----

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

| DELAWARE                                                       |   | MLM IndexTM  Unleveraged Series: 22-2897229  |
|----------------------------------------------------------------|--------|--------------------------------------------------------|
|                                                           |   | MLM IndexTM  Leveraged Series: 22-3722683    |
|                                                           |   | MLM Commodity L/S Index Unleveraged Series: 20-8806944 |
|                                                           |   | MLM Commodity L/N Index Unleveraged Series: 27-1198002 |
| (State or other jurisdiction of incorporation or organization) |   | (IRS Employer Identification Number)                   |

| 405 South State Street, Newtown, PA                                                |
|------------------------------------------------------------------------------------|
| (Address of principal executive offices)                                           |
|                                                                               |
|                                                                               |
| 18940                                                                              |
| (Zip Code)                                                                         |
|                                                                               |
|                                                                               |
| (267) 759-3500                                                                     |
| (Registrant's telephone number including area code)                                |
|  N/A                                                                          |
| (Former name, former address and former fiscal year, if changed since last report) |

----

----

----

----

MLM

| PART I – FINANCIAL INFORMATION       |   |
|--------------------------------------------|--------|
|                                       |   |   |   |
| Item 1                                     |   | Financial Statements: | PageNumber |
| MLM IndexTM Unleveraged Series             | 4-10   |
| MLM IndexTM Leveraged Series               | 11-17  |
| MLM Commodity L/N Index Unleveraged Series | 18-24  |
| MLM Commodity L/S Index Unleveraged Series | 25-31  |
| Total Trust                                | 32-38  |
| Notes to Condensed Financial Statements    | 39-47  |
| Item 2                                     |   | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 48-53 |
| Item 3                                     |   | Quantitative and Qualitative Disclosures of Market Risk | 53-55 |
| Item 4                                     |   | Controls and Procedures | 55-56 |
|                                       |   |   |   |
| PART II – OTHER INFORMATION          |   |
| Item 1                                     |   | Legal Proceedings | 57 |
| Item 1A                                    |   | Risk Factors | 57 |
| Item 2                                     |   | Unregistered Sales of Equity Securities and Use of Proceeds | 57 |
| Item 3                                     |   | Defaults Upon Senior Securities | 57 |
| Item 4                                     |   | Removed and Reserved | 57 |
| Item 5                                     |   | Other Information | 57 |
| Item 6                                     |   | Exhibits | 58 |

----

Index

| Item 1. | Financial Statements. |
|---------|-----------------------|

M

| ASSETS                                                       |   | March 31,2011 |       |   | December 31,2010 |   |
|--------------------------------------------------------------|--------|---------------|------------|--------|------------------|--------|
|                                                         |   |          |       |   |             |   |
| Cash and cash equivalents                                    |   | $             | 33,645,230 |   |             | $      | 45,401,720 |   |
| Due from broker                                              |   |          | 4,985,376  |   |             |   | 4,045,381 |   |
| Net unrealized gain on open futures contracts, at fair value |   |          | 379,753    |   |             |   | 1,516,918 |   |
| Interest receivable                                          |   |          | 108        |   |             |   | - |   |
| Other assets                                                 |   |          | -          |   |             |   | 440 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total assets                                                 |   | $             | 39,010,467 |   |             | $      | 50,964,459 |   |
|                                                         |   |          |       |   |             |   |   |   |
| LIABILITIES AND INVESTORS’ INTEREST                    |   |          |       |   |             |   |   |   |
|                                                         |   |          |       |   |             |   |   |   |
| Liabilities                                                  |   |          |       |   |             |   |   |   |
| Redemptions payable                                          |   | $             | 310,471    |   |             | $      | 428,614 |   |
| Brokerage commissions payable                                |   |          | 15,629     |   |             |   | 19,861 |   |
| Management fee payable                                       |   |          | 18,993     |   |             |   | 23,873 |   |
| Subscriptions received in advance                            |   |          | 1,396,162  |   |             |   | 11,622 |   |
| Accrued expenses                                             |   |          | 15,665     |   |             |   | 21,900 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities                                            |   |          | 1,756,920  |   |             |   | 505,870 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Investors’ interest                                    |   |          | 37,253,547 |   |             |   | 50,458,589 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities and investors’ interest              |   | $             | 39,010,467 |   |             | $      | 50,964,459 |   |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |     | Percentage of investors’interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|----------|----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |     |                                   |   |
| Futures*                                                     |   |                |   |   |                   |   |     |                                   |   |
|                                                         |   |                |   |   |                   |   |     |                                   |   |
| Long futures contracts                                       |   |                |   |   |                   |   |     |                                   |   |
| Financial                                                    |   |                | 177    |   |                   | $      | 225,823  |                                   |   |   | 0.61 | % |
| Commodity                                                    |   |                | 123    |   |                   |   | 267,490  |                                   |   |   | 0.72 |   |
|                                                         |   |                | 300    |   |                   |   | 493,313  |                                   |   |   | 1.33 |   |
|                                                         |   |                |   |   |                   |   |     |                                   |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |     |                                   |   |   |   |   |
| Financial                                                    |   |                | 19     |   |                   |   | 9,415    |                                   |   |   | 0.03 |   |
| Commodity                                                    |   |                | 44     |   |                   |   | (122,975 | )                                      |   |   | (0.33 | ) |
|                                                         |   |                | 63     |   |                   |   | (113,560 | )                                      |   |   | (0.30 | ) |
|                                                         |   |                |   |   |                   |   |     |                                   |   |   |   |   |
|                                                         |   |                |   |   |                   |   |     |                                   |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 379,753  |                                   |   |   | 1.03 | % |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                   |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                   |   |
|                                                         |   |                |   |   |                   |   |      |                                   |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                   |   |
| Financial                                                    |   |                | 224    |   |                   | $      | 283,890   |                                   |   |   | 0.56 | % |
| Commodity                                                    |   |                | 252    |   |                   |   | 1,545,069 |                                   |   |   | 3.06 |   |
|                                                         |   |                | 476    |   |                   |   | 1,828,929 |                                   |   |   | 3.62 |   |
|                                                         |   |                |   |   |                   |   |      |                                   |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |      |                                   |   |   |   |   |
| Financial                                                    |   |                | 99     |   |                   |   | (188,711  | )                                      |   |   | (0.37 | ) |
| Commodity                                                    |   |                | 35     |   |                   |   | (123,330  | )                                      |   |   | (0.24 | ) |
|                                                         |   |                | 134    |   |                   |   | (311,971  | )                                      |   |   | (0.61 | ) |
|                                                         |   |                |   |   |                   |   |      |                                   |   |   |   |   |
|                                                         |   |                |   |   |                   |   |      |                                   |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 1,516,918 |                                   |   |   | 3.01 | % |

----

Index

|                                                                  |   | March 31,2011 |       |   | March 31,2010 |   |
|-----------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
| Investment income                                                     |   |          |       |   |          |   |
| Interest                                                              |   | $             | 14,081     |   |          | $      | 7,608 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Expenses                                                              |   |          |       |   |          |   |   |   |
| Brokerage commissions                                                 |   |          | 65,794     |   |          |   | 61,519 |   |
| Management fee                                                        |   |          | 77,873     |   |          |   | 69,189 |   |
| Operating expenses                                                    |   |          | 60,872     |   |          |   | 66,645 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Total expenses                                                        |   |          | 204,539    |   |          |   | 197,353 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net investment loss                                                   |   |          | (190,458   | )      |          |   | (189,745 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Realized and unrealized gain (loss) on investments                    |   |          |       |   |          |   |   |   |
| Net realized gain (loss) on investments                               |   |          | 941,700    |   |          |   | (790,488 | ) |
| Net change in unrealized appreciation and depreciation on investments |   |          | (1,134,499 | )      |          |   | 1,214,470 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net realized and unrealized (loss) gain on investments                |   |          | (192,799   | )      |          |   | 423,982 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net (loss) income                                                     |   | $             | (383,257   | )      |          | $      | 234,237 |   |

----

Index

|                                           |   | Unleveraged Series |      |
|------------------------------------------------|--------|--------------------|-----------|
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | Class AShares      |      |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalUnleveragedSeries |   |
| Investors’ interest at December 31, 2010 |   | $                  | 3,830,270 |   |   | $ | 6,168,071 |   |   | $ | 1,281 |   |   | $ | 40,458,967 |   |   | $ | 50,458,589 |   |
| Subscriptions                                  |   |               | -         |   |   |   | 26,500 |   |   |   | - |   |   |   | 12,750,000 |   |   |   | 12,776,500 |   |
| Redemptions                                    |   |               | (53,108   | ) |   |   | (429,246 | ) |   |   | - |   |   |   | (92,500 | ) |   |   | (574,854 | ) |
| Transfers                                      |   |               | -         |   |   |   | (3,608 | ) |   |   | - |   |   |   | (25,019,823 | ) |   |   | (25,023,431 | ) |
| Net loss                                       |   |               | (50,336   | ) |   |   | (63,369 | ) |   |   | (14 | ) |   |   | (269,538 | ) |   |   | (383,257 | ) |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2011    |   | $                  | 3,726,826 |   |   | $ | 5,698,348 |   |   | $ | 1,267 |   |   | $ | 27,827,106 |   |   | $ | 37,253,547 |   |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2010                    |   |               | 33,625    |   |   |   | 48,074 |   |   |   | 11 |   |   |   | 349,853 |   |   |   |   |   |
| Subscriptions                                  |   |               | -         |   |   |   | 206 |   |   |   | - |   |   |   | 110,251 |   |   |   |   |   |
| Redemptions                                    |   |               | (472      | ) |   |   | (3,361 | ) |   |   | - |   |   |   | (804 | ) |   |   |   |   |
| Transfers                                      |   |               | -         |   |   |   | (28 | ) |   |   | - |   |   |   | (216,358 | ) |   |   |   |   |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2011                       |   |               | 33,153    |   |   |   | 44,891 |   |   |   | 11 |   |   |   | 242,942 |   |   |   |   |   |
| Net asset value per share:                     |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| March 31, 2011                                 |   | $                  | 112.41    |   |   | $ | 126.94 |   |   | $ | 111.46 |   |   | $ | 114.54 |   |   |   |   |   |

----

Index

|                                           |   |          |      |
|------------------------------------------------|--------|---------------|-----------|
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | Class AShares |      |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalUnleveragedSeries |   |
| Investors’ interest at December 31, 2009 |   | $             | 4,636,414 |   |   | $ | 9,124,592 |   |   | $ | 1,262 |   |   | $ | 32,673,423 |   |   | $ | 46,435,691 |   |
| Subscriptions                                  |   |          | -         |   |   |   | 198,493 |   |   |   | - |   |   |   | 1,000,000 |   |   |   | 1,198,493 |   |
| Redemptions                                    |   |          | (111,862  | ) |   |   | (223,158 | ) |   |   | - |   |   |   | (6,110,643 | ) |   |   | (6,445,663 | ) |
| Transfers                                      |   |          | 5,000     |   |   |   | 4,650 |   |   |   | - |   |   |   | 157,943 |   |   |   | 167,593 |   |
| Net income                                     |   |          | 9,029     |   |   |   | 40,853 |   |   |   | 6 |   |   |   | 184,349 |   |   |   | 234,237 |   |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2010    |   | $             | 4,538,581 |   |   | $ | 9,145,430 |   |   | $ | 1,268 |   |   | $ | 27,905,072 |   |   | $ | 41,590,351 |   |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2009                    |   |          | 40,930    |   |   |   | 72,234 |   |   |   | 11 |   |   |   | 288,259 |   |   |   |   |   |
| Subscriptions                                  |   |          | -         |   |   |   | 1,573 |   |   |   | - |   |   |   | 8,773 |   |   |   |   |   |
| Redemptions                                    |   |          | 44        |   |   |   | 37 |   |   |   | - |   |   |   | 1,401 |   |   |   |   |   |
| Transfers                                      |   |          | (989      | ) |   |   | (1,772 | ) |   |   | - |   |   |   | (53,629 | ) |   |   |   |   |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2010                       |   |          | 39,985    |   |   |   | 72,073 |   |   |   | 11 |   |   |   | 244,805 |   |   |   |   |   |
| Net asset value per share:                     |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| March 31, 2010                                 |   | $             | 113.51    |   |   | $ | 126.89 |   |   | $ | 111.47 |   |   | $ | 113.99 |   |   |   |   |   |

----

Index

|                                                                                                     |   | March 31,2011 |        |   | March 31,2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|---------------|-------------|--------|---------------|--------|
|                                                                                                     |   |          |        |   |          |   |
| Cash flows from operating activities                                                                     |   |          |        |   |          |   |
| Net (loss) income                                                                                        |   | $             | (383,257    | )      |          | $      | 234,237 |   |
| Adjustments to reconcile net (loss) income to net cash and cash equivalents used in operating activities |   |          |        |   |          |   |   |   |
| Net change in operating assets and liabilities                                                           |   |          |        |   |          |   |   |   |
| Due from broker                                                                                          |   |          | (939,995    | )      |          |   | 757,949 |   |
| Net unrealized gain on open futures contracts                                                            |   |          | 1,137,165   |   |          |   | (1,217,836 | ) |
| Interest receivable                                                                                      |   |          | (108        | )      |          |   | 3,641 |   |
| Other assets                                                                                             |   |          | 440         |   |          |   | (5,000 | ) |
| Brokerage commissions payable                                                                            |   |          | (4,232      | )      |          |   | (4,765 | ) |
| Management fee payable                                                                                   |   |          | (4,880      | )      |          |   | (10,271 | ) |
| Accrued expenses                                                                                         |   |          | (6,235      | )      |          |   | (21,752 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net cash and cash equivalents used in operating activities                                               |   |          | (201,102    | )      |          |   | (263,797 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash flows from financing activities                                                                     |   |          |        |   |          |   |   |   |
| Subscriptions received, net of selling commissions                                                       |   |          | 14,161,040  |   |          |   | 1,366,086 |   |
| Redemptions and transfers paid                                                                           |   |          | (25,716,428 | )      |          |   | (23,543,068 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net cash and cash equivalents used in financing activities                                               |   |          | (11,555,388 | )      |          |   | (22,176,982 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net decrease in cash and cash equivalents                                                                |   |          | (11,756,490 | )      |          |   | (22,440,779 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash and cash equivalents at beginning of period                                                         |   |          | 45,401,720  |   |          |   | 56,122,787 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash and cash equivalents at end of period                                                               |   | $             | 33,645,230  |   |          | $      | 33,682,008 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Supplemental disclosure of non-cash financing activities:                                                |   |          |        |   |          |   |   |   |
| Redemptions payable                                                                                      |   | $             | 310,471     |   |          | $      | 6,052,171 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Subscriptions recorded which were received in advance                                                    |   | $             | 11,622      |   |          | $      | - |   |

----

Index

M

| ASSETS                                                       |   | March 31,2011 |       |   | December 31,2010 |   |
|--------------------------------------------------------------|--------|---------------|------------|--------|------------------|--------|
|                                                         |   |          |       |   |             |   |
| Cash and cash equivalents                                    |   | $             | 23,050,366 |   |             | $      | 24,445,088 |   |
| Due from broker                                              |   |          | 10,706,823 |   |             |   | 9,246,484 |   |
| Net unrealized gain on open futures contracts, at fair value |   |          | 1,014,124  |   |             |   | 3,156,243 |   |
| Interest receivable                                          |   |          | 2          |   |             |   | - |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total assets                                                 |   | $             | 34,771,315 |   |             | $      | 36,847,815 |   |
|                                                         |   |          |       |   |             |   |   |   |
| LIABILITIES AND INVESTORS’ INTEREST                    |   |          |       |   |             |   |   |   |
|                                                         |   |          |       |   |             |   |   |   |
| Liabilities                                                  |   |          |       |   |             |   |   |   |
| Redemptions payable                                          |   | $             | 298,704    |   |             | $      | 714,354 |   |
| Brokerage commissions payable                                |   |          | 33,195     |   |             |   | 33,114 |   |
| Management fee payable                                       |   |          | 42,078     |   |             |   | 40,502 |   |
| Subscriptions received in advance                            |   |          | 6,113      |   |             |   | 21,106 |   |
| Accrued expenses                                             |   |          | 9,512      |   |             |   | 13,419 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities                                            |   |          | 389,602    |   |             |   | 822,495 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Investors’ interest                                    |   |          | 34,381,713 |   |             |   | 36,025,320 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities and investors’ interest              |   | $             | 34,771,315 |   |             | $      | 36,847,815 |   |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Financial                                                    |   |                | 468    |   |                   | $      | 603,359   |                                    |   |   | 1.75 | % |
| Commodity                                                    |   |                | 326    |   |                   |   | 714,876   |                                    |   |   | 2.08 |   |
|                                                         |   |                | 794    |   |                   |   | 1,318,235 |                                    |   |   | 3.83 |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Financial                                                    |   |                | 50     |   |                   |   | 26,257    |                                    |   |   | 0.08 |   |
| Commodity                                                    |   |                | 119    |   |                   |   | (330,368  | )                                       |   |   | (0.96 | ) |
|                                                         |   |                | 169    |   |                   |   | (304,111  | )                                       |   |   | (0.88 | ) |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 1,014,124 |                                    |   |   | 2.95 | % |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Financial                                                    |   |                | 372    |   |                   | $      | 595,510   |                                    |   |   | 1.65 | % |
| Commodity                                                    |   |                | 416    |   |                   |   | 3,183,564 |                                    |   |   | 8.84 |   |
|                                                         |   |                | 788    |   |                   |   | 3,779,074 |                                    |   |   | 10.49 |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Financial                                                    |   |                | 167    |   |                   |   | (367,351  | )                                       |   |   | (1.02 | ) |
| Commodity                                                    |   |                | 57     |   |                   |   | (255,480  | )                                       |   |   | (0.71 | ) |
|                                                         |   |                | 224    |   |                   |   | (622,831  | )                                       |   |   | (1.73 | ) |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 3,156,243 |                                    |   |   | 8.76 | % |

----

Index

|                                                                  |   | March 31,2011 |       |   | March 31,2010 |   |
|-----------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
| Investment income                                                     |   |          |       |   |          |   |
| Interest                                                              |   | $             | 6,634      |   |          | $      | 4,128 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Expenses                                                              |   |          |       |   |          |   |   |   |
| Brokerage commissions                                                 |   |          | 107,196    |   |          |   | 127,897 |   |
| Management fee                                                        |   |          | 127,380    |   |          |   | 152,962 |   |
| Operating expenses                                                    |   |          | 36,726     |   |          |   | 52,197 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Total expenses                                                        |   |          | 271,302    |   |          |   | 333,056 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net investment loss                                                   |   |          | (264,668   | )      |          |   | (328,928 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Realized and unrealized gain (loss) on investments                    |   |          |       |   |          |   |   |   |
| Net realized gain (loss) on investments                               |   |          | 1,444,683  |   |          |   | (2,549,063 | ) |
| Net change in unrealized appreciation and depreciation on investments |   |          | (2,115,932 | )      |          |   | 3,497,747 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net realized and unrealized (loss) gain on investments                |   |          | (671,249   | )      |          |   | 948,684 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net (loss) income                                                     |   | $             | (935,917   | )      |          | $      | 619,756 |   |

----

Index

|                                           |   |          |      |
|------------------------------------------------|--------|---------------|-----------|
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | Class AShares |      |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalLeveragedSeries |   |
| Investors’ interest at December 31, 2010 |   | $             | 2,704,543 |   |   | $ | 9,562,485 |   |   | $ | 1,238 |   |   | $ | 23,757,054 |   |   | $ | 36,025,320 |   |
| Subscriptions                                  |   |          | -         |   |   |   | 25,475 |   |   |   | - |   |   |   | 50,000 |   |   |   | 75,475 |   |
| Redemptions                                    |   |          | (110,079  | ) |   |   | (329,612 | ) |   |   | - |   |   |   | (347,082 | ) |   |   | (786,773 | ) |
| Transfers                                      |   |          | -         |   |   |   | 3,608 |   |   |   | - |   |   |   | - |   |   |   | 3,608 |   |
| Net loss                                       |   |          | (82,874   | ) |   |   | (256,261 | ) |   |   | (34 | ) |   |   | (596,748 | ) |   |   | (935,917 | ) |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2011    |   | $             | 2,511,590 |   |   | $ | 9,005,695 |   |   | $ | 1,204 |   |   | $ | 22,863,224 |   |   | $ | 34,381,713 |   |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2010                    |   |          | 28,468    |   |   |   | 85,250 |   |   |   | 14 |   |   |   | 206,739 |   |   |   |   |   |
| Subscriptions                                  |   |          | -         |   |   |   | 227 |   |   |   | - |   |   |   | 430 |   |   |   |   |   |
| Redemptions                                    |   |          | (1,183    | ) |   |   | (2,962 | ) |   |   | - |   |   |   | (3,043 | ) |   |   |   |   |
| Transfers                                      |   |          | -         |   |   |   | 32 |   |   |   | - |   |   |   | - |   |   |   |   |   |
|                                           |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2011                       |   |          | 27,285    |   |   |   | 82,547 |   |   |   | 14 |   |   |   | 204,126 |   |   |   |   |   |
| Net asset value per share:                     |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| March 31, 2011                                 |   | $             | 92.05     |   |   | $ | 109.10 |   |   | $ | 89.26 |   |   | $ | 112.01 |   |   |   |   |   |

----

Index

|                                           |   |          |       |
|------------------------------------------------|--------|---------------|------------|
|                                           |   |          |       |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | Class AShares |       |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalLeveragedSeries |   |
| Investors’ interest at December 31, 2009 |   | $             | 4,638,578  |   |   | $ | 11,469,894 |   |   | $ | 1,164 |   |   | $ | 30,186,250 |   |   | $ | 46,295,886 |   |
| Subscriptions                                  |   |          | -          |   |   |   | 205,806 |   |   |   | - |   |   |   | 50,000 |   |   |   | 255,806 |   |
| Redemptions                                    |   |          | (1,031,978 | ) |   |   | (239,373 | ) |   |   | - |   |   |   | (6,068,300 | ) |   |   | (7,339,651 | ) |
| Transfers                                      |   |          | (5,000     | ) |   |   | (4,650 | ) |   |   | - |   |   |   | (157,943 | ) |   |   | (167,593 | ) |
| Net income                                     |   |          | 28,443     |   |   |   | 203,177 |   |   |   | 21 |   |   |   | 388,115 |   |   |   | 619,756 |   |
|                                           |   |          |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2010    |   | $             | 3,630,043  |   |   | $ | 11,634,854 |   |   | $ | 1,185 |   |   | $ | 24,398,122 |   |   | $ | 39,664,204 |   |
|                                           |   |          |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2009                    |   |          | 51,127     |   |   |   | 108,685 |   |   |   | 14 |   |   |   | 281,580 |   |   |   |   |   |
| Subscriptions                                  |   |          | -          |   |   |   | 1,960 |   |   |   | - |   |   |   | 474 |   |   |   |   |   |
| Redemptions                                    |   |          | (54        | ) |   |   | (45 | ) |   |   | - |   |   |   | (1,496 | ) |   |   |   |   |
| Transfers                                      |   |          | (11,618    | ) |   |   | (2,289 | ) |   |   | - |   |   |   | (57,441 | ) |   |   |   |   |
|                                           |   |          |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2010                       |   |          | 39,454     |   |   |   | 108,311 |   |   |   | 14 |   |   |   | 223,117 |   |   |   |   |   |
| Net asset value per share:                     |   |          |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| March 31, 2010                                 |   | $             | 92.01      |   |   | $ | 107.42 |   |   | $ | 87.80 |   |   | $ | 109.35 |   |   |   |   |   |

----

Index

|                                                                                                     |   | March 31,2011 |       |   | March 31,2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
|                                                                                                     |   |          |       |   |          |   |
| Cash flows from operating activities                                                                     |   |          |       |   |          |   |
| Net (loss) income                                                                                        |   | $             | (935,917   | )      |          | $      | 619,756 |   |
| Adjustments to reconcile net (loss) income to net cash and cash equivalents used in operating activities |   |          |       |   |          |   |   |   |
| Net change in operating assets and liabilities                                                           |   |          |       |   |          |   |   |   |
| Due from broker                                                                                          |   |          | (1,460,339 | )      |          |   | 2,532,910 |   |
| Net unrealized gain on open futures contracts                                                            |   |          | 2,142,119  |   |          |   | (3,502,858 | ) |
| Interest receivable                                                                                      |   |          | (2         | )      |          |   | 1,773 |   |
| Brokerage commissions payable                                                                            |   |          | 81         |   |          |   | (634 | ) |
| Management fee payable                                                                                   |   |          | 1,576      |   |          |   | (12,043 | ) |
| Accrued expenses                                                                                         |   |          | (3,907     | )      |          |   | (35,429 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents used in operating activities                                               |   |          | (256,389   | )      |          |   | (396,525 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash flows from financing activities                                                                     |   |          |       |   |          |   |   |   |
| Subscriptions received, net of selling commissions                                                       |   |          | 64,090     |   |          |   | 255,806 |   |
| Redemptions and transfers paid                                                                           |   |          | (1,202,423 | )      |          |   | (6,890,951 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents used in financing activities                                               |   |          | (1,138,333 | )      |          |   | (6,635,145 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net decrease in cash and cash equivalents                                                                |   |          | (1,394,722 | )      |          |   | (7,031,670 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at beginning of period                                                         |   |          | 24,445,088 |   |          |   | 27,107,971 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at end of period                                                               |   | $             | 23,050,366 |   |          | $      | 20,076,301 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Supplemental disclosure of non-cash financing activities:                                                |   |          |       |   |          |   |   |   |
| Redemptions payable                                                                                      |   | $             | 298,704    |   |          | $      | 1,301,087 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Subscriptions recorded which were received in advance                                                    |   | $             | 21,106     |   |          | $      | - |   |

----

Index

M

| ASSETS                                                       |   | March 31,2011 |       |   | December 31,2010 |   |
|--------------------------------------------------------------|--------|---------------|------------|--------|------------------|--------|
|                                                         |   |          |       |   |             |   |
| Cash and cash equivalents                                    |   | $             | 41,656,223 |   |             | $      | 39,805,018 |   |
| Due from broker                                              |   |          | 9,106,479  |   |             |   | 3,678,857 |   |
| Net unrealized gain on open futures contracts, at fair value |   |          | 1,403,084  |   |             |   | 5,506,195 |   |
| Interest receivable                                          |   |          | 118        |   |             |   | 1 |   |
| Other assets                                                 |   |          | -          |   |             |   | 18 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total assets                                                 |   | $             | 52,165,904 |   |             | $      | 48,990,089 |   |
|                                                         |   |          |       |   |             |   |   |   |
| LIABILITIES AND INVESTORS’ INTEREST                    |   |          |       |   |             |   |   |   |
|                                                         |   |          |       |   |             |   |   |   |
| Liabilities                                                  |   |          |       |   |             |   |   |   |
| Brokerage commissions payable                                |   | $             | 16,522     |   |             | $      | 14,711 |   |
| Management fee payable                                       |   |          | 21,764     |   |             |   | 18,588 |   |
| Accrued expenses                                             |   |          | 24,006     |   |             |   | 10,200 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities                                            |   |          | 62,292     |   |             |   | 43,499 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Investors’ interest                                    |   |          | 52,103,612 |   |             |   | 48,946,590 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities and investors’ interest              |   | $             | 52,165,904 |   |             | $      | 48,990,089 |   |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Commodity                                                    |   |                | 952    |   |                   | $      | 1,403,084 |                                    |   |   | 2.69 | % |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 1,403,084 |                                    |   |   | 2.69 | % |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Commodity                                                    |   |                | 753    |   |                   | $      | 5,506,195 |                                    |   |   | 11.25 | % |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 5,506,195 |                                    |   |   | 11.25 | % |

----

Index

|                                                                  |   | March 31,2011 |       |   | March 31,2010 |   |
|-----------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
| Investment income                                                     |   |          |       |   |          |   |
| Interest                                                              |   | $             | 10,833     |   |          | $      | 1 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Expenses                                                              |   |          |       |   |          |   |   |   |
| Brokerage commissions                                                 |   |          | 51,045     |   |          |   | 8,371 |   |
| Management fee                                                        |   |          | 63,806     |   |          |   | 10,463 |   |
| Operating expenses                                                    |   |          | 55,055     |   |          |   | 7,656 |   |
| Total expenses                                                        |   |          | 169,906    |   |          |   | 26,490 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net investment loss                                                   |   |          | (159,073   | )      |          |   | (26,489 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Realized and unrealized gain (loss) on investments                    |   |          |       |   |          |   |   |   |
| Net realized gain (loss) on investments                               |   |          | 5,433,766  |   |          |   | (291,515 | ) |
| Net change in unrealized appreciation and depreciation on investments |   |          | (4,117,671 | )      |          |   | 66,630 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net realized and unrealized gain (loss) on investments                |   |          | 1,316,095  |   |          |   | (224,885 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Net income (loss)                                                     |   | $             | 1,157,022  |   |          | $      | (251,374 | ) |

----

Index

|                                           |   |                                 |       |
|------------------------------------------------|--------|--------------------------------------|------------|
|                                           |   | TotalCommodity L/NUnleveraged Series |       |
| Investors’ interest at December 31, 2010 |   | $                                    | 48,946,590 |   |
| Subscriptions                                  |   |                                 | 2,000,000  |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | -          |   |
| Net income                                     |   |                                 | 1,157,022  |   |
|                                           |   |                                 |       |   |
| Investors’ interest at March 31, 2011    |   | $                                    | 52,103,612 |   |
|                                           |   |                                 |       |   |
| Shares at December 31, 2010                    |   |                                 | 436,372    |   |
| Subscriptions                                  |   |                                 | 17,470     |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | -          |   |
|                                           |   |                                 |       |   |
| Shares at March 31, 2011                       |   |                                 | 453,842    |   |
| Net asset value per share:                     |   |                                 |       |   |
| March 31, 2011                                 |   | $                                    | 114.81     |   |

----

Index

|                                           |   |                                 |      |
|------------------------------------------------|--------|--------------------------------------|-----------|
|                                           |   | TotalCommodity L/NUnleveraged Series |      |
| Investors’ interest at December 31, 2009 |   | $                                    | 8,601,217 |   |
| Subscriptions                                  |   |                                 | -         |   |
| Redemptions                                    |   |                                 | -         |   |
| Transfers                                      |   |                                 | -         |   |
| Net loss                                       |   |                                 | (251,374  | ) |
|                                           |   |                                 |      |   |
| Investors’ interest at March 31, 2010    |   | $                                    | 8,349,843 |   |
|                                           |   |                                 |      |   |
| Shares at December 31, 2009                    |   |                                 | 84,322    |   |
| Subscriptions                                  |   |                                 | -         |   |
| Redemptions                                    |   |                                 | -         |   |
| Transfers                                      |   |                                 | -         |   |
|                                           |   |                                 |      |   |
| Shares at March 31, 2010                       |   |                                 | 84,322    |   |
| Net asset value per share:                     |   | $                                    | 99.02     |   |
| March 31, 2010                                 |   |                                 |      |   |

----

Index

|                                                                                                     |   | March 31,2011 |       |   | March 31,2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
|                                                                                                     |   |          |       |   |          |   |
| Cash flows from operating activities                                                                     |   |          |       |   |          |   |
| Net income (loss)                                                                                        |   | $             | 1,157,022  |   |          | $      | (251,374 | ) |
| Adjustments to reconcile net income (loss) to net cash and cash equivalents used in operating activities |   |          |       |   |          |   |   |   |
| Net change in operating assets and liabilities                                                           |   |          |       |   |          |   |   |   |
| Due from broker                                                                                          |   |          | (5,427,622 | )      |          |   | (57,360 | ) |
| Net unrealized gain on open futures contracts                                                            |   |          | 4,103,111  |   |          |   | (66,856 | ) |
| Interest receivable                                                                                      |   |          | (117       | )      |          |   | - |   |
| Other assets                                                                                             |   |          | 18         |   |          |   | - |   |
| Brokerage commissions payable                                                                            |   |          | 1,811      |   |          |   | 919 |   |
| Management fee payable                                                                                   |   |          | 3,176      |   |          |   | 1,376 |   |
| Accrued expenses                                                                                         |   |          | 13,806     |   |          |   | 225 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents used in operating activities                                               |   |          | (148,795   | )      |          |   | (373,070 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash flows from financing activities                                                                     |   |          |       |   |          |   |   |   |
| Subscriptions received, net of selling commissions                                                       |   |          | 2,000,000  |   |          |   | - |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents provided by financing activities                                           |   |          | 2,000,000  |   |          |   | - |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net increase (decrease) in cash and cash equivalents                                                     |   |          | 1,851,205  |   |          |   | (373,070 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at beginning of period                                                         |   |          | 39,805,018 |   |          |   | 7,999,557 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at end of period                                                               |   | $             | 41,656,223 |   |          | $      | 7,626,487 |   |

----

Index

M

| ASSETS                                                       |   | March 31,2011 |       |   | December 31,2010 |   |
|--------------------------------------------------------------|--------|---------------|------------|--------|------------------|--------|
|                                                         |   |          |       |   |             |   |
| Cash and cash equivalents                                    |   | $             | 34,877,014 |   |             | $      | 10,576,394 |   |
| Due from broker                                              |   |          | 3,711,865  |   |             |   | 1,822,731 |   |
| Net unrealized gain on open futures contracts, at fair value |   |          | 89,774     |   |             |   | 1,526,224 |   |
| Interest receivable                                          |   |          | 119        |   |             |   | - |   |
| Other assets                                                 |   |          | -          |   |             |   | 39 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total assets                                                 |   | $             | 38,678,772 |   |             | $      | 13,925,388 |   |
|                                                         |   |          |       |   |             |   |   |   |
| LIABILITIES AND INVESTORS’ INTEREST                    |   |          |       |   |             |   |   |   |
|                                                         |   |          |       |   |             |   |   |   |
| Liabilities                                                  |   |          |       |   |             |   |   |   |
| Brokerage commissions payable                                |   | $             | 12,137     |   |             | $      | 4,198 |   |
| Management fee payable                                       |   |          | 16,379     |   |             |   | 5,306 |   |
| Accrued expenses                                             |   |          | 3,732      |   |             |   | 3,600 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities                                            |   |          | 32,248     |   |             |   | 13,104 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Investors’ interest                                    |   |          | 38,646,524 |   |             |   | 13,912,284 |   |
|                                                         |   |          |       |   |             |   |   |   |
| Total liabilities and investors’ interest              |   | $             | 38,678,772 |   |             | $      | 13,925,388 |   |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |     | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |     |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |     |                                    |   |
|                                                         |   |                |   |   |                   |   |     |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |     |                                    |   |
| Commodity                                                    |   |                | 487    |   |                   | $      | 532,939  |                                    |   |   | 1.38 |   |
|                                                         |   |                |   |   |                   |   |     |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |     |                                    |   |   |   |   |
| Commodity                                                    |   |                | 176    |   |                   |   | (443,165 | )                                       |   |   | (1.15 | ) |
|                                                         |   |                |   |   |                   |   |     |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |     |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 89,774   |                                    |   |   | 0.23 | % |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors ’interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Commodity                                                    |   |                | 216    |   |                   | $      | 1,658,684 |                                    |   |   | 11.92 |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Commodity                                                    |   |                | 30     |   |                   |   | (132,460  | )                                       |   |   | (0.95 | ) |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 1,526,224 |                                    |   |   | 0.25 | % |

----

Index

|                                                                  |   | March 31,2011 |       |   | March 31,2010 |   |
|-----------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
| Investment income                                                     |   |          |       |   |          |   |
| Interest                                                              |   | $             | 3,692      |   |          | $      | - |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Expenses                                                              |   |          |       |   |          |   |   |   |
| Brokerage commissions                                                 |   |          | 22,475     |   |          |   | 3,197 |   |
| Management fee                                                        |   |          | 28,092     |   |          |   | 3,996 |   |
| Operating expenses                                                    |   |          | 23,586     |   |          |   | 3,115 |   |
| Total expenses                                                        |   |          | 74,153     |   |          |   | 10,308 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net investment loss                                                   |   |          | (70,461    | )      |          |   | (10,308 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Realized and unrealized gain (loss) on investments                    |   |          |       |   |          |   |   |   |
| Net realized gain (loss) on investments                               |   |          | 1,221,753  |   |          |   | (40,982 | ) |
| Net change in unrealized appreciation and depreciation on investments |   |          | (1,436,875 | )      |          |   | 170,383 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net realized and unrealized (loss) gain on investments                |   |          | (215,122   | )      |          |   | 129,401 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net (loss) income                                                     |   | $             | (285,583   | )      |          | $      | 119,093 |   |

----

Index

|                                           |   |                                 |       |
|------------------------------------------------|--------|--------------------------------------|------------|
|                                           |   | TotalCommodity L/SUnleveraged Series |       |
| Investors’ interest at December 31, 2010 |   | $                                    | 13,912,284 |   |
| Subscriptions                                  |   |                                 | -          |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | 25,019,823 |   |
| Net loss                                       |   |                                 | (285,583   | ) |
|                                           |   |                                 |       |   |
| Investors’ interest at March 31, 2011    |   | $                                    | 38,646,524 |   |
|                                           |   |                                 |       |   |
| Shares at December 31, 2010                    |   |                                 | 123,631    |   |
| Subscriptions                                  |   |                                 | -          |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | 216,479    |   |
|                                           |   |                                 |       |   |
| Shares at March 31, 2011                       |   |                                 | 340,110    |   |
| Net asset value per share:                     |   |                                 |       |   |
| March 31, 2011                                 |   | $                                    | 113.63     |   |

----

Index

|                                           |   |                                 |       |
|------------------------------------------------|--------|--------------------------------------|------------|
|                                           |   | TotalCommodity L/SUnleveraged Series |       |
| Investors’ interest at December 31, 2009 |   | $                                    | 3,246,160  |   |
| Subscriptions                                  |   |                                 | 10,000,000 |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | -          |   |
| Net income                                     |   |                                 | 119,093    |   |
|                                           |   |                                 |       |   |
| Investors’ interest at March 31, 2010    |   | $                                    | 13,365,253 |   |
|                                           |   |                                 |       |   |
| Shares at December 31, 2009                    |   |                                 | 30,009     |   |
| Subscriptions                                  |   |                                 | 89,174     |   |
| Redemptions                                    |   |                                 | -          |   |
| Transfers                                      |   |                                 | -          |   |
|                                           |   |                                 |       |   |
| Shares at March 31, 2010                       |   |                                 | 119,183    |   |
| Net asset value per share:                     |   |                                 |       |   |
| March 31, 2010                                 |   | $                                    | 112.14     |   |

----

Index

|                                                                                                     |   | March 31,2011 |       |   | March 31,2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
|                                                                                                     |   |          |       |   |          |   |
| Cash flows from operating activities                                                                     |   |          |       |   |          |   |
| Net (loss) income                                                                                        |   | $             | (285,583   | )      |          | $      | 119,093 |   |
| Adjustments to reconcile net (loss) income to net cash and cash equivalents used in operating activities |   |          |       |   |          |   |   |   |
| Net change in operating assets and liabilities                                                           |   |          |       |   |          |   |   |   |
| Due from broker                                                                                          |   |          | (1,889,134 | )      |          |   | 41,889 |   |
| Net unrealized gain on open futures contracts                                                            |   |          | 1,436,450  |   |          |   | (171,157 | ) |
| Interest receivable                                                                                      |   |          | (119       | )      |          |   | - |   |
| Other assets                                                                                             |   |          | 39         |   |          |   | - |   |
| Brokerage commissions payable                                                                            |   |          | 7,939      |   |          |   | 987 |   |
| Management fee payable                                                                                   |   |          | 11,073     |   |          |   | (12 | ) |
| Accrued expenses                                                                                         |   |          | 132        |   |          |   | (268 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents used in operating activities                                               |   |          | (719,203   | )      |          |   | (9,468 | ) |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash flows from financing activities                                                                     |   |          |       |   |          |   |   |   |
| Subscriptions received, net of selling commissions                                                       |   |          | 25,019,823 |   |          |   | 10,000,000 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net cash and cash equivalents provided by financing activities                                           |   |          | 25,019,823 |   |          |   | 10,000,000 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Net increase in cash and cash equivalents                                                                |   |          | 24,300,620 |   |          |   | 9,990,532 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at beginning of period                                                         |   |          | 10,576,394 |   |          |   | 186,896 |   |
|                                                                                                     |   |          |       |   |          |   |   |   |
| Cash and cash equivalents at end of period                                                               |   | $             | 34,877,014 |   |          | $      | 10,177,428 |   |

----

Index

M

| ASSETS                                                       |   | March 31,2011 |        |   | December 31,2010 |   |
|--------------------------------------------------------------|--------|---------------|-------------|--------|------------------|--------|
|                                                         |   |          |        |   |             |   |
| Cash and cash equivalents                                    |   | $             | 133,228,833 |   |             | $      | 120,228,220 |   |
| Due from broker                                              |   |          | 28,510,543  |   |             |   | 18,793,452 |   |
| Net unrealized gain on open futures contracts, at fair value |   |          | 2,886,735   |   |             |   | 11,705,581 |   |
| Interest receivable                                          |   |          | 347         |   |             |   | 1 |   |
| Other assets                                                 |   |          | -           |   |             |   | 497 |   |
|                                                         |   |          |        |   |             |   |   |   |
| Total assets                                                 |   | $             | 164,626,458 |   |             | $      | 150,727,751 |   |
|                                                         |   |          |        |   |             |   |   |   |
| LIABILITIES AND INVESTORS’ INTEREST                    |   |          |        |   |             |   |   |   |
|                                                         |   |          |        |   |             |   |   |   |
| Liabilities                                                  |   |          |        |   |             |   |   |   |
| Redemptions payable                                          |   | $             | 609,175     |   |             | $      | 1,142,968 |   |
| Net unrealized loss on open futures contracts, at fair value |   |          |        |   |             |   | ─ |   |
| Brokerage commissions payable                                |   |          | 77,483      |   |             |   | 71,884 |   |
| Management fee payable                                       |   |          | 99,214      |   |             |   | 88,269 |   |
| Subscriptions received in advance                            |   |          | 1,402,275   |   |             |   | 32,728 |   |
| Accrued expenses                                             |   |          | 52,915      |   |             |   | 49,119 |   |
|                                                         |   |          |        |   |             |   |   |   |
| Total liabilities                                            |   |          | 2,241,062   |   |             |   | 1,384,968 |   |
|                                                         |   |          |        |   |             |   |   |   |
| Investors’ interest                                    |   |          | 162,385,396 |   |             |   | 149,342,783 |   |
|                                                         |   |          |        |   |             |   |   |   |
| Total liabilities and investors’ interest              |   | $             | 164,626,458 |   |             | $      | 150,727,751 |   |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |      | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|-----------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |      |                                    |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |      |                                    |   |
| Financial                                                    |   |                | 645    |   |                   | $      | 829,182   |                                    |   |   | 0.51 | % |
| Commodity                                                    |   |                | 1,888  |   |                   |   | 2,918,389 |                                    |   |   | 1.80 |   |
|                                                         |   |                | 2,533  |   |                   |   | 3,747,571 |                                    |   |   | 2.31 |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Financial                                                    |   |                | 69     |   |                   |   | 35,672    |                                    |   |   | 0.02 |   |
| Commodity                                                    |   |                | 339    |   |                   |   | (896,508  | )                                       |   |   | (0.55 | ) |
|                                                         |   |                | 408    |   |                   |   | (860,836  | )                                       |   |   | (0.53 | ) |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |      |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 2,886,735 |                                    |   |   | 1.78 | % |

----

Index

| Description                                                  |   | Number of contracts |   |   | Unrealized gain (loss) |   |       | Percentage of investors’ interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|------------------------|--------|------------|-----------------------------------------|--------|
|                                                         |   |                |   |   |                   |   |       |                                    |   |
| Futures*                                                     |   |                |   |   |                   |   |       |                                    |   |
|                                                         |   |                |   |   |                   |   |       |                                    |   |
| Long futures contracts                                       |   |                |   |   |                   |   |       |                                    |   |
| Financial                                                    |   |                | 596    |   |                   | $      | 879,401    |                                    |   |   | 0.59 | % |
| Commodity                                                    |   |                | 1,637  |   |                   |   | 11,893,512 |                                    |   |   | 7.69 |   |
|                                                         |   |                | 2,233  |   |                   |   | 12,772,913 |                                    |   |   | 8.55 |   |
|                                                         |   |                |   |   |                   |   |       |                                    |   |   |   |   |
| Short futures contracts                                      |   |                |   |   |                   |   |       |                                    |   |   |   |   |
| Financial                                                    |   |                | 266    |   |                   |   | (556,062   | )                                       |   |   | (0.37 | ) |
| Commodity                                                    |   |                | 123    |   |                   |   | (511,270   | )                                       |   |   | (0.34 | ) |
|                                                         |   |                | 389    |   |                   |   | (1,067,332 | )                                       |   |   | (0.71 | ) |
|                                                         |   |                |   |   |                   |   |       |                                    |   |   |   |   |
|                                                         |   |                |   |   |                   |   |       |                                    |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                   | $      | 11,705,581 |                                    |   |   | 7.84 | % |

----

Index

|                                                                  |   | March 31,2011 |       |   | March 31,2010 |   |
|-----------------------------------------------------------------------|--------|---------------|------------|--------|---------------|--------|
| Investment income                                                     |   |          |       |   |          |   |
| Interest                                                              |   | $             | 35,240     |   |          | $      | 11,737 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Expenses                                                              |   |          |       |   |          |   |   |   |
| Brokerage commissions                                                 |   |          | 246,510    |   |          |   | 200,984 |   |
| Management fee                                                        |   |          | 297,151    |   |          |   | 236,610 |   |
| Operating expenses                                                    |   |          | 176,239    |   |          |   | 129,613 |   |
| Total expenses                                                        |   |          | 719,900    |   |          |   | 567,207 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net investment loss                                                   |   |          | (684,660   | )      |          |   | (555,470 | ) |
|                                                                  |   |          |       |   |          |   |   |   |
| Realized and unrealized gain (loss) on investments                    |   |          |       |   |          |   |   |   |
| Net realized gain (loss) on investments                               |   |          | 9,041,902  |   |          |   | (3,672,048 | ) |
| Net change in unrealized appreciation and depreciation on investments |   |          | (8,804,977 | )      |          |   | 4,949,230 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net realized and unrealized gain on investments                       |   |          | 236,925    |   |          |   | 1,277,182 |   |
|                                                                  |   |          |       |   |          |   |   |   |
| Net (loss) income                                                     |   | $             | (447,735   | )      |          | $      | 721,712 |   |

----

Index

|                                           |   |                                             |        |
|------------------------------------------------|--------|--------------------------------------------------|-------------|
|                                           |   | Totalinvestor interest($100 par value per share) |        |
| Investors’ interest at December 31, 2010 |   | $                                                | 149,342,783 |   |
| Subscriptions                                  |   |                                             | 14,851,975  |   |
| Redemptions                                    |   |                                             | (1,361,627  | ) |
| Transfers                                      |   |                                             | -           |   |
| Net loss                                       |   |                                             | (447,735    | ) |
|                                           |   |                                             |        |   |
| Investors’ interest at March 31, 2011    |   | $                                                | 162,385,396 |   |

----

Index

|                                           |   |                                             |        |
|------------------------------------------------|--------|--------------------------------------------------|-------------|
|                                           |   | Totalinvestor interest($100 par value per share) |        |
| Investors’ interest at December 31, 2009 |   | $                                                | 104,578,954 |   |
| Subscriptions                                  |   |                                             | 11,454,299  |   |
| Redemptions                                    |   |                                             | (13,785,314 | ) |
| Transfers                                      |   |                                             | -           |   |
| Net income                                     |   |                                             | 721,712     |   |
|                                           |   |                                             |        |   |
| Investors’ interest at March 31, 2010    |   | $                                                | 102,969,651 |   |

----

Index

|                                                                                                     |   | March 31,2011 |        |   | March 31,2010 |   |
|----------------------------------------------------------------------------------------------------------|--------|---------------|-------------|--------|---------------|--------|
|                                                                                                     |   |          |        |   |          |   |
| Cash flows from operating activities                                                                     |   |          |        |   |          |   |
| Net (loss) income                                                                                        |   | $             | (447,735    | )      |          | $      | 721,712 |   |
| Adjustments to reconcile net (loss) income to net cash and cash equivalents used in operating activities |   |          |        |   |          |   |   |   |
| Net change in operating assets and liabilities                                                           |   |          |        |   |          |   |   |   |
| Due from broker                                                                                          |   |          | (9,717,090  | )      |          |   | 3,275,388 |   |
| Net unrealized gain on open futures contracts                                                            |   |          | 8,818,845   |   |          |   | (4,958,707 | ) |
| Interest receivable                                                                                      |   |          | (346        | )      |          |   | 5,414 |   |
| Other assets                                                                                             |   |          | 497         |   |          |   | (5,000 | ) |
| Brokerage commissions payable                                                                            |   |          | 5,599       |   |          |   | (3,493 | ) |
| Management fee payable                                                                                   |   |          | 10,945      |   |          |   | (20,950 | ) |
| Accrued expenses                                                                                         |   |          | 3,796       |   |          |   | (57,224 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net cash and cash equivalents used in operating activities                                               |   |          | (1,325,489  | )      |          |   | (1,042,860 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash flows from financing activities                                                                     |   |          |        |   |          |   |   |   |
| Subscriptions received, net of selling commissions                                                       |   |          | 16,221,522  |   |          |   | 11,621,892 |   |
| Redemptions paid                                                                                         |   |          | (1,895,420  | )      |          |   | (30,434,019 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net cash and cash equivalents provided by (used in) financing activities                                 |   |          | 14,326,102  |   |          |   | (18,812,127 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Net increase (decrease) in cash and cash equivalents                                                     |   |          | 13,000,613  |   |          |   | (19,854,987 | ) |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash and cash equivalents at beginning of period                                                         |   |          | 120,228,220 |   |          |   | 91,417,211 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Cash and cash equivalents at end of period                                                               |   | $             | 133,228,833 |   |          | $      | 71,562,224 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Supplemental disclosure of non-cash financing activities:                                                |   |          |        |   |          |   |   |   |
| Redemptions payable                                                                                      |   | $             | 609,175     |   |          | $      | 7,353,258 |   |
|                                                                                                     |   |          |        |   |          |   |   |   |
| Subscriptions recorded which were received in advance                                                    |   | $             | 32,728      |   |          | $      | - |   |

----

Index

M

----

Index

|   | a) | Quoted prices for similar assets or liabilities in active markets (for example, restricted stock); |
|--------|----|----------------------------------------------------------------------------------------------------|

|   | b) | Quoted prices for identical or similar assets or liabilities in non-active markets (examples include corporate and municipal bonds, which trade infrequently); |
|--------|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | c) | Pricing models whose inputs are observable for substantially the full term of the asset or liability (examples include most over-the-counter derivatives, including interest rate and currency swaps); and |
|--------|----|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | d) | Pricing models whose inputs are derived principally from or corroborated by observable market data through correlation or other means for substantially the full term of the asset or liability (for example, certain mortgage loans). |
|--------|----|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

Index

----

Index

| March 31, 2011                                        |   | Unleveraged Series |       |   | Leveraged Series |   |       | Commodity L/N Unleveraged Series |   |   | Commodity L/S Unleveraged Series |   |   | Trust Total |       |
|-------------------------------------------------------|--------|--------------------|------------|--------|------------------|--------|------------|----------------------------------|--------|--------|----------------------------------|--------|--------|-------------|------------|
| Overnight money markets                               |   | $                  | 1,431,000  |   |             | $      | 80,000     |                             |   | $      | 12,630,000                       |   |   | $           | 24,867,000 |   |   | $ | 39,008,000 |   |
| U.S. Government and U.S. Government Agency Securities |   |               | 32,166,858 |   |             |   | 22,942,574 |                             |   |   | 28,996,665                       |   |   |        | 9,998,850  |   |   |   | 94,104,947 |   |
| Cash                                                  |   |               | 45,910     |   |             |   | 26,504     |                             |   |   | 28,191                           |   |   |        | 9,260      |   |   |   | 109,864 |   |
| Cash in Checking Account                              |   |               | 1,462      |   |             |   | 1,288      |                             |   |   | 1,367                            |   |   |        | 1,904      |   |   |   | 6,022 |   |
|                                                  |   |               |       |   |             |   |       |                             |   |   |                             |   |   |        |       |   |   |   |   |   |
| Total                                                 |   | $                  | 33,645,230 |   |             | $      | 23,050,366 |                             |   | $      | 41,656,223                       |   |   | $           | 34,877,014 |   |   | $ | 133,228,833 |   |

| December 31, 2010                 |   | Unleveraged Series |       |   | Leveraged Series |   |       | Commodity L/N Unleveraged Series |   |   | Commodity L/S Unleveraged Series |   |   | Trust Total |       |
|-----------------------------------|--------|--------------------|------------|--------|------------------|--------|------------|----------------------------------|--------|--------|----------------------------------|--------|--------|-------------|------------|
| Overnight money markets           |   | $                  | 820,000    |   |             | $      | 231,000    |                             |   | $      | 10,789,000                       |   |   | $           | 570,000    |   |   | $ | 12,410,000 |   |
| U.S. Government Agency Securities |   |               | 44,554,919 |   |             |   | 24,181,209 |                             |   |   | 28,996,480                       |   |   |        | 9,998,786  |   |   |   | 107,731,394 |   |
| Cash                              |   |               | 25,603     |   |             |   | 30,967     |                             |   |   | 18,420                           |   |   |        | 6,005      |   |   |   | 80,995 |   |
| Cash in Checking Account          |   |               | 1,198      |   |             |   | 1,912      |                             |   |   | 1,118                            |   |   |        | 1,603      |   |   |   | 5,831 |   |
|                              |   |               |       |   |             |   |       |                             |   |   |                             |   |   |        |       |   |   |   |   |   |
| Total                             |   | $                  | 45,401,720 |   |             | $      | 24,445,088 |                             |   | $      | 39,805,018                       |   |   | $           | 10,576,394 |   |   | $ | 120,228,220 |   |

----

Index

|                 |   | March 31, 2011 |      |   | December 31, 2010 |   |
|----------------------|--------|----------------|-----------|--------|-------------------|--------|
|                 |   |           |      |   |              |   |
| Leveraged Series     |   | $              | 2,591,647 |   |              | $      | 3,050,071 |   |
| Unleveraged Series   |   |           | 981,903   |   |              |   | 1,907,683 |   |
| Commodity L/N Series |   |           | 4,103,936 |   |              |   | 2,904,759 |   |
| Commodity L/S Series |   |           | 1,960,064 |   |              |   | 866,708 |   |
|                 |   |           |      |   |              |   |   |   |
| Total                |   | $              | 9,637,550 |   |              | $      | 8,729,221 |   |

|    |   | Leveraged Series |   |
|---------|--------|------------------|--------|
|    |   | Brokeragefee     |   |   | Managementfee |   |   | Organizationalfee |   |   | Operatingexpense |   |   | Sellingexpense |   |   | Total feesandcommissions |   |
|    |   |             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Class A |   |             | 1.75   | % |   |   | 2.80 | % |   |   | N/A | * |   |   | 0.35 | % |   |   | 4.00 | % |   |   | 8.90 | % |
| Class B |   |             | 1.75   | % |   |   | 1.30 | % |   |   | N/A | * |   |   | 0.35 | % |   |   | N/A |   |   |   | 3.40 | % |
| Class C |   |             | 0.90   | % |   |   | 2.05 | % |   |   | N/A |   |   |   | 0.35 | % |   |   | 4.00 | % |   |   | 7.30 | % |
| Class D |   |             | 0.90   | % |   |   | 1.30 | % |   |   | N/A |   |   |   | 0.35 | % |   |   | N/A |   |   |   | 2.55 | % |

|    |   | Unleveraged, Commodity L/S Unleveraged Series, and Commodity L/N Unleveraged Series |   |
|---------|--------|-------------------------------------------------------------------------------------|--------|
|    |   | Brokeragefee                                                                        |   |   | Managementfee |   |   | Organizationalfee |   |   | Operatingexpense |   |   | Sellingexpense |   |   | Total feesandcommissions |   |
|    |   |                                                                                |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| 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 | % |

----

Index

|               |   | March 31, 2011 |    |   | December 31, 2010 |   |
|--------------------|--------|----------------|---------|--------|-------------------|--------|
| Unleveraged Series |   | Asset          |    |   | Liability         |   |   | Asset |   |   | Liability |   |
| Financial futures  |   | $              | 375,693 |   |              | $      | (140,455 | ) |   | $ | 380,310 |   |   | $ | (285,131 | ) |
| Commodity futures  |   |           | 369,259 |   |              |   | (224,744 | ) |   |   | 1,545,069 |   |   |   | (123,330 | ) |
| Total              |   | $              | 744,952 |   |              | $      | (365,199 | ) |   | $ | 1,925,379 |   |   | $ | (408,461 | ) |

|              |   | March 31, 2011 |      |   | December 31, 2010 |   |
|-------------------|--------|----------------|-----------|--------|-------------------|--------|
| Leveraged Series  |   | Asset          |      |   | Liability         |   |   | Asset |   |   | Liability |   |
| Financial futures |   | $              | 1,010,278 |   |              | $      | (380,662 | ) |   | $ | 785,841 |   |   | $ | (557,681 | ) |
| Commodity futures |   |           | 990,278   |   |              |   | (605,770 | ) |   |   | 3,183,563 |   |   |   | (255,480 | ) |
| Total             |   | $              | 2,000,556 |   |              | $      | (986,432 | ) |   | $ | 3,969,404 |   |   | $ | (813,161 | ) |

|                             |   | March 31, 2011 |      |   | December 31, 2010 |   |
|----------------------------------|--------|----------------|-----------|--------|-------------------|--------|
| Commodity L/S Unleveraged Series |   | Asset          |      |   | Liability         |   |   | Asset |   |   | Liability |   |
| Commodity futures                |   | $              | 1,074,972 |   |              | $      | (985,198 | ) |   | $ | 1,658,684 |   |   | $ | (132,460 | ) |
| Total                            |   | $              | 1,074,972 |   |              | $      | (985,198 | ) |   | $ | 1,658,684 |   |   | $ | (132,460 | ) |

|                             |   | March 31, 2011 |      |   | December 31, 2010 |   |
|----------------------------------|--------|----------------|-----------|--------|-------------------|--------|
| Commodity L/N Unleveraged Series |   | Asset          |      |   | Liability         |   |   | Asset |   |   | Liability |   |
| Commodity futures                |   | $              | 1,958,091 |   |              | $      | (555,007 | ) |   | $ | 5,506,195 |   |   | $ | - |   |
| Total                            |   | $              | 1,958,091 |   |              | $      | (555,007 | ) |   | $ | 5,506,195 |   |   | $ | - |   |

|              |   | March 31, 2011 |      |   | December 31, 2010 |   |
|-------------------|--------|----------------|-----------|--------|-------------------|--------|
| Trust Total       |   | Asset          |      |   | Liability         |   |   | Asset |   |   | Liability |   |
| Financial futures |   | $              | 1,385,971 |   |              | $      | (521,117 | ) |   | $ | 1,166,151 |   |   | $ | (842,812 | ) |
| Commodity futures |   |           | 4,392,600 |   |              |   | (2,370,719 | ) |   |   | 11,893,511 |   |   |   | (511,270 | ) |
| Total             |   | $              | 5,778,571 |   |              | $      | (2,891,836 | ) |   | $ | 13,059,662 |   |   | $ | (1,354,082 | ) |

----

Index

|              |   | March 31, 2011 |      |   | March 31, 2010 |   |       |   |   |
|-------------------|--------|----------------|-----------|--------|----------------|--------|------------|--------|--------|
| Unleveraged       |   | Realized       |      |   | Unrealized     |   |       | Total  |   |   | Realized |   |   | Unrealized |   |   | Total |   |
| Financial futures |   | $              | (667,590  | )      |           | $      | 140,225    |   |   | $ | (527,365 | ) |   | $ | (708,344 | ) |   | $ | 699,350 |   |   | $ | (8,994 | ) |
| Commodity futures |   |           | 1,609,290 |   |           |   | (1,277,224 | )      |   |   | 332,066 |   |   |   | (80,658 | ) |   |   | 518,499 |   |   |   | 437,841 |   |
| Total             |   | $              | 941,700   |   |           | $      | (1,136,999 | )      |   | $ | (195,299 | ) |   | $ | (789,002 | ) |   | $ | 1,217,849 |   |   | $ | 428,847 |   |

|              |   | March 31, 2011 |       |   | March 31, 2010 |   |       |   |   |
|-------------------|--------|----------------|------------|--------|----------------|--------|------------|--------|--------|
| Leveraged         |   | Realized       |       |   | Unrealized     |   |       | Total  |   |   | Realized |   |   | Unrealized |   |   | Total |   |
| Financial futures |   | $              | (1,491,758 | )      |           | $      | 401,751    |   |   | $ | (1,090,007 | ) |   | $ | (2,112,225 | ) |   | $ | 2,057,849 |   |   | $ | (54,376 | ) |
| Commodity futures |   |           | 2,936,441  |   |           |   | (2,543,575 | )      |   |   | 392,866 |   |   |   | (430,902 | ) |   |   | 1,445,303 |   |   |   | 1,014,401 |   |
| Total             |   | $              | 1,444,683  |   |           | $      | (2,141,824 | )      |   | $ | (697,141 | ) |   | $ | (2,543,127 | ) |   | $ | 3,503,152 |   |   | $ | 960,025 |   |

|              |   | March 31, 2011 |      |   | March 31, 2010 |   |       |   |   |
|-------------------|--------|----------------|-----------|--------|----------------|--------|------------|--------|--------|
| Commodity L/S     |   | Realized       |      |   | Unrealized     |   |       | Total  |   |   | Realized |   |   | Unrealized |   |   | Total |   |
| Commodity futures |   | $              | 1,221,753 |   |           | $      | (1,436,450 | )      |   | $ | (214,697 | ) |   | $ | (40,982 | ) |   | $ | 171,037 |   |   | $ | 130,055 |   |
| Total             |   | $              | 1,221,753 |   |           | $      | (1,436,450 | )      |   | $ | (214,697 | ) |   | $ | (40,982 | ) |   | $ | 171,037 |   |   | $ | 130,055 |   |

|              |   | March 31, 2011 |      |   | March 31, 2010 |   |       |   |   |
|-------------------|--------|----------------|-----------|--------|----------------|--------|------------|--------|--------|
| Commodity L/N     |   | Realized       |      |   | Unrealized     |   |       | Total  |   |   | Realized |   |   | Unrealized |   |   | Total |   |
| Commodity futures |   | $              | 5,433,766 |   |           | $      | (4,103,112 | )      |   | $ | 1,330,654 |   |   | $ | (291,515 | ) |   | $ | 66,856 |   |   | $ | (224,659 | ) |
| Total             |   | $              | 5,433,766 |   |           | $      | (4,103,112 | )      |   | $ | 1,330,654 |   |   | $ | (291,515 | ) |   | $ | 66,856 |   |   | $ | (224,659 | ) |

|              |   | March 31, 2011 |       |   | March 31, 2010 |   |       |   |   |
|-------------------|--------|----------------|------------|--------|----------------|--------|------------|--------|--------|
| Trust Total       |   | Realized       |       |   | Unrealized     |   |       | Total  |   |   | Realized |   |   | Unrealized |   |   | Total |   |
| Financial futures |   | $              | (2,159,348 | )      |           | $      | 541,976    |   |   | $ | (1,617,372 | ) |   | $ | (2,820,569 | ) |   | $ | 2,757,199 |   |   | $ | (63,370 | ) |
| Commodity futures |   |           | 11,201,250 |   |           |   | (9,360,361 | )      |   |   | 1,840,889 |   |   |   | (844,057 | ) |   |   | 2,201,695 |   |   |   | 1,357,638 |   |
| Total             |   | $              | 9,041,902  |   |           | $      | (8,818,385 | )      |   | $ | 223,517 |   |   | $ | (3,664,626 | ) |   | $ | 4,958,894 |   |   | $ | 1,294,268 |   |

----

Index

|                                                               |   | Leveraged Series |   |   | Unleveraged Series |   |   | Commodity L/S Unleveraged Series |   |   | Commodity L/N Unleveraged Series |   |
|--------------------------------------------------------------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|                                                               |   | Class AShares    |   |   | Class BShares      |   |   | Class CShares                    |   |   | Class DShares                    |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | Class DShares |   |   | Class DShares |   |
|                                                               |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per share operating performance:                                   |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  December 31, 2010          |   | $                | 95.00  |   |               | $      | 112.17 |                             |   | $      | 91.75                            |   |   | $ | 114.91 |   |   | $ | 113.91 |   |   | $ | 128.31 |   |   | $ | 112.67 |   |   | $ | 115.65 |   |   | $ | 112.53 |   |   | $ | 112.17 |   |
| Income from investment operations:                                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                             |   |             | (0.75  | )      |               |   | (0.46  | )                                |   |   | (0.55                            | )      |   |   | (0.47 | ) |   |   | (0.53 | ) |   |   | (0.28 | ) |   |   | (0.38 | ) |   |   | (0.25 | ) |   |   | (0.24 | ) |   |   | (0.24 | ) |
| Net realized and unrealized gain (loss) on investment transactions |   |             | (2.20  | )      |               |   | (2.61  | )                                |   |   | (1.94                            | )      |   |   | (2.43 | ) |   |   | (0.97 | ) |   |   | (1.09 | ) |   |   | (0.83 | ) |   |   | (0.86 | ) |   |   | 1.34 |   |   |   | 2.88 |   |
| Total from investment operations                                   |   |             | (2.95  | )      |               |   | (3.07  | )                                |   |   | (2.49                            | )      |   |   | (2.90 | ) |   |   | (1.50 | ) |   |   | (1.37 | ) |   |   | (1.21 | ) |   |   | (1.11 | ) |   |   | 1.10 |   |   |   | 2.64 |   |
|                                                               |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  March 31, 2011             |   | $                | 92.05  |   |               | $      | 109.10 |                             |   | $      | 89.26                            |   |   | $ | 112.01 |   |   | $ | 112.41 |   |   | $ | 126.94 |   |   | $ | 111.46 |   |   | $ | 114.54 |   |   | $ | 113.63 |   |   | $ | 114.81 |   |
|                                                               |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                                      |   |             | (3.11  | )%     |               |   | (2.74  | )%                               |   |   | (2.71                            | )%     |   |   | (2.52 | )% |   |   | (1.32 | )% |   |   | (1.07 | )% |   |   | (1.07 | )% |   |   | (0.96 | )% |   |   | 0.98 | % |   |   | 2.35 | % |
|                                                               |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                        |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                             |   |             | (0.83  | )%     |               |   | (0.43  | )%                               |   |   | (0.61                            | )%     |   |   | (0.42 | )% |   |   | (0.47 | )% |   |   | (0.23 | )% |   |   | (0.34 | )% |   |   | (0.28 | )% |   |   | (0.14 | )% |   |   | (0.15 | )% |
| Expenses                                                           |   |             | (0.85  | )%     |               |   | (0.45  | )%                               |   |   | (0.63                            | )%     |   |   | (0.44 | )% |   |   | (0.50 | )% |   |   | (0.25 | )% |   |   | (0.37 | )% |   |   | (0.96 | )% |   |   | (0.15 | )% |   |   | (0.16 | )% |

----

Index

|                                                        |   | Leveraged Series |   |   | Unleveraged Series |   |   | Commodity L/S Unleveraged Series |   |   | Commodity L/N Unleveraged Series |   |
|-------------------------------------------------------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|                                                        |   | Class AShares    |   |   | Class BShares      |   |   | Class CShares                    |   |   | Class DShares                    |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | Class DShares |   |   | Class DShares |   |
|                                                        |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per share operating performance:                            |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  December 31, 2009   |   | $                | 90.73  |   |               | $      | 105.53 |                             |   | $      | 86.24                            |   |   | $ | 107.20 |   |   | $ | 113.28 |   |   | $ | 126.32 |   |   | $ | 110.99 |   |   | $ | 113.35 |   |   | $ | 108.17 |   |   | $ | 102.00 |   |
| Income from investment operations:                          |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                      |   |             | (0.72  | )      |               |   | (0.46  | )                                |   |   | (0.53                            | )      |   |   | (0.47 | ) |   |   | (0.58 | ) |   |   | (0.33 | ) |   |   | (0.41 | ) |   |   | (0.29 | ) |   |   | (0.24 | ) |   |   | (0.21 | ) |
| Net realized and unrealized gain on investment transactions |   |             | 2.00   |   |               |   | 2.35   |                             |   |   | 2.09                             |   |   |   | 2.62 |   |   |   | 0.81 |   |   |   | 0.90 |   |   |   | 0.89 |   |   |   | 0.93 |   |   |   | 4.21 |   |   |   | (2.77 | ) |
| Total from investment operations                            |   |             | 1.28   |   |               |   | 1.89   |                             |   |   | 1.56                             |   |   |   | 2.15 |   |   |   | 0.23 |   |   |   | 0.57 |   |   |   | 0.48 |   |   |   | 0.64 |   |   |   | 3.97 |   |   |   | (2.98 | ) |
|                                                        |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  March 31, 2010      |   | $                | 92.01  |   |               | $      | 107.42 |                             |   | $      | 87.80                            |   |   | $ | 109.35 |   |   | $ | 113.51 |   |   | $ | 126.89 |   |   | $ | 111.47 |   |   | $ | 113.99 |   |   | $ | 112.14 |   |   | $ | 99.02 |   |
|                                                        |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                               |   |             | 1.41   | %      |               |   | 1.79   | %                                |   |   | 1.82                             | %      |   |   | 2.00 | % |   |   | 0.20 | % |   |   | 0.45 | % |   |   | 0.44 | % |   |   | 0.57 | % |   |   | 3.67 | % |   |   | (2.92 | )% |
|                                                        |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                      |   |             | (0.90  | )%     |               |   | (0.43  | )%                               |   |   | (0.61                            | )%     |   |   | (0.47 | )% |   |   | (0.51 | )% |   |   | (0.25 | )% |   |   | (0.38 | )% |   |   | (0.28 | )% |   |   | (0.07 | )% |   |   | (0.22 | )% |
| Expenses                                                    |   |             | (0.91  | )%     |               |   | (0.44  | )%                               |   |   | (0.62                            | )%     |   |   | (0.48 | )% |   |   | (0.52 | )% |   |   | (0.27 | )% |   |   | (0.39 | )% |   |   | (0.30 | )% |   |   | (0.07 | )% |   |   | (0.22 | )% |

----

Index

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

----

Index

----

Index

----

Index

----

Index

| Trust Series                     |   | March 31, 2011 |        |   | December 31, 2010 |   |
|----------------------------------|--------|----------------|-------------|--------|-------------------|--------|
| Unleveraged Series               |   | $              | 39,010,467  |   |              | $      | 50,964,459 |   |
| Leveraged Series                 |   | $              | 34,771,315  |   |              | $      | 36,847,815 |   |
| Commodity L/S Unleveraged Series |   | $              | 38,678,772  |   |              | $      | 13,925,388 |   |
| Commodity L/N Unleveraged Series |   | $              | 52,165,904  |   |              | $      | 48,990,089 |   |
| Total                            |   | $              | 164,626,458 |   |              | $      | 150,727,751 |   |

| Trust Series                     |   | March 31, 2011 |      |   | December 31, 2010 |   |
|----------------------------------|--------|----------------|-----------|--------|-------------------|--------|
| Unleveraged Series               |   | $              | 1,756,920 |   |              | $      | 505,870 |   |
| Leveraged Series                 |   | $              | 389,602   |   |              | $      | 822,495 |   |
| Commodity L/S Unleveraged Series |   | $              | 32,248    |   |              | $      | 13,104 |   |
| Commodity L/N Unleveraged Series |   | $              | 62,292    |   |              | $      | 43,499 |   |
| Total                            |   | $              | 2,241,062 |   |              | $      | 1,384,968 |   |

| Trust Series                     |   | March 31, 2011 |      |   | March 31, 2010 |   |
|----------------------------------|--------|----------------|-----------|--------|----------------|--------|
| Unleveraged Series               |   | $              | (383,257  | )      |           | $      | 234,237 |   |
| Leveraged Series                 |   | $              | (935,917  | )      |           | $      | 619,756 |   |
| Commodity L/S Unleveraged Series |   | $              | (285,583  | )      |           | $      | 119,093 |   |
| Commodity L/N Unleveraged Series |   | $              | 1,157,022 |   |           | $      | (251,374 | ) |
| Total                            |   | $              | (447,735  | )      |           | $      | 721,712 |   |

----

Index

|          |   | Leveraged Series |   |   | Unleveraged Series |   |   | Unleveraged Commodity L/S Series |   |   | Unleveraged Commodity L/N Series |   |
|---------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|          |   | Class A          |   |   | Class B            |   |   | Class C                          |   |   | Class D                          |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |   | Class D |   |   | Class D |   |
|          | Shares |             |   | Shares |               |   | Shares |                             |   | Shares |                             |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|          |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |             | (3.11  | )%     |               |   | (2.74  | )%                               |   |   | (2.71                            | )%     |   |   | (2.52 | )% |   |   | (1.32 | )% |   |   | (1.07 | )% |   |   | (1.07 | )% |   |   | (0.96 | )% |   |   | 0.98 | % |   |   | 2.35 | % |

|          |   | Leveraged Series |   |   | Unleveraged Series |   |   | Unleveraged Commodity L/S Series |   |   | Unleveraged Commodity L/N Series |   |
|---------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|          |   | Class A          |   |   | Class B            |   |   | Class C                          |   |   | Class D                          |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |   | Class D |   |   | Class D |   |
|          | Shares |             |   | Shares |               |   | Shares |                             |   | Shares |                             |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|          |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |             | 1.41   | %      |               |   | 1.79   | %                                |   |   | 1.82                             | %      |   |   | 2.00 | % |   |   | 0.20 | % |   |   | 0.45 | % |   |   | 0.44 | % |   |   | 0.57 | % |   |   | 3.67 | % |   |   | (2.92 | )% |

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

----

Index

|   | 1. | The manager calculates the standard deviation of the historical returns of the MLM IndexTM and its subsets on an asset-weighted basis 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.  It is important to note that this calculation is made on the historical data of the MLM IndexTM and its subsets.  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 and its subsets. |
|--------|----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 2. | For the purposes of VAR, one attempts to estimate the size of a loss that may occur with some small probability.  It does not estimate the possibility of some total loss, only the probability of a loss of some magnitude.  The calculation is complicated by the fact that the standard deviation of the distribution assumes a normal distribution, which may or may not be a good estimate of the actual distribution.  For the purposes of this estimate, the Manager has chosen to calculate the size of a daily and monthly loss that might occur with a probability of 1% (1 chance in 100).  To do this, the standard deviation is multiplied by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust for the possibility of a non-normal distribution.  For daily returns, this estimate is a loss of 1.45%.  For monthly returns the estimate is loss of 6.45%. |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 3. | To ascertain a dollar loss amount for each Series, the assets of the Series as of March 31, 2011 are multiplied by the estimate of the risk calculated in step 2 above.  The risk estimate is based on 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, 2011, the manager estimates that the amount each Series of the Trust could expect to lose as follows in any given day and in any given month. |
|--------|----|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

| Trust Series                     |   | Any Given Day |      |   | Any Given Month |   |
|----------------------------------|--------|---------------|-----------|--------|-----------------|--------|
| Unleveraged Series               |   | $             | 563,799   |   |            | $      | 2,516,468 |   |
| Leveraged Series                 |   | $             | 1,507,597 |   |            | $      | 6,729,032 |   |
| Commodity L/S Unleveraged Series |   | $             | 1,267,987 |   |            | $      | 5,467,341 |   |
| Commodity L/N Unleveraged Series |   | $             | 1,329,487 |   |            | $      | 2,574,387 |   |

----

Index

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

----

Index

----

Index

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

| Item 1a. | Risk Factors. |
|----------|---------------|

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

|                 |   | Leveraged Series |   |   | Unleveraged Series |   |   | Unleveraged Commodity L/S Series |   |   | Unleveraged Commodity L/N Series |   |
|----------------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|                 |   | Class A          |   |   | Class B            |   |   | Class C                          |   |   | Class D                          |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |   | Class D |   |   | Class D |   |
| Jan-11 Subscriptions |   | $                | -      |   |               | $      | -      |                             |   | $      | -                                |   |   | $ | 50,000- |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | 2,000,000 |   |
| Subscriptions Units  |   |             | -      |   |               |   | -      |                             |   |   | -                                |   |   |   | 430 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 17,470 |   |
| # of Purchasers      |   |             | -      |   |               | _      |   |                             |   | -      |                             |   |   | 1 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 1 |   |
| Unit Price           |   | $                | -      |   |               | $      | -      |                             |   | $      | -                                |   |   | $ | 116.35 |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | 114.48 |   |
|                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Feb-11 Subscriptions |   | $                | -      |   |               | $      | 4,369  |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 5,369 |   |   | $ | - |   |   | $ | 300,000- |   |   | $ | - |   |   | $ | - |   |
| Subscriptions Units  |   |             | -      |   |               |   | 39     |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 42 |   |   |   | - |   |   |   | 2,594 |   |   |   | - |   |   |   | - |   |
| # of Purchasers      |   |             | -      |   |               |   | 1      |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 1 |   |   |   | - |   |   |   | 3 |   |   |   | - |   |   |   | - |   |
| Unit Price           |   | $                | -      |   |               | $      | 112.26 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 128.20 |   |   | $ | - |   |   | $ | 115.64 |   |   | $ | - |   |   | $ | - |   |
|                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Mar-11 Subscriptions |   | $                | -      |   |               | $      | 6,113  |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 6,162 |   |   | $ | - |   |   | $ | 1,390,000 |   |   | $ | - |   |   | $ | 30,000,000 |   |
| Subscriptions Units  |   |             | -      |   |               |   | 56     |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 49 |   |   |   | - |   |   |   | 12,135 |   |   |   | - |   |   |   | 261,312 |   |
| # of Purchasers      |   |             | -      |   |               |   | 1      |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 1 |   |   |   | - |   |   |   | 3 |   |   |   | - |   |   |   | 1 |   |
| Unit Price           |   | $                | -      |   |               | $      | 109.10 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 126.94 |   |   | $ | - |   |   | $ | 114.54 |   |   | $ | - |   |   | $ | 114.81 |   |

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

| Item 4. | Removed and Reserved |
|---------|----------------------|

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

----

Index

| 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 |
|--------|------|------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

Index

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

----