**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

 

**Washington,D.C.  20549**

 

**FORM 10-K**

 

**x**** Annual Report Pursuant to Section 13 or15(d)of the Securities Exchange Act of 1934**

** **

**For thefiscal year ended: December 31, 2007**

** **

**or**

** **

**o****Transition Report Pursuant to Section 13 or15(d) of the Securities Exchange Act of 1934**

 

**Commissionfile number: 0-28928**

 

**ML TREND-FOLLOWING FUTURES FUNDL.P.**

(Exact name of registrant as specified in its charter)

 

| **Delaware**                                                      | ** ** | **13-3887922**                        |
|-------------------------------------------------------------------|------------|---------------------------------------|
| (State or other  jurisdiction of   incorporation or organization) |       | (I.R.S. Employer  Identification No.) |

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Hopewell Corporate Campus,Building No. 2**

**1200 Merrill Lynch Drive – FirstFloor**

**Pennington,New Jersey 08534**

(Address of principalexecutive offices)

 

Registrant’s telephonenumber, including area code:  **(609) 274-5838**

 

Securities registered pursuant to Section 12(b) ofthe Act: **None**

 

Securities registered pursuant to Section 12(g) ofthe Act: **Limited Partnership Units**

 

Indicate by checkmark if the registrant is a well-known seasoned issuer, as defined in Rule 405of the Securities Act.

 

Yes o  No  x

 

Indicate by checkmark if the registrant is not required to file reports pursuant to Section 13or 15(d) of the Act.

 

Yes o  No  x

 

Indicate by check mark whether the registrant (1) has filed allreports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

 

Yes x  No  o      

 

Indicate by check mark if disclosure of delinquent filers pursuant toItem 405 of Regulation S-K is not contained herein, and will not be contained,to the best of registrant’s knowledge, in definitive proxy or informationstatements incorporated by reference in Part III of this Form 10-K orany amendment to this Form 10-K.    x

 

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

 

Large accelerated filer o     Acceleratedfiler o       Non-accelerated filer x

 

Indicate by checkmark whether registrant is a shell company (as defined by Rule 12b-2 ofthe Exchange Act).

 

Yes o  No  x

 

The limitedpartnership units of the registrant are not publicly traded. Accordingly, thereis no aggregate market value for the registrant’s outstanding equity that isreadily determinable.

 

As of January 31, 2008, limited partnership units with a Net AssetValue of $379,471,492 were held by non-affiliates.

 

**DocumentsIncorporated by Reference**

 

The registrant’s 2007 Annual Report and Report of  Independent Registered Public AccountingFirm, the annual report  to securityholders for the fiscal year ended December 31, 2007, is incorporated byreference into Part II, Item 8 and Part IV hereof and filed as an Exhibit herewith.  The annual reports are available free ofcharge by contacting Alternative Investments Client Services at 1-866-MER-ALTS.

 

 

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**ML TREND-FOLLOWING FUTURES FUND L.P.**

 

ANNUAL REPORT FOR 2007 ONFORM 10-K

 

Table of Contents

 
| ** **  | ** **                                                                                                          | **PAGE** |
|-------------|---------------------------------------------------------------------------------------------------------------------|----------|
|        |                                                                                                                |     |
|        | PART I                                                                                                         |     |
| Item 1.     | Business                                                                                                            | 1        |
|        |                                                                                                                |     |
| Item 1A.    | Risk  factors                                                                                                       | 7        |
|        |                                                                                                                |     |
| Item 1B.    | Unresolved  Staff Comments                                                                                          | 9        |
|        |                                                                                                                |     |
| Item 2.     | Properties                                                                                                          | 9        |
|        |                                                                                                                |     |
| Item 3.     | Legal  Proceedings                                                                                                  | 9        |
|        |                                                                                                                |     |
| Item 4.     | Submission  of Matters to a Vote of Security Holders                                                                | 9        |
|        |                                                                                                                |     |
|        | PART II                                                                                                        |     |
|        |                                                                                                                |     |
| Item 5.     | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 9        |
|        |                                                                                                                |     |
| Item 6.     | Selected  Financial Data                                                                                            | 11       |
|        |                                                                                                                |     |
| Item 7.     | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 13       |
|        |                                                                                                                |     |
| Item 7A.    | Quantitative  and Qualitative Disclosures about Market Risk                                                         | 22       |
|        |                                                                                                                |     |
| Item 8.     | Financial  Statements and Supplementary Data                                                                        | 27       |
|        |                                                                                                                |     |
| Item 9.     | Changes in  and Disagreements with Accountants on Accounting and Financial Disclosure                               | 27       |
|        |                                                                                                                |     |
| Item 9A(T). | Controls and  Procedures                                                                                            | 27       |
|        |                                                                                                                |     |
| Item 9B.    | Other Information                                                                                                   | 28       |
|        |                                                                                                                |     |
|        | PART III                                                                                                       |     |
|        |                                                                                                                |     |
| Item 10.    | Directors  and Executive Officers and Corporate  Governance                                                         | 29       |
|        |                                                                                                                |     |
| Item 11.    | Executive  Compensation                                                                                             | 31       |
|        |                                                                                                                |     |
| Item 12.    | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 31       |
|        |                                                                                                                |     |
| Item 13.    | Certain  Relationships and Related Transactions                                                                     | 31       |
|        |                                                                                                                |     |
| Item 14.    | Principal  Accountant Fees and Services                                                                             | 32       |
|        |                                                                                                                |     |
|        | PART IV                                                                                                        |     |
|        |                                                                                                                |     |
| Item 15.    | Exhibits and  Financial Statement Schedules                                                                         | 33       |

 

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**PART I**

 

**Item 1: Business**

 

(a)           GeneralDevelopment of Business:

 

ML TrendFollowingFutures Fund L.P. (the “Partnership”), formerly known as ML JWH StrategicAllocation Fund L.P. was organized under the Delaware Revised Uniform LimitedPartnership Act on December 11, 1995 and commenced trading on July 15,1996.  The Partnership operates as a “fundof funds”, allocating and reallocating its capital, under the discretion ofMerrill Lynch Alternative Investments LLC (“MLAI”) the general partner of thePartnership, among four underlying FuturesAccess Funds (each a “Portfolio Fund”and collectively the “Portfolio Funds”) (See Note 2).

 

On April 20,2007, MLAI issued an announcement regarding a restructuring of the Partnership,effective June 1, 2007.  As part ofthe restructuring the following occurred:

 

·                  The Partnership changed its name to ML Trend-Following Futures FundL.P.

 

·                  The Partnership’s assets were reinvested in MLAI-sponsored PortfolioFunds: ML Aspect FuturesAccess LLC (“Aspect”), ML Chesapeake FuturesAccess LLC(“Chesapeake”), ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) andML Winton FuturesAccess LLC (“Winton”). These Portfolio Funds employ a variety of systematic models with anemphasis on a style of investment commonly referred to as “diversified trendfollowing” and the Partnership no longer utilizes the services of John W. Henry &Company, Inc. (“JWH®”) as a commodity trading advisor.

 

·                  The Portfolio Funds are a group of commodity pools sponsored by MLAI,each of which places substantially all of its assets in a managed futures andforward trading account managed by a single commodity trading advisor.  Each of the Portfolio Funds implements adifferent trading strategy; and

 

·                  On May 7, 2007, the Partnership was deregistered under theSecurities Act of 1933, as amended, but retained its registration under theSecurities Act of 1934, as amended.

 

The Partnership may offer its units of limitedpartnership interest (“Units”), when available for sale, as of the beginning ofeach month.  Investors whosesubscriptions are accepted during a month are admitted to the Partnership asLimited Partners as of the beginning of the following month, acquiring Units atthe Net Asset Value per Unit as of the date of admission.  Investors’ customer securities accounts aredebited in the amount of their subscriptions on a single monthly settlementdate within approximately five business days of the issuance of their Units.

 

As of December 31, 2007, the aggregate Net AssetValue of the Partnership was $370,119,282, and the Net Asset Value per Unit,originally $100 as of July 15, 1996, had risen to $164.22.

 

Through December 31, 2007, the highest month-endNet Asset Value per Unit was $272.23 (May 31, 2003) and the lowest $98.89(August 31, 1996).

 

(b)           FinancialInformation about Segments:

 

The Partnership’s and Portfolio Funds’ businessconstitutes only one segment for financial reporting purposes, i.e*.,* a speculative “commodity pool.”  The Partnership and the Portfolio Funds donot engage in sales of goods or services.

 

 (c)          Narrative Description of Business:

 

***General***

 

The investment objective of the Partnership is to achieve superiorrisk-adjusted rates of return through a “single strategy-type” fund of fundsapproach focusing on, but not limited to, trend-following managed futures 

 

1

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strategies. Under the direction of MLAI, the Partnership will seek toachieve this objective by allocating its capital among a group of PortfolioFunds managed by the Partnership CTAs which, MLAI believes, collectively havethe ability to achieve substantial capital appreciation with controlledperformance volatility and draw downs.

 

Systematic trading generally assumes that adisciplined quantitative analysis of historical and contemporaneous marketinformation without discretionary decision making can enable a trader toforecast price action in term of trends or other market dynamics and to takepositions designed to profit from it. These systems can incur substantiallosses when the market significantly deviates from its usual historicalpatterns, e.g. when weather-related catastrophes, international politicaldisruptions, and unanticipated supply/demand imbalances unexpectedly dominatethe market. Systematic trading systems share basic similarities, although themodels which they apply to historical price data differ. Such similaritiesimply that there will be certain market conditions which are likely to beadverse to all or substantially all of the Portfolio Funds in the Partnership’sportfolio.

 

Systematic trading strategies are speculative andinvolve substantial risk. By operating the Partnership as a “fund of funds” andinvesting in a number of different Portfolio Funds, MLAI will attempt tomitigate the volatility and certain other risks of investing in a singlePortfolio Fund. While diversifying among different CTAs of the Partnershipinvolves the risk of one manager’s loss frequently offsetting another’sprofits, this same offsetting effect also typically reduces overall performancevolatility, potentially producing a risk/return profile for the Partnershipthat may be more consistent with the portfolio objectives of certain investorsthan investing in a single Portfolio Fund.

 

***Background***

 

The Partnership has an extensive operating andperformance history, but has only recently terminated the joint ventureagreement under which John W. Henry & Company, Inc. as a CTA was responsiblefor its performance to date provided advisory services, and allocated itscapital among the Portfolio Funds specified in the “ML Trend-Following FuturesFund L.P.” section of the Part One (B) Confidential Program DisclosureDocument: Trading Advisor Information.

 

The past performance of the Partnership prior to June1, 2007 or of the Portfolio Funds in which the Partnership will invest eitherindividually or in any combination is not indicative of the future results ofthe Partnership or any of the Portfolio Funds. There can be no assurance thatthe Partnership or any of the Portfolio Funds will achieve its objective oravoid substantial or total losses. MLAI has only recently begun to managesingle-advisor managed futures fund of funds such as the Partnership. Pastperformance is not necessarily indicative of future results. The MLAI tradingprincipals who make allocations for the Partnership have only recently begun tooperate pools and trade accounts.

 

***Employees***

 

The Fund has no employees.

 

***Addition,Redemption and Reallocation of Capital for Commodity Pool or PartnershipAccounts***

 

Investors purchase or redeem Units at Net Asset Value(“NAV”) on the close of business on the last business day of the month.  In order to provide market exposure commensuratewith the Partnership’s equity on the date of these transactions, Partnershipgeneral practice is to adjust positions as near as possible to the close ofbusiness on the last trading date of the month. The intention is to provide for additions and redemptions at a NAV thatwill be the same for each of these transactions, and to eliminate possiblevariations in NAVs that could occur as a result of inter-day price changes if,for example, additions were calculated on the first day of the subsequent month.  Therefore, the Partnership may, at its solediscretion, adjust its investment of the assets associated with the addition orredemption as near as possible to the close of business on the last businessday of the month to reflect the amount then available for trading.  Based on the Partnership’s determination ofliquidity or other market conditions, the Partnership may decide to commencetrading earlier in the day on, or before, the last business day of the month,or at its sole discretion, delay adjustments to trading for an account to adate or time after the close of business on the last day of the month.  No assurance is given that the Partnershipwill be able to achieve the objectives described above in connection with thePartnership’s equity level changes.  Theuse of discretion by the Partnership in the application of this procedure mayaffect performance positively or negatively.

 

2

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Custody of Assets.

 

Substantial portion of the Portfolio Funds’ assets arecurrently held in customer accounts at Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”).

 

Available Assets.

 

The Partnership and the Portfolio Funds earn income,as described below, on its “Available Assets,” which can be generally describedas the cash actually held by the Partnership. Available Assets are held primarily in U.S. dollars and are comprised ofthe Partnership’s and the Portfolio Funds’ cash balances held in the offsetaccounts (as described below), which include “open trade equity” (unrealizedgain and loss on open positions) on United States futures contracts, which ispaid into or out of the Partnership’s and the Portfolio Funds’ account, on adaily basis and the Partnership’s and the Portfolio Funds’ cash balance in foreigncurrencies derived from its trading in non-U.S. dollar denominated futures andoptions contracts, which includes open trade equity on those exchanges whichsettle gains and losses on open positions in such contracts prior to closingout such positions. Available Assets do not include, and the Partnership andthe Portfolio Funds do not earn interest on, the Partnership’s gains or losseson its open forward, commodity option and certain foreign futures positionssince such gains and losses are not collected or paid until such positions areclosed out.

 

The Partnership’s and the Portfolio Funds’ AvailableAssets may be greater than, less than or equal to the Partnership’s and thePortfolio Funds’ Net Asset Value (on which the redemption value of the Units isbased) primarily because Net Asset Value reflects all gains and losses on openpositions as well as accrued but unpaid expenses.

 

Interest Earned on the Partnership’s U.S. DollarAvailable Assets.

 

The following description relates to the Partnership’sand the Portfolio Funds’ U.S. dollar Available Assets.

 

The Partnership’s and the Portfolio Funds’ U.S. dollar Available Assetsare held in cash in offset accounts or may be invested in short-term U.S.Treasury bills purchased from dealers unaffiliated with Merrill Lynch.  Offset accounts are non-interest bearingdemand deposit accounts maintained with banks unaffiliated with MerrillLynch.  An integral feature of the offsetarrangements is that the participating banks specifically acknowledge that theoffset accounts are MLPF&S customer accounts, not subject to any MerrillLynch liability.

 

Merrill Lynch credits the Partnership and the Portfolio Funds, as ofthe end of each month, with interest at the effective prevailing 91-dayTreasury bill rate on the average daily U.S. dollar Available Assets held inthe offset accounts during such month. The Partnership and the Portfolio Funds receive all interest paid on theshort-term Treasury bills in which it invests.

 

The use of the offset account arrangements for thePartnership’s U.S. dollar Available Assets may be discontinued by Merrill Lynchwhether or not Merrill Lynch otherwise continues to maintain its offsetarrangements. The offset arrangements are dependent on the banks’ continuedwillingness to make overnight credits available to Merrill Lynch, which, inturn, is dependent on the credit standing of Merrill Lynch.  If Merrill Lynch were to determine that theoffset arrangements had ceased to be practicable (either because Merrill Lynchcredit lines at participating banks were exhausted or for any other reason),Merrill Lynch would thereafter attempt to invest all of the Partnership’s U.S.dollar Available Assets to the maximum practicable extent in short-term U.S.Treasury bills.  All interest earned on theU.S. dollar Available Assets so invested would be paid to the Partnership, butMLAI would expect the amount of such interest to be less than that available tothe Partnership under the offset account arrangements.  The remaining U.S. dollar

 

Available Assets of the Partnership would be kept incash to meet variation margin payments and pay expenses, but would not earninterest for the Partnership.

 

The banks at which the offset accounts are maintainedmake available to Merrill Lynch interest-free overnight credits, loans oroverdrafts in the amount of the Partnership’s and the Portfolio Funds’ U.S.dollar Available Assets held in the offset accounts, charging Merrill Lynch asmall fee for this service.  The economicbenefits derived by Merrill Lynch — net of the interest credits paid to thePartnership and the Portfolio Funds and the fee paid to the offset banks — fromthe offset accounts have not exceeded 0.75% per annum of the Partnership’s andthe Portfolio Funds’ average daily U.S. dollar Available Assets held in theoffset accounts. These revenues to Merrill Lynch are in addition to theBrokerage Commissions and Administrative Fees paid by the Partnership toMLPF&S and MLAI, respectively.

 

Interest Paid by Merrill Lynch on the Partnership’sand the Portfolio Funds’ Non-U.S. Dollar Available Assets.

 

Under the single currency margining system implementedfor the Partnership, the Partnership and the Portfolio Funds do not depositforeign currencies to margin trading in non-U.S. dollar denominated futures contractsand options, if any.  MLPF&S providesthe necessary margin, permitting the Partnership and the Portfolio Funds toretain the monies which would otherwise be required for such margin as part ofthe Partnership’s and the Portfolio Funds’ U.S. 

 

3

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dollar Available Assets.  ThePartnership and the Portfolio Funds do not earn interest on foreign margindeposits provided by MLPF&S. The Partnership and the Portfolio Funds do,however, earn interest on their non-U.S. dollar Available Assets.  Specifically, the Partnership and thePortfolio Funds are credited by Merrill Lynch with interest at prevailingshort-term local rates on assets and net gains on non-U.S. dollar denominatedpositions for such gains actually held in cash by the Partnership and thePortfolio Funds.  Merrill Lynch chargesthe Partnership and the Portfolio Funds Merrill Lynch’s cost of financingrealized and unrealized losses on such positions.

 

The Partnership and the Portfolio Funds hold foreigncurrency gains and finances foreign currency losses on an interim basis untilconverted into U.S. dollars and either paid into or out of the Partnership’sand the Portfolio Funds’ U.S. dollar Available Assets.  Foreign currency gains or losses on openpositions are not converted into U.S. dollars until the positions areclosed.  Assets of the Partnership andthe Portfolio Funds while held in foreign currencies are subject to exchangerate risk.

 

###### ***Charges***

###### *** ***

The followingtable summarizes the charges incurred by the Fund during 2007, 2006 and 2005.

 
| ** **                      | ** ** | **2007**           | ** ** | **2006**                                | ** ** | **2005**           | ** ** |
|---------------------------------|------------|--------------------|------------|-----------------------------------------|------------|--------------------|------------|
| **Charges**                     | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net  Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net  Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End Net  Assets** | ** ** |
| Brokerage  Commissions          |       | $                  | 15,400,942 |                                    | 3.05       | %                  | $          | 61,808,517 |   | 5.88 | % | $ | 73,622,017 |   | 5.81 | % |
| Administrative  and filing fees |       | 961,273            |       | 0.19                                    | %          | 2,937,327          |       | 0.28 | % | 3,450,957 |   | 0.27 | % |
| Wrap fee                        |       | 9,947,043          |       | 1.97                                    | %          | —             |       | — |   | — |   | — |   |
| Ongoing Offering  Costs         |       | 25,000             |       | 0.00                                    | %          | 1,450,000          |       | 0.14 | % | 475,000 |   | 0.04 | % |
| Total                           |       | $                  | 26,334,258 |                                    | 5.21       | %                  | $          | 66,195,844 |   | 6.30 | % | $ | 77,547,974 |   | 6.12 | % |

 

The Partnership’s average month-end Net Assets during 2007, 2006 and2005 equaled $505,150,607 $1,050,574,066 and $1,266,792,130, respectively.

 

During the years ended December 31 2007, 2006 and 2005 thePartnership earned $13,909,510, $51,861,211 and $39,816,009 in interest income,respectively, or approximately 2.75%, 4.94%, and 3.14%, respectively, of thePartnership’s average month end Net Assets.

 

In addition to the above charges, the Partnership and JWH® prior to June 1,2007, shared in the profits of the Joint Venture based on equity provided that20% of the Joint Venture’s quarterly New Trading Profits are allocated toJWH®.  For the years ended December 31,2007, 2006 and 2005, JWH® did not receive a profit share allocation and for theyears ended December 31, 2007 and 2006 did not earn interest. For the yearended December 31, 2005, JWH® earned interest of $6,312.

 

4

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**Descriptionof Current Charges**

 

The Partnership is subject to the following charges:

 
| **Recipient** | ** ** | **Nature of Payment**                          | ** ** | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|---------------|------------|------------------------------------------------|------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|          |       |                                           |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| MLPF&S    |       | Brokerage commissions                          |       | A flat rate, monthly  brokerage commissions of 0.479 of 1% of the Joint Venture’s month-end assets  (a 5.75% annual rate) of the Partnership’s month end assets (including the  monthly interest credit and before reduction for accrued month-end  redemptions, distributions, brokerage commissions, administrative fees or  Profit Shares, in each case as of the end of the month of determination).  Such commissions cover JWH®’s monthly consulting fee as well as all floor  brokerage and exchange, clearing and National Futures Association (“NFA”)  fees incurred in the Partnership’s trading. Effective June 1, 2007, no  Brokerage commission is charged to investors at the Partnership level,  although Brokerage Commissions are charged to investors at the Portfolio  Funds’ level, and investors will be indirectly subject to their *pro rata* share of such fees based on the investment of the  Partnership in such underlying Portfolio Funds. MLAI estimates that the  round-turn equivalent commission rate charged to the Joint Venture by  MLPF&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    |       | Use of  Partnership and Portfolio Funds assets |       | MLPF&S may  derive certain economic benefit from the deposit of certain of the  Partnership’s and Portfolio Funds’ U.S. dollar Available Assets in offset  accounts.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|          |       |                                           |       |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |
| MLAI          |       | Administrative  Fee                            |       | Prior to  June 1, 2007, a flat rate monthly charge of 0.021 of 1% (a 0.25% annual  rate) of the Joint Venture’s month-end assets (including the monthly interest  credit and before reduction for accrued month-end redemptions, distributions,  brokerage commissions, administrative fees or Profit Shares, in each case as  of the end of the month of determination) is paid to MLAI, which pays all  routine administrative expenses of the Joint Venture, other than the  Partnership’s ongoing offering costs and the actual cost of the State of New  Jersey annual filing fee. This filing fee is assessed on a per partner basis  with a maximum                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |

 

5

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|                             |   |                             |   | charge of  $250,000 per year.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|----------------------------------|--------|----------------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| MLIB; Other  Counterparties      |   | Bid-ask spreads                  |   | Bid-ask spreads  on forward and related trades.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| JWH® and  Portfolio Funds   |   | Profit Share /  Performance fees |   | Prior to  June 1, 2007, 20% of any New Trading Profits (as the Partnership owns  substantially all of the Joint Venture, such special allocation effectively  is made out of Trading Profits which the Partnership would otherwise have  received).                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|                             |   |                             |   | As Profit Shares are calculated on the basis of  quarter-end highs in cumulative Trading Profit, substantial Profit Shares may  (irrespective of the fact that Units are purchased at different times and  prices, and may have materially different investment experiences during a  year) be accrued during a calendar year even though the joint venture has an  overall loss for such year.                                                                                                                                                                                                                                                                                                                                                                                                            |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|                             |   |                             |   | Performance fees paid by the Portfolio Funds are  paid at the following rates; Aspect – 15%; Chesapeake – 20%; Transtrend – 25%  and Winton – 15%, of any New Trading Profits as defined and earned by the  respective advisors.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| JWH®                        |   | Consulting Fees                  |   | Prior to June 1, 2007, MLPF&S paid JWH®  annual Consulting Fees of 2% of the Partnership’s average month-end assets,  after reduction for a portion of the Brokerage Commissions.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| MLPF&S;  Other Third Parties |   | Extraordinary  expenses          |   | Actual payments  to third parties; none paid to third parties to date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| MLAI                             |   | Ongoing offering  costs          |   | Actual costs  incurred subject to limitation.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| MLAI                             |   | Wrap Fees                        |   | Prior to  June 1, 2007, the Partnership’s brokerage commissions and administrative  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 of the  Partnership’s costs and expenses, other than bid-ask spreads and certain  trading fees as well as an annual filing fee payable to the State of New  Jersey and offering costs. After June 1, 2007, the Partnership pays  MLAI, wrap fee in the amount of 4.0% of the Partnership’s average month-end  Net Asset Value. Other than this 4.0% wrap fee, the only direct expense of  the Partnership is the annual New Jersey filing fee, which is assessed on a  per-partner basis with a maximum charge of $250,000 per year. |
|                             |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |
| Portfolio Funds                  |   | Management Fees                  |   | A flat monthly charge of the Portfolio Funds  month-end assets (Aspect and Winton: 1.5%, Chesapeake and Transtrend: 1%) per  Annum.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |

 

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***Regulation***

 

MLAI, the Partnership, the Portfolio Funds andMLPF&S are each subject to regulation by the Commodity Futures TradingCommission (“CFTC”) and the NFA.  Otherthan in respect of its periodic reporting requirements under the SecuritiesExchange Act of 1934, and the registration of the Units for continuous publicdistribution under the Securities Act of 1933, the Partnership itself isgenerally not subject to regulation by the Securities and Exchange Commission (“SEC”).  However, MLAI is registered as an “investmentadviser” under the Investment Advisers Act of 1940.  MLPF&S is also regulated by the SEC andthe Financial Industry Regulatory Authority (“FINRA”).

 

(d)           FinancialInformation about Geographic Areas:

 

The Partnership and the Portfolio Funds do not engagein material operations in foreign countries, nor is a material portion of thePartnership’s and the Portfolio Funds’revenues derived from customers inforeign countries.  The Portfolio Funds,however, trade from the United States on a number of foreign commodityexchanges.  The Partnership and thePortfolio Funds’ do not engage in the sales of goods or services.

 

**Item 1A: RiskFactors**

 

***The Large Size of the PortfolioFunds’ Trading Positions Increases the Risk of Sudden, Major Losses***

*** ***

The Portfolio Funds takepositions with face values which are as much as 15 times its total capital.

 

***Investors Must Not Rely on the PastPerformance of the Partnership in Deciding Whether to Buy Units***

*** ***

The performance of the Partnership is entirely unpredictable, and thepast performance of the Partnership is not necessarily indicative of its futureresults.

 

The price data which the Partnership has researched in developing itsprograms may not reflect the changing dynamics of future markets.  If not, the Partnership programs would havelittle chance of being profitable.  Aninflux of new market participants, changes in market regulation, internationalpolitical developments, demographic changes and numerous other factors cancontribute to once-successful strategies becoming outdated.  Not all of these factors can be identified,much less quantified.  There can be noassurance that the Portfolio Funds will trade profitably for the Partnership.

 

***The Danger to the Portfolio Funds of“Whipsaw” Markets***

*** ***

Often, the most unprofitable market conditions for the Portfolio Fundsare those in which prices “whipsaw,” moving quickly upward, then reversing,then moving upward again, then reversing again. In such conditions, the programs may establish a series of losing positionsbased on incorrectly identifying both the brief upward or downward pricemovements as trends.

 

As it is impossible to predict where price trends will occur, certainPortfolio Funds’ managers attempt to maximize the chance of exploiting suchtrends by taking positions in as many different markets and market sectors asfeasible.  The Portfolio Funds do notfollow this approach and, as a result, may not capture trends which would havebeen highly profitable.

 

***The Partnership’s SubstantialExpenses Will Cause Losses Unless Offset by Profits***

*** ***

Prior to June 1, 2007, the Partnership’sbrokerage commissions and administrative fees constituted a single annual “wrapfee” in an amount of 6.5% of the Partnership’s average month-end Net AssetValue, which covered all of the Partnership’s costs and expenses, other thanbid-ask spreads and certain trading fees as well as an annual filing fee 

 

7

----

 

payable to the State of NewJersey and offering costs. After June 1, 2007, the Partnership pays a 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.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin conformity with accounting principles generally accepted in the UnitedStates of America (“US GAAP”) have been omitted. It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto included in the Partnership’s and the Portfolio Funds’ AnnualReports on Form 10-K filed with the Securities and Exchange Commission forthe year ended December 31, 2006 and Form 10 filed with Securitiesand Exchange Commission.

 

Certain prior period items have been reclassified toconform to the current period presentation.

 

***The Portfolio Funds TradeExtensively in Foreign Markets; These Markets Are Less Regulated Than U.S.Markets and Are Subject to Exchange Rate, Market Practice and Political Risks***

*** ***

The Portfolio Funds trade a great deal outside the U.S.  From time to time, as much as 30%-50% of thePortfolio Funds’ overall market exposure could involve positions taken onforeign markets.  Foreign tradinginvolves risks — including exchange-rate exposure, possible governmentalintervention and lack of regulation — which U.S. trading does not.  In addition, the Portfolio Funds may not havethe same access to certain positions on foreign exchanges as do local traders,and the historical market data on which Portfolio Funds bases its strategiesmay not be as reliable or accessible as it is in the United States.  Certain foreign exchanges may also be in amore or less developmental stage so that prior price histories may not beindicative of current price dynamics. The rights of clients in the event of the insolvency or bankruptcy of anon-U.S. market or broker are also likely to be more limited than in the caseof U.S. markets or brokers.

 

***The Portfolio Funds Could LoseAssets and Have Its Trading Disrupted Due to the Bankruptcy of One of theParties***

*** ***

The Portfolio Funds are subject to the risk of insolvency of acounterparty, an exchange, a clearinghouse or MLPF&S. Portfolio Funds’assets could be lost or impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the PortfolioFunds’ capital tied up in a bankruptcy, MLAI might suspend or limit trading,perhaps causing the Portfolio Funds to miss significant profit opportunities.There are increased risks in dealing with unregulated trading counterpartiesincluding the risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

***Regulatory Changes Could Restrictthe Portfolio Funds’ Operations***

*** ***

The Portfolio Funds implements a speculative, highly leveragedstrategy.  From time to time there isgovernmental scrutiny of these types of strategies and political pressure toregulate their activities.  For example,foreign governments have from time to time blamed the declines of theircurrencies on speculative partnerships and imposed restrictions on speculativetrading in certain markets, and the collapse of a major hedge partnership in1998 led to significantly increased regulatory monitoring of the activities ofthese partnerships and, to an extent, commodity pools such as the Partnership.

 

Regulatory changes could adversely affect the Portfolio Funds byrestricting its markets, limiting its trading and/or increasing the taxes towhich Unit holders are subject.  MLAI isnot aware of any pending or threatened regulatory developments which mightadversely affect the Portfolio Funds. However, adverse regulatory initiatives could develop suddenly andwithout notice.

 

***Premature Termination of thePartnership***

*** ***

MLAI may withdraw as general partner from the Partnership upon 120 days’notice, which would cause the Partnership to terminate unless a substitutegeneral partner were obtained.  Otherevents, such as substantial losses suffered by the Partnership, could alsocause the Partnership to terminate before the expiration of its stated term.  This could cause you to liquidate yourinvestments and upset the overall maturity and timing of your investmentportfolio.

 

8

----

 

**Item 1B: UnresolvedStaff Comments**

 

Not applicable.

 

**Item 2:   Properties**

 

The Partnership does notuse any physical properties in the conduct of its business.

 

The Partnership’sadministrative office is the office of MLAI (Merrill Lynch AlternativeInvestments LLC, Hopewell Corporate Campus, 1200 Merrill Lynch Drive – FirstFloor, Pennington, New Jersey 08534). MLAI performs administrative services for the Partnership from MLAI’soffices.

 

**Item 3:   Legal Proceedings**

 

None.

 

**Item 4:   Submission of Matters to a Vote ofSecurity Holders**

 

                None

 

**PART II**

 

**Item 5:****          Marketfor Registrant’s Common Equity, Related Stockholder Matters and IssuerPurchases of Equity Securities**

 

Item 5(a)

 
|   | (a)    | Market Information:                                                                                                                                                                                                          |
|--------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|   |   |                                                                                                                                                                                                                         |
|   |   | There is no established public trading market for the Units, and none  is likely to develop. Limited Partners may redeem Units as of the end of each  month at Net Asset Value, subject to certain early redemption charges. |
|   |   |                                                                                                                                                                                                                         |
|   | (b)    | Holders:                                                                                                                                                                                                                     |
|   |   |                                                                                                                                                                                                                         |
|   |   | As of December 31, 2007, there were 16,788  holders of Units, including MLAI.                                                                                                                                           |
|   |   |                                                                                                                                                                                                                         |
|   | (c)    | Dividends:                                                                                                                                                                                                                   |
|   |   |                                                                                                                                                                                                                         |
|   |   | MLAI has not made, and does not contemplate making,  any distributions on the Units.                                                                                                                                         |
|   |   |                                                                                                                                                                                                                         |
|   | (d)    | Securities Authorized for Issuance Under Equity  Compensation Plans:                                                                                                                                                         |
|   |   |                                                                                                                                                                                                                         |
|   |   | Not applicable.                                                                                                                                                                                                              |

 

9

----

 

(e)           Recent Sales ofUnregistered Securities:

 

Issuanceto accredited investors pursuant to Regulation D and Section 4(6) underthe Securities Act. The selling agent of the following Class of Units wasMLPF&S.

 

During 2007, the Fund issued Units as set forth in the following chart:

*** ***

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-07     |       |             | $          | 2,309,096  |       | 13,149 |   | $ | 175.61 |   |
| Feb-07     |       |             | 3,203,957  |       | 18,473     |   | 173.44 |   |
| Mar-07     |       |             | 1,935,977  |       | 11,751     |   | 164.76 |   |
| Apr-07     |       |             | —     |       | —     |   | 154.43 |   |
| May-07     |       |             | —     |       | —     |   | 157.93 |   |
| Jun-07     |       |             | 28,641,130 |       | 181,583    |   | 157.71 |   |
| Jul-07     |       |             | —     |       | —     |   | 161.03 |   |
| Aug-07     |       |             | —     |       | —     |   | 153.47 |   |
| Sep-07     |       |             | —     |       | —     |   | 143.03 |   |
| Oct-07     |       |             | —     |       | —     |   | 154.01 |   |
| Nov-07     |       |             | —     |       | —     |   | 164.69 |   |
| Dec-07     |       |             | 4,816      |       | 30         |   | 160.52 |   |
| Jan-08     |       |             | 35,636     |       | 217        |   | 164.22 |   |
| Feb-08     |       |             | 275,922    |       | 1,496      |   | 168.36 |   |
|            |            |                  |            |            |            |  |  |  |  |  |

 

----

(1) Beginningof the month Net Asset Value

 

Item 5(b)

 

                Not applicable.

 

Item 5(c)

 

                Not applicable.

 

10

----

 

**Item 6:   SelectedFinancial Data**

 
| ** **                                                          | ** ** | **For the Years Ended December 31,** | ** **  |
|---------------------------------------------------------------------|------------|-------------------------------------------|-------------|
| **Income Statement Data**                                           | ** ** | **2007**                                  | ** **  | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** |
| Revenues                                                            |       |                                      |        |   |   |   |   |   |   |   |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Trading Profit (Loss):                                              |       |                                      |        |   |   |   |   |   |   |   |   |
| Realized                                                            |       | $                                         | (64,586,271 | ) | $ | (158,576,895 | ) | $ | (112,908,397 | ) | $ | 151,296,416 |   | $ | 24,882,048 |   |
| Change in  unrealized                                               |       | 15,318,537                                |        | 12,136,031 |   | (150,020,999 | ) | 91,466,219 |   | 20,384,664 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Total trading  profit (loss)                                        |       | (49,267,734                               | )           | (146,440,864 | ) | (262,929,396 | ) | 242,762,635 |   | 45,266,712 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Investment Income:                                                  |       |                                      |        |   |   |   |   |   |   |   |   |
| Interest                                                            |       | 13,909,510                                |        | 51,861,211 |   | 39,816,009 |   | 14,133,423 |   | 5,168,611 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Expenses:                                                           |       |                                      |        |   |   |   |   |   |   |   |   |
| Brokerage  commissions                                              |       | 15,400,942                                |        | 61,808,517 |   | 73,622,017 |   | 57,501,150 |   | 30,474,397 |   |
| Administrative  and filing fees                                     |       | 961,273                                   |        | 2,937,327 |   | 3,450,957 |   | 2,889,337 |   | 1,699,677 |   |
| Wrap fee                                                            |       | 9,947,043                                 |        | — |   | — |   | — |   | — |   |
| Ongoing offering  costs                                             |       | 25,000                                    |        | 1,450,000 |   | 475,000 |   | 348,101 |   | 1,198,256 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Total expenses                                                      |       | 26,334,258                                |        | 66,195,844 |   | 77,547,974 |   | 60,738,588 |   | 33,372,330 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Net Investment Loss                                                 |       | (12,424,748                               | )           | (14,334,633 | ) | (37,731,965 | ) | (46,605,165 | ) | (28,203,719 | ) |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Income (loss)  before Minority Interest and Profit Share Allocation |       | (61,692,482                               | )           | (160,775,497 | ) | (300,661,361 | ) | 196,157,470 |   | 17,062,993 |   |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Profit Share  allocation                                            |       | —                                    |        | — |   | (6,312 | ) | (39,051,490 | ) | (5,840,767 | ) |
| Minority interest                                                   |       | 18,048                                    |        | 29,872 |   | 55,162 |   | (25,137 | ) | (16,777 | ) |
|                                                                |       |                                      |        |   |   |   |   |   |   |   |   |
| Net Income (Loss)                                                   |       | $                                         | (61,674,434 | ) | $ | (160,745,625 | ) | $ | (300,612,511 | ) | $ | 157,080,843 |   | $ | 11,205,449 |   |

 

 
| **Balance Sheet Data**       | ** ** | **December 31,  2007** | ** **  | **December 31,  2006** | ** ** | **December 31,  2005** | ** ** | **December 31,  2004** | ** **    | **December 31,  2003** | ** ** |
|------------------------------|------------|-----------------------------|-------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|---------------|-----------------------------|------------|
|                         |       |                        |        |                        |       |                        |       |                        |          |                        |       |
| Total Partners’ Capital |       | $                           | 370,119,282 |                        | $          | 792,303,062                 |       | $                           | 1,234,151,526 |                        | $          | 1,371,799,115 |   | $ | 695,477,407 |   |
| Net Asset Value per Unit     |       | $                           | 164.22      |                        | $          | 175.61                      |       | $                           | 205.50        |                        | $          | 260.33 |   | $ | 235.60 |   |

 

The following selected month-end Net Asset Value perUnit information has been derived from the financial and accounting data of thePartnership:

 

MONTH-END NET ASSET VALUE PER UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
|  2003 |       | $        | 251.24     |     | $          | 269.78   |       | $        | 251.99     |    | $          | 258.85   |       | $        | 272.23     |     | $          | 248.88    |       | $        | 247.63     |     | $          | 256.91   |       | $ | 232.93 |   | $ | 213.37 |   | $ | 215.88 |   | $ | 235.60 |   |
|  2004 |       | $        | 244.57     |     | $          | 265.91   |       | $        | 251.68     |    | $          | 224.34   |       | $        | 210.08     |     | $          | 187.86    |       | $        | 183.46     |     | $          | 182.64   |       | $ | 201.36 |   | $ | 241.05 |   | $ | 268.07 |   | $ | 260.33 |   |
|  2005 |       | $        | 224.16     |     | $          | 213.19   |       | $        | 213.18     |    | $          | 190.18   |       | $        | 208.05     |     | $          | 212.63    |       | $        | 215.46     |     | $          | 214.97   |       | $ | 215.10 |   | $ | 214.98 |   | $ | 232.78 |   | $ | 205.50 |   |
|  2006 |       | $        | 198.52     |     | $          | 180.91   |       | $        | 191.14     |    | $          | 213.21   |       | $        | 212.48     |     | $          | 189.18    |       | $        | 176.75     |     | $          | 190.69   |       | $ | 190.58 |   | $ | 177.15 |   | $ | 188.07 |   | $ | 175.61 |   |
|  2007 |       | $        | 173.44     |     | $          | 164.76   |       | $        | 154.43     |    | $          | 157.93   |       | $        | 157.71     |     | $          | 161.03    |       | $        | 153.47     |     | $          | 143.03   |       | $ | 154.01 |   | $ | 164.69 |   | $ | 160.52 |   | $ | 164.22 |   |

 

Pursuant to CFTC policy, monthly performance is presented from January 1,2003, even though the Units were outstanding prior to such date.

 

11

----

 

**ML TREND FOLLOWING FUTURES FUNDL.P.**

**December 31, 2007**

 

*Type of Pool:*Single-Advisor/Publicly-Offered/Not “Principal Protected”(1)

*Inception of Trading:* July 15,1996

*Aggregate Subscriptions:*   $2,016,287,795

*Current Capitalization:*   $370,119,182

*Worst Monthly Drawdown:(2) *  (13.89)% (January 2005)

*Worst Peak-to-Valley Drawdown:(3) *  (55.35)% (December 2004 – August 2007)

 

**MonthlyRates of Return (4)**

 

| **Month**                       | ** ** | **2007** | ** ** | **2006** | ** ** | **2005** | ** ** | **2004** | ** ** | **2003** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | (1.23    | )%         | (3.40    | )%         | (13.89   | )%         | 3.80     | %          | 14.45    | %          |
| February                        |       | (5.01    | )          | (8.87    | )          | (4.89    | )          | 8.73     |       | 7.38     |       |
| March                           |       | (6.27    | )          | 5.65     |       | 0.00     |       | (5.35    | )          | (6.60    | )          |
| April                           |       | 2.26     |       | 11.55    |       | (10.79   | )          | (10.86   | )          | 2.72     |       |
| May                             |       | (0.13    | )          | (0.34    | )          | 9.40     |       | (6.36    | )          | 5.17     |       |
| June                            |       | 2.10     |       | (10.97   | )          | 2.20     |       | (10.58   | )          | (8.58    | )          |
| July                            |       | (4.70    | )          | (6.57    | )          | 1.33     |       | (2.34    | )          | (0.50    | )          |
| August                          |       | (6.80    | )          | 7.89     |       | (0.23    | )          | (0.45    | )          | 3.75     |       |
| September                       |       | 7.68     |       | (0.06    | )          | 0.06     |       | 10.25    |       | (9.33    | )          |
| October                         |       | 6.94     |       | (7.05    | )          | (0.05    | )          | 19.71    |       | (8.40    | )          |
| November                        |       | (2.53    | )          | 6.16     |       | 8.28     |       | 11.21    |       | 1.17     |       |
| December                        |       | 2.31     |       | (6.63    | )          | (11.72   | )          | (2.89    | )          | 9.14     |       |
| Compound Annual  Rate of Return |       | (6.48    | )%         | (14.55   | )%         | (21.06   | )%         | 10.50    | %          | 7.33     | %          |

 

----

(1) Certain funds, including funds sponsored byMLAI, are structured so as to guarantee to investors that their investment willbe worth no less than a specified amount (typically, the amount initiallyinvested) as of a date certain after the date of investment.  The CFTC refers to such funds as “PrincipalProtected.”  The Partnership has no suchfeature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced by the Partnership since January 1, 2003; aDrawdown is measured on the basis of month-end Net Asset Value only, and doesnot reflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents thegreatest percentage decline from a month-end cumulative Monthly Rate of Returnwithout such cumulative Monthly Rate of Return being equaled or exceeded as ofa subsequent month-end experienced by the Partnership since January 1,2003.  For example, if the Monthly Rateof Return was (1)% in each of January and February, 1% in March and(2)% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately (3)%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the (2)% level.

 

(4) Monthly Rate of Return is the net performanceof the Partnership during the month of determination (including interest incomeand after all expenses accrued or paid) divided by the total equity of thePartnership as of the beginning of such month, inclusive of subscriptionactivity.

 

12

----

 

**Item 7: Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

 

**Results of Operations**

 

General

 

The following summary outlines the operations of the Partnership duringJanuary 1, 2007 to June 30, 2007.

 

Performance Summary

 

ML JWH Strategic Allocation Fund L.P. SectorCommentary for the period January – June 2007

 

The Partnership posted anoverall loss for the first quarter.

 

The agriculture sectorposted losses for the Partnership. Price instability hurt performance at thebeginning of the quarter as New York coffee fell from a ten month high. Therally in coffee had been fueled by speculation that drought would reduce Brazil’sharvest. The strong trend then suffered a reversal as coffee prices in New Yorksuffered their longest slump in thirteen months on speculation that favorableweather in Brazil might actually boost the harvest. Corn, which suffered asharp reversal by falling 7.2 % in the first two days of the year hurting performance,rebounded along with soybeans benefiting from speculation that coldtemperatures in the United States would boost demand for alternative fuels madefrom the nation’s two biggest crops. Corn regained its strength and reached aten year high on January 17, 2007 while soybeans reached an eighteen monthhigh on January 18, 2007.   Corn andsoybeans continued posting gains for the Partnership through mid-quarter assoybeans reached their highest level since June 2004, as wet weatherthreatened to prevent Unites States farmers from planting enough crops to meetsurging demand for crop-based fuels. Chicago Board of Trade limited wheatcontract gains as it dropped in excess of 2 percent after prices had reached$5.09, the highest since December 26, 2006, as investors bailed out of thecommodity following the global plunge in equities. As a result of the plunge inglobal equity prices investors bailed out of commodities as the quarter endedand took profits in corn and soybeans, which had just reached multi-yearhighs.  Slight gains were produced in NewYork coffee as its weakening trend accelerated due to the fact that coffee fellto its lowest price since November 2006 on signs that supply may beexceeding demand as stocks piled up in warehouses monitored by the New YorkCoffee, Sugar & Cocoa Exchange.

 

The energy sector also posted losses for thePartnership. Geopolitical events and a record-breaking heat wave in theNortheastern United States caused volatility beginning of the quarter asnatural gas prices fell 6.9% after a government report showed asmaller-than-average decline in inventories of the fuel. Following a governmentreport indicating that the United States supplies of crude oil, gasoline,heating oil and diesel were above the five-year average for the period, crudeoil prices plunged and reached a nineteen month low of $49.90 a barrel.However, forecasts of colder weather throughout February 2007 reversed theweakening trend and sent energy prices upward. Despite the volatility withinthe sector, crude oil and London gas oil were able to offset a majority of thelosses.  Natural gas reversed itsstrengthening trend mid-quarter and had its biggest loss in more than six weeksin New York. Larger-than-expected supplies and forecasts of more seasonal temperaturesacross the central United States contributed to the reversal. After reaching atwo-month high on February 5, 2007 for natural gas March 2007delivery it dropped 7.7 % on February 12, 2007, its biggest one-daypercentage decline since December 26, 2006. The drop in natural gas price March 2007delivery was spurred by a government report that U.S. gas supplies were 19percent higher than the average for the past five years. Crude oil’s reversalalso hurt performance as it rose to $61.79 a barrel, its highest closing pricethis year on speculation that U.S. fuel inventories declined because refinerieswere down for repairs and also as a result of the increasing tension with Iran.The quarter ended as natural gas dropped to its lowest price in two months asforecasts for milder weather signaled reduced consumption of the heatingfuel.  However, when forecasterspredicted a shift in the weather pattern that would deliver colder-than-normalair to the eastern United States, the sector experienced losses as natural gassuffered a trend reversal as prices rose to a one-month high.  While gains were achieved in crude oil as itcontinued its weakening trend they were limited as crude oil spiked higher andtraded near a six-month high after Iran seized 15 British Naval personnel inthe Persian Gulf on March 23, 2007.

 

13

----

 

The stock indices posted losses for the Partnership.The beginning of the quarter was negative as losses in the NASDAQ E-mini offsetthe gains of the other components in the sector. Although U.S. stocks completedtheir longest stretch of monthly gains in more than a decade, intra-monthvolatility hurt the sectors overall performance. On January 13, 2007, U.S.stocks rose the highest in more than three months. This was due to expectationsthat profits at technology companies, such as Apple Inc. and Microsoft Corp.,would increase as new products would prompt consumers and businesses to spendmore. The NASDAQ had a 2.8 percent increase, a level not seen since February 2001.However, stocks fell towards the end of the first quarter after profit reportsfrom Intel Corp. and IBM caused concern that analysts’ forecasts for earningsat computer-related companies were too high. U.S. stocks had their biggesttumble since 2002 mid-quarter after a plunge in the Chinese equity marketcaused by concern that a government crackdown on investments with borrowedmoney will end a rally that drove benchmarks to records, sparked a global dropin equity prices and raised concerns that investors would unload equities aftera four-year bull market. On February 27, 2007, Chinese stocks sufferedtheir greatest loss in a decade, while the Dow Jones Stoxx 600 Index dropped 3%and the Dow Jones Industrial Average fell as much as 546 points intraday, themost since the first day of trading after September 11th, 2001. TheEurostoxx 50 was the sector’s worst performer while the Nikkei 225 offset somelosses as the sector’s best performer. The quarter ended as the global sell-offthat began on February 27, 2007 caused more than $2.4 trillion in sharevalue to be lost over five days.

 

The metals sector posted losses for the Partnership.Precious metal prices reacted to fluctuations in the U.S. dollar at thebeginning of the quarter as reversal in the U.S. dollar’s weakening trendreduced the appeal of gold as an alternative investment. Gold weakened, falling3.1%  after the U.S. dollar rose to asix-week high as the United States announced higher-than-expected employmentfigures in December 2006 only to rise 3.9% as the U.S. dollar once againweakened and speculation increased that the precious metal’s decline wasexcessive. The London Metal Exchange limited the copper sector’s losses ascopper prices fell 10% and 35% since reaching a record high of 8,724 metrictons since May 2006. Copper prices declined amid expectations that ahousing slowdown in the United States, the world’s second-largest user of themetal, would continue to reduce demand this year. Base metals suffered strongreversals mid-quarter as copper, which had been weakening prior to February 2007on reports of rising stockpiles signaled production was exceeding demand andrallied on speculation that China, its largest user, would accelerate itsbuying. Performance in gold and silver had limited losses as prices foundfurther support as they climbed to nine-month highs as escalating tension overIran’s nuclear research program increased and investors searched for safe-haveninvestments. However, as the quarter ended the drop in price in the equitymarkets sent precious metals lower, reversing their strengthening trend.  Although metals eventually began to rally thequarter ended down 0.5 percent.

 

The interest rate sector posted losses for thePartnership. The quarter began with stronger than expected growth and fears ofincreasing inflation led European ten-year bond yields to reach six-month highsand the U.K. two-year gilt yields to move toward five-year highs. U.K. longgilts slumped, which sent yields soaring after the Bank of England policymakers unexpectedly raised interest rates by a quarter point. Volatility in theten-year Japanese Government bonds limited the sector’s performance after KyodoNews reported that the Bank of Japan was unlikely to raise interest rates atits meeting on January 18, 2007, and the Bank of Japan followed throughwith no change in rates. The global bond markets reversed their weakening trendmid-quarter as the sell-off in the global equity markets fueled demand forgovernment debt.  The Japanese GovernmentBenchmark ten-year bonds added to the Partnership’s negative performance asspeculation grew that the Bank of Japan, which doubled interest rates, from .25to .50, at its February 21, 2007 meeting would pause before raisingborrowing costs any further. This prompted a move higher in the market and therally was further supported after the Nikkei 225 stock average posted itsbiggest decline since June 2006. Fixed-income markets, which had rallied mid-quarter continued tostrengthen as uncertainty increased that the drop in equities and the risingdefaults among the riskiest mortgages would slow consumer spending and theglobal economy. European government bonds posted their biggest back-to-backweekly decline in three months as European Central Bank President Jean-ClaudeTrichet reassured investors and stated that growth was “broader and sustained”and left “no time for complacency.”  Thequarter ended as the U.S. ten-year Treasury note surrendered the remainder ofthe gains it had amassed after the equity sell-off that began on February 27,2007 which had driven the yield to as low as 4.44%.

 

The currency sector posted losses for the Partnership.The quarter began with markets anticipating the economic data releases andcentral bank policy announcements in the hopes of gaining insight into thehealth of the world’s largest economies. On January 3, 2007, the U.S.dollar rose to its highest level in six months against the Euro on the newsthat the Institute for Supply Management Manufacturing Index came in at ahigher than expected 51.4, signaling an expansion of the U.S. economy. TheJapanese yen declined to 122.19 per U.S. dollar, the lowest in more than fouryears, due to speculation that there would be increased government pressure onpolicy makers not to raise borrowing 

 

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costs. The U.S. dollar had its largest fallmid-quarter against the Japanese yen in more than two months after U.S.Treasury Secretary Henry Paulson said he would be watching the Japanesecurrency “very carefully”. The Japanese yen rallied against the U.S. dollar toits highest level in more than 19 months amid a correction in U.S. stocks asthe investors avoided emerging market assets, triggering an unwinding of tradesbetting on a decline in the Japanese currency. The Japanese yen continued toadvance against the U.S. dollar and gained against all 16 of the most-activecurrencies during the first week of March, as global stocks extended a slump.The British pound, the sector’s worst performer fell to its lowest levelagainst the Japanese yen in more than four months, as in one month the Britishpound sterling/Japanese yen implied volatility soared to a record high of 11.75due to concerns of rising risk. The quarter ended with slight gains produced bythe Brazilian Real as the currency’s strengthening trend remained intact andreached a six-year high on speculation that the U.S. dollar flows from bothfinancial investments and a trade surplus would remain strong.

 

April 1, 2007 to June 30,2007

 

The Partnership posted again for the two months ended May 31, 2007.

 

The interest rate sectorwas the most profitable sector for the period. The sector was negative for April 2007as uncertainty grew over the interest rate policy of the central banks of theworld’s two largest economies. Both U.S. Treasuries and Japanese Government10-year Bonds (JGBs), the sector’s worst performer, were trend-less in April 2007as the markets’ interest rate expectations shifted with each economic releaseabout the current health of the U.S. and Japanese economies. While uncertaintysurrounded the state of these two economies, the strength of the German andBritish economies was clear. The German Benchmark ten-year bund led performanceas stronger growth and increased fears of inflation sent yields to theirhighest level since August 2005. The sell-off in European fixed incomelimited losses within the sector as yields touched multi-year highs.  The sector had strong performance for May 2007as global interest rates sustained their steady rise as economic growthcontinued in Europe and as the U.S. housing market began to stabilize. TheGerman Benchmark ten-year bund led performance as consumer confidence in theeuro region economy climbed to a six-year high. U.S. Treasuries also bolsteredperformance as the benchmark ten-year bond yield increased 26 basis pointssince April 30, 2007, its biggest monthly increase since March 2006.

 

The currency sector was also profitable for theperiod. In April, the Euro reached an all-time high against both the U.S.dollar and the Japanese yen, while the British pound reached a 25-year highagainst the U.S. dollar.  The U.S. dollarweakened as investors speculated that the U.S. Federal Reserve Board would cutborrowing costs to strengthen the U.S. economy; at the same time, expectationsgrew that the European Central Bank and the Bank of England would raise ratesto tame inflation as their economies strengthened.  The U.S. dollar rebounded in May 2007from an all time low against the Euro and rose one percent against the Britishpound. The U.S. dollar reversed as signs of economic strength reduced thelikelihood of a cut in interest rates by the Federal Reserve. The U.S. dollar’sbiggest monthly advance against the Euro in more than a year caused thePartnership to exit positions. A majority of the sector’s losses were offset bythe U.S. dollar’s strengthening trend against the Japanese yen.

 

The stock indices sector was profitable for theperiod. Stronger-than-expectedfirst quarter earnings, an increase in mergers and acquisitions, economicgrowth in Europe, and benign inflation in the U.S. drove global equity priceshigher. Equity markets reached new highs during the period due to continuedeconomic growth in Europe and indications from the U.S. Federal Reserve Boardthat growth in the world’s largest economy would accelerate. The entire sectorwas positive as about $1.1 trillion of announced Merger and Acquisition dealsso far this year pushed the S&P 500 past its peak in the year 2000. TheNASDAQ ended the period at 2604.52, its highest level since February 2001.

 

The agricultural commodities sector posted losses forthe period. The sector’s performance at the beginning of the period wasslightly positive as gains in N.Y. cotton and coffee were partially offset bylosses in CBOT wheat.  Freezingtemperatures at the beginning of the period caused damage to the wheat crop.Wheat, which had been trending lower prior to the cold weather, suffered areversal due to the resulting global supply concerns. The sector suffered itsworst losses when coffee futures in N.Y. climbed to their highest level inweeks on concern that Brazil’s crop, the world’s largest, will decline due tofrost damage, tightening supplies.

 

The metals sector also posted losses for the period.Performance was positive for April as LME copper strengthened, trading ashigh as $8,100 per ton on April 17, 2007, the highest it has been in morethan seven months. Supply disruptions and demand from China, the world’s largestuser, drove prices higher during the month. Gold also added to performance asthe precious metal reached an 11 month high when demand for a hedge against theweakness in 

 

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the U.S. dollar increased.  Thesector’s performance was negative in May 2007, as a reversal in preciousmetals hurt performance as the Partnership exited positions. Gold fell to atwo-month low in May 2007 and was down 2.5 percent for the month, as again in the value of the U.S. dollar reduced demand for the precious metal asan alternative investment. Silver (which has wider industrial applications thangold) dropped 0.7 percent in May 2007. Despite the drop, gold has gained4.5 percent for the year, while silver has risen 4.1 percent.

 

The energy sector was theleast profitable for the month as weather and geopolitical events once againwere the driving force behind price movements. Natural gas, the sector’s worstperformer, fluctuated throughout the period as weather drove demand. Crude oilalso hurt performance as prices fell to $61.34 a barrel on April 19, 2007before reversing to $66.70 a barrel on April 27, 2007. This reversaloccurred when Saudi Arabian authorities announced the arrest of more than 170suspected terrorists, who were reportedly plotting to attack the country’s oilfacilities. U.S. oil futures traded between $60 and $67 during the period asample domestic stockpiles tempered the impact of supply shutdowns in Alaska andNigeria.

 

Effective June 1,2007, the Partnership became multi-manager fund of funds with equal weightingto the FuturesAccess managed accounts of Aspect, Chesapeake, Transtrend, andWinton. The Partnership returned an estimated +2.1% for the month of June 2007.

 

During the month of June 2007the most profitable trading across all managers came from the fixed income andcurrency sectors.  Bonds sold off onstrong data and inflation concerns and the managers’ trend following modelswere successful navigating the higher interest rate environment.  In currencies gains were achieved as higheryielding currencies (AUD, NZD, GBP, CAD) continued to appreciate at the expenseof the “funding” currencies of Japan and Switzerland.  Equity markets ended the month lower althoughonly small losses in this sector were realized as risk management systemsreduced exposure to this sector. Commodities were mixed on the month with gains generally coming fromlong positions in grains, agriculturals and short positions in natural gas.  Metals trading produced net negative returns.

 

TrendFollowing Futures Fund L.P. Performance Summary June – December 2007

 

The following performance summaries are summaries ofthe Portfolio Funds’ performance for the period.

 

The third quarter beganwith extreme market reversals. Practically all markets which were trendingupward retraced as investors ran for the exit in an attempt to reduce risk.Credit worries and a softening housing market finally caught up to the equitymarkets and led to a big rally in global bonds. The Japanese yen, which hasbeen persistently weak for years, suddenly rallied against all of its higheryielding counterparts. As a result of the reversals, losses were posted to thePartnership. Long term market trends continued to unwind mid-quarter as thelong positions in the foreign exchange carry trades, long internationalequities, long energy and long metals due to a spike in risk aversion on August 16,2007 caused significant losses in each of these trades posting losses for thePartnership. The third quarter ended with a very strong performance after aturbulent summer. Strong trends re-emerged in commodities in particular, aswheat gained 21%, and crude oil rose 11% due to supply factors. In addition,precious metals rallied, with gold up by 10% and silver up by 13% due to theU.S. dollar weakening which caused demand for precious metals as a store ofvalue. The U.S Federal Reserve’s 50 basis points mid-month rate cut also helpedto invigorate investor risk appetite, helping foreign exchange carry trades andboosting global equity markets.

 

The fourth quarter beganwith positive results for the Partnership. Trends were strongest in currenciesand commodities. October 2007 saw a continuation of U.S. dollar weaknessdue to housing and credit concerns, as well as the U.S. Federal Reserveinterest rate cuts. Commodity based currencies such as the Canadian dollar andthe Australian dollar surged, while low yielding currencies such as theJapanese yen weakened. In commodities, supply worries pushed crude oil up 17%past $95.00 a barrel, while gold also surged as the U.S. dollar weakness causedinvestors to flock to precious metals as a store of value. Stocks were alsobroadly positive, with the Hang Seng Index leading the major markets, gainingover 15% on reports that the Hong Kong market would open to mainland Chineseinvestors. Most Partnership managers had a moderately negative month in November 2007,which saw a swing back towards global risk aversion.

 

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Trends were particularlystrong in commodities, with rallies in grains, oil and gold, as well ascontinued declines in base metals. Financial futures were more difficult totrade due to choppy conditions at the end of the year.

 

2006

 
| ** **                       | ** ** | **Total Trading  Profit (Loss)** | ** **   |
|----------------------------------|------------|----------------------------------|--------------|
| Metals                           |       | $                                | 41,738,896   |   |
| Interest Rates and Stock Indices |       | (6,837,362                       | )            |
| Agricultural Commodities         |       | (11,014,707                      | )            |
| Energy                           |       | (23,966,341                      | )            |
| Currencies                       |       | (146,361,350                     | )            |
|                             |       | $                                | (146,440,864 | ) |

 

The Partnership’sperformance was an overall loss in 2006 with metals and stock indices postinggains and agriculture, interest rates, energy and currencies posting losses.

 

The metals sector was themost profitable for the Partnership. At the beginning of the year, gold surgedto a 25 year high and silver climbed to its highest level since March 1984.This trend continued through the second quarter with silver climbing 51%.Factors contributing to the rise in silver include the escalating dispute withIran combined with a falling U. S. dollar which helped to push the preciousmetal higher as investors look for a safe-haven given the global geopoliticaluncertainty. Both base and precious metals began to retreat from highs set inthe middle of the quarter. Gold fell to a three month low after reaching a26-year high in May 2006. The sharp sell-off was caused by the combinationof a stronger U.S. dollar, as investors bought dollars as an alternative togold, and speculation that the Federal Reserve could hike interest rates asmuch as 50 basis points. Silver’s rally was due to increased demand throughoutthe world and expectations of continued economic expansion of developingnations. Base and precious metals suffered as commodities as an asset class hadtheir biggest quarterly decline in at least 50 years. During the third quarter,gold and silver prices continued to fall as lower energy prices and a strongerU.S. dollar eroded the appeal of the precious metals as an alternative to U.S.stocks and bonds. Although weakness in precious metals hurt performance, thePartnership was able to profit from falling base metal prices. New York copperfutures fell 10 percent in December 2006 as inventories of the metal usedin wires and pipes grew, a sign of weakening demand. London Metals Exchangecopper for March 2006 delivery touched $6,250 a metric ton, the lowestsince April 20, 2006. Nevertheless, copper’s gain for the year in Londonwas 44 percent and 41 percent in New York.

 

Stock indices also postedprofits for the Partnership. European stock indices had their best January 2006rally in eight years as energy stocks along with miners and steelmakers gainedon expectations earnings would benefit from higher commodity prices. The middleof the first quarter was volatile for the stock indices sector as the Asianstock indices posted their first monthly decline since October 2005,howeverthe decline reversed  at the end of thequarter as Asian stocks approached a 16-year high partly due to surging demandfor metals and oil.  The interest raterise, along with China asking the nation’s banks to restrict lending to preventthe economy from overheating, sent shares of mining companies and commodityproducers lower on speculation that increased borrowing costs could curb demandfor raw materials in China’s economy. Global equity markets began to fall midyear after the U.S. Federal Reserve met and an additional rate hike was still apossibility in June 2006. The losses continued through the end of thesecond quarter due to mounting speculation that actions of the U.S. FederalReserve would hurt economic growth and 16 central banks raised interest ratesto contain inflation. However, as it became evident that the U.S. FederalReserve was actually closer to ending its rate hiking cycle world equitymarkets rallied. The third quarter began with a substantial portion of worldequity markets trend-less as investors continued to speculate over the U.S.Federal Reserve’s next move. Global equities reversed the recent losing trendand rallied partly due to decreased concerns about inflation. U.S. FederalReserve policy makers signaled that the economy may have cooled enough topreclude further interest rate increases for the remainder of the year.European stocks rallied at the end of the quarter to a five-year high. Thefourth quarter began with the All Ordinary index rising to a record. Alsoadvancing were the U.S. benchmark indices, as earlier optimism that UnitedStates households would sustain economic growth pushed the Dow industrials to arecord high during October 2006 and sent the S&P 500 to its highestlevel since November 2000. Three United States benchmarks had theirbiggest monthly gain since November 2005, with the Dow gaining 3.4percent, the S&P 500 climbing 3.2 percent, and the NASDAQ advancing 4.8percent. The year ended as Japanese stocks completed their longest yearlywinning streak since 1989.  The Japanese yen reached an all-time low of156.73 against the Euro helping to advance Japanese equities (a weaker Japanese

 

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yen boosts the value of euro-denominated sales when converted back intolocal currency).

 

The agriculture sectorposted losses for the Partnership. The year began with record highs as a resultof the surging cost of crude oil which increased the demand for ethanol, asugar cane by-product. Brazil, the biggest producer and exporter of sugar,has been converting more of its sugarcane crop to ethanol in connection with record gasoline prices. New York coffeerose to seven month highs as worldwide demand outpaced supply. New York coffeeand New York sugar hindered returns in the middle of the first quarter whiletrading in Chicago Board of Traders (“CBOT”) wheat limited losses. The firstquarter ended with sugar prices in London rising to their highest levels since1989 on speculation that a jump in the cost of oil will force Brazil to directmore of its output towards producing ethanol. Mid-year, cotton fell to itslowest close since December 2, 2005. The gains in cotton were not enough,however, to offset the losses in the rest of the sector as choppy price actiondominated the sector’s performance. Sugar, whose demand has increased on itsability to be made into ethanol, fell as energy prices dropped mid-year.Weather conditions had severe affects on various crops in the U.S. and aroundthe world. CBOT wheat fell to a five-week low in the middle of June, after warmdry weather in the central U.S. helped farmers speed up the harvest. At thebeginning of the third quarter, New York and London sugar under performed on speculationthat global demand will slow. Corn and soybeans also hurt performance as pricevolatility caused by fluctuating weather conditions in the U.S. Midwestthreatened crop yields. Also contributing to corn price volatility was a reportissued by the U.S. Department of Agriculture that indicated approximately 59%of the corn crop was in good condition, which was the lowest percentage of theyear. Losses in wheat third quarter were offset by gains in sugar. World sugarproduction in 2006 was higher than previously forecasted easing a thirdstraight annual shortfall as favorable weather in India helped the harvest. Thethird quarter ended with sugar prices plunging on speculation that demand wouldfall as lower energy costs discouraged the use of sugar as an alternative fuelsource eroding the value of ethanol. At the beginning of the fourth quarter,corn, the biggest U.S. crop, reached a two year high. Wheat prices fell 13percent since reaching $5.57, a ten year high, on October 17, 2006. Wheatprices fell on speculation that U.S. farmers may increase the acreage plantedwith the grain this year.  The sector’sworst performer was London sugar. Sugar fell as supplies are set to grow 3.9percent faster than expected demand in2007 which may leave unsold stockpiles at approximately 49 percent ofglobal consumption by the end of September 2007, the highest percentage inten years. Toward the end of 2006, corn and soybean futures in Chicago rose onsigns that export demand for the two biggest U.S. crops remained strong evenafter price rallies. Farmers in Brazil, growers of Robusta and  Arabica beans traded in New York, held backsupplies because drought conditions may reduce the 2007 crop. 2006 ended withsoybean prices falling on prospects that rains may have improved South Americancrops.  Despite the fall, soybeans roseto a 17-month high on December 29, 2006 in Chicago on speculation thatrising corn prices will cut plantings of the oilseed.  Corn is more appealing than soybeans for U.S.farmers because of record demand for ethanol, a fuel being added to gasoline tomeet federal mandates for renewable energy.

 

The interest rate sectorposted losses for the Partnership. The year began with fixed income markets inthe U.S., Europe and Japan selling off over fears of their respective centralbanks raising interest rates. The sector benefited from Japanese Governmentbonds, which was a price decline. Eurodollar posted gains which were offset bylosses in U.S. 30 year bonds, German bunds and bobl. During the first quarter,the U.S. Federal Reserve and the European Central Bank raised their respectiveinterest rates 25 basis points. A catalyst for the sell-off was growingspeculation in the markets that both central banks would be forced to continueto raise rates after confidence reports released in both Europe (IFO) and theU.S. (consumer confidence) on March 28, 2006 were stronger thanexpected.  Mid-year European, Japaneseand U.S. fixed income markets sold off which significantly added to thePartnership’s performance. The Japanese ten year bond (“JGB’s”) added to thesector’s performance as it fell for a fifth month, the longest since 1990, onconcerns that the Bank of Japan will raise interest rates this year. Yields onU.S. ten year Treasuries rose for a fifth straight month mid-year, the longeststretch since 1999.  During the thirdquarter, the U.S. benchmark ten year along with the U.S. ten year Treasury bondwere the worst performers in the sector as the slowing U.S. economy spurredspeculation that the U.S. Federal Reserve will stop raising interest rates. TheBank of Japan raised the rate between lenders 25 basis points on July 14,2006 ending a five-year policy of keeping borrowing costs near zeropercent.  Japanese government bonds,German bunds, and the U.S. benchmark ten year Treasury bond rallied. Investorsdrove yields lower as a smaller than expected increase in consumer prices, aswell as a sharp drop in industrial production, caused speculation that the Bankof Japan would keep interest rates at their current level for the remainder ofthe year. U.S. bonds were supported by the U.S. Federal Reserve’s decision tobenchmark

 

U.S. interest rate at5.25 percent, ending a record two-year run of 17 straight rate increases. TheU.S. ten year yield touched a seven month low of 4.53 percent on September 25,2006, down from 5.14 percent on June 30, 2006 as expectations that theU.S. Federal Reserve would raise interest rates further gave way to the viewthat it may lower them in the near future. During the beginning of the fourth quarter, U.S., European, and Japanesedebt markets 

 

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suffered reversals over speculation surrounding potential globalinterest rate moves. Japanese ten year bonds and German ten year governmentbonds (“Bunds”) were the worst performing components in the sector onexpectations that the European Central Bank (“ECB”) and Bank of Japan (“BOJ”)would have to keep raising interest rates to help contain inflation.  Later in the fourth quarter, U.S. Treasuriesrose, pushing the benchmark ten-year note yields to 4.46 percent, the lowestsince January. U.S. Treasuries gained after the NAPM-Chicago business barometerdeclined to 49.9 from 53.5 in October 2006, (a reading below 50 signals acontraction). The U.S. Federal Reserve’s last series of interest rate cuts in2001 began five months after the business barometer dropped below 50. The yearended as German and U.S. government bonds fell, experiencing reversing trendswhile JGB’s oscillated due to market speculation on whether the BOJ would raiseinterest rates. On December 8, 2006, JGB’s posted their biggest weeklydecline in four months as investors increased their positions based on thebelief that the BOJ would raise rates at its December 2006 meeting. Germangovernment bonds fell on speculation the ECB will keep lifting rates into nextyear. Benchmark U.S. two-year notes had their longest losing run in more than15 years in December 2006, driving yields to their highest in more thanfour years. U.S. Treasuries also fell, enduring their first December 2006loss in five years.

 

The energy sector postedlosses for the Partnership. At the beginning of the year volatility within theenergy sector increased as oil and natural gas were being used as “geopoliticalweapons” by Iran, Russia, Venezuela and militants in Bolivia. Natural gas fell17 percent around the beginning of the year as mild weather in several of  the largest U.S. consuming regions cut demandwhich limited the need for utilities to pull from reserves . The marketcontinued to be apprehensive inconnection with geopolitical conflicts in the middle East and Nigeria.Mid-year concerns that the U.N. Security Council will impose sanctions thatcould lead Iran, the fourth-largest oil producer, to cut shipments drove crude oilfor June 2006 delivery to a new high of $75.35 a barrel. Increasedgeopolitical uncertainty drove all petroleum based products higher. While thesector benefited from increased instability in the world, mild weather in theU.S. hindered performance as natural gas has fallen 20 percent and approached anine month low as demand slowed. Crude oil spiked on July 14, 2006 to arecord high on concern that the fighting in Lebanon might spread to other partsof the Middle East, which is the source of approximately a third of the world’soil. Crude oil plunged 25 percent in October 2006, since reaching a recordhigh on July 14, 2006. Energy prices continued their downward trend aswarm weather in the northern U.S. reduced fuel demand. Also contributing to thedownward price movement were signs that OPEC would not cut production as muchas previously pledged.  Crude oil fell toa 17-month low. The year ended with the population centers of the Midwest andNortheast, where demand for gas is highest, experiencing weather as much as 25percent warmer than normal.  Forecasterssaid an El Nino weather pattern, which typically brings above-average wintertemperature, is affecting much of the U.S. crude oil for February 2007delivery touched $59.99, the lowest since November 27, 2006, while heatingoil for January 2007 delivery touched $1.5995, the lowest since October 31,2006.

 

The currencies sectorposted the greatest losses for the Partnership. At the beginning of the yearforeign exchange sector suffered losses as the U.S. dollar posted its biggestmonthly decline against the euro since November 2004. This wassignificantly due to the market’s anticipation of the U.S. Federal Reserve’sremoval of “measured pace” from its statement after its meeting on January 31,2006. The euro also benefited as the market waited for whether the EuropeanCentral Bank’s meeting on February 2, 2006 would raise borrowing costs asEurope’s economy strengthened.  Duringthe second quarter, stronger than expected core Consumer Price (“CPI”) coupledwith statements from U.S. Federal Reserve Chairman Bernanke calling recentincreases in inflation measures an “unwelcome development”, led investors tospeculate that the U.S. Federal Reserve might raise rates 50 basis pointsrather than the previously expected 25. The increased rate speculation helpedthe U.S. dollar reach an eight-week high of 1,2479 against the euro. On June 29,2006, the U.S. Federal Reserve raised rates 25 basis points and suggested itmay be nearing the end of its 2-year cycle of rate increases as the statementannouncing their decision indicated that slowing economic growth “should helpto limit inflation pressures”. As a result, the U.S. dollar reversed once againand weakened during the last two days of the month.  During the third quarter, fighting broke outbetween Israel and Hezbollah causing a sharp reversal in the weakening U.S.dollar trend. The U.S. dollar rallied as fighting in the Middle East escalatedsending the currency higher against the Japanese yen and euro. Unfortunately,most of the gains disappeared as investors focused on interest rates after U.S.Federal Reserve Chairman Bernanke stated that “moderation” in the economy wasunder way. On October 13, 2006 the dollar rose to its highest levelagainst the Japanese yen this year and the strongest level versus the eurosince July 2006, after a government report showed U.S. retail salesexcluding gasoline increased in September 2006. On October 31, 2006,however, the U.S. dollar had given up most of its gains from earlier in themonth and dropped to its lowest level in five weeks against the euro andJapanese yen after a survey of purchasing managers showed business declined anda report revealed U.S consumer confidence unexpectedly fell for the month.  The data provided evidence of a slowdown inthe world’s largest economy, increasing speculation that the U.S. FederalReserve may cut borrowing costs early in 2007 reducing the appeal ofdollar-denominated assets. Near the end of the year the U.S. dollar tumbled toa 20-month low against the euro and approached a three-month low versus theJapanese yen. The year ended as higher European interest 

 

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rates helped the euro reach a record high against the Japanese yen on December 29,2006 and caused the Japanese yen to fall to its lowest level since 1998 versusthe British pound.

 

2005

 
| ** **                       | ** ** | **Total Trading  Profit (Loss)** | ** **   |
|----------------------------------|------------|----------------------------------|--------------|
| Metals                           |       | $                                | (4,219,696   | ) |
| Agricultural Commodities         |       | (6,807,238                       | )            |
| Energy                           |       | (39,814,815                      | )            |
| Interest Rates and Stock Indices |       | (42,415,774                      | )            |
| Currencies                       |       | (169,671,873                     | )            |
|                             |       | $                                | (262,929,396 | ) |

 

The Partnership postedlosses in all sectors.

 

Trading in the metalssectors was the least unprofitable for the Partnership. At the beginning of theyear, the loss in metals was primarily due to the weakness in both gold andaluminum. Gold which recently had a strong inverse relationship with the U.S.dollar came under pressure as the U.S. dollar strengthened. Aluminum sustainedlosses as supply increases in Shanghai (among other factors) put pressure onthe market.   A decrease in the Institutefor Supply Management Non-Manufacturing Business Activity Index in thebeginning of the second quarter initially caused base metal prices to fall,while precious metals continued to appreciate. Gold prices rose in the middleof the second quarter as crude oil surged, and then dipped with thestrengthening of the U.S. economy. Gold prices continued to fall early in thethird quarter as the U.S. dollar strengthened, reducing the metal’s appeal asan alternative investment. The cumulative effects of severe price action in thecurrencies and fixed income markets along with the market impact of HurricaneKatrina led gold to under perform. However, gold futures for December deliveryclosed at $475.80 on September 29, 2005, the highest since January 1988.  November 29, 2005, was also a record dayas gold reached $506.70, the highest price for a most-active contract since December 1987.  Even though the metals sector had gains atthe end of the year , that was not enough to offset the combined losses inother sectors.

 

The agricultural sectorproved to be the second least unprofitable for the Partnership.  Early in the year there was forecasted adrought season in Brazil which positively effected soy bean prices near term.Through the middle part of the year, there was no discernable trend inagricultural commodities due to the fact of the increased volatility in themarket. Coffee returns rose after flooding caused by Hurricane Katrina placedbean inventories at risk in New Orleans, the second largest coffee port in theU.S. Sugar was an important commodity in the last quarter with the EuropeanUnion intentionally limiting the supply of white sugar in London and risingBrazilian demand for ethanol made from cane. However, the European Union wasforced to cut sugar prices 36% after the World Trade Organization ruled thatthe Euro nations were illegally subsidizing prices. The year ended with coffeetrading being a very significant part of this sector due to the fact that on December 9,2005 Brazil, the world’s largest coffee grower, announced its 2006-2007 cropwould increase by 43.6 million bags which was less that what was expected.

 

The energy sector alsoposted losses for the Partnership. The bull market trend did continue throughthe beginning of the year as commodity prices surged to a 24-year high due tosigns of growing global demand for energy-related goods. However, as itappeared that global demand for oil would peak to a record 86.4 million barrelsa day in the 4th quarter, an Energy Department report informed investors of anunexpected surge in supplies because of increased productivity inrefineries.  Natural gas prices retreatedfrom record highs set in September 2005, which resulted when HurricanesKatrina and Rita struck the Gulf Coast. The year ended with a dramatic fall inprices as a result of private and government forecasters calling for warmerthan normal temperature across the country for the beginning of January 2005.Predictions stated that demand in the Midwest, where natural gas is the majorheating fuel, will be 20 percent lower than normal on average and in theNortheast, where 80 percent of the nation’s heating oil is used, will be 13 percent lower than normal on average.Crude oil’s surge at the end of December 2005 also hindered performance asthe pricing dispute between Russia and the Ukraine disrupted shipments ofnatural gas to Europe and raised concerns that Russia is not a reliable energysupplier.

 

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Stock indices andinterest rate futures was the fourth least profitable sector for thePartnership. Losses occurred in the beginning of the year resulting from a selloff in world equity markets, as stocks weakened because of high energy prices.In addition, stocks dropped as American International Group Inc., the world’slargest insurer, lost its top credit rating. Japanese stocks rallied in thethird quarter on the news that the European Central Bank upgraded itsassessment of the Japanese economy, citing improved business confidence andgreater company investments however; gains were limited as the majority of theworld’s equity markets weakened due to record oil prices, caused by HurricanesKatrina and Rita. Interest rate futures having losses that were directlyrelated to the fixed income sector as the European, Japanese and U.S. bondmarkets sold off. The catalyst for the dramatic move higher in world interestrates was the cumulative effect of increases in both energy prices andinflation expectations. During the second quarter, Japan’s government bondyields experienced record lows because of anticipated economic slowdowns fortwo main reasons; the projection that the demand for regional goods would wanebecause of a slowing U.S. economy and record high oil prices were expected totake a serious toll on the nation. Sector’s gains in the third quarter were limited as the majority of theworld’s equity markets weakened during the quarter on concerns of record oilprices, caused by Hurricanes Katrina and Rita. The year ended with limitedperformance in the European fixed-income market volatility caused by changingexpectations as to whether or not the European Central Bank rate hike was asingle increase or the beginning of a series of further moves.

 

Trading in currencies wasthe least profitable for the Partnership. Loss in the beginning of the year wasdirectly related to the strength of the U.S. dollar against most majorcurrencies. The recent dollar strength began when Federal Reserve Chairman AlanGreenspan predicted that the deficit in the U.S. current account, the broadestmeasure of trade, may shrink.  However,the second quarter ended with a widening spread between the two-year U.S.Treasury note and the German schatz (two-year note), along with the rally ofthe U.S. dollar against the Japanese yen. In the third quarter, China revaluedits yuan for the first time in a decade. The currency sector continued tosuffer as the U.S. dollar rallied against the Euro, Swiss franc and Britishpound, but offset in part by gains in the Japanese yen and Brazilian real. Theyear ended with the U.S. dollar reversing its strengthening to the Japanese yenbecause of the apparent Federal Reserve signals that it was closer to endingits rate-hiking cycle. The sector also incurred losses from weakness in theBritish pound as it weakened on expectations that the Bank of England may haveto cut rates.

 

**Variables Affecting Performance**

 

The principal variablesthat determine the net performance of the Partnership and the Portfolio Fundsare gross profitability from the Partnership’s and the Portfolio Funds’ tradingactivities and interest income.

 

During all periods setforth above “Selected Financial Data”, the interest rates in many countrieswere at unusually low levels.  The lowinterest rates in the United States (although higher than in many othercountries) negatively impacted revenues because interest income is typically a majorcomponent of the Partnership’s profitability. In addition, low interest rates are frequently associated with reducedfixed income market volatility, and in static markets the Partnership’s profitpotential generally tends to be diminished. On the other hand, during periods of higher interest rates, the relativeattractiveness of a high risk investment such as the Partnership may be reducedas compared to high yielding and much lower risk fixed-income investments.

 

The Partnership’sBrokerage Commissions and Administrative Fees are a constant percentage of thePartnership costs (other than the insignificant currency trading costs whichare not based on a percentage of the Partnership’s assets allocated to tradingor total) and the Profit Shares payable to the Advisor based on the new TradingProfits generated by the Partnership excluding interest and after reduction fora portion of the Brokerage Commissions.

 

Unlike many investmentfields, there is no meaningful distinction in the operation of the Partnershipbetween realized and unrealized profits. Most of the contracts traded by the Partnership and the Portfolio Fundsare highly liquid and can be closed out at any time.

 

Except in unusualcircumstances, factors—regulatory approvals, cost of goods sold, employeerelations and the like—which often materially affect an operating business havevirtually no impact on the Partnership.

 

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**Liquidity; Capital Resources**

 

The Partnership and thePortfolio Funds borrow only to a limited extent and only on a strictlyshort-term basis in order to finance losses on non-U.S. dollar denominatedtrading positions pending the conversion of the Partnership’s and the PortfolioFunds’ U.S. dollar deposits.  Theseborrowings are at a prevailing short-term rate in the relevant currency.

 

Inflation by itself doesnot affect profitability, but it can cause price movements that do so.

 

The Partnership’s and the Portfolio Funds’ assets andopen positions are generally highly liquid.

 

The Partnership and thePortfolio Funds changes its positions and market focus frequently.  Consequently, the fact that the Partnershipand the Portfolio Funds realized gains or incurred losses in certain markets(gold, stock indices, currencies, etc.) in the past is not necessarily indicativeof whether the Partnership and the Portfolio Funds will do so in the future.

 

(The Partnership has nooff-balance sheet arrangements or tabular disclosure of contractual obligationsof the type described in Items 3.03(a)(4) and 3.03(a)(5) ofRegulation S-K.)

 

**Item 7A: Quantitative and QualitativeDisclosures about Market Risk**

 

Introduction

 

The Portfolio Funds are aspeculative commodity pools.  The marketsensitive instruments held  by   the Portfolio Funds’ are acquired forspeculative trading purposes and all or substantially all of the PortfolioFunds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the PortfolioFunds’ main line of business.

 

Market movements resultin frequent changes in the fair market value of the Portfolio Funds’ openpositions and, consequently, in its earnings and cash flow.  The Portfolio Funds’ market risk isinfluenced by a wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market value offinancial instruments and contracts, the diversification effects among thePortfolio Funds’ open positions and the liquidity of the markets in which ittrades.

 

The Portfolio Funds’rapidly acquires and liquidates both long and short positions in a wide rangeof different markets.  Consequently, itis not possible to predict how a possible future market scenario will affectperformance, and the Partnership’s and the Portfolio Funds’ past performance isnot necessarily indicative of its future results.

 

Value at Risk is ameasure of the maximum amount which the Partnership and the Portfolio Fundscould reasonably be expected to lose in a given market sector.  However, the inherent uncertainty of thePartnership’s  and the Portfolio Funds’speculative trading and the recurrence in the markets traded by the Partnershipand the Portfolio Funds of market movements far exceeding expectations couldresult in actual trading or non-trading losses far beyond the indicated Valueat Risk or the Partnership’s and the Portfolio Funds’ experience to date (i.e.,“risk of ruin”).  In light of theforegoing as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section should not beconsidered to constitute any assurance or representation that the Partnership’sand the Portfolio Funds’ losses in any market sector will be limited to Valueat Risk or by the Partnership’s and the Portfolio Funds’ attempts to manage itsmarket risk.

 

Quantifying the Partnership’s Trading Value at Risk

 

QuantitativeForward-Looking Statements

 

The followingquantitative disclosures regarding the Partnership’s market risk exposurescontain “forward-looking statements” within the meaning of the safe harbor fromcivil liability provided for such statements by the Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the SecuritiesAct of 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

 

The Partnership’s riskexposure in the various market sectors traded by JWH® and the Portfolio Fundsare quantified below in terms of Value at Risk. Due to the Portfolio Funds’ mark-to-market accounting, any loss in thefair value of the Portfolio Funds’ is directly reflected in the Portfolio Funds’earnings (realized or unrealized) and cash 

 

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flow (at least in the case of exchange-traded contracts in whichprofits and losses on open positions are settled daily through variationmargin).

 

Exchange maintenancemargin requirements have been used by the Portfolio Funds as the measure oftheir Value at Risk.  Maintenance marginrequirements are set by exchanges to equal or exceed the maximum loss in thefair value of any given contract incurred in 95% to 99% of the one-day timeperiods included in the historical sample (approximately one year, generally)researched for purposes of establishing margin levels.  The maintenance margin levels are establishedby dealers and exchanges using historical price studies as well as anassessment of current market volatility (including the implied volatility ofthe options on a given futures contract) and economic fundamentals to provide aprobabilistic estimate of the maximum expected near-term one-day pricefluctuation.

 

In the case of market sensitiveinstruments which are not exchange-traded (almost exclusively currencies in thecase of the Portfolio Funds), the margin requirements for the equivalentfutures positions have been used as Value at Risk.  In those rare cases in which a futures-equivalentmargin is not available, dealers’ margins have been used.

 

100% positive correlationin the different positions held in each market risk category has beenassumed.  Consequently, the marginrequirements applicable to the open contracts have been aggregated to determineeach trading category’s aggregate Value at Risk.  The diversification effects (which wouldreduce the Value at Risk estimates) resulting from the fact that the PortfolioFunds’ positions are rarely, if ever, 100% positively correlated have not beenreflected.

 

# **The Partnership’s Trading Value at Risk in DifferentMarket Sectors**

# ** **

The following tableindicates the average, highest, and lowest trading Value at Risk associatedwith the Partnership’s open positions by market category for the fiscal years2007 and 2006.  For the five month periodended May 31, 2007, the Partnership’s average capitalization wasapproximately $617,644,302. During the fiscal year 2006, the Partnership’saverage capitalization was approximately $1,050,574,066.

 

**AspectCLASS D-TF**

**December 31,2007**

 
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of Average****Capitalization (1)** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|----------------------------|------------|----------------------------------------|------------|----------------------------|------------|---------------------------|------------|
|                     |       |                       |       |                                   |       |                       |       |                      |       |
| Agricultural Commodities |       | $                          | 228,135    |                                   | 0.31       | %                          | $          | 942,487                   |       | $ | 15,036 |   |
| Currencies               |       | 660,464                    |       | 0.91                                   | %          | 2,457,903                  |       | 24,105                    |       |
| Energy                   |       | 419,548                    |       | 0.58                                   | %          | 1,968,051                  |       | 4,557                     |       |
| Interest Rates           |       | 6,448,517                  |       | 8.85                                   | %          | 12,118,929                 |       | 3,834,811                 |       |
| Metals                   |       | 187,289                    |       | 0.26                                   | %          | 927,015                    |       | 6,689                     |       |
| Stock Indices            |       | 350,534                    |       | 0.48                                   | %          | 683,060                    |       | 32,951                    |       |
|                     |       |                       |       |                                   |       |                       |       |                      |       |
| TOTAL                    |       | $                          | 8,294,487  |                                   | 11.39      | %                          | $          | 19,097,445                |       | $ | 3,918,149 |   |

 

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(1) The averagecapitalization of Aspect class D-TF is $72,858,525

 

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** Chesapeake Class D-TF**

**December 31,2007**

 
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization (2)** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|----------------------------|------------|--------------------------------------|------------|----------------------------|------------|---------------------------|------------|
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| Agricultural Commodities |       | $                          | 430,468    |                                 | 0.61       | %                          | $          | 695,518                   |       | $ | 27,294 |   |
| Energy                   |       | 292,057                    |       | 0.42                                 | %          | 617,653                    |       | 2,390                     |       |
| Interest Rates           |       | 9,754,785                  |       | 13.93                                | %          | 18,855,135                 |       | 1,705,678                 |       |
| Metals                   |       | 154,313                    |       | 0.22                                 | %          | 410,521                    |       | 43,095                    |       |
| Stock Futures            |       | 293,848                    |       | 0.42                                 | %          | 529,148                    |       | 51,051                    |       |
| Stock Indices            |       | 367,354                    |       | 0.52                                 | %          | 969,993                    |       | —                    |       |
| Currencies               |       | 811,503                    |       | 1.16                                 | %          | 1,431,721                  |       | 58,523                    |       |
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| TOTAL                    |       | $                          | 12,104,328 |                                 | 17.28      | %                          | $          | 23,509,689                |       | $ | 1,888,031 |   |

 

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(2) Theaverage capitalization of Chesapeake Class D-TF is $70,017,725.

 

**TranstrendCLASS D-TF**

**December 31,2007**

 
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization (3)** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|----------------------------|------------|--------------------------------------|------------|----------------------------|------------|---------------------------|------------|
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| Agricultural Commodities |       | $                          | 692,994    |                                 | 0.98       | %                          | $          | 1,968,726                 |       | $ | 2,084 |   |
| Energy                   |       | 1,177,540                  |       | 1.66                                 | %          | 4,825,604                  |       | 5,223                     |       |
| Interest Rates           |       | 5,176,012                  |       | 7.32                                 | %          | 12,735,683                 |       | 1,585,621                 |       |
| Metals                   |       | 551,895                    |       | 0.78                                 | %          | 1,347,754                  |       | 5,395                     |       |
| Stock Indices            |       | 1,492,304                  |       | 2.11                                 | %          | 3,404,913                  |       | 76,559                    |       |
| Currencies               |       | 1,891,323                  |       | 2.67                                 | %          | 6,594,136                  |       | 83,757                    |       |
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| TOTAL                    |       | $                          | 10,982,068 |                                 | 15.52      | %                          | $          | 30,876,816                |       | $ | 1,758,639 |   |

 

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(3) Theaverage capitalization of Transtrend Class D-TF is $70,734,292.

 

**WintonCLASS D-TF**

**December 31,2007**

 
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization (4)** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|----------------------------|------------|--------------------------------------|------------|----------------------------|------------|---------------------------|------------|
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| Agricultural Commodities |       | $                          | 113,820    |                                 | 0.15       | %                          | $          | 276,888                   |       | $ | 5,171 |   |
| Currencies               |       | 524,533                    |       | 0.71                                 | %          | 1,070,750                  |       | 44,655                    |       |
| Energy                   |       | 75,132                     |       | 0.10                                 | %          | 205,716                    |       | 8,725                     |       |
| Interest Rates           |       | 5,235,693                  |       | 7.05                                 | %          | 8,986,186                  |       | 3,028,832                 |       |
| Metals                   |       | 89,019                     |       | 0.12                                 | %          | 177,232                    |       | 34,624                    |       |
| Stock Indices            |       | 370,567                    |       | 0.50                                 | %          | 653,724                    |       | 86,576                    |       |
|                     |       |                       |       |                                 |       |                       |       |                      |       |
| TOTAL                    |       | $                          | 6,408,764  |                                 | 8.63       | %                          | $          | 11,370,496                |       | $ | 3,208,583 |   |

 

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(4) Theaverage capitalization of Winton Class D-TF is $74,275,739.

 

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**MLJWH Strategic Allocation Fund L.P.**

** May 31, 2007**

 
| **Market Sector**        | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|--------------------------|------------|----------------------------|------------|----------------------------------|------------|----------------------------|------------|---------------------------|------------|
|                     |       |                       |       |                             |       |                       |       |                      |       |
| Agricultural Commodities |       | $                          | 846,301    |                             | 0.14       | %                          | $          | 2,805,345                 |       | $ | — |   |
| Currencies               |       | 9,769,334                  |       | 1.64                             | %          | 17,688,603                 |       | 14,804                    |       |
| Energy                   |       | 1,595,481                  |       | 0.27                             | %          | 2,699,064                  |       | —                    |       |
| Interest Rates           |       | 27,474,079                 |       | 4.61                             | %          | 73,672,809                 |       | —                    |       |
| Metals                   |       | 2,203,184                  |       | 0.37                             | %          | 6,999,047                  |       | —                    |       |
| Stock Indices            |       | 2,444,700                  |       | 0.41                             | %          | 5,459,142                  |       | —                    |       |
|                     |       |                       |       |                             |       |                       |       |                      |       |
| TOTAL                    |       | $                          | 44,333,079 |                             | 7.44       | %                          | $          | 109,324,010               |       | $ | 14,804 |   |

 

**MLJWH Strategic Allocation Fund L.P.**

**December 31,2006**

 
| **Market Sector**        | ** ** | **Average Value  at Risk** | ** **  | **% of Average  Capitalization** | ** ** | **Highest Value at  Risk** | ** ** | **Lowest Value  at Risk** | ** ** |
|--------------------------|------------|----------------------------|-------------|----------------------------------|------------|----------------------------|------------|---------------------------|------------|
| ** **               | ** ** | ** **                 | ** **  | ** **                       | ** ** | ** **                 | ** ** | ** **                | ** ** |
| Interest Rates           |       | $                          | 86,057,447  |                             | 8.19       | %                          | $          | 143,544,330               |       | $ | 9,595,799 |   |
| Currencies               |       | 42,127,000                 |        | 4.01                             | %          | 110,188,145                |       | 6,095,675                 |       |
| Stock Indices            |       | 6,418,343                  |        | 0.61                             | %          | 16,139,891                 |       | 1,859,211                 |       |
| Metals                   |       | 3,059,157                  |        | 0.29                             | %          | 9,249,917                  |       | 742,261                   |       |
| Agricultural Commodities |       | 1,945,839                  |        | 0.19                             | %          | 4,518,867                  |       | 191,779                   |       |
| Energy                   |       | 2,817,055                  |        | 0.27                             | %          | 8,262,234                  |       | 316,632                   |       |
|                     |       |                       |        |                             |       |                       |       |                      |       |
|  TOTAL              |       | $                          | 142,424,841 |                             | 13.56      | %                          | $          | 291,903,384               |       | $ | 18,801,357 |   |

 

Material Limitations on Value at Risk as an Assessment of Market Risk

 

The face value of the market sector instruments heldby the Partnership and the Portfolio Funds are typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Partnership and the PortfolioFunds.  The magnitude of the Partnership’sand the Portfolio Funds’ open positions creates a “risk of ruin” not typicallyfound in most other investment vehicles. Because of the size of their positions, certain market conditions —unusual, but historically recurring from time to time — could cause thePartnership and the Portfolio Funds to incur severe losses over a short periodof time.  Even comparatively minor lossescould cause MLAI to further deleverage or terminate the Partnership’s and thePortfolio Funds’ trading.  The foregoingValue at Risk table — as well as the past performance of the Partnership andthe Portfolio Funds — give no indication of this “risk of ruin.”

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Portfolio Funds have non-trading market risk onits foreign cash balances not needed for margin. These balances (as well as themarket risk they represent) are generally immaterial.

 

The Portfolio Funds also have non-trading market riskon the approximately 90-95% of its assets which are held in cash atMLPF&S.  The value of this cash isnot interest rate sensitive, but there is cash flow risk in that if interestrates decline so will the cash flow generated on these monies.  This cash flow risk is generally immaterial.

 

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**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

 

The following qualitative disclosures regarding thePartnership’s market risk exposures through the Portfolio Funds after thechange in structure— except for (i) those disclosures that are statementsof historical fact and (ii) the descriptions of how the Partnershipmanages its primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act.  ThePartnership’s primary market risk exposures as well as the strategies used andto be used by MLAI and the trading advisors of the Portfolio Funds for managingsuch exposures are subject to numerous uncertainties, contingencies and risks,any one of which could cause the actual results of the risk controls for thePartnership and for the trading conducted through  Portfolio Funds to differ materially from theobjectives of such strategies. Government interventions, defaults and expropriations, illiquid markets,the emergence of dominant fundamental factors, political upheavals, changes inhistorical price relationships, an influx of new market participants, increasedregulation and many other factors could result in material losses as well as inmaterial changes to the risk exposures and the risk management strategies ofthe Partnership.  There can be noassurance that the Partnership’s risk management strategies will not changematerially or that any such strategies will be effective in either the short-or long-term.  Investors must be preparedto lose all or substantially all of the value of their investment in the Partnership.

 

**QualitativeDisclosures Regarding Means of Managing Risk Exposure**

 

#### Trading Risk

 

MLAI has procedures in place intended to controlmarket risk, although there can be no assurance that they will, in fact,succeed in doing so.  While MLAI does notintervene in the markets to hedge or diversify the Partnership’s marketexposure; MLAI may urge the Portfolio Funds to reallocate positions in anattempt to avoid over-concentrations. However, such interventions are unusual. Except in cases in which it appears that the Portfolio Funds has begunto deviate from past practice and trading policies or to be tradingerratically, MLAI basic risk control procedures consist simply of the ongoingprocess of monitoring the Portfolio Funds with the market risk controls beingapplied by the Portfolio Funds.

 

**RiskManagement**

 

Portfolio Funds attempt to control risk in all aspectsof the investment process — from confirmation of a trend to determining theoptimal exposure in a given market, and to money management issues such as thestartup or upgrade of investor accounts. Portfolio Funds double check the accuracy of market data, and will nottrade a market without multiple price sources for analytical input.  In constructing a portfolio, Portfolio Fundsseek to control overall risk as well as the risk of any one position, andPortfolio Funds trade only markets that have been identified as having positiveperformance characteristics.  Tradingdiscipline requires plans for the exit of a market as well as for entry.  Portfolio Funds factor the point of exit intothe decision to enter (stop loss).  Thesize of Portfolio Fund’s positions in a particular market is not a matter ofhow large a return can be generated but of how much risk it is willing to takerelative to that expected return.

 

To attempt to reduce the risk of volatility whilemaintaining the potential for excellent performance, proprietary research isconducted on an ongoing basis to refine the Portfolio Funds investmentstrategies.  Research may suggestsubstitution of alternative investment methodologies with respect to particularcontracts; this may occur, for example, when the testing of a new methodologyhas indicated that its use might have resulted in different historicalperformance.  In addition, risk managementresearch and analysis may suggest modifications regarding the relativeweighting among various contracts, the addition or deletion of particularcontracts for a program, or a change in position size in relation to accountequity.  The weighting of capitalcommitted to various markets in the investment programs is dynamic, andPortfolio Funds may vary the weighting at its discretion as market conditions,liquidity, position limit considerations and other factors warrant.

 

Portfolio Funds may determine that risks arise whenmarkets are illiquid or erratic, which may occur cyclically during holidayseasons, or on the basis of irregularly occurring market events.  In such cases, Portfolio Funds at its solediscretion may override computer-generated signals and may at times usediscretion in the application of its quantitative models, which may affectperformance positively or negatively.

 

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Adjustments in positionsize in relation to account equity have been and continue to be an integralpart of Portfolio Fund’s investment strategy. At its discretion, Portfolio Funds may adjust the size of a position inrelation to equity in certain markets or entire programs.  Such adjustments may be made at certain timesfor some programs but not for others. Factors which may affect the decision to adjust the size of a positionin relation to account equity include ongoing research, program volatility, assessmentsof current market volatility and risk exposure, subjective judgment, andevaluation of these and other general market conditions.

 

## Non-Trading Risk

 

The Partnership and thePortfolio Funds control the non-trading exchange rate risk by regularly convertingforeign currency balances back into U.S. dollars at least once per week andmore frequently if a particular foreign currency balance becomes unusuallyhigh.

 

The Partnership and the Portfolio Funds have cash flowinterest rate risk on its cash on deposit with MLPF&S in that declininginterest rates would cause the income from such cash to decline.  However, a certain amount of cash or cashequivalents must be held by the Partnership in order to facilitate marginpayments and pay expenses and redemptions. MLAI does not take any steps to limit the cash flow risk on the cashheld on deposit at MLPF&S.

 

**Item 8:****          FinancialStatements and Supplementary Data**

 

Net Income (Loss)by Quarter

Eight Quartersthrough December 31, 2007

 
| ** **                                   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** **  | **First**   | ** ** |
|----------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|-------------|-------------|------------|
| ** **                                   | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** **  | **Quarter** | ** ** |
| ** **                                   | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2006**    | ** ** | **2006**    | ** ** | **2006**    | ** **  | **2006**    | ** ** |
| Total Income  (Loss)                         |       | $           | 30,759,559 |        | $          | (17,264,505 | )          | $           | 29,143,149 |        | $          | (77,996,427 | )          | $           | (60,502,970 | )           | $          | 22,995,154 |   | $ | 12,921,825 |   | $ | (69,993,662 | ) |
| Total Expenses  (i)                          |       | 4,288,906   |       | 4,246,211   |       | 7,086,767   |       | 10,694,326  |       | 14,189,224  |       | 15,914,098  |       | 18,302,296  |        | 17,760,354  |       |
| Net Income (Loss)                            |       | $           | 26,470,653 |        | $          | (21,510,716 | )          | $           | 22,056,382 |        | $          | (88,690,753 | )          | $           | (74,692,194 | )           | $          | 7,081,056 |   | $ | (5,380,471 | ) | $ | (87,754,016 | ) |
|                                         |       |        |       |        |       |        |       |        |       |        |       |        |       |        |        |        |       |
| Net Income (Loss)  per weighted average Unit |       | $           | 10.56      |        | $          | (7.63       | )          | $           | 6.73       |        | $          | (20.71      | )          | $           | (14.76      | )           | $          | 1.28 |   | $ | (0.89 | ) | $ | (14.48 | ) |

 

----

(i) Includes Minority Interest through May 31, 2007.

 

The financial statements required by this Item areincluded in Exhibit 13.01.

 

The supplementary financial information (“informationabout oil and gas producing activities”) specified by Item 302(b) ofRegulation S-K is not applicable.

 

**Item 9:****          Changesin and Disagreements with Accountants on Accounting and Financial Disclosure**

 

There were no changes in or disagreements with theindependent registered public accounting firm on accounting and financialdisclosure.

 

**Item 9A(T):****Controls and Procedures**

 

MLAI’s Chief Executive Officer and the ChiefFinancial Officer, on behalf of the Fund, has evaluated the effectiveness ofthe design and operation of its disclosure controls and procedures with respectto the Fund as of and for the year which ended December 31, 2007, and,based on its evaluation, has concluded that these disclosure controls andprocedures are effective. Additionally, there were no significant changes inthe Fund’s internal controls over financial reporting which materially affectsuch internal control.

 

27

----

 

*Changes in Internal Control over Financial Reporting*

 

Nochange in internal control over financial reporting (as defined in Rule 13a-15(f) underthe Exchange Act ) occurred during year ended December 31, 2007 that hasmaterially affected, or is reasonable likely to materially affect, the Fund’sinternal control, over financial reporting.

 

*Management’s Report on Internal Control over FinancialReporting:*

 

The Fund’s management is responsible for establishingand maintaining adequate internal control over financial reporting.  TheFund’s internal control over financial reporting is a process designed underthe supervision of MLAI’s Chief Executive Officer and the Chief FinancialOfficer, on behalf of the Fund and is effected by management, other personneland service providers to provide reasonable assurance regarding the reliabilityof financial reporting and the preparation of financial statements for externalpurposes in accordance with generally accepted accounting principles andincluded those policy and procedures that:

 

·                                          Pertain to the maintenance of records that inreasonable detail accurately and fairly reflect the transactions anddispositions of the assets of the Fund.

 

·                                          Provide reasonable assurance thattransactions are recorded as necessary to permit preparation of financialstatements in accordance with generally accepted accounting principles, andthat  receipts and expenditures of the Fund are being made only inaccordance with authorizations of management and directors of the Fund; and

 

·                                          Provide reasonable assurance regardingprevention or timely detection of unauthorized acquisitions, use or dispositionof the Fund’s assets that could have a material effect on the financialstatements.

 

Because of its inherent limitations, internalcontrol over financial reporting can only provide only reasonable assurancewith respect to financial statement preparation and presentation. Projections of any evaluation of effectiveness to future periods are subject tothe risks that controls may become inadequate because of changes in condition,or that the degree of compliance with the policies or procedures maydeteriorate.

 

The Fund’s management assessed the effectiveness ofthe Funds’ internal control over financial reporting as December 31,2007.  In making this assessment, management used the criteria set forthby the Committee of Sponsoring Organizations of the Treadway Commission (COSO)in “Internal Control-Integrated Framework”.

 

Based on its assessment the Fund’s managementconcluded that at December 31, 2007, the Fund’s internal control overfinancial report was effective.

 

**Item 9B:   OtherInformation**

 

Not Applicable

 

28

----

 

**PART III**

 

**Item 10: Directors, Executive Officers  and Corporate Governance**

 

10(a) and 10(b)                 Identification of Directors andExecutive Officers:

 

ThePartnership has noofficers or directors and is managed by MLAI.

 

The managers andexecutive officers of MLAI and their respective business backgrounds are asfollows:

 
| **Paul Morton**      | Chief Executive  Officer, President and Manager |
|----------------------|-------------------------------------------------|
|                 |                                            |
| **Barbra E. Kocsis** | Chief Financial Officer                         |
|                 |                                            |
| **Steven B. Olgin**  | Vice President and  Manager                     |
|                 |                                            |
| **Thomas W. Lee**    | Vice President and  Manager                     |
|                 |                                            |
| **Shawn T. Wells**   | Vice President                                  |

 

Paul Morton is the ChiefExecutive Officer, President and Manager of MLAI, and also serves as the COOfor the Global Investment and Insurance Solutions (GIIS) group for MerrillLynch.  As COO of GIIS, Mr. Mortonleads the market investments business within the group, which includessecondary equity, debt, listed options, futures and FX for Merrill Lynch’sGlobal Wealth Management division.  Priorto serving as COO of GIIS, Mr. Morton worked in the equity and debttrading management of Merrill Lynch. Prior to joining Merrill Lynch in 1996, Mr. Mortonworked in the equity derivatives at Paine Webber.  From 1988-1993, Mr. Morton served as anofficer in the US Army for five years.  Mr. Mortonholds a BS (Aerospace Engineering) from the United States Military Academy atWest Point (1988) and a MBA (Finance) from the Wharton School at the Universityof Pennsylvania (1995).

 

Barbra E. Kocsis is the Chief FinancialOfficer for MLAI. She is also a Director within the Merrill Lynch GlobalPrivate Client Global Infrastructure Solutions group. Prior to that, she wasthe Fund Controller of MLAI. Before coming to MLAI, Ms Kocsis held variousaccounting and tax positions at Derivatives Portfolio Management LLC from May 1992until May 1999, at which time she held the position of accountingdirector. Prior to that, she was an associate at Coopers & Lybrand inboth the audit and tax practices. She graduated cum laude from Monmouth Collegein 1988 with a Bachelor of Science in Business Administration – Accounting andis a Certified Public Accountant.

 

Steven B. Olgin is a Vice President and a Manager ofthe Manager, is registered with NFA as a principal of the Manager and is aManaging Director of Merrill Lynch Global Private Client (“GPC”).  Before joining the Manager in 1994, Mr. Olginwas an associate of the law firm of Sidley & Austin, from 1986 until1994.  Mr. Olgin graduated from TheAmerican University with a Bachelor of Science in Business Administration and aBachelor of Arts in Economics, and received his Juris Doctor from The JohnMarshall Law School.  Mr. Olgin wasa member of the Managed Funds Association’s Government Relations Committee andhas served as an arbitrator for NFA.

 

Thomas W. Lee**is a ManagingDirector in Merrill Lynch’s Market Investments and Origination Group,responsible for Global Private Client’s equity and debt new issue businesses,and is a Vice President and Manager of the Manager, and his registration as aprincipal of the Manager is pending with NFA. Prior to joining Merrill Lynch in 1998, Mr. Lee was a corporatesecurities attorney at the law firm of Brown & Wood.  Mr. Lee received his J.D. from EmoryUniversity School of Law and a B.S. from Cornell University.

 

*Shawn Wells**is a Vice President of the Manager and GeneralCounsel, a position he has held since October 2005.  Prior to that time, Mr. Wells served asSenior Associate General Counsel at Franklin Templeton Investments, serving asChief Counsel of the firm’s International and Alternative Strategies divisionsfrom October 1996 to December 1997 and again from September 1998to October 2005.  Mr. Wells is aCertified Public Accountant, and*

* *

*29*

----

* *

*received a BBA in Finance andAccounting from the University of Texas at Austin, and his JD from SouthernMethodist University, where he was an editor of the SMU Law Review.*

 

As of December 31, 2007, theprincipals of MLAI had no investment in the Partnership, and MLAI’s generalpartner interest in the Partnership was valued at $6,943,734.

 

MLAI acts as thesponsor, general partner or manager to ten public futures funds whose units oflimited partner or member interests are registered under the SecuritiesExchange Act of 1934: ML Select Futures I L.P., ML APM Global Commodity FuturesAccess LLC, ML Appleton FuturesAccessLLC, ML Aspect FuturesAccess LLC, ML Cornerstone FuturesAccess LLC, ML WintonFuturesAccess LLC, ML Chesapeake FuturesAccess LLC, ML Systematic MomentumFuturesAccess LLC, ML Transtrend DTP Enhanced FutresAccess LLC and thePartnership. Because MLAI serves as the sponsor, general partner or manager ofeach of these funds, the officers and managers of MLAI effectively manage themas officers and directors of such funds.

 

(c)                                  Identificationof Certain Significant Employees:

 

None.

 

(d)                                 FamilyRelationships:

 

None.

 

(e)                                  BusinessExperience:

 

See Item 10(a) and(b) above.

 

(f)                                    Involvementin Certain Legal Proceedings:

 

None.

 

(g)                                 Promotersand Control Persons:

 

Not applicable.

 

Code of Ethics:

 

MLAI and Merrill Lynchhave adopted a code of ethics, as of the end of the period covered by thisreport, which applies to the Partnership’s (MLAI’s) principal executive officerand principal financial officer or persons performing similar functions onbehalf of the Partnership.  A copy of thecode of ethics is available to any person, without charge, upon request bycalling 1-866-MER-ALTS.

 

NominatingCommittee:

 

Not applicable.  (Neither the Partnership nor MLAI has anaudit committee.)

 

AuditCommittee: Audit Committee Financial Expert:

 

Not applicable. (Neitherthe Partnership nor MLAI has an audit committee.) There are no listed shares of the Partnership or MLAI.

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Not applicable.

 

30

----

 

**Item 11:  ExecutiveCompensation**

 

The officers of MLAI are remunerated by  in their respective positions.  The Partnership does not   have any officers, directors oremployees.  The Partnership paysBrokerage Commissions to an affiliate of MLAI and Administrative Fees toMLAI.  MLAI or its affiliates may alsoreceive certain economic benefits from holding certain of the Partnership’sU.S. dollar Available Assets in offset accounts, as described in Item 1(c) above.The managers and officers receive no “other compensation” from the Partnership,and the managers receive no compensation for serving as managers of MLAI.  There are no compensation plans orarrangements relating to a change in control of either the Partnership or MLAI.

 

**Item 12:  SecurityOwnership of Certain Beneficial Owners and Management and Related StockholderMatters**

 

(a)                                  SecurityOwnership of Certain Beneficial Owners:

 
| **Title  of class  Percent of class**             | ** ** | **Name of beneficial owner**         | ** ** | **Amount and nature of  beneficial ownership** | ** ** |
|---------------------------------------------------|------------|--------------------------------------|------------|------------------------------------------------|------------|
|                                              |       |                                 |       |                                           |       |
| Units of Limited Liability Company Interest 6.08% |       | ML Trend-Following Futures Fund Ltd. |       | 142,777 Units                                  |       |

 

(b)                                 SecurityOwnership of Management:

 

As of December 31, 2007, MLAI owned 42,282Unit-equivalent general partnership interests, which was 1.88% of the totalUnits outstanding.

 

(c)                                  Changesin Control:

 

None.

 

(d)                                 SecuritiesAuthorized for Issuance Under Equity Compensation Plans:

 

Not applicable.

 

**Item 13:  CertainRelationships and Related Transactions**

 

(a)                                  Transactionsbetween Merrill Lynch and the Partnership

 

All of the service providers to the Partnership areaffiliates of Merrill Lynch.   However,none of the fees paid by the Partnership to any Merrill Lynch party werenegotiated, and they are higher than would have been obtained in arm’s-lengthbargaining.

 

The Partnership pays indirectly Merrill Lynch through MLPF&S andMLAI substantial Brokerage Commissions and Administrative Fees, respectively,as well as bid-ask spreads on forward currency trades.  The Partnership also pays MLPF&S intereston short-term loans extended by MLPF&S to cover losses on foreign currencypositions.

 

Within the Merrill Lynch organization, MLAI is thedirect beneficiary of the revenues received by different Merrill Lynch entitiesfrom the Partnership.  MLAI controls themanagement of the Partnership and serves as its promoter. Although MLAI has notsold any assets, directly or indirectly, to the Partnership, MLAI makessubstantial profits from the Partnership due to the foregoing revenues.

 

No loans have been, areor will be outstanding between MLAI or any of its principals and thePartnership.

 

MLAI pays substantial selling commissions and trailingcommissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for theseexpenditures from the revenues it receives from the Partnership.

 

(b)                                 CertainBusiness Relationships:

 

MLPF&S, an affiliateof MLAI, acts as the principal commodity broker for the Partnership.

 

31

----

 

In 2007, the Partnership expensed:  (i) Brokerage Commissions of $15,400,942to the Commodity Broker, which included $5,339,810 in Consulting Fees paid bythe Commodity Broker to JWH®; and (ii) Administrative Fees of $711,273 toMLAI.  In addition, MLAI and itsaffiliates derived certain economic benefit from possession of the Partnership’sassets, as well as from foreign exchange and EFP trading.

 

See Item 1(c), “Narrative Description of Business — Charges”and “— Description of Current Charges” for a discussion of other businessdealings between MLAI affiliates and the Partnership.

 

(c)                                  Indebtednessof Management:

 

The Partnership isprohibited from making any loans, to management or otherwise.

 

(d)                                 Transactionswith Promoters:

 

Not applicable.

 

**Item 14: Principal Accountant Fees and Services**

 

(a)                                  AuditFees

 

Aggregate fees billed forprofessional services rendered by Deloitte & Touche LLP in connectionwith the audit of the Partnership’s financial statements as of and for theyears ended December 31, 2007 and 2006 were $85,000 and $74,857.

 

(b)                                 Audit-RelatedFees

 

There were noother audit-related fees billed for the years ended December 31, 2007 and2006 related to the Partnership.

 

(c)                                  TaxFees

 

Aggregate feesbilled for professional services rendered by Deloitte Tax LLP in connectionwith the tax compliance, advice and preparation of the Partnerships’ taxreturns for the years ended December 31, 2007 and 2006 were $106,000 and$153,000.

 

(d)                                 AllOther Fees

 

No fees were paidto Deloitte and Touche LLP or Deloitte Tax LLP during the years ended December 31,2007 and 2006 for any other professional services in relation to thePartnership.

 

Neither the Partnershipnor MLAI has an audit committee to pre-approve principal accountant fees andservices. In lieu of an audit committee, the managers and the principalfinancial officer pre-approve all billings prior to the commencement ofservices.

 

32

----

 

**PART IV**

 

**Item 15:  Exhibitsand Financial Statement Schedules**

 
| ** ** | ** **                                                                                                  | **Page** |
|------------|-------------------------------------------------------------------------------------------------------------|----------|
| 1.         | Financial Statements:                                                                                  |     |   |
|       |                                                                                                        |     |   |
|       | 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 |

 

2.                                       FinancialStatement Schedules:

 

Financial statementschedules not included in this Form 10-K have been omitted for the reasonthat they are not required or are not applicable or that equivalent informationhas been included in the financial statements or notes thereto.

 

3.                                       Exhibits:

 

The following exhibitsare incorporated by reference or are filed herewith to this Annual Report on Form 10-K:

 
| **Designation:**      | ** ** | **Description**                                                                                                                                                                                                                                                                                     |
|-----------------------|------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                  |       |                                                                                                                                                                                                                                                                                                |
| 1.01                  |       | Form of  Selling Agreement among the Registrant, MLAI, MLPF&S and JWH®.                                                                                                                                                                                                               |
|                  |       |                                                                                                                                                                                                                                                                                                |
| Exhibit 1.01:    |       | Is incorporated  herein by reference from Exhibit 1.01 contained in Amendment No. 2  to the Registration Statement (File No. 33-80509) filed on  April 23, 1996, on Form S-1 under the Securities Act of 1933 (the  “Registrant’s Registration Statement”). |
|                  |       |                                                                                                                                                                                                                                                                                                |
| 3.01(i)               |       | Certificate of  Limited Partnership of the Registrant.                                                                                                                                                                                                                                              |
|                  |       |                                                                                                                                                                                                                                                                                                |
| Exhibit 3.01(i): |       | Is incorporated  herein by reference from Exhibit 3.01 contained in the Registrant’s  Registration Statement.                                                                                                                                                                             |
|                  |       |                                                                                                                                                                                                                                                                                                |
| 10.01                 |       | Form of Joint Venture Agreement among the  Registrant, MLAI, MLPF&S and JWH®.                                                                                                                                                                                                         |
|                  |       |                                                                                                                                                                                                                                                                                                |
| Exhibit 10.01:   |       | Is incorporated  herein by reference from Exhibit 10.01 contained in the Registrant’s  Registration Statement.                                                                                                                                                                            |
|                  |       |                                                                                                                                                                                                                                                                                                |
| 10.02                 |       | Form of Customer Agreement between the  Registrant’s joint venture with JWH® and MLPF&S.                                                                                                                                                                                         |
|                  |       |                                                                                                                                                                                                                                                                                                |
| Exhibit 10.02:   |       | Is incorporated  herein by reference from Exhibit 10.02 contained in the Registrant’s Registration  Statement.                                                                                                                                                                            |

 

33

----

 
| 10.03                     |   | Foreign Exchange  Desk Service Agreement among Merrill Lynch Investment Bank, MLAI, MLPF&S  and the Partnership.                                                                                                                                       |
|---------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.03:       |   | Is incorporated  herein by reference from Exhibit 10.03 contained in the Registrant’s  Registration Statement.                                                                                                                                   |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.04                     |   | Joint Venture Agreement Amendment among JWH® and the  Partnership.                                                                                                                                                                                    |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.04:       |   | Is incorporated herein by reference from  Exhibit 10.04 contained in the Registrant’s Form 10-K for the  fiscal year ended December 31, 2001, filed on March 30, 2002.                                                            |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.05                     |   | Form of  Subscription Agreement and Power of Attorney (included as Exhibit C to  the Prospectus).                                                                                                                                                |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.05:       |   | Is incorporated  herein by reference from Exhibit 10.05 contained in the Registrant’s  Registration Statement.                                                                                                                                   |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.06                     |   | Form of Investment Advisory Contract among the  Registrant’s joint venture with JWH®, MLAI, and MLPF&S.                                                                                                                                 |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.06:       |   | Is incorporated  herein by reference from Exhibit 10.06 contained in the Registrant’s  Registration Statement.                                                                                                                                   |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.07                     |   | Form of  Custody Agreement among the Registrant’s joint venture with JWH® and  MLPF&S.                                                                                                                                                  |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.07:       |   | Is incorporated  herein by reference from Exhibit 10.07 contained in the Registrant’s  Registration Statement.                                                                                                                                   |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.08                     |   | Form of Limited Liability Company Operating  Agreement.                                                                                                                                                                                               |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.08:       |   | Is incorporated  herein by reference from Exhibit 10.08 contained in the Registrant’s  Form 10-K, for the fiscal year ended December 31, 1997, filed March 30,  1998.                                                             |
|                      |   |                                                                                                                                                                                                                                                       |
| 10.09                     |   | Form of  Amendatory Agreement.                                                                                                                                                                                                                        |
|                      |   |                                                                                                                                                                                                                                                       |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 10.09:       |   | Is incorporated  herein by reference from Exhibit 10.09 contained in the Registrant’s  Registration Statement.                                                                                                                                   |
|                      |   |                                                                                                                                                                                                                                                       |
| 13.01                     |   | 2007 Annual  Report and Report of Independent Registered Public Accounting Firm.                                                                                                                                                                           |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 13.01:       |   | Is filed  herewith.                                                                                                                                                                                                                                        |
|                      |   |                                                                                                                                                                                                                                                       |
| 28.01                     |   | Prospectus of  the Partnership dated March 31, 2007.                                                                                                                                                                                                  |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibit 28.01:       |   | Is incorporated  herein by reference as filed with the Securities and Exchange Commission  pursuant to Rule 424 under the Securities Act of 1933, Registration  Statement (File No. 333-80509) on Form S-1, effective  March 31, 2003. |
|                      |   |                                                                                                                                                                                                                                                       |
| 31.01 and 31.02           |   | Rule 13a-14(a)/15d-14(a) Certifications.                                                                                                                                                                                                         |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibits 31.01 and  31.02 |   | Are filed herewith.                                                                                                                                                                                                                                        |
|                      |   |                                                                                                                                                                                                                                                       |
| 32.01 and 32.02           |   | Section 1350  Certifications.                                                                                                                                                                                                                         |
|                      |   |                                                                                                                                                                                                                                                       |
| Exhibits 32.01 and  32.02 |   | Are filed herewith.                                                                                                                                                                                                                                        |

 

34

----

 

SIGNATURES

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, the Registrant has duly caused this reportto be signed on its behalf by the undersigned, thereunto duly authorized.

 

**ML TREND-FOLLOWING FUTURES FUNDL.P.**

 
| By:                                             | **MERRILL  LYNCH ALTERNATIVE INVESTMENTS LLC   MANAGER** |   |
|-------------------------------------------------|---------------------------------------------------------------|--------|
|                                            | ** **                                                    |   |
| By:                                             | /s/ Paul Morton                                               |   |
| Paul Morton                                     |                                                          |
| Chief Executive  Officer, President and Manager |                                                          |
| (Principal  Executive Officer)                  |                                                          |
|                                                 |                                                               |        |  |

 

 

Pursuant to the requirements of Section 13 or 15(d) ofthe Securities Exchange Act of 1934, this report has been signed on March 31,2008 by the following persons on behalf of the Registrant and in the capacitiesindicated.

 
| **Signature**        | ** ** | **Title**                                      | ** ** | **Date**             |
|----------------------|------------|------------------------------------------------|------------|----------------------|
|                 |       |                                           |       |                 |
| /s/ Paul Morton      |       | Chief Executive  Officer, President and Manger |       | March 31,  2008 |
| Paul Morton          |       |                                           |       |                 |
|                 |       |                                           |       |                 |
| /s/ Barbra E. Kocsis |       | Chief Financial  Officer                       |       | March 31,  2008 |
| Barbra E. Kocsis     |       |                                           |       |                 |
|                 |       |                                           |       |                 |
| /s/ Steven B.  Olgin |       | Vice President  and Manager                    |       | March 31,  2008 |
| Steven B. Olgin      |       |                                           |       |                 |
|                 |       |                                           |       |                 |
| /s/ Thomas W.  Lee   |       | Vice President  and Manager                    |       | March 31,  2008 |
| Thomas W. Lee        |       |                                           |       |                 |
|                 |       |                                           |       |                 |
| /s/ Shawn T.  Wells  |       | Vice President                                 |       | March 31,  2008 |
| Shawn T. Wells       |       |                                           |       |                 |

 

(Being the principal executive officer, the principalfinancial and accounting officer and a majority of the managers of MerrillLynch Alternative Investments LLC)

 

----

 

**ML TREND-FOLLOWING FUTURES FUNDL.P.**

 

2007 FORM 10-K

 

INDEX TO EXHIBITS

 
| ** **         | ** ** | **Exhibit**                                                                      |
|--------------------|------------|----------------------------------------------------------------------------------|
|               |       |                                                                             |
| Exhibit 13.01 |       | 2007 Annual Report and Report of Independent  Registered Public Accounting Firm. |
|               |       |                                                                             |
| 31.01 and 31.02    |       | Rule 13a-14(a)/15d-14(a) Certifications                                          |
|               |       |                                                                             |
| 32.01 and 32.02    |       | Section 1350 Certifications                                                      |

 

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