SECURITIES AND EXCHANGE COMMISSION
                             WASHINGTON, D.C. 20549
                                    FORM 10-Q

      [X] Quarterly reportpursuant to Section 13 or 15(d) of the Securities
                              Exchange Act of 1934


                 For the quarterly period ended March 31, 2005,


                                       or

     [ ] Transition report pursuant to Section 13 or 15(d) of the Securities
                              Exchange Act of 1934

          For the transition period from ____________ to _____________


                         COMMISSION FILE NUMBER 0-49767


                               MLM INDEX(TM) FUND
       -------------------------------------------------------------------
             (Exact name of registrant as specified in its charter)


                                    DELAWARE
        -----------------------------------------------------------------
         (State or other jurisdiction of incorporation or organization)


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


                         Unleveraged Series: 22-2897229
                          Leveraged Series: 22-3722683
        -----------------------------------------------------------------
                      (IRS Employer Identification Number)

                                      08542
        -----------------------------------------------------------------
                                   (Zip Code)


                                 (609) 924-8868
        -----------------------------------------------------------------
               (Registrant's telephone number including area code)

        -----------------------------------------------------------------
             (Former name, former address and former fiscal year, if
                           changed since last report)

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

                               Yes X             No
                               -----             ---



                                       1
<PAGE>



                               MLM Index(TM) Fund
                                Index to FORM 10Q
                                 March 31, 2005



PART I - FINANCIAL INFORMATION
-------------------------------------------------------------------------------
                                                                      Page
Item 1 Financial Statements:                                          Number
-------------------------------------------------------------------------------

Statements of Financial Condition as of March 31, 2005 (unaudited)
and December 31, 2004 (audited)                                          3

-------------------------------------------------------------------------------
Condensed Schedules of Investments as of March 31, 2005 (unaudited)
and December 31, 2004 (audited)                                          4

-------------------------------------------------------------------------------

Unaudited Interim Statements of Operations for the three months
ended March 31, 2005 and 2004                                            5

-------------------------------------------------------------------------------

Unaudited Interim Statements of Changes in Investors' Interest for the
three months ended March 31, 2005 and 2004                               6

-------------------------------------------------------------------------------

Unaudited Interim Statements of Cash Flows for the three months ended
March 31, 2005 and 2004                                                  9

-------------------------------------------------------------------------------
Item 2  Management's Discussion and Analysis of Financial Condition     16
        and Results of Operations

-------------------------------------------------------------------------------
Item 3  Quantitative and Qualitative Disclosures of Market Risk         19

-------------------------------------------------------------------------------
Item 4  Controls and Procedures                                         21

-------------------------------------------------------------------------------
PART II - OTHER INFORMATION

-------------------------------------------------------------------------------
Item 1         Legal Proceedings                                        21

-------------------------------------------------------------------------------
Item 2         Changes in Securities and Use of Proceeds                21

-------------------------------------------------------------------------------
Item 3         Defaults Upon Senior Securities                          21

-------------------------------------------------------------------------------
Item 4        Submission of Matters to a Vote of Security Holders       21

-------------------------------------------------------------------------------
Item 5         Other Information                                        21

-------------------------------------------------------------------------------
Item 6         Exhibits and Reports on Form 8-K                         22

-------------------------------------------------------------------------------




                                       2
<PAGE>



MLM Index(TM) Fund
Interim Statement of Financial Condition
AS OF March 31, 2005 (Unaudited) and December 31, 2004 (Audited)



                                              March 31,      December 31,
                                                 2005            2004
                                          ---------------  ----------------
Assets
Cash and cash equivalents                 $  349,005,960    $  347,850,015
Due from broker                               21,061,170        17,275,811
Prepaid expenses                                 219,720           219,720
Interest receivable                              544,160            21,711
Other assets                                       1,467             1,477
                                          ---------------  ----------------
Total assets                              $  370,832,477    $  365,368,734
                                          ===============  ================

Liabilities and investors' interest
Redemptions payable                            7,286,552    $    4,706,201
Brokerage commissions payable                    355,472           402,138
Management fee payable                           477,946           473,458
Subscriptions received in advance                                  278,500
                                                       -
Accrued expenses                                 761,363           643,592
                                          ---------------  ---------------

Total liabilities                              8,881,333         6,503,889

Investors' interest                          361,951,144       358,864,845
                                          ---------------  ---------------

Total liabilities and investors'          $  370,832,477    $  365,368,734
interest                                  ===============  ================



See Notes to Financial Statements









                                      3
<PAGE>



MLM Index(TM) Fund
Interim Condensed Schedules of Investments
March 31, 2005 (Unaudited)


                                                   Unrealized    Percentage of
                                      Number of   Appreciation/     Investors'
     Security Description             Contracts  (Depreciation)    Interest
     -----------------------------------------------------------------------

     Futures
     Long Futures Contracts1
        Financial                       3,799     $(1,147,931)        (0.32)%
        Commodity                       5,342       6,617,915          1.83
                                                   --------------------------
                                                    5,469,984          1.51

     Short Futures Contracts1
        Financial
                                          592          (9,172)         0.00
        Commodity                       1,780      (3,704,618)        (1.02)
                                                  --------------------------
                                                   (3,713,790)        (1.02)
     Net unrealized appreciation on
        futures contracts                          $1,756,194          0.49%
                                                  ==========================



     December 31, 2004 (Audited)

                                                   Unrealized    Percentage of
                                      Number of   Appreciation/    Investors'
     Security Description             Contracts  (Depreciation)     Interest
     --------------------------------------------------------------------------


     Futures
     Long Futures Contracts1
        Financial                       4,215    $   609,934         0.17%
        Commodity                       4,089     (4,038,780)       (1.13)
                                                ---------------------------
                                                  (3,428,846)       (0.96)

     Short Futures Contracts1
        Commodity                       3,588      1,287,475         0.36
                                                ---------------------------

     Net unrealized depreciation on
        futures contracts                        $(2,141,371)       (0.60)%
                                                ===========================


See Notes to Financial Statements

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




                                       4
<PAGE>




MLM Index(TM) Fund
Unaudited Interim Statements of Operations

                                                 For the three  For the three
                                                  months ended   months ended
                                                     March 31,      March 31,
                                                          2005           2004
                                                 ----------------------------
Investment income
Interest                                            $2,181,088    $   726,115

Expenses
Brokerage commissions                                1,060,650      1,033,619
Management fee                                       1,052,162        885,890
Operating expenses                                     573,809        530,109
                                                 ----------------------------
Total expenses                                       2,686,621      2,449,618

Net investment loss
                                                      (505,533)    (1,723,503)

Realized and unrealized gain (loss) on
   investments
Net realized gain (loss)                            (8,963,329)    41,555,193

Net change in unrealized appreciation on
   investments                                       3,858,748      1,942,615
                                                 ----------------------------
Net realized and unrealized gain (loss) on
   investments
                                                    (5,104,581)    43,497,808
                                                 ----------------------------

Net income (loss)                                 $ (5,610,114)   $41,774,305
                                                 ============================


See Notes to Financial Statements








                                       5
<PAGE>


<TABLE>
<CAPTION>

MLM Index(TM) Fund
Unaudited Interim Statement of Changes in Investors' Interest For the three
months ended March 31, 2005

-------------------------------------------------------------------------------------------------
                                           Leveraged Series
-------------------------------------------------------------------------------------------------
<S>                      <C>            <C>           <C>          <C>            <C>

                         Class A        Class B       Class C      Class D         Total

                         Shares         Shares        Shares       Shares        Leveraged

                                                                                   Series
-------------------------------------------------------------------------------------------------
Investors' at         $36,053,534   $120,716,973   $9,042,749   $20,889,960     $186,703,216
interest
December 31, 2004
-------------------------------------------------------------------------------------------------
Subscriptions           1,640,589      9,334,605            -     1,501,754       12,476,948

-------------------------------------------------------------------------------------------------
Redemptions              (986,576)    (5,171,143)           -        (1,990)      (6,159,709)

-------------------------------------------------------------------------------------------------
Transfers                 495,353        605,878            -     1,108,693        2,209,924

-------------------------------------------------------------------------------------------------
Net loss                 (983,334)    (2,840,024)    (203,904)     (450,313)      (4,477,575)

-------------------------------------------------------------------------------------------------
Investors'            $36,219,566   $122,646,289   $8,838,845   $23,048,104     $190,752,804
interest at March
31, 2005
-------------------------------------------------------------------------------------------------
Shares at              378,832.53   1,175,292.83   108,672.04    208,899.60     1,871,697.00
December 31, 2004

-------------------------------------------------------------------------------------------------
Subscriptions           17,275.90      91,523.24            -     15,150.42       123,949.56

-------------------------------------------------------------------------------------------------
Redemptions            (10,464.59)    (50,608.31)           -        (20.00)      (61,092.90)

-------------------------------------------------------------------------------------------------
Transfers                5,283.18       5,733.42                  11,321.21        22,337.81
                                                            -
-------------------------------------------------------------------------------------------------
Shares at March        390,927.02   1,221,941.18   108,672.04    235,351.23     1,956,891.47
31, 2005
-------------------------------------------------------------------------------------------------
Net asset value per share:

    March 31, 2005         $92.65        $100.37       $81.34        $97.93

See Notes to Financial Statements

</TABLE>

                                     6
<PAGE>

<TABLE>
<CAPTION>

MLM Index(TM) Fund
Unaudited Interim Statement of Changes in Investors' Interest For the three
months ended March 31, 2005

----------------------------------------------------------------------------------------------------------------
                                              Leveraged Series
----------------------------------------------------------------------------------------------------------------
<S>             <C>             <C>              <C>           <C>           <C>                <C>

                        Class A        Class B         Class C       Class D        Total          Total

                         Shares         Shares         Shares        Shares      Unleveraged      Investors'

                                                                                    Series         Interest
----------------------------------------------------------------------------------------------------------------

Investors'             $25,454,828    $81,098,538    $468,278     $65,139,985   $172,161,629    $358,864,845
interest at
December 31, 2004
----------------------------------------------------------------------------------------------------------------
Subscriptions            1,262,089      8,396,603                   3,858,000     13,516,692      25,993,640

----------------------------------------------------------------------------------------------------------------
Redemptions             (1,529,866)    (5,273,816)          -      (4,333,836)   (11,137,518)    (17,297,227)

----------------------------------------------------------------------------------------------------------------
Transfers                 (199,775)    (3,055,797)          -       1,045,648     (2,209,924)              -

----------------------------------------------------------------------------------------------------------------
Net loss                  (220,611)      (543,590)     (2,264)       (366,074)    (1,132,539)     (5,610,114)

----------------------------------------------------------------------------------------------------------------
Investors'             $24,766,665    $80,621,938    $466,014     $65,343,723   $171,198,340    $361,951,144
interest at March
31, 2005
----------------------------------------------------------------------------------------------------------------
Shares at               236,937.09     711,557.36    4,682.78      651,399.85   1,604,577.08    3,476,274.08
December 31, 2004

----------------------------------------------------------------------------------------------------------------
Subscriptions            11,755.12      73,680.54           -       38,538.53     123,974.19      247,923.75

----------------------------------------------------------------------------------------------------------------
Redemptions             (14,209.48)    (46,367.34)          -      (43,503.21)   (104,080.03)    (165,172.93)

----------------------------------------------------------------------------------------------------------------
Transfers                (1,870.88)    (26,897.81)          -       10,512.65     (18,256.04)       4,081.77

----------------------------------------------------------------------------------------------------------------
Shares at March         232,611.85     711,972.75    4,682.78      656,947.82   1,606,215.20    3,563,106.67
31, 2005

----------------------------------------------------------------------------------------------------------------
Net asset value per share:

    March 31, 2005         $106.47        $113.24      $99.52          $99.47

</TABLE>


See Notes to Financial
                                      6-A
<PAGE>




MLM Index(TM) Fund
Unaudited Interim Statement of Changes in Investors' Interest For the three
months ended March 31, 2004

<TABLE>
<CAPTION>

                                                                         Leveraged Series
                              -----------------------------------------------------------------------------------------
                                                                                                          Total
                               Class A-1    Class A         Class B-1      Class B        Class C         Leveraged
                               Shares       Shares          Shares         Shares         Shares          Series
                               ----------------------------------------------------------------------------------------
<S>                           <C>          <C>              <C>           <C>            <C>            <C>

Investors' interest at
 December 31, 2003             $112,116     $31,010,252     $1,678,368    $110,464,300   $8,933,898      $152,198,934
Subscriptions                         -       4,250,213              -      17,957,611            -        22,207,824
Redemptions                           -      (1,217,899)        (2,092)     (3,257,847)           -        (4,477,838)
Transfers                             -         103,647              -         369,473            -           473,120
Net income                       23,475       6,641,338        358,266      24,145,663    1,860,540        33,029,282
                               ----------------------------------------------------------------------------------------
Investors' interest at
 March 31, 2004                $135,591     $40,787,551     $2,034,542    $149,679,200   10,794,438      $203,431,322
                               ========================================================================================

Shares at December 31, 2003    1,041.75      326,477.19      14,890.59    1,093,941.49   108,085.69      1,544,436.71
Subscriptions                         -       39,755.05              -      155,703.21            -        195,458.26
Redemptions                           -      (11,103.37)        (16.52)     (28,358.80)           -        (39,478.69)
Transfers                             -          943.65              -        3,205.57            -          4,149.22
                               ----------------------------------------------------------------------------------------
Shares at March 31, 2004        1041.75      356,072.52      14,874.07    1,224,491.47   108,085.69      1,704,565.50
                               ========================================================================================
Net asset value per share:
 March 31, 2004                  $130.15         $114.55       $136.78         $122.24       $99.87
                               ======================================================================

</TABLE>


                                       7
<PAGE>



<TABLE>
<CAPTION>
                               Unleveraged Series
                               ----------------------------------------------------------------------------------------------------
                                                                                                                     Total
                               Class A-1      Class A        Class B-1         Class B        Unleveraged          Investors'
                               Shares         Shares         Shares            Shares            Series             Interest
                               ----------------------------------------------------------------------------------------------------
<S>                             <C>           <C>              <C>            <C>              <C>                 <C>

Investors' interest at
 December 31, 2003             $ 652,400      $17,751,361     $1,256,307     $105,736,153      $ 125,396,221      $ 277,595,155
Subscriptions                          -        2,474,745              -       13,486,340         15,961,085         38,168,909
Redemptions                            -         (371,097)          (145)      (4,322,138)        (4,693,380)        (9,171,218)
Transfers                              -         (103,647)             -         (369,473)          (473,120)                 -
Net Income                        44,629        1,239,214         89,501        7,371,679          8,745,023         41,774,305
                               ----------------------------------------------------------------------------------------------------
Investors' interest at
 March 31, 2004                $ 697,029      $20,990,576     $1,345,663     $121,902,561      $ 144,935,829      $ 348,367,151
                               ====================================================================================================

Shares at December 31, 2003     5,898.64       166,108.27      10,778.96       942,036.12       1,124,821.99       2,669,258.70
Subscriptions                          -        22,237.28              -       113,598.84         135,836.12         331,294.38
Redemptions                            -        (3,376.44)         (1.20)      (37,373.31)        (40,750.95)        (80,229.64)
Transfers                              -          (921.77)             -        (3,143.94)         (4,065.71)             83.51
                               ----------------------------------------------------------------------------------------------------
Shares at March 31, 2004        5,898.64       184,047.34      10,777.76     1,015,117.71       1,215,841.45       2,920,406.95
                               ====================================================================================================
Net asset value per share:
 March 31, 2004                  $118.17          $114.05        $124.86          $120.09
                               ===========================================================

</TABLE>



See Notes to Financial Statements


                                                                              8
<PAGE>




<TABLE>
<CAPTION>

MLM Index(TM) Fund
Unaudited Interim Statement of Cash Flows


                                                                                        For the three months ended March 31
                                                                                               2005                        2004
                                                                                ---------------------------------------------------
<S>                                                                                          <C>                  <C>

Cash flows from operating activities
Net income (loss)                                                                         $ (5,610,114)              $  41,774,305
Adjustments to reconcile net income (loss) to net cash and cash equivalents
    provided by (used in) operating activities:
         Unrealized appreciation (depreciation) on investments                              (8,963,328)                 41,555,193
         Net realized gain on investments                                                    3,858,748                   1,942,615
    Net change in operating assets and liabilities:
         Due from broker                                                                     1,319,222                 (52,536,397)
         Interest receivable                                                                  (522,449)                   (229,653)
         Other assets                                                                               10                           -
         Brokerage commissions payable                                                         (46,666)                     71,757
         Management fee payable                                                                  4,488                      95,366
         Accrued expenses                                                                      117,809                     251,228
                                                                                ---------------------------------------------------
Net cash and cash equivalents provided by (used in) operating activities                    (9,842,280)                 32,924,414
                                                                                ---------------------------------------------------

Cash flows from financing activities
Subscriptions received, net of selling commissions                                          25,715,101                  38,168,909
Redemptions paid                                                                           (14,716,876)                 (7,190,715)
                                                                                ---------------------------------------------------
Net cash and cash equivalents provided by financing activities                              10,998,225                  30,978,194
                                                                                ---------------------------------------------------

Net increase in cash and cash equivalents                                                    1,155,945                  63,902,608
Cash and cash equivalents at beginning of year                                             347,850,015                 254,185,997
                                                                                ---------------------------------------------------
Cash and cash equivalents at end of year                                                 $ 349,005,960             $   318,088,605
                                                                                ===================================================


See Notes to Financial Statements
</TABLE>


                                                                              9
<PAGE>





                                MLM Index(TM) Fund
                 Notes to Unaudited Interim Financial Statements
                                 March 31, 2005



1. Organization

MLM Index(TM) Fund (the "Trust") was formed under the Business Trust Statute of
the State of Delaware as a business trust in December 1997 and commenced
operations on January 4, 1999. The Trust was organized for the primary purpose
of seeking capital appreciation through the speculative trading of a diversified
portfolio of futures contracts traded on U.S. exchanges using the MLM Index(TM)
Trading Program, which is based upon the MLM Index(TM) (the "Index"). The Index
is a benchmark of the hypothetical returns available to a futures investor. The
Index is comprised of a diverse portfolio of futures markets, including both
financial and tangible markets.

2. Significant Accounting Policies

Basis of Presentation

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

Cash and Cash Equivalents

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

                                     March 31, 2005          December 31, 2004

        Overnight money markets       $   55,911,000            $ 46,281,000
        Money market securities          291,735,000             299,006,000
                                 -------------------------------------------
        Total                           $347,646,000            $345,287,000
                                 ===========================================





                                       10
<PAGE>






                                MLM Index(TM) Fund
           Notes to Unaudited Interim Financial Statements (continued)



2. Significant Accounting Policies (continued)

Due from Brokers

The Trust's trading activities utilize one broker located in the United States.
Due from broker represents cash balances held, unrealized profit or loss on
futures contracts, and amounts receivable or payable for transactions not
settled at March 31,2005 and December 31, 2004.

Valuation of Trading Positions

The Trust's trading positions are valued at market value. Cash equivalents are
carried at amortized cost which approximates fair value. All positions including
the net unrealized appreciation or depreciation are included in amounts due from
broker. 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 change in unrealized appreciation (depreciation) on investments
on the statements of operations.

Investment Transactions and Investment Income

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

Use of Estimates

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

Income Taxes

The Unleveraged Series and the Leveraged Series each will be classified for
federal income tax purposes as separate partnerships. Investors in each Series
will reflect their proportionate share of realized profit or loss on their
separate tax returns. Accordingly, no provisions for income taxes are required
for the Trust.


3. Investors' Interest

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

                                       11

<PAGE>
                                MLM Index(TM) Fund
           Notes to Unaudited Interim Financial Statements (continued)


3. Investors' Interest (continued)

to each Class' net asset value. Shares may be redeemed at net asset value as of
the last day of any month upon at least ten business days written notice to the
Manager.

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

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

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

As of March 31, 2005, the Manager of the Trust had contributed $1,000 to each
Series of the Trust.

4. Margin Requirements

The Trust had margin requirements of approximately $18,856,000 and $19,750,000
at March 31, 2005 and December 31, 2004, respectively, which were satisfied by
net unrealized profits and cash at the broker.



5. Management Fee and Other Fees and Expenses

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

                                                        Leveraged Series
                ---------------------------------------------------------------------------------
                  Brokerage  Management  Organizational  Operating    Selling    Total Fees and
                    Fee          Fee           Fee        Expense      Expense     Commissions
                ---------------------------------------------------------------------------------
<S>                 <C>       <C>          <C>             <C>         <C>           <C>

Class A-1            1.35%     1.65%           N/A          0.35%        N/A          3.35%
Class A              1.75%     2.80%          0.50%         0.35%       4.00%         9.40%
Class B-1            1.35%     0.65%           N/A          0.35%        N/A          2.35%
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%


</TABLE>

                                       12
<PAGE>

                                MLM Index(TM) Fund
           Notes to Unaudited Interim Financial Statements (continued)



5. Management Fee and Other Fees and Expenses (continued)
<TABLE>
<CAPTION>


                                                        Unleveraged Series
                 ---------------------------------------------------------------------------------
                  Brokerage  Management  Organizational  Operating    Selling    Total Fees and
                    Fee          Fee           Fee        Expense      Expense     Commissions
                 ---------------------------------------------------------------------------------
<S>                 <C>          <C>           <C>          <C>         <C>           <C>
Class A-1            0.65%      1.25%           N/A       0.35%          N/A         2.25%
Class A              0.85%      1.50%          0.50%      0.35%         4.00%        7.20%
Class B-1            0.65%      0.25%           N/A       0.35%          N/A         1.25%
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%

</TABLE>

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

6. Derivative Financial Instruments

Derivatives are subject to various risks similar to non-derivative financial
instruments including market, credit, liquidity and operational risk. The risk
of derivatives should not be viewed in isolation but rather should be considered
on an aggregate basis along with the Trust's other trading related activities.

The Trust purchases and sells futures in financial instruments and commodities.
The Trust records its derivative activities on a mark-to-market basis with
realized and unrealized gains (losses) recognized currently in the statements of
operations and in due from brokers on the statements of financial condition.

The following table reflects the fair value of the Trust's derivative financial
instruments.
<TABLE>
<CAPTION>

                                                       Fair Value at
                                   March 31, 2005                        December 31, 2004
                     ---------------------------------------------------------------------------
                           Assets          Liabilities          Assets         Liabilities
                     ---------------------------------------------------------------------------
<S>                       <C>              <C>                  <C>            <C>

Commodity Futures          $10,673,692     $(7,760,395)        $   609,934      $ 1,287,475

Financial Futures            1,798,959      (2,956,062)         (4,038,780)
                                                                                          -
                     ---------------------------------------------------------------------------
  Total                    $12,472,651    $(10,716,457)        $(3,428,846)     $ 1,287,475
                     ===========================================================================


</TABLE>

                                       13
<PAGE>


                               MLM Index(TM) Fund
           Notes to Unaudited Interim Financial Statements (continued)


6.  Financial Highlights

 The following represents the per share operating performance and ratios to
average investors' interest and other supplemental information for the three
months ended March 31, 2005:

<TABLE>
<CAPTION>
                                                               Leveraged Series
                                                              Leveraged Series


                                                Class A    Class B     Class C     Class D

                                                Shares      Shares      Shares     Shares
                                               ---------------------------------------------
<S>                                             <C>         <C>         <C>        <C>

Per share operating performance:
     Net asset value per share at                $95.17     $102.71      $83.21    $100.00
     December 31, 2004
     Income from investment operations:
          Net investment income (loss)            (0.25)       0.12       (0.06)      0.11
          Net realized and unrealized loss        (2.27)      (2.46)      (1.81)     (2.18)
            on investment transactions          ---------- ----------- ----------- ----------
          Total from investment operations        (2.52)      (2.34)      (1.87)     (2.07)
                                               ---------- ----------- ----------- ----------
     Net asset value per share at                $92.65     $100.37      $81.34     $97.93
     March 31, 2005
                                               ========== =========== =========== ==========
Total Return:                                     (2.65)%     (2.28)%     (2.25)%    (2.07)%
                                               ========== =========== =========== ==========
Ratio to Average Investors' Interest:
     Net investment income (loss)                 (0.26)%      0.12%      (0.07)%     0.11%
     Expenses                                     (0.86)%     (0.48)%     (0.67)%    (0.48)%
</TABLE>

Total return is calculated as the change in the net asset value per share for
the three months ended March 31, 2005. The per share operating performance and
ratios are computed based upon the weighted average shares outstanding and
weighted average investors' interest, respectively, for each class, for the
three months ended March 31, 2005.


                                      14A
<PAGE>

<TABLE>
<CAPTION>

                                                 Class A    Class B     Class C     Class D

                                                 Shares      Shares      Shares      Shares
                                               ----------- ----------- ----------- -----------
<S>                                             <C>         <C>         <C>         <C>

Per share operating performance:
     Net asset value per share at  December      $107.43     $113.97     $100.00     $100.00
       31, 2004
     Income from investment operations:
          Net investment income (loss)              0.06        0.28        0.28        0.40
          Net realized and unrealized loss         (1.02)      (1.01)      (0.76)      (0.93)
          on investment transactions          ----------- ----------- ----------- -----------
          Total from investment operations         (0.96)      (0.73)      (0.48)      (0.53)
                                               ----------- ----------- ----------- -----------
     Net asset value per share at                $106.47     $113.24      $99.52      $99.47
     March 31, 2005
                                               =========== =========== =========== ===========
Total Return:                                      (0.89)%     (0.65)%     (0.48)%     (0.53)%
                                               =========== =========== =========== ===========

Ratio to Average Investors' Interest:
     Net investment income (loss)                   0.06%       0.25%       0.28%       0.40%
     Expenses                                      (0.53)%     (0.28)%     (0.41)%     (0.28)%
</TABLE>

Total return is calculated as the change in the net asset value per share for
the three months ended March 31, 2005. The per share operating performance and
ratios are computed based upon the weighted average shares outstanding and
weighted average investors' interest, respectively, for each class, for the
three months ended March 31, 2005.


                                       14B
<PAGE>


                               MLM Index(TM) Fund
           Notes to Unaudited Interim Financial Statements (continued)



6. Financial Highlights (continued)

The following represents the per share operating performance ratios to average
investors' interest and other supplemental information for the three months
ended March 31, 2004:

<TABLE>
<CAPTION>

                                                  Leveraged Series                                 Unleveraged Series
                                                -------------------                             ----------------------
                                Class A-1  Class A   Class B-1   Class B    Class C    Class A-1 Class A    Class B-1   Class B
                                Shares     Shares    Shares      Shares     Shares     Shares    Shares     Shares      Shares
                                ----------------------------------------------------   -------------------------------------------
<S>                             <C>        <C>       <C>         <C>        <C>        <C>       <C>        <C>         <C>

Per share operating
performance:
     Net asset value per
share, December 31, 2004        $107.62     $94.98    $112.71     $100.98    $82.66     $110.60   $106.87    $116.55     $112.24
Income from investment
operations:
     Net investment loss          (0.51)     (0.61)     (0.09)      (0.26)    (0.38)      (0.30)    (0.36)     (0.02)      (0.09)
     Net realized and
unrealized gain
on investment transactions        23.04      20.18      24.16       21.52     17.59        7.86      7.54       8.33        7.94
                                ----------------------------------------------------   -------------------------------------------
     Total from
investment operations             22.53      19.57      24.07       21.26     17.21        7.56      7.18       8.31        7.85
                                ----------------------------------------------------   -------------------------------------------
     Net asset value
per share, March 31, 2004       $130.15    $114.55    $136.78     $122.24    $99.87     $118.16   $114.05    $124.86     $120.09
                                ====================================================   ===========================================

Total Return:                     20.94%     20.60%     21.36%      21.05%    20.83%       6.84%     6.72%      7.12%       6.99%
                                ==================================================================================================
Ratio to Average
Net Assets:
     Net investment loss          (0.45%)    (0.62%)    (0.08%)     (0.24%)   (0.43%)     (0.26%)   (0.33%)    (0.01%)     (0.08%)
     Expenses                     (0.71%)    (0.87%)    (0.33%)     (0.50%)   (0.68%)     (0.51%)   (0.57%)    (0.26%)     (0.32%)

Total return is calculated as the change in the net asset value per share for three months ending March 31, 2004. The per share
operating performance and ratios are computed based upon the weighted average shares outstanding and weighted average investors'
interest, respectively, for each class, for the three months ended March 31, 2004.


</TABLE>



                                                                              15
<PAGE>

24

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

General

         The MLM Index(TM) 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 Index(TM)
Trading Program (the "Trading Program"). Futures contracts are standardized
contracts made on or through a commodity exchange and provide for future
delivery of commodities, precious metals, foreign currencies or financial
instruments and, in the case of certain contracts such as stock index futures
contracts and Eurodollar futures contracts, provide for cash settlement. The
Trust's objective is the appreciation of its assets through speculative trading.
The Trust began trading on January 4, 1999.

         Mount Lucas Management Corporation (the "Manager"), a Delaware
corporation, acts as the manager and trading advisor of the Trust. The Manager
was formed in 1986 to act as an investment manager. As part of a planned merger
in October 1999, the Manager combined operations with Mount Lucas Index
Management Corporation (the former manager of the Trust), CA Partners, Inc. and
Little Brook Corporation of New Jersey. The purpose of the merger was to
streamline and consolidate the operations of the affiliated entities. As of
March 31, 2005, the Manager had approximately $1.606 billion of assets under
advisement. The Manager is a registered investment adviser under the Investment
Advisers Act of 1940 and is a registered commodity trading advisor and commodity
pool operator with the Commodity Futures Trading Commission (the "CFTC") and a
member of the National Futures Association (the "NFA"). The Manager may from
time to time operate other investment vehicles.

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

         The purpose of the Trust is to replicate the results of the MLM
Index(TM), 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 Index(TM) 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 Index(TM). Thus, their role is twofold - to calculate the results of the
MLM Index(TM), and to replicate the results of the MLM Index(TM) for the Trust.
Any changes made to the composition of the MLM Index(TM) by the MLM Index(TM)
Committee of the Manager will effect the trading of the Trust, since the object
of the Trust is to replicate the MLM Index(TM) as published.

Results of the MLM Index(TM)

         The MLM Index(TM) is calculated from the prices of 22 liquid futures
markets. These markets are traded on domestic and foreign exchanges. For each
market, the MLM Index(TM) generally uses the price of 4 different delivery
months each year. For example, in the Japanese Yen futures market, the MLM
Index(TM) uses the March, June, September and December delivery months. On the
day before trading day, the MLM Index(TM) determines whether to hold a long or
short position in each constituent contract based on the calculation methodology
of the MLM Index(TM). 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 Index(TM) return. The
objective of the Trust is to replicate this monthly return.

         Clearly, the volatility of the constituent markets in the MLM Index(TM)
can affect the results of the Trust. The influences on this volatility are
varied and unpredictable. However, since the object of the Trust is to replicate
the MLM Index(TM), 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
Index(TM).


                                       16
<PAGE>

         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 Index(TM) rebalances positions each month, at that time the Manager must
ascertain the asset level and execute orders to achieve the desired allocations.
This is achieved by adding the performance results of the Trust for the month to
the assets at the beginning of the month, and adding additions of capital from
new subscriptions and subtracting redemptions in order to determine the asset
level at the end of the period.

Summary of Critical Accounting Policies

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

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

Financial Condition

         To replicate the results of the MLM Index(TM), the Trust must effect
trades on domestic or foreign futures exchanges. Since the beginning of
operations the Trust has used Refco, LLC ("Refco") as its futures commission
merchant. The Manager deposits a percentage of the assets of the Trust in two
separate accounts at Refco, one for the Unleveraged Series and one for the
Leveraged Series. The amount deposited is determined by the margin requirement
established by the exchanges to hold the positions in the Trust. The margin
requirement varies, but is generally about 4.5% of assets for the Unleveraged
Series and 13.5% of assets for the Leveraged Series.

         The balance of the assets of the Trust is held in two separate
custodial accounts at Investors Bank and Trust (the "Bank"). The Trust has
contracted with Credit Suisse Asset Management (CSAM) to manage the money in
these accounts so as to maximize the interest income which accrues to the Trust,
while maintaining strict credit controls as determined by the Commodities
Exchange Act ("CE Act"). When Refco requires additional assets to maintain the
positions for the Trust, the Bank makes a wire transfer to Refco. If Refco has
surplus assets in the accounts, Refco 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 Index(TM), its
entire asset base participates in the speculative trading of futures contracts.
As such, all the assets of the Trust are at risk. The level of assets will be
determined by the results of the Trust, and the effect of addition of capital
and the redemption of Trust interests. These variables are impossible to predict
with any certainty.


Liquidity

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


                                       17
<PAGE>

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

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

Market and Credit Risks

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

         During the quarter ended March 31, 2005, no one sector was
significantly more profitable than any other sector. The MLM Index(TM) is
designed to capture returns from sustained trends in the constituent futures
markets. When these trends exist in a market or sector, the MLM Index(TM) 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 of
sector is likely to be negative. The lack of any significant trend is generally
an indication of poor results.

         The MLM Index(TM) 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
Index(TM) is designed to represent participation in a diverse basket of future
contracts using a trend-following algorithm. The MLM Index(TM) 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 transactions, additional counterparty risk would be
incurred. There were no OTC transactions during 2004.


                                       18
<PAGE>


Results of Operations

         At March 31, 2005, the Trust had assets of $361,951,144 and liabilities
of $8,881,333 compared with assets of $358,864,845 and liabilities of $6,503,889
at December 31, 2004. In general, changes in the net assets of the Trust are the
result of subscriptions and redemptions to the Trust, and the net income from
operations, including the results from futures trading, interest income, and
fees and expenses. For the three-month period ending March 31, 2005,
subscriptions to the Trust totaled $25,993,640 and redemptions totaled
$(17,297,227). During the three-month period ending March 31, 2005, the Trust
had a net loss of $(5,610,114) compared with a net gain of $41,774,305 for the
same period in 2004. During both periods, expenses increased. Some expenses of
the Trust are based on a percentage of net assets, and therefore increase as the
net assets of the Trust increase.
         .
         The Trust's net income is directly related to the performance of the
MLM Index(TM), which the Trust is designed to replicate. For the three months
ending March 31, 2005, MLM Index(TM) performance was -0.11%, lower than the
+7.27% recorded in the period ending March 31, 2004. Trust performance may be
negative in years when the MLM Index(TM) is positive due to the timing of
subscriptions and redemptions, the fees charged, and the allocation of assets
between the Unleveraged and Leveraged Series of the Trust. Since inception of
the Trust, the correlation of monthly results between the Unleveraged Series of
the Trust and the MLM Index(TM) adjusted for fees is 0.99. The correlation
between the Leveraged Series of the Trust and the MLM Index(TM) adjusted for
leverage and fees is 0.99.

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


Item 3.   Quantitative and Qualitative Disclosures About Market Risk

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

         The market risk, or VAR of the Trust is directly related to the
composition of the MLM Index(TM). Each month, the position of the MLM Index(TM)
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 Index(TM) as a
whole. Since the object of the Trust is to replicate the MLM Index(TM), it is
reasonable to use the historic values of that Index to estimate market risk.

         The VAR of the Fund is calculated as follows:

     1.   The manager calculates the standard deviation of the historical
          returns of the MLM Index(TM) 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 March 31, 2005 are 0.49% and 1.86%,
          respectively. It is important to note that this calculation is made
          on the historical data of the MLM Index(TM). It is not based on the
          actual trading of the Trust and does not include any operational
          risk. The standard deviation is used to measure the dispersion of
          the returns of the MLM Index(TM).


                                      19
<PAGE>


     2.   For the purposes of VAR, one attempts to estimate the size of a loss
          that may occur with some small probability. It does not estimate the
          possibility of some total loss, only the probability of a loss of
          some magnitude. The calculation is complicated by the fact that the
          standard deviation of the distribution assumes a normal
          distribution, which may or may not be a good estimate of the actual
          distribution. For the purposes of this estimate, the Manager has
          chosen to calculate the size of a daily and monthly loss that might
          occur with a probability of 1% (1 chance in 100). To do this, the
          standard deviation is multiplied by 2.35 to the standard 99%
          confidence interval, and by 1.5 to adjust for the possibility of a
          non-normal distribution. For daily returns, this estimate is a loss
          of 1.974%. For monthly returns the estimate is loss of 6.52125%.

     3.   To ascertain a dollar loss amount for the Trust, the assets of the
          Trust as of March 31, 2005 are multiplied by the estimate of the
          risk calculated in step 2 above. The risk estimate is based on the
          Unleveraged MLM Index(TM), 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 March 31,
          2005, the manager estimates that the Trust could expect to lose
          $12,841,353 in any given day and $48,671,199 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
Index(TM). The loss that occurs with small probability may be substantially
greater than the loss indicted above. Also, market conditions could change
dramatically from the conditions that prevailed over the period used to
calculate the estimate, affecting the realized volatility of the market.
Furthermore, other factors could effect trading, such as the inability to
execute orders in a particular market, due to operational or regulatory
restrictions that may alter the pattern of the Trust's returns. Specifically,
the Manager advises other funds in addition to the Trust. In certain markets
there is a limit to the size 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 Index(TM). It is best to remember the fact that,
as outlined in the offering for the Trust, that all the assets invested are at
risk of loss.

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

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


                                      20
<PAGE>

Item 4.  Controls and Procedures

         The President and the Chief Operating Officer of the Manager evaluated
the effectiveness of the design and operation of the Trust's disclosure controls
and procedures, which are designed to ensure that the Trust's records,
processes, summarizes and reports in a timely and effective manner the
information required to be disclosed in the reports filed with or submitted to
the Securities and Exchange Commission. Based upon this evaluation, they
concluded that, as of March 31, 2005, the Trust's disclosure controls are
effective. There have been no significant changes in the Trust's internal
control over financial reporting in the quarter ended March 31, 2005 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 2.  Changes in Securities and Use of Proceeds:


<TABLE>
<CAPTION>

                                             Leveraged Series

------------------------- --------------- -------------- ----------- -----------
                             Class A         Class B      Class C      Class D
------------------------- --------------- -------------- ----------- -----------
<S>                         <C>            <C>            <C>           <C>

Jan-04 Subscriptions     $   834,900    $ 3,224,132    $      -    $        -
-------------------------------------------------------------------------------
   Subscriptions Units         8,665         30,967           -             -
--------------------- --------------- -------------- ----------- -------------
   # of Purchasers                14             65           -             -
-------------------------------------------------------------------------------
   Unit Price            $     96.35    $    104.11    $  84.65    $   101.37
-------------------------------------------------------------------------------

Feb-04 Subscriptions     $   567,146    $ 2,548,882    $      -    $1,501,754
-------------------------------------------------------------------------------
   Subscriptions Units         6,036         25,071           -        15,150
-------------------------------------------------------------------------------
   # of Purchasers                 9             49           -             2
-------------------------------------------------------------------------------
   Unit Price            $     93.96    $    101.66    $  82.67    $    99.12
-------------------------------------------------------------------------------
Mar-04 Subscriptions     $   238,543    $ 3,561,591    $      -    $        -
-------------------------------------------------------------------------------
   Subscriptions Units         2,575         35,485           -             -
-------------------------------------------------------------------------------
   # of Purchasers                 7             37           -             -
-------------------------------------------------------------------------------
   Unit Price            $     92.65    $    100.37    $  81.62    $    97.93
-------------------------------------------------------------------------------
</TABLE>



                                      21A
<PAGE>


<TABLE>
<CAPTION>

                                           Unleveraged Series

------------------------- ------------- ------------ ------------ -------------
                            Class A       Class B      Class C      Class D
------------------------- ------------- ------------ ------------ -------------
<S>                         <C>          <C>          <C>           <C>

Jan-04 Subscriptions      $  749,349    $ 3,985,413    $       -   $ 1,858,000
-------------------------------------------------------------------------------
   Subscriptions Units         6,948         34,803            -        18,492
-------------------------------------------------------------------------------
   # of Purchasers                11             52            -             1
-------------------------------------------------------------------------------
   Unit Price             $   107.85    $    114.51    $  100.50   $    100.47
-------------------------------------------------------------------------------
Feb-04 Subscriptions      $  214,703    $ 2,574,016    $       -   $ 2,000,000
-------------------------------------------------------------------------------
   Subscriptions Units    $    2,008         22,653            -        20,046
-------------------------------------------------------------------------------
   # of Purchasers                 8             38            -             1
-------------------------------------------------------------------------------
   Unit Price             $   106.93    $    113.63    $   99.82   $     99.77
-------------------------------------------------------------------------------
Mar-04 Subscriptions      $  298,037    $ 1,837,173    $       -   $         -
-------------------------------------------------------------------------------
   Subscriptions Units    $    2,799         16,224            -             -
-------------------------------------------------------------------------------
   # of Purchasers                 8             39            -             -
-------------------------------------------------------------------------------
   Unit Price             $   106.47    $    113.24    $   99.52   $     99.47
-------------------------------------------------------------------------------
</TABLE>


         Item 3.  Defaults Upon Senior Securities.

                  None.

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

                  None.

         Item 5. Other Information.

                  None.

                                      21B
<PAGE>



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

                  (a)  Exhibits

                  3.7  Amendment No. 5 to the Amended and Restated Declaration
                       of Trust and Trust Agreement of MLM Index(TM) Fund

                  14.1 Code of Ethics

                  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

                  (b) Reports on Form 8-K

         The Trust did not file any reports on Form 8-K during the three months
ended March 31, 2005.







                                      22
<PAGE>





                                  SIGNATURES

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

         MLM INDEX(TM) FUND

         By:   Mount Lucas Management Corporation
         Its:  Manager

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




Date: May 16, 2005


                                      23