UNITED
STATES


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 March 31, 2010





or





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


Exchange
Act of 1934





For the
transition period from ____________ to _____________








COMMISSION
FILE NUMBER 0-49767





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








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








405
      South State Street, Newtown, PA(Address
      of principal executive offices)18940(Zip
      Code)(267)
      759-3500(Registrant's
      telephone number including area code)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   ̈










Indicate
by check mark whether the registrant has submitted electronically and posted on
its corporate Web site, if any, every Interactive Data File required to be
submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding
12 months (or for such shorter period that the registrant was required to submit
and post such files).





Yes   ̈  No  o





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


Large
Accelerated Filer o   Accelerated
Filer o  
Non-Accelerated Filer x   Smaller
Reporting Company o





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





MLM IndexTM Fund


Index
to FORM 10-Q


March
31, 2010








PART
      I – FINANCIAL INFORMATIONItem
      1
            
            Financial Statements:
            Page
              NumberCondensed Statements of Financial Condition as of March 31,
      2010 (unaudited) and December 31, 2009 (audited)
            4Condensed Schedules of Investments as of March 31, 2010
      (unaudited) and December 31, 2009 (audited)
            5Unaudited Condensed Statements of Operations for the three
      months ended March 31, 2010 and 2009
            6Unaudited Condensed Statements of Changes in Investors’
      Interest for the three months ended March 31, 2010 and
      2009
            7-10Unaudited Condensed Statements of Cash Flows for the three
      months ended March 31, 2010 and 2009
            11Notes to Unaudited Condensed Financial
      Statements
            12-22Item
      2
            
            Management’s Discussion and Analysis of Financial Condition
      and Results of Operations
            23-26Item
      3
            
            Quantitative and Qualitative Disclosures of Market
      Risk
            26-27Item
      4
            
            Controls and Procedures
            28-29PART
      II – OTHER INFORMATIONItem
      1
            
            Legal Proceedings
            28Item
      1A
            
            Risk Factors
            28Item
      2
            
            Unregistered Sales of Equity Securities and Use of
      Proceeds
            28Item
      3
            
            Defaults Upon Senior Securities
            29Item
      5
            
            Other Information
            29Item
      6
            
            Exhibits and Reports on Form 8-K
            30


3
 Index


Item 1.
            Financial
      Statements.





MLM IndexTM Fund


Condensed
Statements of Financial Condition


As
of March 31, 2010 (Unaudited) and December 31, 2009





March
      31,
              2010
            
            
            December
      31,
              2009AssetsCash
      and cash equivalents
            
            $
            71,562,224
            
            
            $
            91,417,211Due
      from broker
            
            
            35,101,038
            
            
            
            38,376,426Net
      unrealized gain on open futures contracts, at fair value
            
            
            3,824,219
            
            
            
            -Interest
      receivable
            
            
            -
            
            
            
            5,414Other
      assets
            
            
            5,000
            
            
            
            -Total
      assets
            
            $
            110,492,481
            
            
            $
            129,799,051Liabilities
      and investors’ interestNet
      unrealized loss on open futures contracts, at fair value
            
            $
            -
            
            
            $
            1,134,488Redemptions
      payable
            
            
            7,353,258
            
            
            
            23,834,370Brokerage
      commissions payable
            
            
            61,631
            
            
            
            65,124Management
      fee payable
            
            
            75,048
            
            
            
            95,998Accrued
      expenses
            
            
            32,893
            
            
            
            90,117Total
      liabilities
            
            
            7,522,830
            
            
            
            25,220,097Investors’
      interest
            
            
            102,969,651
            
            
            
            104,578,954Total
      liabilities and investors’ interest
            
            $
            110,492,481
            
            
            $
            129,799,051








See
Notes to Unaudited Condensed Financial Statements.


4
 Index


MLM IndexTM Fund


Condensed
Schedules of Investments


As
of March 31, 2010 (Unaudited) and December 31, 2009





March
      31, 2010 (Unaudited)
              Security
      Description
            
            Number
      of
              contracts
            
            
            Unrealized
              appreciation/
              (depreciation)
            
            
            Percentage
      of
              investors'
              InterestFuturesLong
      futures contractsFinancial
            
            
            713
            
            
            $
            351,895
            
            
            
            0.34
            %Commodity
            
            
            191
            
            
            
            1,050,229
            
            
            
            1.02904
            
            
            
            1,402,124
            
            
            
            1.36Short
      futures contractsFinancial
            
            
            141
            
            
            
            291,481
            
            
            
            0.28Commodity
            
            
            342
            
            
            
            2,130,614
            
            
            
            2.07483
            
            
            
            2,422,095
            
            
            
            2.35Net
      unrealized gain on open futures contracts, at fair value
            
            
            
            
            
            $
            3,824,219
            
            
            
            3.71
            %








December,
      31, 2009
              Security
      Description
            
            Number
      of
              contracts
            
            
            Unrealized
              Appreciation
              (depreciation)
            
            
            Percentage
      of
              investors'
              InterestFuturesLong
      futures contractsFinancial
            
            
            900
            
            
            $
            (2,233,254
            )
            
            
            (2.14
            )%Commodity
            
            
            379
            
            
            
            1,081,653
            
            
            
            1.031,279
            
            
            
            (1,151,601
            )
            
            
            (1.11
            )%Short
      futures contractsFinancial
            
            
            84
            
            
            
            120,124
            
            
            
            0.11Commodity
            
            
            81
            
            
            
            (103,011
            )
            
            
            (0.10
            )165
            
            
            
            17,113
            
            
            
            0.01Net
      unrealized loss on open futures contracts, at fair value
            
            
            
            
            
            $
            (1,134,488
            )
            
            
            (1.10
            )%








See
Notes to Unaudited Condensed Financial Statements.


5
 Index


MLM IndexTM Fund


Unaudited
Condensed Statements of Operations


For
the three months ended March 31, 2010 and 2009





For
      the three
              months
      ended
              March
      31,
              2010
            
            
            For
      the three
              months
      ended
              March
      31,
              2009Investment
      incomeInterest
            
            $
            11,737
            
            
            $
            60,187ExpensesBrokerage
      commissions
            
            
            200,984
            
            
            
            267,780Management
      fee
            
            
            236,610
            
            
            
            316,072Operating
      expenses
            
            
            129,613
            
            
            
            176,021Total
      expenses
            
            
            567,207
            
            
            
            759,873Net
      investment loss
            
            
            (555,470
            )
            
            
            (699,686
            )Realized
      and unrealized gain (loss) on investmentsNet
      realized (loss) gain on investments
            
            
            (3,672,048
            )
            
            
            13,586,042Net
      change in unrealized appreciation (depreciation) on
      investments
            
            
            4,949,230
            
            
            
            (12,935,304
            )Net
      realized and unrealized gain (loss) on investments
            
            
            1,277,182
            
            
            
            650,738Net
      income (loss)
            
            $
            721,712
            
            
            $
            (48,948
            )








See
Notes to Unaudited Condensed Financial Statements.


6
 Index


MLM IndexTM Fund


Unaudited
Condensed Statement of Changes in Investors’ Interest


For
the three months ended March 31, 2010








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








See
Notes to Unaudited Condensed Financial Statements.


7
 Index


MLM
IndexTM Fund


Unaudited
Condensed Statement of Changes in Investors’ Interest


For
the three months ended March 31, 2010








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


8
 Index


MLM
IndexTM Fund


Unaudited
Condensed Statement of Changes in Investors’ Interest


For
the three months ended March 31, 2010







Commodity
      L/S
              Unleveraged
            
            
            Commodity
      L/N
              UnleveragedClass
      D
              Shares
            
            
            Class
      D
              Shares
            
            
            Total
              Investors’
              InterestInvestors’
      interest at December 31, 2009
            
            $
            3,246,160
            
            
            $
            8,601,217
            
            
            $
            104,578,954Subscriptions
            
            
            10,000,000
            
            
            
            -
            
            
            
            11,454,299Redemptions
            
            
            -
            
            
            
            -
            
            
            
            (13,785,314
            )Transfers
            
            
            -
            
            
            
            -
            
            
            
            -Net
      income (loss)
            
            
            119,093
            
            
            
            (251,374
            )
            
            
            721,712Investors’
      interest at March 31, 2010
            
            $
            13,365,253
            
            
            $
            8,349,843
            
            
            $
            102,969,651Shares
      at December 31, 2009
            
            
            30,009
            
            
            
            84,322Subscriptions
            
            
            89,174
            
            
            
            -Redemptions
            
            
            -
            
            
            
            -Transfers
            
            
            -
            
            
            
            -Shares
      at March 31, 2010
            
            
            119,183
            
            
            
            84,322Net
      asset value per share:March
      31, 2010
            
            $
            112.14
            
            
            $
            99.02


9
 Index


MLM
IndexTM Fund


Unaudited
Condensed Statement of Changes in Investors’ Interest


For
the three months ended March 31, 2009







Leveraged
      Series
              
              
              Unleveraged
      SeriesClass
      A
                Shares
              
              
              Class
      B
                Shares
              
              
              Class
      C
                Shares
              
              
              Class
      D
                Shares
              
              
              Total
                Leveraged
                Series
              
              
              Class
      A
                Shares
              
              
              Class
      B
                Shares
              
              
              Class
      C
                Shares
              
              
              Class
      D
                Shares
              
              
              Total
                Unleveraged
                Series
              
              
              Total
                Investors’
                InterestInvestors’
      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
              
              
              $
              136,196,734Subscriptions
              
              
              −
              
              
              
              153,171
              
              
              
              −
              
              
              
              3,585,000
              
              
              
              3,738,171
              
              
              
              −
              
              
              
              153,171
              
              
              
              −
              
              
              
              575,000
              
              
              
              728,171
              
              
              
              4,466,342Redemptions
              
              
              (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
              
              
              
              −Other
      (selling commissions)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
              
              
              $
              137,044,096Shares
      at December 31, 2008
              
              
              65,670
              
              
              
              114,555
              
              
              
              14
              
              
              
              257,908
              
              
              
              
              
              
              
              35,898
              
              
              
              93,951
              
              
              
              11
              
              
              
              572,449Subscriptions
              
              
              −
              
              
              
              1,245
              
              
              
              −
              
              
              
              29,073
              
              
              
              
              
              
              
              −
              
              
              
              1,148
              
              
              
              −
              
              
              
              4,821Redemptions
              
              
              (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
              
              
              
              575,800Net
      asset value per share:March
      31, 2009
              
              $
              104.47
              
              
              $
              120.14
              
              
              $
              98.09
              
              
              $
              121.25
              
              
              
              
              
              
              $
              119.24
              
              
              $
              131.98
              
              
              $
              116.00
              
              
              $
              118.02








See
Notes to Unaudited Condensed Financial Statements.


10
 Index


MLM IndexTM Fund


Unaudited
Condensed Statements of Cash Flows


For
the three months ended March 31, 2010 and 2009







For
      the three
              months
      ended
            
            
            For
      the three
              months
      endedMarch
      31,
              2010
            
            
            March
      31,
              2009Cash
      flows from operating and investing activitiesNet
      income (loss)
            
            $
            721,712
            
            
            $
            (48,948
            )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
            
            
            3,275,388
            
            
            
            (13,320,858
            )Net
      unrealized gain on open futures contracts
            
            
            (4,958,707
            )
            
            
            12,664,656Interest
      receivable
            
            
            5,414
            
            
            
            31,900Other
      assets
            
            
            (5,000
            )
            
            
            28Brokerage
      commissions payable
            
            
            (3,493
            )
            
            
            (2,197
            )Management
      fee payable
            
            
            (20,950
            )
            
            
            2,964Accrued
      expenses
            
            
            (57,224
            )
            
            
            (183,367
            )Net
      cash used in operating and investing activities
            
            
            (1,042,860
            )
            
            
            (855,822
            )Cash
      flows from financing activitiesSubscriptions
      received, net of selling commissions
            
            
            11,454,299
            
            
            
            4,466,342Net
      redemptions, including payments of redemptions payable
            
            
            (30,266,426
            )
            
            
            (5,703,443
            )Net
      cash used in financing activities
            
            
            (18,812,127
            )
            
            
            (1,237,101
            )Net
      decrease in cash and cash equivalents
            
            
            (19,854,987
            )
            
            
            (2,092,923
            )Cash
      and cash equivalents at beginning of period
            
            
            91,471,211
            
            
            
            98,799,819Cash
      and cash equivalents at end of period
            
            $
            71,562,224
            
            
            $
            96,706,896Supplemental
      disclosures of non-cash financing activities:Redemptions
      payable
            
            $
            7,353,258
            
            
            $
            747,685








See
Notes to Unaudited Condensed Financial Statements.


11
 Index


MLM Index TM Fund


Notes to
Unaudited Condensed Financial Statements


March 31,
2010








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 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.





Mount
Lucas Management Corporation (the “Manager”) is the investment manager of the
Trust and is responsible for the allocation of the Trust’s interest among a mix
of trading strategies. The Manager is a registered investment advisor under the
Investment Advisers Act of 1940, is registered as a commodity pool operator and
a commodity-trading advisor with the Commodity Futures Trading Commission and is
a member of the National Futures Association.





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 (“US
GAAP”).  The following is a summary of the significant accounting and
reporting policies used in preparing the financial
statements.  Certain information and footnote disclosures normally
included in annual financial statements prepared in accordance with US GAAP have
been omitted.  In the opinion of the Manager, the financial statements
contain all adjustments (consisting of only normal recurring adjustments)
necessary to state fairly the financial positions of the Trust as of March 31,
2010 and the results of its operations for the three months ended March 31, 2010
and 2009.  The operating results for these interim periods many not be
indicative of the results expected for a full year.  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, 2009.





Use
of Estimates





The
preparation of the accompanying 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 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
revenues and expenses during the reporting period.  Actual results
could differ from those estimates.





Cash
and Cash Equivalents





Cash and
cash equivalents consist of highly liquid financial instruments with maturities
of three months or less, when purchased.





Certain
of the Trust's cash at the broker is restricted to meet margin requirements (See
Note 5).





Due
from Brokers





The
Trust’s trading activities utilize one broker located in the United States. Due
from broker represents cash balances held, unrealized profit or loss on futures
contracts, and amounts receivable or payable for transactions not settled at
March 31, 2010 and December 31, 2009.


12
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








2.
Summary of Significant Accounting Policies (continued)





Fair
Value Measurements





The Trust
has categorized its financial instruments, based on the priority of the inputs
to the valuation technique, into a three-level fair value hierarchy. The fair
value hierarchy gives the highest priority to quoted prices in active markets
for identical assets or liabilities (Level 1) and the lowest priority to
unobservable inputs (Level 3). If the inputs used to measure the financial
instruments fall within different levels of the hierarchy, the categorization is
based on the lowest level input that is significant to the fair value
measurement of the instrument.





Financial
assets and liabilities recorded on the statement of assets and liabilities are
categorized based on the inputs to the valuation techniques as
follows:




Level
1:





Financial
assets and liabilities whose values are based on unadjusted quoted prices for
identical assets or liabilities in an active market (examples include active
exchange-traded equity securities, listed derivatives, most U.S. government and
agency securities, and certain other sovereign government
obligations).





Level
2:





Financial
assets and liabilities whose values are based on the following:


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).





Level
3:




Financial
assets and liabilities whose values are based on prices or valuation techniques
that require inputs that are both unobservable and significant to the overall
fair value measurement. These inputs reflect management's own assumptions about
the assumptions a market participant would use in pricing the asset or liability
(examples include private equity investments, certain commercial mortgage whole
loans and long-dated or complex derivatives, including certain foreign exchange
options and long-dated options on gas and power).


13
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








2.
Summary of Significant Accounting Policies (continued)





Fair
Value Measurements (continued)





The
Trust’s trading positions are valued at market value and cash equivalents are
carried at their net asset value per share including accrued interest, as
applicable. All positions including the net unrealized appreciation or
depreciation are included under the caption “net unrealized gain (loss) on open
futures contracts” on the statements of financial condition. Market value is
principally based on listed market prices or broker or dealer price quotations.
The resulting change in unrealized profit or loss is reflected in net gain
(loss) on change in unrealized appreciation (depreciation) on investments on the
statements of operations.





The
market price for futures (exchange-traded) contracts is based upon the
settlement price posted by  the various futures exchanges on which the
contract is traded.  The Trust considers prices for exchange- traded
commodity futures and options contracts to be based on quoted prices in active
markets for identical assets (Level 1).





Investment
Transactions and Investment Income





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





Income
Taxes





All of
the Series of the Trust are 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.





The Trust
has elected an accounting policy to classify interest and penalties related to
unrecognized tax benefits as interest or other expense.





Redemptions
Payable





For
purposes of both financial reporting and calculation of redemption value, Net
Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding investors’ interests.





3.
Cash and Cash Equivalents





The
Trust’s cash and cash equivalents consisted of:





March
      31,
              2010
            
            
            December
      31,
              2009Overnight
      money markets
            
            $
            27,006,000
            
            
            $
            10,001,000U.S.
      Government Agency Securities
            
            
            44,152,210
            
            
            
            81,011,771Cash
      in checking account
            
            
            404,014
            
            
            
            404,440Total
            
            $
            71,562,224
            
            
            $
            91,417,211


14
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








4.
Investors’ Interest





The Trust
is comprised of six series: the Unleveraged Series, which attempts to replicate
the Index without leverage, the Leveraged Series, which attempts to replicate
the Index at three times leverage, the MLM Commodity L/S Unleveraged Series
which attempts to replicate the MLM Commodity Long/Short Index without leverage,
the MLM Commodity L/S Leveraged Series which attempts to replicate the MLM
Commodity Long/Short Index with  three times leverage, the MLM
Commodity L/N Unleveraged Series which attempts to replicate the MLM Commodity
Long/Neutral Index without leverage and the MLM Commodity L/N Leveraged Series
which attempts to replicate the MLM Commodity Long/Neutral Index with three
times leverage (collectively, the “Series”).  The MLM Commodity L/S
Index is a subset of the MLM Index and contains only the commodity futures
contracts of the entire MLM Index.  The MLM Commodity L/N Index
contains the same commodity futures contracts, but does not have short positions
when the MLM Index algorithm indicates a short position in a particular
contract.  Prior to December 2004, each Series had five classes of
shares: Class A, Class A-1, Class B, Class B-1 and Class C. On December 1, 2004,
Class D shares were offered in each Series. On December 31, 2004, the Manager
elected to close Class A-1 and Class B-1. Class A, Class B, Class C and Class D
shares are sold by authorized selling agents appointed by the Manager to
accredited investors at a price equal to each Class’s 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. As of March 31, 2010 the MLM
Commodity L/S Leveraged  Series and the MLM Commodity L/N Leveraged
Series have not commenced trading and have no assets.  In addition, as
of March 31, 2010, the MLM Commodity L/S Unleveraged Series and the MLM
Commodity L/N Unleveraged Series have never had any investors in classes A, B or
C.





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





The Class
A and Class C shares of the Unleveraged and Leveraged Series are subject to a
sales commission of 0% 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.





5.
Margin Requirements





The Trust
had margin requirements of $5,218,998and $5,914,588 at March
31, 2010 and December 31, 2009, respectively, which were satisfied by cash held
at the broker.


15
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








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
      SeriesBrokerage
      Fee
            
            
            Management
      Fee
            
            
            Organizational
      Fee
            
            
            Operating
      Expense
            
            
            Selling
      Expense
            
            
            Total
      Fees and CommissionsClass
      A
            
            
            1.75
            %
            
            
            2.80
            %
            
            
            N/A
            *
            
            
            0.35
            %
            
            
            4.00
            %
            
            
            8.90
            %Class
      B
            
            
            1.75
            %
            
            
            1.30
            %
            
            
            N/A
            *
            
            
            0.35
            %
            
            
            N/A
            
            
            
            3.40
            %Class
      C
            
            
            0.90
            %
            
            
            2.05
            %
            
            
            N/A
            
            
            
            0.35
            %
            
            
            4.00
            %
            
            
            7.30
            %Class
      D
            
            
            0.90
            %
            
            
            1.30
            %
            
            
            N/A
            
            
            
            0.35
            %
            
            
            N/A
            
            
            
            2.55
            %


*effective
January 1, 2010


Unleveraged
      Series, Unleveraged Commodity L/S Series and
                Unleveraged
      Commodity L/N SeriesBrokerage
      Fee
            
            
            Management
      Fee
            
            
            Organizational
      Fee
            
            
            Operating
      Expense
            
            
            Selling
      Expense
            
            
            Total
      Fees and CommissionsClass
      A
            
            
            0.85
            %
            
            
            1.50
            %
            
            
            N/A
            *
            
            
            0.35
            %
            
            
            4.00
            %
            
            
            6.70
            %Class
      B
            
            
            0.85
            %
            
            
            0.50
            %
            
            
            N/A
            *
            
            
            0.35
            %
            
            
            N/A
            
            
            
            1.70
            %Class
      C
            
            
            0.40
            %
            
            
            1.00
            %
            
            
            N/A
            
            
            
            0.35
            %
            
            
            4.00
            %
            
            
            5.75
            %Class
      D
            
            
            0.40
            %
            
            
            0.50
            %
            
            
            N/A
            
            
            
            0.35
            %
            
            
            N/A
            
            
            
            1.25
            %


*effective
January 1, 2010


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 and banking fees directly.





7.
Derivative Financial Instruments





Derivatives
are subject to various risks similar to non-derivative financial instruments
including market, credit, liquidity and operational risk. The risks 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 fair
value 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 atMarch
      31, 2010
            
            
            December
      31, 2009Assets
            
            
            Liabilities
            
            
            Assets
            
            
            LiabilitiesFinancial
      futures
            
            $
            1,034,434
            
            
            $
            (391,058
            )
            
            $
            187,104
            
            
            $
            (2,300,234
            )Commodity
      futures
            
            
            3,291,989
            
            
            
            (111,146
            )
            
            
            1,626,318
            
            
            
            (647,676
            )Total
            
            $
            4,326,423
            
            
            $
            (502,204
            )
            
            $
            1,813,422
            
            
            $
            (2,947,910
            )


16
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








7.
Derivative Financial Instruments (continued)





March 31, 2010Change inRealized
      P&L
            
            
            Unrealized
            
            
            TotalFinancial
      futures
            
            $
            (2,820,569
            )
            
            $
            2,756,506
            
            
            $
            (64,063
            )Commodity
      futures
            
            
            (844,057
            )
            
            
            2,202,201
            
            
            
            1,358,144Total
            
            $
            (3,664,626
            )
            
            $
            4,958,707
            
            
            $
            1,294,081








March 31, 2009Change inRealized
      P&L
            
            
            Unrealized
            
            
            TotalFinancial
      futures
            
            $
            5,543,120
            
            
            $
            (4,672,695
            )
            
            $
            870,425Commodity
      futures
            
            
            7,695,916
            
            
            
            (7,991,961
            )
            
            
            (296,045
            )Total
            
            $
            13,239,036
            
            
            $
            (12,664,656
            )
            
            $
            574,380


17
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








8.
Financial Highlights





The
following represents the per share operating performance and ratios to the
average investors’ interest and other supplemental information for the three
months ended March 31, 2010:





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





Total
return is calculated as the change in the net asset value per share for the
three months ended March 31, 2010.  The per share operating
performance and ratios are computed based upon the weighted average shares
outstanding and the weighted average of investors’ interest, respectively for
each class, for the three months ended March 31, 2010.


18
 Index


MLM Index
TM Fund


Notes to
Unaudited Condensed Financial Statements (continued)


March 31,
2010








8.
Financial Highlights (continued)





The
following represents the per share operating performance and ratios to the
average investors’ interest and other supplemental information for the three
months ended March 31, 2009:





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, 2008
            
            $
            105.12
            
            
            $
            120.43
            
            
            $
            98.31
            
            
            $
            121.29
            
            
            $
            119.60
            
            
            $
            132.04
            
            
            $
            116.06
            
            
            $
            117.94Income
      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
            
            
            
            0.33Total
      from investment operations
            
            
            (0.65
            )
            
            
            (0.29
            )
            
            
            (0.22
            )
            
            
            (0.04
            )
            
            
            (0.36
            )
            
            
            (0.06
            )
            
            
            (0.06
            )
            
            
            0.08Net
      asset value per share at, March 31, 2009
            
            $
            104.47
            
            
            $
            120.14
            
            
            $
            98.09
            
            
            $
            121.25
            
            
            $
            119.24
            
            
            $
            131.98
            
            
            $
            116.00
            
            
            $
            118.02Total
      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
            )%





Total
return is calculated as the change in the net asset value per share for the
three months ended March 31, 2009.  The per share operating
performance and ratios are computed based upon the weighted average shares
outstanding and the weighted average of investors’ interest, respectively for
each class, for the three months ended March 31, 2009.


19
 Index


MLM Index
TM Fund




NOTES
TO FINANCIAL STATEMENTS


March 31,
2010








9.
Statements of Financial Condition and Operations by Series





March
      31, 2010
            
            Commodity
            
            
            CommodityAssets
            
            L/N
      Unleveraged Series
            
            
            L/S
      Unleveraged Series
            
            
            Leveraged
      Series
            
            
            Unleveraged
      Series
            
            
            Trust
      TotalCash
      and cash equivalents
            
            $
            7,626,487
            
            
            $
            10,177,428
            
            
            $
            20,076,301
            
            
            $
            33,682,008
            
            
            $
            71,562,224Due
      from broker
            
            
            561,938
            
            
            
            2,962,134
            
            
            
            18,459,687
            
            
            
            13,117,279
            
            
            
            35,101,038Net
      unrealized gain on open futures contracts, at fair value
            
            
            167,689
            
            
            
            228,200
            
            
            
            2,526,294
            
            
            
            902,036
            
            
            
            3,824,219Other
      assets
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            5,000
            
            
            
            5,000Total
      assets
            
            $
            8,356,114
            
            
            $
            13,367,762
            
            
            $
            41,062,282
            
            
            $
            47,706,323
            
            
            $
            110,492,481Liabilities
      and investors’ interestRedemptions
      payable
            
            
            -
            
            
            
            -
            
            
            $
            1,301,087
            
            
            $
            6,052,171
            
            
            $
            7,353,258Brokerage
      commissions payable
            
            
            2,586
            
            
            
            987
            
            
            
            38,504
            
            
            
            19,554
            
            
            
            61,631Management
      fee payable
            
            
            3,460
            
            
            
            1,322
            
            
            
            47,272
            
            
            
            22,994
            
            
            
            75,048Accrued
      expenses
            
            
            225
            
            
            
            200
            
            
            
            11,215
            
            
            
            21,253
            
            
            
            32,893Total
      liabilities
            
            
            6,271
            
            
            
            2,509
            
            
            
            1,398,078
            
            
            
            6,115,972
            
            
            
            7,522,830Investors’
      interest
            
            
            8,349,843
            
            
            
            13,365,253
            
            
            
            39,664,204
            
            
            
            41,590,351
            
            
            
            102,969,651Total
      liabilities and investors’ interest
            
            $
            8,356,114
            
            
            $
            13,367,762
            
            
            $
            41,062,282
            
            
            $
            47,706,323
            
            
            $
            110,492,481








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


20
 Index


MLM Index
TM Fund
 
 NOTES
TO FINANCIAL STATEMENTS
 March 31,
2010








9.
Statements of Financial Condition and Operations by Series
(continued)





Period
      ended March 31, 2010
            
            Commodity
      L/N Unleveraged Series
            
            
            Commodity
      L/S Unleveraged Series
            
            
            Leveraged
      Series
            
            
            Unleveraged
      Series
            
            
            Trust
      TotalInvestment
      incomeInterest
            
            $
            -
            
            
            $
            1
            
            
            $
            4,128
            
            
            $
            7,608
            
            
            $
            11,737ExpensesBrokerage
      commissions
            
            
            3,197
            
            
            
            8,371
            
            
            
            127,897
            
            
            
            61,519
            
            
            
            200,984Management
      fee
            
            
            3,996
            
            
            
            10,463
            
            
            
            152,962
            
            
            
            69,189
            
            
            
            236,610Operating
      expenses
            
            
            3,115
            
            
            
            7,656
            
            
            
            52,197
            
            
            
            66,645
            
            
            
            129,613Total
      expenses
            
            
            10,308
            
            
            
            26,490
            
            
            
            333,056
            
            
            
            197,353
            
            
            
            567,207Net
      investment loss
            
            
            (10,308
            )
            
            
            (26,489
            )
            
            
            (328,928
            )
            
            
            (189,745
            )
            
            
            (555,470
            )Realized
      and unrealized gain (loss) on investmentsNet
      realized loss
            
            
            (40,982
            )
            
            
            (291,515
            )
            
            
            (2,549,063
            )
            
            
            (790,488
            )
            
            
            (3,672,048
            )Net
      gain on change in unrealized appreciation on investments and foreign
      currency
            
            
            170,383
            
            
            
            66,630
            
            
            
            3,497,747
            
            
            
            1,214,470
            
            
            
            4,949,230Net
      realized and unrealized gain (loss) on investments
            
            
            129,401
            
            
            
            (224,885
            )
            
            
            948,684
            
            
            
            423,982
            
            
            
            1,277,182Net
      income (loss)
            
            $
            119,093
            
            
            $
            (251,374
            )
            
            $
            619,756
            
            
            $
            243,237
            
            
            $
            721,712


21
 Index


MLM Index
TM Fund
 
 NOTES
TO FINANCIAL STATEMENTS
 March 31,
2010








9.
Statements of Financial Condition and Operations by Series
(continued)





Period
      ended March 31, 2009
            
            Leveraged
      Series
            
            
            Unleveraged
      Series
            
            
            Trust
      TotalInvestment
      incomeInterest
            
            $
            19,628
            
            
            $
            40,559
            
            
            $
            60,187ExpensesBrokerage
      commissions
            
            
            164,438
            
            
            
            103,342
            
            
            
            267,780Management
      fee
            
            
            199,236
            
            
            
            116,836
            
            
            
            316,072Operating
      expenses
            
            
            65,982
            
            
            
            110,039
            
            
            
            176,021Total
      expenses
            
            
            429,656
            
            
            
            330,217
            
            
            
            759,873Net
      investment loss
            
            
            (410,028
            )
            
            
            (289,658
            )
            
            
            (699,686
            )Realized
      and unrealized gain (loss) on investmentsNet
      realized gain
            
            
            8,658,713
            
            
            
            4,927,329
            
            
            
            13,586,042Net
      loss on change in unrealized appreciation on investments and foreign
      currency
            
            
            (8,334,095
            )
            
            
            (4,601,209
            )
            
            
            (12,935,304
            )Net
      realized and unrealized gain (loss) on investments
            
            
            324,618
            
            
            
            326,120
            
            
            
            (650,738
            )Net
      income (loss)
            
            $
            (85,410
            )
            
            $
            36,462
            
            
            $
            (48,948
            )




10.
Subsequent Events
 From April 1, 2010 through May 12, 2010, the Trust
had subscriptions received or pending of $76,865, $73,715, $500,000 and
$10,000,000 for the Leveraged Series, Unleveraged Series, Commodity L/S
Unleveraged Series and Commodity L/N Unleveraged Series,
respectively.  In addition, the Trust had redemptions pending or
received of $562,390 and $822,869 for the Leveraged and Unleveraged Series,
respectively.


22
 Index


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





General





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.  The MLM Commodity L/S Index is a subset of the MLM
Index and contains only the commodity futures markets of the entire MLM
Index.  The MLM Commodity L/N Index contains the same commodity
futures contracts, but does not have short positions when the MLM Index
algorithm indicates a short position in a particular contract.





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 and
its subsets.





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 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
financial statements have been prepared in conformity with U.S. generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements and
accompanying notes. Other than accruals maintained in the normal course of
business, neither management or the Trust prepares, maintains or updates any
estimates.  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 Financial
Statements.


23
 Index


The Trust
records all investments at fair value in its financial statements, with changes
in fair value reported as a component of realized and unrealized gain (loss) on
investments in the Statements of Operations. Generally, fair values are based on
market prices; however, in certain circumstances, significant judgments and
estimates 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 inception of operations the Trust
had used Refco, LLC as its futures commission merchant.  In October of
2005, the Trust moved its clearing accounts to Citigroup Global Markets. The
Manager deposits a percentage of the assets of the Trust in separate accounts at
Citigroup Global Markets, one for each 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
2.4% of assets for each unleveraged series and 7.1% of assets for each
leveraged series.





The
Trust’s assets are held in separate custodial accounts at State Street Bank and
Trust (the “Bank”), one for each Series.   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 CE Act. When
Citigroup Global Markets requires additional assets to maintain the positions
for the Trust, the Bank makes a wire transfer to Citigroup Global Markets. If
Citigroup Global Markets has surplus assets in the accounts, Citigroup Global
Markets 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.





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. As at
March 31, 2010, decreases in cash and cash equivalents and increases in due from
broker amounted to approximately $19.9 and $3.3 million and net cash used in
operations amounted to approximately $1.0 million, of which $0.7 million
represents net gain from operations in the current period. In general, the Trust
will have about 5% of its assets on deposit with brokers as margin, with the
balance held in accounts with a major financial institution.





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, upon 10 days written notice to the
Manager. While the Manager generally must honor all requests for redemption if
presented in proper form, the Manager may suspend temporarily 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
property 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.


24
 Index


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.  The Trust generally trades only in the largest and most liquid
futures contracts, and generally has available approximately 95% of its assets
in the form of highly liquid money market securities.  The Trust
believes that, except in extreme market conditions, all open positions can be
liquidated in an efficient, orderly fashion.





Off-Balance
Sheet Arrangements





The Trust
has no off-balance sheet arrangements that it believes does or will be
reasonably likely to have a material current or future effect on the Trust’s
results of operations, financial condition, liquidity, capital expenditures or
capital resources.





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 and its subsets. 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 IndexTM and its subsets.  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, management would use its best efforts to
respond to such circumstances with the interests of the investors in
mind.





The MLM
IndexTM and its subsets are 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 and its subsets are designed to represent
participation in a diverse basket of future contracts using a trend-following
algorithm.  The MLM IndexTM and its subsets are 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 transactions, additional counterparty risk would be
incurred.  There were no OTC transactions for the three months ending
March 31, 2010.





Results
of Operations





At March
31, 2010, the Trust had assets of $110,492,481 and liabilities of $7,522,830
compared with assets of $129,799,051 and liabilities of $25,220,097 at December
31, 2009.  Changes in the net assets of the Trust are the result of
subscriptions and redemptions to the Trust, and the net gain from operations;
including the results from futures trading, interest income, and fees and
expenses.  For the three-month period ended March 31, 2010, subscriptions
to the Trust totaled $11,454,299 and redemptions totaled $13,785,314. 
During the three-month period ended March 31, 2010, the Trust had a net gain of
$721,712 compared with a net loss of $48,948 for the same period in 2009. 
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.


25
 Index


The
Trust’s net income (loss) is directly related to the performance of the MLM
IndexTM, which the Trust is designed to replicate.  For the three
months ended March 31, 2010, MLM IndexTM performance was
+0.97%.  Performance was +0.43% for the same period ended March 31,
2009.  The following table represents the performance by class for the
MLM IndexTM Fund for the three months ended March 31, 2010 and March 31,
2009.





March 31,
2010:




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





March 31,
2009:




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
            
            
            SharesTotal
      Return:
            
            
            (0.62
            )%
            
            
            (0.24
            )%
            
            
            (0.22
            )%
            
            
            (0.03
            )%
            
            
            (0.30
            )%
            
            
            (0.05
            )%
            
            
            (0.05
            )%
            
            
            0.07
            %





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/or 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. 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 them, 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
(“VAR”).  The method used here may or may not differ from other
methods used for VAR calculations by other firms.  There is no one
generally accepted method of VAR calculation and this method may not be
comparable to methods used by others.





The
market risk, or VAR of the Trust is directly related to the composition of the
MLM IndexTM and its subsets, and the ratio of each. 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.


26
 Index


The VAR
of the Trust is calculated as follows:





The
Manager calculates the weighted average of the standard deviation of the
historical returns of the MLM IndexTM and its subsets 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, 2010 are 0.51% and 2.27% respectively.  It is
important to note that this calculation is made on the historical data of the
MLM IndexTM.   The standard deviation is used to measure the dispersion
of the returns of the MLM IndexTM over time.





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 1.73 %.  For monthly returns, the estimate is a loss of
7.78%.





To
ascertain a dollar loss amount for the Trust, the assets of the Trust as of
March 31, 2010 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 March 31,
2010, the Manager estimates that the Trust could expect to lose approximately $3
million in any given day and $14 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 and its subsets.





The loss
that occurs with small probability may be substantially greater than the loss
indicted above.  Also, market conditions could change dramatically
from the conditions that prevailed over the period used to calculate the
estimate, affecting the realized volatility of the
market.  Furthermore, other factors could 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 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 and its subsets.    It is best to remember the
fact that, as outlined in the offering for the Trust, that all the assets
invested are at 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 and its subsets 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 and its subsets,
causing extensive slippage.


27
 Index


Item 4.
            Controls
      and Procedures.





The
President and the Chief Operating Officer of the Manager (collectively the
“Certifying Officers”) maintain a system of disclosure controls and procedures
that is designed to provide reasonable assurance that information, which is
required to be disclosed, is accumulated and communicated to management in a
timely manner.  The Certifying Officers have concluded that the
disclosure controls and procedures are effective at the “reasonable assurance”
level.  As of March 31, 2010, the Certifying Officers evaluated the
effectiveness of the design and operation of the disclosure controls and
procedures (as defined in Rule [13a-15(e)/15d-15(e)] under the Exchange
Act).  Furthermore, the Certifying Officers concluded that disclosure
controls and procedures in place were designed to ensure that information
required to be disclosed in reports that are filed or submitted under the
Exchange Act are (i) recorded, processed, summarized and reported on a timely
basis in accordance with Commission rules and regulations; and (ii) accumulated
and communicated to the Certifying Officers and other persons that perform
similar functions, if any, to allow them to make timely decisions regarding
required disclosure in periodic filings.  There have been no
significant changes in the Trust’s internal control over financial reporting in
the quarter ended March 31, 2010 that has materially affected or is reasonably
likely to materially affect the Trust’s internal control over financial
reporting.








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.





Item 1a.
            Risk
      Factors.





None.





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





Leveraged
      Series
            
            
            Unleveraged
      Series
            
            
            Unleveraged
      Commodity L/S Series
            
            
            Unleveraged
      Commodity L/N SeriesClass
      A
            
            
            Class
      B
            
            
            Class
      C
            
            
            Class
      D
            
            
            Class
      A
            
            
            Class
      B
            
            
            Class
      C
            
            
            Class
      D
            
            
            Class
      D
            
            
            Class
      DJan-10
      Subscriptions
            
            $
            -
            
            
            $
            58,625
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            71,109
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -Subscriptions
      Units
            
            
            -
            
            
            
            567
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            565
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -#
      of Purchasers
            
            
            -
            
            
            
            1
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            2
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -Unit
      Price
            
            $
            -
            
            
            $
            102.80
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            125.18
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -Feb-10
      Subscriptions
            
            $
            -
            
            
            $
            69,219
            
            
            $
            -
            
            
            $
            50,000
            
            
            $
            -
            
            
            $
            49,885
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -Subscriptions
      Units
            
            
            -
            
            
            
            667
            
            
            
            -
            
            
            
            474
            
            
            
            -
            
            
            
            397
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -#
      of Purchasers
            
            
            -
            
            
            
            6
            
            
            
            -
            
            
            
            1
            
            
            
            -
            
            
            
            7
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            -Unit
      Price
            
            $
            -
            
            
            $
            103.79
            
            
            $
            -
            
            
            $
            105.58
            
            
            $
            -
            
            
            $
            125.51
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -Mar-10
      Subscriptions
            
            $
            -
            
            
            $
            77,962
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            77,499
            
            
            $
            -
            
            
            $
            1,000,000
            
            
            $
            10,000,000
            
            
            $
            -Subscriptions
      Units
            
            
            -
            
            
            
            726
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            611
            
            
            
            -
            
            
            
            8,773
            
            
            
            89,174
            
            
            
            -#
      of Purchasers
            
            
            -
            
            
            
            3
            
            
            
            -
            
            
            
            -
            
            
            
            -
            
            
            
            3
            
            
            
            -
            
            
            
            2
            
            
            
            1
            
            
            
            -Unit
      Price
            
            $
            -
            
            
            $
            107.42
            
            
            $
            -
            
            
            $
            -
            
            
            $
            -
            
            
            $
            126.89
            
            
            $
            -
            
            
            $
            113.99
            
            
            $
            112.14
            
            
            $
            -


28
 Index


Item 3.
            Defaults
      Upon Senior Securities.





None.





Item 5.
            Other
      Information.





None.




29
 Index


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




(a)
Reports on Form 8-K
 
 (b)
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


30
 Index


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 FUNDBy:   Mount
      Lucas Management CorporationIts:  ManagerBy:  /s/
      Timothy J. Rudderow, SrTimothy
      J. Rudderow, SrPresident








Date: May
12, 2010






31