----

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

| DELAWARE                                                       |   | Unleveraged Series: 22-2897229              |
|----------------------------------------------------------------|--------|---------------------------------------------|
|                                                           |   | Leveraged Series: 22-3722683                |
|                                                           |   | Commodity L/S Unleveraged Series 20-8806944 |
|                                                           |   | Commodity L/N 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)                                |
|                                                                               |
| 405 South State Street, Newtown, PA                                                |
| (Former name, former address and former fiscal year, if changed since last report) |

----

----

----

----

MLM IndexTM Fund

| PART I – FINANCIAL INFORMATION                                                                                                               |                                                                                        |
|----------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------|
|                                                                                                                                               |                                                                                        |   |
| Item 1                                                                                                                                             | Financial Statements:                                                                       | PageNumber |
| Condensed Statements of Financial Condition as of June 30, 2010 (unaudited) and December 31, 2009                                                  | 4                                                                                           |
| Condensed Schedules of Investments as of June 30, 2010 (unaudited) and December 31, 2009                                                           | 5                                                                                           |
| Unaudited Condensed Statements of Operations for the three months ended June 30, 2010 and 2009 and for the six months ended June 30, 2010 and 2009 | 6                                                                                           |
| Unaudited Condensed Statements of Changes in Investors’ Interest for the six months ended June 30, 2010 and 2009                             | 7-10                                                                                        |
| Unaudited Condensed Statements of Cash Flows for the six months ended June 30, 2010 and 2009                                                       | 11                                                                                          |
| Notes to Unaudited Condensed Financial Statements                                                                                                  | 12-22                                                                                       |
| Item 2                                                                                                                                             | Management’s Discussion and Analysis of Financial Condition and Results of Operations | 23 |
| Item 3                                                                                                                                             | Quantitative and Qualitative Disclosures of Market Risk                                     | 26 |
| Item 4                                                                                                                                             | Controls and Procedures                                                                     | 28 |
|                                                                                                                                               |                                                                                        |   |
| PART II – OTHER INFORMATION                                                                                                                  |                                                                                        |
|                                                                                                                                               |                                                                                        |   |
| Item 1                                                                                                                                             | Legal Proceedings                                                                           | 28 |
| Item 1A                                                                                                                                            | Risk Factors                                                                                | 28 |
| Item 2                                                                                                                                             | Unregistered Sales of Equity Securities and Use of Proceeds                                 | 29 |
| Item 3                                                                                                                                             | Defaults Upon Senior Securities                                                             | 29 |
| Item 5                                                                                                                                             | Other Information                                                                           | 29 |
| Item 6                                                                                                                                             | Exhibits and Reports on Form 8-K                                                            | 30 |

----

Index

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

M

|                                                         |   | June 30,2010 |        |   | December 31,2009 |   |
|--------------------------------------------------------------|--------|--------------|-------------|--------|------------------|--------|
| Assets                                                       |   |         |        |   |             |   |
| Cash and cash equivalents                                    |   | $            | 76,834,093  |   |             | $      | 91,417,211 |   |
| Due from broker                                              |   |         | 37,380,068  |   |             |   | 38,376,426 |   |
| Interest receivable                                          |   |         | 46          |   |             |   | 5,414 |   |
| Other assets                                                 |   |         | 3,466       |   |             |   | - |   |
| Total assets                                                 |   | $            | 114,217,673 |   |             | $      | 129,799,051 |   |
|                                                         |   |         |        |   |             |   |   |   |
| Liabilities and investors’ interest                    |   |         |        |   |             |   |   |   |
| Net unrealized loss on open futures contracts, at fair value |   | $            | 501,368     |   |             | $      | 1,134,488 |   |
| Redemptions payable                                          |   |         | 2,137,748   |   |             |   | 23,834,370 |   |
| Brokerage commissions payable                                |   |         | 60,173      |   |             |   | 65,124 |   |
| Management fee payable                                       |   |         | 81,594      |   |             |   | 95,998 |   |
| Accrued expenses                                             |   |         | 18,226      |   |             |   | 90,117 |   |
| Total liabilities                                            |   |         | 2,799,109   |   |             |   | 25,220,097 |   |
|                                                         |   |         |        |   |             |   |   |   |
| Investors’ interest                                    |   |         | 111,418,564 |   |             |   | 104,578,954 |   |
| Total liabilities and investors’ interest              |   | $            | 114,217,673 |   |             | $      | 129,799,051 |   |

----

Index

ML

| June 30, 2010 (Unaudited) Security Description          |   | Number of contracts |   |   | Unrealized appreciation/ (depreciation) |   |       | Percentage of investors' Interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|-----------------------------------------|--------|------------|-----------------------------------|--------|
|                                                         |   |                |   |   |                                    |   |       |                              |   |
| Futures                                                      |   |                |   |   |                                    |   |       |                              |   |
| Long futures contracts                                       |   |                |   |   |                                    |   |       |                              |   |
| Financial                                                    |   |                | 605    |   |                                    | $      | 1,136,026  |                              |   |   | 1.10 | % |
| Commodity                                                    |   |                | 202    |   |                                    |   | (369,381   | )                                 |   |   | (0.36 | ) |
|                                                         |   |                | 807    |   |                                    |   | 766,645    |                              |   |   | 0.74 | % |
| Short futures contracts                                      |   |                |   |   |                                    |   |       |                              |   |   |   |   |
| Financial                                                    |   |                | 213    |   |                                    |   | (857,631   | )                                 |   |   | (0.83 | ) |
| Commodity                                                    |   |                | 1,117  |   |                                    |   | (410,382   | )                                 |   |   | (0.40 | ) |
|                                                         |   |                | 1,330  |   |                                    |   | (1,268,013 | )                                 |   |   | (1.23 | ) |
|                                                         |   |                |   |   |                                    |   |       |                              |   |   |   |   |
| Net unrealized loss on open futures contracts, at fair value |   |                |   |   |                                    | $      | (501,368   | )                                 |   |   | (0.49 | )% |

| December, 31, 2009 (Audited)Security Description             |   | Number of contracts |   |   | Unrealized appreciation (depreciation) |   |       | Percentage of investors' Interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|----------------------------------------|--------|------------|-----------------------------------|--------|
|                                                         |   |                |   |   |                                   |   |       |                              |   |
| Futures                                                      |   |                |   |   |                                   |   |       |                              |   |
| Long futures contracts                                       |   |                |   |   |                                   |   |       |                              |   |
| Financial                                                    |   |                | 900    |   |                                   | $      | (2,233,254 | )                                 |   |   | (2.14 | )% |
| Commodity                                                    |   |                | 379    |   |                                   |   | 1,081,653  |                              |   |   | 1.03 |   |
|                                                         |   |                | 1,279  |   |                                   |   | (1,151,601 | )                                 |   |   | (1.11 | )% |
| Short futures contracts                                      |   |                |   |   |                                   |   |       |                              |   |   |   |   |
| Financial                                                    |   |                | 84     |   |                                   |   | 120,124    |                              |   |   | 0.11 |   |
| Commodity                                                    |   |                | 81     |   |                                   |   | (103,011   | )                                 |   |   | (0.10 | ) |
|                                                         |   |                | 165    |   |                                   |   | 17,113     |                              |   |   | 0.01 |   |
|                                                         |   |                |   |   |                                   |   |       |                              |   |   |   |   |
| Net unrealized loss on open futures contracts, at fair value |   |                |   |   |                                   | $      | (1,134,488 | )                                 |   |   | (1.10 | )% |

----

Index

ML

|                                                |   | For the threemonths endedJune 30,2010 |       |   | For the threemonths endedJune 30,2009 |   |        | For the sixmonths endedJune 30,2010 |   |   | For the sixmonths endedJune 30,2009 |   |
|-----------------------------------------------------|--------|---------------------------------------|------------|--------|---------------------------------------|--------|-------------|-------------------------------------|--------|--------|-------------------------------------|--------|
| Investment income                                   |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |
| Interest                                            |   | $                                     | 12,259     |   |                                  | $      | 40,110      |                                |   | $      | 23,996                              |   |   | $ | 100,297 |   |
|                                                |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Expenses                                            |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Brokerage commissions                               |   |                                  | 206,381    |   |                                  |   | 238,981     |                                |   |   | 407,365                             |   |   |   | 506,761 |   |
| Management fee                                      |   |                                  | 240,990    |   |                                  |   | 284,052     |                                |   |   | 477,600                             |   |   |   | 600,124 |   |
| Operating expenses                                  |   |                                  | 110,616    |   |                                  |   | 166,823     |                                |   |   | 240,229                             |   |   |   | 342,844 |   |
| Total expenses                                      |   |                                  | 557,987    |   |                                  |   | 689,856     |                                |   |   | 1,125,194                           |   |   |   | 1,449,729 |   |
|                                                |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Net investment loss                                 |   |                                  | (545,728   | )      |                                  |   | (649,746    | )                                   |   |   | (1,101,198                          | )      |   |   | (1,349,432 | ) |
|                                                |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Realized and unrealized gain (loss) on investments  |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Net realized gain (loss) on investments             |   |                                  | 1,131,205  |   |                                  |   | (21,934,600 | )                                   |   |   | (2,540,843                          | )      |   |   | (8,348,557 | ) |
| Net change in unrealized gain (loss) on investments |   |                                  | (4,325,191 | )      |                                  |   | 6,688,864   |                                |   |   | 624,039                             |   |   |   | (6,246,440 | ) |
| Net realized and unrealized loss on investments     |   |                                  | (3,193,986 | )      |                                  |   | (15,245,736 | )                                   |   |   | (1,916,804                          | )      |   |   | (14,594,997 | ) |
|                                                |   |                                  |       |   |                                  |   |        |                                |   |   |                                |   |   |   |   |   |
| Net loss                                            |   | $                                     | (3,739,714 | )      |                                  | $      | (15,895,482 | )                                   |   | $      | (3,018,002                          | )      |   | $ | (15,944,429 | ) |

----

Index

M

|                                           |   | Leveraged Series |       |
|------------------------------------------------|--------|------------------|------------|
|                                           |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | 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                                  |   |             | -          |   |   |   | 327,957 |   |   |   | - |   |   |   | 50,000 |   |   |   | 377,957 |   |
| Redemptions                                    |   |             | (1,589,246 | ) |   |   | (870,249 | ) |   |   | - |   |   |   | (6,796,300 | ) |   |   | (9,255,795 | ) |
| Transfers                                      |   |             | (5,000     | ) |   |   | (8,116 | ) |   |   | - |   |   |   | (157,943 | ) |   |   | (171,059 | ) |
| Net loss                                       |   |             | (69,309    | ) |   |   | (78,104 | ) |   |   | (8 | ) |   |   | (150,408 | ) |   |   | (297,829 | ) |
|                                           |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at June 30, 2010     |   | $                | 2,975,023  |   |   | $ | 10,841,382 |   |   | $ | 1,156 |   |   | $ | 23,131,599 |   |   | $ | 36,949,160 |   |
|                                           |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2009                    |   |             | 51,127     |   |   |   | 108,685 |   |   |   | 14 |   |   |   | 281,580 |   |   |   |   |   |
| Subscriptions                                  |   |             | -          |   |   |   | 3,095 |   |   |   | - |   |   |   | 474 |   |   |   |   |   |
| Redemptions                                    |   |             | (17,779    | ) |   |   | (8,179 | ) |   |   | - |   |   |   | (64,042 | ) |   |   |   |   |
| Transfers                                      |   |             | (54        | ) |   |   | (78 | ) |   |   | - |   |   |   | (1,496 | ) |   |   |   |   |
|                                           |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at June 30, 2010                        |   |             | 33,294     |   |   |   | 103,523 |   |   |   | 14 |   |   |   | 216,516 |   |   |   |   |   |
|                                           |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share:                     |   |             |       |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| June 30, 2010                                  |   | $                | 89.36      |   |   | $ | 104.72 |   |   | $ | 85.62 |   |   | $ | 106.84 |   |   |   |   |   |

----

Index

|                                           |   | Unleveraged Series |      |
|------------------------------------------------|--------|--------------------|-----------|
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |
|                                           |   | 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                                  |   |               | -         |   |   |   | 462,701 |   |   |   | - |   |   |   | 1,275,000 |   |   |   | 1,737,701 |   |
| Redemptions                                    |   |               | (519,020  | ) |   |   | (1,652,279 | ) |   |   | - |   |   |   | (7,330,952 | ) |   |   | (9,502,251 | ) |
| Transfers                                      |   |               | 5,000     |   |   |   | 8,116 |   |   |   | - |   |   |   | 157,943 |   |   |   | 171,059 |   |
| Net loss                                       |   |               | (44,497   | ) |   |   | (38,065 | ) |   |   | (7 | ) |   |   | (48,766 | ) |   |   | (131,335 | ) |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at June 30, 2010     |   | $                  | 4,077,897 |   |   | $ | 7,905,065 |   |   | $ | 1,255 |   |   | $ | 26,726,648 |   |   | $ | 38,710,865 |   |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2009                    |   |               | 40,930    |   |   |   | 72,234 |   |   |   | 11 |   |   |   | 288,259 |   |   |   |   |   |
| Subscriptions                                  |   |               | -         |   |   |   | 3,667 |   |   |   | - |   |   |   | 11,206 |   |   |   |   |   |
| Redemptions                                    |   |               | (4,608    | ) |   |   | (13,064 | ) |   |   | - |   |   |   | (64,395 | ) |   |   |   |   |
| Transfers                                      |   |               | 44        |   |   |   | 65 |   |   |   | - |   |   |   | 1,401 |   |   |   |   |   |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at June 30, 2010                        |   |               | 36,366    |   |   |   | 62,902 |   |   |   | 11 |   |   |   | 236,471 |   |   |   |   |   |
|                                           |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share:                     |   |               |      |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| June 30, 2010                                  |   | $                  | 112.14    |   |   | $ | 125.67 |   |   | $ | 110.39 |   |   | $ | 113.02 |   |   |   |   |   |

----

Index

|                                           |   | Commodity L/S Unleveraged |       |   | Commodity L/N Unleveraged |   |       |                          |   |
|------------------------------------------------|--------|---------------------------|------------|--------|---------------------------|--------|------------|-------------------------------|--------|
|                                           |   | Class DShares             |       |   | Class DShares             |   |       | TotalInvestors’Interest |   |
| Investors’ interest at December 31, 2009 |   | $                         | 3,246,160  |   |                      | $      | 8,601,217  |                          |   | $ | 104,578,954 |   |
| Subscriptions                                  |   |                      | 10,500,000 |   |                      |   | 16,000,000 |                          |   |   | 28,615,658 |   |
| Redemptions                                    |   |                      | -          |   |                      |   | -          |                          |   |   | (18,758,046 | ) |
| Transfers                                      |   |                      | -          |   |                      |   | -          |                          |   |   | - |   |
| Net loss                                       |   |                      | (1,040,682 | )      |                      |   | (1,548,156 | )                             |   |   | (3,018,002 | ) |
|                                           |   |                      |       |   |                      |   |       |                          |   |   |   |   |
| Investors’ interest at June 30, 2010     |   | $                         | 12,705,478 |   |                      | $      | 23,053,061 |                          |   | $ | 111,418,564 |   |
|                                           |   |                      |       |   |                      |   |       |                          |   |   |   |   |
| Shares at December 31, 2009                    |   |                      | 30,009     |   |                      |   | 84,322     |                          |   |   |   |   |
| Subscriptions                                  |   |                      | 93,622     |   |                      |   | 163,480    |                          |   |   |   |   |
| Redemptions                                    |   |                      | -          |   |                      |   | -          |                          |   |   |   |   |
| Transfers                                      |   |                      | -          |   |                      |   | -          |                          |   |   |   |   |
|                                           |   |                      |       |   |                      |   |       |                          |   |   |   |   |
| Shares at June 30, 2010                        |   |                      | 123,631    |   |                      |   | 247,802    |                          |   |   |   |   |
|                                           |   |                      |       |   |                      |   |       |                          |   |   |   |   |
| Net asset value per share:                     |   |                      |       |   |                      |   |       |                          |   |   |   |   |
| June 30, 2010                                  |   | $                         | 102.77     |   |                      | $      | 93.03      |                          |   |   |   |   |

----

Index

|                                           |   | Leveraged Series |       |   | Unleveraged Series |   |
|------------------------------------------------|--------|------------------|------------|--------|--------------------|--------|
|                                           |   | Class AShares    |       |   | Class BShares      |   |   | Class CShares |   |   | Class DShares |   |   | TotalLeveragedSeries |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalUnleveragedSeries |   |   | TotalInvestors’Interest |   |
| Investors’ interest at December 31, 2008 |   | $                | 6,903,329  |   |               | $      | 13,796,085 |   |   | $ | 1,327 |   |   | $ | 31,281,480 |   |   | $ | 51,982,221 |   |   | $ | 4,293,290 |   |   | $ | 12,404,908 |   |   | $ | 1,320 |   |   | $ | 67,514,995 |   |   | $ | 84,214,513 |   |   | $ | 136,196,734 |   |
| Subscriptions                                  |   |             | 55,000     |   |               |   | 323,546 |   |   | ─ |   |   |   | 4,995,000 |   |   |   | 5,373,546 |   |   | ─ |   |   |   | 290,046 |   |   | ─ |   |   |   | 1,180,000 |   |   |   | 1,470,046 |   |   |   | 6,843,592 |   |
| Redemptions                                    |   |             | (465,324   | )      |               |   | (683,020 | ) |   | ─ |   |   |   | (2,115,319 | ) |   |   | (3,263,663 | ) |   |   | (35,000 | ) |   |   | (2,941,593 | ) |   | ─ |   |   |   | (7,588,359 | ) |   |   | (10,564,952 | ) |   |   | (13,828,615 | ) |
| Transfers                                      |   | ─          |       |   |               | (3,930 | ) |   | ─ |   |   |   | 536,934 |   |   |   | 533,004 |   |   | ─ |   |   |   | 3,930 |   |   | ─ |   |   |   | (536,934 | ) |   |   | (533,004 | ) |   | ─ |   |
| Net loss                                       |   |             | (1,321,535 | )      |               |   | (2,720,556 | ) |   |   | (266 | ) |   |   | (6,590,589 | ) |   |   | (10,632,946 | ) |   |   | (321,409 | ) |   |   | (719,423 | ) |   |   | (93 | ) |   |   | (4,270,558 | ) |   |   | (5,311,483 | ) |   |   | (15,944,429 | ) |
|                                           |   |             |       |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at June 30, 2009     |   | $                | 5,171,470  |   |               | $      | 10,712,125 |   |   | $ | 1,061 |   |   | $ | 28,107,506 |   |   | $ | 43,992,162 |   |   | $ | 3,936,881 |   |   | $ | 9,037,868 |   |   | $ | 1,227 |   |   | $ | 56,299,144 |   |   | $ | 69,275,120 |   |   | $ | 113,267,282 |   |
|                                           |   |             |       |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2008                    |   |             | 65,670     |   |               |   | 114,555 |   |   |   | 14 |   |   |   | 257,908 |   |   |   |   |   |   |   | 35,898 |   |   |   | 93,951 |   |   |   | 11 |   |   |   | 572,449 |   |   |   |   |   |   |   |   |   |
| Subscriptions                                  |   |             | 663        |   |               |   | 2,837 |   |   | ─ |   |   |   | 43,550 |   |   |   |   |   |   | ─ |   |   |   | 2,239 |   |   | ─ |   |   |   | 10,218 |   |   |   |   |   |   |   |   |   |
| Redemptions                                    |   |             | (4,315     | )      |               |   | (6,100 | ) |   | ─ |   |   |   | (18,380 | ) |   |   |   |   |   |   | (318 | ) |   |   | (22,608 | ) |   | ─ |   |   |   | (65,607 | ) |   |   |   |   |   |   |   |   |
| Transfers                                      |   | ─          |       |   |               | (32    | ) |   | ─ |   |   |   | 5,513 |   |   |   |   |   |   | ─ |   |   |   | 29 |   |   | ─ |   |   |   | (4,885 | ) |   |   |   |   |   |   |   |   |
|                                           |   |             |       |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at June 30, 2009                        |   |             | 62,018     |   |               |   | 111,260 |   |   |   | 14 |   |   |   | 288,591 |   |   |   |   |   |   |   | 35,580 |   |   |   | 73,611 |   |   |   | 11 |   |   |   | 512,175 |   |   |   |   |   |   |   |   |   |
| Net asset value per share:                     |   |             |       |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| June 30, 2009                                  |   | $                | 83.39      |   |               | $      | 96.28 |   |   | $ | 78.64 |   |   | $ | 97.40 |   |   |   |   |   |   | $ | 110.65 |   |   | $ | 122.78 |   |   | $ | 107.90 |   |   | $ | 109.92 |   |   |   |   |   |   |   |   |   |

----

Index

ML

|                                                                                                                         |   | For the sixmonths ended |        |   | For the sixmonths ended |   |
|------------------------------------------------------------------------------------------------------------------------------|--------|-------------------------|-------------|--------|-------------------------|--------|
|                                                                                                                         |   | June 30,2010            |        |   | June 30,2009            |   |
|                                                                                                                         |   |                    |        |   |                    |   |
| Cash flows from operating activities                                                                                         |   |                    |        |   |                    |   |
| Net loss                                                                                                                     |   | $                       | (3,018,002  | )      |                    | $      | (15,944,429 | ) |
| Adjustments to reconcile net loss to net cash and cash equivalents provided by (used in) operating and investing activities: |   |                    |        |   |                    |   |   |   |
| Net change in operating assets and liabilities:                                                                              |   |                    |        |   |                    |   |   |   |
| Due from broker                                                                                                              |   |                    | 996,358     |   |                    |   | 12,254,249 |   |
| Net unrealized (gain) loss on open futures contracts                                                                         |   |                    | (633,120    | )      |                    |   | 6,212,432 |   |
| Interest receivable                                                                                                          |   |                    | 5,368       |   |                    |   | 54,911 |   |
| Other assets                                                                                                                 |   |                    | (3,466      | )      |                    |   | 28 |   |
| Brokerage commissions payable                                                                                                |   |                    | (4,951      | )      |                    |   | (28,469 | ) |
| Management fee payable                                                                                                       |   |                    | (14,404     | )      |                    |   | (20,135 | ) |
| Accrued expenses                                                                                                             |   |                    | (71,891     | )      |                    |   | (132,872 | ) |
| Net cash and cash equivalents provided by (used in) operating and investing activities                                       |   |                    | (2,744,108  | )      |                    |   | 2,395,715 |   |
|                                                                                                                         |   |                    |        |   |                    |   |   |   |
| Cash flows from financing activities                                                                                         |   |                    |        |   |                    |   |   |   |
| Subscriptions received, net of selling commissions                                                                           |   |                    | 28,615,658  |   |                    |   | 6,843,592 |   |
| Net redemptions, including payments of redemptions payable                                                                   |   |                    | (40,454,668 | )      |                    |   | (16,004,213 | ) |
| Net cash and cash equivalents used in financing activities                                                                   |   |                    | (11,839,010 | )      |                    |   | (9,160,621 | ) |
|                                                                                                                         |   |                    |        |   |                    |   |   |   |
| Net decrease in cash and cash equivalents                                                                                    |   |                    | (14,583,118 | )      |                    |   | (6,764,906 | ) |
| Cash and cash equivalents at beginning of period                                                                             |   |                    | 91,417,211  |   |                    |   | 98,799,819 |   |
| Cash and cash equivalents at end of period                                                                                   |   | $                       | 76,834,093  |   |                    | $      | 92,034,913 |   |
|                                                                                                                         |   |                    |        |   |                    |   |   |   |
| Supplemental disclosures of non-cash financing activities:                                                                   |   |                    |        |   |                    |   |   |   |
| Redemptions payable                                                                                                          |   | $                       | 2,137,748   |   |                    | $      | 705,498 |   |

----

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

|                     |   | June 30,2010 |       |   | December 31,2009 |   |
|--------------------------|--------|--------------|------------|--------|------------------|--------|
|                     |   |         |       |   |             |   |
| Overnight money markets  |   | $            | 34,451,000 |   |             | $      | 10,001,000 |   |
| Money market securities  |   |         | 41,979,402 |   |             |   | 81,011,771 |   |
| Cash in checking account |   |         | 403,691    |   |             |   | 404,440 |   |
|                     |   |         |       |   |             |   |   |   |
| Total                    |   | $            | 76,834,093 |   |             | $      | 91,417,211 |   |

----

Index

----

Index

|    |   | Leveraged Series |   |
|---------|--------|------------------|--------|
|    |   | Brokerage Fee    |   |   | Management Fee |   |   | Organizational Fee |   |   | Operating Expense |   |   | Selling Expense |   |   | Total Fees and Commissions |   |
| 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 Series |   |
|---------|--------|--------------------|--------|
|    |   | Brokerage Fee      |   |   | Management Fee |   |   | Organizational Fee |   |   | Operating Expense |   |   | Selling Expense |   |   | Total Fees and Commissions |   |
| Class A |   |               | 0.85   | % |   |   | 1.50 | % |   |   | N/A | * |   |   | 0.35 | % |   |   | 4.00 | % |   |   | 6.70 | % |
| Class B |   |               | 0.85   | % |   |   | 0.50 | % |   |   | N/A | * |   |   | 0.35 | % |   |   | N/A |   |   |   | 1.70 | % |
| 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 | % |

|              |   | Fair Value at |      |
|-------------------|--------|---------------|-----------|
|              |   | June 30, 2010 |      |   | December 31, 2009 |   |
|              |   | Assets        |      |   | Liabilities |   |   | Assets |   |   | Liabilities |   |
| Financial futures |   | $             | 1,443,251 |   |   | $ | (1,164,856 | ) |   | $ | 187,104 |   |   | $ | (2,300,234 | ) |
| Commodity futures |   |          | 511,243   |   |   |   | (1,291,006 | ) |   |   | 1,626,318 |   |   |   | (647,676 | ) |
|              |   |          |      |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total             |   | $             | 1,954,494 |   |   | $ | (2,455,862 | ) |   | $ | 1,813,422 |   |   | $ | (2,947,910 | ) |

----

Index

|              |   | June 30, 2010 – 6 months |       |
|-------------------|--------|--------------------------------|------------|
|              |   | Realized P&L*              |       |   | Change inUnrealized* |   |   | Total |   |
| Financial futures |   | $                              | (14,540    | ) |   | $ | 2,391,525 |   |   | $ | 2,376,985 |   |
| Commodity futures |   |                           | (2,504,169 | ) |   |   | (1,758,405 | ) |   |   | (4,262,574 | ) |
|              |   |                           |       |   |   |   |   |   |   |   |   |   |
| Total             |   | $                              | (2,518,709 | ) |   | $ | 633,120 |   |   | $ | (1,885,589 | ) |

|              |   | June 30, 2010 – 3 months |       |
|-------------------|--------|--------------------------------|------------|
|              |   | Realized P&L*              |       |   | Change in Unrealized* |   |   | Total |   |
| Financial futures |   | $                              | 2,806,029  |   |   | $ | (364,981 | ) |   | $ | 2,441,048 |   |
| Commodity futures |   |                           | (1,660,112 | ) |   |   | (3,960,606 | ) |   |   | (5,620,718 | ) |
|              |   |                           |       |   |   |   |   |   |   |   |   |   |
| Total             |   | $                              | (1,145,917 | ) |   | $ | (4,325,587 | ) |   | $ | (3,179,670 | ) |

|              |   | June 30, 2009 – 6 months |       |
|-------------------|--------|--------------------------------|------------|
|              |   | Realized P&L*              |       |   | Change in Unrealized* |   |   | Total |   |
| Financial futures |   | $                              | (5,205,943 | ) |   | $ | (2,229,336 | ) |   | $ | (7,435,279 | ) |
| Commodity futures |   |                           | (3,531,369 | ) |   |   | (3,983,096 | ) |   |   | (7,514,465 | ) |
|              |   |                           |       |   |   |   |   |   |   |   |   |   |
| Total             |   | $                              | (8,737,312 | ) |   | $ | (6,212,432 | ) |   | $ | (14,949,744 | ) |

|              |   | June 30, 2009 – 3 months |        |
|-------------------|--------|--------------------------------|-------------|
|              |   | Realized P&L*              |        |   | Change in Unrealized* |   |   | Total |   |
| Financial futures |   | $                              | (10,749,063 | ) |   | $ | 2,443,359 |   |   | $ | (8,305,704 | ) |
| Commodity futures |   |                           | (11,227,285 | ) |   |   | 4,008,865 |   |   |   | (7,218,420 | ) |
|              |   |                           |        |   |   |   |   |   |   |   |   |   |
| Total             |   | $                              | (21,976,348 | ) |   | $ | 6,452,224 |   |   | $ | (15,524,124 | ) |

----

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 |   |
| Loss from investment operations:                                   |   |               |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                             |   |               | (1.46  | )      |               |   | (0.91  | )                                |   |   | (1.07                            | )      |   |   | (0.93 | ) |   |   | (1.08 | ) |   |   | (0.58 | ) |   |   | (0.79 | ) |   |   | (0.52 | ) |   |   | (0.48 | ) |   |   | (0.43 | ) |
| Net realized and unrealized gain (loss) on investment transactions |   |               | 0.09   |   |               |   | 0.10   |                             |   |   | 0.45                             |   |   |   | 0.57 |   |   |   | (0.06 | ) |   |   | (0.06 | ) |   |   | 0.19 |   |   |   | 0.19 |   |   |   | (4.92 | ) |   |   | (8.54 | ) |
| Total from investment operations                                   |   |               | (1.37  | )      |               |   | (0.81  | )                                |   |   | (0.62                            | )      |   |   | (0.36 | ) |   |   | (1.14 | ) |   |   | (0.64 | ) |   |   | (0.60 | ) |   |   | (0.33 | ) |   |   | (5.40 | ) |   |   | (8.97 | ) |
| Net asset value per share at June 30, 2010                         |   | $                  | 89.36  |   |               | $      | 104.72 |                             |   | $      | 85.62                            |   |   | $ | 106.84 |   |   | $ | 112.14 |   |   | $ | 125.68 |   |   | $ | 110.39 |   |   | $ | 113.02 |   |   | $ | 102.77 |   |   | $ | 93.03 |   |
|                                                               |   |               |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                                      |   |               | (1.51  | )%     |               |   | (0.77  | )%                               |   |   | (0.72                            | )%     |   |   | (0.34 | )% |   |   | (1.01 | )% |   |   | (0.51 | )% |   |   | (0.540 | % |   |   | (0.29 | )% |   |   | (4.99 | )% |   |   | (8.80 | )% |
|                                                               |   |               |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                        |   |               |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                             |   |               | (1.82  | )%     |               |   | (0.88  | )%                               |   |   | (1.24                            | )%     |   |   | (0.90 | )% |   |   | (1.01 | )% |   |   | (0.49 | )% |   |   | (0.71 | )% |   |   | (0.49 | )% |   |   | (0.34 | )% |   |   | (0.30 | )% |
| Expenses                                                           |   |               | (1.84  | )%     |               |   | (0.90  | )%                               |   |   | (1.26                            | )%     |   |   | (0.92 | )% |   |   | (1.05 | )% |   |   | (0.52 | )% |   |   | (0.75 | )% |   |   | (0.53 | )% |   |   | (0.34 | )% |   |   | (0.30 | )% |

----

Index

|                                                        |   | Leveraged Series |   |   | Unleveraged Series |   |
|-------------------------------------------------------------|--------|------------------|--------|--------|--------------------|--------|
|                                                        |   | Class AShares    |   |   | Class BShares      |   |   | Class CShares |   |   | Class DShares |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per share operating performance:                            |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  December 31, 2008   |   | $                | 105.12 |   |               | $      | 120.43 |   |   | $ | 98.31 |   |   | $ | 121.29 |   |   | $ | 119.60 |   |   | $ | 132.04 |   |   | $ | 116.06 |   |   | $ | 117.94 |   |
| Loss from investment operations:                            |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                      |   |             | (1.61  | )      |               |   | (0.98 | ) |   |   | (1.16 | ) |   |   | (0.99 | ) |   |   | (1.10 | ) |   |   | (0.56 | ) |   |   | (0.78 | ) |   |   | (0.50 | ) |
| Net realized and unrealized loss on investment transactions |   |             | (20.12 | )      |               |   | (23.17 | ) |   |   | (18.51 | ) |   |   | (22.90 | ) |   |   | (7.85 | ) |   |   | (8.70 | ) |   |   | (7.38 | ) |   |   | (7.52 | ) |
| Total from investment operations                            |   |             | (21.73 | )      |               |   | (24.15 | ) |   |   | (19.67 | ) |   |   | (23.89 | ) |   |   | (8.95 | ) |   |   | (9.26 | ) |   |   | (8.16 | ) |   |   | (8.02 | ) |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  June 30, 2009       |   | $                | 83.39  |   |               | $      | 96.28 |   |   | $ | 78.64 |   |   | $ | 97.40 |   |   | $ | 110.65 |   |   | $ | 122.78 |   |   | $ | 107.90 |   |   | $ | 109.92 |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                               |   |             | (20.67 | )%     |               |   | (20.05 | )% |   |   | (20.01 | )% |   |   | (19.70 | )% |   |   | (7.48 | )% |   |   | (7.01 | )% |   |   | (7.03 | )% |   |   | (6.80 | )% |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                 |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment expense                                      |   |             | (1.59  | )%     |               |   | (0.84 | )% |   |   | (1.22 | )% |   |   | (0.84 | )% |   |   | (0.93 | )% |   |   | (0.43 | )% |   |   | (0.68 | )% |   |   | (0.43 | )% |
| Expenses                                                    |   |             | (1.65  | )%     |               |   | (0.90 | )% |   |   | (1.28 | )% |   |   | (0.90 | )% |   |   | (1.01 | )% |   |   | (0.51 | )% |   |   | (0.76 | )% |   |   | (0.51 | )% |

----

Index

| June 30, 2010  Assets                              |   | Commodity L/N Unleveraged Series |       |   | Commodity L/S Unleveraged Series |   |       | Leveraged Series |   |   | Unleveraged Series |   |   | Trust Total |       |
|--------------------------------------------------------------|--------|----------------------------------|------------|--------|----------------------------------|--------|------------|------------------|--------|--------|--------------------|--------|--------|-------------|------------|
| Cash and cash equivalents                                    |   | $                                | 22,386,013 |   |                             | $      | 10,644,574 |             |   | $      | 17,122,892         |   |   | $           | 26,680,614 |   |   | $ | 76,834,093 |   |
| Due from broker                                              |   |                             | 806,497    |   |                             |   | 2,236,869  |             |   |   | 20,493,361         |   |   |        | 13,843,341 |   |   |   | 37,380,068 |   |
| Interest receivable                                          |   |                             | 29         |   |                             |   | 14         |             |   |   | -                  |   |   |        | 3          |   |   |   | 46 |   |
| Other assets                                                 |   |                             | -          |   |                             |   | -          |             |   |   | -                  |   |   |        | 3,466      |   |   |   | 3,466 |   |
| Total assets                                                 |   |                             | 23,192,539 |   |                             |   | 12,881,457 |             |   |   | 37,616,253         |   |   |        | 40,527,424 |   |   |   | 114,217,673 |   |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Liabilities and investors’ interest                    |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Redemptions payable                                          |   |                             | -          |   |                             |   | -          |             |   |   | 418,700            |   |   |        | 1,719,048  |   |   |   | 2,137,748 |   |
| Net unrealized loss on open futures contracts, at fair value |   |                             | 122,391    |   |                             |   | 167,941    |             |   |   | 160,493            |   |   |        | 50,543     |   |   |   | 501,368 |   |
| Brokerage commissions payable                                |   |                             | 7,217      |   |                             |   | 2,421      |             |   |   | 34,112             |   |   |        | 16,423     |   |   |   | 60,173 |   |
| Management fee payable                                       |   |                             | 9,750      |   |                             |   | 5,536      |             |   |   | 45,831             |   |   |        | 20,477     |   |   |   | 81,594 |   |
| Accrued expenses                                             |   |                             | 120        |   |                             |   | 81         |             |   |   | 7,957              |   |   |        | 10,068     |   |   |   | 18,226 |   |
| Total liabilities                                            |   |                             | 139,478    |   |                             |   | 175,979    |             |   |   | 667,093            |   |   |        | 1,816,559  |   |   |   | 2,799,109 |   |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Investors’ interest                                    |   |                             | 23,053,061 |   |                             |   | 12,705,478 |             |   |   | 36,949,160         |   |   |        | 38,710,865 |   |   |   | 111,418,564 |   |
| Total liabilities and investors’ interest              |   | $                                | 23,192,539 |   |                             | $      | 12,881,457 |             |   | $      | 37,616,253         |   |   | $           | 40,527,424 |   |   | $ | 114,217,673 |   |

| December 31, 2009  Assets                          |   | Commodity L/N Unleveraged Series |      |   | Commodity L/S Unleveraged Series |   |      | Leveraged Series |   |   | Unleveraged Series |   |   | Trust Total |       |
|--------------------------------------------------------------|--------|----------------------------------|-----------|--------|----------------------------------|--------|-----------|------------------|--------|--------|--------------------|--------|--------|-------------|------------|
| Cash and cash equivalents                                    |   | $                                | 7,999,557 |   |                             | $      | 186,896   |             |   | $      | 27,107,971         |   |   | $           | 56,122,787 |   |   | $ | 91,417,211 |   |
| Due from broker                                              |   |                             | 504,578   |   |                             |   | 3,004,023 |             |   |   | 20,992,597         |   |   |        | 13,875,228 |   |   |   | 38,376,426 |   |
| Net unrealized gain on open futures contracts, at fair value |   |                             | 100,833   |   |                             |   | 57,043    |             |   |   | -                  |   |   |        | -          |   |   |   | 157,876 |   |
| Interest receivable                                          |   |                             | -         |   |                             |   | -         |             |   |   | 1,773              |   |   |        | 3,641      |   |   |   | 5,414 |   |
| Total assets                                                 |   |                             | 8,604,968 |   |                             |   | 3,247,962 |             |   |   | 48,102,341         |   |   |        | 70,001,656 |   |   |   | 129,956,927 |   |
|                                                         |   |                             |      |   |                             |   |      |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Liabilities and investors’ interest                    |   |                             |      |   |                             |   |      |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Redemptions payable                                          |   |                             | -         |   |                             |   | -         |             |   |   | 684,794            |   |   |        | 23,149,576 |   |   |   | 23,834,370 |   |
| Net unrealized loss on open futures contracts, at fair value |   |                             | -         |   |                             |   | -         |             |   |   | 976,564            |   |   |        | 315,800    |   |   |   | 1,292,364 |   |
| Brokerage commissions payable                                |   |                             | 1,667     |   |                             |   | -         |             |   |   | 39,138             |   |   |        | 24,319     |   |   |   | 65,124 |   |
| Management fee payable                                       |   |                             | 2,084     |   |                             |   | 1,334     |             |   |   | 59,315             |   |   |        | 33,265     |   |   |   | 95,998 |   |
| Accrued expenses                                             |   |                             | -         |   |                             |   | 468       |             |   |   | 46,644             |   |   |        | 43,005     |   |   |   | 90,117 |   |
| Total liabilities                                            |   |                             | 3,751     |   |                             |   | 1,802     |             |   |   | 1,806,455          |   |   |        | 23,565,965 |   |   |   | 25,377,973 |   |
|                                                         |   |                             |      |   |                             |   |      |             |   |   |               |   |   |        |       |   |   |   |   |   |
| Investors’ interest                                    |   |                             | 8,601,217 |   |                             |   | 3,246,160 |             |   |   | 46,295,886         |   |   |        | 46,435,691 |   |   |   | 104,578,954 |   |
| Total liabilities and investors’ interest              |   | $                                | 8,604,968 |   |                             | $      | 3,247,962 |             |   | $      | 48,102,341         |   |   | $           | 70,001,656 |   |   | $ | 129,956,927 |   |

----

Index

| Six month period ended June 30, 2010                                |   | Commodity L/N Unleveraged Series |       |   | Commodity L/S Unleveraged Series |   |       | Leveraged Series |   |   | Unleveraged Series |   |   | Trust Total |     |
|---------------------------------------------------------------------|--------|----------------------------------|------------|--------|----------------------------------|--------|------------|------------------|--------|--------|--------------------|--------|--------|-------------|----------|
| Investment income                                                   |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |
| Interest                                                            |   | $                                | 15         |   |                             | $      | 31         |             |   | $      | 8,539              |   |   | $           | 15,411   |   |   | $ | 23,996 |   |
|                                                                |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Expenses                                                            |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Brokerage commissions                                               |   |                             | 16,714     |   |                             |   | 25,100     |             |   |   | 248,189            |   |   |        | 117,362  |   |   |   | 407,365 |   |
| Management fee                                                      |   |                             | 20,892     |   |                             |   | 31,374     |             |   |   | 293,702            |   |   |        | 131,632  |   |   |   | 477,600 |   |
| Operating expenses                                                  |   |                             | 15,364     |   |                             |   | 22,731     |             |   |   | 94,546             |   |   |        | 107,588  |   |   |   | 240,229 |   |
| Total expenses                                                      |   |                             | 52,970     |   |                             |   | 79,205     |             |   |   | 636,437            |   |   |        | 356,582  |   |   |   | 1,125,194 |   |
|                                                                |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net investment loss                                                 |   |                             | (52,955    | )      |                             |   | (79,174    | )                |   |   | (627,898           | )      |   |        | (341,171 | ) |   |   | (1,101,198 | ) |
|                                                                |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Realized and unrealized gain (loss) on investments                  |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net realized loss                                                   |   |                             | (761,608   | )      |                             |   | (1,245,638 | )                |   |   | (478,837           | )      |   |        | (54,760  | ) |   |   | (2,540,843 | ) |
| Net gain (loss) on change in unrealized gain or loss on investments |   |                             | (226,119   | )      |                             |   | (223,344   | )                |   |   | 808,906            |   |   |        | 264,596  |   |   |   | 624,039 |   |
| Net realized and unrealized gain (loss) on investments              |   |                             | (987,727   | )      |                             |   | (1,468,982 | )                |   |   | 330,069            |   |   |        | 209,836  |   |   |   | (1,916,804 | ) |
|                                                                |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net loss                                                            |   | $                                | (1,040,682 | )      |                             | $      | (1,548,156 | )                |   | $      | (297,829           | )      |   | $           | (131,335 | ) |   | $ | (3,018,002 | ) |

| Three month period ended June 30, 2010                       |   | Commodity L/N Unleveraged Series |       |   | Commodity L/S Unleveraged Series |   |       | Leveraged Series |   |   | Unleveraged Series |   |   | Trust Total |     |
|--------------------------------------------------------------|--------|----------------------------------|------------|--------|----------------------------------|--------|------------|------------------|--------|--------|--------------------|--------|--------|-------------|----------|
| Investment income                                            |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |
| Interest                                                     |   | $                                | 15         |   |                             | $      | 30         |             |   | $      | 4,411              |   |   | $           | 7,803    |   |   | $ | 12,259 |   |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Expenses                                                     |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Brokerage commissions                                        |   |                             | 13,517     |   |                             |   | 16,729     |             |   |   | 120,292            |   |   |        | 55,843   |   |   |   | 206,381 |   |
| Management fee                                               |   |                             | 16,896     |   |                             |   | 20,911     |             |   |   | 140,740            |   |   |        | 62,443   |   |   |   | 240,990 |   |
| Operating expenses                                           |   |                             | 12,249     |   |                             |   | 15,075     |             |   |   | 42,349             |   |   |        | 40,943   |   |   |   | 110,616 |   |
| Total expenses                                               |   |                             | 42,662     |   |                             |   | 52,715     |             |   |   | 303,381            |   |   |        | 159,229  |   |   |   | 557,987 |   |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net investment loss                                          |   |                             | (42,647    | )      |                             |   | (52,685    | )                |   |   | (298,970           | )      |   |        | (151,426 | ) |   |   | (545,728 | ) |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Realized and unrealized gain (loss) on investments           |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net realized gain (loss)                                     |   |                             | (720,626   | )      |                             |   | (954,123   | )                |   |   | 2,070,226          |   |   |        | 735,728  |   |   |   | 1,131,205 |   |
| Net loss on change in unrealized gain or loss on investments |   |                             | (396,502   | )      |                             |   | (289,974   | )                |   |   | (2,688,841         | )      |   |        | (949,874 | ) |   |   | (4,325,191 | ) |
| Net realized and unrealized loss on investments              |   |                             | (1,117,128 | )      |                             |   | (1,244,097 | )                |   |   | (618,615           | )      |   |        | (214,146 | ) |   |   | (3,193,986 | ) |
|                                                         |   |                             |       |   |                             |   |       |             |   |   |               |   |   |        |     |   |   |   |   |   |
| Net loss                                                     |   | $                                | (1,159,775 | )      |                             | $      | (1,296,782 | )                |   | $      | (917,585           | )      |   | $           | (365,572 | ) |   | $ | (3,739,714 | ) |

----

Index

| Six month period ended June 30, 2009                         |   | Leveraged Series |        |   | Unleveraged Series |   |       | Trust Total |   |
|--------------------------------------------------------------|--------|------------------|-------------|--------|--------------------|--------|------------|-------------|--------|
| Investment income                                            |   |             |        |   |               |   |       |        |   |
| Interest                                                     |   | $                | 31,873      |   |               | $      | 68,424     |        |   | $ | 100,297 |   |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Expenses                                                     |   |             |        |   |               |   |       |        |   |   |   |   |
| Brokerage commissions                                        |   |             | 311,804     |   |               |   | 194,957    |        |   |   | 506,761 |   |
| Management fee                                               |   |             | 378,430     |   |               |   | 221,694    |        |   |   | 600,124 |   |
| Operating expenses                                           |   |             | 131,050     |   |               |   | 211,794    |        |   |   | 342,844 |   |
| Total expenses                                               |   |             | 821,284     |   |               |   | 628,445    |        |   |   | 1,449,729 |   |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Net investment loss                                          |   |             | (789,411    | )      |               |   | (560,021   | )           |   |   | (1,349,432 | ) |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Realized and unrealized loss on investments                  |   |             |        |   |               |   |       |        |   |   |   |   |
| Net realized loss                                            |   |             | (5,852,281  | )      |               |   | (2,496,276 | )           |   |   | (8,348,557 | ) |
| Net loss on change in unrealized gain or loss on investments |   |             | (3,991,254  | )      |               |   | (2,255,186 | )           |   |   | (6,246,440 | ) |
| Net realized and unrealized loss on investments              |   |             | (9,843,535  | )      |               |   | (4,751,462 | )           |   |   | (14,594,997 | ) |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Net loss                                                     |   | $                | (10,632,946 | )      |               | $      | (5,311,483 | )           |   | $ | (15,944,429 | ) |

| Three month period ended June 30, 2009                       |   | Leveraged Series |        |   | Unleveraged Series |   |       | Trust Total |   |
|--------------------------------------------------------------|--------|------------------|-------------|--------|--------------------|--------|------------|-------------|--------|
| Investment income                                            |   |             |        |   |               |   |       |        |   |
| Interest                                                     |   | $                | 12,245      |   |               | $      | 27,865     |        |   | $ | 40,110 |   |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Expenses                                                     |   |             |        |   |               |   |       |        |   |   |   |   |
| Brokerage commissions                                        |   |             | 147,366     |   |               |   | 91,615     |        |   |   | 238,981 |   |
| Management fee                                               |   |             | 179,194     |   |               |   | 104,858    |        |   |   | 284,052 |   |
| Operating expenses                                           |   |             | 65,067      |   |               |   | 101,756    |        |   |   | 166,823 |   |
| Total expenses                                               |   |             | 391,627     |   |               |   | 298,229    |        |   |   | 689,856 |   |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Net investment loss                                          |   |             | (379,382    | )      |               |   | (270,364   | )           |   |   | (649,746 | ) |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Realized and unrealized gain (loss) on investments           |   |             |        |   |               |   |       |        |   |   |   |   |
| Net realized loss                                            |   |             | (14,510,994 | )      |               |   | (7,423,606 | )           |   |   | (21,934,600 | ) |
| Net gain on change in unrealized gain or loss on investments |   |             | 4,342,841   |   |               |   | 2,346,023  |        |   |   | 6,688,864 |   |
| Net realized and unrealized gain (loss) on investments       |   |             | (10,168,153 | )      |               |   | (5,077,583 | )           |   |   | (15,245,736 | ) |
|                                                         |   |             |        |   |               |   |       |        |   |   |   |   |
| Net loss                                                     |   | $                | (10,547,535 | )      |               | $      | (5,347,947 | )           |   | $ | (15,895,482 | ) |

----

Index

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

----

Index

----

Index

----

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 |   |
|          |   |               |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |               | (1.51  | )%     |               |   | (0.77  | )%                               |   |   | (0.72                            | )%     |   |   | (0.34 | )% |   |   | (1.01 | )% |   |   | (0.51 | )% |   |   | (0.54 | )% |   |   | (0.29 | )% |   |   | (4.99 | )% |   |   | (8.80 | )% |

|          |   | Leveraged Series |   |   | Unleveraged Series |   |
|---------------|--------|------------------|--------|--------|--------------------|--------|
|          |   | Class AShares    |   |   | Class BShares      |   |   | Class CShares |   |   | Class DShares |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |
|          |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |             | (20.68 | )%     |               |   | (20.05 | )% |   |   | (20.01 | )% |   |   | (19.70 | )% |   |   | (7.48 | )% |   |   | (7.01 | )% |   |   | (7.03 | )% |   |   | (6.80 | )% |

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

----

Index

----

Index

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

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

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

----

Index

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

|                 |   | Leveraged Series |   |   | Unleveraged Series |   |   | Commodity L/S Unleveraged Series |   |   | Commodity L/N Unleveraged Series |   |
|----------------------|--------|------------------|--------|--------|--------------------|--------|--------|----------------------------------|--------|--------|----------------------------------|--------|
|                 |   | Class A     |   |   | Class B       |   |   | Class C                     |   |   | Class D                     |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |   | Class D |   |   | Class D |   |
| Apr-10 Subscriptions |   | $                | -      |   |               | $      | 76,865 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 73,715 |   |   | $ | - |   |   | $ | - |   |   | $ | 500,000 |   |   | $ | 10,000,000 |   |
| Subscriptions Units  |   |             | -      |   |               |   | 708    |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 579 |   |   |   | - |   |   |   | - |   |   |   | 4,447 |   |   |   | 99,941 |   |
| # of Purchasers      |   |             | -      |   |               |   | 3      |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 3 |   |   |   | - |   |   |   | - |   |   |   | 1 |   |   |   | 1 |   |
| Unit Price           |   | $                | -      |   |               | $      | 108.57 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 127.26 |   |   | $ | - |   |   | $ | - |   |   | $ | 112.42 |   |   | $ | 100.06 |   |
|                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| May-10 Subscriptions |   | $                | -      |   |               | $      | 22,682 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 17,849 |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | 6,000,000 |   |
| Subscriptions Units  |   |             | -      |   |               |   | 211    |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 141 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 63,539 |   |
| # of Purchasers      |   |             | -      |   |               |   | 2      |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 2 |   |   |   | - |   |   |   | - |   |   |   | - |   |   |   | 1 |   |
| Unit Price           |   | $                | -      |   |               | $      | 107.50 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 126.82 |   |   | $ | - |   |   | $ | - |   |   | $ | - |   |   | $ | 94.43 |   |
|                 |   |             |   |   |               |   |   |                             |   |   |                             |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Jun-10 Subscriptions |   | $                | -      |   |               | $      | 22,604 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 172,644 |   |   | $ | - |   |   | $ | 275,000 |   |   | $ | - |   |   | $ | - |   |
| Subscriptions Units  |   |             | -      |   |               |   | 216    |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 1,374 |   |   |   | - |   |   |   | 2,433 |   |   |   | - |   |   |   | - |   |
| # of Purchasers      |   |             | -      |   |               |   | 2      |                             |   |   | -                                |   |   |   | - |   |   |   | - |   |   |   | 3 |   |   |   | - |   |   |   | 4 |   |   |   | - |   |   |   | - |   |
| Unit Price           |   | $                | -      |   |               | $      | 104.72 |                             |   | $      | -                                |   |   | $ | - |   |   | $ | - |   |   | $ | 125.68 |   |   | $ | - |   |   | $ | 113.02 |   |   | $ | - |   |   | $ | - |   |

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

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

----

Index

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

|   | 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 Corporation |   |
| Its:  Manager                                 |   |
|                                                    |   |
| By:  /s/ Timothy J. Rudderow                  |   |
| Timothy J. Rudderow, President                          |   |

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