UNITED
STATES


SECURITIES
AND EXCHANGE COMMISSION


WASHINGTON,
D.C. 20549


FORM
10-Q





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


Exchange
Act of 1934








For the
quarterly period ended June 30, 2008





or





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


Exchange
Act of 1934





For the
transition period from ____________ to _____________








COMMISSION
FILE NUMBER 0-49767





MLM
      INDEXTM FUND(Exact
      name of registrant as specified in its charter)








DELAWARE
            
            Unleveraged
      Series: 22-2897229Leveraged
      Series: 22-3722683(State
      or other jurisdiction of incorporation or organization)
            
            (IRS
      Employer Identification Number)








47
      Hulfish Street, Suite 510, Princeton, New Jersey(Address
      of principal executive offices)








08542(Zip
      Code)








(609)
      924-8868(Registrant's
      telephone number including area code)N/A(Former
      name, former address and former fiscal year, if changed since last
      report)





Indicate
by check mark whether the registrant (1) has filed all reports required to be
filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the
preceding 12 months, and (2) has been subject to such filing requirements for
the past 90 days.





Yes  T     No












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  £     Accelerated
Filer  £     Non-Accelerated
Filer  T     Smaller
Reporting Company  £





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


Yes  £     No  T





MLM
IndexTM Fund


Index to FORM 10Q


June
30, 2008








PART
      I – FINANCIAL INFORMATIONItem
      1
            Financial Statements:
            PageNumberCondensed Statements of Financial Condition as of June 30, 2008
      (unaudited) and December 31, 2007 (audited)
            4Condensed Schedules of Investments as of June 30, 2008
      (unaudited) and December 31, 2007 (audited)
            5Unaudited Condensed Statements of Operations for the three
      months ended June 30, 2008 and 2007 and for the six months ended June 30,
      2008 and 2007
            6Unaudited Condensed Statements of Changes in Investors’
      Interest for the six months ended June 30, 2008 and
    2007
            7-8Unaudited Condensed Statements of Cash Flows for the six months
      ended June 30, 2008 and 2007
            9Notes to Unaudited Condensed Financial
      Statements
            10-15Item
      2
            Management’s Discussion and Analysis of Financial Condition
      and Results of Operations
            16-19Item
      3
            Quantitative and Qualitative Disclosures of Market
      Risk
            19-20Item
      4
            Controls and Procedures
            21PART
      II – OTHER INFORMATIONItem
      1
            Legal Proceedings
            21Item
      1A
            Risk Factors
            21Item
      2
            Unregistered Sales of Equity Securities and Use of
      Proceeds
            22Item
      3
            Defaults Upon Senior Securities
            22Item
      4
            Submission of Matters to a Vote of Security
      Holders
            22Item
      5
            Other Information
            22Item
      6
            Exhibits and Reports on Form 8-K
            23


3
 Index




Item
      1.
            Financial Statements.





MLM
IndexTM Fund


Condensed Statements of Financial Condition


As
of June 30, 2008 (Unaudited) and December 31, 2007 (Audited)




June 30,
              2008
            
            
            December 31,
              2007AssetsCash
      and cash equivalents
            
            $
            122,526,661
            
            
            $
            114,829,920Due
      from broker
            
            
            5,745,016
            
            
            
            3,287,201Net
      unrealized gain on open futures contracts, at fair value
            
            
            2,428,097
            
            
            
            1,747,429Interest
      receivable
            
            
            240,256
            
            
            
            151,118Other
      assets
            
            
            1,268
            
            
            
            1,268Total
      assets
            
            $
            130,941,298
            
            
            $
            120,016,936Liabilities
      and investors’ interestRedemptions
      payable
            
            $
            161,817
            
            
            $
            1,506,542Brokerage
      commissions payable
            
            
            73,493
            
            
            
            70,647Management
      fee payable
            
            
            94,764
            
            
            
            88,593Accrued
      expenses
            
            
            590,933
            
            
            
            465,423Subscriptions
      received in advance
            
            
            −
            
            
            
            500,000Total
      liabilities
            
            
            921,007
            
            
            
            2,631,205Investors’
      interest
            
            
            130,020,291
            
            
            
            117,385,731Total
      liabilities and investors’ interest
            
            $
            130,941,298
            
            
            $
            120,016,936








See
Notes to Unaudited Condensed Financial Statements.


4
 Index


MLM
IndexTM Fund


Condensed Schedules of Investments


As
of June 30, 2008 (Unaudited) and December 31, 2007 (Audited)





Unrealized
            
            
            Percentage ofJune
      30, 2008 (Unaudited)
            
            Number of
            
            
            appreciation/
            
            
            Investors'Security
      Description
            
            Contracts
            
            
            (depreciation)
            
            
            InterestFuturesLong
      futures contractsFinancial
            
            
            738
            
            
            $
            279,892
            
            
            
            0.22
            %Commodity
            
            
            684
            
            
            
            1,857,032
            
            
            
            1.43
            %2,136,924
            
            
            
            1.65
            %Short
      futures contractsFinancial
            
            
            448
            
            
            
            380,997
            
            
            
            0.29
            %Commodity
            
            
            356
            
            
            
            (89,824
            )
            
            
            (0.07
            %)291,173
            
            
            
            0.22
            %Net
      unrealized gain on open futures contracts, at fair value
            
            
            
            
            
            $
            2,428,097
            
            
            
            1.87
            %








December
31, 2007 (Audited)





Unrealized
            
            
            Percentage ofNumber of
            
            
            appreciation
            
            
            Investors'Security
      Description
            
            Contracts
            
            
            (depreciation)
            
            
            InterestFuturesLong
      futures contractsFinancial
            
            
            944
            
            
            $
            (625,471
            )
            
            
            (0.53
            %)Commodity
            
            
            925
            
            
            
            2,219,094
            
            
            
            1.891,593,623
            
            
            
            1.36Short
      futures contractsFinancial
            
            
            101
            
            
            
            1,443
            
            
            
            0.00Commodity
            
            
            238
            
            
            
            152,363
            
            
            
            0.13153,806
            
            
            
            0.13Net
      unrealized gain on open futures contracts, at fair value
            
            
            
            
            
            $
            1,747,429
            
            
            
            1.49
            %








See
Notes to Unaudited Condensed Financial Statements.


5
 Index


MLM
IndexTM Fund


Unaudited Condensed Statements of Operations




For the three
              months ended
              June 30,
              2008
            
            
            For the three
              months ended
              June 30,
              2007
            
            
            For the six
              months ended
              June 30,
              2008
            
            
            For the six
              months ended
              June 30,
              2007Investment
      incomeInterest
            
            $
            679,826
            
            
            $
            1,857,791
            
            
            $
            1,709,390
            
            
            $
            5,120,128ExpensesBrokerage
      commissions
            
            
            252,618
            
            
            
            359,524
            
            
            
            494,303
            
            
            
            879,041Management
      fee
            
            
            286,207
            
            
            
            385,249
            
            
            
            556,430
            
            
            
            925,340Operating
      expenses
            
            
            217,387
            
            
            
            360,512
            
            
            
            436,593
            
            
            
            757,587Total
      expenses
            
            
            756,212
            
            
            
            1,105,285
            
            
            
            1,487,326
            
            
            
            2,561,968Net
      investment income (expense)
            
            
            (76,386
            )
            
            
            752,506
            
            
            
            222,064
            
            
            
            2,558,160Realized
      and unrealized gain (loss) on investmentsNet
      realized gain (loss)
            
            
            4,834,030
            
            
            
            (5,544,009
            )
            
            
            10,153,890
            
            
            
            (6,467,672
            )Net
      gain (loss) on change in unrealized appreciation (depreciation) on
      investments and foreign currency
            
            
            (1,496,996
            )
            
            
            5,644,941
            
            
            
            735,849
            
            
            
            (288,356
            )Net
      realized and unrealized gain (loss) on investments
            
            
            3,337,034
            
            
            
            100,932
            
            
            
            10,889,739
            
            
            
            (6,756,028
            )Net
      income (loss)
            
            $
            3,260,648
            
            
            $
            853,438
            
            
            $
            11,111,803
            
            
            $
            (4,197,868
            )








See
Notes to Unaudited Condensed Financial Statements.


6
 Index




MLM
IndexTM Fund


Unaudited Condensed Statement of Changes in Investors’
Interest


For
the six months ended June 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
            
            
            217,905
            
            
            
            705,916
            
            
            
            −
            
            
            
            6,245,000
            
            
            
            7,168,821
            
            
            
            19,900
            
            
            
            266,560
            
            
            
            −
            
            
            
            2,150,000
            
            
            
            2,436,460
            
            
            
            9,605,281Redemptions
            
            
            (1,118,643
            )
            
            
            (2,829,308
            )
            
            
            −
            
            
            
            (375,717
            )
            
            
            (4,323,668
            )
            
            
            (442,081
            )
            
            
            (1,201,948
            )
            
            
            −
            
            
            
            (2,114,827
            )
            
            
            (3,758,856
            )
            
            
            (8,082,524
            )Transfers
            
            
            (24,976
            )
            
            
            (1,423
            )
            
            
            −
            
            
            
            −
            
            
            
            (26,399
            )
            
            
            −
            
            
            
            26,399
            
            
            
            −
            
            
            
            −
            
            
            
            26,399
            
            
            
            −Net
      income
            
            
            1,047,300
            
            
            
            2,502,362
            
            
            
            160
            
            
            
            2,805,114
            
            
            
            6,354,936
            
            
            
            251,418
            
            
            
            771,891
            
            
            
            70
            
            
            
            3,733,488
            
            
            
            4,756,867
            
            
            
            11,111,803Investors’
      interest at June 30, 2008
            
            $
            7,348,993
            
            
            $
            16,132,189
            
            
            $
            1,141
            
            
            $
            24,137,850
            
            
            $
            47,620,173
            
            
            $
            4,599,378
            
            
            $
            13,086,929
            
            
            $
            1,238
            
            
            $
            64,712,573
            
            
            $
            82,400,118
            
            
            $
            130,020,291Shares
      at December 31, 2007
            
            
            91,630
            
            
            
            176,908
            
            
            
            14
            
            
            
            173,842
            
            
            
            
            
            
            
            44,626
            
            
            
            113,169
            
            
            
            11
            
            
            
            586,472Subscriptions
            
            
            2,510
            
            
            
            7,558
            
            
            
            −
            
            
            
            62,269
            
            
            
            
            
            
            
            180
            
            
            
            2,210
            
            
            
            −
            
            
            
            19,844Redemptions
            
            
            (13,150
            )
            
            
            (28,688
            )
            
            
            −
            
            
            
            (3,750
            )
            
            
            
            
            
            
            (4,005
            )
            
            
            (9,926
            )
            
            
            −
            
            
            
            (20,043
            )Transfers
            
            
            (289
            )
            
            
            (20
            )
            
            
            −
            
            
            
            −
            
            
            
            
            
            
            
            −
            
            
            
            220
            
            
            
            −
            
            
            
            −Shares
      at June 30, 2008
            
            
            80,701
            
            
            
            155,758
            
            
            
            14
            
            
            
            232,361
            
            
            
            
            
            
            
            40,801
            
            
            
            105,673
            
            
            
            11
            
            
            
            586,273Net
      asset value per share:June 30,
      2008
            
            $
            91.06
            
            
            $
            103.57
            
            
            $
            84.50
            
            
            $
            103.88
            
            
            
            
            
            
            $
            112.73
            
            
            $
            123.84
            
            
            $
            108.89
            
            
            $
            110.38








See
Notes to Unaudited Condensed Financial Statements.


7
 Index


MLM
IndexTM Fund


Unaudited
Condensed Statement of Changes in Investors’ Interest


For
the six months ended June 30, 2007




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, 2006
            
            $
            15,191,126
            
            
            $
            58,458,477
            
            
            $
            1,319,634
            
            
            $
            30,659,083
            
            
            $
            105,628,320
            
            
            $
            11,046,115
            
            
            $
            42,824,216
            
            
            $
            1,153
            
            
            $
            69,724,753
            
            
            $
            123,596,237
            
            
            $
            229,224,557Subscriptions
            
            
            307,157
            
            
            
            916,133
            
            
            
            −
            
            
            
            1,420,000
            
            
            
            2,643,290
            
            
            
            489,505
            
            
            
            1,847,154
            
            
            
            −
            
            
            
            375,000
            
            
            
            2,711,659
            
            
            
            5,354,949Redemptions
            
            
            (4,871,093
            )
            
            
            (33,250,040
            )
            
            
            (586,794
            )
            
            
            (15,587,933
            )
            
            
            (54,295,860
            )
            
            
            (1,561,865
            )
            
            
            (16,027,619
            )
            
            
            −
            
            
            
            (1,475,478
            )
            
            
            (19,064,962
            )
            
            
            (73,360,822
            )Transfers
            
            
            −
            
            
            
            (80,404
            )
            
            
            −
            
            
            
            −
            
            
            
            (80,404
            )
            
            
            −
            
            
            
            80,404
            
            
            
            −
            
            
            
            −
            
            
            
            80,404
            
            
            
            −Net
      loss
            
            
            (758,400
            )
            
            
            (1,995,727
            )
            
            
            (56,864
            )
            
            
            (1,322,627
            )
            
            
            (4,133,618
            )
            
            
            (68,583
            )
            
            
            (64,480
            )
            
            
            (2
            )
            
            
            68,815
            
            
            
            (64,250
            )
            
            
            (4,197,868
            )Investors’
      interest at June 30, 2007
            
            $
            9,868,790
            
            
            $
            24,048,439
            
            
            $
            675,976
            
            
            $
            15,168,523
            
            
            $
            49,761,728
            
            
            $
            9,905,172
            
            
            $
            28,659,675
            
            
            $
            1,151
            
            
            $
            68,693,090
            
            
            $
            107,259,088
            
            
            $
            157,020,816Shares
      at December 31, 2006
            
            
            180,974
            
            
            
            626,170
            
            
            
            17,350
            
            
            
            331,595
            
            
            
            
            
            
            
            103,829
            
            
            
            371,905
            
            
            
            11
            
            
            
            683,959Subscriptions
            
            
            3,730
            
            
            
            10,172
            
            
            
            −
            
            
            
            16,034
            
            
            
            
            
            
            
            4,613
            
            
            
            16,105
            
            
            
            −
            
            
            
            3,687Redemptions
            
            
            (60,852
            )
            
            
            (366,101
            )
            
            
            (8,066
            )
            
            
            (176,828
            )
            
            
            
            
            
            
            (14,765
            )
            
            
            (139,531
            )
            
            
            −
            
            
            
            (14,537
            )Transfers
            
            
            −
            
            
            
            (915
            )
            
            
            −
            
            
            
            −
            
            
            
            
            
            
            
            −
            
            
            
            702
            
            
            
            −
            
            
            
            −Shares
      at June 30, 2007
            
            
            123,852
            
            
            
            269,326
            
            
            
            9,284
            
            
            
            170,801
            
            
            
            
            
            
            
            93,677
            
            
            
            249,181
            
            
            
            11
            
            
            
            673,109Net
      asset value per share:
              June
      30, 2007
            
            $
            79.68
            
            
            $
            89.29
            
            
            $
            72.78
            
            
            $
            88.81
            
            
            
            
            
            
            $
            105.74
            
            
            $
            115.01
            
            
            $
            101.18
            
            
            $
            102.05








See
Notes to Unaudited Condensed Financial Statements.


8
 Index


MLM
IndexTM Fund


Unaudited Condensed Statements of Cash Flows





For
      the six
              months
      ended
            
            
            For
      the six
              months
      endedJune
      30,
              2008
            
            
            June
      30,
              2007Cash
      flows from operating activitiesNet
      income (loss)
            
            $
            11,111,803
            
            
            $
            (4,197,868
            )Adjustments
      to reconcile net loss to net cash and cash equivalents used in operating
      activities:Net
      change in operating assets and liabilities:Due
      from broker
            
            
            (2,457,815
            )
            
            
            3,013,486Net
      unrealized gain on open futures contracts
            
            
            (680,668
            )
            
            
            217,719Interest
      receivable
            
            
            (89,138
            )
            
            
            296,820Brokerage
      commissions payable
            
            
            2,846
            
            
            
            (90,227
            )Management
      fee payable
            
            
            6,171
            
            
            
            (83,383
            )Accrued
      expenses
            
            
            125,510
            
            
            
            (208,174
            )Net
      cash and cash equivalents provided by (used in) operating
      activities
            
            
            8,018,709
            
            
            
            (1,051,627
            )Cash
      flows from financing activitiesSubscriptions
      received, net of selling commissions
            
            
            9,105,281
            
            
            
            5,314,949Net
      redemptions, including payments of redemptions payable
            
            
            (9,427,249
            )
            
            
            (84,114,029
            )Net
      cash and cash equivalents used in financing activities
            
            
            (321,968
            )
            
            
            (78,799,080
            )Net
      increase (decrease) in cash and cash equivalents
            
            
            7,696,741
            
            
            
            (79,850,707
            )Cash
      and cash equivalents at beginning of period
            
            
            114,829,920
            
            
            
            233,557,725Cash
      and cash equivalents at end of period
            
            $
            122,526,661
            
            
            $
            153,707,018Supplemental
      disclosures of non-cash financing activities:Subscriptions
      recorded which were received in advance
            
            $
            500,000
            
            
            
            40,000








See
Notes to Unaudited Condensed Financial Statements.


9
 Index


MLM Index
TM Fund


Notes to Unaudited Condensed Financial Statements


June 30,
2008








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 (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 position of the Trust as of June 30,
2008 and the results of its operations for the three and six months ended June
30, 2008 and 2007.  The operating results for these interim periods
may not be indicative of the results expected for a full year. These financial
statements should be read in conjunction with the audited financial statements
and accompanying notes included in the Trust’s Annual Report on Form 10-K for
the year ended December 31, 2007.


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
equivalents consist of highly liquid financial instruments with maturities of
three months or less, when purchased.





Due
from Brokers





The
Trust’s trading activities utilize one broker located in the United States. Due
from broker represents cash balances held and amounts receivable or payable for
transactions not settled on June 30, 2008 and December 31, 2007.





Fair
Value Measurements





The Trust
adopted the provisions of SFAS 157 effective as of January 1, 2008. SFAS 157
defines fair value, establishes a framework for measuring fair value,
establishes a fair value hierarchy based on the quality of inputs used to
measure fair value and enhances disclosure requirements for fair value
measurements. In addition, SFAS 157 requires an issuer to incorporate changes in
its own credit spreads when determining the fair value of its
liabilities.


10
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements


June 30,
2008 (continued)








2.
Summary of Significant Accounting Policies (continued)





Fair
Value Measurements (continued)





In
accordance with SFAS 157, 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).





As
required by SFAS 157, 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 June 30, 2008 and December 31, 2007 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 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


June 30,
2008 (continued)








2.
Summary of Significant Accounting Policies (continued)





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





Both the
Unleveraged Series and the Leveraged 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:





June
      30,
              2008
            
            
            December
      31,
              2007Overnight
      money markets
            
            $
            10,283,000
            
            
            $
            12,242,000Money
      market securities
            
            
            111,871,133
            
            
            
            102,621,838Cash
      in checking account
            
            
            372,528
            
            
            
            (33,918
            )Total
            
            $
            122,526,661
            
            
            $
            114,829,920





4.
Investors’ Interest





The Trust
is comprised of two series: the Unleveraged Series, which attempts to replicate
the Index without leverage, and the Leveraged Series (collectively, the
“Series”), which attempts to replicate the Index at three times
leverage.  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.





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 the Unleveraged and Leveraged Series are subject to a
sales commission of 0% to 4% of the subscription amount, payable to the selling
agent from the investor’s investment for each series. The amount of the sales
commission will be determined by the selling agent.


12
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements


June 30,
2008 (continued)








5.
Margin Requirements





The Trust
had margin requirements of $6,253,623and $5,135,649 at June
30, 2008 and December 31, 2007, respectively, which were satisfied by net
unrealized profits and cash held at the broker.





6.
Management Fee and Other Fees and Expenses





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





Leveraged
      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
            %





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.





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 in financial instruments and
commodities.  The Trust records its derivative activities on a
mark-to-market basis. The fair value of the derivative financial instruments
held by the Trust is presented as net unrealized gain on open futures contracts
on the statement of financial condition. Realized gains and losses and the net
gain (loss) or change in the unrealized appreciation or depreciation on the
derivative instruments are recognized in the statements of
operations.





The
following table reflects the fair value of the Trust’s derivative financial
instruments:





Fair
      Value atJune
      30, 2008
            
            
            December
      31, 2007Assets
            
            
            Liabilities
            
            
            Assets
            
            
            LiabilitiesFinancial
      futures
            
            $
            1,412,880
            
            
            $
            (751,991
            )
            
            $
            (625,471
            )
            
            $
            1,443Commodity
      futures
            
            
            2,360,985
            
            
            
            (593,777
            )
            
            
            2,219,094
            
            
            
            152,363Total
            
            $
            3,773,865
            
            
            $
            (1,345,768
            )
            
            $
            1,593,623
            
            
            $
            153,806


13
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements


June 30,
2008 (continued)








8.
Financial Highlights





The following
represents the per share operating performance and ratios to the average
investors’ interest and other supplemental information for the six months ended
June 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)
            
            
            (0.43
            )
            
            
            0.24
            
            
            
            (0.10
            )
            
            
            0.24
            
            
            
            0.40
            
            
            
            1.04
            
            
            
            0.65
            
            
            
            0.92Net
      realized and unrealized gain on investment transactions
            
            
            12.61
            
            
            
            14.27
            
            
            
            11.97
            
            
            
            14.69
            
            
            
            5.44
            
            
            
            5.94
            
            
            
            5.47
            
            
            
            5.54Total
      from investment operations
            
            
            12.18
            
            
            
            14.51
            
            
            
            11.87
            
            
            
            14.93
            
            
            
            5.84
            
            
            
            6.98
            
            
            
            6.12
            
            
            
            6.46Net
      asset value per share at  June 30, 2008
            
            $
            91.06
            
            
            $
            103.57
            
            
            $
            84.50
            
            
            $
            103.88
            
            
            $
            112.73
            
            
            $
            123.84
            
            
            $
            108.89
            
            
            $
            110.38Total
      Return:
            
            
            15.44
            %
            
            
            16.29
            %
            
            
            16.34
            %
            
            
            16.78
            %
            
            
            5.46
            %
            
            
            5.97
            %
            
            
            5.96
            %
            
            
            6.22
            %Ratio
      to Average Investors’ Interest:Net
      investment income (expense)
            
            
            (0.49
            )
            
            
            0.26
            
            
            
            (0.13
            )
            
            
            0.19
            
            
            
            0.38
            
            
            
            0.38
            
            
            
            0.60
            
            
            
            0.84Expenses
            
            
            (1.83
            )
            
            
            (1.11
            )
            
            
            (1.41
            )
            
            
            (0.95
            )
            
            
            (1.07
            )
            
            
            (0.56
            )
            
            
            (0.80
            )
            
            
            (0.55
            )





Total
return is calculated as the change in the net asset value per share for the six
months ended June 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
six months ended June 30, 2008.


14
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements


June 30,
2008 (continued)








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 six months ended June 30, 2007:





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, 2006
            
            $
            83.94
            
            
            $
            93.36
            
            
            $
            76.06
            
            
            $
            92.46
            
            
            $
            106.39
            
            
            $
            115.15
            
            
            $
            101.32
            
            
            $
            101.94Income
      from investment operations:Net
      investment income
            
            
            0.71
            
            
            
            1.48
            
            
            
            0.93
            
            
            
            1.46
            
            
            
            1.67
            
            
            
            2.39
            
            
            
            1.85
            
            
            
            2.12Net
      realized and unrealized loss on investment transactions
            
            
            (4.97
            )
            
            
            (5.54
            )
            
            
            (4.20
            )
            
            
            (5.12
            )
            
            
            (2.32
            )
            
            
            (2.52
            )
            
            
            (1.99
            )
            
            
            (2.00
            )Total
      from investment operations
            
            
            (4.26
            )
            
            
            (4.06
            )
            
            
            (3.27
            )
            
            
            (3.66
            )
            
            
            (0.65
            )
            
            
            (0.13
            )
            
            
            (0.14
            )
            
            
            0.12Net
      asset value per share at  June 30, 2007
            
            $
            79.68
            
            
            $
            89.30
            
            
            $
            72.79
            
            
            $
            88.80
            
            
            $
            105.74
            
            
            $
            115.02
            
            
            $
            101.18
            
            
            $
            102.06Total
      Return:
            
            
            (5.07
            )%
            
            
            (4.36
            )%
            
            
            (4.31
            )%
            
            
            (3.95
            )%
            
            
            (0.61
            )%
            
            
            (0.12
            )%
            
            
            (0.14
            )%
            
            
            0.11
            %Ratio
      to Average Investors’ Interest:Net
      investment income
            
            
            1.00
            %
            
            
            1.99
            %
            
            
            1.64
            %
            
            
            1.98
            %
            
            
            1.64
            %
            
            
            1.64
            %
            
            
            1.83
            %
            
            
            2.09
            %Expenses
            
            
            (2.13
            )%
            
            
            (1.37
            )%
            
            
            (2.00
            )%
            
            
            (1.37
            )%
            
            
            (1.14
            )%
            
            
            (0.65
            )%
            
            
            (0.85
            )%
            
            
            (0.60
            )%





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





9.
Reclassifications





Certain
amounts and balances from the prior periods have been reclassified to conform
with the current period presentation.


15
 Index


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





General





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





Mount
Lucas Management Corporation (the “Manager”), a Delaware corporation, acts as
the manager and trading advisor of the Trust.  The Manager was formed
in 1986 to act as an investment manager.  As of June 30, 2008, the
Manager had approximately $1.7 billion of assets under
advisement.  The Manager is a registered investment adviser under the
Investment Advisers Act of 1940 and is a registered commodity trading advisor
and commodity pool operator with the Commodity Futures Trading Commission (the
"CFTC") and a member of the National Futures Association (the
"NFA").  The Manager does and may in the future operate other
investment vehicles.





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





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





Results
of the MLM IndexTM





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





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 Trust is to
replicate the MLM IndexTM, the Manager takes no unusual action to mitigate this
volatility.  The role of the Manager is to buy or sell the appropriate
number of futures contracts in each constituent market such that the aggregate
return of those positions replicates as closely as possible the results of the
MLM IndexTM.


16
 Index


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





Summary
of Critical Accounting Policies





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





The Trust
records all investments at 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.





FASB
Statement 157 defines fair value, establishes a framework for measuring fair
value in generally accepted accounting principles (GAAP), and expands
disclosures about fair value measurements.  Statement 157 is effective
for financial statements issued for fiscal years beginning after November 15,
2007, and for the interim periods that fall within those fiscal
years.





Financial
Condition





To
replicate the results of the MLM IndexTM, the Trust must effect trades on
domestic or foreign futures exchanges.  From the beginning of
operations until October 2005, the Trust used Refco, LLC (“Refco”) as its
futures commission merchant.  In October 2005 the Trust moved all of
its brokerage accounts to Citigroup Global Markets (“CGM”).  The
Manager deposits a percentage of the assets of the Trust in two separate
accounts at CGM, one for the Unleveraged Series and one for the Leveraged
Series.  The amount deposited is determined by the margin requirement
established by the exchanges to hold the positions in the Trust.  The
margin requirements vary, but are generally about 2% of assets for the
Unleveraged Series and 6% of assets for the Leveraged Series.





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





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


17
 Index


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.





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





Market
and Credit Risks





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





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





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


18
 Index


The Trust
incurs various kinds of credit risk in its operations.  In order to
facilitate the trading of the Trust, assets must be placed with both Futures
Commission Merchants and Broker/Dealers.  Management of the Trust
deals only with established registered firms in both capacities, and monitors
their financial condition on an ongoing basis. In addition, if the Trust were to
enter into over-the-counter (“OTC”) transactions, additional counterparty risk
would be incurred.  There were no OTC transactions for the six months
ending June 30, 2008.





Results
of Operations





At June
30, 2008, the Trust had assets of $130,941,298 and liabilities of $921,007
compared with assets of $120,016,936 and liabilities of $2,631,205 at December
31, 2007.  Changes in the net assets of the Trust are the result of
subscriptions and redemptions to the Trust, and the net income (loss) from
operations, including the results from futures trading, interest income, and
fees and expenses.  For the six-month period ended June 30, 2008,
subscriptions to the Trust totaled $9,605,281 and redemptions totaled
$8,082,524.  During the six-month period ended June 30, 2008, the
Trust had a net income of $11,111,803 compared with a net loss of $4,197,868 for
the same period in 2007.  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.





The
Trust’s net income is directly related to the performance of the MLM IndexTM,
which the Trust is designed to replicate.  For the six months ended
June 30, 2008, MLM IndexTM performance was a positive
5.46%.  Performance was a positive 0.87% for the same period ended
June 30, 2007.  The Trust’s performance may be negative in years when
the MLM IndexTM is positive due to the timing of subscriptions and redemptions,
the fees charged and/or the allocation of assets between the Unleveraged and
Leveraged Series of the Trust.  Since inception of the Trust, the
correlation of monthly results between the Unleveraged Series of the Trust and
the MLM IndexTM adjusted for fees is 0.99.  The correlation between the
Leveraged Series of the Trust and the MLM IndexTM adjusted for leverage and fees
is 0.99.





The
components of the return of the MLM IndexTM are the capital gains earned from the
changes in futures market prices and the interest income earned on cash balances
less expenses incurred.  The mechanics and rules of futures markets
allow the Trust to earn interest on approximately 100% of the assets in the
Trust.  The interest income takes two forms:  that paid
directly from the Trust's futures broker on margin deposits held by it, and
excess cash.






Item
      3.
            Quantitative and Qualitative Disclosures About Market
      Risk.





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





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


19
 Index


The VAR
of the Trust is calculated as follows:





1.
            The
      Manager calculates the standard deviation of the historical returns of the
      MLM IndexTM over two time periods, using daily returns over the preceding 1
      year ending at the date of this report, and using monthly returns over the
      preceding 10 years.  Those results for the period ended June 30, 2008
      are 0.31% and 6.26% respectively.  It is important to note that this
      calculation is made on the historical data of the MLM IndexTM.  It is
      not based on the actual trading of the Trust and, accordingly, does not
      include any operational risk.  The standard deviation is used to
      measure the dispersion of the returns of the MLM IndexTM over
      time.





2.
            For
      the purposes of VAR, an attempt is made to estimate the size of a loss
      that may occur with some small probability.  VAR does not estimate
      the possibility of a total loss, only the probability of a loss of some
      magnitude.  The calculation is complicated by the fact that the
      standard deviation of the distribution assumes a normal distribution,
      which may or may not be a good estimate of the actual distribution. 
      For the purposes of this estimate, the Manager has chosen to calculate the
      size of a daily and monthly loss that might occur with a probability of 1%
      (1 chance in 100).  To do this, the standard deviation is multiplied
      by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for
      the possibility of a non-normal distribution.  Using this
      methodology, for daily returns, this estimate is a loss of 1.09%. 
      For monthly returns, the estimate is a loss of
  6.38%.





3.
            To
      ascertain a dollar loss amount for the Trust, the assets of the Trust as
      of June 30, 2008 are multiplied by the estimate of the risk calculated in
      step 2 above.  The risk estimate is based on the Unleveraged MLM
      IndexTM, so Trust assets must be adjusted for the distribution of assets
      among the Unleveraged and Leveraged Series of the Trust, with the
      leveraged assets having three times the risk of the Unleveraged
      assets.  Based on the asset levels as of June 30, 2008, the Manager
      estimates that the Trust could expect to lose approximately $2.5 million
      in any given day and $14.4 million in any given
    month.





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





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





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


20
 Index


Item
      4.
            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 June 30, 2008, 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 June 30, 2008 that has materially affected or is reasonably
likely to materially affect the Trust’s internal control over financial
reporting.





Part II. OTHER INFORMATION





Item
      1.
            Legal Proceedings.





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





Item
      1a.
            Risk Factors.





None.


21
 Index


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





Leveraged
      Series
            
            
            Unleveraged
      SeriesClass
      A
            
            
            Class
      B
            
            
            Class
      C
            
            
            Class
      D
            
            
            Class
      A
            
            
            Class
      B
            
            
            Class
      C
            
            
            Class
      DApr-08
      Subscriptions
            
            $
            99,500
            
            
            $
            37,860
            
            
            $
            0
            
            
            $
            975,000
            
            
            $
            0
            
            
            $
            79,403
            
            
            $
            0
            
            
            $
            25,000Subscriptions
      Units
            
            
            1,153
            
            
            
            387
            
            
            
            0
            
            
            
            9,942
            
            
            
            0
            
            
            
            654
            
            
            
            0
            
            
            
            231#
      of Purchasers
            
            
            2
            
            
            
            4
            
            
            
            0
            
            
            
            9
            
            
            
            0
            
            
            
            4
            
            
            
            0
            
            
            
            1Unit
      Price
            
            $
            86.30
            
            
            $
            97.91
            
            
            $
            79.88
            
            
            $
            98.07
            
            
            $
            110.69
            
            
            $
            121.41
            
            
            $
            106.76
            
            
            $
            108.13May-08
      Subscriptions
            
            $
            93,530
            
            
            $
            1,791
            
            
            $
            0
            
            
            $
            685,000
            
            
            $
            12,935
            
            
            $
            3,284
            
            
            $
            0
            
            
            $
            0Subscriptions
      Units
            
            
            1,062
            
            
            
            18
            
            
            
            0
            
            
            
            6,830
            
            
            
            116
            
            
            
            27
            
            
            
            0
            
            
            
            0#
      of Purchasers
            
            
            1
            
            
            
            1
            
            
            
            0
            
            
            
            8
            
            
            
            1
            
            
            
            1
            
            
            
            0
            
            
            
            0Unit
      Price
            
            $
            88.08
            
            
            $
            100.06
            
            
            $
            81.63
            
            
            $
            100.29
            
            
            $
            111.46
            
            
            $
            122.35
            
            
            $
            107.58
            
            
            $
            109.01Jun-08
      Subscriptions
            
            $
            0
            
            
            $
            34,182
            
            
            $
            0
            
            
            $
            1,680,000
            
            
            $
            0
            
            
            $
            53,638
            
            
            $
            0
            
            
            $
            0Subscriptions
      Units
            
            
            0
            
            
            
            330
            
            
            
            0
            
            
            
            16,172
            
            
            
            0
            
            
            
            433
            
            
            
            0
            
            
            
            0#
      of Purchasers
            
            
            0
            
            
            
            3
            
            
            
            0
            
            
            
            15
            
            
            
            0
            
            
            
            4
            
            
            
            0
            
            
            
            0Unit
      Price
            
            $
            91.06
            
            
            $
            103.57
            
            
            $
            84.50
            
            
            $
            103.88
            
            
            $
            112.73
            
            
            $
            123.84
            
            
            $
            108.89
            
            
            $
            110.38





Item
      3.
            Defaults Upon Senior
Securities.





None.





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





None.





Item
      5.
            Other Information.





None.


22
 Index


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








(a)
      Reports on Form 8-K





16
            Grant
      Thornton LLP was replaced by Eisner LLP as the MLM Index Fund’s
      independent registered public accounting firm on June 6, 2008 as indicated
      by the Form 8-K filed June 10, 2008 (incorporated by
      reference).





20
            Filing
      of 2007 Form 10-K was delayed beyond the April 14, 2008 extension deadline
      for reasons set forth in Form 8-K filed April 15, 2008 (incorporated by
      reference).








(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


23
 Index


SIGNATURES





Pursuant
to the requirements of the Securities Exchange Act of 1934, the registrant has
duly caused this report to be signed on its behalf by the undersigned thereunto
duly authorized.





MLM
INDEXTM FUND





By:   Mount
Lucas Management Corporation


Its:  Manager





By:  /s/ Timothy
J. Rudderow


Timothy
J. Rudderow, President








Date:
August 8, 2008






24