 Index Trading
Program, which is based upon the MLM Index. The MLM 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. Only highly-liquid U.S. futures markets are currently included in the
MLM Index.

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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.

Cash and Cash Equivalents

Cash equivalents consist of short term money market investments and deposits in
money market mutual funds, which are carried at cost plus accrued interest,
which approximates market value. At September 30, 2003 and December 31, 2002,
the Fund had approximately $60,275,000 and $35,161,000, respectively, in
overnight funds with one major domestic bank and $140,734,240 and $158,778,566
at September 30, 2003 and December 31, 2002 invested in money market securities,
respectively.


Valuation of Trading Positions

The Fund's trading positions are valued at market value, including accrued
interest where applicable, and are included in amounts due from broker. Market
value is principally based on listed market prices or broker or dealer price
quotations. The resulting change in unrealized profit or loss is reflected in
trading results for the period.


Income Taxes

The Unleveraged Series and the Enhanced Series each will be classified for
federal income tax purposes as a separate partnership. Interest Holders of a
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 Fund.

2. Investors' Interest

The Fund is comprised of two series: the Unleveraged Series, which attempts to
replicate the MLM Index without leverage, and the Enhanced Series, which trades
the MLM Index at three times leverage. Prior to June 2002, each Series had four
classes of shares: Class A-1, Class A (formerly Class A-2), Class B-1, and Class
B (formerly Class B-2). In June 2002, an additional class of shares, Class C,
was offered under the Enhanced Series. Class A-1 and Class B-1 Interests are no
longer offered. Class A, Class B and Class C Interests are sold by authorized
selling agents appointed by Mount Lucas Management Corporation (the "Manager")
to accredited investors at a price equal to such Class' net asset value.
Interests 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.

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


                                       8
<PAGE>


MLM Index Fund
Notes to Financial Statements (continued)

2. Investors' Interest (continued)

The Manager paid all of the expenses associated with the organization of the
Fund and the offered interests. As a result, each investor pays the Manager an
organizational fee in the amount of 0.5% of their initial investment (net of any
selling commission) in any Series and any subsequent investment. The
organizational fee is not charged once an investor has invested $1,000,000 or
more.

The Class A Interests of the Unleveraged and Enhanced Series are subject to a
sales commission of up 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 September 30, 2003, the Manager of the Fund had contributed $1,000 to each
Series of the Fund.

3. Margin Requirements

The Fund had margin requirements of approximately $21,933,647 and $23,884,268 at
September 30, 2003 and December 31, 2002, respectively, which were satisfied by
net unrealized profits and cash at the brokers.

4. Management Fee, Administrative Services and Other Transactions

The Fund pays the Manager a management fee as a percentage of net assets, as of
the first day of each month at the annualized rates of 2.15% for Class A-1, 2.8%
for Class A, 0.65% for Class B-1, 1.3% for Class B and 2.05% for Class C for the
Enhanced Series and 1.25% for Class A-1, 1.5% for Class A, 0.25% for Class B-1
and 0.5% for Class B for the Unleveraged Series.

The Fund pays the introducing broker a brokerage fee as a percentage of net
assets, as of the first day of each month at the annualized rates of 1.35% for
Class A-1, 1.85% for Class A, 1.35% for Class B-1, 1.85% for Class B and 1.85%
for Class C for the Enhanced Series and 0.65% for Class A-1, 0.85% for Class A,
0.65% for Class B-1 and 0.85% for Class B for the Unleveraged Series.

The Fund pays its legal, accounting, auditing and other operating expenses and
fees. The manager will reimburse any Series for these expenses to the extent
that they exceed 0.5% of the average net assets of such Series of the Fund in
any calendar year. There were no reimbursements for the nine months ended
September 30, 2003 and for the year ended December 31, 2002.


5. Derivative Financial Instruments

Derivatives are financial instruments whose values are based upon an underlying
asset (e.g., treasury bond), index (e.g., S&P 500) or reference rate (e.g.,
LIBOR). Over-the-counter ("OTC") derivative products are privately negotiated
contractual agreements that can be tailored to meet individual client needs, and
include forwards, swaps and certain options. Exchange traded derivative products
are standardized contracts transacted through regulated exchanges and include
futures, and certain option contracts listed on an exchange.

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 Fund's other trading related activities.

The Fund purchases and sells futures in financial instruments and commodities.
The Fund 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.


                                       9
<PAGE>


The following table reflects the fair value of the Fund's derivative financial
instruments.

<TABLE>
<CAPTION>

                                                  Fair Value at
                                September 30, 2003               December 31, 2002
                             -------------------------------------------------------------
                              Assets         Liabilities        Assets       Liabilities
                             -------------------------------------------------------------
<S>                          <C>            <C>             <C>            <C>

Commodity Futures             $8,057,220     $2,797,470      $15,872,442    $2,882,101
Financial Futures              3,276,361         12,425        5,116,842         3,250
                             -------------------------------------------------------------
                             $11,333,581     $2,809,895      $20,989,284    $2,885,351
                             =============================================================





6.  Financial Highlights


The following represents the per share operating performance ratios to average
limited partners' capital and other supplemental information for the nine months
ended September 30, 2003:

<CAPTION>

                                                            Enhanced Series
                                                       ------------------------


                                     Class A-1    Class A    Class B-1    Class B     Class C
                                       Shares     Shares      Shares      Shares      Shares
                                     -----------------------------------------------------------

<S>                                   <C>          <C>        <C>         <C>          <C>
Per share operating performance:
  Net asset value per share,
  December 31, 2002                     $106.35     $93.97     $107.78      $98.37      $81.12
  Income from investment operations:
     Net investment income (loss)         (1.26)     (1.67)      (0.12)      (0.64)      (1.00)
     Net realized and unrealized
     gain (loss) on Investment
     transactions                        (14.68)    (13.10)     (15.00)     (13.90)     (11.37)
                                     -----------------------------------------------------------
     Total from investment
     operations                          (15.94)    (14.77)     (15.12)     (14.54)     (12.37)
                                     -----------------------------------------------------------
     Net asset value per share,
     September 30, 2003                  $90.41     $79.20      $92.66      $83.83      $68.75
                                     ===========================================================
Total Return:                            (14.99%)   (15.71%)    (14.03%)    (14.78%)    (15.25%)

Ratio to Average Net Assets:
     Net investment income (loss)         (0.07%)    (0.21%)     (0.01%)     (0.08%)     (0.14%)
     Expenses                             (0.20%)    (0.30%)     (0.11%)     (0.17%)     (0.23%)


                                       10
<PAGE>

<CAPTION>


                                                     Unleveraged Series
                                                 -----------------------


                                       Class A-1  Class A    Class B-1     Class B
                                        Shares     Shares     Shares       Shares
                                       -----------------------------------------------

<S>                                     <C>       <C>         <C>          <C>
Per share operating performance:
  Net asset value per share,
  December 31, 2002                      $109.99   $106.46     $114.37      $110.57
  Income from investment operations:
     Net investment income (loss)          (0.74)    (0.92)       0.10        (0.12)
     Net realized and unrealized
     gain (loss) on Investment
     transactions                          (4.87)    (4.85)      (5.12)       (5.09)
                                       -----------------------------------------------
     Total from investment
     operations                            (5.61)    (5.77)      (5.02)       (5.21)
                                       -----------------------------------------------
     Net asset value per share,
     September 30, 2003                  $104.38   $100.69     $109.35      $105.36
                                       ===============================================
Total Return:                              (5.10%)   (5.42%)     (4.38%)      (4.71%)

Ratio to Average Net Assets:
     Net investment income (loss)          (0.08%)   (0.10%)      0.00%       (0.02%)
     Expenses                              (0.18%)   (0.19%)     (0.09%)      (0.11%)


</TABLE>

Total return is calculated as the change in the net asset value per share for
nine months ending September 30, 2003. The per share operating performance and
ratios are computed based upon the weighted average shares outstanding and
weighted average net assets, respectively, for each class, for the nine months
ended September 30, 2003.







                                      11


<PAGE>

Item 2.  Management's Discussion and Analysis of Financial Condition and the
         Results of Operation.

General

MLM Index(TM) Fund is a business trust organized under the laws of Delaware. The
Fund engages primarily in the speculative trading of a diversified portfolio of
futures contracts traded on U.S. exchanges using the MLM Index(TM) 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 Fund's objective is the appreciation
of its assets through speculative trading. The Fund began trading on January 4,
1999.

         The Fund trades speculatively in a wide range of futures contracts
traded on U.S. exchanges using the MLM Index(TM) Trading Program, which is based
upon the MLM Index(TM). The MLM Index(TM) and the MLM Index(TM) Trading Program
are both proprietary products of the Manager. The MLM Index(TM) Trading Program
attempts to replicate the MLM Index(TM), before fees and expenses. Currently the
Fund has two series of interests; the Unleveraged Series and the Enhanced
Series. The Unleveraged Series attempts to replicate the MLM Index(TM) without
any leverage, while the Enhanced Series trades the MLM Index(TM) Trading Program
at three times leverage. Leverage is the ability to control large dollar amounts
of a commodity with a comparatively small amount of capital. The Enhanced Series
purchases or sells $3 market value of contracts for every $1 invested in the
Series.

         In attempting to replicate the MLM Index(TM), the Manager will invest
in the same markets as the MLM Index(TM); use the same algorithm to determine
long versus short positions; make the same allocations to each market; and
generally execute positions at almost the same time. The success of the trading
program and hence the success of the Fund will depend upon the results of the
MLM Index and the manager's ability to replicate those results in the futures
markets. The success of the MLM Index depends on the existence of substantial
long term price trends, either up or down, in the constituent markets of the MLM
Index. Whether the Manager can capture those returns depends on its ability to
execute the orders in the futures markets to replicate the MLM Index results. In
addition, the success of the Fund will depend on the level of short term
interest rates, since the majority of the assets of the Fund are held in short
term interest rate instruments.


     Mount Lucas Management Corporation, a Delaware corporation, acts as the
manager and trading advisor of the Fund. 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 Fund), 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 October 31, 2003, the Manager had
approximately $769 million 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 Fund 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.

Summary of Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles
generally accepted in the United States 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 Fund's significant accounting policies
are described in detail in Note 1 of the Notes to Financial Statements.




                                      12


<PAGE>



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

Results of Operations

     As of 9/30/2003, the Fund had assets of $227,102,062 compared with assets
of $212,016,757 on 12/31/2002. Liabilities of the Fund totaled $3,593,648
compared with $8,022,344 for the previous fiscal year. In general, changes in
the net assets of the Fund are the result of subscriptions and redemptions to
the Fund, and the net income from operations, including the results from futures
trading, interest income, and fees and expenses. For the nine month period
ending 9/30/2003, subscriptions to the Fund totaled $72,285,809 and redemptions
totaled ($27,384,435). During the 3 month period ending 9/30/2003, the Fund had
a net loss of ($24,021,531) compared with a net gain of $8,963,703 for the same
period in 2002. During the nine months ended 9/30/2003, the Fund had net loss of
($25,387,373). In comparison, during the nine months ended 9/30/2002, the Fund
had a net loss of ($21,945,247). During both periods, expenses increased. All
expenses of the Fund are based on a percentage of assets, and therefore increase
as the assets of the Fund increase.

     The gain and loss in the three and nine month periods respectively are
directly related to the performance of the MLM Index(TM), which the Fund is
designed to replicate. During the nine months ending 9/30/2002, the MLM
Index(TM) performance of -2.77% was higher than the -3.27% recorded in the
period ending 9/30/2003. The components of the return of the MLM Index(TM) are
the capital gains earned from the changes in futures market prices, and the
interest income earned on cash balances. The interest earned on the Fund's
assets declined as a result of a decline in short term interest rates. The
Fund had net capital losses that resulted directly from its replication of the
MLM Index(TM), and the expenses of the Fund. In general, the MLM Index(TM)
requires substantial long-term trends in futures prices in order to be
profitable. During the nine months ended 9/30/2003, a majority of the markets
exhibited choppy behavior, which is not conducive to profitability. For
instance, the softs sector, which includes sugar, coffee, and cotton was
particularly difficult. Lack of long term trends in these markets were a cause
of net losses during the period. During the months of July and August,
significant choppiness in the sugar market prevented profitable results. The
metals sector, which includes copper, gold and silver, has also been
difficult. A dramatic reversal in copper prices during the month of January
coupled with consistent choppiness in that market over the nine month period
is an additional cause of net losses for the period. However, the
aforementioned losses were offset by gains in other markets. For instance, the
MLM Index(TM) profited from sustained weakness in the Dollar by having long
positions in foreign currencies. Most notably, a sustained upward trend in the
Australian Dollar was the source of significant gains. It should be noted that
many physical markets are consolidating around historically low prices, which
is typical at the tail end of a recession. While the trading environment has
been difficult, we note that there has been no general increase in volatility
as measured by the standard deviation of the MLM Index. Finally, as assets
increase, the same percentage net gain (loss) in the MLM Index(TM) will
increase the dollar net gain (loss) of the Fund. Gains and losses in the Fund
will also be affected by the distribution of the assets between the
Unleveraged and Enhanced series of the Fund, which is entirely determined by
the investors.


Liquidity

The majority of the Fund's assets are held in liquid short term interest rate
instruments. The Fund takes substantial exposure in futures markets, which
require relatively small deposits, called margin, to hold the positions. In
general, the Fund will have about 10% of its assets on deposit with brokers as
margin, with the balance held in accounts with major financial institutions.

Investors in the Fund can redeem their investments at month end, after giving
10 days notice to the Manager.




                                      13


<PAGE>


Item 3   Quantitative and Qualitative Disclosures of Market Risk

        The following is a discussion of the quantification of market risk for
the Fund. 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 Fund is directly related to the
composition of the MLM Index. The MLM Index consists of 25 liquid US futures
markets. Each month, the position of the MLM Index can be either long or short
based on a 12 month 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 Index as a whole. Since the object of the Fund is to replicate
the MLM Index, it is reasonable to use the historic values of that Index to
estimate market risk.

         The VAR of the Fund is calculated as follows: The standard deviation of
daily returns of the MLM Index is estimated to be 0.38%. However, it is well
known that standard deviation underestimates the magnitude of possible changes,
certainly in a portfolio with a relatively small number of instruments. The VAR
calculation uses the standard deviation of returns of the MLM Index over the
last 10 years, multiplied by 2.35 for the normal 99% confidence interval and by
1.5 to account for the statistical nature of the distribution. Given that,
management estimates that the Fund as a whole could reasonably expect to lose
$6,163,197 on a daily basis, and $27,085,630 on a monthly basis, assuming
9/30/2003 asset levels. It is important to note that this calculation is only an
estimate. Furthermore, the Manager does not use the VAR calculation is it
trading operations. The purpose of the Fund is to replicate the MLM Index, thus
the Manager has a very limited mandate and does not adjust trading away from the
MLM Index based on the then current market environment.


Item 4.  Controls and Procedures

         Within ninety days prior to the filing of this Report, 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,
which are designed to insure that the Trust's records, processes, summarizes and
reports in a timely and effective manner the information required to be
disclosed in the reports filed with or submitted to the Securities and Exchange
Commission. Based upon this evaluation, they concluded that, as of the date of
the evaluation, the Trust's disclosure controls are effective. Since the date of
this evaluation, there have been no significant changes in the Trust's internal
controls or in other factors that could significantly affect those controls.


                                      14


<PAGE>



                            Part II. OTHER INFORMATION

       Item 1.  Legal Proceedings.

       The Manager is not aware of any proceedings threatened or pending against
the Fund and its affiliates which, if determined adversely, would have a
material adverse effect on the financial condition or results of operations of
the Fund.

       Item 2.  Changes in Securities and Use of Proceeds.

<TABLE>
<CAPTION>
                                     Enhanced Series

<S>                        <C>         <C>           <C>          <C>             <C>
                            Class A-1      Class A    Class B-1       Class B      Class C
Jul-03 Subscriptions $             $0     $512,650            0    $2,225,169     $582,000
       Subscriptions Units          0         6159            0         25322         8066
       # of Purchasers              0           12            0            35            2
       Unit Price                           $83.23            0        $87.87       $72.16

Aug-03 Subscriptions $             $0   $1,452,078           $0    $3,426,142           $0
       Subscriptions Units          0       17,374            0         38778            0
       # of Purchasers              0           23            0            55            0
       Unit Price                           $83.58                     $88.35

Sep-03 Subscriptions $              0     $739,196           $0    $2,569,017           $0
       Subscriptions Units          0         9333            0         30645            0
       # of Purchasers              0           19            0            35            0
       Unit Price                           $79.20                     $83.83
</TABLE>




                                      15


<PAGE>




                                     Unleveraged Series

                            Class A-1      Class A    Class B-1       Class B
Jul-03 Subscriptions $             $0     $225,113           $0    $1,447,268
       Subscriptions Units          0         2197            0         13522
       # of Purchasers              0            7            0            30
       Unit Price                          $102.45                    $107.03

Aug-03 Subscriptions $             $0     $505,030           $0   $13,024,449
       Subscriptions Units          0         4925            0        121498
       # of Purchasers              0           10            0            31
       Unit Price                          $102.53                    $107.20

Sep-03 Subscriptions $             $0     $775,060           $0   $11,267,445
       Subscriptions Units          0         7697            0        106937
       # of Purchasers              0            5            0            25
       Unit Price                          $100.69                    $105.36

The purchasers represented they were Accredited Investors under Regulation D
with one exception who, in August of 2003, invested $10,945 in the Enhanced
Class B shares at a price of $88.35, resulting in a subscription of 124 units.


       Item 3.  Defaults Upon Senior Securities.

                None.

       Item 4.  Submission of Matters to a Vote of Security Holders.

                None.

       Items 5. Other Information.

                None.

       Item 6.  Exhibits and Reports on Form 8-K.

                31.1  Certification pursuant to Section 302 of the
                      Sarbanes-Oxley Act.

                31.2  Certification pursuant to Section 302 of the
                      Sarbanes-Oxley Act.

                32.1  Certification pursuant to Section 906 of the
                      Sarbanes-Oxley Act.

                32.2  Certification pursuant to Section 906 of the
                      Sarbanes-Oxley Act.










                                      16


<PAGE>




                                  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 INDEX FUND

                                    By:   Mount Lucas Management Corporation
                                    Its:  Manager

                                    By:  /s/ Timothy J. Rudderow
                                        -------------------------------
                                         Timothy J. Rudderow, President




Date: November 14, 2003







                                      17