UNITED
STATES
 SECURITIES
AND EXCHANGE COMMISSION
 WASHINGTON,
D.C. 20549
 FORM
10-Q
 
 x Quarterly report
pursuant to Section 13 or 15(d) of the Securities
 Exchange
Act of 1934
 
 
 For the
quarterly period ended September 30, 2009
 
 or
 
 o 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
              
              Unleveraged
      Series: 22-2897229Leveraged
      Series: 22-3722683Commodity
      Unleveraged Series: 20-8806944
 
 
 (State
      or other jurisdiction of incorporation or organization)
              
              (IRS
      Employer Identification Number)
 
 
 405 South
State Street, Newtown, PA
 (Address
of principal executive offices)
 
 
 18940
 (Zip
Code)
 
 
 (267)
359-3500
 (Registrant's
telephone number including area code)
 
 (Former
name, former address and former fiscal year, if
 changed
since last report)
 
 Indicate
by check mark whether the registrant (1) has filed all reports required
to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934
during the preceding 12 months, and (2) has been subject to such
filing requirements
for the past 90 days.
 
 Yes T                      No o
 
 Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding
12 months (or for such shorter period that the registrant was required to submit
and post such files).
 
 Yes  o                      No o
 
 
 Indicate
by check mark whether the registrant is a large accelerated filer, an
accelerated filer, a non-accelerated filer or a smaller reporting company. See
definition of “accelerated filer,” “large accelerated filer,” and “smaller
reporting company” “ in Rule 12-b-2 of the Exchange Act. (Check
One):
 
 Large
Accelerated Filer oAccelerated Filer oNon-Accelerated Filer xSmaller Reporting
Company  o
 
 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 T
  
 
  MLMIndexTM Fund
 Index
to FORM 10-Q
 September
30, 2009
 
 
 PART
      I – FINANCIAL INFORMATIONItem
      1
              
              Financial Statements:
              
              Page NumberCondensed Statements of Financial Condition as of September 30,
      2009 (unaudited) and December 31, 2008 (audited)
              
              4Condensed Schedules of Investments as of September 30, 2009
      (unaudited) and December 31, 2008 (audited)
              
              5Unaudited Condensed Statements of Operations for the three
      months ended September 30, 2009 and 2008 and for the nine months ended
      September 30, 2009 and 2008
              
              6Unaudited Condensed Statements of Changes in Investors’
      Interest for the nine months ended September 30, 2009 and
      2008
              
              7Unaudited Condensed Statements of Cash Flows for the nine
      months ended September 30, 2009 and 2008
              
              9Notes to Unaudited Condensed Financial
      Statements
              
              10Item
      2
              
              Management’s Discussion and Analysis of Financial
      Condition and Results of Operations
              
              18Item
      3
              
              Quantitative and Qualitative Disclosures of Market
      Risk
              
              22Item
      4
              
              Controls and Procedures
              
              24PART
      II – OTHER INFORMATIONItem
      1
              
              Legal Proceedings
              
              24Item
      1A
              
              Risk Factors
              
              24Item
      2
              
              Unregistered Sales of Equity Securities and Use of
      Proceeds
              
              25Item
      3
              
              Defaults Upon Senior Securities
              
              25Item
      4
              
              Submission of Matters to a Vote of Security
      Holders
              
              25Item
      5
              
              Other Information
              
              25Item
      6
              
              Exhibits and Reports on Form 8-K
              
              26
  3
 Index
 
 Item1.
              Financial
      Statements.
  MLMIndexTM Fund
 Condensed
Statements of Financial Condition
 As
of September 30, 2009 (Unaudited) and December 31, 2008
(Audited)
 
 September
      30,
              
              
              December
      31,2009
              
              
              2008AssetsCash
      and cash equivalents
              
              $
              87,414,434
              
              
              $
              98,799,819Due
      from broker
              
              
              27,792,176
              
              
              
              34,554,803Net
      unrealized gain on open futures contracts, at fair value
              
              
              5,523,240
              
              
              
              6,190,476Interest
      receivable
              
              
              14,982
              
              
              
              65,278Other
      assets
              
              
              -
              
              
              
              28Total
      assets
              
              $
              120,744,832
              
              
              $
              139,610,404Liabilities
      and investors’ interestRedemptions
      payable
              
              $
              1,110,180
              
              
              $
              2,881,096Brokerage
      commissions payable
              
              
              73,961
              
              
              
              88,976Management
      fee payable
              
              
              91,358
              
              
              
              103,234Accrued
      expenses
              
              
              71,076
              
              
              
              340,364Total
      liabilities
              
              
              1,346,575
              
              
              
              3,413,670Investors’
      interest
              
              
              119,398,257
              
              
              
              136,196,734Total
      liabilities and investors’ interest
              
              $
              120,744,832
              
              
              $
              139,610,404
 
 
 See
Notes to Unaudited Condensed Financial Statements.
  4
 Index
  MLMIndexTM Fund
 Condensed
Schedules of Investments
 As
of September 30, 2009 (Unaudited) and December 31, 2008 (Audited)
 
 September
      30, 2009 (Unaudited)
              
              
              
              
              Unrealized
              
              
              Percentage
      ofNumber
      of
              
              
              appreciation/
              
              
              investors'Security
      Description
              
              contracts
              
              
              (depreciation)
              
              
              InterestFutures*Long
      futures contractsFinancial
              
              
              1,114
              
              
              $
              3,414,073
              
              
              
              2.86
              %Commodity
              
              
              239
              
              
              
              (89,743
              )
              
              
              -0.081,353
              
              
              
              3,324,330
              
              
              
              2.78Short
      futures contractsCommodity
              
              
              218
              
              
              
              2,198,910
              
              
              
              1.84218
              
              
              
              2,198,910
              
              
              
              1.84Net
      unrealized gain on open futures contracts, at fair value
              
              
              
              
              
              $
              5,523,240
              
              
              
              4.62
              %*Derivatives
      not designated as hedging instruments under ASC 815-10 ”Derivatives and
      Hedging”
  
 Unrealized
              
              
              Percentage
      ofDecember
      31, 2008 (Audited)
              
              Number
      of
              
              
              appreciation
              
              
              investors'Security
      Description
              
              contracts
              
              
              (depreciation)
              
              
              InterestFutures*Long
      futures contractsFinancial
              
              
              720
              
              
              $
              6,039,956
              
              
              
              4.44
              %720
              
              
              
              6,039,956
              
              
              
              4.44
              %Short
      futures contractsFinancial
              
              
              698
              
              
              
              (3,493,494
              )
              
              
              (2.57
              )Commodity
              
              
              1,872
              
              
              
              3,644,014
              
              
              
              2.682,570
              
              
              
              150,520
              
              
              
              0.11Net
      unrealized gain on open futures contracts, at fair value
              
              
              
              
              
              $
              6,190,476
              
              
              
              4.55
              %*Derivatives not designated as
      hedging instruments under ASC 815-10 ”Derivatives and
      Hedging”
 
 
 See
Notes to Unaudited Condensed Financial Statements.
  5
 Index
  MLMIndexTM Fund
 Unaudited
Condensed Statements of Operations
 
 For
      the three months ended September 30, 2009
              
              
              For
      the three months ended September 30, 2008
              
              
              For
      the nine months ended September 30, 2009
              
              
              For
      the nine months ended September 30, 2008Investment
      incomeInterest
              
              $
              43,620
              
              
              $
              780,377
              
              
              $
              143,917
              
              
              $
              2,489,768ExpensesBrokerage
      commissions
              
              
              222,307
              
              
              
              237,970
              
              
              
              729,067
              
              
              
              732,273Management
      fee
              
              
              265,793
              
              
              
              273,416
              
              
              
              865,917
              
              
              
              829,846Operating
      expenses
              
              
              164,162
              
              
              
              213,372
              
              
              
              507,006
              
              
              
              649,965Total
      expenses
              
              
              652,262
              
              
              
              724,758
              
              
              
              2,101,990
              
              
              
              2,212,084Net
      investment income (loss)
              
              
              (608,642
              )
              
              
              55,619
              
              
              
              (1,958,073
              )
              
              
              277,684Realized
      and unrealized gain (loss) on investmentsNet
      realized gain (loss) on investments
              
              
              2,551,617
              
              
              
              (14,316,615
              )
              
              
              (5,796,940
              )
              
              
              (4,162,725
              )Net
      change in unrealized appreciation (depreciation) on
      investments
              
              
              5,611,932
              
              
              
              1,594,613
              
              
              
              (634,507
              )
              
              
              2,330,470Net
      realized and unrealized gain (loss) on investments
              
              
              8,163,549
              
              
              
              (12,722,002
              )
              
              
              (6,431,447
              )
              
              
              (1,832,255
              )Net
      income (loss)
              
              $
              7,554,907
              
              
              $
              (12,666,383
              )
              
              $
              (8,389,520
              )
              
              $
              (1,554,571
              )
 
 
 See
Notes to Unaudited Condensed Financial Statements.
  6
 Index
  MLMIndexTM Fund
 Unaudited
Condensed Statement of Changes in Investors’ Interest
 For
the nine months ended September 30, 2009
 
 Leveraged
      Series
              
              
              Unleveraged
      Series
              
              
              Commodity
      L/S Unleveraged SeriesClass
      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
              
              
              Class
      D Shares
              
              
              Total
      Investors’ InterestInvestors’
      interest at December 31, 2008
              
              $
              6,903,329
              
              
              $
              13,796,085
              
              
              $
              1,327
              
              
              $
              31,281,480
              
              
              $
              51,982,221
              
              
              $
              4,293,290
              
              
              $
              12,404,908
              
              
              $
              1,320
              
              
              $
              67,514,995
              
              
              $
              84,214,513
              
              
              $
              -
              
              
              $
              136,196,734Subscriptions
              
              
              55,000
              
              
              
              576,405
              
              
              
              -
              
              
              
              5,685,000
              
              
              
              6,316,405
              
              
              
              -
              
              
              
              433,050
              
              
              
              -
              
              
              
              3,240,000
              
              
              
              3,673,050
              
              
              
              3,000,000
              
              
              
              12,989,455Redemptions
              
              
              (1,089,631
              )
              
              
              (1,267,744
              )
              
              
              -
              
              
              
              (3,422,845
              )
              
              
              (5,780,220
              )
              
              
              (35,000
              )
              
              
              (3,497,102
              )
              
              
              -
              
              
              
              (12,086,090
              )
              
              
              (15,618,192
              )
              
              
              -
              
              
              
              (21,398,412
              )Transfers
              
              
              -
              
              
              
              (5,055
              )
              
              
              -
              
              
              
              536,934
              
              
              
              531,879
              
              
              
              -
              
              
              
              5,055
              
              
              
              -
              
              
              
              (536,934
              )
              
              
              (531,879
              )
              
              
              -
              
              
              
              -Net
      gain (loss)
              
              
              (769,174
              )
              
              
              (1,525,902
              )
              
              
              (147
              )
              
              
              (3,371,707
              )
              
              
              (5,666,930
              )
              
              
              (193,759
              )
              
              
              (404,604
              )
              
              
              (50
              )
              
              
              (2,331,237
              )
              
              
              (2,929,650
              )
              
              
              207,060
              
              
              
              (8,389,520
              )Investors’
      interest at Septemeber30, 2009
              
              $
              5,099,524
              
              
              $
              11,573,789
              
              
              $
              1,180
              
              
              $
              30,708,862
              
              
              $
              47,383,355
              
              
              $
              4,064,531
              
              
              $
              8,941,307
              
              
              $
              1,270
              
              
              $
              55,800,734
              
              
              $
              68,807,842
              
              
              $
              3,207,060
              
              
              $
              119,398,257Shares
      at December 31, 2008
              
              
              65,670
              
              
              
              114,555
              
              
              
              14
              
              
              
              257,908
              
              
              
              
              
              
              
              35,898
              
              
              
              93,951
              
              
              
              11
              
              
              
              572,449
              
              
              
              
              
              
              
              -Subscriptions
              
              
              663
              
              
              
              5,272
              
              
              
              
              
              
              
              50,305
              
              
              
              
              
              
              
              -
              
              
              
              3,381
              
              
              
              -
              
              
              
              28,514
              
              
              
              
              
              
              
              30,000Redemptions
              
              
              (11,116
              )
              
              
              (11,639
              )
              
              ─
              
              
              
              (30,651
              )
              
              
              
              
              
              
              (318
              )
              
              
              (27,007
              )
              
              
              -
              
              
              
              (106,140
              )
              
              
              
              
              
              
              -Transfers
              
              
              -
              
              
              
              (43
              )
              
              ─
              
              
              
              5,513
              
              
              
              
              
              
              
              -
              
              
              
              39
              
              
              
              -
              
              
              
              (4,885
              )
              
              
              
              
              
              
              -Shares
      at September 30, 2009
              
              
              55,217
              
              
              
              108,145
              
              
              
              14
              
              
              
              283,075
              
              
              
              
              
              
              
              35,580
              
              
              
              70,363
              
              
              
              11
              
              
              
              489,938
              
              
              
              
              
              
              
              30,000Net
      asset value per share: September 30, 2009
              
              $
              92.35
              
              
              $
              107.02
              
              
              $
              87.43
              
              
              $
              108.48
              
              
              
              
              
              
              $
              114.24
              
              
              $
              127.07
              
              
              $
              115.45
              
              
              $
              113.89
              
              
              
              
              
              
              $
              106.90
 
 
 See
Notes to Unaudited Condensed Financial Statements.
  7
 Index
  MLM
IndexTM Fund
 Unaudited
Condensed Statement of Changes in Investors’ Interest
 For
the nine months ended September 30, 2008
 
 Leveraged
      Series
              
              
              Unleveraged
      SeriesClass
      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’ InterestInvestors’
      interest at December 31, 2007
              
              $
              7,227,407
              
              
              $
              15,754,642
              
              
              $
              981
              
              
              $
              15,463,453
              
              
              $
              38,446,483
              
              
              $
              4,770,141
              
              
              $
              13,224,027
              
              
              $
              1,168
              
              
              $
              60,943,912
              
              
              $
              78,939,248
              
              
              $
              117,385,731Subscriptions
              
              
              367,155
              
              
              
              906,232
              
              
              
              −
              
              
              
              8,235,000
              
              
              
              9,508,387
              
              
              
              19,900
              
              
              
              469,871
              
              
              
              −
              
              
              
              2,150,000
              
              
              
              2,639,771
              
              
              
              12,148,158Redemptions
              
              
              (1,599,888
              )
              
              
              (4,684,640
              )
              
              
              −
              
              
              
              (934,397
              )
              
              
              (7,218,925
              )
              
              
              (531,094
              )
              
              
              (2,245,010
              )
              
              
              −
              
              
              
              (2,174,828
              )
              
              
              (4,950,932
              )
              
              
              (12,169,857
              )Transfers
              
              
              (24,976
              )
              
              
              (15,736
              )
              
              
              −
              
              
              
              −
              
              
              
              (40,712
              )
              
              
              −
              
              
              
              40,712
              
              
              
              −
              
              
              
              −
              
              
              
              40,712
              
              
              
              −Net
      income (loss)
              
              
              (219,803
              )
              
              
              (253,386
              )
              
              
              (33
              )
              
              
              (1,277,207
              )
              
              
              (1,750,429
              )
              
              
              (16,784
              )
              
              
              31,710
              
              
              
              −
              
              
              
              180,932
              
              
              
              195,858
              
              
              
              (1,554,571
              )Investors’
      interest at September 30, 2008
              
              $
              5,749,895
              
              
              $
              11,707,112
              
              
              $
              948
              
              
              $
              21,486,849
              
              
              $
              38,944,804
              
              
              $
              4,242,163
              
              
              $
              11,521,310
              
              
              $
              1,168
              
              
              $
              61,100,016
              
              
              $
              76,864,657
              
              
              $
              115,809,461Shares
      at December 31, 2007
              
              
              91,630
              
              
              
              176,908
              
              
              
              14
              
              
              
              173,842
              
              
              
              
              
              
              
              44,626
              
              
              
              113,169
              
              
              
              11
              
              
              
              586,472Subscriptions
              
              
              4,470
              
              
              
              9,821
              
              
              
              −
              
              
              
              85,009
              
              
              
              
              
              
              
              180
              
              
              
              3,936
              
              
              
              −
              
              
              
              19,843Redemptions
              
              
              (19,484
              )
              
              
              (50,437
              )
              
              
              −
              
              
              
              (10,342
              )
              
              
              
              
              
              
              (4,844
              )
              
              
              (18,902
              )
              
              
              −
              
              
              
              (20,615
              )Transfers
              
              
              (290
              )
              
              
              (188
              )
              
              
              −
              
              
              
              −
              
              
              
              
              
              
              
              −
              
              
              
              342
              
              
              
              −
              
              
              
              −Shares
      at September 30, 2008
              
              
              76,326
              
              
              
              136,104
              
              
              
              14
              
              
              
              248,509
              
              
              
              
              
              
              
              39,962
              
              
              
              98,545
              
              
              
              11
              
              
              
              585,700Net
      asset value per share:
                September
      30, 2008
              
              $
              75.33
              
              
              $
              86.02
              
              
              $
              70.20
              
              
              $
              86.46
              
              
              
              
              
              
              $
              106.15
              
              
              $
              116.91
              
              
              $
              102.78
              
              
              $
              104.32
 
  See
Notes to Unaudited Condensed Financial Statements.
  8
 Index
 MLMIndex TM Fund
 Notes to
Unaudited Condensed Financial Statements
 September
30, 2009
  MLM
IndexTM Fund
 Unaudited
Condensed Statements of Cash Flows
 
 For
      the nine
                  months
      endedSeptember
      30,
                2009
              
              
              For
      the nine
                  months
      endedSeptember
      30,
                2008Cash
      flows from operating activitiesNet
      income (loss)
              
              $
              (8,389,520
              )
              
              $
              (1,554,571
              )Adjustments
      to reconcile net income (loss) to net cash and cash equivalents provided
      by (used in) operating and investing activities:Net
      change in operating assets and liabilities:Due
      from broker
              
              
              6,762,627
              
              
              
              (8,893,154
              )U.S.
      Government/Agency securities
              
              
              -
              
              
              
              (59,783,547
              )Net
      unrealized gain on open futures contracts
              
              
              667,236
              
              
              
              (2,364,735
              )Interest
      receivable
              
              
              50,296
              
              
              
              (367,127
              )Other
      assets
              
              
              28
              
              
              
              471Brokerage
      commissions payable
              
              
              (15,015
              )
              
              
              (5,213
              )Management
      fee payable
              
              
              (11,876
              )
              
              
              (5,238
              )Accrued
      expenses
              
              
              (269,288
              )
              
              
              175,471Net
      cash and cash equivalents provided by (used in) operating and
      investing activities
              
              
              (1,205,512
              )
              
              
              (72,797,643
              )Cash
      flows from financing activitiesSubscriptions
      received, net of selling commissions
              
              
              12,989,455
              
              
              
              11,648,158Net
      redemptions, including payments of redemptions payable
              
              
              (23,169,328
              )
              
              
              (13,160,912
              )Net
      cash and cash equivalents used in financing activities
              
              
              (10,179,873
              )
              
              
              (1,512,754
              )Net
      increase (decrease) in cash and cash equivalents
              
              
              (11,385,385
              )
              
              
              (74,310,397
              ))Cash
      and cash equivalents at beginning of period
              
              
              98,799,819
              
              
              
              114,829,920Cash
      and cash equivalents at end of period
              
              $
              87,414,434
              
              
              $
              40,519,523Supplemental
      disclosures of non-cash financing activities:Subscriptions
      recorded which were received in advance
              
              $
              -
              
              
              $
              500,000Redemptions
      payable
              
              $
              1,110,180
              
              
              $
              515,487
 
 
 See
Notes to Unaudited Condensed Financial Statements.
  9
 Index
  MLMIndex TM Fund
 Notes to
Unaudited Condensed Financial Statements (continued)
 September
30, 2009
  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 using the MLM IndexTM Trading Program, which is based upon
the MLM IndexTM and the MLM Commodity Long/Short IndexTM(the “Index”). The Index
is a benchmark of the hypothetical returns available to a futures investor. The
Index is comprised of a diverse portfolio of futures markets, including both
financial and tangible markets.
 
 Mount
Lucas Management Corporation (the “Manager”) is the investment manager of the
Trust and is responsible for the allocation of the Trust’s interest among a mix
of trading strategies. The Manager is a registered investment advisor under the
Investment Advisers Act of 1940, is registered as a commodity pool operator and
a commodity-trading advisor with the Commodity Futures Trading Commission and is
a member of the National Futures Association.
 
 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 (“US
GAAP”).  The following is a summary of the significant accounting and
reporting policies used in preparing the financial
statements.  Certain information and footnote disclosures normally
included in annual financial statements prepared in accordance with US GAAP have
been omitted.  In the opinion of the Manager, the financial statements
contain all adjustments (consisting of only normal recurring adjustments)
necessary to state fairly the financial positions of the Trust as of September
30, 2009 and the results of its operations for the three months ended September
30, 2009 and 2008 and the nine months ended September 30, 2009 and
2008.  The operating results for these interim periods many not be
indicative of the results expected for a full year.  These financial
statements should be read in conjunction with the audited financial statements
and accompanying notes included in the Trust’s Annual Report on Form 10-K for
the year ended December 31, 2008.
 
 Use
of Estimates
 
 The
preparation of the accompanying financial statements in conformity with
accounting principles generally accepted in the United States of America
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period.  Actual results
could differ from those estimates.
 
 Cash
and Cash Equivalents
 
 Cash and
cash equivalents consist of highly liquid financial instruments with maturities
of three months or less, when purchased.  The Trust has cash on
deposit with several financial institutions.  In the event of a
financial institution’s insolvency, recovery of cash on deposit may be limited
to account insurance or other protection afforded such deposits.  The
Trust has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed
in doing so.  The Investors bear the risk of loss only to the extent
of the market value of their respective investments and, in certain specific
circumstances, distribution and redemptions received.
 
 Due
from Brokers
 
 The
Trust’s trading activities utilize one broker located in the United States. Due
from broker represents cash balances held, unrealized profit or loss on futures
contracts, and amounts receivable or payable for transactions not settled at
September 30, 2009 and December 31, 2008.
  10
 Index
 MLM Index
TM Fund
 Notes to
Unaudited Condensed Financial Statements (continued)
 September
30, 2009
 2.
Summary of Significant Accounting Policies (continued)
 
 Fair
Value Measurements
 
 The Trust
has categorized its financial instruments, based on the priority of the inputs
to the valuation technique, into a three-level fair value hierarchy. The fair
value hierarchy gives the highest priority to quoted prices in active markets
for identical assets or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3). If the inputs used to measure the financial
instruments fall within different levels of the hierarchy, the categorization is
based on the lowest level input that is significant to the fair value
measurement of the instrument.
 
 Financial
assets and liabilities recorded on the statement of assets and liabilities are
categorized based on the inputs to the valuation techniques as
follows:
 Level
1:
 
 Financial
assets and liabilities whose values are based on unadjusted quoted prices for
identical assets or liabilities in an active market (examples include active
exchange-traded equity securities, listed derivatives, most U.S. government and
agency securities, and certain other sovereign government
obligations).
 
 Level
2:
 
 Financial
assets and liabilities whose values are based on the following:
 a)
              Quoted
      prices for similar assets or liabilities in active markets (for example,
      restricted stock);
 b)
              Quoted
      prices for identical or similar assets or liabilities in non-active
      markets (examples include corporate and municipal bonds, which trade
      infrequently);
 c)
              Pricing
      models whose inputs are observable for substantially the full term of the
      asset or liability (examples include most over-the-counter derivatives,
      including interest rate and currency swaps);
and
 d)
              Pricing
      models whose inputs are derived principally from or corroborated by
      observable market data through correlation or other means for
      substantially the full term of the asset or liability (for example,
      certain mortgage loans).
 
 Level
3:
 Financial
assets and liabilities whose values are based on prices or valuation techniques
that require inputs that are both unobservable and significant to the overall
fair value measurement. These inputs reflect management's own assumptions about
the assumptions a market participant would use in pricing the asset or liability
(examples include private equity investments, certain commercial mortgage whole
loans and long-dated or complex derivatives, including certain foreign exchange
options and long-dated options on gas and power).
 
 Financial
assets and liabilities are classified in their entirety based on the lowest
level of input that is significant to the fair value measurement. As of
September 30, 2009 and December 31, 2008 all of the derivative instruments held
by the Trust are fair valued based on quoted prices in active markets (Level
1).
 
 The
Trust’s trading positions are valued at market value and cash equivalents are
carried at their net asset value per share including accrued interest, as
applicable. All positions including the net unrealized appreciation or
depreciation are included under the caption “net unrealized gain (loss) on open
futures contracts” on the statements of financial condition. Market value is
principally based on listed market prices or broker or dealer price quotations.
The resulting change in unrealized profit or loss is reflected in net gain
(loss) on change in unrealized appreciation (depreciation) on investments on the
statements of operations.
  11
 Index
 MLM Index
TM Fund
 Notes to
Unaudited Condensed Financial Statements (continued)
 September
30, 2009
  2.
Summary of Significant Accounting Policies (continued)
 
 Fair
Value Measurements (continued)
 
 In April
2009, the Financial Accounting Standards Board (“FASB”) issued accounting
guidance clarifying the application of Accounting Standards Codification (“ASC”)
Topic 820, “Fair Value Measurements and Disclosures”.  The additional
guidance provides for how the fair value of a financial asset or liability is
determined when the volume and level of activity for the asset or liability have
significantly decreased and on identifying circumstances that indicate a
transaction is not orderly.  The guidance was effective for interim
and annual periods after June 15, 2009, with early adoption permitted for
periods ending after March 15, 2009, and is to be applied
prospectively.  The Trust adopted the guidance effective January 1,
2009.  As required, the Trust also adopted guidance relating to
recognition and presentation of other-than-temporary impairments, effective
January 1, 2009.  The adoption of these pronouncements did not have an
impact on the Trust’s financial statements.
 
 Investment
Transactions and Investment Income
 
 All
securities transactions are recorded on a trade-date basis. Realized gain and
loss are recorded using specific identification method. Interest income is
recorded using the accrual basis of accounting.
 
 Income
Taxes
 
 The
Unleveraged Series, the Leveraged Series and the Commodity L/S Unleveraged
Series are classified for federal income tax purposes as separate partnerships.
Investors in each Series will reflect their proportionate share of realized
profit or loss on their separate tax returns. Accordingly, no provisions for
income taxes are required for the Trust.
 
 3.
Cash and Cash Equivalents
 
 The
Trust’s cash and cash equivalents consisted of:
 
 September
      30,
                2009
              
              
              December
      31,
                2008Overnight
      money markets
              
              $
              2,382,000
              
              
              $
              1,893,000U.S.
      Government/Agency securities
              
              
              84,630,161
              
              
              
              96,557,403Cash
      in checking account
              
              
              402,273
              
              
              
              349,416Total
              
              $
              87,414,434
              
              
              $
              98,799,819
 
 4.
Investors’ Interest
 
 The Trust
is comprised of three series: the MLM Index Unleveraged Series, which attempts
to replicate the MLM Index without leverage, the MLM Index Leveraged Series,
which attempts to replicate the MLM Index at three times leverage, and the MLM
Commodities L/S Unleveraged Series which attempts to replicate the MLM Commodity
Long/Short Index without leverage (collectively, the “Series”).  Each
Series has four classes of shares: Class A, Class B, Class C and Class D. Shares
of the MLM Commodities L/S Unleveraged Series (Class D) were first issued on
July 31, 2009. As of September 30, 2009, there has been no issuance of MLM
Commodities L/S Classes A, B or C.  Class A, Class B, Class C and
Class D shares are sold by authorized selling agents appointed by the Manager to
accredited investors at a price equal to each Class’s net asset value. Shares
may be redeemed at net asset value as of the last day of any month upon at least
ten business days’ written notice to the Manager.
  12
 Index
  MLM Index
TM Fund
 Notes to
Unaudited Condensed Financial Statements (continued)
 September
30, 2009
  4.
Investors’ Interest (continued)
 
 The
Manager allocates profits and losses among the investors of a Series based on
the balance in each investor’s capital account.
 
 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 they have contributed a
total of $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 each Series are subject to a sales commission of 0% to
4% of the subscription amount, payable to the selling agent from the investor’s
investment for each series. The amount of the sales commission will be
determined by the selling agent.
 
 5.
Margin Requirements
 
 The Trust
had margin requirements of $6,986,903and $14,404,026 at
September 30, 2009 and December 31, 2008, respectively, which were satisfied by
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
      SeriesBrokerage
      Fee
              
              
              Management
      Fee
              
              
              Organizational
      Fee
              
              
              Operating
      Expense
              
              
              Selling
      Expense
              
              
              Total
      Fees and CommissionsClass
      A
              
              
              1.75
              %
              
              
              2.80
              %
              
              
              0.50
              %
              
              
              0.35
              %
              
              
              4.00
              %
              
              
              9.40
              %Class
      B
              
              
              1.75
              %
              
              
              1.30
              %
              
              
              0.50
              %
              
              
              0.35
              %
              
              
              N/A
              
              
              
              3.90
              %Class
      C
              
              
              0.90
              %
              
              
              2.05
              %
              
              
              N/A
              
              
              
              0.35
              %
              
              
              4.00
              %
              
              
              7.30
              %Class
      D
              
              
              0.90
              %
              
              
              1.30
              %
              
              
              N/A
              
              
              
              0.35
              %
              
              
              N/A
              
              
              
              2.55
              %
 
 Unleveraged
      SeriesBrokerage
      Fee
              
              
              Management
      Fee
              
              
              Organizational
      Fee
              
              
              Operating
      Expense
              
              
              Selling
      Expense
              
              
              Total
      Fees and CommissionsClass
      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
              %
 
 Commodities
      L/S Unleveraged SeriesBrokerage
      Fee
              
              
              Management
      Fee
              
              
              Organizational
      Fee
              
              
              Operating
      Expense
              
              
              Selling
      Expense
              
              
              Total
      Fees and CommissionsClass
      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, banking fees and State of New Jersey K-1 filing fees
directly.
  13
 Index
  MLM Index
TM Fund
 Notes to
Unaudited Condensed Financial Statements (continued)
 September
30, 2009
  7.
Derivative Financial Instruments
 
 Derivatives
are subject to various risks similar to non-derivative financial instruments
including market, credit, liquidity and operational risk. The risks of
derivatives should not be viewed in isolation but rather should be considered on
an aggregate basis along with the Trust’s other trading-related
activities.
 
 The Trust
purchases and sells futures contracts 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 atSeptember
      30, 2009
              
              
              December
      31, 2008Assets
              
              
              Liabilities
              
              
              Assets
              
              
              LiabilitiesFinancial
      futures
              
              $
              3,650,323
              
              
              $
              (236,250
              )
              
              $
              6,221,375
              
              
              $
              (3,674,913
              )Commodity
      futures
              
              
              3,429,824
              
              
              
              (1,320,657
              )
              
              
              5,786,787
              
              
              
              (2,142,773
              )Total
              
              $
              7,080,147
              
              
              $
              1,556,907
              
              
              $
              12,008,162
              
              
              $
              (5,817,686
              )
  The
following table reflects the trading revenue of the Trust’s derivatives by
instrument type.
  For the three months ended
      September 30, 2009Realized
      P/L
              
              
              Change
      in Unrealized
              
              
              TotalFinancial
      futures
              
              $
              106,822
              
              
              $
              3,096,947
              
              
              $
              3,203,769Commodity
      futures
              
              
              (2,682,561
              )
              
              
              2,448,249
              
              
              
              (234,312
              )$
              (2,575,739
              )
              
              $
              5,545,196
              
              
              $
              2,969,457For the nine months ended
      September 30, 2009Realized
      P/L
              
              
              Change
      in Unrealized
              
              
              TotalFinancial
      futures
              
              $
              (2,929,037
              )
              
              $
              867,611
              
              
              $
              (2,061,426
              )Commodity
      futures
              
              
              (2,867,443
              )
              
              
              (1,534,847
              )
              
              
              (4,402,290
              )$
              (5,796,470
              )
              
              $
              (667,236
              )
              
              $
              (6,463,716
              )
  Open
contracts generally mature within three months.  As of September 30,
2009, the latest maturity date for open futures contracts is March 2010, however
the Trust intends to close all futures contracts prior to
maturity.
  14
 Index
  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, 2009:
  Leveraged
      Series
              
              
              Unleveraged
      Series
              
              
              Commodity
      L/S Unleveraged SeriesClass
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      D
              
              
              Class
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      D
              
              
              Class
      DShares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              SharesPer
      share operating performance:Net
      asset value per share at December 31, 2008/ issuance
              
              $
              105.12
              
              
              $
              120.43
              
              
              $
              98.31
              
              
              $
              121.29
              
              
              $
              119.60
              
              
              $
              132.04
              
              
              $
              116.06
              
              
              $
              117.94
              
              
              $
              100.00Income
      from investment operations:Net
      investment income (expense)
              
              
              (2.32
              )
              
              
              (1.42
              )
              
              
              (1.67
              )
              
              
              (1.44
              )
              
              
              (1.62
              )
              
              
              (0.84
              )
              
              
              (1.16
              )
              
              
              (0.75
              )
              
              
              (0.16
              )Net
      realized and unrealized gain on investment transactions
              
              
              (10.45
              )
              
              
              (11.99
              )
              
              
              (9.21
              )
              
              
              (11.37
              )
              
              
              (3.73
              )
              
              
              (4.13
              )
              
              
              (3.25
              )
              
              
              (3.30
              )
              
              
              7.06Total
      from investment operations
              
              
              (12.77
              )
              
              
              (13.41
              )
              
              
              (10.88
              )
              
              
              (12.81
              )
              
              
              (5.35
              )
              
              
              (4.97
              )
              
              
              (4.41
              )
              
              
              (4.05
              )
              
              
              6.90Net
      asset value per share at September 30, 2009
              
              $
              92.35
              
              
              $
              107.02
              
              
              $
              87.43
              
              
              $
              108.48
              
              
              $
              114.25
              
              
              $
              127.07
              
              
              $
              111.65
              
              
              $
              113.89
              
              
              $
              106.90Total
      Return:
              
              
              (12.15
              )%
              
              
              (11.14
              )%
              
              
              (11.07
              )%
              
              
              (10.56
              )%
              
              
              (4.47
              )%
              
              
              (3.76
              )%
              
              
              (3.79
              )%
              
              
              (3.43
              )%
              
              
              6.90
              %Ratio
      to Average Investors’ Interest:Net
      investment income
              
              
              (2.50
              )%
              
              
              (1.31
              )%
              
              
              (1.86
              )%
              
              
              (1.28
              )%
              
              
              (1.41
              )%
              
              
              (0.67
              )%
              
              
              (1.03
              )%
              
              
              (0.67
              )%
              
              
              (0.23
              )%Expenses
              
              
              (2.60
              )%
              
              
              (1.40
              )%
              
              
              (1.96
              )%
              
              
              (1.38
              )%
              
              
              (1.54
              )%
              
              
              (0.81
              )%
              
              
              (1.16
              )%
              
              
              (0.80
              )%
              
              
              (0.23
              )%
 
 Total
return is calculated as the change in the net asset value per share for the nine
months ended September 30, 2009.  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, 2009.
  15
 Index
  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, 2008:
  Leveraged
      Series
              
              
              Unleveraged
      SeriesClass
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      D
              
              
              Class
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      DShares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              SharesPer
      share operating performance:Net
      asset value per share at December 31, 2007
              
              $
              78.88
              
              
              $
              89.06
              
              
              $
              72.63
              
              
              $
              88.95
              
              
              $
              106.89
              
              
              $
              116.86
              
              
              $
              102.77
              
              
              $
              103.92Income
      from investment operations:Net
      investment income (expense)
              
              
              (0.70
              )
              
              
              0.28
              
              
              
              (0.21
              )
              
              
              0.28
              
              
              
              0.55
              
              
              
              1.51
              
              
              
              0.93
              
              
              
              1.34Net
      realized and unrealized loss on investment transactions
              
              
              (2.85
              )
              
              
              (3.32
              )
              
              
              (2.22
              )
              
              
              (2.77
              )
              
              
              (1.29
              )
              
              
              (1.46
              )
              
              
              (0.92
              )
              
              
              (0.94
              )Total
      from investment operations
              
              
              (3.55
              )
              
              
              (3.04
              )
              
              
              (2.43
              )
              
              
              (2.49
              )
              
              
              (0.74
              )
              
              
              0.05
              
              
              
              0.01
              
              
              
              0.40Net
      asset value per share at September 30, 2008
              
              $
              75.33
              
              
              $
              86.02
              
              
              $
              70.20
              
              
              $
              86.46
              
              
              $
              106.15
              
              
              $
              116.91
              
              
              $
              102.78
              
              
              $
              104.32Total
      Return:
              
              
              (4.50
              )%
              
              
              (3.41
              )%
              
              
              (3.35
              )%
              
              
              (2.80
              )%
              
              
              (0.69
              )%
              
              
              0.04
              %
              
              
              0.01
              %
              
              
              0.38
              %Ratio
      to Average Investors’ Interest:Net
      investment income (expense)
              
              
              (0.86
              )%
              
              
              0.33
              %
              
              
              (0.28
              )%
              
              
              (0.25
              )%
              
              
              0.53
              %
              
              
              1.30
              %
              
              
              0.88
              %
              
              
              1.26
              %Expenses
              
              
              (2.89
              )%
              
              
              (1.75
              )%
              
              
              (2.25
              )%
              
              
              (1.60
              )%
              
              
              (1.62
              )%
              
              
              (0.86
              )%
              
              
              (1.22
              )%
              
              
              (0.84
              )%
 
 Total
return is calculated as the change in the net asset value per share for the nine
months ended September 30, 2008.  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, 2008.
  9.
Reclassifications
  Certain
amounts and balances from the prior periods have been reclassified to conform
with the current period presentation.
  16
 Index
  10.
New Accounting Pronouncements
  Effective
for the quarter ending June 30, 2009, The Trust adopted ASC Topic 855,
“Subsequent Events” which provides  guidance to establish general
standards of accounting for and disclosures of events that occur after the
balance sheet date but before financial statements are issued or are available
to be issued.  ACS Topic 855 also requires entities to disclose the
date through which subsequent events were evaluated as well as the rationale for
why that date was selected. The adoption of ACS Topic 855 did not have a
material impact on the Trust financial statements.
 
 In June
2009, the FASB issued SFAS No. 166, “Accounting for Transfers of Financial
Assets – an amendment of FASB Statement No. 140” (“SFAS 166”), which requires
additional information regarding transfers of financial assets, including
securitization transactions, and where companies have continuing exposure to the
risks related to transferred financial assets.  SFAS 166 eliminates
the concept of a “qualifying special-purpose entity,” changes the requirements
for derecognizing financial assets, and requires additional
disclosures.  SFAS 166 is effective for fiscal years beginning after
November 15, 2009.  SFAS 166 is effective for the Trust on January 1,
2010. The Manager is evaluating the impact of adopting SFAS 166 and its impact
on the Trust’s financial statements.
 
 In June
2009, the FASB issued SFAS No. 167, “Amendments to FASB Interpretation No.
46(R)” (“SFAS 167”), which modifies how a company determines when an entity that
is insufficiently capitalized or is not controlled through voting (or similar
rights) should be consolidated.  SFAS 167 clarifies that the
determination of whether a company is required to consolidate an entity is based
on, among other things, an entity’s purpose and design and a company’s ability
to direct the activities of the entity that most significantly impact the
entity’s economic performance.  SFAS 167 requires an ongoing
reassessment of whether a company is the primary beneficiary of a variable
interest entity. SFAS 167 also requires additional disclosures about a company’s
involvement in variable interest entities and any significant changes in risk
exposure due to that involvement.  SFAS 167 is effective for fiscal
years beginning after November 15, 2009 and is effective for Series E on January
1, 2010. The Manager is evaluating the impact of adopting SFAS 167 and its
impact on the Trust’s financial statements.
 
 Effective
July 1, 2009, the Trust adopted ASC Topic 105, “Generally Accepted Accounting
Principles”. ASC Topic 105 establishes the FASB Accounting Standards
Codification as the source of authoritative accounting principles recognized by
the FASB to be applied by non-governmental entities in the preparation of
financial statements in conformity with US GAAP.  Rules and
interpretive releases of the SEC under authority of federal securities laws are
also sources of authoritative US GAAP for SEC registrants.  The
Codification did not change US GAAP but reorganizes the existing literature into
Topics.  References to FASB guidance throughout this document have
been updated for the Codification.
 
 On
January 1, 2009, the Trust adopted certain provisions of ASC Topic 815 with
respect to disclosures about derivative instruments and hedging activities and
the provision of certain tabular disclosures of the effects of such instruments
and related hedged items on our financial position, financial performance, and
cash flows. See Note 7. Derivative financial instruments. The adoption of these
provisions did not have a material impact on the Trust’s financial
statements.
 
 11.
Subsequent Events
 
 The
Manager has evaluated events and transactions that occurred between September
30, 2009 and November 10, 2009, which is the date the financial statements were
issued for possible disclosure or recognition in the financial
statements.  The Manager has determined that there were no such events
or transactions that warrant disclosure or recognition in the financial
statements.
  17
 Index
  Item2.
              Management's
      Discussion and Analysis of Financial Condition and Results of
      Operations.
  
 General
 
 MLM
IndexTM Fund (the “Trust”) is a business trust organized under the laws of
Delaware.  The Trust engages primarily in the speculative trading of a
diversified portfolio of futures contracts using the MLM IndexTM Trading Program
(the “Trading Program”).  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, 2009,
the Manager had approximately $1.4 billion of assets under
advisement.  The Manager is a registered investment adviser under the
Investment Advisers Act of 1940 and is a registered commodity trading advisor
and commodity pool operator with the Commodity Futures Trading Commission (the
"CFTC") and a member of the National Futures Association (the
"NFA").  The Manager does and may in the future operate other
investment vehicles.
 
 The Trust
and the Manager maintain their principal business office at 405 South State
Street, Newtown, PA 18940 and their telephone number is (267)
759-3500.
 
 The
purpose of the Trust is to replicate the results of the MLM IndexTM and the MLM
Commodity Long/Short IndexTM, both 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 and the MLM Commodity Long/Short
IndexTM, 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
and the MLM Commodity Long/Short IndexTM.  Thus, their role is twofold
- to calculate the results of the MLM IndexTM and the MLM Commodity Long/Short
IndexTM, and to replicate the results of the MLM IndexTM and the MLM Commodity
Long/Short IndexTM for the Trust.  Any changes made to the composition
of the MLM IndexTM and/or the MLM Commodity Long/Short IndexTM by the MLM IndexTM
Committee of the Manager will affect the trading of the Trust, since the
objective of the Trust is to replicate the MLM IndexTM and the MLM Commodity
Long/Short 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 Unleveraged
is to replicate this monthly return.  The objective of the Leveraged
series is to replicate this monthly return 3 times over.
 
 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 objective of the Series 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.
  18
 Index
  
 In order
to accomplish this objective, the Manager must calculate the number of contracts
based on the assets in 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.
 
 Results
of the MLM Commodity Long/Short IndexTM
 
 The MLM
Commodity Long/Short IndexTM is calculated from the prices of 11 generally liquid
futures contracts.  These markets are traded on domestic
exchanges.  For each market, the MLM Commodity Long/Short IndexTM
generally uses the price of 4 different delivery months each
year.  For example, in the Wheat  futures market, the MLM
Commodity Long/Short IndexTM uses the March, June, September and December
delivery months.  On the day before trading day, the MLM Commodity
Long/Short IndexTM determines whether to hold a long or short position in each
constituent contract based on the calculation methodology of the MLM Commodity
Long/Short 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 Commodity
Long/Short IndexTM return.
 
 The
volatility of the constituent markets in the MLM Commodity Long/Short IndexTM can
affect the results of the Trust.  The influences on this volatility
are varied and unpredictable.  However, since the objective of the
Series is to replicate the MLM Commodity Long/Short 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 Commodity Long/Short
IndexTM.
 
 In order
to accomplish this objective, the Manager must calculate the number of contracts
based on the assets in the Series. Since the MLM Commodity Long/Short 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 fair value in its financial statements, with changes
in fair value reported as a component of “realized and unrealized gain (loss)”
on investments in the Statements of Operations. Generally, fair values are based
on market prices; however, in certain circumstances, significant judgments and
estimates by the Manager are involved in determining fair value in the absence
of an active market closing price.
  19
 Index
  
 Accounting
Standards Codification (“ASC”) Topic 820, “Fair Value Measurements and
Disclosures” provides additional guidance for how the fair value of a financial
asset or liability is determined when the volume and level of activity for the
asset or liability have significantly decreased and on identifying circumstances
that indicate a transaction is not orderly.  The guidance was
effective for interim and annual periods after June 15, 2009, with early
adoption permitted for periods ending after March 15, 2009, and is to be applied
prospectively.
 
 Financial
Condition
 
 To
replicate the results of the MLM IndexTM and the MLM Commodity Long/Short 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 three separate accounts at CGM, one for
the Unleveraged Series, one for the Leveraged Series and one for the Commodity
L/S Unleveraged 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 separate custodial accounts at
State Street Bank (the “Bank”).  The Trust has contracted with
Aberdeen Asset Management (the successor to Credit Suisse Asset Management
(CSAM) ) to manage the money in these accounts so as to maximize the interest
income, which accrues to each Series of the Trust, while maintaining strict
credit controls as determined by the Commodities Exchange Act.  When
CGM requires additional assets to maintain the positions for reach Series of 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 or the Commodity Long/Short IndexTM, as
applicable, 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.
 
 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.
 
 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.
 
 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.
  20
 Index
  
 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 or the MLM Commodity Long/Short
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 and the MLM Commodity
Long/Short 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 and the MLM
Commodity Long/Short IndexTM.  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 and the MLM Commodity Long/Short 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 and the MLM Commodity
Long/Short 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 and the MLM Commodity Long/Short 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 and the MLM Commodity Long/Short IndexTM
is designed to represent participation in a diverse basket of future contracts
using a trend-following algorithm.  The MLM IndexTM and the MLM
Commodity Long/Short 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 three or
nine months ending September 30, 2009.
 
 Results
of Operations
 
 At September 30, 2009, the Trust had
assets of $120,744,832 and liabilities of $1,346,575 compared with assets of
$139,610,404 and liabilities of $3,413,670 at December 31,
2008.  Changes in the net assets of the Trust are the result of
subscriptions and redemptions to the Trust, and the net loss from operations;
including the results from futures trading, interest income, and fees and
expenses.  For the nine month period ended September 30, 2009,
subscriptions to the Trust totaled $12,989,455 and redemptions totaled
$21,398,412.  During the nine-month period ended September 30, 2009,
the Trust had a net loss of $8,389,520 compared with a net loss of $1,554,571
for the same period in 2008.  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.
  21
 Index
 
 The
Trust’s net income (loss) is directly related to the performance of the MLM
IndexTM and the MLM Commodity Long/Short IndexTM, which the Trust is designed to
replicate.  For the nine months ended September 30, 2009, MLM IndexTM
performance was -2.66%.  Performance was -0.57% for the same period
ended September 30, 2008.  For the nine months ended September 30,
2009, MLM Commodity Long/Short IndexTM performance was
-8.42%.  Performance was -0.89% for the same period ended September
30, 2008.The following table represents the performance by class for the MLM
IndexTM Fund for the nine months ended September 30, 2009 and September 30,
2008.
 
 September
30, 2009:
 
 Leveraged
      Series
              
              
              Unleveraged
      Series
              
              
              Commodity
      L/S Unleveraged SeriesClass
      A Shares
              
              
              Class
      B Shares
              
              
              Class
      C Shares
              
              
              Class
      D Shares
              
              
              Class
      A Shares
              
              
              Class
      B Shares
              
              
              Class
      C Shares
              
              
              Class
      D Shares
              
              
              Class
      D SharesTotal
      Return:
              
              
              (12.15
              )%
              
              
              (11.14
              )%
              
              
              (11.07
              )%
              
              
              (10.56
              )%
              
              
              (4.47
              )%
              
              
              (3.76
              )%
              
              
              (3.80
              )%
              
              
              (3.43
              )%
              
              
              6.90
              %*·July-Sep
      09
 
 September
30, 2008:
 
 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 SharesTotal
      Return:
              
              
              (4.50
              )%
              
              
              (3.41
              )%
              
              
              (3.35
              )%
              
              
              (2.80
              )%
              
              
              (0.69
              )%
              
              
              0.04
              %
              
              
              0.01
              %
              
              
              0.38
              %
 
 The
Trust’s performance may be negative in years when the MLM IndexTM and/or the MLM
Commodity Long/Short IndexTM is positive due to the timing of subscriptions and
redemptions, the fees charged and/or the allocation of assets between the
Unleveraged, Leveraged and Commodity Long/Short 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 and the .  The correlation between the Leveraged
Series of the Trust and the MLM IndexTM adjusted for leverage and fees is
0.99.  The correlation between the Commodity L/S Unleveraged Series of
the Trust and the MLM Commodity Long/Short IndexTM adjusted for leverage and fees
is 0.99
 
 The
components of the return of the MLM IndexTM and the MLM Commodity Long/Short
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.
  Item3.
              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.
  22
 Index
 
 The
market risk, or VAR of the Trust, is directly related to the composition of the
MLM IndexTM and the MLM Commodity Long/Short IndexTM.  Each month, the
position of the MLM IndexTM and the MLM Commodity Long/Short 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 and the MLM
Commodity Long/Short IndexTM as a whole.  Since the objective of the
Trust is to replicate the MLM IndexTM and the MLM Commodity Long/Short 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 and the MLM Commodity Long/Short 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, 2009 are 0.70% and
      1.91%  for the MLM Index and 1.79% and 3.89% for the MLM
      Commodity Long/Short IndexTM respectively.  It is important to note
      that this calculation is made on the historical data of the MLM IndexTM and
      the MLM Commodity Long/Short 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 and the MLM Commodity Long/Short 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 2.53 %. 
      For monthly returns, the estimate is a loss of
  6.84%.
 
 3.
              To
      ascertain a dollar loss amount for the Trust, the assets of the Trust as
      of September 30, 2009 are multiplied by the estimates of the risk
      calculated in step 2 above.  The risk estimate is based on the fact
      that neither the  MLM IndexTM nor the MLM Commodity Long/Short
      IndexTM uses leverage, 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,
      2009, the Manager estimates that the Trust could expect to lose
      approximately $5.4 million in any given day and $14.6 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 and the MLM Commodity Long/Short
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.
  23
 Index
 
 Since the
calculation of the VAR does not look at the specific instrument risks, but
rather the results of the MLM IndexTM and the MLM Commodity Long/Short 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 and the MLM Commodity
Long/Short IndexTM, causing a divergence of performance between the Trust and the
MLM IndexTM and the MLM Commodity Long/Short IndexTM, known as
“slippage”.
  Item4.
              Controls
      and Procedures.
 
 The
President and the Chief Operating Officer of the Manager (collectively the
“Certifying Officers”) maintain a system of disclosure controls and procedures
that is designed to provide reasonable assurance that information, which is
required to be disclosed, is accumulated and communicated to management in a
timely manner.  The Certifying Officers have concluded that the
disclosure controls and procedures are effective at the “reasonable assurance”
level.  As of September 30, 2009, the Certifying Officers evaluated
the effectiveness of the design and operation of the disclosure controls and
procedures (as defined in Rule [13a-15(e)/15d-15(e)] under the Exchange
Act).  Furthermore, the Certifying Officers concluded that disclosure
controls and procedures in place were designed to ensure that information
required to be disclosed in reports that are filed or submitted under the
Exchange Act are (i) recorded, processed, summarized and reported on a timely
basis in accordance with Commission rules and regulations; and (ii) accumulated
and communicated to the Certifying Officers and other persons that perform
similar functions, if any, to allow them to make timely decisions regarding
required disclosure in periodic filings.  There have been no
significant changes in the Trust’s internal control over financial reporting in
the quarter ended September 30, 2009 that has materially affected or is
reasonably likely to materially affect the Trust’s internal control over
financial reporting.
 
 Part
II. OTHER INFORMATION
 
 Item1.
              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.
 
 Item1a.
              Risk
      Factors.
 
 None.
  24
 Index
 
 Item2.
              Unregistered
      Sales of Equity Securities and Use of
Proceeds.
 
 Leveraged
      Series
              
              
              Unleveraged
      Series
              
              
              Commodity
      Unleveraged SeriesClass
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      D
              
              
              Class
      A
              
              
              Class
      B
              
              
              Class
      C
              
              
              Class
      D
              
              
              Class
      DJul-09
      Subscriptions
              
              $
              -
              
              
              $
              109,816
              
              
              $
              -
              
              
              $
              515.000
              
              
              $
              -
              
              
              $
              109,816
              
              
              $
              -
              
              
              $
              600,000
              
              
              $
              3,000,000Subscriptions
      Units
              
              
              -
              
              
              
              1,104.19
              
              
              
              -
              
              
              
              5,141
              
              
              
              -
              
              
              
              882.08
              
              
              
              -
              
              
              
              5,408.17
              
              
              
              30,000#
      of Purchasers
              
              
              -
              
              
              
              2
              
              
              
              -
              
              
              
              5
              
              
              
              -
              
              
              
              2
              
              
              
              -
              
              
              
              6
              
              
              
              1Unit
      Price
              
              $
              85.59
              
              
              $
              98.95
              
              
              $
              80.82
              
              
              $
              100.17
              
              
              $
              111.54
              
              
              $
              123.87
              
              
              $
              108.85
              
              
              $
              110.94
              
              
              $
              100.00Aug-09
      Subscriptions
              
              $
              -
              
              
              $
              4,454.90
              
              
              $
              -
              
              
              $
              -
              
              
              $
              -
              
              
              $
              -
              
              
              $
              -
              
              
              $
              1,380,000
              
              
              $
              -Subscriptions
      Units
              
              
              -
              
              
              
              42.35
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              12,185.46
              
              
              
              -#
      of Purchasers
              
              
              -
              
              
              
              2
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              -
              
              
              
              6
              
              
              
              -Unit
      Price
              
              $
              90.88
              
              
              $
              105.19
              
              
              $
              85.92
              
              
              $
              106.55
              
              
              $
              113.72
              
              
              $
              126.40
              
              
              $
              111.07
              
              
              $
              113.24
              
              
              $
              108.53Sep-09
      Subscriptions
              
              $
              -
              
              
              $
              138,588
              
              
              $
              -
              
              
              $
              175,000
              
              
              $
              -
              
              
              $
              33,188
              
              
              $
              -
              
              
              $
              80,000
              
              
              $
              -Subscriptions
      Units
              
              
              -
              
              
              
              1,288
              
              
              
              -
              
              
              
              1,613.15
              
              
              
              -
              
              
              
              259.87
              
              
              
              -
              
              
              
              702.41
              
              
              
              -#
      of Purchasers
              
              
              -
              
              
              
              3
              
              
              
              -
              
              
              
              2
              
              
              
              -
              
              
              
              2
              
              
              
              -
              
              
              
              2
              
              
              
              -Unit
      Price
              
              $
              92.35
              
              
              $
              107.02
              
              
              $
              87.43
              
              
              $
              108.48
              
              
              $
              114.25
              
              
              $
              127.07
              
              
              $
              111.65
              
              
              $
              113.89
              
              
              $
              106.90
 
 Item3.
              Defaults
      Upon Senior Securities.
 
 None.
 
 Item4.
              Submission
      of Matters to Vote of Security
Holders.
 
 None.
 
 Item5.
              Other
      Information.
 
 The
Commodity Long/Short Unleveraged Series was established by the Trust in May 2007
and received its first subscription for $3,000,000 in July 2009.  The
Series is one of among three Series that comprises the Trust and has been
incorporated into this 10Q filing.
  25
 Index
  Item6.
              Exhibits
      and Reports of Form 8-K.
  (a)
Reports on Form 8-K
 
 NONE.
  (b)
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
              Certification
      of President of the Manager Pursuant to 18 U.S.C. Section 1350, as adopted
      Pursuant to Section 906 of the Sarbanes-Oxley Act of
  2002
 
 32.2
              Certification
      of Chief Operating Officer of the Manager Pursuant to 18 U.S.C. Section
      1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of
      2002
  26
 Index
 
 SIGNATURES
 
 Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant
has duly caused this report to be signed on its behalf by the undersigned
thereunto duly authorized.
 
 MLM
      INDEXTM FUNDBy:
              Mount
      Lucas Management CorporationIts:
              ManagerBy:
              /s/
      Timothy J. RudderowTimothy
      J. Rudderow, President
 
 
 Date:
November 10, 2009







27