**SECURITIES
      AND EXCHANGE COMMISSION**


**WASHINGTON,
      D.C. 20549**


FORM
      10-Q





x   Quarterly
      report pursuant to Section 13 or 15(d) of the Securities


Exchange
      Act of 1934








For
      the
      quarterly period ended June 30, 2007,





or





o   Transition
      report pursuant to Section 13 or 15(d) of the Securities


Exchange
      Act of 1934





For
      the
      transition period from ____________ to _____________








COMMISSION
      FILE NUMBER 0-49767





**MLM
      INDEXTM FUND**


(Exact
      name of registrant as specified in its charter)








DELAWARE





(State
      or
      other jurisdiction of incorporation or organization)








47
      Hulfish Street, Suite 510, Princeton, New Jersey


(Address
      of principal executive offices)








Unleveraged
      Series: 22-2897229


Leveraged
      Series: 22-3722683


(IRS
      Employer Identification Number)





08542


(Zip
      Code)





(609)
      924-8868





(Registrant's
      telephone number including area code)




N/A


(Former
      name, former address and former fiscal year, if


changed
      since last report)





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





Yes  
      x                                          No
o












Indicate
      by check mark whether the registrant is a large accelerated filer, an
      accelerated filer, or a non-accelerated filer. See definition of “accelerated
      filer and large accelerated filer “ in Rule 12-b-2 of the Exchange Act. (Check
      One):




Large
                  Accelerated Filer  o
              Accelerated
                  Filer  o
              Non-Accelerated
                  Filer  x





Indicate
      by check mark whether the registrant is a shell company (as defined in Rule
      12-b-2 of the Exchange Act).


Yes 
      o             
             No 
x





APPLICABLE
      ONLY TO ISSUERS INVOLVED IN BANKRUPTY PROCEEDINGS DURING THE PRECEDING FIVE
      YEARS:





Indicate
      by check mark whether the registrant has filed all documents and reports
      required to be filed by Sections 12, 13, or 15(d) of the Securities and Exchange
      Act of 1934 subsequent to the distribution of securities under a plan confirmed
      y a court.


Yes 
o                     No 
o




2


**MLM
      IndexTM Fund**


**Index
      to FORM 10Q**


**June
      30, 2007**




**PART
        I – FINANCIAL INFORMATION**


Item
                    1****Financial
                    Statements:
                Page
                    NumberStatements
                    of Financial Condition as of June 30, 2007
                    (unaudited) and December 31, 2006 (audited)
                4Condensed
                    Schedules of Investments as of June 30, 2007
                    (unaudited) and December 31, 2006 (audited)
                5Unaudited
                    Interim Statements of Operations for the
                    three months ended June 30, 2007 and 2006 and for the six months
                    ended
                    June 30, 2007 and 2006
                6Unaudited
                    Interim Statements of Changes in Investors’
                    Interest for the six months ended June 30, 2007 and
                    2006
                7-8Unaudited
                    Interim Statements of Cash Flows for the six months
                    ended June 30, 2007 and 2006
                9Notes
                    to Unaudited Interim Financial
                    Statements
                10Item
                    2    Management’s Discussion and Analysis
                    of Financial Condition and Results of Operations
                16Item
                    3    Quantitative and Qualitative
                    Disclosures of Market Risk
                19Item
                    4    Controls and
                    Procedures
                20**PART
                    II – OTHER INFORMATION**Item
                    1     Legal
                    Proceedings
                21Item
                    2     Unregistered Sales of
                    Equity Securities and Use of Proceeds
                21Item
                    3     Defaults Upon Senior
                    Securities
                21Item
                    4     Submission of Matters to
                    a Vote of Security Holders
                21Item
                    5     Other
                    Information
                21Item
                    6     Exhibits and Reports
                    on Form 8-K
                22




3




**Item
                1.**
            **Financial
                Statements.**




MLM
      IndexTM Fund


Interim
      Statement of Financial Condition


As
      of
      June 30, 2007 (Unaudited) and December 31, 2006 (Audited)





June
                  30,
              
              
              December 31,2007
              
              
              2006**Assets**Cash
                  and cash equivalents
              
              $
              153,707,018
              
              
              $
              233,557,725Due
                  from broker
              
              
              7,060,045
              
              
              
              10,291,250Interest
                  receivable
              
              
              1,113,960
              
              
              
              1,410,780Other
                  assets
              
              
              1,267
              
              
              
              1,267Total
                  assets
              
              $
              161,882,290
              
              
              $
              245,261,022**Liabilities
                  and investors’ interest**Redemptions
                  payable
              
              $
              4,551,681
              
              
              $
              15,304,888Brokerage
                  commissions payable
              
              
              98,160
              
              
              
              188,387Management
                  fee payable
              
              
              122,260
              
              
              
              205,643Accrued
                  expenses
              
              
              89,373
              
              
              
              297,547Subscriptions
                  received in advance
              
              
              -
              
              
              
              40,000Total
                  liabilities
              
              $
              4,861,474
              
              
              $
              16,036,465Investors’
                  interest
              
              $
              157,020,816
              
              
              
              229,224,557Total
                  liabilities and investors’ interest
              
              $
              161,882,290
              
              
              $
              245,261,022





*See
      Notes to Unaudited Interim Financial Statements*





4




MLM
        IndexTM Fund
 Interim
        Condensed Schedules of Investments
 June
        30,
        2007 (Unaudited)
 
 **Security
                  Description**
              
              **Number
                  of**
                **Contracts**
              
              
              **Unrealized**
                **Appreciation/(Depreciation)**
              
              
              **Percentage
                  of**
                **Investors'**
                **Interest**FuturesLong
                  Futures Contracts1Financial
              
              
              473
              
              
              $
              1,391,336
              
              
              
              0.89
              %Commodity
              
              
              1,067
              
              
              
              (854,538
              )
              
              
              (0.54
              )1,540
              
              
              $
              536,798
              
              
              
              0.35Short
                  Futures Contracts1Financial
              
              
              756
              
              
              $
              900,450
              
              
              
              0.57Commodity
              
              
              712
              
              
              
              787,606
              
              
              
              0.501,468
              
              
              $
              1,688,056
              
              
              
              1.07Net
                  unrealized appreciation onfutures
                  contracts
              
              
              
              
              
              $
              2,224,854
              
              
              
              1.42
              %
 
 
 December
        31, 2006 (Audited)
 
 **Security
                  Description**
              
              **Number
                  of**
                **Contracts**
              
              
              **Unrealized**
                **Appreciation**
                **Depreciation)**
              
              
              **Percentage
                  of**
                **Investors**
                **Interest**FuturesLong
                  Futures Contracts1Financial
              
              
              1,876
              
              
              $
              (1,753,990
              )
              
              
              (0.76
              %)Commodity
              
              
              1,533
              
              
              
              (130,935
              )
              
              
              (0.06
              )3,409
              
              
              
              (1,884,925
              )
              
              
              (0.82
              ).Short
                  Futures Contracts1Financial
              
              
              673
              
              
              
              1,088,346
              
              
              
              0.48Commodity
              
              
              1,631
              
              
              
              3,239,152
              
              
              
              1.412,304
              
              
              
              4,327,498
              
              
              
              1.89Net
                  unrealized appreciation onfutures
                  contracts
              
              
              
              
              
              $
              2,442,573
              
              
              
              1.07
              %
 
 
 *See
        Notes to Unaudited Interim Financial Statements*
 
 1All such amounts are included, net, in
        due from brokers on the statements of financial condition.
  5
 MLMIndexTM
Fund
 Unaudited
        Interim Statements of Operations
 
 For
                  the three
              
              
              For
                  the three
              
              
              For
                  the six
              
              
              For
                  the sixmonths
                  ended
              
              
              months
                  ended
              
              
              months
                  ended
              
              
              months
                  endedJune
                  30,
              
              
              June
                  30,
              
              
              June
                  30,
              
              
              June
                  30,2007
              
              
              2006
              
              
              2007
              
              
              2006Investment
                  incomeInterest
              
              $
              1,857,791
              
              
              $
              3,576,435
              
              
              $
              5,120,128
              
              
              $
              7,208,479ExpensesBrokerage
                  commissions
              
              
              359,524
              
              
              
              847,407
              
              
              
              879,041
              
              
              
              1,755,330Management
                  fee
              
              
              385,249
              
              
              
              850,250
              
              
              
              925,340
              
              
              
              1,760,271Operating
                  expenses
              
              
              360,512
              
              
              
              494,263
              
              
              
              757,587
              
              
              
              1,018,367Total
                  expenses
              
              
              1,105,285
              
              
              
              2,191,920
              
              
              
              2,561,968
              
              
              
              4,533,968Net
                  investment gain
              
              
              752,506
              
              
              
              1,384,515
              
              
              
              2,558,160
              
              
              
              2,674,511Realized
                  and unrealized gain (loss) oninvestmentsNet
                  realized gain (loss)
              
              
              (5,544,009
              )
              
              
              (15,400,106
              )
              
              
              (6,467,672
              )
              
              
              (8,095,618
              )Net
                  change in unrealized appreciation(depreciation)
                  on investments
              
              
              5,644,941
              
              
              
              286,694
              
              
              
              (288,356
              )
              
              
              (7,057,405
              )Net
                  realized and unrealized gain (loss) on
              
              
              100,932
              
              
              
              (15,113,412
              )
              
              
              (6,756,028
              )
              
              
              (15,153,023
              )investmentsNet
                  income (loss)
              
              $
              853,438
              
              
              $
              (13,728,897
              )
              
              $
              (4,197,868
              )
              
              $
              (12,478,512
              )
 
 
 *See
        Notes to Unaudited Interim Financial Statements*
 
 
 6




MLM
      IndexTM Fund


Unaudited
      Interim Statement of Changes in Investors’ Interest


For
      the
      six months ended June 30, 2007


**Leveraged
                  Series**
              
              
              **Unleveraged
                  Series****Class
                  A**
              
              
              **Class
                  B**
              
              
              **Class
                  C**
              
              
              **Class
                  D**
              
              
              **Total**
              
              
              **Class
                  A**
              
              
              **Class
                  B**
              
              
              **Class
                  C**
              
              
              **Class
                  D**
              
              
              **Total**
              
              
              **Total****Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Leveraged**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Unleveraged**
              
              
              **Investors’****Series**
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              **Series**
              
              
              **Interest**Investors’
                  interest at December 31, 2006
              
              $
              15,191,126
              
              
              $
              58,458,477
              
              
              $
              1,319,634
              
              
              $
              30,659,083
              
              
              $
              105,628,320
              
              
              $
              11,046,115
              
              
              $
              42,824,216
              
              
              $
              1,153
              
              
              $
              69,724,753
              
              
              $
              123,596,237
              
              
              $
              229,224,557Subscriptions
              
              
              307,157
              
              
              
              916,133
              
              
              
              0
              
              
              
              1,420,000
              
              
              
              2,643,290
              
              
              
              489,505
              
              
              
              1,847,154
              
              
              
              0
              
              
              
              375,000
              
              
              
              2,711,659
              
              
              
              5,354,949Redemptions
              
              
              (4,871,093
              )
              
              
              (33,250,040
              )
              
              
              (586,794
              )
              
              
              (15,587,933
              )
              
              
              (54,295,860
              )
              
              
              (1,561,865
              )
              
              
              (16,027,619
              )
              
              
              0
              
              
              
              (1,475,478
              )
              
              
              (19,064,962
              )
              
              
              (73,360,822
              )Transfers
              
              
              0
              
              
              
              (80,404
              )
              
              
              0
              
              
              
              0
              
              
              
              (80,404
              )
              
              
              0
              
              
              
              80,404
              
              
              
              0
              
              
              
              0
              
              
              
              80,404
              
              
              
              0Net
                  gain (loss)
              
              
              (758,400
              )
              
              
              (1,995,727
              )
              
              
              (56,864
              )
              
              
              (1,322,627
              )
              
              
              (4,133,618
              )
              
              
              (68,583
              )
              
              
              (64,480
              )
              
              
              (2
              )
              
              
              68,815
              
              
              
              (64,250
              )
              
              
              (4,197,868
              )Investors’
                  interest at June 30, 2007
              
              $
              9,868,790
              
              
              $
              24,048,439
              
              
              $
              675,976
              
              
              $
              15,168,523
              
              
              $
              49,761,728
              
              
              $
              9,905,172
              
              
              $
              28,659,675
              
              
              $
              1,151
              
              
              $
              68,693,090
              
              
              $
              107,259,088
              
              
              $
              157,020,816Shares
                  at December 31, 2006
              
              
              180,974
              
              
              
              626,170
              
              
              
              17,350
              
              
              
              331,595
              
              
              
              
              
              
              
              103,829
              
              
              
              371,905
              
              
              
              11
              
              
              
              683,959Subscriptions
              
              
              3,730
              
              
              
              10,172
              
              
              
              0
              
              
              
              16,034
              
              
              
              
              
              
              
              4,613
              
              
              
              16,105
              
              
              
              0
              
              
              
              3,687Redemptions
              
              
              (60,852
              )
              
              
              (366,101
              )
              
              
              (8,066
              )
              
              
              (176,828
              )
              
              
              
              
              
              
              (14,765
              )
              
              
              (139,531
              )
              
              
              0
              
              
              
              (14,537
              )Transfers
              
              
              0
              
              
              
              (915
              )
              
              
              0
              
              
              
              0
              
              
              
              
              
              
              
              0
              
              
              
              702
              
              
              
              0
              
              
              
              0Shares
                  at June 30, 2007
              
              
              123,852
              
              
              
              269,326
              
              
              
              9,284
              
              
              
              170,801
              
              
              
              
              
              
              
              93,677
              
              
              
              249,181
              
              
              
              11
              
              
              
              673,109Net
                  asset value per share:June
                  30, 2007
              
              $
              79.68
              
              
              $
              89.29
              
              
              $
              72.78
              
              
              $
              88.81
              
              
              
              
              
              
              $
              105.74
              
              
              $
              115.01
              
              
              $
              101.18
              
              
              $
              102.05
 *See
          Notes to Unaudited Interim Financial
          Statements*


7




MLM
        IndexTM Fund
 Unaudited
        Interim Statement of Changes in Investors’ Interest
 For
        the
        six months ended June 30, 2006




**Leveraged
                  Series**
              
              
              
              
              
              **Unleveraged
                  Series****Class
                  A**
              
              
              **Class
                  B**
              
              
              **Class
                  C**
              
              
              **Class
                  D**
              
              
              **Total**
              
              
              **Class
                  A**
              
              
              **Class
                  B**
              
              
              **Class
                  C**
              
              
              **Class
                  D**
              
              
              **Total**
              
              
              **Total****Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Leveraged**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Shares**
              
              
              **Unleveraged**
              
              
              **Investors’****Series**
              
              
              
              
              
              
              
              
              
              
              
              
              
              
              **Series**
              
              
              **Interest**Investors’
                  interest at December 31, 2005
              
              $
              32,127,837
              
              
              $
              103,075,223
              
              
              $
              8,877,426
              
              
              $
              24,944,521
              
              
              $
              169,025,007
              
              
              $
              20,644,133
              
              
              $
              74,731,647
              
              
              $
              113,198
              
              
              $
              79,610,904
              
              
              $
              175,099,882
              
              
              $
              344,124,889Subscriptions
              
              
              1,889,787
              
              
              
              11,342,420
              
              
              
              0
              
              
              
              10,104,000
              
              
              
              23,336,207
              
              
              
              186,550
              
              
              
              4,768,642
              
              
              
              0
              
              
              
              2,369,000
              
              
              
              7,324,192
              
              
              
              30,660,399Redemptions
              
              
              (3,700,665
              )
              
              
              (23,259,245
              )
              
              
              (2,752,137
              )
              
              
              (13,478,456
              )
              
              
              (43,190,503
              )
              
              
              (4,421,905
              )
              
              
              (25,460,389
              )
              
              
              0
              
              
              
              (11,409,470
              )
              
              
              (41,291,764
              )
              
              
              (84,482,267
              )Transfers
              
              
              23,614
              
              
              
              (10,298,327
              )
              
              
              0
              
              
              
              10,513,163
              
              
              
              238,450
              
              
              
              (97,428
              )
              
              
              (1,147,952
              )
              
              
              0
              
              
              
              1,006,930
              
              
              
              (238,450
              )
              
              
              0Net
                  loss
              
              
              (2,373,275
              )
              
              
              (6,802,700
              )
              
              
              (416,634
              )
              
              
              (1,431,485
              )
              
              
              (11,024,094
              )
              
              
              (273,803
              )
              
              
              (590,711
              )
              
              
              (1,246
              )
              
              
              (588,656
              )
              
              
              (1,454,416
              )
              
              
              (12,478,512
              )Investors’
                  interest at June 30, 2006
              
              $
              27,967,298
              
              
              $
              74,057,371
              
              
              $
              5,708,655
              
              
              $
              30,651,743
              
              
              $
              138,385,067
              
              
              $
              16,037,547
              
              
              $
              52,301,237
              
              
              $
              111,952
              
              
              $
              70,988,708
              
              
              $
              139,439,444
              
              
              $
              277,824,509Shares
                  at December 31, 2005
              
              
              337,861
              
              
              
              989,350
              
              
              
              104,702
              
              
              
              243,837
              
              
              
              
              
              
              
              190,487
              
              
              
              643,509
              
              
              
              1,107
              
              
              
              777,818Subscriptions
              
              
              20,416
              
              
              
              110,901
              
              
              
              0
              
              
              
              101,469
              
              
              
              
              
              
              
              1,718
              
              
              
              41,140
              
              
              
              0
              
              
              
              23,132Redemptions
              
              
              (39,973
              )
              
              
              (230,420
              )
              
              
              (32,420
              )
              
              
              (134,758
              )
              
              
              
              
              
              
              (40,954
              )
              
              
              (219,500
              )
              
              
              0
              
              
              
              (111,249
              )Transfers
              
              
              0
              
              
              
              (106,296
              )
              
              
              0
              
              
              
              109,914
              
              
              
              
              
              
              
              (908
              )
              
              
              (9,886
              )
              
              
              0
              
              
              
              9,844Shares
                  at June 30, 2006
              
              
              318,304
              
              
              
              763,535
              
              
              
              72,282
              
              
              
              320,462
              
              
              
              
              
              
              
              150,343
              
              
              
              455,263
              
              
              
              1,107
              
              
              
              699,545Net
                  asset value per share:June
                  30, 2006
              
              $
              87.86
              
              
              $
              96.99
              
              
              $
              78.98
              
              
              $
              95.65
              
              
              
              
              
              
              $
              106.67
              
              
              $
              114.88
              
              
              $
              101.11
              
              
              $
              101.48





*See
      Notes to Unaudited Interim Financial Statements*





8




MLM
      IndexTM Fund


Unaudited
      Interim Statement of Cash Flows





**For
                the six months ended June 30**2007
            
            
            2006**Cash
                flows from operating activities**Net
                loss
            
            $
            (4,197,868
            )
            
            $
            (12,478,512
            )Adjustments
                to reconcile net loss to net cash and cash equivalents used in operating
                activities:Unrealized
                (depreciation) on investments
            
            
            (288,356
            )
            
            
            (7,057,405
            )Net
                realized loss on investments
            
            
            (6,467,672
            )
            
            
            (8,095,618
            )Net
                change in operating assets and liabilities:Due
                from broker
            
            
            3,231,205
            
            
            
            20,237,013Prepaid
                Expenses
            
            
            -
            
            
            
            149,256Interest
                receivable
            
            
            296,820
            
            
            
            288,053Brokerage
                commissions payable
            
            
            (90,227
            )
            
            
            (44,236
            )Management
                fee payable
            
            
            (83,383
            )
            
            
            139,594Accrued
                expenses
            
            
            (208,174
            )
            
            
            (416,761
            )Net
                cash and cash equivalents used in operating activities
            
            
            (7,807,655
            )
            
            
            (7,278,616
            )**Cash
                flows from financing activities**Subscriptions
                received, net of selling commissions
            
            
            5,354,949
            
            
            
            30,660,399Net
                redemptions
            
            
            (77,398,001
            )
            
            
            (77,911,188
            )Net
                cash and cash equivalents used in financing activities
            
            
            (72,043,052
            )
            
            
            (47,250,789
            )Net
                decrease in cash and cash equivalents
            
            
            (79,850,707
            )
            
            
            (54,529,405
            )Cash
                and cash equivalents at beginning of period
            
            
            233,557,725
            
            
            
            332,619,312Cash
                and cash equivalents at end of period
            
            $
            153,707,018
            
            
            $
            278,089,907




*See
      Notes to Unaudited Interim Financial Statements*





9




MLM
      Index Fund Notes
        to
        Unaudited Interim Financial Statements
 June
        30,
        2007




**1.
      Organization.**





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





**2.
      Summary of Significant Accounting Policies.**





**Basis
      of Presentation**





The
      accompanying financial statements have been prepared in conformity with
      accounting principles generally accepted in the United States of
      America.  The following is a summary of the significant accounting and
      reporting policies used in preparing the financial
      statements.  These  financial statements should be read in
      conjunction with the audited financial statements and accompanying notes
      included in the Trust’s Annual Report on Form 10-K for the year ended December
      31, 2006.





**Use
      of Estimates**





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





**Cash
      and Cash Equivalents**





Cash
      equivalents consist of highly liquid financial instruments with maturities
      of
      three months or less.





**Due
      from Brokers**





The
      Trust
      utilizes one broker, located in the United States, for its trading
      activities.  Due from broker represents cash balances held, unrealized
      profit or loss on futures contracts, and amounts receivable or payable for
      transactions not settled at June 30, 2007 and December 31, 2006.





**Valuation
      of Trading Positions**





The
      Trust’s trading positions are valued at market value. Market value is
      principally based on listed market prices or broker or dealer price quotations.
      Cash equivalents are carried at amortized cost which approximates fair value.
      All positions including the net unrealized appreciation or depreciation are
      included in amounts due from broker. The resulting change in unrealized profit
      or loss is reflected in net change in unrealized appreciation (depreciation)
      on
      investments on the statements of operations.


10
  MLM
        Index Fund
 Notes
        to
        Unaudited Interim Financial Statements
 June
        30,
        2007
   **2. Summary
      of Significant
      Accounting Policies (continued)**





**Investment
      Transactions and Investment Income**





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




**Income
      Taxes**





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





**3. Cash
      and Cash
      Equivalents.**





The
      Trust’s cash and cash equivalents consisted of:





**June
                30, 2007**
            
            
            **December
                31, 2006**Overnight
                money markets
            
            $
            4,030,000
            
            
            $
            11,485,000Money
                market securities
            
            
            149,707,254
            
            
            
            222,260,334Cash
                in Checking Account
            
            
            (30,236
            )
            
            
            (187,609
            )Total
            
            $
            153,707,018
            
            
            $
            233,557,725





**4. Investors’
      Interest.**





The
      Trust
      is comprised of two series: the Unleveraged Series, which attempts to replicate
      the Index without leverage, and the Leveraged Series (collectively, the
“Series”), which attempts to replicate the Index at three times
      leverage.  Each Series consists of Class A, Class B, Class C
      and Class D shares and are sold by authorized selling agents appointed by
      Mount Lucas Management Corporation (“the Manager”) to accredited investors at a
      price equal to each Class’ net asset value. Shares may be redeemed at net asset
      value as of the last day of any month upon at least ten business days written
      notice to the Manager. Subscriptions are accepted as of the first day of any
      calendar month.





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





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





11





MLM
        Index Fund Notes
          to
          Unaudited Interim Financial Statements
 June
          30,
          2007


**4.
      Investors’ Interest (continued)**





The
      Class A and Class C shares of the Unleveraged and Leveraged Series are
      subject to a sales commission up to 4% of the subscription amount, payable
      to
      the selling agent from the investor’s investment for each series. The amount of
      the sales commission will be determined by the selling agent.  The
      Class B and Class D shares of the Unleveraged and Leveraged Series are not
      subject to a sales commission.





As
      of
      June 30, 2007, the Manager of the Trust had contributed $1,000 to each Series
      of
      the Trust.





**5.
      Margin Requirements.**





The
      Trust
      had margin requirements of $4,716,382****and $10,230,741 at
      June 30, 2007 and December 31, 2006, respectively, which were satisfied by
      net
      unrealized profits and cash at the broker.





**6.
      Management Fee and Other Fees and Expenses.**





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





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








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





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





12


MLM
        Index Fund Notes
          to
          Unaudited Interim Financial Statements
 June
          30,
          2007


**7.
      Derivative Financial Instruments.**





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





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





The
      following table reflects the fair value of the Trust’s derivative financial
      instruments:





**Fair
                Value at**June
                30, 2007
            
            
            December
                31, 2006Assets
            
            
            Liabilities
            
            
            Assets
            
            
            LiabilitiesFinancial
                Futures
            
            $
            1,391,336
            
            
            $
            900,450
            
            
            $
            (1,753,990
            )
            
            $
            1,088,346Commodity
                Futures
            
            
            (854,538
            )
            
            
            787,606
            
            
            
            (130,935
            )
            
            
            3,239,152Total
            
            $
            536,798
            
            
            $
            1,688,056
            
            
            $
            (1,884,925
            )
            
            $
            4,327,498








13


MLM
        Index Fund Notes
          to
          Unaudited Interim Financial Statements
 June
          30,
          2007




**8.  Financial
      Highlights.**




The
      following represents the per share operating performance and ratios to average
      investors’ interest and other supplemental information
      for the six months ended June 30, 2007:




Leveraged
                  Series
              
              
              Unleveraged
                  SeriesClass
                  A
              
              
              Class
                  B
              
              
              Class
                  C
              
              
              Class
                  D
              
              
              Class
                  A
              
              
              Class
                  B
              
              
              Class
                  C
              
              
              Class
                  DShares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              SharesPer
                  share operating performance:Net
                  asset value per share at  December 31, 2006
              
              $
              83.94
              
              
              $
              93.36
              
              
              $
              76.06
              
              
              $
              92.46
              
              
              $
              106.39
              
              
              $
              115.15
              
              
              $
              101.32
              
              
              $
              101.94Income
                  (loss) from investmentoperations:Net
                  investment income
              
              
              0.71
              
              
              
              1.48
              
              
              
              0.93
              
              
              
              1.46
              
              
              
              1.67
              
              
              
              2.39
              
              
              
              1.85
              
              
              
              2.12Net
                  realized and unrealized loss on investment transactions
              
              
              (4.97
              )
              
              
              (5.54
              )
              
              
              (4.20
              )
              
              
              (5.12
              )
              
              
              (2.32
              )
              
              
              (2.52
              )
              
              
              (1.99
              )
              
              
              (2.00
              )Total
                  from investment
                operations
              
              
              (4.26
              )
              
              
              (4.06
              )
              
              
              (3.27
              )
              
              
              (3.66
              )
              
              
              (0.65
              )
              
              
              (0.13
              )
              
              
              (0.14
              )
              
              
              0.12Net
                  asset value per share at  June 30, 2007
              
              $
              79.68
              
              
              $
              89.30
              
              
              $
              72.79
              
              
              $
              88.80
              
              
              $
              105.74
              
              
              $
              115.02
              
              
              $
              101.18
              
              
              $
              102.06Total
                  Return
              
              
              -5.07
              %
              
              
              -4.36
              %
              
              
              -4.31
              %
              
              
              -3.95
              %
              
              
              -0.61
              %
              
              
              -0.12
              %
              
              
              -0.14
              %
              
              
              0.11
              %Ratio
                  to Average Investor’s Interest:Net
                  investment income
              
              
              1.00
              %
              
              
              1.99
              %
              
              
              1.64
              %
              
              
              1.98
              %
              
              
              1.64
              %
              
              
              1.64
              %
              
              
              1.83
              %
              
              
              2.09
              %Expenses
              
              
              -2.13
              %
              
              
              -1.37
              %
              
              
              -2.00
              %
              
              
              -1.37
              %
              
              
              -1.14
              %
              
              
              -0.65
              %
              
              
              -0.85
              %
              
              
              -0.60
              %
 Total
        return is calculated as the change in the net asset value per share for the
        six
        months ended June 30, 2007.  The per share operating performance and
        ratios are
        computed based upon the weighted average shares outstanding and weighted
        average
        investors’ interest, respectively, for each class, for the six months ended June
        30, 2007.





14


MLM
        Index Fund Notes
          to
          Unaudited Interim Financial Statements
 June
          30,
          2007




**8.  Financial
      Highlights (continued)**




The
      following represents the per share operating performance and ratios to average
      investors’ interest and other supplemental information
      for the six months ended June 30, 2006:




Leveraged
                  Series
              
              
              Unleveraged
                  SeriesClass
                  A
              
              
              Class
                  B
              
              
              Class
                  C
              
              
              Class
                  D
              
              
              Class
                  A
              
              
              Class
                  B
              
              
              Class
                  C
              
              
              Class
                  DShares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              Shares
              
              
              SharesPer
                  share operating performance:Net
                  asset value per share at  December 31, 2005
              
              $
              95.09
              
              
              $
              104.18
              
              
              $
              84.79
              
              
              $
              102.30
              
              
              $
              108.38
              
              
              $
              116.13
              
              
              $
              102.23
              
              
              $
              102.35Income
                  (loss) from investment operations:Net
                  investment income
              
              
              0.57
              
              
              
              1.40
              
              
              
              0.73
              
              
              
              1.31
              
              
              
              1.31
              
              
              
              1.95
              
              
              
              1.59
              
              
              
              1.79Net
                  realized and unrealized loss on investment transactions
              
              
              (7.80
              )
              
              
              (8.59
              )
              
              
              (6.54
              )
              
              
              (7.96
              )
              
              
              (3.01
              )
              
              
              (3.20
              )
              
              
              (2.71
              )
              
              
              (2.67
              )Total
                  from investment operations
              
              
              (7.23
              )
              
              
              (7.19
              )
              
              
              (5.81
              )
              
              
              (6.65
              )
              
              
              (1.70
              )
              
              
              (1.25
              )
              
              
              (1.12
              )
              
              
              (0.88
              )Net
                  asset value per share at  June 30, 2006
              
              $
              87.86
              
              
              $
              96.99
              
              
              $
              78.98
              
              
              $
              95.65
              
              
              $
              106.68
              
              
              $
              114.88
              
              
              $
              101.11
              
              
              $
              101.47Total
                  Return:
              
              
              -7.60
              %
              
              
              -6.90
              %
              
              
              -6.85
              %
              
              
              -6.50
              %
              
              
              -1.57
              %
              
              
              -1.08
              %
              
              
              -1.10
              %
              
              
              -0.85
              %Ratio
                  to Average Investors’ Interest:Net
                  investment income
              
              
              0.60
              %
              
              
              1.35
              %
              
              
              0.88
              %
              
              
              1.34
              %
              
              
              1.21
              %
              
              
              1.21
              %
              
              
              1.55
              %
              
              
              1.75
              %Expenses
              
              
              -1.72
              %
              
              
              -0.97
              %
              
              
              -1.36
              %
              
              
              -0.98
              %
              
              
              -1.08
              %
              
              
              -0.58
              %
              
              
              -0.82
              %
              
              
              -0.57
              %




Total
      return is calculated as the change in the net asset value per share for the
      six
      months ended June 30, 2006.  The per share operating performance and
      ratios are computed
      based upon the weighted average shares outstanding and weighted average
      investors’ interest, respectively, for each class, for the six months ended June
      30, 2006.





15




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




**General**





The
      MLM
      IndexTM Fund (the “Trust”) is a business trust organized under the laws of
      Delaware. The Trust engages primarily in the speculative trading of a
      diversified portfolio of futures contracts using the MLM IndexTM Trading Program
      (the “Trading Program”). Futures contracts are standardized contracts made on or
      through a commodity exchange and provide for future delivery of commodities,
      precious metals, foreign currencies or financial instruments and, in the case
      of
      certain contracts such as stock index futures contracts and Eurodollar futures
      contracts, provide for cash settlement. The Trust's objective is the
      appreciation of its assets through speculative trading. The Trust began trading
      on January 4, 1999.





Mount
      Lucas Management Corporation (the “Manager”), a Delaware corporation, acts as
      the manager and trading advisor of the Trust. The Manager was formed in 1986
      to
      act as an investment manager. As of June 30, 2007, the Manager had approximately
      $1.1 billion of assets under advisement. The Manager is a registered investment
      adviser under the Investment Advisers Act of 1940 and is a registered commodity
      trading advisor and commodity pool operator with the Commodity Futures Trading
      Commission (the "CFTC") and a member of the National Futures Association (the
      "NFA"). The Manager may from time to time operate other investment
      vehicles.





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





The
      purpose of the Trust is to replicate the results of the MLM IndexTM, an index
      designed to measure the risk premium available to futures traders. Designed
      as
      such, the results of the Trust depend on two factors, the results of the MLM
      IndexTM itself, and the Manager's ability to replicate that Index. It is
      important to note that the Manager also calculates the results of the MLM
      IndexTM. Thus, their role is twofold - to calculate the results of the MLM
      IndexTM, and to replicate the results of the MLM IndexTM for the Trust. Any
      changes made to the composition of the MLM IndexTM by the MLM IndexTM Committee of
      the Manager will affect the trading of the Trust, since the object of the Trust
      is to replicate the MLM IndexTM as published.





**Results
      of the MLM IndexTM**





The
      MLM
      IndexTM is calculated from the prices of 22 liquid futures markets. These markets
      are traded on domestic and foreign exchanges. For each market, the MLM IndexTM
generally uses the price of 4 different delivery months each year. For example,
      in the Japanese Yen futures market, the MLM IndexTM uses the March, June,
      September and December delivery months. On the day before trading day, the
      MLM
      IndexTM determines whether to hold a long or short position in each constituent
      contract based on the calculation methodology of the MLM IndexTM. Once
      established, that position is held for the subsequent period, at which time
      it
      is re-evaluated. The monthly results of each constituent market are then used
      to
      calculate the MLM IndexTM return. The objective of the Trust is to replicate this
      monthly return.





Clearly,
      the volatility of the constituent markets in the MLM IndexTM can affect the
      results of the Trust. The influences on this volatility are varied and
      unpredictable. However, since the object of the Trust is to replicate the MLM
      IndexTM, the Manager takes no unusual action to mitigate this volatility. The
      role of the Manager is to buy or sell the appropriate number of futures
      contracts in each constituent market such that the aggregate return of those
      positions replicates as closely as possible the results of the MLM
      IndexTM.




16





In
      order
      to accomplish this objective, the Manager must calculate the number of contracts
      based on both the assets in the Trust and the distribution of the assets between
      the Unleveraged and Leveraged Series of the Trust. Since the MLM IndexTM
rebalances positions each month, at that time the Manager must ascertain the
      asset level and execute orders to achieve the desired allocations. This is
      achieved by adding the performance results of the Trust for the month to the
      assets at the beginning of the month, and adding additions of capital from
      new
      subscriptions and subtracting redemptions in order to determine the asset level
      at the end of the period.





**Summary
      of Critical Accounting Policies**





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





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





**Financial
      Condition**





To
      replicate the results of the MLM IndexTM, the Trust must effect trades on
      domestic or foreign futures exchanges. Since the beginning of operations, the
      Trust has used Refco, LLC (“Refco”) as its futures commission merchant. In
      October 2005 the Trust moved all of its brokerage accounts to Citigroup Global
      Markets (“CGM”).  The Manager deposits a percentage of the assets of
      the Trust in two separate accounts at CGM, one for the Unleveraged Series and
      one for the Leveraged Series. The amount deposited is determined by the margin
      requirement established by the exchanges to hold the positions in the Trust.
      The
      margin requirement varies, but is generally about 2% of assets for the
      Unleveraged Series and 5% of assets for the Leveraged Series.





The
      balance of the assets of the Trust is held in two separate custodial accounts
      at
      Investors Bank and Trust (the “Bank”).   The Trust has contracted
      with Credit Suisse Asset Management (CSAM) to manage the money in these accounts
      so as to maximize the interest income which accrues to the Trust, while
      maintaining strict credit controls as determined by the Commodities Exchange
      Act
      (“CE Act”). When CGM requires additional assets to maintain the positions for
      the Trust, the Bank makes a wire transfer to CGM. If CGM has surplus assets
      in
      the accounts, CGM makes a wire transfer to the accounts at the
      Bank.





The
      Trust
      owns no capital assets and does not borrow money. Since the objective of the
      Trust is to replicate the results of the MLM IndexTM, its entire asset base
      participates in the speculative trading of futures contracts. As such, all
      the
      assets of the Trust are at risk. The level of assets will be determined by
      the
      results of the Trust, and the effect of addition of capital and the redemption
      of Trust interests. These variables are impossible to predict with any
      certainty.




17





**Liquidity**





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





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





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





**Market
      and Credit Risks**





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





The
      MLM
      IndexTM is designed to capture returns from sustained trends in the constituent
      futures markets.  When these trends exist in a market or sector, the
      MLM IndexTM tends to exhibit positive performance in that market or
      sector.  Conversely, if a market or sector is trendless and volatile,
      the performance for the market or sector is likely to be
      negative.  The lack of any significant trend is generally an
      indication of poor results.





The
      MLM
      IndexTM is not designed to predict which market will exhibit positive performance
      in any given year.  The manager does not select the constituent
      markets based on expectations of future performance.  The MLM IndexTM
is designed to represent participation in a diverse basket of future contracts
      using a trend-following algorithm.  The MLM IndexTM is a diversified
      Index producing different levels of return in the various sectors from
      year-to-year.





The
      Trust
      incurs various kinds of credit risk in its operations. In order to facilitate
      the trading of the Trust, assets must be placed with both Futures Commission
      Merchants and Broker/Dealers. Management of the Trust deals only with
      established registered firms in both capacities, and monitors their financial
      condition on an ongoing basis. In addition, if the Trust were to enter into
      over-the-counter (“OTC”) transactions, additional counterparty risk would be
      incurred. There were no OTC transactions for the six months ending June 30,
      2007.





18





**Results
      of Operations**





At
      June
      30, 2007, the Trust had assets of $161,882,290 and liabilities of $4,861,474
      compared with assets of $245,261,022 and liabilities of $16,036,465 at December
      31, 2006. Changes in the net assets of the Trust are the result of subscriptions
      and redemptions to the Trust, and the net income (loss) from operations,
      including the results from futures trading, interest income, and fees and
      expenses. For the six-month period ending June 30, 2007, subscriptions to the
      Trust totaled $5,354,949 and redemptions totaled $73,360,822. During the
      six-month period ending June 30, 2007, the Trust had a net loss of $4,197,868 compared with a net
      loss of $12,478,512 for the same period in 2006. Some expenses of the Trust
      are
      based on a percentage of net assets, and therefore increase or decrease as
      the
      net assets of the Trust increase or decrease.





The
      Trust’s net income is directly related to the performance of the MLM IndexTM,
      which the Trust is designed to replicate. For the six months ended June 30,
      2007, MLM IndexTM performance was 0.87%, higher than the -0.33% recorded in the
      same period ended June 30, 2006. The Trust’s performance may be negative in
      years when the MLM IndexTM is positive due to the timing of subscriptions and
      redemptions, the fees charged, and the allocation of assets between the
      Unleveraged and Leveraged Series of the Trust. Since inception of the Trust,
      the
      correlation of monthly results between the Unleveraged Series of the Trust
      and
      the MLM IndexTM adjusted for fees is 0.99. The correlation between the Leveraged
      Series of the Trust and the MLM IndexTM adjusted for leverage and fees is
      0.99.





The
      components of the return of the MLM IndexTM are the capital gains earned from the
      changes in futures market prices, and the interest income earned on cash
      balances less expenses incurred. The mechanics and rules of futures markets
      allow the Trust to earn interest on approximately 100% of the assets in the
      Trust. The interest income takes two forms, directly from the Trust's futures
      broker paid on the margin deposits held by it, and excess cash.







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




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





The
      market risk, or VAR of the Trust is directly related to the composition of
      the
      MLM IndexTM. Each month, the position of the MLM IndexTM can be either long or
      short based on a 252 business day moving average rule. Since positions can
      be
      offset inside of sectors (one contract long in a particular commodity and one
      contract short in a related commodity), specific sector risk is less relevant
      than the historical risk of the MLM IndexTM as a whole. Since the object of the
      Trust is to replicate the MLM IndexTM, it is reasonable to use the historic
      values of that Index to estimate market risk.





The
      VAR
      of the Trust is calculated as follows:





1.
            The
                Manager calculates the standard deviation of the historical returns
                of the
                MLM IndexTM over two time periods, using daily returns over the preceding 1
                year ending at the date of this report, and using monthly returns
                over the
                preceding 10 years.  Those results for the period ended June 30, 2007
                are 0.20% and 1.73% respectively.  It is important to note that this
                calculation is made on the historical data of the MLM IndexTM.  It is
                not based on the actual trading of the Trust and does not include
                any
                operational risk.  The standard deviation is used to measure the
                dispersion of the returns of the MLM
                IndexTM.








19





2.
            For
                the purposes of VAR, one attempts to estimate the size of a loss
                that may
                occur with some small probability.  VAR does not estimate the
                possibility of a total loss, only the probability of a loss of some
                magnitude.  The calculation is complicated by the fact that the
                standard deviation of the distribution assumes a normal distribution,
                which may or may not be a good estimate of the actual distribution. 
                For the purposes of this estimate, the Manager has chosen to calculate
                the
                size of a daily and monthly loss that might occur with a probability
                of 1%
                (1 chance in 100).  To do this, the standard deviation is multiplied
                by 2.35 to the standard 99% confidence interval, and by 1.5 to adjust
                for
                the possibility of a non-normal distribution.  For daily returns,
                this estimate is a loss of 0.71%.  For monthly returns the estimate
                is loss of 6.10%.





3.
            To
                ascertain a dollar loss amount for the Trust, the assets of the Trust
                as
                of June 30, 2007 are multiplied by the estimate of the risk calculated
                in
                step 2 above.  The risk estimate is based on the Unleveraged MLM
                IndexTM, so Trust assets must be adjusted for the distribution of assets
                among the Unleveraged and Leveraged Series of the Trust, with the
                leveraged assets having three times the risk of the Unleveraged
                assets.  Based on the asset levels as of June 30, 2007, the Manager
                estimates that the Trust could expect to lose approximately $1.8
                million
                in any given day and $15.6 million in any given
                month.





The
      estimate above, though reasonable, should not be taken as an assurance that
      losses in the Trust could not be greater than these amounts.  This is
      simply a quantitative estimate based on the historical performance of the MLM
      IndexTM.  A loss that occurs with a small probability may be
      substantially greater than the loss indicated above.  Also, market
      conditions could change dramatically from the conditions that prevailed over
      the
      period used to calculate the estimate, thereby affecting the realized volatility
      of the market.  Furthermore, other factors could affect trading, such
      as the inability to execute orders in a particular market due to operational
      or
      regulatory restrictions that may alter the pattern of the Trust’s
      returns.  Specifically, the Manager advises other funds in addition to
      the Trust.  In certain markets there is a limit to the size of a
      position that one entity can control (speculative limits).  Since
      positions cannot exceed speculative limits, the Manager may have to allocate
      positions across accounts and funds, resulting in a less than complete
      replication of the MLM IndexTM.  As outlined in the offering for the
      Trust, it  is best to remember that all the assets invested are at a
      risk of loss.





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





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




**Item
      4. Controls and
      Procedures.**





The
      President and the Chief Operating Officer of the Manager evaluated the
      effectiveness of the design and operation of the Trust’s disclosure controls and
      procedures.  These controls and procedures are designed to ensure that
      the Trust records, processes, and summarizes the information required to be
      disclosed in the reports submitted to the Securities and Exchange Commission
      in
      a timely and effective manner. Based upon this evaluation, they concluded that,
      as of June 30, 2007, the Trust’s disclosure controls are effective. There have
      been no significant changes in the Trust’s internal control over financial
      reporting in the quarter ended June 30, 2007 that has materially affected or
      is
      reasonably likely to materially affect the Trust’s internal control over
      financial reporting.





20





**Part
      II. OTHER INFORMATION**




**Item
      1. Legal
      Proceedings.**




The
      Manager is not aware of any proceedings threatened or pending against the Trust
      and its affiliates which, if determined adversely, would have a material adverse
      effect on the financial condition or results of operations of the
      Trust.




**I** **tem
      1a.         
Risk Factors.**




None.




**Item
      2. Unregistered Sales of
      Equity Securities and Use of Proceeds.**





Leveraged
                Series
            
            
            Unleveraged
                SeriesClass
                A
            
            
            Class
                B
            
            
            Class
                C
            
            
            Class
                D
            
            
            Class
                A
            
            
            Class
                B
            
            
            Class
                C
            
            
            Class
                DApr-07
                Subscriptions $
            
            $
            19,900
            
            
            $
            82,783
            
            
            $
            0
            
            
            $
            100,000
            
            
            $
            0
            
            
            $
            90,555
            
            
            $
            0
            
            
            $
            0Subscriptions
                Units
            
            
            251
            
            
            
            933
            
            
            
            0
            
            
            
            1,135
            
            
            
            0
            
            
            
            792
            
            
            
            0
            
            
            
            0#
                of Purchasers
            
            
            2
            
            
            
            5
            
            
            
            0
            
            
            
            1
            
            
            
            0
            
            
            
            7
            
            
            
            0
            
            
            
            0Unit
                Price
            
            $
            79.38
            
            
            $
            88.73
            
            
            $
            72.31
            
            
            $
            88.13
            
            
            $
            105.28
            
            
            $
            114.33
            
            
            $
            100.58
            
            
            $
            101.37May-07
                Subscriptions $
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            114,425
            
            
            $
            0
            
            
            $
            0Subscriptions
                Units
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            998
            
            
            
            0
            
            
            
            0#
                of Purchasers
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            156
            
            
            
            0
            
            
            
            0Unit
                Price
            
            $
            79.50
            
            
            $
            88.97
            
            
            $
            72.52
            
            
            $
            88.43
            
            
            $
            105.48
            
            
            $
            114.64
            
            
            $
            100.85
            
            
            $
            101.68Jun-07
                Subscriptions $
            
            $
            6,965
            
            
            $
            79,089
            
            
            $
            0
            
            
            $
            0
            
            
            $
            0
            
            
            $
            288,835
            
            
            $
            0
            
            
            $
            50,000Subscriptions
                Units
            
            
            87
            
            
            
            886
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            2,511
            
            
            
            0
            
            
            
            490#
                of Purchasers
            
            
            1
            
            
            
            4
            
            
            
            0
            
            
            
            0
            
            
            
            0
            
            
            
            14
            
            
            
            0
            
            
            
            1Unit
                Price
            
            $
            79.68
            
            
            $
            89.29
            
            
            
            472.78
            
            
            $
            88.81
            
            
            $
            105.74
            
            
            $
            115.02
            
            
            $
            101.18
            
            
            $
            102.05





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





None.





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





None.





**Item5. Other
      Information.**





None.








21





**Item6. Exhibits.**








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





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





32.1
            Certification
                of President of the Manager Pursuant to 18 U.S.C. Section 1350, as
                adopted
                Pursuant to Section 906 of the Sarbanes-Oxley Act of
                2002





32.2
            Certification
                of Chief Operating Officer of the Manager Pursuant to 18 U.S.C. Section
                1350, as adopted Pursuant to Section 906 of the Sarbanes-Oxley Act
                of
                2002




22





SIGNATURES





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





MLM
      INDEXTM FUND





By:   Mount
      Lucas Management Corporation


Its:  
      Manager





By:  /s/
      Timothy J. Rudderow





Timothy
      J. Rudderow, President







Date:
      August 14, 2007






23


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