**SECURITIES
      AND EXCHANGE COMMISSION**


**WASHINGTON,
      D.C. 20549**




FORM
      10-Q




T
        Quarterly
        report pursuant to Section 13 or 15(d) of the Securities
 Exchange
        Act of 1934
  For
        the
        quarterly period ended September 30, 2007
 
 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)


N/A


(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
                  T
              
              No
                  o












Indicate
      by check mark whether the registrant is a large accelerated filer, an
      accelerated filer, or a non-accelerated filer. See definition of “accelerated
      filer and large accelerated filer “ in Rule 12-b-2 of the Exchange Act. (Check
      One):


Large
                  Accelerated Filer o
              Accelerated
                  Filer o
              Non-Accelerated
                  Filer T





Indicate
      by check mark whether the registrant is a shell company (as defined in Rule
      12-b-2 of the Exchange Act).


Yes
                  o
              
              No
                  x





APPLICABLE
      ONLY TO ISSUERS INVOLVED IN BANKRUPTY PROCEEDINGS DURING THE PRECEDING FIVE
      YEARS:





Indicate
      by check mark whether the registrant has filed all documents and reports
      required to be filed by Sections 12, 13, or 15(d) of the Securities and Exchange
      Act of 1934 subsequent to the distribution of securities under a plan
      confirmed  by a court.


Yes
                  o
              
              No
                  o











**MLM
      IndexTM Fund**


**Index
      to FORM 10Q**


**September
      30, 2007**


**PART
                    I – FINANCIAL INFORMATION**Item
                    1    Financial
                    Statements:
                Page
                    NumberStatements
                    of Financial Condition as of September 30, 2007
                    (unaudited) and December 31, 2006 (audited)
                4Condensed
                    Schedules of Investments as of September 30, 2007
                    (unaudited) and December 31, 2006 (audited)
                5Unaudited
                    Interim Statements of Operations for the three
                    months ended September 30, 2007 and 2006 and for the nine months
                    ended
                    September 30, 2007 and 2006
                6Unaudited
                    Interim Statements of Changes in Investors’
                    Interest for the nine months ended September 30, 2007 and
                    2006
                7-8Unaudited
                    Interim Statements of Cash Flows for the nine months
                    ended September 30, 2007 and 2006
                9Notes
                    to Unaudited Interim Financial
                    Statements
                10Item
                    2    Management’s Discussion and
                    Analysis of Financial Condition and Results of
                    Operations
                16Item
                    3    Quantitative and Qualitative
                    Disclosures of Market Risk
                19Item
                    4    Controls and
                    Procedures
                20**PART
                    II – OTHER INFORMATION**Item
                    1    Legal
                    Proceedings
                21Item
                    2    Unregistered Sales of Equity
                    Securities and Use of Proceeds
                22Item
                    3    Defaults Upon Senior
                    Securities
                22Item
                    4    Submission of Matters to a Vote of
                    Security Holders
                22Item
                    5    Other
                    Information
                22Item
                    6    Exhibits and Reports on Form
                    8-K
                23





3
 ***Table
            of Contents***





**Item
                1.**
            **Financial
                Statements.**




MLM
      IndexTM Fund


InterimStatement
      of Financial Condition


As
      of
      September 30, 2007 (Unaudited) and December 31, 2006 (Audited)


September 30,
              
              
              December 31,2007
              
              
              2006**Assets**Cash
                  and cash equivalents
              
              $
              124,293,128
              
              
              $
              233,557,725Due
                  from broker
              
              
              12,575,087
              
              
              
              10,291,250Interest
                  receivable
              
              
              393,215
              
              
              
              1,410,780Other
                  assets
              
              
              1,267
              
              
              
              1,267Total
                  assets
              
              $
              137,262,697
              
              
              $
              245,261,022**Liabilities
                  and investors’ interest**Redemptions
                  payable
              
              $
              2,389,360
              
              
              $
              15,304,888Brokerage
                  commissions payable
              
              
              80,516
              
              
              
              188,387Management
                  fee payable
              
              
              97,519
              
              
              
              205,643Accrued
                  expenses
              
              
              276,861
              
              
              
              297,547Subscriptions
                  received in advance
              
              
              38,150
              
              
              
              40,000Total
                  liabilities
              
              
              2,882,406
              
              
              
              16,036,465Investors’
                  interest
              
              
              134,380,291
              
              
              
              229,224,557Total
                  liabilities and investors’ interest
              
              $
              137,262,697
              
              
              $
              245,261,022




*See
      Notes to Unaudited Interim Financial Statements*





4
 ***Table
            of Contents***





MLM
      IndexTM Fund


InterimCondensedSchedules of Investments


September
      30, 2007 (Unaudited)




**Unrealized**
              
              
              **Percentage of****Number of**
              
              
              **Appreciation/**
              
              
              **Investors'****Security
                  Description**
              
              **Contracts**
              
              
              **(Depreciation)**
              
              
              **Interest**FuturesLong
                  Futures Contracts1Financial
              
              
              894
              
              
              $
              2,327,927
              
              
              
              1.73
              %Commodity
              
              
              634
              
              
              
              4,292,321
              
              
              
              3.191,528
              
              
              
              6,620,248
              
              
              
              4.92Short
                  Futures Contracts1Financial
              
              
              278
              
              
              
              31,197
              
              
              
              0.02Commodity
              
              
              791
              
              
              
              (356,238
              )
              
              
              (0.27
              )1,069
              
              
              
              (325,041
              )
              
              
              (0.25
              )Net
                  unrealized appreciation on futures contracts
              
              
              
              
              
              $
              6,295,207
              
              
              
              4.67
              %
  December
        31, 2006 (Audited)
 
 **Unrealized**
              
              
              **Percentage of****Number of**
              
              
              **Appreciation**
              
              
              **Investors'****Security
                  Description**
              
              **Contracts**
              
              
              **(Depreciation)**
              
              
              **Interest**FuturesLong
                  Futures Contracts1Financial
              
              
              1,876
              
              
              $
              (1,753,990
              )
              
              
              (0.76
              %)Commodity
              
              
              1,533
              
              
              
              (130,935
              )
              
              
              (0.06
              )3,409
              
              
              
              (1,884,925
              )
              
              
              (0.82
              ).Short
                  Futures Contracts1Financial
              
              
              673
              
              
              
              1,088,346
              
              
              
              0.48Commodity
              
              
              1,631
              
              
              
              3,239,152
              
              
              
              1.412,304
              
              
              
              4,327,498
              
              
              
              1.89Net
                  unrealized appreciation on futures contracts
              
              
              
              
              
              $
              2,442,573
              
              
              
              1.07
              %


*See
      Notes to Unaudited Interim Financial Statements*





1All such amounts are net and
      includedin “due from
      broker” on the Statements of Financial Condition.





5
 ***Table
            of Contents***





MLM
      IndexTM Fund


Unaudited
      InterimStatements of Operations





For
                the three
            
            
            For
                the three
            
            
            For
                the nine
            
            
            For
                the ninemonths
                ended
            
            
            months
                ended
            
            
            months
                ended
            
            
            months
                endedSeptember 30,
            
            
            September 30,
            
            
            September 30,
            
            
            September 30,2007
            
            
            2006
            
            
            2007
            
            
            2006Investment
                incomeInterest
            
            $
            1,894,085
            
            
            $
            3,638,722
            
            
            $
            7,014,213
            
            
            $
            10,847,201ExpensesBrokerage
                commissions
            
            
            305,025
            
            
            
            709,007
            
            
            
            1,184,066
            
            
            
            2,464,337Management
                fee
            
            
            327,192
            
            
            
            742,958
            
            
            
            1,252,532
            
            
            
            2,503,229Operating
                expenses
            
            
            326,239
            
            
            
            449,996
            
            
            
            1,083,826
            
            
            
            1,468,362Total
                expenses
            
            
            958,456
            
            
            
            1,901,961
            
            
            
            3,520,424
            
            
            
            6,435,928Net
                investment gain
            
            
            935,629
            
            
            
            1,736,761
            
            
            
            3,493,789
            
            
            
            4,411,273Realized
                and unrealized gain (loss) on investmentsNet
                realized loss
            
            
            (6,200,258
            )
            
            
            (8,920,308
            )
            
            
            (12,667,930
            )
            
            
            (17,015,926
            )Net
                change in unrealized appreciation (depreciation) on
                investments
            
            
            4,192,187
            
            
            
            2,079,341
            
            
            
            3,903,833
            
            
            
            (4,978,064
            )Net
                realized and unrealized loss on investments
            
            
            (2,008,071
            )
            
            
            (6,840,967
            )
            
            
            (8,764,097
            )
            
            
            (21,993,990
            )Net
                loss
            
            $
            (1,072,442
            )
            
            $
            (5,104,206
            )
            
            $
            (5,270,308
            )
            
            $
            (17,582,717
            )








*See
      Notes to Unaudited Interim Financial Statements*




6
 ***Table
            of Contents***








MLM
      IndexTM Fund


Unaudited
      Interim Statement of Changes in Investors’
Interest


For
      the
      nine months ended September 30, 2007





**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, 2006
              
              $
              15,191,126
              
              
              $
              58,458,477
              
              
              $
              1,319,634
              
              
              $
              30,659,083
              
              
              $
              105,628,320
              
              
              $
              11,046,115
              
              
              $
              42,824,216
              
              
              $
              1,153
              
              
              $
              69,724,753
              
              
              $
              123,596,237
              
              
              $
              229,224,557Subscriptions
              
              
              307,157
              
              
              
              1,156,900
              
              
              
              0
              
              
              
              1,420,000
              
              
              
              2,884,057
              
              
              
              489,505
              
              
              
              2,118,901
              
              
              
              0
              
              
              
              425,000
              
              
              
              3,033,406
              
              
              
              5,917,463Redemptions
              
              
              (7,176,160
              )
              
              
              (39,255,097
              )
              
              
              (587,049
              )
              
              
              (15,587,933
              )
              
              
              (62,606,239
              )
              
              
              (4,542,352
              )
              
              
              (20,336,000
              )
              
              
              0
              
              
              
              (8,006,830
              )
              
              
              (32,885,182
              )
              
              
              (95,491,421
              )Transfers
              
              
              0
              
              
              
              (101,341
              )
              
              
              0
              
              
              
              0
              
              
              
              (101,341
              )
              
              
              (698,080
              )
              
              
              799,421
              
              
              
              0
              
              
              
              0
              
              
              
              101,341
              
              
              
              0Net
                  gain (loss)
              
              
              (1,016,780
              )
              
              
              (2,703,725
              )
              
              
              (70,059
              )
              
              
              (1,590,729
              )
              
              
              (5,381,293
              )
              
              
              (91,306
              )
              
              
              (33,870
              )
              
              
              0
              
              
              
              236,161
              
              
              
              110,985
              
              
              
              (5,270,308
              )Investors’
                  interest at September 30, 2007
              
              $
              7,305,343
              
              
              $
              17,555,214
              
              
              $
              662,526
              
              
              $
              14,900,421
              
              
              $
              40,423,504
              
              
              $
              6,203,882
              
              
              $
              25,372,668
              
              
              $
              1,153
              
              
              $
              62,379,084
              
              
              $
              93,956,787
              
              
              $
              134,380,291Shares
                  at December 31, 2006
              
              
              180,974
              
              
              
              626,170
              
              
              
              17,350
              
              
              
              331,595
              
              
              
              
              
              
              
              103,829
              
              
              
              371,905
              
              
              
              11
              
              
              
              683,959Subscriptions
              
              
              3,730
              
              
              
              12,934
              
              
              
              0
              
              
              
              16,034
              
              
              
              
              
              
              
              4,613
              
              
              
              18,470
              
              
              
              0
              
              
              
              4,181Redemptions
              
              
              (90,819
              )
              
              
              (437,368
              )
              
              
              (8,066
              )
              
              
              (176,828
              )
              
              
              
              
              
              
              (43,114
              )
              
              
              (177,090
              )
              
              
              0
              
              
              
              (78,616
              )Transfers
              
              
              0
              
              
              
              (1,163
              )
              
              
              0
              
              
              
              0
              
              
              
              
              
              
              
              (6,607
              )
              
              
              6,946
              
              
              
              0
              
              
              
              0Shares
                  at September 30, 2007
              
              
              93,885
              
              
              
              200,573
              
              
              
              9,284
              
              
              
              170,801
              
              
              
              
              
              
              
              58,721
              
              
              
              220,231
              
              
              
              11
              
              
              
              609,524Net
                  asset value per share:September
                  30, 2007
              
              $
              77.81
              
              
              $
              87.53
              
              
              $
              71.36
              
              
              $
              87.24
              
              
              
              
              
              
              $
              105.65
              
              
              $
              115.21
              
              
              $
              101.33
              
              
              $
              102.34




*See
      Notes to Unaudited Interim Financial Statements*





7
 ***Table
            of Contents***





MLM
      IndexTM Fund


Unaudited
      Interim Statement of Changes in Investors’ Interest


For
      the
      nine months ended September 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
              
              
              $
              79,610,903
              
              
              $
              175,099,885
              
              
              $
              344,124,895Subscriptions
              
              
              2,413,132
              
              
              
              14,027,449
              
              
              
              -
              
              
              
              11,875,000
              
              
              
              28,315,581
              
              
              
              211,425
              
              
              
              5,418,603
              
              
              
              -
              
              
              
              4,244,000
              
              
              
              9,874,028
              
              
              
              38,189,609Redemptions
              
              
              (10,522,572
              )
              
              
              (32,301,364
              )
              
              
              (3,252,137
              )
              
              
              (14,858,273
              )
              
              
              (60,934,346
              )
              
              
              (7,664,482
              )
              
              
              (29,969,337
              )
              
              
              (109,804
              )
              
              
              (11,469,220
              )
              
              
              (49,212,843
              )
              
              
              (110,147,189
              )Transfers
              
              
              179,653
              
              
              
              (10,274,129
              )
              
              
              -
              
              
              
              10,513,163
              
              
              
              418,687
              
              
              
              (253,467
              )
              
              
              (1,172,150
              )
              
              
              -
              
              
              
              1,006,930
              
              
              
              (418,687
              )
              
              
              -Net
                  loss
              
              
              (3,407,373
              )
              
              
              (9,271,592
              )
              
              
              (606,477
              )
              
              
              (2,377,929
              )
              
              
              (15,663,371
              )
              
              
              (382,751
              )
              
              
              (789,622
              )
              
              
              (2,249
              )
              
              
              (744,724
              )
              
              
              (1,919,346
              )
              
              
              (17,582,717
              )Investors’
                  interest at September 30, 2006
              
              $
              20,790,679
              
              
              $
              65,255,589
              
              
              $
              5,018,812
              
              
              $
              30,096,481
              
              
              $
              121,161,561
              
              
              $
              12,554,858
              
              
              $
              48,219,144
              
              
              $
              1,146
              
              
              $
              72,647,889
              
              
              $
              133,423,037
              
              
              $
              254,584,598Shares
                  at December 31, 2005
              
              
              337,861
              
              
              
              989,350
              
              
              
              105,088
              
              
              
              243,837
              
              
              
              
              
              
              
              190,487
              
              
              
              643,509
              
              
              
              1,107
              
              
              
              777,818Subscriptions
              
              
              26,338
              
              
              
              139,618
              
              
              
              -
              
              
              
              120,667
              
              
              
              
              
              
              
              1,953
              
              
              
              46,838
              
              
              
              -
              
              
              
              41,762Redemptions
              
              
              (120,715
              )
              
              
              (327,262
              )
              
              
              (39,011
              )
              
              
              (149,758
              )
              
              
              
              
              
              
              (71,652
              )
              
              
              (259,056
              )
              
              
              (1,096
              )
              
              
              (111,844
              )Transfers
              
              
              2,110
              
              
              
              (106,037
              )
              
              
              (386
              )
              
              
              109,914
              
              
              
              
              
              
              
              (2,387
              )
              
              
              (10,099
              )
              
              
              -
              
              
              
              9,844Shares
                  at September 30, 2006
              
              
              245,594
              
              
              
              695,669
              
              
              
              65,691
              
              
              
              324,660
              
              
              
              
              
              
              
              118,401
              
              
              
              421,192
              
              
              
              11
              
              
              
              717,580Net
                  asset value per share:September 30,
                  2006
              
              $
              84.65
              
              
              $
              93.80
              
              
              $
              76.40
              
              
              $
              92.70
              
              
              
              
              
              
              $
              106.04
              
              
              $
              114.48
              
              
              $
              100.74
              
              
              $
              101.24




*See
      Notes to Unaudited Interim Financial Statements*





8
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Unaudited
        Interim Statement of Cash Flows
 September
        30, 2007


**For
                the nine months ended September 30**2007
            
            
            2006**Cash
                flows from operating activities**Net
                loss
            
            $
            (5,270,308
            )
            
            $
            (17,582,717
            )Adjustments
                to reconcile net loss to net cash and cash equivalents used in operating
                activities:Unrealized
                appreciation (depreciation) on investments
            
            
            3,903,833
            
            
            
            (4,978,064
            )Net
                realized loss on investments
            
            
            (12,667,930
            )
            
            
            (17,015,926
            )Net
                change in operating assets and liabilities:Due
                from broker
            
            
            (2,283,837
            )
            
            
            27,321,292Prepaid
                Expenses
            
            
            -
            
            
            
            219,720Interest
                receivable
            
            
            1,017,565
            
            
            
            361,943Brokerage
                commissions payable
            
            
            (107,871
            )
            
            
            (90,753
            )Management
                fee payable
            
            
            (108,124
            )
            
            
            171,913Accrued
                expenses
            
            
            (22,536
            )
            
            
            (359,588
            )Net
                cash and cash equivalents used in operating activities
            
            
            (15,539,208
            )
            
            
            (11,952,180
            )**Cash
                flows from financing activities**Subscriptions
                received, net of selling commissions
            
            
            5,917,463
            
            
            
            38,142,973Net
                redemptions
            
            
            (99,642,852
            )
            
            
            (108,398,248
            )Net
                cash and cash equivalents used in financing activities
            
            
            (93,725,389
            )
            
            
            (70,255,275
            )Net
                decrease in cash and cash equivalents
            
            
            (109,264,597
            )
            
            
            (82,207,455
            )Cash
                and cash equivalents at beginning of period
            
            
            233,557,725
            
            
            
            332,619,312Cash
                and cash equivalents at end of period
            
            $
            124,293,128
            
            
            $
            250,411,857




*See
      Notes to Unaudited Interim Financial Statements*





9
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


**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 commodity
      markets.





**2.
      Summary of Significant Accounting Policies**





**Basis
      of Presentation**





The
      accompanying financial statements have been prepared in conformity with
      accounting principles generally accepted in the United States of
      America.  The following is a summary of the significant accounting and
      reporting policies used in preparing the financial
      statements.  These  financial statements should be read in
      conjunction with the audited financial statements and accompanying notes
      included in the Trust’s Annual Report on Form 10-K for the year ended December
      31, 2006.





**Use
      of Estimates**





Generally
      accepted accounting principles require that management make estimates and
      assumptions that affect the reported amounts of assets and liabilities; the
      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.





**Cash
      and Cash Equivalents**





Cash
      equivalents consist of highly liquid financial instruments with maturities
      of
      three months or less.





**Due
      from Brokers**





The
      Trust
      utilizes one broker, located in the United States, for its trading
      activities.  Due from broker represents cash balances held, unrealized
      profit or loss on futures contracts, and amounts receivable or payable for
      transactions not settled at September 30, 2007 and December 31, 2006,
      respectively.





10
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


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





**Valuation
      of Trading Positions**





The
      Trust’s trading positions are valued at market value for the periods
      indicated.  Market value is principally based on closing prices and/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
      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.





**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 or made for the Trust.





**3.
      Cash and Cash Equivalents**





The
      Trust’s cash and cash equivalents consisted of:





**September 30,**
              **2007**
            
            
            **December 31,**
              **2006**Overnight
                money markets
            
            $
            17,207,000
            
            
            $
            11,485,000Money
                market securities
            
            
            107,053,227
            
            
            
            222,260,334Cash
                in Checking Account
            
            
            32,901
            
            
            
            (187,609
            )Total
            
            $
            124,293,128
            
            
            $
            233,557,725





**4.
      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.  Each Series consists of Class A, Class B, Class C
      and Class D shares and 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 at the time of
      admission.  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.





11
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


**4.
      Investors’ Interest (continued)**





The
      Manager allocates profits and losses among the investors of a Series based
      on
      the relative 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 up to 4% of the subscription amount, payable
      to
      the selling agent from the investor’s investment in either or both
      series.  The amount of the sales commission will be determined by the
      selling agent.  The Class B and Class D shares of the Unleveraged and
      Leveraged Series are not subject to a sales commission.





As
      of
      September 30, 2007, the Manager of the Trust had contributed $1,000 to each
      Series of the Trust.





**5.
      Margin Requirements**





The
      Trust
      had margin requirements of $4,973,081****and $10,230,741 at
      September 30, 2007 and December 31, 2006, respectively, which were satisfied
      by
      net unrealized profits and cash held at the broker.





**6.
      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%




12
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


**6.
      Management Fee and Other Fees and Expenses (continued)**





**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.





**7.
      Derivative Financial Instruments**





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





**Fair
                Value at**September
                30, 2007
            
            
            December
                31, 2006Assets
            
            
            Liabilities
            
            
            Assets
            
            
            LiabilitiesFinancial
                Futures
            
            $
            2,327,927
            
            
            $
            31,197
            
            
            $
            (1,753,990
            )
            
            $
            1,088,346Commodity
                Futures
            
            
            4,292,321
            
            
            
            (356,238
            )
            
            
            (130,935
            )
            
            
            3,239,152Total
            
            $
            6,620,248
            
            
            $
            (325,041
            )
            
            $
            (1,884,925
            )
            
            $
            4,327,498




13
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


**8.
      Financial Highlights**




The
      following represents the per share operating performance and ratios to the
      average investors’ interest and other supplemental information
      for the nine months ended September 30, 2007:




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, 2006
              
              $
              83.94
              
              
              $
              93.36
              
              
              $
              76.06
              
              
              $
              92.46
              
              
              $
              106.39
              
              
              $
              115.15
              
              
              $
              101.32
              
              
              $
              101.94Income
                  (loss) from investment operations:Net
                  investment income
              
              
              0.88
              
              
              
              1.99
              
              
              
              1.21
              
              
              
              1.97
              
              
              
              2.49
              
              
              
              3.57
              
              
              
              2.76
              
              
              
              3.17Net
                  realized and unrealized loss on investment transactions
              
              
              (7.01
              )
              
              
              (7.82
              )
              
              
              (5.91
              )
              
              
              (7.19
              )
              
              
              (3.23
              )
              
              
              (3.51
              )
              
              
              (2.75
              )
              
              
              (2.77
              )Total
                  from investment operations
              
              
              (6.13
              )
              
              
              (5.83
              )
              
              
              (4.70
              )
              
              
              (5.22
              )
              
              
              (0.74
              )
              
              
              0.06
              
              
              
              0.01
              
              
              
              0.40Net
                  asset value per share at  September 30, 2007
              
              $
              77.81
              
              
              $
              87.53
              
              
              $
              71.36
              
              
              $
              87.24
              
              
              $
              105.65
              
              
              $
              115.21
              
              
              $
              101.33
              
              
              $
              102.34Total
                  Return
              
              
              (7.30
              )%
              
              
              (6.26
              )%
              
              
              (6.18
              )%
              
              
              (5.65
              )%
              
              
              (0.69
              )%
              
              
              0.05
              %
              
              
              0.01
              %
              
              
              0.39
              %Ratio
                  to Average Investor’s Interest:Net
                  investment income
              
              
              1.27
              %
              
              
              2.59
              %
              
              
              1.93
              %
              
              
              2.45
              %
              
              
              2.62
              %
              
              
              2.62
              %
              
              
              2.74
              %
              
              
              3.19
              %Expenses
              
              
              (3.25
              )%
              
              
              (2.02
              )%
              
              
              (2.64
              )%
              
              
              (1.94
              )%
              
              
              (1.79
              )%
              
              
              (0.92
              )%
              
              
              (1.25
              )%
              
              
              (0.89
              )%


Total
      return is calculated as the change in the net asset value per share for the
      nine
      months ended September 30, 2007.  The per share operating performance
      and ratios are
      computed based upon the weighted average shares outstanding and the weighted
      average of investors’ interest, respectively for each class, for the nine months
      ended September 30, 2007.





14
 ***Table
            of Contents***


MLM
        IndexTM Fund
 Notes
        to
        Unaudited Interim Financial Statements
 September
        30, 2007


**8.
      Financial Highlights (continued)**




The
      following represents the per share operating performance and ratios to the
      average investors’ interest and other supplemental information
      for the nine months ended September 30, 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
              
              
              $
              84.49
              
              
              $
              102.30
              
              
              $
              108.38
              
              
              $
              116.13
              
              
              $
              102.23
              
              
              $
              102.35Income
                  (loss) from investment operations:Net
                  investment income
              
              
              0.97
              
              
              
              2.17
              
              
              
              1.24
              
              
              
              2.17
              
              
              
              2.13
              
              
              
              3.16
              
              
              
              (30.73
              )
              
              
              2.92Net
                  realized and unrealized loss on investment transactions
              
              
              (11.41
              )
              
              
              (12.55
              )
              
              
              (9.33
              )
              
              
              (11.77
              )
              
              
              (4.47
              )
              
              
              (4.81
              )
              
              
              29.24
              
              
              
              (4.03
              )Total
                  from investment operations
              
              
              (10.44
              )
              
              
              (10.38
              )
              
              
              (8.09
              )
              
              
              (9.60
              )
              
              
              (2.34
              )
              
              
              (1.65
              )
              
              
              (1.49
              )
              
              
              (1.11
              )Net
                  asset value per share at  September 30, 2006
              
              $
              84.65
              
              
              $
              93.80
              
              
              $
              76.40
              
              
              $
              92.70
              
              
              $
              106.04
              
              
              $
              114.48
              
              
              $
              100.74
              
              
              $
              101.24Total
                  Return:
              
              
              (10.98
              )%
              
              
              (9.96
              )%
              
              
              (9.58
              )%
              
              
              (9.38
              )%
              
              
              (2.16
              )%
              
              
              (1.42
              )%
              
              
              (1.46
              )%
              
              
              (1.08
              )%Ratio
                  to Average Investors’ Interest:Net
                  investment income
              
              
              1.00
              %
              
              
              1.93
              %
              
              
              1.42
              %
              
              
              2.72
              %
              
              
              1.81
              %
              
              
              1.81
              %
              
              
              1.87
              %
              
              
              2.84
              %Expenses
              
              
              (2.45
              )%
              
              
              (1.32
              )%
              
              
              (1.93
              )%
              
              
              (1.70
              )%
              
              
              (1.50
              )%
              
              
              (0.81
              )%
              
              
              (1.08
              )%
              
              
              (0.86
              )%




Total
      return is calculated as the change in the net asset value per share for the
      nine
      months ended September 30, 2006.  The per share operating performance
      and ratios are computed
      based upon the weighted average shares outstanding and the weighted average
      of
      investors’ interest, respectively for each class, for the nine months ended
      September 30, 2006.





15
 ***Table
            of Contents***




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




**General**





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”).  Generally speaking, futures contracts are standardized
      contracts made on or through a commodity exchange and provide for future
      delivery of commodities such as precious metals, foreign currencies or financial
      instruments.  Certain contracts can be settled only on a cash basis
      such as stock index futures contracts and Eurodollar futures contracts
      .  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 of September 30,
      2007, the Manager had approximately $1.1 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 does and may in the future 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 affect 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 generally liquid futures
      contracts.  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.





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.





16
 ***Table
            of Contents***




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 accounting principles
      generally accepted in the United States of America 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.  From the beginning of
      operations until October 2005, the Trust 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 requirements vary, but are generally about 2% of assets for the
      Unleveraged Series and 6% of assets for the Leveraged Series.





The
      balance of the assets of the Trust is held in two separate custodial accounts
      at
      State Street Bank (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.  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 assets of the Trust are at risk.  The level of assets will
      be determined by the results of the Trust, the effect of capital additions
      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 the Bank.





17
 ***Table
            of Contents***




Upon
      10
      days written notice to the Manager, a holder of interests in the Trust may
      liquidate their holding at the end of any month at the net asset value of the
      interests at that month end.  While the Manager will generally 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.  Further, the right to obtain redemption
      is contingent upon the relevant Series having assets sufficient to discharge
      its
      liabilities on the date of redemption.  For example, 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 to develop.  There are restrictions on transfer of
      interests contained within the Trust Agreement.





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 but future impact is impossible to
      predict.





**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.  There could be 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.





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 nine months
      ending September 30, 2007.





**Results
      of Operations**





At
      September 30, 2007, the Trust had assets of $137,262,697 and liabilities of
      $2,882,406 compared with assets of $245,261,022 and liabilities of $16,036,465
      at December 31, 2006.  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 nine-month period ended
      September 30, 2007, subscriptions to the Trust totaled $5,917,463 and
      redemptions totaled $95,491,421.  During the nine-month period ended
      September 30, 2007, the Trust had a net loss of $5,270,308 compared with a
      net
      loss of $17,582,717 for the same period in 2006.  Some expenses of the
      Trust are based on a percentage of net assets, and therefore increase or
      decrease as the net assets of the Trust increase or decrease.





18
 ***Table
            of Contents***





The
      Trust’s net income is directly related to the performance of the MLM IndexTM,
      which the Trust is designed to replicate.  For the nine months ended
      September 30, 2007, MLM IndexTM performance was a positive
      1.34%.  Performance was a negative (0.38%) recorded in the same period
      ended September 30, 2006.  The 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/or 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:  that paid
      directly from the Trust's futures broker on margin deposits held by it, and
      excess cash.




**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
      (“VAR”).  The method used here may or may not differ from other
      methods used for VAR calculations by other firms.  There is no one
      generally accepted method of VAR calculation and this method may not be
      comparable to methods used by others.





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 Trust 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 September 30,
                2007 are 0.21% and 1.80% 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, accordingly,
                does
                not include any operational risk.  The standard deviation is used to
                measure the dispersion of the returns of the MLM IndexTM over
                time.





2.
            For
                the purposes of VAR, an attempt is made to estimate the size of a
                loss
                that may occur with some small probability.  VAR does not estimate
                the possibility of a 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.  Using this
                methodology, for daily returns, this estimate is a loss of 0.74%. 
                For monthly returns, the estimate is loss of
                6.35%.





19
 ***Table
            of Contents***





3.
            To
                ascertain a dollar loss amount for the Trust, the assets of the Trust
                as
                of September 30, 2007 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 September 30,
                2007, the Manager estimates that the Trust could expect to lose
                approximately $1.6 million in any given day and $13.7 million in
                any given
                month.





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 affect 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 and cannot be 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 its
      control.  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 Trust 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 summaries of information required to be
      disclosed in the reports submitted to the Securities and Exchange Commission
      is
      done in a timely and effective manner.  Based upon this evaluation,
      they concluded that, as of September 30, 2007, 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 September 30,
      2007 that has materially affected or is reasonably likely to materially affect
      the Trust’s internal control over financial reporting.





20
 ***Table
            of Contents***




**Part
      II. OTHERINFORMATION**





**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
                1a.**
            **Risk
                Factors.**





None.





21
 ***Table
            of Contents***





**Item
                2.**
            **Unregistered
                Sales of Equity Securities and Use of
                Proceeds.**





Leveraged
                Series
            
            
            Unleveraged
                SeriesClass
                A
            
            
            Class
                B
            
            
            Class
                C
            
            
            Class
                D
            
            
            Class
                A
            
            
            Class
                B
            
            
            Class
                C
            
            
            Class
                DJul-07
                Subscriptions $
            
            $
            0
            
            
            $
            64,204
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            85,845
            
            
            $
            0
            
            
            $
            25,000Subscriptions
                Units
            
            
            0
            
            
            
            728
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            747
            
            
            
            0
            
            
            
            245#
                of Purchasers
            
            
            0
            
            
            
            3
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            4
            
            
            
            0
            
            
            
            1Unit
                Price
            
            $
            78.59
            
            
            $
            88.18
            
            
            $
            71.88
            
            
            $
            87.77
            
            
            $
            105.56
            
            
            $
            114.92
            
            
            $
            101.08
            
            
            $
            102.00Aug-07
                Subscriptions $
            
            $
            0
            
            
            $
            29,129
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            23,721
            
            
            $
            0
            
            
            $
            25,000Subscriptions
                Units
            
            
            0
            
            
            
            2
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            210
            
            
            
            0
            
            
            
            249#
                of Purchasers
            
            
            0
            
            
            
            349
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            2
            
            
            
            0
            
            
            
            1Unit
                Price
            
            $
            74.24
            
            
            $
            83.41
            
            
            $
            68.00
            
            
            $
            83.08
            
            
            $
            103.81
            
            
            $
            113.11
            
            
            $
            99.49
            
            
            $
            100.44Sep-07
                Subscriptions $
            
            $
            0
            
            
            $
            147,434
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            162,182
            
            
            $
            0
            
            
            $
            0Subscriptions
                Units
            
            
            0
            
            
            
            1,684
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            1,408
            
            
            
            0
            
            
            
            0#
                of Purchasers
            
            
            0
            
            
            
            6
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            6
            
            
            
            0
            
            
            
            0Unit
                Price
            
            $
            77.81
            
            
            $
            87.53
            
            
            $
            71.36
            
            
            $
            87.24
            
            
            $
            105.65
            
            
            $
            115.21
            
            
            $
            101.33
            
            
            $
            102.34





**Item
                3.**
            **Defaults
                Upon Senior Securities.**





None.





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





None.





**Item
                5.**
            **Other
                Information.**





None.




22
 ***Table
            of Contents***





**Item
                6.**
            **Exhibits.**








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
            Certificationof
                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
 ***Table
            of Contents***




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 FUNDBy:
            Mount
                Lucas Management CorporationIts:
            ManagerBy:
            /s/
                Timothy J. RudderowTimothy
                J. Rudderow, President






Date:
      November 5, 2007






24