----

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

| DELAWARE                                                       |   | Unleveraged Series: 22-2897229Leveraged Series: 22-3722683 |
|----------------------------------------------------------------|--------|------------------------------------------------------------|
| (State or other jurisdiction of incorporation or organization) |   | (IRS Employer Identification Number)                       |

| 47 Hulfish Street, Suite 510, Princeton, New Jersey                                |
|------------------------------------------------------------------------------------|
|  (Address of principal executive offices)                                     |
|                                                                               |
|                                                                               |
| 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) |

----

----

----

MLM 

| PART I – FINANCIAL INFORMATION |                                                                                                                           |
|--------------------------------------|--------------------------------------------------------------------------------------------------------------------------------|
|                                 |                                                                                                                           |
| Item 1                               | Financial Statements:                                                                                                          | PageNumber |
|                                 |                                                                                                                           |   |
|                                 | Condensed Statements of Financial Condition as of March 31, 2009 (unaudited) and December 31, 2008 (audited)                   | 3 |
|                                 | Condensed Schedules of Investments as of March 31, 2009 (unaudited) and December 31, 2008 (audited)                            | 4 |
|                                 | Unaudited Condensed Statements of Operations for the three months ended March 31, 2009 and 2008                                | 5 |
|                                 | Unaudited Condensed Statements of Changes in Investors’ Interest for the three months ended March 31, 2009 and 2008      | 6-7 |
|                                 | Unaudited Condensed Statements of Cash Flows for the three months ended March 31, 2009 and 2008                                | 8 |
|                                 | Notes to Unaudited Condensed Financial Statements                                                                              | 9-16 |
| Item 2                               | Management’s Discussion and Analysis of Financial Condition      and Results of Operations | 17-20 |
| Item 3                               | Quantitative and Qualitative Disclosures of Market Risk                                                                        | 21-22 |
| Item 4                               | Controls and Procedures                                                                                                        | 22 |
|                                 |                                                                                                                           |   |
| PART II – OTHER INFORMATION    |                                                                                                                           |
| Item 1                               | Legal Proceedings                                                                                                              | 22 |
| Item 1A                              | Risk Factors                                                                                                                   | 23 |
| Item 2                               | Unregistered Sales of Equity Securities and Use of Proceeds                                                                    | 23 |
| Item 3                               | Defaults Upon Senior Securities                                                                                                | 23 |
| Item 4                               | Submission of Matters to a Vote of Security Holders                                                                            | 23 |
| Item 5                               | Other Information                                                                                                              | 23 |
| Item 6                               | Exhibits and Reports on Form 8-K                                                                                               | 23-24 |

----

Index

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

MLM 

|                                                         |   | March 31,2009 |        |   | December 31,2008 |      |
|--------------------------------------------------------------|--------|---------------|-------------|--------|------------------|-----------|
| Assets                                                       |   |          |        |   |             |      |
| Cash and cash equivalents                                    |   | $             | 96,706,896  |   |             | $         | 98,799,819 |   |
| Due from broker                                              |   |          | 47,875,661  |   |             |      | 34,554,803 |   |
| Net unrealized gain on open futures contracts, at fair value |   | ─       |        |   |             | 6,190,476 |   |
| Interest receivable                                          |   |          | 33,378      |   |             |      | 65,278 |   |
| Other assets                                                 |   | ─       |        |   |             | 28        |   |
| Total assets                                                 |   | $             | 144,615,935 |   |             | $         | 139,610,404 |   |
|                                                         |   |          |        |   |             |      |   |   |
| Liabilities and investors’ interest                    |   |          |        |   |             |      |   |   |
| Net unrealized loss on open futures contracts, at fair value |   | $             | 6,474,180   |   |             | $         | ─ |   |
| Redemptions payable                                          |   |          | 747,685     |   |             |      | 2,881,096 |   |
| Brokerage commissions payable                                |   |          | 86,779      |   |             |      | 88,976 |   |
| Management fee payable                                       |   |          | 106,198     |   |             |      | 103,234 |   |
| Accrued expenses                                             |   |          | 156,997     |   |             |      | 340,364 |   |
| Total liabilities                                            |   |          | 7,571,839   |   |             |      | 3,413,670 |   |
|                                                         |   |          |        |   |             |      |   |   |
| Investors’ interest                                    |   |          | 137,044,096 |   |             |      | 136,196,734 |   |
| Total liabilities and investors’ interest              |   | $             | 144,615,935 |   |             | $         | 139,610,404 |   |

----

Index

MLM 

| March 31, 2009 (Unaudited)Security Description               |   | Number of contracts |   |   | Unrealized appreciation/ (depreciation) |   |       | Percentage of investors' Interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|-----------------------------------------|--------|------------|-----------------------------------|--------|
|                                                         |   |                |   |   |                                    |   |       |                              |   |
| Futures                                                      |   |                |   |   |                                    |   |       |                              |   |
| Long futures contracts                                       |   |                |   |   |                                    |   |       |                              |   |
| Financial                                                    |   |                | 737    |   |                                    | $      | 141,553    |                              |   |   | 0.10 | % |
| Commodity                                                    |   |                | 59     |   |                                    |   | (308,880   | )                                 |   |   | (0.23 | ) |
|                                                         |   |                | 796    |   |                                    |   | (167,327   | )                                 |   |   | (0.13 | ) |
| Short futures contracts                                      |   |                |   |   |                                    |   |       |                              |   |   |   |   |
| Financial                                                    |   |                | (716   | )      |                                    |   | (2,267,786 | )                                 |   |   | (1.65 | ) |
| Commodity                                                    |   |                | (1,704 | )      |                                    |   | (4,039,067 | )                                 |   |   | (2.95 | ) |
|                                                         |   |                | 2,420  |   |                                    |   | (6,306,853 | )                                 |   |   | (4.60 | ) |
|                                                         |   |                |   |   |                                    |   |       |                              |   |   |   |   |
| Net unrealized loss on open futures contracts, at fair value |   |                |   |   |                                    | $      | (6,474,180 | )                                 |   |   | (4.73 | )% |
|                                                         |   |                |   |   |                                    |   |       |                              |   |   |   |   |

| December, 31, 2008 (Audited)Security Description             |   | Number of contracts |   |   | Unrealized appreciation (depreciation) |   |       | Percentage of investors' Interest |   |
|--------------------------------------------------------------|--------|---------------------|--------|--------|----------------------------------------|--------|------------|-----------------------------------|--------|
|                                                         |   |                |   |   |                                   |   |       |                              |   |
| Futures                                                      |   |                |   |   |                                   |   |       |                              |   |
| Long futures contracts                                       |   |                |   |   |                                   |   |       |                              |   |
| Financial                                                    |   |                | 720    |   |                                   | $      | 6,039,956  |                              |   |   | 4.44 | % |
|                                                         |   |                | 720    |   |                                   |   | 6,039,956  |                              |   |   | 4.44 | % |
| Short futures contracts                                      |   |                |   |   |                                   |   |       |                              |   |   |   |   |
| Financial                                                    |   |                | 698    |   |                                   |   | (3,493,494 | )                                 |   |   | (2.57 | ) |
| Commodity                                                    |   |                | 1,872  |   |                                   |   | 3,644,014  |                              |   |   | 2.68 |   |
|                                                         |   |                | 2,570  |   |                                   |   | 150,520    |                              |   |   | 0.11 |   |
|                                                         |   |                |   |   |                                   |   |       |                              |   |   |   |   |
| Net unrealized gain on open futures contracts, at fair value |   |                |   |   |                                   | $      | 6,190,476  |                              |   |   | 4.55 | % |

----

Index

MLM 

|                                                                |   | For the threemonths endedMarch 31,2009 |        |   | For the threemonths endedMarch 31,2008 |   |
|---------------------------------------------------------------------|--------|----------------------------------------|-------------|--------|----------------------------------------|--------|
| Investment income                                                   |   |                                   |        |   |                                   |   |
| Interest                                                            |   | $                                      | 60,187      |   |                                   | $      | 1,029,564 |   |
|                                                                |   |                                   |        |   |                                   |   |   |   |
| Expenses                                                            |   |                                   |        |   |                                   |   |   |   |
| Brokerage commissions                                               |   |                                   | 267,780     |   |                                   |   | 241,685 |   |
| Management fee                                                      |   |                                   | 316,072     |   |                                   |   | 270,223 |   |
| Operating expenses                                                  |   |                                   | 176,021     |   |                                   |   | 219,206 |   |
| Total expenses                                                      |   |                                   | 759,873     |   |                                   |   | 731,114 |   |
|                                                                |   |                                   |        |   |                                   |   |   |   |
| Net investment income (loss)                                        |   |                                   | (699,686    | )      |                                   |   | 298,450 |   |
|                                                                |   |                                   |        |   |                                   |   |   |   |
| Realized and unrealized gain (loss) on investments                  |   |                                   |        |   |                                   |   |   |   |
| Net realized gain on investments                                    |   |                                   | 13,586,042  |   |                                   |   | 5,319,860 |   |
| Net change in unrealized appreciation (depreciation) on investments |   |                                   | (12,935,304 | )      |                                   |   | 2,232,845 |   |
| Net realized and unrealized gain on investments                     |   |                                   | 650,738     |   |                                   |   | 7,552,705 |   |
|                                                                |   |                                   |        |   |                                   |   |   |   |
| Net income (loss)                                                   |   | $                                      | (48,948     | )      |                                   | $      | 7,851,155 |   |

----

Index

MLM 

|                                                |   | Leveraged Series |      |   | Unleveraged Series |   |       |          |   |
|-----------------------------------------------------|--------|------------------|-----------|--------|--------------------|--------|------------|---------------|--------|
|                                                |   | Class AShares    |      |   | Class BShares      |   |       | Class CShares |   |   | Class DShares |   |   | TotalLeveragedSeries |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalUnleveragedSeries |   |   | TotalInvestors’Interest |   |
| Investors’ interest at December 31, 2008 |   | $                | 6,903,329 |   |               | $      | 13,796,085 |          |   | $ | 1,327 |   |   | $ | 31,281,480 |   |   | $ | 51,982,221 |   |   | $ | 4,293,290 |   |   | $ | 12,404,908 |   |   | $ | 1,320 |   |   | $ | 67,514,995 |   |   | $ | 84,214,513 |   |   | $ | 136,196,734 |   |
| Subscriptions                                       |   |             | −   |   |               |   | 153,171    |          |   |   | − |   |   |   | 3,585,000 |   |   |   | 3,738,171 |   |   |   | − |   |   |   | 153,171 |   |   |   | − |   |   |   | 575,000 |   |   |   | 728,171 |   |   |   | 4,466,342 |   |
| Redemptions                                         |   |             | (439,778  | )      |               |   | (411,122   | )             |   |   | − |   |   |   | (1,012,867 | ) |   |   | (1,863,767 | ) |   |   | − |   |   |   | (1,532,163 | ) |   |   | − |   |   |   | (174,103 | ) |   |   | (1,706,265 | ) |   |   | (3,570,032 | ) |
| Transfers                                           |   |             | −   |   |               |   | (3,930     | )             |   |   | − |   |   |   | − |   |   |   | (3,930 | ) |   |   | − |   |   |   | 3,930 |   |   |   | − |   |   |   | − |   |   |   | 3,930 |   |   |   | − |   |
| Net income (loss)                                   |   |             | (27,035   | )      |               |   | (25,422    | )             |   |   | (3 | ) |   |   | (32,950 | ) |   |   | (85,410 | ) |   |   | (12,669 | ) |   |   | 9,237 |   |   |   | (1 | ) |   |   | 39,896 |   |   |   | 36,462 |   |   |   | (48,948 | ) |
|                                                |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2009    |   | $                | 6,436,516 |   |               | $      | 13,508,782 |          |   | $ | 1,324 |   |   | $ | 33,820,663 |   |   | $ | 53,767,285 |   |   | $ | 4,280,621 |   |   | $ | 11,039,083 |   |   | $ | 1,319 |   |   | $ | 67,955,788 |   |   | $ | 83,276,811 |   |   | $ | 137,044,096 |   |
|                                                |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2008                    |   |             | 65,670    |   |               |   | 114,555    |          |   |   | 14 |   |   |   | 257,908 |   |   |   |   |   |   |   | 35,898 |   |   |   | 93,951 |   |   |   | 11 |   |   |   | 572,449 |   |   |   |   |   |   |   |   |   |
| Subscriptions                                       |   |             | −   |   |               |   | 1,245      |          |   |   | − |   |   |   | 29,073 |   |   |   |   |   |   |   | − |   |   |   | 1,148 |   |   |   | − |   |   |   | 4,821 |   |   |   |   |   |   |   |   |   |
| Redemptions                                         |   |             | (4,058    | )      |               |   | (3,322     | )             |   |   | − |   |   |   | (8,044 | ) |   |   |   |   |   |   | − |   |   |   | (11,484 | ) |   |   | − |   |   |   | (1,470 | ) |   |   |   |   |   |   |   |   |
| Transfers                                           |   |             | −   |   |               |   | (32        | )             |   |   | − |   |   |   | − |   |   |   |   |   |   |   | − |   |   |   | 29 |   |   |   | − |   |   |   | − |   |   |   |   |   |   |   |   |   |
|                                                |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2009                       |   |             | 61,612    |   |               |   | 112,446    |          |   |   | 14 |   |   |   | 278,937 |   |   |   |   |   |   |   | 35,898 |   |   |   | 83,644 |   |   |   | 11 |   |   |   | 575,800 |   |   |   |   |   |   |   |   |   |
|                                                |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share: March 31, 2009      |   | $                | 104.47    |   |               | $      | 120.14     |          |   | $ | 98.09 |   |   | $ | 121.25 |   |   |   |   |   |   | $ | 119.24 |   |   | $ | 131.98 |   |   | $ | 116.00 |   |   | $ | 118.02 |   |   |   |   |   |   |   |   |   |

----

Index

|                                           |   | Leveraged Series |      |   | Unleveraged Series |   |       |          |   |
|------------------------------------------------|--------|------------------|-----------|--------|--------------------|--------|------------|---------------|--------|
|                                           |   | Class AShares    |      |   | Class BShares      |   |       | Class CShares |   |   | Class DShares |   |   | TotalLeveragedSeries |   |   | Class AShares |   |   | Class BShares |   |   | Class CShares |   |   | Class DShares |   |   | TotalUnleveragedSeries |   |   | TotalInvestors’Interest |   |
| Investors’ interest at December 31, 2007 |   | $                | 7,227,407 |   |               | $      | 15,754,642 |          |   | $ | 981 |   |   | $ | 15,463,453 |   |   | $ | 38,446,483 |   |   | $ | 4,770,141 |   |   | $ | 13,224,027 |   |   | $ | 1,168 |   |   | $ | 60,943,912 |   |   | $ | 78,939,248 |   |   | $ | 117,385,731 |   |
| Subscriptions                                  |   |             | 24,875    |   |               |   | 632,083    |          |   |   | − |   |   |   | 2,905,000 |   |   |   | 3,561,958 |   |   |   | 6,965 |   |   |   | 130,234 |   |   |   | − |   |   |   | 2,125,000 |   |   |   | 2,262,199 |   |   |   | 5,824,157 |   |
| Redemptions                                    |   |             | (609,062  | )      |               |   | (1,059,566 | )             |   |   | − |   |   |   | (44,736 | ) |   |   | (1,713,364 | ) |   |   | (163,031 | ) |   |   | (757,344 | ) |   |   | − |   |   |   | (2,054,827 | ) |   |   | (2,975,202 | ) |   |   | (4,688,566 | ) |
| Transfers                                      |   |             | −   |   |               |   | (22,485    | )             |   |   | − |   |   |   | − |   |   |   | (22,485 | ) |   |   | − |   |   |   | 22,485 |   |   |   | − |   |   |   | − |   |   |   | 22,485 |   |   |   | − |   |
| Net income (loss)                              |   |             | 775,655   |   |               |   | 1,845,843  |          |   |   | 115 |   |   |   | 1,851,486 |   |   |   | 4,473,099 |   |   |   | 189,528 |   |   |   | 563,615 |   |   |   | 50 |   |   |   | 2,624,863 |   |   |   | 3,378,056 |   |   |   | 7,851,155 |   |
|                                           |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Investors’ interest at March 31, 2008    |   | $                | 7,418,875 |   |               | $      | 17,150,517 |          |   | $ | 1,096 |   |   | $ | 20,175,203 |   |   | $ | 44,745,691 |   |   | $ | 4,803,603 |   |   | $ | 13,183,017 |   |   | $ | 1,218 |   |   | $ | 63,638,948 |   |   | $ | 81,626,786 |   |   | $ | 126,372,477 |   |
|                                           |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at December 31, 2007                    |   |             | 91,630    |   |               |   | 176,908    |          |   |   | 14 |   |   |   | 173,842 |   |   |   |   |   |   |   | 44,626 |   |   |   | 113,169 |   |   |   | 11 |   |   |   | 586,472 |   |   |   |   |   |   |   |   |   |
| Subscriptions                                  |   |             | 295       |   |               |   | 6,824      |          |   |   | − |   |   |   | 29,324 |   |   |   |   |   |   |   | 64 |   |   |   | 1,096 |   |   |   | − |   |   |   | 19,613 |   |   |   |   |   |   |   |   |   |
| Redemptions                                    |   |             | (7,382    | )      |               |   | (11,017    | )             |   |   | − |   |   |   | (450 | ) |   |   |   |   |   |   | (1,491 | ) |   |   | (6,271 | ) |   |   | − |   |   |   | (19,493 | ) |   |   |   |   |   |   |   |   |
| Transfers                                      |   |             | −   |   |               |   | (238       | )             |   |   | − |   |   |   | − |   |   |   |   |   |   |   | − |   |   |   | 188 |   |   |   | − |   |   |   | − |   |   |   |   |   |   |   |   |   |
|                                           |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Shares at March 31, 2008                       |   |             | 84,543    |   |               |   | 172,477    |          |   |   | 14 |   |   |   | 202,716 |   |   |   |   |   |   |   | 43,199 |   |   |   | 108,182 |   |   |   | 11 |   |   |   | 586,592 |   |   |   |   |   |   |   |   |   |
|                                           |   |             |      |   |               |   |       |          |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share: March 31, 2008      |   | $                | 87.75     |   |               | $      | 99.44      |          |   | $ | 81.11 |   |   | $ | 99.52 |   |   |   |   |   |   | $ | 111.20 |   |   | $ | 121.86 |   |   | $ | 107.16 |   |   | $ | 108.49 |   |   |   |   |   |   |   |   |   |

----

Index

MLM 

|                                                                                                             |   |                      |        |
|------------------------------------------------------------------------------------------------------------------|--------|---------------------------|-------------|
|                                                                                                             |   | For the threemonths ended |        |   | For the threemonths ended |   |
|                                                                                                             |   | March 31,2009             |        |   | March 31,2008 |   |
|                                                                                                             |   |                      |        |   |   |   |
| Cash flows from operating and investing activities                                                               |   |                      |        |   |   |   |
| Net income (loss)                                                                                                |   | $                         | (48,948     | ) |   | $ | 7,851,155 |   |
| Adjustments to reconcile net income (loss) to net cash provided by (used in) operating and investing activities: |   |                      |        |   |   |   |   |   |
| Net change in operating assets and liabilities:                                                                  |   |                      |        |   |   |   |   |   |
| Due from broker                                                                                                  |   |                      | (13,320,858 | ) |   |   | 132,390 |   |
| Purchases of investments in Agency securities                                                                    |   | ─                   |        |   |   | (15,033,157 | ) |
| Proceeds from sale of Agency securities                                                                          |   | ─                   |        |   |   | 13,743,947 |   |
| Net unrealized gain on open futures contracts                                                                    |   |                      | 12,664,656  |   |   |   | (2,164,146 | ) |
| Interest receivable                                                                                              |   |                      | 31,900      |   |   |   | (225,535 | ) |
| Other assets                                                                                                     |   |                      | 28          |   |   | ─ |   |
| Brokerage commissions payable                                                                                    |   |                      | (2,197      | ) |   |   | 11,202 |   |
| Management fee payable                                                                                           |   |                      | 2,964       |   |   |   | 5,899 |   |
| Accrued expenses                                                                                                 |   |                      | (183,367    | ) |   |   | 73,271 |   |
| Net cash provided by (used in) operating and investing activities                                           |   |                      | (855,822    | ) |   |   | 4,395,026 |   |
|                                                                                                             |   |                      |        |   |   |   |   |   |
| Cash flows from financing activities                                                                             |   |                      |        |   |   |   |   |   |
| Subscriptions received, net of selling commissions                                                               |   |                      | 4,466,342   |   |   |   | 5,324,157 |   |
| Net redemptions, including payments of redemptions payable                                                       |   |                      | (5,703,443  | ) |   |   | (5,466,266 | ) |
| Net cash used in financing activities                                                                            |   |                      | (1,237,101  | ) |   |   | (142,109 | ) |
|                                                                                                             |   |                      |        |   |   |   |   |   |
| Net increase (decrease) in cash and cash equivalents                                                             |   |                      | (2,092,923  | ) |   |   | 4,252,917 |   |
| Cash and cash equivalents at beginning of period                                                                 |   |                      | 98,799,819  |   |   |   | 114,829,920 |   |
| Cash and cash equivalents at end of period                                                                       |   | $                         | 96,706,896  |   |   | $ | 119,082,837 |   |
|                                                                                                             |   |                      |        |   |   |   |   |   |
| Supplemental disclosures of non-cash financing activities:                                                       |   |                      |        |   |   |   |   |   |
| Subscriptions recorded which were received in advance                                                            |   | $                    | ─     |   |   | $ | 500,000 |   |
| Redemptions payable                                                                                              |   | $                         | 747,685     |   |   | $ | - |   |

----

Index

MLM 

----

Index

----

Index

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

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

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

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

----

Index

----

Index

|                         |   | March 31,2009 |       |   | December 31,2008 |   |
|------------------------------|--------|---------------|------------|--------|------------------|--------|
|                         |   |          |       |   |             |   |
| Overnight money markets      |   | $             | 2,145,000  |   |             | $      | 1,893,000 |   |
| Short-term agency securities |   |          | 94,160,607 |   |             |   | 96,557,403 |   |
| Cash in checking account     |   |          | 401,289    |   |             |   | 349,416 |   |
|                         |   |          |       |   |             |   |   |   |
| Total                        |   | $             | 96,706,896 |   |             | $      | 98,799,819 |   |

----

Index

|    |   | 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 | % |

|              |   | Fair Value at  |      |
|-------------------|--------|----------------|-----------|
|              |   | March 31, 2009 |      |   | December 31, 2008 |   |
|              |   | Assets         |      |   | Liabilities |   |   | Assets |   |   | Liabilities |   |
| Financial futures |   | $              | 1,026,158 |   |   | $ | (3,152,391 | ) |   | $ | 6,221,375 |   |   | $ | (3,674,913 | ) |
| Commodity futures |   |           | 1,029,192 |   |   |   | (5,377,139 | ) |   |   | 5,786,787 |   |   |   | (2,142,773 | ) |
|              |   |           |      |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total             |   | $              | 2,055,350 |   |   | $ | (8,529,530 | ) |   | $ | 12,008,162 |   |   | $ | (5,817,686 | ) |

----

Index

|                                                        |   | Leveraged Series |   |   | Unleveraged Series |   |
|-------------------------------------------------------------|--------|------------------|--------|--------|--------------------|--------|
|                                                        |   | Class A          |   |   | Class B            |   |   | Class C |   |   | Class D |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |
|                                                        |   | Shares           |   |   | Shares             |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per share operating performance:                            |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  December 31, 2008   |   | $                | 105.12 |   |               | $      | 120.43 |   |   | $ | 98.31 |   |   | $ | 121.29 |   |   | $ | 119.60 |   |   | $ | 132.04 |   |   | $ | 116.06 |   |   | $ | 117.94 |   |
| Income from investment operations:                          |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment income (expense)                             |   |             | (0.85  | )      |               |   | (0.50 | ) |   |   | (0.60 | ) |   |   | (0.51 | ) |   |   | (0.56 | )% |   |   | (0.28 | )% |   |   | (0.38 | )% |   |   | (0.25 | )% |
| Net realized and unrealized gain on investment transactions |   |             | 0.20   |   |               |   | 0.21 |   |   |   | 0.38 |   |   |   | 0.47 |   |   |   | 0.20 |   |   |   | 0.22 |   |   |   | 0.32 |   |   |   | 0.33 |   |
| Total from investment operations                            |   |             | (0.65  | )      |               |   | (0.29 | ) |   |   | (0.22 | ) |   |   | (0.04 | ) |   |   | (0.36 | ) |   |   | (0.06 | ) |   |   | (0.06 | ) |   |   | 0.08 |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  March 31, 2009      |   | $                | 104.47 |   |               | $      | 120.14 |   |   | $ | 98.09 |   |   | $ | 121.25 |   |   | $ | 119.24 |   |   | $ | 131.98 |   |   | $ | 116.00 |   |   | $ | 118.02 |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                               |   |             | (0.62  | )%     |               |   | (0.24 | )% |   |   | (0.22 | )% |   |   | (0.03 | )% |   |   | (0.30 | )% |   |   | (0.05 | )% |   |   | (0.05 | )% |   |   | 0.07 | % |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                 |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment income (expense)                             |   |             | (0.82  | )%     |               |   | (0.42 | %) |   |   | (0.61 | )% |   |   | (0.40 | )% |   |   | (0.46 | )% |   |   | (0.46 | )% |   |   | (0.33 | )% |   |   | (0.21 | )% |
| Expenses                                                    |   |             | (0.86  | )%     |               |   | (0.46 | )% |   |   | (0.65 | )% |   |   | (0.44 | )% |   |   | (0.51 | )% |   |   | (0.27 | )% |   |   | (0.38 | )% |   |   | (0.26 | )% |

----

Index

|                                                        |   | Leveraged Series |   |   | Unleveraged Series |   |
|-------------------------------------------------------------|--------|------------------|--------|--------|--------------------|--------|
|                                                        |   | Class A          |   |   | Class B            |   |   | Class C |   |   | Class D |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |
|                                                        |   | Shares           |   |   | Shares             |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Per share operating performance:                            |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  December 31, 2007   |   | $                | 78.88  |   |               | $      | 89.06 |   |   | $ | 72.63 |   |   | $ | 88.95 |   |   | $ | 106.89 |   |   | $ | 116.86 |   |   | $ | 102.77 |   |   | $ | 103.92 |   |
| Income from investment operations:                          |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment income (expense)                             |   |             | (0.08  | )      |               |   | 0.26 |   |   |   | 0.07 |   |   |   | 0.26 |   |   |   | 0.37 |   |   |   | 0.70 |   |   |   | 0.49 |   |   |   | 0.62 |   |
| Net realized and unrealized gain on investment transactions |   |             | 8.95   |   |               |   | 10.12 |   |   |   | 8.41 |   |   |   | 10.31 |   |   |   | 3.94 |   |   |   | 4.30 |   |   |   | 3.90 |   |   |   | 3.95 |   |
| Total from investment operations                            |   |             | 8.87   |   |               |   | 10.38 |   |   |   | 8.48 |   |   |   | 10.57 |   |   |   | 4.31 |   |   |   | 5.00 |   |   |   | 4.39 |   |   |   | 4.57 |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net asset value per share at  March 31, 2008      |   | $                | 87.75  |   |               | $      | 99.44 |   |   | $ | 81.11 |   |   | $ | 99.52 |   |   | $ | 111.20 |   |   | $ | 121.86 |   |   | $ | 107.16 |   |   | $ | 108.49 |   |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return:                                               |   |             | 11.24  | %      |               |   | 11.66 | % |   |   | 11.68 | % |   |   | 11.88 | % |   |   | 4.03 | % |   |   | 4.28 | % |   |   | 4.27 | % |   |   | 4.40 | % |
|                                                        |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Ratio to Average Investors’ Interest:                 |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Net investment income                                       |   |             | (0.10  | )%     |               |   | 0.27 | % |   |   | 0.09 | % |   |   | 0.27 | % |   |   | 0.34 | % |   |   | 0.34 | % |   |   | 0.46 | % |   |   | 0.59 | % |
| Expenses                                                    |   |             | (0.93  | )%     |               |   | (0.55 | )% |   |   | (0.74 | )% |   |   | (0.55 | )% |   |   | (0.53 | )% |   |   | (0.28 | )% |   |   | (0.41 | )% |   |   | (0.28 | )% |

----

Index

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

----

Index

----

Index

----

Index

|          |   | Leveraged Series |   |   | Unleveraged Series |   |
|---------------|--------|------------------|--------|--------|--------------------|--------|
|          |   | Class A          |   |   | Class B            |   |   | Class C |   |   | Class D |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |
|          |   | Shares           |   |   | Shares             |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|          |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |             | (0.62  | )%     |               |   | (0.24 | )% |   |   | (0.22 | )% |   |   | (0.03 | )% |   |   | (0.30 | )% |   |   | (0.05 | )% |   |   | (0.05 | )% |   |   | 0.07 | % |

|          |   | Leveraged Series |   |   | Unleveraged Series |   |
|---------------|--------|------------------|--------|--------|--------------------|--------|
|          |   | Class A          |   |   | Class B            |   |   | Class C |   |   | Class D |   |   | Class A |   |   | Class B |   |   | Class C |   |   | Class D |   |
|          |   | Shares           |   |   | Shares             |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |   | Shares |   |
|          |   |             |   |   |               |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Total Return: |   |             | 11.24  | %      |               |   | 11.66 | % |   |   | 11.68 | % |   |   | 11.88 | % |   |   | 4.03 | % |   |   | 4.28 | % |   |   | 4.27 | % |   |   | 4.40 | % |

----

Index

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

|   | 1. | The Manager calculates the standard deviation of the historical returns of the MLM IndexTM over two time periods, using daily returns over the preceding 1 year ending at the date of this report, and using monthly returns over the preceding 10 years.  Those results for the period ended March 31, 2009 are 0.71% and 1.92% respectively.  It is important to note that this calculation is made on the historicaldata of the MLM IndexTM.  It is not based on the actual trading of the Trust and, accordingly, does not include any operational risk.  The standard deviation is used to measure the dispersion of the returns of the MLM IndexTM over time. |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 2. | For the purposes of VAR, an attempt is made 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.  Using this methodology, for daily returns, this estimate is a loss of 2.50 %.  For monthly returns, the estimate is a loss of 6.77%. |
|--------|----|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

|   | 3. | To ascertain a dollar loss amount for the Trust, the assets of the Trust as of March 31, 2009 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 theUnleveraged assets.  Based on the asset levels as of March 31, 2009, the Manager estimates that the Trust could expect to lose approximately $6.1 million in any given day and $16.6 million in any given month.  |
|--------|----|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|

----

Index

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

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

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

----

Index

egiste

|                 | Leveraged Series |   |    | Unleveraged Series |    |
|----------------------|------------------|--------|---------|--------------------|---------|
|                 | Class A          |   | Class B |               | Class C |   | Class D |   |   | Class A |   | Class B |   | Class C |   | Class D |   |
| Jan-09 Subscriptions |             |   |    | 12,375             |    |   |   |   | 1,180,000 |   |   |   |   |   | 12,375 |   |   |   |   | 325,000 |   |
| Subscriptions Units  |             |   |    | 99                 |    |   |   |   | 9,411 |   |   |   |   |   | 92 |   |   |   |   | 2,726 |   |
| # of Purchasers      |             |   |    | 1                  |    |   |   |   | 13 |   |   |   |   |   | 1 |   |   |   |   | 6 |   |
| Unit Price           |             |   |    | 124.41             |    |   |   |   | 125.39 |   |   |   |   |   | 133.41 |   |   |   |   | 119.21 |   |
|                 |             |   |    |               |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Feb-09 Subscriptions |             |   |    | 55,507             |    |   |   |   | 495,000 |   |   |   |   |   | 55,507 |   |   |   |   | 200,000 |   |
| Subscriptions Units  |             |   |    | 440                |    |   |   |   | 3,910 |   |   |   |   |   | 412 |   |   |   |   | 1,671 |   |
| # of Purchasers      |             |   |    | 3                  |    |   |   |   | 9 |   |   |   |   |   | 3 |   |   |   |   | 2 |   |
| Unit Price           |             |   |    | 125.54             |    |   |   |   | 126.61 |   |   |   |   |   | 133.92 |   |   |   |   | 119.71 |   |
|                 |             |   |    |               |    |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |   |
| Mar-09 Subscriptions |             |   |    | 85,289             |    |   |   |   | 1,910,000 |   |   |   |   |   | 85,289 |   |   |   |   | 50,000 |   |
| Subscriptions Units  |             |   |    | 706                |    |   |   |   | 15,753 |   |   |   |   |   | 643 |   |   |   |   | 424 |   |
| # of Purchasers      |             |   |    | 4                  |    |   |   |   | 23 |   |   |   |   |   | 4 |   |   |   |   | 1 |   |
| Unit Price           |             |   |    | 120.14             |    |   |   |   | 121.25 |   |   |   |   |   | 131.98 |   |   |   |   | 118.02 |   |

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

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

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

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

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

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

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

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

----

Index

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

----