SECURITIES AND EXCHANGE COMMISSION
 WASHINGTON, D.C. 20549
 FORM 10-Q
 
 [X] Quarterly report pursuant to Section 13 or 15(d)of the Securities
 Exchange Act of 1934
 
 
 For the quarterly period ended June 30, 2004,
 
 
 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 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 filing
 requirements for the past 90 days.
 
 Yes X No
 ----- -----
 
 
 -1-
 
   
 
 MLM Index Fund
 Index to FORM 10Q
 June 30, 2004
 
 Contents
 
 PART I - FINANCIAL INFORMATION
 
 Page
 Number
 Item 1 Financial Statements:
 
 Interim Statements of Financial Condition as of June 30,
 2004 (unaudited) and December 31, 2003(audited)     3
 
 Interim Condensed Schedule of Investments as of June 30,
 2004 (unaudited) and December 31, 2003(audited)     4
 
 Unaudited Interim Statements of Operations For the Three
 Months Ended June 30, 2004 and 2003 and for the Six Months
 Ended June 30, 2004 and 2003 5
 
 Unaudited Interim Statement of Changes in Investors Interest
 for the Six Months Ended June 30, 2004 and 2003     6
 
 Notes to Unaudited Interim Financial Statements as of June 30, 2004   8
 
 
 Item 2 Management's Discussion and Analysis of Financial Condition   15
 and Results of Operations
 
 
 Item 3 Quantitative and Qualitative Disclosures of Market Risk   17
 
 Item 4 Controls and Procedures         17
 
 
 
 PART II - OTHER INFORMATION
 
 
 Item 1 Legal Proceedings         18
 
 
 
 Item 2 Changes in Securities and Use of Proceeds     18
 Item 3 Defaults Upon Senior Securities       19
 
 
 
 Item 4 Submission of Matters to a Vote of Security Holders    19
 
 
 
 Item 5 Other Information         19
 Item 6 Exhibits and Reports on Form 8-K       19
 
 2
   
 MLM Index Fund
 INTERIM STATEMENTS OF FINANCIAL CONDITION
 AS OF JUNE 30, 2004 (Unaudited) AND DECEMBER 31, 2003 (Audited)
 
 
 
 June 30, 2004


December 31, 2003AssetsCash and cash equivalents

$
294,729,664

$
254,185,997Due from broker


38,783,717


26,593,584Interest receivable


265,585


33,075Total assets

$
333,778,966

$
280,812,656Liabilities and investors' interestRedemptions payable

$
6,871,604

$
2,478,744Brokerage commissions payable


399,497


303,795Management fee payable


438,967


318,664Accrued expenses


34,051


116,295Total liabilities


7,744,119


3,217,498Investors' interest


326,034,847


277,595,158Total liabilities and investors' interest

$
333,778,966

$
280,812,656
 
 
 
 
 
 See Notes to Financial Statements
 
 
 
 
 3
  
 
 
 
 MLM Index Fund
 INTERIM CONDENSED SCHEDULES OF INVESTMENTS
 
 JUNE 30, 2004 (Unaudited)
 
 UnrealizedNumber of


Appreciation


Percentage ofSecurity Description


Contracts


(Depreciation)


Investors' InterestFuturesLong Futures ContractsFinancial


1,311

$
(45,685)


(0.01)
%Commodity


14,124


(5,444,470)


(1.67)
%(5,490,155)


(1.68)
%Short Futures ContractsFinancial


766

$
(220,281)


(0.07)
%Commodity


4,586


5,902,839


1.81
%5,682,558


1.74
%Net unrealized appreciation onfutures contracts




$
192,403


0.06
%
 
 
 
 
 
 
 DECEMBER 31, 2003 (Audited)
 UnrealizedNumber of


Appreciation


Percentage ofSecurity Description


Contracts


(Depreciation)


Investors' InterestFuturesLong Futures ContractsFinancial


2,041

$
4,805,917


1.73
%Commodity


12,151


17,659,479


6.36
%22,465,396


8.09
%Short Futures ContractsCommodity


4,603


1,429,965


0.52
%Net unrealized appreciation onfutures contracts




$
23,895,361


8.61
% 
 
 
 
 
 
 
 See Notes to Financial Statements
 
 
 
 
 
 4
  MLM Index Fund
 UNAUDITED INTERIM STATEMENTS OF OPERATIONS
 
 
 For the three months ended
June 30,
2004


For the three months ended June 30,
2003


For the six
months ended June 30,
2004


For the six
months ended June 30,
2003Investment incomeInterest

$
821,209

$
612,800

$
1,547,323

$
1,281,910ExpensesBrokerage commissions


1,220,900


802,026


2,254,519


1,604,933Management fee


1,041,975


708,048


1,927,865


1,412,137Operating expenses


565,052


468,774


1,135,161


735,521Total expenses


2,827,927


1,978,848


5,317,545


3,752,591Net investment loss


(2,006,718
)

(1,366,048
)

(3,770,222
)

(2,470,681
)Realized and unrealized gain (loss) oninvestmentsNet realized gain (loss)


(18,626,671
)

(14,229,267
)

22,928,522


13,496,728Net change in unrealized appreciation (depreciation) on investments


(25,665,939
)

6,612,892


(23,683,324
)

(12,391,889
)Net realized and unrealized gain (loss) on investments


(44,292,610
)

(7,616,375
)

(754,802
)

1,104,839Net loss


$(46,299,328
)

$ (8,982,423
)
$
(4,525,024
)
$
(1,365,842
) 
 
 
 
 See Notes to Financial Statements
 
 
 
 
 
 5
 
 
    
 MLM Index Fund
 UNAUDITED INTERIM STATEMENT OF CHANGES IN INVESTORS INTEREST
 FOR THE SIX MONTHS ENDED JUNE 30, 2004
  Leveraged Series
 TotalClass A-1


Class A


Class B-1


Class B


Class C


LeveragedShares


Shares


Shares


Shares


Shares


SeriesInvestors' interest atDecember 31, 2003

$
112,117

$
31,010,253

$
1,678,368

$
110,464,301

$
8,933,897

$
152,198,936Subscriptions


-


8,494,429


-


32,761,202


-


41,255,631Redemptions


-


(2,684,179
)

(4,349
)

(9,042,255
)

(1,000,000
)

(12,730,783
)Transfers


-


(113,625
)

-


2,139,567


-


2,025,942Net (loss) income


(349
)

(830,877
)

7,245


(3,223,610
)

(45,648
)

(4,093,239
)Investors' interest atJune 30, 2004

$
111,768

$
35,876,001

$
1,681,264

$
133,099,205


7,888,249

$
178,656,487Shares at December 31, 2003


1,041.75


326,477.19


14,890.59


1,093,941.49


108,085.69


1,544,436.71Subscriptions


-


81,515.61


-


291,553.07


-


373,068.68Redemptions


-


(25,708.43
)

(35.37
)

(85,433.39
)

(12,160.51
)

(123,337.70
)Transfers


-


(1,204.17
)

-


19,823.81


-


18,619.64Shares at June 30, 2004


1,041.75


381,080.20


14,855.22


1,319,884.98


95,925.18


1,812,787.33Net asset value per share:June 30, 2004

$
107.29

$
94.14

$
113.18

$
100.84

$
82.23 
  
 
 Unleveraged Series
 
 Total


TotalClass A-1


Class A


Class B-1


Class B


Unleveraged ($100 Par Value/Share
)

Investors' InterestShares


Shares


Shares


Shares


SeriesInvestors' interest atDecember 31, 2003

$
652,400

$
17,751,361

$
1,256,307

$
105,736,154

$
125,396,222

$
277,595,158Subscriptions


-


6,807,639


-


23,489,067


30,296,706


71,552,337Redemptions


-


(1,011,039
)

(296
)

(4,845,506
)

(5,856,841
)

(18,587,624
)Transfers


-


(710,764
)

-


(1,315,178
)

(2,025,942
)

-Net (loss) income


885


(152,482
)

8,215


(288,403
)

(431,785
)

(4,525,024
)Investors' interest atJune 30, 2004

$
653,285

$
22,684,715

$
1,264,226

$
122,776,134

$
147,378,360

$
326,034,847Shares at December 31, 2003


5,898.64


166,108.28


10,778.97


942,036.11


1,124,822.00


2,669,258.71Subscriptions


-


62,117.96


-


200,646.80


262,764.76


635,833.44Redemptions


-


(9,257.67
)

(2.46
)

(41,932.17
)

(51,192.30
)

(174,530.00
)Transfers


-


(6,506.69
)

-


(11,389.29
)

(17,895.98
)

723.66Shares at June 30, 2004


5,898.64


212,468.88


10,776.51


1,089,361.45


1,318,498.48


3,131,285.81Net asset value per share:June 30, 2004

$
110.75

$
106.77

$
117.31

$
112.70  
 
 
 See Notes to Financial Statements
 
 
 6
  
 
 MLM Index Fund
 UNAUDITED INTERIM STATEMENT OF CHANGES IN INVESTORS' INTEREST
 FOR THE SIX MONTHS ENDED JUNE 30, 2003
 
 
 Leveraged Series
Unleveraged SeriesClass A-1
Shares
Class A
Shares
Class B-1
Shares
Class B
Shares
Class C
Shares
Total
Leveraged
Series
Class A-1
Shares
Class A
Shares
Class B-1
Shares
Class B
Shares
Total
Unleveraged
Series
Total
Investors Interest
($100 Par
Value/Share)Investors interest at December 31, 2002

$166,740
$27,666,865
$1,820,270
$90,368,012
$6,071,072
$126,092,959
$800,249
$13,253,585
$1,233,316
$62,614,304
$77,901,454
$203,994,413Subscriptions


3,807,499

13,030,130
99,500
16,937,129

3,830,306

12,767,755
16,598,061
33,535,190Redemptions

(58,786)
(1,456,537)
(155,611)
(5,937,476)
-
(7,608,410)
(153,541)
(605,389)
(290)
(7,625,223)
(8,384,443)
(15,992,853)Transfers


(387,657)

653,067
-
265,410

(23,880)

(241,530)
(265,410)
Net (loss) income

2,128
(467,007)
9,902
(831,266)
(56,519)
(1,342,762)
1,836
(90,600)
5,746
59,938
(23,080)
(1,365,842)Investors interest at June 30, 2003

$110,082
$29,163,163
$1,674,561
$97,282,467
$6,114,053
$134,344,326
$648,544
$16,364,022
$1,238,772
$67,575,244
$88,826,582
$220,170,908Shares at December 31, 2002

1,567.81
294,432.67
16,888.48
918,690.21
74,838.99
1,306,418.16
7,275.76
124,491.78
10,783.92
566,291.85
708,843.31
2,015,261.47Subscriptions


39,085.35

126,962.85
1,168.47
167,216.67

35,457.19

113,366.20
148,823.39
316,040.06Redemptions

(526.06)
(15,358.86)
(1,368,81)
(58,290.07)

(75,543.80)
(1,377.12)
(5,622.92)
(2.48)
(67,843.58)
(74,846.10)
(150,389.90)Transfers


(4,053.40)

6,314.14
-
2,260.74

(214.71)

(2,115.64)
(2,330.35)
(69.61)Shares at June 30, 2003

1041.75
314,105.76
15,519,67
993,677.13
76,007.46
1,400,351.77
5,898.64
154,111.34
10,781.44
609,698.83
780,490.25
2,180,842.02Net asset value per share:June 30, 2003

$105.67
$92.85
$107.90
$97.90
$80.44

$109.95
$106.18
$114.90
$110.83 
 
 
 See Notes to Financial Statements
 
 
 
 
 
 
 7
 
 
    
 
 
 MLM Index Fund
 Notes to Unaudited Interim Financial Statements
 as of June 30, 2004
 
 
 1. Significant Accounting Policies
 
 Organization and Basis of Financial Statements
 
 MLM Index Fund (the "Fund") 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 Fund 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 Trading Program, which is based upon the MLM Index. The MLM 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. Only highly-liquid U.S. futures markets are
 currently included in the MLM Index.
 
 The preparation of financial statements in conformity with US generally accepted accounting
 principles requires management to make
 estimates and assumptions that affect the amounts reported in the financial
 statements and accompanying notes. Management believes that the estimates
 utilized in preparing the financial statements are reasonable and prudent;
 however, actual results could differ from those estimates.
 
 Cash and Cash Equivalents
 
 Cash equivalents consist of short term money market investments and deposits
 in money market mutual funds, which are carried at net asset value per share. At June 30, 2004 and December 31, 2003, the
 Fund had approximately $23,805,000 and $82,034,000 , respectively, in overnight
 funds with one major domestic bank and $268,601,859 and $169,598,184 at June
 30, 2004 and December 31, 2003 invested in money market securities,
 respectively.
 
 
 
 8
  
 
 
 MLM Index Fund
 Notes to Financial Statements (continued)
 
 1. Significant Accounting Policies (continued)
 
 
 Due from Broker
 
 The Fund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 June 30, 2004 and December 31, 2003.
 
 Valuation of Trading Positions
 
 The Fund's trading positions are valued at market value, and 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
 trading results for the period.
 
 
 Income Taxes
 
 The Unleveraged Series and the Leveraged Series each will be classified for
 federal income tax purposes as a separate partnership. Interest Holders of a
 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 Series.
 
 2. Investors' Interest
 
 The Fund is comprised of two series: the Unleveraged Series, which attempts to
 replicate the MLM Index without leverage, and the Leveraged Series, which
 trades the MLM Index at three times leverage. Prior to June 2002, each Series
 had four classes of shares: Class A-1, Class A (formerly Class A-2), Class
 B-1, and Class B (formerly Class B-2). In June 2002, an additional class of
 shares, Class C, was offered under the Leveraged Series. Class A-1 and Class
 B-1 Interests are no longer offered. Class A, Class B and Class C Interests
 are sold by authorized selling agents appointed by Mount Lucas Management
 Corporation (the "Manager") to accredited investors at a price equal to such
 Class' net asset value. Interests 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
 Fund and the offered interests. As a result, each investor pays the Manager an
 organizational fee in the amount of 0.5% of their initial investment in any
 Series and any subsequent investment. The organizational fee is not charged
 once an investor has invested $1,000,000 or more.
 
 
 
 
 9
   
 
 MLM Index Fund
 Notes to Financial Statements (continued)
 
 2. Investors' Interest (continued)
 
 The Class A Interests of the Unleveraged and Leveraged Series are subject to a
 sales commission of up to 4% of the subscription amount, payable to the
 selling agent from the investor's investment for each series. The amount of
 the sales commission will be determined by the selling agent.
 
 As of June 30, 2004, the Manager of the Fund had contributed $1,000 to each
 Series of the Fund.
 
 3. Margin Requirements
 
 The Fund had margin requirements of approximately $35,507,416 and $29,980,779
 at June 30, 2004 and December 31, 2003, respectively, which were satisfied by
 net unrealized profits and cash at the brokers.
 
 4. Management Fee, Administrative Services and Other Transactions
 
 Fees and Expenses
 
 Set forth below is a table which sets forth the basic fees that the each of
 the Series and Classes is subject to.
 
 Brokerage


ManagementFeeUnleveraged, Class A-1


.65
%

1.25
%Unleveraged, Class A


.85
%

1.5
%Unleveraged, Class B-1

..65
%
0.25
%Unleveraged, Class B


.85
%

0.5
%Unleveraged, Class C


.85
%

1.0
%Leveraged, Class A-1

1.35
%
1.65
%Leveraged, Class A


1.85
%

2.8
%Leveraged, Class B-1

1.35
%
0.65
%Leveraged, Class B


1.85
%

1.3
%Leveraged, Class C


1.85
%

2.05
% 
 
 
 10
   
 
 
 
 
 11
  <PAGE>
 
 
 
 MLM Index Fund
 Notes to Financial Statements (continued)
 
 5. Derivative Financial Instruments
 
 Derivatives are financial instruments whose values are based upon an
 underlying asset (e.g., treasury bond), index (e.g., S&P 500) or reference
 rate (e.g., LIBOR). Over-the-counter ("OTC") derivative products are privately
 negotiated contractual agreements that can be tailored to meet individual
 client needs, and include forwards, swaps and certain options. Exchange traded
 derivative products are standardized contracts transacted through regulated
 exchanges and include futures, and certain option contracts listed on an
 exchange.
 
 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 Fund's other trading related
 activities.
 
 The Fund purchases and sells futures in financial instruments and commodities.
 The Fund 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 Fund's derivative financial
 instruments.
 
 Fair Value atJune 30, 2004





December 31, 2003Assets


Liabilities


Assets


LiabilitiesCommodity Futures

$
11,233,215

$
10,781,646

$
22,408,591

$
3,319,147Financial Futures


82,475


128,160


4,805,917$
11,315,690

$
10,909,806

$
27,214,508

$
3,319,147 
 
 
 
 12
 
 
    
 MLM Index Fund
 Notes to Financial Statements (continued)
 
 6. Financial Highlights for the six months ended June 30, 2004 and June 30, 2003
 
 Six months ended June 30, 2004
 
 The following represents the per share operating performance ratios to average limited investors' interest and other supplemental
 information for the six months ended June 30, 2004:
 
 Leveraged Series




Unleveraged SeriesClass A-1
Class A
Class B-1
Class B
Class C
Class A-1
Class A
Class B-1
Class BShares
Shares
Shares
Shares
Shares
Shares
Shares
Shares
SharesPer share operatingperformance:Net asset value pershare, December 31, 2003

$107.63
$94.98
$112.71
$100.98
$82.66
$110.60
$106.87
$116.55
$112.24Income from investmentoperations:Net investmentincome (loss)

(1.06)
(0.46)
(0.18)
(0.03)
(0.77)
(0.58)
(0.08)
0.06
0.24Net realized andunrealized gainon investment transactions

0.72
(0.38)
0.64
(0.11)
0.35
0.73
(0.02)
0.70
0.22Total frominvestment operations

(0.34)
(0.84)
0.46
(0.14)
(0.42)
0.15
(0.10)
0.76
0.46Net asset valueper share, June 30, 2004

$107.29
$94.14
$113.17
$100.84
$82.24
$110.75
$106.77
$117.31
$112.70Total Return:

(0.31%)
(0.89%)
0.41%
(0.14%)
(0.51%)
0.14%
(0.09%)
0.65%
0.41%Ratio to AverageNet Assets:Net investmentincome (loss)

(0.47%)
(0.67%)
(0.08%)
(0.27%)
(0.44%)
(0.25%)
(0.33%)
0.06%
0.06%)Expenses

(0.72%)
(0.92%)
(0.33%)
(0.52%)
(0.69%)
(0.50%)
(0.59%)
(0.24%)
(0.32%) 
 Total return is calculated as the change in the net asset value per share for the six months ending June 30, 2004. The per share
 operating performance and ratios are computed based upon the weighted average shares outstanding and weighted average net
 assets, respectively, for each class, for the six months ended June 30, 2004.
 
 
 
  Six months ended June 30, 2003
 
 The following represents the per share operating performance ratios to average limited investors' interest and other supplemental information
 for the six months ended June 30, 2003:
 
 
 Leveraged Series
Unleveraged SeriesClass A-1
Shares
Class A
Shares
Class B-1
Shares
Class B
Shares
Class C
Shares
Class A-1
Shares
Class A
Shares
Class B-1
Shares
Class B
SharesPer share operating performance:Net asset value per share, December 31, 2002

$106.35
$93.97
$107.78
$98.37
$81.12
$109.99
$106.46
$114.37
$110.57Income from investment operations:Net investment income (loss)

(0.80)
(1.12)
(0.02)
(0.40)
(0.65)
(0.44)
(0.56)
0.14
(0.02)Net realized and unrealized gain (loss) on
Investment transactions

0.12
0.00
0.14
(0.07)
(0.03)
0.40
0.28
0.39
0.28Total from investment operations

(0.68)
(1.12)
0.12
(0.47)
(0.68)
(0.04)
(0.28)
0.53
0.26Net asset value per share, June 30, 2003

$105.67
$92.85
$107.90
$97.90
$80.44
$109.95
$106.18
$114.90
$110.83Total Return:

(.64%)
(1.19%)
.11%
(0.47%)
(0.84%)
(0.04%)
(0.26%)
0.47%
0.24%Ratio to Average Net Assets:Net investment income (loss)

(0.06%)
(0.20%)
(0.01%)
(0.07%)
(0.14%)
(0.08%)
(0.11%)
0.00%
(0.02%)Expenses

(0.18%)
(0.29%)
(0.10%)
(0.16%)
(0.23%)
(0.17%)
(0.20%)
(0.09%)
(0.11%) 
 
 Total return is calculated as the change in the net asset value per share for the six months ending June 30, 2003. The per share
 operating performance and ratios are computed based upon the weighted average shares outstanding and weighted average net assets,
 respectively, for each class, for the six months ended June 30, 2003.
 
 
 
 14
 
 
    
 
 
 
 Item 2. Management's Discussion and Analysis of Financial Condition and the
 Results of Operation.
 
 General
 
 MLM Index(TM) Fund is a business trust organized under the laws of Delaware.
 The Fund engages primarily in the speculative trading of a diversified
 portfolio of futures contracts traded on U.S. exchanges using the MLM
 Index(TM) 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 Fund's
 objective is the appreciation of its assets through speculative trading. The
 Fund began trading on January 4, 1999.
 
 The Fund trades speculatively in a wide range of futures contracts
 traded on U.S. exchanges using the MLM Index(TM) Trading Program, which is
 based upon the MLM Index(TM). The MLM Index(TM) and the MLM Index(TM) Trading
 Program are both proprietary products of the Manager. The MLM Index(TM)
 Trading Program attempts to replicate the MLM Index(TM), before fees and
 expenses. Currently the Fund has two series of interests; the Unleveraged
 Series and the Leveraged Series. The Unleveraged Series attempts to replicate
 the MLM Index(TM) without any leverage, while the Leveraged Series trades the
 MLM Index(TM) Trading Program at three times leverage. Leverage is the ability
 to control large dollar amounts of a commodity with a comparatively small
 amount of capital. The Leveraged Series purchases or sells $3 market value of
 contracts for every $1 invested in the Series.
 
 In attempting to replicate the MLM Index(TM), the Manager will invest
 in the same markets as the MLM Index(TM); use the same algorithm to determine
 long versus short positions; make the same allocations to each market; and
 generally execute positions at almost the same time. The success of the
 trading program and hence the success of the Fund will depend upon the results
 of the MLM Index and the manager's ability to replicate those results in the
 futures markets. The success of the MLM Index depends on the existence of
 substantial long term price trends, either up or down, in the constituent
 markets of the MLM Index. Whether the Manager can capture those returns
 depends on its ability to execute the orders in the futures markets to
 replicate the MLM Index results. In addition, the success of the Fund will
 depend on the level of short term interest rates, since the majority of the
 assets of the Fund are held in short term interest rate instruments.
 
 
 Mount Lucas Management Corporation, a Delaware corporation, acts as the
 manager and trading advisor of the Fund. 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 Fund), 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 July 31, 2004, the Manager had
 approximately $1.356 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 Fund 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.
 
 Summary of Critical Accounting Policies
 
 The preparation of financial statements in conformity with US generally accepted accounting
 principles requires management to make
 estimates and assumptions that affect the amounts reported in the financial
 statements and accompanying notes. Management believes that the estimates
 utilized in preparing the financial statements are reasonable and prudent;
 however, actual results could differ from those estimates. The Fund's
 significant accounting policies are described in detail in Note 1 of the Notes
 to Financial Statements in the filing of the Form 10-K.
 
 
 
 
 15
  
 
 The Fund's trading positions are valued at market value, and 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 trading results for the period.
 
 
 Results of Operations
 
 As of 6/30/2004, the Fund had assets of $326,034,801 compared with
 assets of $277,595,155 at 12/31/2003. Liabilities of the Fund totaled
 $7,744,119 compared with $3,217,498 as of 12/31/03. In
 general, changes in the net assets of the Fund are the result of
 subscriptions and redemptions to the Fund, and the net income from
 operations, including the results from futures trading, interest income,
 and fees and expenses. For the six-month period ending 6/30/2004,
 subscriptions to the Fund totaled $71,552,337 and redemptions totaled
 ($18,587,624). During the three-month period ending 6/30/2004, the Fund had
 a net loss of ($46,299,328) compared with a net loss of ($8,982,423) for the
 same period in 2003. During the six months ended 6/30/2004, the Fund had
 net loss of ($4,525,024). In comparison, during the six months ended
 6/30/2003, the Fund had net loss of ($1,365,842). During both periods,
 expenses increased. All expenses of the Fund are based on a percentage of
 net assets, and therefore increase as the net assets of the Fund increase.
 
 The performance of the Fund during the three and six month periods ending 6/30/2004 is directly related to the performance of the MLM Index, which the Fund is designed to replicate. For the six months ending 6/30/2004, the MLM index was up 1.25%, just slightly below the 1.30% return for the Index during the six months ending 6/30/2003. For the three months ending 6/30/2004, the MLM Index performance was substantially below the same period in the 2003, -5.61% vs, -1.23%. MLM Index performance depends on the market sector performance, which varies considerably through time. During the six month period ending 6/30/2004, the Index had positive performance in the energy and livestock markets, negative performance in the Softs markets, which includes coffee, sugar and cotton, and relatively flat performance in other sectors. Rising oil prices drove energy performance and long positions in the MLM Index captured that positive change. Gains in the livestock markets, which includes just one market, live cattle, were driven by rising prices motivated by expanding demand for meat under relatively tight supply. The Grain markets contributed substantial volatility to MLM Index performance, running up in the first quarter and collapsing in the second quarter. Slowing demand for grains in China, as well as improved weather conditions in the US contributed to the second quarter decline. The MLM Index uses a very gradual approach to position changes and will struggle to capture profits in such volatile periods. Performance in the Soft markets has been difficult for some time, as this sector performed poorly in the six months ending 6/30/2003 as well. Coffee in particular has contributed substantial losses to the Fund, as the price has been bouncing around low levels. As stated above, the MLM Index requires long sustained trends to be profitable, and such activity as exhibited in the coffee market will not be profitable. Interest earned on the Funds account edged up marginally with rising short term interest rates. The dollar gains and losses in the Fund will be determined by the results of the MLM Index, the managers ability to replicate the Index, the changes to the Fund and the distribution of the assets of the Fund between the Unleveraged and Leveraged series of the Fund. Distribution of the assets between the series is determined entirely by the investors.
 
 
 Liquidity
 
 The majority of the Fund's assets are held in liquid short term interest
 rate instruments. The Fund takes substantial exposure in futures markets,
 which require relatively small deposits, called margin, to hold the
 positions. In general, the Fund will have about 10% of its assets on
 deposit with brokers as margin, with the balance held in accounts with
 major financial institutions.
 
 Investors in the Fund can redeem their investments at month end, after
 giving 10 days notice to the Manager.
 
 
 
 
 16
  
 Financial Instruments with Off-Balance Sheet Risk
 
 Market risk is the potential change in the value of the instruments traded by
 the Fund due to market changes, including interest and foreign exchange rate
 movements and fluctuations in futures prices. Market risk is directly impacted
 by the volatility and liquidity in the markets in which the related underlying
 assets are traded. The financial instruments traded by the Fund contain
 varying degrees of off-balance sheet risk whereby changes in the market values
 of the futures contracts underlying the financial instruments or the Fund's
 satisfaction of the obligations may exceed the amount recognized in the
 statements of financial condition.
 
 Guarantees
 
 In the normal course of business, the Fund has entered into contracts that
 provide a variety of indemnifications. Such contracts include those with the
 Fund's Administrator, and clearing brokers. Any exposure to the Fund under
 these arrangements would involve future claims that may be made against the
 Fund. The Fund's maximum exposure under these arrangements is unknown. No such
 claims have occurred, nor are they expected to occur and the Fund expects the
 risk of loss to be remote.
 
 
 Item 3 Quantitative and Qualitative Disclosures of Market Risk
 
 The following is a discussion of the quantification of market risk
 for the Fund. 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 Fund is directly related to the
 composition of the MLM Index. The MLM Index consists of [25] liquid US futures
 markets. Each month, the position of the MLM Index can be either long or short
 based on a 12 month 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 as a whole. Since the object of the Fund is
 to replicate the MLM Index, it is reasonable to use the historic values of
 that Index to estimate market risk.
 
 
 
 The VAR of the Fund is calculated as follows:
 
 The manager calculates the standard deviation of the historical returns of the MLM Index 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 6/30/2004 are 0.43% and 1.83% respectively. It is important to note that this calculation is made on the historical data of the Index. It is not based on the actual trading of the Fund and does not include any operational risk. The standard deviation is used to measure the dispersion of the returns of the Index.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 1.51575% . For monthly returns the estimate is 6.45075%To ascertain a dollar loss amount for the fund, the assets of the Fund as of 6/30/2004 are multiplied by the estimate of the risk calculated in step 2 above. The risk estimate is based on the unleveraged MLM Index, so fund assets must be adjusted for the distribution of assets among the unleveraged and leveraged series of the fund, with the leveraged assets having three times the risk of the unleveraged assets. Based on the asset levels as of 6/30/2004, the manager estimates that the Fund could expect to lose $10,373,002 in any given day and $44,145,567 in any given month. 
 The estimate above, though reasonable, should not be taken as an assurance that losses in the Fund could not be greater than these amounts. This is simply a quantitative estimate based on the historical performance of the MLM Index. 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 Fund returns. Specifically, the manager advises other funds in addition to the Fund. 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 Index. It is best to remember the fact that, as outlined in the offering for the Fund, that all the assets invested are at risk of loss.
 
 
 The Manager does not use
 the VAR calculation in its trading operations. The purpose of the Fund is to
 replicate the MLM Index, thus the Manager has a very limited mandate and does
 not adjust trading away from the MLM Index based on the then current market
 environment.
 
 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 June 30, 2004, 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 June 30, 2004 that has
 materially affected or is reasonably likely to materially affect the Trust's
 control over financial reporting.
 
 
 17
  
 
 
 
 
 Part II. OTHER INFORMATION
 
 Item 1. Legal Proceedings.
 
 The Manager is not aware of any proceedings threatened or pending
 against the Fund and its affiliates which, if determined adversely, would have
 a material adverse effect on the financial condition or results of operations
 of the Fund.
 
 Item 2. Changes in Securities and Use of Proceeds.
 
 
 Leveraged Series
 
 Class A-1


Class A


Class B-1


Class B


Class CApr-04 Subscriptions $

$
0

$
2,011,426


0

$
8,689,176

$
0Subscriptions Units


0


19,070


0


77,101


0# of Purchasers


0


19


0


87


0Unit Price




$
105.48




$
112.70May-04 Subscriptions $

$
0

$
1,713,664

$
0

$
3,444,011

$
0Subscriptions Units


0


17,176


0


32,268


0# of Purchasers


0


23


0


67


0Unit Price




$
99.77




$
106.73Jun-04 Subscriptions $


0

$
519,127

$
0

$
2,670,404

$
0Subscriptions Units


0


5,514


0


26 481


0# of Purchasers


0


16


0


60


0Unit Price




$
94.14




$
100.84 
 
 
 
 
 18
  
 
 
 Unleveraged Series
 
 Class A-1


Class A


Class B-1


Class BApr-04 Subscriptions $

$
0

$
1,133,083

$
0

$
3,231,101Subscriptions Units


0


10,210


0


27,630# of Purchasers


0


17


0


40Unit Price




$
110.97




$
116.94May-04 Subscriptions $

$
0

$
1,645,787

$
0

$
4,033,799Subscriptions Units


0


15,115


0


35,126# of Purchasers


0


27


0


64Unit Price




$
108.88




$
114.84Jun-04 Subscriptions $

$
0

$
1,554,025

$
0

$
2,737,827Subscriptions Units


0


14,555


0


24,292# of Purchasers


0


15


0


56Unit Price




$
106.77




$
112.70 
 The purchasers represented they were Accredited Investors under Regulation D.
 
 
 Item 3. Defaults Upon Senior Securities.
 
 None.
 
 Item 4. Submission of Matters to a Vote of Security Holders.
 
 None.
 
 Items 5. Other Information.
 
 None.
 
 Item 6. Exhibits and Reports on Form 8-K.
 
 (a) Exhibits
 
 31.1 Rule 13a-14(a)/15d - 14(a) Certification.
 
 31.2 Rule 13a-14(a)/15d - 14(a) Certification.
 
 32.1 Section 1350 Certification.
 
 32.2 Section 1350 Certification.
 
 (b) Reports on Form 8-K
 
 The Fund did not file any reports on Form 8-K
 during the three months ended 6/30/04
 
 
 
 
 
   
 
 
 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 FUND
 
 By: Mount Lucas Management Corporation
 Its: Manager
 
 By: /s/ Timothy J. Rudderow
 -------------------------------
 Timothy J. Rudderow, President
 
 
 
 
 Date: August 16, 2004
 
 
 
 
 
 
 
 20
 
 
 MLM INDEX FUND
 
 
 CERTIFICATION PURSUANT TO
 SECTION 302 OF
 THE SARBANES-OXLEY ACT OF 2002
 
 
 I, Timothy J. Rudderow certify that:
 
 1) I have reviewed this quarterly report on Form 10-Q of MLM Index Fund;
 
 2) Based on my knowledge, this quarterly report does not contain any untrue
 statement of a material fact or omit to state a material fact necessary
 to make the statements made, in light of the circumstances under which
 such statements were made, not misleading with respect to the period
 covered by this quarterly report;
 
 3) Based on my knowledge, the financial statements, and other financial
 information included in this quarterly report, fairly present in all
 material respects the financial condition, results of operations and cash
 flows of the registrant as of, and for, the periods presented in this
 quarterly report;
 
 4) The registrant's other certifying officer and I are responsible for
 establishing and maintaining disclosure controls and procedures (as
 defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and
 we have:
 
 a) designed such disclosure controls and procedures to ensure that
 material information relating to the registrant, including its
 consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this
 quarterly report is being prepared;
 
 b) evaluated the effectiveness of the registrant's disclosure controls
 and procedures as of a date within 90 days prior to the filing date
 of this quarterly report (the "Evaluation Date") and
 
 c) presented in this quarterly report our conclusions about the
 effectiveness of the disclosure controls and procedures based on our
 evaluation as of the Evaluation Date;
 
 5) The registrant's other certifying officer and I have disclosed, based on
 our most recent evaluation, to the registrant's auditors and the audit
 committee of registrant's board of directors (or persons performing the
 equivalent function);
 
 a) all significant deficiencies in the design or operation of internal
 controls which could adversely affect the registrant's ability to
 record, process, summarize and report financial data and have
 identified for the registrant's auditors any material weaknesses in
 internal controls; and
 
 b) any fraud, whether or not material, that involves management or
 other employees who have a significant role in the registrant's
 internal controls; and
 
 6) The registrant's other certifying officer and I have indicated in this
 quarterly report whether or not there were significant changes in
 internal controls or in other factors that could significantly affect
 internal controls subsequent to the date of our most recent evaluation,
 including any corrective actions with regard to significant deficiencies
 and material weaknesses.
 
 
 
 Date August 16, 2004
 
 
 
 
 /s/ Timothy J. Rudderow
 ------------------------------------
 President
 
 
  <PAGE>
 
 
 
 MLM INDEX FUND
 
 
 CERTIFICATION PURSUANT TO
 SECTION 302 OF
 THE SARBANES-OXLEY ACT OF 2002
 
 
 I, James A. Mehling certify that:
 
 1) I have reviewed this quarterly report on Form 10-Q of MLM Index Fund;
 
 2) Based on my knowledge, this quarterly report does not contain any untrue
 statement of a material fact or omit to state a material fact necessary
 to make the statements made, in light of the circumstances under which
 such statements were made, not misleading with respect to the period
 covered by this quarterly report;
 
 3) Based on my knowledge, the financial statements, and other financial
 information included in this quarterly report, fairly present in all
 material respects the financial condition, results of operations and cash
 flows of the registrant as of, and for, the periods presented in this
 quarterly report;
 
 4) The registrant's other certifying officer and I are responsible for
 establishing and maintaining disclosure controls and procedures (as
 defined in Exchange Act Rules 13a-14 and 15d-14) for the registrant and
 we have:
 
 a) designed such disclosure controls and procedures to ensure that
 material information relating to the registrant, including its
 consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this
 quarterly report is being prepared;
 
 b) evaluated the effectiveness of the registrant's disclosure controls
 and procedures as of a date within 90 days prior to the filing date
 of this quarterly report (the "Evaluation Date") and
 
 c) presented in this quarterly report our conclusions about the
 effectiveness of the disclosure controls and procedures based on our
 evaluation as of the Evaluation Date;
 
 5) The registrant's other certifying officer and I have disclosed, based on
 our most recent evaluation, to the registrant's auditors and the audit
 committee of registrant's board of directors (or persons performing the
 equivalent function);
 
 a) all significant deficiencies in the design or operation of internal
 controls which could adversely affect the registrant's ability to
 record, process, summarize and report financial data and have
 identified for the registrant's auditors any material weaknesses in
 internal controls; and
 
 b) any fraud, whether or not material, that involves management or
 other employees who have a significant role in the registrant's
 internal controls; and
 
 6) The registrant's other certifying officer and I have indicated in this
 quarterly report whether or not there were significant changes in
 internal controls or in other factors that could significantly affect
 internal controls subsequent to the date of our most recent evaluation,
 including any corrective actions with regard to significant deficiencies
 and material weaknesses.
 
 
 
 Date August 16, 2004
 
 
 
 /s/ James A. Mehling
 ------------------------------------------
 Vice President and Chief Operating Officer
 
  Exhibit 32.1
 
 
 Section 906 Certification
 -------------------------
 
 The following statement is provided by the undersigned to accompany
 the Form 10-Q of the MLM Index Fund pursuant to Section 906 of the
 Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).
 
 The undersigned certifies that the foregoing Report on Form 10-Q
 fully complies with the requirements of Section 13(a) of the Securities
 Exchange Act of 1934 (15 U.S.C. 78m) and that the information contained in
 the Form 10-Q fairly presents, in all material respects, the financial
 condition and results of operations of the MLM Index Fund.
 
 
 August 16, 2004
 
 
 /s/ Timothy J. Rudderow
 -------------------------------------------
 President
 Mount Lucas Management Corporation,
 the manager of the MLM Index Fund
 
 
 
 
  Exhibit 32.2
 
 
 Section 906 Certification
 -------------------------
 
 The following statement is provided by the undersigned to accompany
 the Form 10-Q of the MLM Index Fund pursuant to Section 906 of the
 Sarbanes-Oxley Act of 2002 (18 U.S.C. 1350).
 
 The undersigned certifies that the foregoing Report on Form 10-Q
 fully complies with the requirements of Section 13(a) of the Securities
 Exchange Act of 1934 (15 U.S.C. 78m) and that the information contained in
 the Form 10-Q fairly presents, in all material respects, the financial
 condition and results of operations of the MLM Index Fund.
 
 
 August 16, 2004
 
 
 /s/ James A. Mehling
 -------------------------------------------
 Vice President and Chief Operating Officer
 Mount Lucas Management Corporation,
 the manager of the MLM Index Fund