----

----

|   | MLM                INDEXTM FUND                                                                             |   |
|--------|------------------------------------------------------------------------------------------------------------------|--------|
|   | (Exact                name of registrant as specified in its charter)                                            |   |
|   |                                                                                                             |   |
|   |                                                                                                             |   |
|   | DELAWARE                                                                                                         |   |
|   | (State                or other jurisdiction of incorporation or organization)                                    |   |
|   |                                                                                                             |   |
|   |                                                                                                             |   |
|   | 47                Hulfish Street, Suite 510, Princeton, New Jersey                                               |   |
|   | (Address                of principal executive offices)                                                          |   |
|   |                                                                                                             |   |
|   |                                                                                                             |   |
|   | Unleveraged                Series: 22-2897229                                                                    |   |
|   | Leveraged                Series: 22-3722683                                                                      |   |
|   | (IRS                Employer Identification Number)                                                              |   |
|   |                                                                                                             |   |
|   | 08542                                                                                                            |   |
|   | (Zip                Code)                                                                                        |   |
|   |                                                                                                             |   |
|   |                                                                                                             |   |
|   | (609)                924-8868                                                                                    |   |
|   | (Registrant's                telephone number including area code)                                               |   |
|   |                                                                                                             |   |
|   |                                                                                                             |   |
|   | (Former                name, former address and former fiscal year, if changed since last                report) |   |

----

----

----

**MLM      IndexTM Fund**

**Index      to FORM 10Q**

**March      31, 2006**

**PART      I - FINANCIAL INFORMATION**

|  Item                      1     Financial Statements:                                                                                                        | Page                      Number |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------------|
| Statements                      of Financial Condition as of March 31, 2006                      (unaudited) and December 31, 2005 (audited)                                           | 3                                |
|                                                                                                                                                                                   |                             |
| Condensed                      Schedules of Investments as of March 31, 2006                      (unaudited) and December 31, 2005 (audited)                                          | 4                                |
|                                                                                                                                                                                   |                             |
| Unaudited                      Interim Statements of Operations for the three                      months ended March 31, 2006 and 2005                                                | 5                                |
|                                                                                                                                                                                   |                             |
| Unaudited                      Interim Statements of Changes in Investors’                      Interest for the three months ended March 31, 2006 and                      2005 | 6                                |
|                                                                                                                                                                                   |                             |
| Unaudited                      Interim Statements of Cash Flows for the three                      months ended March 31, 2006 and 2005                                                | 8                                |
| Item                      2     Management’s Discussion and Analysis                      of Financial Condition and Results of Operations                        | 15                               |
| Item                      3     Quantitative and Qualitative                      Disclosures of Market Risk                                                       | 18                               |
| Item                      4     Controls and Procedures                                                                                                            | 20                               |
|  **PART                      II - OTHER INFORMATION**                                                                                                                             |                             |
|  Item                      1     Legal                      Proceedings                                                                                       | 20                               |
|  Item                      2     Changes in Securities and Use                      of Proceeds                                                               | 20                               |
|  Item                      3     Defaults Upon Senior                      Securities                                                                         | 20                               |
|  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                                                                        | 21                               |

----

| **Item                1.** | **Financial                Statement** |
|----------------------------|----------------------------------------|

|                                                             |   | **March                  31, 2006** |        | December                  31, 2005 |   |
|------------------------------------------------------------------|--------|-------------------------------------|-------------|------------------------------------|--------|
| **Assets**                                                       |   |                                |        |                               |   |
| Cash                  and cash equivalents                       |   | $                                   | 301,382,894 |                               | $      | 332,619,312 |   |
| Due                  from broker                                 |   |                                | 13,973,246  |                               |   | 17,436,086 |   |
| Interest                  receivable                             |   |                                | 1,134,003   |                               |   | 1,315,230 |   |
| Other                  assets                                    |   |                                | 1,016       |                               |   | 1,016 |   |
| Total                  assets                                    |   | $                                   | 316,491,159 |                               | $      | 351,371,644 |   |
|                                                             |   |                                |        |                               |   |   |   |
| **Liabilities                  and investors’ interest**   |   |                                |        |                               |   |   |   |
| Redemptions                  payable                             |   | $                                   | 8,999,841   |                               | $      | 6,215,572 |   |
| Brokerage                  commissions payable                   |   |                                | 287,077     |                               |   | 315,530 |   |
| Management                  fee payable                          |   |                                | 507,327     |                               |   | 445,018 |   |
| Accrued                  expenses                                |   |                                | -           |                               |   | 270,629 |   |
| Subscriptions                  received in advance               |   |                                | 396,633     |                               |   | - |   |
| Total                  liabilities                               |   |                                | 10,190,878  |                               |   | 7,246,749 |   |
|                                                             |   |                                |             |                               |   |   |   |
| Investors’                  interest                       |   |                                | 306,300,281 |                               |   | 344,124,895 |   |
| Total                  liabilities and investors’ interest |   | $                                   | 316,491,159 |                               | $      | 351,371,644 |   |

*See      Notes to Financial Statements*

----

MLM

| **Security                Description**                         |    | **Number                of Contracts** |   | **Unrealized                Appreciation/ (Depreciation)** |   | **Percentage                of Investors' Interest** |   |
|-----------------------------------------------------------------|--------------|----------------------------------------|--------|------------------------------------------------------------|--------|------------------------------------------------------|--------|
|                                                            |         |                                   |   |                                                       |   |                                                 |   |
| Futures                                                         |         |                                   |   |                                                       |   |                                                 |   |
| Long                Futures Contracts1                          |         |                                   |   |                                                       |   |                                                 |   |
| Financial                                                       |         |                                   | 384    |                                                       |   | ($320,450                                            | )      |   | (0.10 | )% |
| Commodity                                                       |         |                                   | 1,246  |                                                       |   | 2,585,361                                            |   |   | 0.84 | % |
|                                                            |         |                                   | 1,630  |                                                       |   | 2,264,911                                            |   |   | 0.74 | % |
|                                                            |         |                                   |   |                                                       |   |                                                 |   |   |   |   |
| Short                Futures Contracts1                         |         |                                   |   |                                                       |   |                                                 |   |   |   |   |
| Financial                                                       |         |                                   | 1,620  |                                                       | $      | 495,394                                              |   |   | 0.16 | % |
| Commodity                                                       |         |                                   | 5,429  |                                                       |   | (165,406                                             | )      |   | (0.05 | )% |
|                                                            |         |                                   | 7,049  |                                                       |   | 329,988                                              |   |   | 0.11 | % |
|                                                            |         |                                   |   |                                                       |   |                                                 |   |   |   |   |
| Net                unrealized appreciation on futures contracts |         |                                   |   |                                                       | $      | 2,594,899                                            |   |   | 0.85 | % |

| **Security                Description**                         |   | **Number                of Contracts** |   | **Unrealized                Appreciation (Depreciation)** |   | **Percentage                of Investors' Interest** |   |
|-----------------------------------------------------------------|--------|----------------------------------------|--------|-----------------------------------------------------------|--------|------------------------------------------------------|--------|
|                                                            |   |                                   |   |                                                      |   |                                                 |   |
| Futures                                                         |   |                                   |   |                                                      |   |                                                 |   |
| Long                Futures Contracts1                          |   |                                   |   |                                                      |   |                                                 |   |
| Financial                                                       |   |                                   | 1,699  |                                                      | $      | 1,108,076                                            |   |   | 0.32 | % |
| Commodity                                                       |   |                                   | 2,799  |                                                      |   | 7,263,034                                            |   |   | 2.11 |   |
|                                                            |   |                                   | 4498   |                                                      |   | 8,371,110                                            |   |   | 2.43 |   |
|                                                            |   |                                   |   |                                                      |   |                                                 |   |   |   |   |
| Short                Futures Contracts1                         |   |                                   |   |                                                      |   |                                                 |   |   |   |   |
| Financial                                                       |   |                                   | 2,365  |                                                      |   | 2,636,198                                            |   |   | 0.77 |   |
| Commodity                                                       |   |                                   | 2,962  |                                                      |   | (1,235,563                                           | )      |   | (0.36 | ) |
|                                                            |   |                                   | 9,825  |                                                      |   | 1,400,635                                            |   |   | 0.41 |   |
|                                                            |   |                                   |   |                                                      |   |                                                 |   |   |   |   |
| Net                unrealized depreciation on futures contracts |   |                                   |   |                                                      | $      | 9,771,745                                            |   |   | 2.84 | % |

*See      Notes to Financial Statements*

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

----

MLM

|                                                                    |   | **For                  the three months ended March 31, 2006** |       | For                  the three months ended March 31, 2005 |   |
|-------------------------------------------------------------------------|--------|----------------------------------------------------------------|------------|------------------------------------------------------------|--------|
| **Investment                  income**                                  |   |                                                           |       |                                                       |   |
| Interest                                                                |   | $                                                              | 3,632,044  |                                                       | $      | 2,181,088 |   |
|                                                                    |   |                                                           |       |                                                       |   |   |   |
| **Expenses**                                                            |   |                                                           |       |                                                       |   |   |   |
| Brokerage                  commissions                                  |   |                                                           | 907,922    |                                                       |   | 1,060,650 |   |
| Management                  fee                                         |   |                                                           | 910,021    |                                                       |   | 1,052,162 |   |
| Operating                  expenses                                     |   |                                                           | 524,104    |                                                       |   | 573,809 |   |
| Total                  expenses                                         |   | $                                                              | 2,342,047  |                                                       |   | 2,686,621 |   |
|                                                                    |   |                                                           |       |                                                       |   |   |   |
| Net                  investment gain (loss)                             |   |                                                           | 1,289,997  |                                                       |   | (505,533 | ) |
|                                                                    |   |                                                           |       |                                                       |   |   |   |
| **Realized                  and unrealized gain (loss) on Investments** |   |                                                           |       |                                                       |   |   |   |
| Net                  realized gain (loss)                               |   |                                                           | 7,304,488  |                                                       |   | (8,963,329 | ) |
| Net                  change in unrealized appreciation on Investments   |   |                                                           | (7,344,099 | )                                                          |   | 3,858,748 |   |
|                                                                    |   |                                                           |       |                                                       |   |   |   |
| Net                  realized and unrealized gain (loss) on Investments |   |                                                           | (39,611    | )                                                          |   | (5,104,581 | ) |
|                                                                    |   |                                                           |       |                                                       |   |   |   |
| Net                  income (loss)                                      |   | $                                                              | 1,250,386  |                                                       |   | ($5,610,114 | ) |

*See      Notes to Financial Statements*

----

ML

| **Leveraged                  Series**                           |                                | **Unleveraged                  Series** |                                |
|-----------------------------------------------------------------|-------------------------------------|-----------------------------------------|-------------------------------------|
|                                                            | **Class                  A Shares** | **Class                  B Shares**     | **Class                  C Shares** | **Class                  D Shares** | **Total                  Leveraged Series** |   | **Class                  A Shares** | **Class                  B Shares** | **Class                  C Shares** | **Class                  D Shares** | **Total                  Unleveraged Series** | **Total                  Investors’ Interest** |
|                                                            |                                |                                    |                                |   |   |   |   |   |   |   |   |   |
| Investors’                  interest at December 31, 2005 | $32,127,839                         | $103,075,225                            | $8,877,426                          | $24,944,520 | $169,025,010 |   | $20,644,133 | $74,731,650 | $113,199 | $79,610,903 | $175,099,885 | $344,124,895 |
| Subscriptions                                                   | 1,483,134                           | 6,715,080                               |                                | 1,650,000 | 9,848,214 |   | 112,925 | 2,292,720 |   | 1,159,000 | 3,564,645 | 13,412,859 |
| Redemptions                                                     | (1,736,748)                         | (9,847,408)                             | (2,752,137)                         | (11,056,678) | (25,392,971) |   | (2,012,982) | (14,936,311) |   | (10,145,595) | (27,094,888) | (52,487,859) |
| Transfers                                                       |                                | (30,137)                                |                                |   |   |   |   | (976,793) |   | 1,006,930 | 30,137 | 30,137 |
| Net                  loss                                       | (41,525)                            | 240,782                                 | 19,859                              | (83,438) | 135,678 |   | 83,369 | 441,596 | 756 | 588,987 | 1,114,708 | 1,250,386 |
| Investors’                  interest at March 31, 2006    | $31,832,700                         | $100,153,542                            | $6,145,148                          | $15,454,404 | $153,585,794 |   | $18,827,445 | $61,552,862 | $113,955 | $72,220,225 | $152,714,487 | $306,300,281 |
|                                                            |                                |                                    |                                |   |   |   |   |   |   |   |   |   |
| Shares                  at December 31, 2005                    | 337,861.16                          | 989,350.13                              | 104,702.34                          | 243,836.63 | 1,675,750.26 |   | 190,487.09 | 643,509.28 | 1,107.26 | 777,818.44 | 1,612,922.07 | 3,288,672.33 |
| Subscriptions                                                   | 15,717.68                           | 64,541.62                               | -                                   | 16,196.59 | 96,455.89 |   | 1,039.10 | 19,707.51 |   | 11,234.55 | 31,981.16 | 128,437.05 |
| Redemptions                                                     | (18,380.31)                         | (94,934.46)                             | (32,419.78)                         | (109,652.77) | (255,387.32) |   | (18,543.62) | (128,348.70) | - | (98,843.63) | (245,735.95) | (501,123.27) |
| Transfers                                                       | -                                   | -                                       |                                |   | - |   |   | (8,423.64) | - | 9,844.07 | 1,420.43 | 1,420.43 |
| Shares                  at March 31, 2006                       | 335,198.53                          | 958,957.29                              | 72,282.56                           | 150,380.45 | 1,516,818.83 |   | 172,982.57 | 526,444.45 | 1,107.26 | 700,053.43 | 1,400,587.71 | 2,917,406.54 |

| Net                    asset value per share: | $94.97 | $104.44 | $85.02 | $102.77 |        |   | $108.84 | $116.92 | $102.92 | $103.16 |   |   |
|-----------------------------------------------|--------|---------|--------|---------|--------|--------|---------|---------|---------|---------|--------|--------|
| March                    31, 2006             |   |    |   |    |   |   |    |    |    |    |   |   |

*See      Notes to Financial Statements*

----

|                                                            | **Leveraged                  Series** |                                |                                | **Unleveraged                  Series** |                                        |   |
|-----------------------------------------------------------------|---------------------------------------|-------------------------------------|-------------------------------------|-----------------------------------------|---------------------------------------------|--------|
|                                                            | **Class                  A Shares**   | **Class                  B Shares** | **Class                  C Shares** | **Class                  D Shares**     | **Total                  Leveraged Series** |   | **Class                  A Shares** | **Class                  B Shares** | **Class                  C Shares** | **Class                  D Shares** | **Total                  Unleveraged Series** | **Total                  Investors’ Interest** |
|                                                            |                                  |                                |                                |                                    |                                        |   |   |   |   |   |   |   |
| Investors’                  interest at December 31, 2004 | $36,053,534                           | $120,716,973                        | $9,042,749                          | $20,889,960                             | $186,703,216                                |   | $25,454,828 | $81,098,538 | $468,278 | $65,139,985 | $172,161,629 | $358,864,845 |
| Subscriptions                                                   | 1,640,589                             | 9,334,605                           | -                                   | 1,501,754                               | 12,476,948                                  |   | 1,262,089 | 8,396,603 | - | 3,858,000 | 13,516,692 | 25,993,640 |
| Redemptions                                                     | (986,576)                             | (5,171,143)                         | -                                   | (1,990)                                 | (6,159,709)                                 |   | (1,529,866) | (5,273,816) | - | (4,333,836) | (11,137,518) | (17,297,227) |
| Transfers                                                       | 495,353                               | 605,878                             | -                                   | 1,108,693                               | 2,209,924                                   |   | (199,775) | (3,055,797) | - | 1,045,648 | (2,209,924) | - |
| Net                  loss                                       | (983,334)                             | (2,840,024)                         | (203,904)                           | (450,313)                               | (4,477,575)                                 |   | (220,611) | (543,590) | (2,264) | (366,074) | (1,132,539) | (5,610,114) |
| Investors’                  interest at March 31, 2005    | $36,219,566                           | $122,646,289                        | $8,838,845                          | $23,048,104                             | $190,752,804                                |   | $24,766,665 | $80,621,938 | $466,014 | $65,343,723 | $171,198,340 | $361,951,144 |
|                                                            |                                  |                                |                                |                                    |                                        |   |   |   |   |   |   |   |
| Shares                  at December 31, 2004                    | 378,832.53                            | 1,175,292.83                        | 108,672.04                          | 208,899.60                              | 1,871,697.00                                |   | 236,937.09 | 711,557.36 | 4,682.78 | 651,399.85 | 1,604,577.08 | 3,476,274.08 |
| Subscriptions                                                   | 17,275.90                             | 91,523.24                           | -                                   | 15,150.42                               | 123,949.56                                  |   | 11,755.12 | 73,680.54 | - | 38,538.53 | 123,974.19 | 247,923.75 |
| Redemptions                                                     | (10,464.59)                           | (50,608.31)                         | -                                   | (20.00)                                 | (61,092.90)                                 |   | (14,209.48) | (46,367.34) | - | (43,503.21) | (104,080.03) | (165,172.93) |
| Transfers                                                       | 5,283.18                              | 5,733.42                            | -                                   | 11,321.21                               | 22,337.81                                   |   | (1,870.88) | (26,897.81) |   | 10,512.65 | (18,256.04) | 4,081.77 |
| Shares                  at March 31, 2005                       | 390,927.02                            | 1,221,941.18                        | 108,672.04                          | 235,351.23                              | 1,956,891.47                                |   | 232,611.85 | 711,972.75 | 4,682.78 | 656,947.82 | 1,606,215.20 | 3,563,106.67 |

| Net                  asset value per share: |   |    |   |   |   |   |    |    |   |   |   |   |
|---------------------------------------------|--------|---------|--------|--------|--------|--------|---------|---------|--------|--------|--------|--------|
| March                  31, 2005             | $92.65 | $100.37 | $81.34 | $97.93 |   |   | $106.47 | $113.24 | $99.52 | $99.47 |   |   |

*See      Notes to Financial Statements*

----

MLM

|                                                                                                                                                  |   | **For                the three months ended March 31** |            |
|-------------------------------------------------------------------------------------------------------------------------------------------------------|--------|--------------------------------------------------------|-----------------|
|                                                                                                                                                  |   | **2006**                                               |            | 2005 |   |
|                                                                                                                                                  |   |                                                   |            |   |   |
| **Cash                flows from operating activities**                                                                                               |   |                                                   |            |   |   |
| Net                income (loss)                                                                                                                      |   | **$**                                                  | **1,250,386**   |   | $ | (5,610,114 | ) |
| Adjustments                to reconcile net income (loss) to net cash and cash equivalents provided                by (used in) operating activities: |   |                                                   |            |   |   |   |   |
| Unrealized                appreciation (depreciation) on investments                                                                                  |   |                                                   | **(7,344,099**  | **)** |   | (8,963,328 | ) |
| Net                realized gain on investments                                                                                                       |   |                                                   | **7,304,488**   |   |   | 3,858,748 |   |
| Net                change in operating assets and liabilities:                                                                                        |   |                                                   |            |   |   |   |   |
| Due                from broker                                                                                                                        |   |                                                   | **3,502,451**   |   |   | 1,319,222 |   |
| Interest                receivable                                                                                                                    |   |                                                   | **181,227**     |   |   | (522,449 | ) |
| Other                assets                                                                                                                           |   |                                                   | **-**           |   |   | 10 |   |
| Brokerage                commissions payable                                                                                                          |   |                                                   | **(28,453**     | **)** |   | (46,666 | ) |
| Management                fee payable                                                                                                                 |   |                                                   | **62,309**      |   |   | 4,488 |   |
| Accrued                expenses                                                                                                                       |   |                                                   | **126,004**     |   |   | 117,809 |   |
| Net                cash and cash equivalents provided by (used in) operating                activities                                                |   |                                                   | **5,054,313**   |   |   | (9,842,280 | ) |
|                                                                                                                                                  |   |                                                   |                 |   |   |   |   |
| **Cash                flows from financing activities**                                                                                               |   |                                                   |            |   |   |   |   |
| Subscriptions                received, net of selling commissions                                                                                     |   |                                                   | **13,412,859**  |   |   | 25,715,101 |   |
| Redemptions                paid                                                                                                                       |   |                                                   | **(49,703,590** | **)** |   | (14,716,876 | ) |
| Net                cash and cash equivalents provided by financing activities                                                                         |   |                                                   | **(36,290,731** | **)** |   | 10,998,225 |   |
|                                                                                                                                                  |   |                                                   |            |   |   |   |   |
| Net                increase in cash and cash equivalents                                                                                              |   |                                                   | **(31,236,418** | **)** |   | 1,155,945 |   |
| Cash                and cash equivalents at beginning of year                                                                                         |   |                                                   | **332,619,312** |   |   | 347,850,015 |   |
| Cash                and cash equivalents at end of year                                                                                               |   | **$**                                                  | **301,382,894** |   | $ | 349,005,960 |   |

----

| **1.** | **Organization** |
|--------|------------------|

| **2.** | **Significant                Accounting Policies** |
|--------|----------------------------------------------------|

***Basis      of Presentation***

***Cash      and Cash Equivalents***

|                                   |   | **March                31, 2006** |            | **December                31, 2005** |   |
|----------------------------------------|--------|-----------------------------------|-----------------|--------------------------------------|--------|
|                                   |   |                              |            |                                 |   |
| Overnight                money markets |   | **$**                             | **14,634,000**  |                                 | $      | 55,911,000 |   |
| Money                market securities |   | **$**                             | **287,160,111** |                                 |   | 291,735,000 |   |
| Total                                  |   | **$**                             | **301,794111**  |                                 | $      | 347,646,000 |   |

----

| **2.** | **Significant                Accounting Policies                (continued)** |
|--------|-------------------------------------------------------------------------------|

***Due      from Brokers***

***Valuation      of Trading Positions***

***Investment      Transactions and Investment Income***

***Use      of Estimates***

***Income      Taxes***

| **3.** | **Investors’                Interest** |
|--------|----------------------------------------------|

----

| **3.** | **Investors’                Interest (continued)** |
|--------|----------------------------------------------------------|

| **4.** | **Margin                Requirements** |
|--------|----------------------------------------|

** **
** **

| **5.** | **Management                Fee and Other Fees and                Expenses** |
|--------|------------------------------------------------------------------------------|

|                   |   | **Leveraged                Series** |   |
|------------------------|--------|-------------------------------------|--------|
|                   |   | **Brokerage                Fee**    |   | **Management                Fee** |   | **Organizational                Fee** |   | **Operating                Expense** |   | **Selling                Expense** |   | **Total                Fees and Commissions** |   |
| Class                A |   |                                | 1.75   | % |   | 2.80 | % |   | 0.50 | % |   | 0.35 | % |   | 4.00 | % |   | 9.40 | % |
| Class                B |   |                                | 1.75   | % |   | 1.30 | % |   | 0.50 | % |   | 0.35 | % |   | N/A |   |   | 3.90 | % |
| Class                C |   |                                | 0.90   | % |   | 2.05 | % |   | N/A |   |   | 0.35 | % |   | 4.00 | % |   | 7.30 | % |
| Class                D |   |                                | 0.90   | % |   | 1.30 | % |   | N/A |   |   | 0.35 | % |   | N/A |   |   | 2.55 | % |

----

| **5.** | **Management                Fee and Other Fees and Expenses                (continued)** |
|--------|------------------------------------------------------------------------------------------|

|                   |   | **Unleveraged                Series** |   |
|------------------------|--------|---------------------------------------|--------|
|                   |   | **Brokerage                Fee**      |   | **Management                Fee** |   | **Organizational                Fee** |   | **Operating                Expense** |   | **Selling                Expense** |   | **Total                Fees and Commissions** |   |
| Class                A |   |                                  | 0.85   | % |   | 1.50 | % |   | 0.50 | % |   | 0.35 | % |   | 4.00 | % |   | 7.20 | % |
| Class                B |   |                                  | 0.85   | % |   | 0.50 | % |   | 0.50 | % |   | 0.35 | % |   | N/A |   |   | 2.20 | % |
| Class                C |   |                                  | 0.40   | % |   | 1.00 | % |   | N/A |   |   | 0.35 | % |   | 4.00 | % |   | 5.75 | % |
| Class                D |   |                                  | 0.40   | % |   | 0.50 | % |   | N/A |   |   | 0.35 | % |   | N/A |   |   | 1.25 | % |

| **6.** | **Derivative                Financial Instruments** |
|--------|-----------------------------------------------------|

|                             |   | **Fair                Value at**  |          |
|----------------------------------|--------|-----------------------------------|---------------|
|                             |   | **March                31, 2006** |          | December                31, 2005 |   |
|                             |   | **Assets**                        |          | **Liabilities** |   | Assets |   | Liabilities |   |
| Commodity                Futures |   | **$**                             | **3,796,282** |   |   | **($3,954,706** | **)** | $ | 1,108,076 |   | $ | 2,636,198 |   |
|                             |   |                              |          |   |   |   |   |   |   |   |   |   |   |
| Financial                Futures |   |                              | **2,775,166** |   |   | **(672,895** | **)** |   | 7,263,034 |   |   | (1,235,563 | ) |
|                             |   |                              |          |   |   |   |   |   |   |   |   |   |   |
| Total                            |   | **$**                             | **6,571,448** |   |   | **($4,627,601** | **)** | $ | 8,371,110 |   | $ | 1,400,635 |   |

----

| 6. | **Financial                Highlights** |
|----|-----------------------------------------|

|                                                                       |   | Leveraged                Series |   |                          |   | Unleveraged                Series |   |
|----------------------------------------------------------------------------|--------|---------------------------------|--------|-------------------------------|--------|-----------------------------------|--------|
|                                                                       |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |
|                                                                       |   | Class                A Shares   |   | Class                B Shares |   | Class                C Shares     |   | Class                D Shares |   |   |   | Class                A Shares |   | Class                B Shares |   | Class                C Shares |   | Class                D Shares |   |
|                                                                       |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per                share operating performance:                            |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                asset value per share at December 31, 2005              |   | $                               | 95.09  |                          | $      | 104.18                            |   | $ | 84.79 |   | $ | 102.30 |   |   |   |   | $ | 108.38 |   | $ | 116.13 |   | $ | 102.23 |   | $ | 102.35 |   |
| Income                from investment operations:                          |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                investment income (loss)                                |   |                            | 0.26   |                          |   | 0.67                              |   |   | 0.30 |   |   | 0.50 |   |   |   |   |   | 0.66 |   |   | 0.96 |   |   | 0.78 |   |   | 0.86 |   |
| Net                realized and unrealized loss on investment transactions |   |                            | (0.38  | )                             |   | (0.41                             | )      |   | (0.07 | ) |   | (0.04 | ) |   |   |   |   | (0.20 | ) |   | (0.17 | ) |   | (0.10 | ) |   | (0.05 | ) |
| Total                from investment operations                            |   |                            | (0.12  | )                             |   | 0.26                              |   |   | 0.23 |   |   | 0.46 |   |   |   |   |   | 0.46 |   |   | 0.79 |   |   | 0.68 |   |   | 0.81 |   |
| Net                asset value per share at March 31, 2006                 |   | $                               | 94.97  |                          | $      | 104.44                            |   | $ | 85.02 |   | $ | 102.76 |   |   |   |   | $ | 108.84 |   | $ | 116.92 |   | $ | 102.91 |   | $ | 103.16 |   |
|                                                                       |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total                Return:                                               |   |                            | -0.13  | %                             |   | -                0.13             | %      |   | 0.27 | % |   | 0.46 | % |   |   |   |   | 0.43 | % |   | 0.43 | % |   | 0.67 | % |   | 0.79 | % |
|                                                                       |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio                to Average Investors’ Interest:                 |   |                            |   |                          |   |                              |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                investment income (loss)                                |   |                            | 0.27   | %                             |   | 0.64                              | %      |   | 0.40 | % |   | 0.67 | % |   | . |   |   | 0.64 | % |   | 0.64 | % |   | 0.76 | % |   | 0.85 | % |
| Expenses                                                                   |   |                            | -0.86  | %                             |   | -0.49                             | %      |   | -0.75 | % |   | -0.62 | % |   |   |   |   | -0.57 | % |   | -0.32 | % |   | -0.41 | % |   | -0.29 | % |

----

| 6. | Financial                Highlights (continued) |
|----|-------------------------------------------------|

|                                                                         |   | Leveraged                  Series |   |                            |   | Unleveraged                  Series |   |
|------------------------------------------------------------------------------|--------|-----------------------------------|--------|---------------------------------|--------|-------------------------------------|--------|
|                                                                         |   | Class                  A Shares   |   | Class                  B Shares |   | Class                  C Shares     |   | Class                  D Shares |   |   |   | Class                  A Shares |   | Class                  B Shares |   | Class                  C Shares |   | Class                  D Shares |   |
|                                                                         |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per                  share operating performance:                            |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                  asset value per share at December 31, 2004              |   | $                                 | 95.17  |                            | $      | 102.71                              |   | $ | 83.21 |   | $ | 100.00 |   |   |   |   | $ | 107.43 |   | $ | 113.97 |   | $ | 100.00 |   | $ | 100.00 |   |
| Income                  from investment operations:                          |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                  investment income (loss)                                |   |                              | (0.25  | )                               |   | 0.12                                |   |   | (0.06 | ) |   | 0.11 |   |   |   |   |   | 0.06 |   |   | 0.28 |   |   | 0.28 |   |   | 0.40 |   |
| Net                  realized and unrealized loss on investment transactions |   |                              | (2.27  | )                               |   | (2.46                               | )      |   | (1.81 | ) |   | (2.18 | ) |   |   |   |   | (1.02 | ) |   | (1.01 | ) |   | (0.76 | ) |   | (0.93 | ) |
| Total                  from investment operations                            |   |                              | (2.52  | )                               |   | (2.34                               | )      |   | (1.87 | ) |   | (2.07 | ) |   |   |   |   | (0.96 | ) |   | (0.73 | ) |   | (0.48 | ) |   | (0.53 | ) |
| Net                  asset value per share at March 31, 2005                 |   | $                                 | 92.65  |                            | $      | 100.37                              |   | $ | 81.34 |   | $ | 97.93 |   |   |   |   | $ | 106.47 |   | $ | 113.24 |   | $ | 99.52 |   | $ | 99.47 |   |
|                                                                         |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total                  Return:                                               |   |                              | (2.65  | )%                              |   | (2.28                               | )%     |   | (2.25 | )% |   | (2.07 | )% |   |   |   |   | (0.89 | )% |   | (0.65 | )% |   | (0.48 | )% |   | (0.53 | )% |
|                                                                         |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio                  to Average Investors’ Interest:                 |   |                              |   |                            |   |                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net                  investment income (loss)                                |   |                              | (0.26  | )%                              |   | 0.12                                | %      |   | (0.07 | )% |   | 0.11 | % |   |   |   |   | 0.06 | % |   | 0.25 | % |   | 0.28 | % |   | 0.40 | % |
| Expenses                                                                     |   |                              | (0.86  | )%                              |   | (0.48                               | )%     |   | (0.67 | )% |   | (0.48 | )% |   |   |   |   | (0.53 | )% |   | (0.28 | )% |   | (0.41 | )% |   | (0.28 | )% |

----

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

**General**

**Results      of the MLM IndexTM **

----

**Summary      of Critical Accounting Policies**

**Financial      Condition**

**Liquidity**

----

**Market      and Credit Risks**

**Results      of Operations**

----

**Forward      Looking Statements**

***As      to any item or items that could be construed as a forward-looking statement,      or      statements, within this Report, readers are cautioned that past performance      is      not indicative of future results.***

| **Item                3.** | **Quantitative                and Qualitative Disclosures About Market                Risk** |
|----------------------------|----------------------------------------------------------------------------------------------|

----

|   | 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 March 31,                2006 are 0.23%                and 1.86%,                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 does not include any operational                risk.  The standard deviation is used to measure the dispersion of                the returns of the MLM IndexTM. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 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 0.81075%.                 For monthly returns the estimate is loss of 6.5565%. |
|--------|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 3. | To                ascertain a dollar loss amount for the Trust, the assets of the Trust                as                of March 31, 2006 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 March 31, 2006, the manager                estimates that the Trust could expect to lose $5,046,645                in                any given day and $40,149,082                in                any given month.  |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

| **Item                4.** | **Controls                and Procedures** |
|----------------------------|--------------------------------------------|

**Part      II. OTHER INFORMATION**

| **Item                1.** | **Legal                Proceedings** |
|----------------------------|--------------------------------------|

| **Item                2.** | **Changes                in Securities and Use of                Proceeds:** |
|----------------------------|------------------------------------------------------------------------------|

|                                        | Leveraged                      Series | Unleveraged                      Series |
|---------------------------------------------|---------------------------------------|-----------------------------------------|
|                                        |                                  |                                    |   |   |   |   |   |   |
|                                        | Class                      A          | Class                      B            | Class                      C | Class                      D | Class                      A | Class                      B | Class                      C | Class                      D |
| Jan-06                      Subscriptions $ | 386,742                               | 918,245                                 | 0 | 0 | 64,175 | 244,571 | 0 | 0 |
| Subscriptions                      Units    | 4,067                                 | 8,814                                   | 0 | 0 | 5,921 | 2,106 | 0 | 0 |
| #                      of Purchasers        | 5                                     | 21                                      | 0 | 0 | 2 | 7 | 0 | 0 |
| Unit                      Price             | 95.10                                 | 104.18                                  | 84.79 | 102.30 | 108.38 | 116.13 | 102.23 | 102.35 |
|                                        |                                  |                                    |   |   |   |   |   |   |
| Feb-06                      Subscriptions $ | 575,550                               | 2,932,306                               | 0 | 750,000 | 0 | 1,277,442 | 0 | 0 |
| Subscriptions                      Units    | 6,053                                 | 28,114                                  | 0 | 7,318 | 0 | 10,973 | 0 | 0 |
| #                      of Purchasers        | 4                                     | 20                                      | 0 | 3 | 0 | 17 | 0 | 0 |
| Unit                      Price             | 95.08                                 | 104.30                                  | 84.89 | 102.49 | 108.55 | 116.42 | 102.48 | 102.64 |
|                                        |                                  |                                    |   |   |   |   |   |   |
| Mar-06                      Subscriptions $ | 520,843                               | 2,864,529                               | 0 | 900,000 | 48,750 | 919,957 | 0 | 1,159,000 |
| Subscriptions                      Units    | 5,579                                 | 27,938                                  | 0 | 8,927 | 451 | 7,933 | 0 | 11,330 |
| #                      of Purchasers        | 6                                     | 26                                      | 0 | 5 | 1 | 23 | 0 | 2 |
| Unit                      Price             | 93.35                                 | 102.53                                  | 83.46 | 100.82 | 108.05 | 115.97 | 102.09 | 102.29 |

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

----

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

| **Item                5.** | **Other                Information** |
|----------------------------|--------------------------------------|

| **Item                6.** | **Exhibits** |
|----------------------------|--------------|

| 31.1 Certification                of President of the Manager                Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of the Securities                Exchange                Act, as amended.                                            |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                                                                                                  |
| 31.2 Certification                of Chief Operating Officer                of the Manager Pursuant to Rule 13A-14(a) and Rule 15D-14(a), of                the                Securities Exchange Act, as amended.                              |
|                                                                                                                                                                                                                                                  |
| 32.1 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 |

----

|   | MLM                  INDEXTM FUND |
|--------|----------------------------------------|
|   |                                   |   |
|   | By:                                    | Mount                  Lucas Management Corporation |
|   | Its:                                   | Manager |
|   |                                   |   |
|   | By:                                    | /s/                  Timothy J. Rudderow |
|   |                                   | Timothy                  J. Rudderow, President |

----