**Exhibit 13.01**

** **

***ML TREND-FOLLOWING FUTURESFUND L.P.***

***(A Delaware Limited Partnership)***

 

FinancialStatements for the years endedDecember 31, 2007, 2006 and 2005and Report of Independent Registered Public Accounting Firm

 

 

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

 

TABLEOF CONTENTS

 
| ** **                                                                                                  | ** ** | **Page** |
|-------------------------------------------------------------------------------------------------------------|------------|----------|
|                                                                                                        |       |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                                    |       | 1        |
|                                                                                                        |       |     |
| FINANCIAL  STATEMENTS:                                                                                      |       |     |
|                                                                                                        |       |     |
| Statements of Financial  Condition as of December 31, 2007 and 2006                                    |       | 2        |
|                                                                                                        |       |     |
| Statements of Operations  for the years ended December 31, 2007, 2006 and 2005                         |       | 3        |
|                                                                                                        |       |     |
| Statements of Changes  in Partners’ Capital for the years ended December 31, 2007, 2006 and  2005 |       | 4        |
|                                                                                                        |       |     |
| Financial Data  Highlights for the years ended December 31, 2007, 2006 and 2005                        |       | 5        |
|                                                                                                        |       |     |
| Notes to Financial  Statements                                                                              |       | 6-12     |

 

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REPORTOF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Partners of

  MLTrend-Following Futures Fund L.P.:

 

We have audited the accompanying statements offinancial condition of ML Trend-Following Futures Fund L.P. (the“Partnership”), previously known as ML JWH Strategic Allocation Fund L.P., asof December 31, 2007 and 2006, and the related statements of operationsand changes in partners’ capital and the financial data highlights for each ofthe three years in the period ended December 31, 2007.  Thesefinancial statements and financial data highlights are the responsibility ofthe Partnership’s management.  Our responsibility is to express an opinionon these financial statements and financial data highlights based on ouraudits.

 

We conducted our audits in accordance with thestandards of the Public Company Accounting Oversight Board (UnitedStates).  Those standards require that we plan and perform the audit toobtain reasonable assurance about whether the financial statements andfinancial data highlights are free of material misstatement.  ThePartnership is not required to have, nor were we engaged to perform, an auditof its internal control over financial reporting.  Our audits includedconsideration of internal control over financial reporting as a basis fordesigning audit procedures that are appropriate in the circumstances, but notfor the purpose of expressing an opinion on the effectiveness of thePartnership’s internal control over financial reporting.  Accordingly, weexpress no such opinion.  An audit also includes examining, on a testbasis, evidence supporting the amounts and disclosures in the financialstatements, assessing the accounting principles used and significant estimatesmade by management, as well as evaluating the overall financial statementpresentation. We believe that our audits provide a reasonable basis for ouropinion.

 

In our opinion, the financial statements andfinancial data highlights referred to above present fairly, in all materialrespects, the financial position of ML Trend-Following Futures Fund L.P. as of December 31,2007 and 2006, the results of its operations, the changes in its partners’capital, and its financial data highlights for each of the three years in theperiod ended December 31, 2007, in conformity with accounting principlesgenerally accepted in the United States of America.

 

 

/s/ Deloitte &Touche LLP

 

Princeton, New Jersey

March 31, 2008

 

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a Delaware LimitedPartnership)

 

STATEMENTSOF FINANCIAL CONDITION

DECEMBER31, 2007 AND 2006

 
| ** **                                                                        | ** ** | **2007**    | ** **  | **2006**    | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
| ** **                                                                        |       |        |        |        |       |
| **ASSETS:**                                                                       |       |        |        |        |       |
| Equity in  commodity futures trading accounts:                                    |       |        |        |        |       |
| Cash (includes  restricted cash of $0 for 2007 and $313,038,069 for 2006)         |       | $           | 6,173       |        | $          | 833,258,309 |   |
| Net unrealized  profit on open contracts                                          |       | —      |        | 7,308,299   |       |
| Cash                                                                              |       | 218,869     |        | —      |       |
| Investments in  Portfolio Funds (cost $347,355,241)                               |       | 369,982,077 |        | —      |       |
| Due from  Portfolio Funds                                                         |       | 17,014,386  |        | —      |       |
| Accrued interest                                                                  |       | 59,180      |        | 3,815,156   |       |
| Subscriptions  receivable                                                         |       | —      |        | 10,648      |       |
|                                                                              |       |        |        |        |       |
| **TOTAL  ASSETS**                                                                 |       | $           | 387,280,685 |        | $          | 844,392,412 |   |
| ** **                                                                        |       |        |        |        |       |
| **LIABILITIES,  PARTNERS’ CAPITAL AND MINORITY INTEREST**                    |       |        |        |        |       |
| **LIABILITIES:**                                                                  |       |        |        |        |       |
| Brokerage  commissions payable                                                    |       | $           | —      |        | $          | 4,045,866 |   |
| Wrap fee payable                                                                  |       | 1,290,255   |        | —      |       |
| Redemptions  payable                                                              |       | 15,662,095  |        | 47,544,300  |       |
| Ongoing offering  costs payable                                                   |       | —      |        | 125,000     |       |
| Other                                                                             |       | 209,053     |        | 196,749     |       |
|                                                                              |       |        |        |        |       |
| Total  liabilities                                                                |       | 17,161,403  |        | 51,911,915  |       |
|                                                                              |       |        |        |        |       |
| **PARTNERS’  CAPITAL:**                                                      |       |        |        |        |       |
| General Partner  (42,282 Units and 46,719 Units)                                  |       | 6,943,734   |        | 8,204,766   |       |
| Limited Partners  (2,211,461 Units and 4,465,097 Units)                           |       | 363,175,548 |        | 784,098,296 |       |
|                                                                              |       |        |        |        |       |
| Total partners’  capital                                                     |       | 370,119,282 |        | 792,303,062 |       |
|                                                                              |       |        |        |        |       |
| **MINORITY  INTEREST**                                                            |       | —      |        | 177,435     |       |
| ** **                                                                        |       |        |        |        |       |
| **TOTAL  LIABILITIES, PARTNERS’ CAPITAL AND MINORITY INTEREST**              |       | $           | 387,280,685 |        | $          | 844,392,412 |   |
| ** **                                                                        |       |        |        |        |       |
| **NET  ASSET VALUE PER UNIT**                                                     |       |        |        |        |       |
| (Based on  2,253,743 and 4,511,816 Units outstanding, unlimited Units authorized) |       | $           | 164.22      |        | $          | 175.61 |   |

 

See notes to  financial statements.

 

2

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

 

STATEMENTS OF OPERATIONS

FOR THE YEARS ENDED DECEMBER 31, 2007, 2006 AND 2005

 
| ** **                                                                        | ** ** | **2007**    | ** **  | **2006**     | ** ** | **2005**     | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|-------------|--------------|------------|--------------|------------|
| **TRADING  PROFIT (LOSS):**                                                       |       |        |        |         |       |         |       |
|                                                                              |       |        |        |         |       |         |       |
| Realized                                                                          |       | $           | (64,586,271 | )            | $          | (158,576,895 | )          | $ | (112,908,397 | ) |
| Change in  unrealized                                                             |       | 15,318,537  |        | 12,136,031   |       | (150,020,999 | )          |
|                                                                              |       |        |        |         |       |         |       |
| Total trading  loss                                                               |       | (49,267,734 | )           | (146,440,864 | )          | (262,929,396 | )          |
|                                                                              |       |        |        |         |       |         |       |
| **INVESTMENT  INCOME:**                                                           |       |        |        |         |       |         |       |
|                                                                              |       |        |        |         |       |         |       |
| Interest                                                                          |       | 13,909,510  |        | 51,861,211   |       | 39,816,009   |       |
|                                                                              |       |        |        |         |       |         |       |
| **EXPENSES:**                                                                     |       |        |        |         |       |         |       |
|                                                                              |       |        |        |         |       |         |       |
| Brokerage  commissions                                                            |       | 15,400,942  |        | 61,808,517   |       | 73,622,017   |       |
| Administrative  and filing fees                                                   |       | 961,273     |        | 2,937,327    |       | 3,450,957    |       |
| Wrap fee                                                                          |       | 9,947,043   |        | —       |       | —       |       |
| Ongoing offering  costs                                                           |       | 25,000      |        | 1,450,000    |       | 475,000      |       |
|                                                                              |       |        |        |         |       |         |       |
| Total expenses                                                                    |       | 26,334,258  |        | 66,195,844   |       | 77,547,974   |       |
|                                                                              |       |        |        |         |       |         |       |
| **NET  INVESTMENT LOSS**                                                          |       | (12,424,748 | )           | (14,334,633  | )          | (37,731,965  | )          |
|                                                                              |       |        |        |         |       |         |       |
| **LOSS  BEFORE MINORITY INTEREST AND PROFIT SHARE ALLOCATION**                    |       | (61,692,482 | )           | (160,775,497 | )          | (300,661,361 | )          |
|                                                                              |       |        |        |         |       |         |       |
| Profit Share  allocation                                                          |       | —      |        | —       |       | (6,312       | )          |
| Minority  interest                                                                |       | 18,048      |        | 29,872       |       | 55,162       |       |
|                                                                              |       |        |        |         |       |         |       |
| **NET  LOSS**                                                                     |       | $           | (61,674,434 | )            | $          | (160,745,625 | )          | $ | (300,612,511 | ) |
|                                                                              |       |        |        |         |       |         |       |
| **NET  LOSS PER UNIT:**                                                           |       |        |        |         |       |         |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       | 3,220,807   |        | 5,604,599    |       | 5,970,850    |       |
|                                                                              |       |        |        |         |       |         |       |
| Net loss per  weighted average General Partner and Limited Partner Unit           |       | $           | (19.15      | )            | $          | (28.68       | )          | $ | (50.35 | ) |

 

See notes tofinancial statements.

 

3

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

FOR THE YEARS ENDED DECEMBER 31, 2007, 2006 AND 2005

 
| ** **                                       | ** ** | **Units**  | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | **Total**     | ** ** |
|--------------------------------------------------|------------|------------|------------|----------------------|------------|-----------------------|------------|---------------|------------|
|                                             |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2004 |       | 5,269,462  |       | $                    | 13,425,275 |                  | $          | 1,358,373,840 |       | $ | 1,371,799,115 |   |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Additions                                        |       | 1,613,068  |       | 2,102,855            |       | 348,829,251           |       | 350,932,106   |       |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Net loss                                         |       | —     |       | (2,914,187           | )          | (297,698,324          | )          | (300,612,511  | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                      |       | (877,000   | )          | —               |       | (187,967,184          | )          | (187,967,184  | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2005 |       | 6,005,530  |       | 12,613,943           |       | 1,221,537,583         |       | 1,234,151,526 |       |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                                    |       | 652,497    |       | 4,888                |       | 126,252,532           |       | 126,257,420   |       |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Net loss                                         |       | —     |       | (1,731,789           | )          | (159,013,836          | )          | (160,745,625  | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                      |       | (2,146,211 | )          | (2,682,276           | )          | (404,677,983          | )          | (407,360,259  | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2006 |       | 4,511,816  |       | 8,204,766            |       | 784,098,296           |       | 792,303,062   |       |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                                    |       | 224,986    |       | —               |       | 36,094,976            |       | 36,094,976    |       |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Net loss                                         |       | —     |       | (573,924             | )          | (61,100,510           | )          | (61,674,434   | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                      |       | (2,483,059 | )          | (687,108             | )          | (395,917,214          | )          | (396,604,322  | )          |
|                                             |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL,  December 31, 2007 |       | 2,253,743  |       | $                    | 6,943,734  |                  | $          | 363,175,548   |       | $ | 370,119,282 |   |

 

See notes tofinancial statements.

 

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

 

FINANCIALDATA HIGHLIGHTS

FORTHE YEARS ENDED DECEMBER 31, 2007, 2006 AND 2005

 

The following per Unitdata and ratios have been derived from information provided in the financial statements.

 
| ** **                                  | ** ** | **2007** | ** ** | **2006** | ** ** | **2005** | ** ** |
|---------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| **Per  Unit Operating Performance:**        |       |     |       |     |       |     |       |
|                                        |       |     |       |     |       |     |       |
| Net asset value,  beginning of year         |       | $        | 175.61     |     | $          | 205.50   |       | $ | 260.33 |   |
|                                        |       |     |       |     |       |     |       |
| Realized trading  loss                      |       | (14.17   | )          | (28.01   | )          | (21.04   | )          |
| Change in  unrealized trading profit (loss) |       | 7.12     |       | 0.62     |       | (27.45   | )          |
| Interest income                             |       | 3.52     |       | 9.28     |       | 6.64     |       |
| Minority  interest in loss                  |       | —   | (1)        | 0.01     |       | 0.01     |       |
| Expenses (2)                                |       | (7.86    | )          | (11.79   | )          | (12.99   | )          |
|                                        |       |     |       |     |       |     |       |
| Net asset value,  end of year               |       | $        | 164.22     |     | $          | 175.61   |       | $ | 205.50 |   |
|                                        |       |     |       |     |       |     |       |
| **Total  Return:**                          |       |     |       |     |       |     |       |
|                                        |       |     |       |     |       |     |       |
| Total return                                |       | -6.48    | %          | -14.55   | %          | -21.06   | %          |
|                                        |       |     |       |     |       |     |       |
| **Ratios  to Average Net Assets: (2),(3)**  |       |     |       |     |       |     |       |
|                                        |       |     |       |     |       |     |       |
| Expenses                                    |       | 5.22     | %          | 6.30     | %          | 6.12     | %          |
|                                        |       |     |       |     |       |     |       |
| Net investment  loss                        |       | -2.46    | %          | -1.36    | %          | -2.98    | %          |

 

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(1) Minorityinterest is less than $0.01.

(2) Includesthe impact of brokerage commission expense.

(3) Theratios do not reflect the proportionate share of income and expense of thePortfolio Funds.

 

See notes tofinancial statements.

 

5

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

 

NOTESTO FINANCIAL STATEMENTS

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML TrendFollowing Futures Fund L.P. (the “Partnership”), formerly knownas ML JWH Strategic Allocation Fund L.P. was organized under the DelawareRevised Uniform Limited Partnership Act on December 11, 1995 and commencedtrading on July 15, 1996.  ThePartnership operates as a “fund of funds”, allocating and reallocating itscapital, under the discretion of Merrill Lynch Alternative Investments LLC (“MLAI”)the general partner of the Partnership, among four underlying FuturesAccessFunds (each a “Portfolio Fund” and collectively the “Portfolio Funds”) (SeeNote 2).

 

On April 20, 2007, MLAI issued an announcement regarding arestructuring of the Partnership, effective June 1, 2007.  As part of the restructuring the followingoccurred:

 

·                  The Partnership changed itsname to ML Trend-Following Futures Fund L.P.

 

·                  The Partnership’s assetswere reinvested in MLAI-sponsored Portfolio Funds: ML Aspect FuturesAccess LLC(“Aspect”), ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML Transtrend DTPEnhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”).  These Portfolio Funds employ a variety ofsystematic models with an emphasis on a style of investment commonly referredto as “diversified trend following” and the Partnership no longer utilizes theservices of John W. Henry & Company, Inc. (“JWH®”) as acommodity trading advisor.

 

·                  The Portfolio Funds are agroup of commodity pools sponsored by MLAI, each of which places substantiallyall of its assets in a managed futures and forward trading account managed by asingle commodity trading advisor.  Eachof the Portfolio Funds implements a different trading strategy; and

 

·                  On May 7, 2007, thePartnership was deregistered under the Securities Act of 1933, as amended, butretained its registration under the Securities Act of 1934, as amended.

 

Estimates

 

The preparation of financial statements in conformity with accountingprinciples generally accepted in the United States of America (“U.S. GAAP”)requires management to make estimates and assumptions that affect the reportedamounts of assets and liabilities and disclosure of contingent assets andliabilities at the date of the financial statements and the reported amounts ofrevenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

Revenue Recognition

 

The Portfolio Funds’ commodities, futures, options on futures andforward contract transactions are recorded on the trade date and open contractsare reflected in Net unrealized profit (loss) on open contracts in theStatements of Financial Condition of the Partnership and each of the Portfolio Fundsas the difference between the original contract value and the market value (forthose commodity interests for which market quotations are readily available) orat fair value.  The change in unrealizedprofit (loss) on open contracts from one period to the next is reflected inchange in unrealized under trading profit (loss) in the Statements ofOperations of the Partnership and each of the Portfolio Funds.

 

6

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The resulting change betweencost and market value (net of subscription and redemption activity in PortfolioFunds) is reflected in the Statements of Operations as change in unrealizedfrom the Investments in the Portfolio Funds. In addition, when the Partnershipredeems or partially redeems its interest in the Portfolio Funds, it recordsrealized (net profit or loss) for such interests in the Statements ofOperations of the Partnership.

 

ForeignCurrency Transactions

 

The Partnership’sfunctional currency is the U.S. dollar; however, it transacts business incurrencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S.dollar are translated into U.S. dollars at the rates in effect at the dates ofthe Statements of Financial Condition of the Partnership and each of the Portfolio Funds.  Income and expense items denominated incurrencies other than the U.S. dollar are translated into U.S. dollars at therates in effect during the period.  Gainsand losses resulting from the translation to U.S. dollars are reported inRealized in the Statements of Operationsof the Partnership and each of the Portfolio Funds.

 

Ongoing Offering Costs,Operating Expenses and Selling Commissions

 

MLAI is entitled to receive, from the Partnership,ongoing offering cost reimbursements subject to a ceiling of up to .25 of 1% ofthe Partnership’s average month-end assets in any fiscal year.

 

Prior to June 1, 2007, the Partnership’s brokerage commissions andadministrative fees constituted a single annual “wrap fee” not to exceed 6.5%of the Partnership’s average month-end Net Asset Value, which covered all ofthe Partnership’s costs and expenses, other than bid-ask spreads and certaintrading fees as well as an annual filing fee payable to the State of New Jerseyand offering costs. After June 1, 2007, the Partnership pays MLAI, wrapfee in the amount of 4.0% of the Partnership’s average month-end Net AssetValue. Other than this 4.0% wrap fee, the only direct expense of thePartnership is the annual New Jersey filing fee, which is assessed on aper-partner basis with a maximum charge of $250,000 per year.

 

No sellingcommissions have been or are paid directly by the Limited Partners.  All selling commissions are paid byMLPF&S.

 

Cash

 

Aportion of the assets maintained at MLPF&S at December 31, 2006 isrestricted cash of $313,038,069 required to meet maintenance marginrequirements.  The Partnership maintainscash at an unaffiliated bank for operational purposes as of December 31,2007.

 

Income Taxes

 

No provision forincome taxes has been made in the accompanying financial statements as eachPartner is individually responsible for reporting income or loss based on suchPartner’s respective share of the Partnership’s income and expenses as reportedfor income tax purposes.

 

Distributions

 

The LimitedPartners are entitled to receive, equally per Unit, any distribution which maybe made by the Partnership.  No suchdistributions have been declared for the years ended December 31, 2007,2006 and 2005.

 

7

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Subscriptions

 

Units of thePartnership are offered as of the close of business at the end of eachmonth.  Units are purchased as of thefirst business day of any month at Net Asset Value, but the subscriptionrequest must be submitted at least three calendar days before the end of thepreceding month.  Subscriptions submittedless than three days before the end of a month will be applied to Unitssubscriptions as of the beginning of the second month after receipt, unlessrevoked by MLAI.

 

Redemptions

 

A Limited Partnermay redeem some or all of such Partner’s Units at Net Asset Value as of theclose of business, on the last business day of any month, upon ten calendardays’ notice (“notice period”). Units redeemed on or prior to the end of the twelfthfull month after purchase are assessed an early redemption charge of 3% oftheir Net Asset Value as of the date of redemption.  If an investor acquired Units at more thanone time, Units are treated on a first-in, first-out basis for purposes of determiningwhether redemption charges are applicable. Redemption charges, if any, are subtracted from redemption proceeds andpaid to MLAI.

 

Redemptionrequests are accepted within the notice period. The Partnership does not accept any redemption requests after the noticeperiod.  All redemption requests receivedafter the notice period will be processed for the following month.

 

Dissolution of thePartnership

 

ThePartnership may terminate if certain circumstances occur as set forth in theoffering memorandum, which include but are not limited to the following:

 

(a)                            Bankruptcy, dissolution, withdrawal or othertermination of the trading advisors of this Partnership.

(b)                           Any event which would make unlawful thecontinued existence of this Partnership.

(c)                            Determination by MLAI to liquidate orwithdraw from the Partnership.

 

Indemnifications

 

In the normalcourse of business, the Partnership enters into contracts and agreements thatcontain a variety of representations and warranties and which provide general indemnifications.The Partnership’s maximum exposure under these arrangements is unknown, as thiswould involve future claims that may be made against the Partnership that havenot yet occurred.  The Partnershipexpects the risk of any future obligation under these indemnifications to beremote.

 

2.               INVESTMENTS IN PORTFOLIO FUNDS

 

Thefour Portfolio Funds in which the Partnership is invested as of December 31,2007 are: Winton, Aspect, Transtrend and Chesapeake. MLAI may in itsdiscretion, change the Portfolio Funds at any time. MLAI, also at its discretionmay vary the percentage of the Partnership’s total portfolio allocated to thedifferent Portfolio Funds. There is no pre-established range for the minimumand maximum allocations that may be made to any given Portfolio Fund.

 

8

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AtDecember 31, 2007, Investments in Portfolio Funds at fair value are asfollows:

 
| ** **                                                             | ** ** | ** **          | ** **  | **Percentage of** | ** ** | ** **             | ** ** | **Fees (1)** | ** ** | **Redemptions** | ** ** |
|------------------------------------------------------------------------|------------|---------------------|-------------|------------------------|------------|------------------------|------------|-------------------|------------|-----------------|------------|
| ** **                                                             | ** ** | **Fair Value** | ** **  | **Investment**         | ** ** | **Profit (Loss)** | ** ** | **Management**    | ** ** | **Performance** | ** ** | **Permitted** | ** ** |
| ML Winton  FuturesAccess LLC                                           |       | $                   | 92,508,127  |                   | 25.00      | %                      | $          | 11,721,847        |       | $               | 942,055    |   | $ | 1,546,686 |   | Monthly |   |
| ML Aspect  FuturesAccess LLC                                           |       | 92,508,126          |        | 25.00                  |       | 3,530,089              |       | 930,069           |       | 152,433         |       | Monthly |   |
| ML Transtrend  DTP Enhanced FuturesAccess LLC                          |       | 92,485,147          |        | 25.00                  |       | 15,550,879             |       | 633,329           |       | 4,354,468       |       | Monthly |   |
| ML Chesapeake  FuturesAccess LLC                                       |       | 92,480,677          |        | 25.00                  |       | (5,976,852             | )          | 611,746           |       | —          |       | Monthly |   |
|                                                                   |       |                |        |                   |       |                   |       |              |       |            |       |   |   |
| Total Investment  in Portfolio Funds at fair value (cost $347,355,241) |       | $                   | 369,982,077 |                   | 100.00     | %                      | $          | 24,825,963        |       |            |       |   |   |   |   |
|                                                                        |            |                     |             |                        |            |                        |            |                   |            |                 |            |  |  |  |  |  |  |

 

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(1) See Note 6.

 

3. CONDENSED SCHEDULE OFINVESTMENTS

 

The Partnership’s investments, defined as Net unrealized profit (loss)on open contracts in the Statement of Financial Condition as of December 31,2006, are as follows:

 
| **2006**                                  | ** ** | **Long Positions** | ** ** | **Short Positions**           | ** ** | ** **                                   | ** ** | ** **    | ** ** | ** **                         | ** ** |
|-------------------------------------------|------------|-------------------------|------------|------------------------------------|------------|----------------------------------------------|------------|---------------|------------|------------------------------------|------------|
| **Commodity Industry   Sector** | ** ** | **Contracts**           | ** ** | **Unrealized  profit (loss)** | ** ** | **Percent of  Partners’  Capital** | ** ** | **Contracts** | ** ** | **Unrealized  profit (loss)** | ** ** | **Percent of  Partners’  Capital** | ** ** | **Net unrealized  profit (loss)** | ** ** | **Percent of  Partners’  Capital** | ** ** | **Maturity   Date** | ** ** |
| Agriculture                               |       | 2,749                   |       | $                                  | 2,804,466  |                                         | 0.35       | %             | (1,310     | )                                  | $          | 201,777 |   | 0.03 | % | $ | 3,006,243 |   | 0.38 | % | March 07 |   |
| Currencies                                |       | 69,156,812              |       | 6,768,222                          |       | 0.85                                         | %          | (65,752,422   | )          | 5,303,474                          |       | 0.67 | % | 12,071,696 |   | 1.52 | % | March 07 |   |
| Energy                                    |       | —                  |       | —                             |       | 0.00                                         | %          | (1,623        | )          | 7,150,316                          |       | 0.90 | % | 7,150,316 |   | 0.90 | % | March 07 - April 07 |   |
| Interest rates                            |       | 13,785                  |       | (20,933,333                        | )          | -2.64                                        | %          | (15,897       | )          | 4,976,400                          |       | 0.63 | % | (15,956,933 | ) | -2.01 | % | March 07 - December 07 |   |
| Metals                                    |       | 588                     |       | 806,662                            |       | 0.10                                         | %          | (1,734        | )          | (1,519,240                         | )          | -0.19 | % | (712,578 | ) | -0.09 | % | January 07 - March 07 |   |
| Stock indices                             |       | 4,400                   |       | 1,749,555                          |       | 0.22                                         | %          | —        |       | —                             |       | 0.00 | % | 1,749,555 |   | 0.22 | % | March 07 |   |
|                                      |       |                    |       |                               |       |                                         |       |          |       |                               |       |   |   |   |   |   |   |   |   |
| Total                                     |       |                    |       | $                                  | (8,804,428 | )                                            | -1.12      | %             |       |                               | $          | 16,112,727 |   | 2.04 | % | $ | 7,308,299 |   | 0.92 | % |   |   |
|                                           |            |                         |            |                                    |            |                                              |            |               |            |                                    |            |  |  |  |  |  |  |  |  |  |  |  |  |

 

No individual contract’s unrealized profit or losscomprised greater than 5% of the Partners’ Capital as of December 31,2006.

 

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4.               JOINT VENTURE AGREEMENT

 

The Joint VentureAgreement between the Partnership and JWH® was terminated on May 31,2007. MLAI was the manager of the Joint Venture, while JWH® had solediscretion in determining the commodity futures, options on futures and forwardtrades that were made on its behalf, which was subject to the tradinglimitations outlined in the Joint Venture Agreement.

 

Pursuant to theJoint Venture Agreement, JWH® and the Partnership shared in theprofits of the Joint Venture based on equity ownership provided that 20% of thePartnership’s allocable quarterly New Trading Profits, as defined, wereallocated to JWH®.  Losseswere allocated to JWH® and the Partnership based on equityownership.

 

Pursuant to theJoint Venture Agreement, JWH®’s share of profits did earn interestat the prevailing rates for 91-day U.S. Treasury bills or such share of profitsmay participate in the profits and losses of the Joint Venture.  For the years ended December 31, 2007,2006 and 2005, JWH® did not receive any profit shareallocation.  For the years ended December 31,2007 and 2006, JWH® did not earn interest.  For the year ended December 31, 2005,JWH®earned interest of $6,312.

 

5.               RELATED PARTY TRANSACTIONS

 

The Partnership’s and the Portfolio Funds’ U.S. dollar assets aremaintained at MLPF&S.  On assets heldin U.S. dollars, Merrill Lynch credited the Partnership and the Portfolio Funds’with interest at the prevailing 91-day U.S. Treasury bill rate.  The Partnership and the Portfolio Funds arecredited with interest on any of its assets and net gains actually held byMLPF&S in non-U.S. dollar currencies at a prevailing local rate received byMerrill Lynch.  Merrill Lynch may derivecertain economic benefit in excess of the interest which Merrill Lynch pays tothe Partnership and the Portfolio Funds, from possession of such assets.

 

Merrill Lynch charged the Partnership and the Portfolio Funds’, atprevailing local interest rates, for financing realized and unrealized losseson the Partnership’s and each Portfolio Fund’s non-U.S. dollar-denominatedpositions.  Such amounts are nettedagainst interest income due to the insignificance of such amounts.

 

Prior to June 1,2007, the Partnership paid brokerage commissions to MLPF&S at a flatmonthly rate of .479 of 1% (a 5.75% annual rate) of the Joint Venture’smonth-end trading assets. The Joint Venture also paid MLAI a monthlyadministrative fee of .021 of 1% (a 0.25% annual rate) of the Joint Venture’smonth-end trading assets. The Partnership reimbursed MLAI for payment of theState of New Jersey annual filing fee that was assessed on a per partner basiswith a maximum of $250,000 per year which was paid on its behalf. Month-endtrading assets were not reduced for purposes of calculating brokerage andadministrative fees by any accrued brokerage commissions, administrative fees,Profit Shares or other fees or charges.

 

MLAI estimatesthat the round-turn equivalent commission rate charged to the Joint Venture byMLPF&S for the period January 1, 2007 through May 31, 2007 was$166 and for the years ended December 31, 2006 and 2005 were $182 and$154, respectively (not including, in calculating round-turn equivalents,forward contracts on a futures-equivalent basis).

 

MLPF&S paidJWH® annual consulting fees of 2% of the Partnership’s averagemonth-end assets, after reduction for a portion of the brokeragecommissions.  The Partnership no longerpays consulting fees.

 

Effective June 1,2007, no brokerage commission is charged to investors at the Partnershiplevel, although brokerage commissions are charged to investors at the PortfolioFunds’ level, and investors 

 

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will be indirectly subject to their *pro rata* shareof such fees based on the investment of the Partnership in such underlyingPortfolio Funds. Brokerage commissions will be paid on the completion orliquidation of a trade and are referred to as round-turn commissions, whichcover both the initial purchase (or sale) and the subsequent offsetting sale(or purchase) of a commodity futures contract (a “round turn” commission).  A portion of the brokerage fees is paid toPortfolio Funds executing brokers, which may not include MLPF&S, as thecommission or their execution services. The “round-turn” commissions paid willnot exceed $15 per round-turn, except in the case of certain foreign contractson which the rates may be as high as $100 per round-turn due to the large sizeof the contracts traded.  In general, itis estimated that aggregate brokerage commission charges will not exceed 3% andshould equal approximately 0.50% per annum of each of the Portfolio Fund’saverage month-end assets.

 

6.               ADVISORY AGREEMENT

 

EachPortfolio Fund implements a systematic-based managed future strategy under thedirection of its trading advisor which is listed below:

 
| ** **              | ** ** | ** **                     | ** ** | **Next Renewal Date**     | ** ** | **Management**    | ** ** |
|-------------------------|------------|--------------------------------|------------|-------------------------------------|------------|-------------------|------------|
| **Portfolio Fund** | ** ** | **Advisor**                    | ** ** | **of Advisory Agreement** | ** ** | **Fee Rate** | ** ** |
| Aspect                  |       | Aspect Capital Management      |       | December 31, 2011              |       | 1.5               | %          |
| Chesapeake              |       | Chesapeake Capital Corporation |       | December 31, 2016              |       | 1                 | %          |
| Transtrend              |       | Transtrend B.V.                |       | December 31, 2008              |       | 1                 | %          |
| Winton                  |       | Winton Capital Corporation     |       | December 31, 2014              |       | 1.5               | %          |

 

The advisory agreements shall be automatically renewed for successivethree-year periods, on the same terms, unless terminated by either thePortfolio Fund or the respective advisor upon 90 days’ notice to the otherparty.  The advisors determine thecommodity futures, options on futures and forward contract trades to be made onbehalf of their respective Fund accounts, subject to certain trading policiesand to certain rights reserved by MLAI.

 

Performance fees paid by the Portfolio Funds are calculated at thefollowing rates of any New Trading Profit, as defined, and earned by therespective advisors:

 
| **Portfolio Fund** | ** ** | **Performance fee  rate** | ** ** |
|-------------------------|------------|--------------------------------|------------|
| Aspect                  |       | 15                             | %          |
| Chesapeake              |       | 20                             | %          |
| Transtrend              |       | 25                             | %          |
| Winton                  |       | 15                             | %          |

 

7.               WEIGHTED AVERAGE UNITS

 

The weightedaverage number of Units outstanding was computed for purposes of disclosing netincome (loss) per weighted average Unit. The weighted average Units outstanding for the years ended December 31,2007, 2006 and 2005 equals the Units outstanding as of such date, adjustedproportionately for Units sold and redeemed based on the respective length oftime each was outstanding during the year.

 

8.               RECENT ACCOUNTINGPRONOUNCEMENTS

 

InSeptember 2006, the Financial Accounting Standards Board (“FASB”) issuedStatement of Financial Accounting Standards No. 157, Fair ValueMeasurements (“FAS 157”).  FAS 157 establishes a common definitionfor fair value under U.S. GAAP, establishes a framework for measuring fairvalue and expands disclosure requirements about such fair valuemeasurements.  FAS 

 

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157is effective for fiscal years beginning after November 15, 2007.  ThePartnershipis currently evaluating theimpact of adopting FAS 157 on its financial statements.

 

Effective January 1,2007, the Fund adopted the provisions of FASB Interpretation No. 48 (“FIN48”), Accounting for Uncertainty in Income Taxes, an interpretation of FASBStatement No. 109.  FIN 48prescribes the minimum recognition threshold a tax position must meet inconnection with accounting for uncertainties in income tax positions taken orexpected to be taken by an entity before being measured and recognized in thefinancial statements. The implementation of this pronouncement had no impact onthe financial statements.

 

9.     MARKET AND CREDIT RISKS

 

The nature of this Partnership has certain risks,which cannot be presented on the financial statements.  The following summarizes some of those risks.

 

Market Risk

 

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Portfolio Funds’ Net unrealized profit(loss) on such derivative instruments as reflected in the Portfolio Funds’Statement(s) of Financial Condition. The Portfolio Funds’ exposure to market risk is influenced by a numberof factors, including the relationships among the derivative instruments heldby the Portfolio Funds as well as the volatility and liquidity of the marketsin which the derivative instruments are traded. Investments in foreign marketsmay also entail legal and political risks.

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically (but not universally) provide clearinghousearrangements in which the collective credit (in some cases limited in amount,in some cases not) of the members of the exchange is pledged to support thefinancial integrity of the exchange.  Inover-the-counter transactions, on the other hand, traders must rely solely onthe credit of their respective individual counterparties.  Margins, which may be subject to loss in theevent of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit risk associated with these instruments from counterpartynonperformance is the net unrealized profit on open contracts, if any, includedin the Portfolio Funds’ Statements of Financial Condition.  The Portfolio Funds attempt to mitigate thisrisk by dealing exclusively with Merrill Lynch entities as clearing brokers.

 

 The Portfolio Funds in theirnormal course of business, enter into various contracts with MLPF&S actingas their commodity broker.  Pursuant tothe brokerage agreement with MLPF&S (which includes a netting arrangement),to the extent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Net unrealized profit (loss) on opencontracts on the Portfolio Funds’ Statements of Financial Condition.

 

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*     *     *    *     *     *    *     *     *    *     *

 

To the best of the knowledge and belief of the

undersigned, theinformation contained in this

report is accurateand complete.

 
|                                       | /s/ Barbra E.  Kocsis |   |
|--------------------------------------------|-----------------------|--------|
| Barbra E. Kocsis                           |
| Chief Financial  Officer                   |
| Merrill Lynch  Alternative Investments LLC |
| General Partner  of                        |
| ML  TREND-FOLLOWING FUTURES FUND L.P.      |

 

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