**UNITED STATES**

**SECURITIES AND EXCHANGECOMMISSION**

**Washington, D.C.  20549**

 

**FORM 10-K**

 
| **x**                                                  | **Annual Report Pursuant to Section 13 or  15(d) of the Securities Exchange Act of 1934**          |
|--------------------------------------------------------|---------------------------------------------------------------------------------------------------------|
| ** **                                             | ** **                                                                                              |
| **For the fiscal year ended: December 31,  2009** |
| ** **                                             |
| **or**                                                 |
| ** **                                             | ** **                                                                                              |
| **o**                                                  | **Transition Report Pursuant to Section 13 or  15(d) of the Securities Exchange Act of 1934** |

 

**Commission file 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 |       | (I.R.S. Employer    |
| incorporation or organization)  |       | Identification No.) |

 

**c/oMerrill Lynch Alternative Investments LLC**

**FourWorld Financial Center, 6****th**** Floor**

**250 VeseyStreet**

**New York, New York 10080**

(Address of principal executive offices)

(Zip Code)

 

**212-449-3517**

(Registrant’s telephone number, including area code)

 

Securities registeredpursuant to Section 12(b) of the Act:  **None**

 

Securities registeredpursuant to Section 12(g) of the 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 checkmark whether the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 duringthe preceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.  Yes x  No o

 

Indicate by check markwhether the registrant has submitted electronically and posted on its corporateWeb site, if any, every Interactive Data File required to be submitted andposted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter)during the preceding 12 months (or for such shorter period that the registrantwas required to submit and post such files). Yes o  No o

 

Indicate by checkmark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-Kis not contained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part III of this Form 10-K or any amendment to this Form 10-K. x

 

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

 

| Large accelerated filer o                |   | Accelerated filer o       |
|-----------------------------------------------|--------|--------------------------------|
|                                          |   |                           |
| Non-accelerated filer x                  |   | Small reporting company o |
| (Do not check if a smaller reporting company) |   |                           |

 

Indicate by checkmark whether the registrant is a shell company (as defined by Rule 12b-2of the Act).  Yes o  No x

 

The Units of thelimited liability company interest of the registrant are not publicly traded.Accordingly, there is no aggregate market value for the registrant’s outstandingequity that is readily determinable

 

As of February 28,2010, limited partnership units with a Net Asset Value of $240,344,792 wereheld by non-affiliates.

 

**DocumentsIncorporated by Reference**

 

The registrant’s 2009 Annual Report and Reports of IndependentRegistered Public Accounting Firms, the annual report to security holders forthe fiscal year ended December 31, 2009, is incorporated by reference intoPart 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 2009 ONFORM 10-K

 

Table of Contents

 
| ** **    | ** **                                                                                                          | ** ** | **PAGE** |
|---------------|---------------------------------------------------------------------------------------------------------------------|------------|----------|
| PART I        |
|          |                                                                                                                |       |     |
| Item 1.       | Business                                                                                                            |       | 1        |
|          |                                                                                                                |       |     |
| Item 1A.      | Risk Factors                                                                                                        |       | 10       |
|          |                                                                                                                |       |     |
| Item 1B.      | Unresolved Staff  Comments                                                                                          |       | 12       |
|          |                                                                                                                |       |     |
| Item 2.       | Properties                                                                                                          |       | 12       |
|          |                                                                                                                |       |     |
| Item 3.       | Legal  Proceedings                                                                                                  |       | 12       |
|          |                                                                                                                |       |     |
| Item 4.       | Reserved                                                                                                            |       | 12       |
|          |                                                                                                                |       |     |
| PART II  |
|          |                                                                                                                |       |     |
| Item 5.       | Market for Registrant’s  Common Equity, Related Stockholder Matters and Issuer Purchases of Equity  Securities |       | 12       |
|          |                                                                                                                |       |     |
| Item 6.       | Selected  Financial Data                                                                                            |       | 14       |
|          |                                                                                                                |       |     |
| Item 7.       | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         |       | 16       |
|          |                                                                                                                |       |     |
| Item 7A.      | Quantitative and  Qualitative Disclosures about Market Risks                                                        |       | 25       |
|          |                                                                                                                |       |     |
| Item 8.       | Financial  Statements and Supplementary Data                                                                        |       | 30       |
|          |                                                                                                                |       |     |
| Item 9.       | Changes in and  Disagreements with Accountants on Accounting and Financial Disclosure                               |       | 30       |
|          |                                                                                                                |       |     |
| Item 9A(T).   | Controls and  Procedures                                                                                            |       | 31       |
|          |                                                                                                                |       |     |
| Item 9B.      | Other Information                                                                                                   |       | 31       |
|          |                                                                                                                |       |     |
| PART III |
|          |                                                                                                                |       |     |
| Item 10.      | Directors and  Executive Officers and Corporate Governance                                                          |       | 32       |
|          |                                                                                                                |       |     |
| Item 11.      | Executive  Compensation                                                                                             |       | 33       |
|          |                                                                                                                |       |     |
| Item 12.      | Security Ownership of  Certain Beneficial Owners and Management and Related Stockholder Matters                     |       | 34       |
|          |                                                                                                                |       |     |
| Item 13.      | Certain  Relationships and Related Transactions and Director Independence                                           |       | 34       |
|          |                                                                                                                |       |     |
| Item 14.      | Principal  Accountant Fees and Services                                                                             |       | 35       |
|          |                                                                                                                |       |     |
| PART IV  |
|          |                                                                                                                |       |     |
| Item 15.      | Exhibits and  Financial Statement Schedules                                                                         |       | 36       |

 

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**PART I**

 

**Item 1: Business**

 

(a)           General Development of Business:

 

ML Trend-FollowingFutures 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”). MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated **(“**MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Partnership’s commodity broker**.** The PortfolioFunds are a group of commodity pools sponsored by MLAI, each of which placessubstantially all of its assets in a managed futures and forward tradingaccount managed by a single commodity trading advisor.  Each of the Portfolio Funds implements adifferent trading strategy.

 

On April 20,2007, MLAI issued an announcement regarding a restructuring of thePartnership.  Effective June 1,2007, as part of the restructuring the following occurred:

 

·      ThePartnership changed its name to ML Trend-Following Futures Fund L.P.

 

·      ThePartnership’s assets were reinvested in MLAI-sponsored Portfolio Funds: MLAspect FuturesAccess LLC (“Aspect”), ML Chesapeake FuturesAccess LLC (“Chesapeake”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”) and ML WintonFuturesAccess LLC (“Winton”).  ThesePortfolio Funds employ a variety of systematic models with an emphasis on astyle of investment commonly referred to as “diversified trend following”.During 2007 the Partnership discontinued the services of John W. Henry &Company, Inc. (“JWH®”) as the commodity trading advisor.

 

On September 15,2008, Merrill Lynch (or the “Company”) entered into an Agreement and Plan ofMerger (as amended by Amendment No. 1 dated as of October 21, 2008,the “Merger Agreement”) with Bank of America Corporation (“Bank of America”).Pursuant to the Merger Agreement, on January 1, 2009, a wholly-ownedsubsidiary of Bank of America (“Merger Sub”) merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America (the “Merger”).

 

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.

 

The Partnershipcalculates the Net Asset Value per Unit of each class of Units as of the closeof business on the last business day of each calendar month and such otherdates as MLAI may determine in its discretion. The Partnership’s “Net Asset Value” as of any calculation date willgenerally equal the value of the Partnership’s investments in the underlyingfunds as of such date**,** plus anyother assets held by the Partnership, minus accrued brokerage commissions,sponsor’s, management and performance fees, organizational expense amortizationand any operating costs and other liabilities of the Partnership.  MLAI is authorized to make all net assetvalue determinations.

 

As of December 31,2009, the aggregate Net Asset Value of the Partnership was $251,923,917, andthe Net Asset Value per Unit, originally $100 as of July 15, 1996, hadrisen to $175.91.

 

Through December 31, 2009, the highest month-endNet Asset Value per Unit was $272.23 (May 31, 2003) and the lowest $98.89(August 31, 1996).

 

1

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(b)           Financial Information 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 Partnershiptrades in the forwards and futures markets with the objective of achievingsubstantial capital appreciation.

 

The investment objectiveof the Partnership is to achieve superior risk-adjusted rates of return througha “single strategy-type” fund of funds approach focusing on, but not limitedto, trend-following managed futures strategies. Under the direction of MLAI,the Partnership will seek to achieve this objective by allocating its capitalamong a group of Portfolio Funds managed by the Portfolio Funds’ respectiveTrading Advisors (“Trading Advisors”) which, MLAI believes, collectively havethe ability to achieve substantial capital appreciation with controlledperformance volatility and draw downs.

 

Systematic tradinggenerally assumes that a disciplined quantitative analysis of historical andcontemporaneous market information without discretionary decision making canenable a trader to forecast price action in term of trends or other marketdynamics and to take positions designed to profit from it. These systems canincur substantial losses when the market significantly deviates from its usualhistorical patterns, e.g.**whenweather-related catastrophes, international political disruptions, andunanticipated supply/demand imbalances unexpectedly dominate the market.Systematic trading systems share basic similarities, although the models whichthey apply to historical price data differ. Such similarities imply that therewill be certain market conditions which are likely to be adverse to all orsubstantially all of the Portfolio Funds in the Partnership’s portfolio.

 

Systematic tradingstrategies are speculative and involve substantial risk. By operating thePartnership as a “fund of funds” and investing in a number of differentPortfolio Funds, MLAI will attempt to mitigate the volatility and certain otherrisks of investing in a single Portfolio Fund. While diversifying amongdifferent Trading Advisors of the Partnership involves the risk of onemanager’s loss frequently offsetting another’s profits, this same offsettingeffect also typically reduces overall performance volatility, potentiallyproducing a risk/return profile for the Partnership that may be more consistentwith the portfolio objectives of certain investors than investing in a singlePortfolio Fund.

 

***Background***

 

The Partnership has anextensive operating and performance history. In June 2007 the Partnershipterminated the joint venture agreement under which John W. Henry &Company, Inc. served as the Partnership’s sole trading advisor. CurrentlyMLAI allocates capital among the Portfolio Funds.

 

The past performance ofthe Partnership prior to June 1, 2007, or thereafter the past performanceof the Portfolio Funds in which the Partnership invests either individually orin any combination is not indicative of the future results of the Partnershipor any of the Portfolio Funds. There can be no assurance that the Partnershipor any of the Portfolio Funds will achieve its objective or avoid substantialor total losses.

 

2

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(a)           ML Trend-Following Futures Fund L.P.currently invests in the following underlying Portfolio Funds which areadvised, respectively, by the trading advisors (“Trading Advisors”) asindicated below:

 
| **Portfolio Funds**                      | ** ** | **Trading Advisors**          |
|-----------------------------------------------|------------|------------------------------------|
|                                          |       |                               |
| ML Aspect FuturesAccess  LLC                  |       | Aspect Capital Limited             |
| (the “Aspect Fund”)                 |       | (“Aspect”)               |
|                                          |       |                               |
| ML Chesapeake  FuturesAccess LLC              |       | Chesapeake Capital  Corporation    |
| (the “Chesapeake Fund”)             |       | (“Chesapeake”)           |
|                                          |       |                               |
| ML Transtrend DTP  Enhanced FuturesAccess LLC |       | Transtrend B.V.                    |
| (the “Transtrend Fund”)             |       | (“Transtrend”)           |
|                                          |       |                               |
| ML Winton FuturesAccess  LLC                  |       | Winton Capital  Management Limited |
| (the “Winton Fund”)                 |       | (“Winton”)               |

 

(b)           Each of the Portfolio Funds is managed byMLAI. Each Trading Advisor has entered into an Advisory Agreement with therelevant Portfolio Fund and MLAI.  MLAIand/or the Portfolio Fund may terminate the relevant Advisory Agreement withthe Trading Advisor but will not retain any other Trading Advisor, although MLAImay dissolve the Portfolio Fund at any time. The trading strategies and investment objectives of each of thePortfolio Funds are described below.

 

***Employees***

 

The Partnership has no employees.

 

Portfolio Funds

 

# **Aspect Fund**

 

**Trading Strategies and InvestmentObjectives**

 

The Aspect Fund and MLAI have entered into an AdvisoryAgreement with Aspect whereby Aspect will trade in the international futuresand forwards markets pursuant to the Aspect Diversified Program (the “AspectTrading Program”).

 

The Aspect Trading Program, which Aspect has tradedsince December 1, 1998, is a fully systematic and broadly diversifiedglobal trading system that deploys multiple trading strategies that, primarilythrough the use of listed futures and foreign exchange over-the-counterderivative contracts, seek to identify and exploit directional moves in marketbehavior of a broad range of global financial instruments and other assetsincluding (but not limited to) bonds, currencies, interest rates, equities,equity indices, debt securities and selected physical commodities (includingsome emerging market currencies and stock indices).  By maintaining comparatively small exposureto any individual market and maintaining positions in a variety of contracts,the aim is to achieve long-term diversification.  Market concentration varies according to thestrength of signals, volatility and liquidity, amongst other factors.

 

The core objectives of the Aspect Trading Program areto:  (i) produce strong medium-termcapital growth; (ii) seek and exploit profit opportunities in both risingand falling markets using a disciplined quantitative and systematic investmentprocess; (iii) seek long-term diversification away from overall movementsin traditional bond and stock markets and thereby play a valuable role inenhancing the risk/return profile of traditional investment portfolios; and (iv) minimizerisk by operating in a diverse range of markets and sectors using a consistentinvestment process that adheres to pre-defined and monitored risk limits anddetermines market exposure in accordance with factors including (but notlimited to) market correlation, volatility, liquidity and the cost of marketaccess.

 

3

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Aspect retains the right to develop and make changesto the Aspect Trading Program at its sole discretion.

 

**Markets**

 

Aspect’s trading involves the speculative trading of foreignexchange over-the-counter derivative contracts and exchange traded futures contracts.  The Aspect Fund trades on a variety of UnitedStates and foreign futures exchanges.

 

**ChesapeakeFund**

 

**TradingStrategies and Investment Objectives**

 

The Chesapeake Fund and MLAI have entered into anAdvisory Agreement with Chesapeake whereby Chesapeake trades in theinternational futures and forwards markets pursuant to Chesapeake’s DiversifiedProgram (the “Chesapeake Trading Program”).

 

In general, Chesapeake analyzes markets, includingprice action, market volatility, open interest and volume (“technical analysis”)as a means of predicting market opportunity and discovering any repeatingpatterns in past historical prices. Chesapeake generally employs a computerized analysis of a large numberof interrelated statistical and mathematical formulas and techniques — based onproprietary and confidential database of prices, volatility, volume, openinterest and various other market statistics — to search for patterns in dataand to develop, use and monitor trading strategies.  Chesapeake generally places primary emphasison technical analysis in assessing market opportunities.

 

Chesapeake’s trading decisions are based on acombination of its systems, its techniques for determining the timing of itstrades, its trading discretion, judgment and experience and on marketopportunities.  Chesapeake’s tradingmethodology is both systematic and strategic. Trading decisions require the exercise of strategic judgment byChesapeake in evaluating its technical trading methods, in their possiblemodification from time to time, and in their implementation.

 

Chesapeake is free to use its discretion whether tofollow any trading signals or parameters generated by its technical tradingstrategies and the Chesapeake Trading Program. The decision not to trade certain markets or not to make certain tradesindicated by Chesapeake’s systems can materially affect performance.  Under no circumstances is Chesapeakecompelled to follow any of the trading indications generated by the ChesapeakeTrading Program.

 

Chesapeake has the right to employ any form or methodof technical analysis that it deems appropriate in trading the ChesapeakeTrading Program.

 

**Markets**

 

Specific exchanges on which the Chesapeake TradingProgram’s transactions will take place will include, but are not limited to,all exchanges in the United States, as well as non-U.S. exchanges which includebut are not limited to the Borsa Italiana (IDEM), the Dubai Mercantile Exchange(DME), the EUREX, the Euronext Amsterdam (EUROAEX), the Euronext Brussels(EUROBRU), the EURONEXT Liffe (LIFFE), the Euronext Paris (EUROPAR), the HongKong Exchanges & Clearing Limited (HKEX), the ICE Futures Europe andthe ICE Futures Canada (ICE), the London Metal Exchange (LME), the MontrealExchange (MX), the MEFF AIAF SENAF Holding de Mercados S.A. (MEFF), the NationalStock Exchange of India (NSE), the NASDAQ OMX (OMX), the Osaka SecuritiesExchange (OSE), the South African Futures Exchange (SAFEX), the SingaporeExchange Derivatives Trading Ltd. (SGX-DT), the Sydney Futures Exchange (SFE),the Tokyo Commodity Exchange (TOCOM), the Tokyo Financial Exchange Inc. (TFX)and the Tokyo Stock Exchange (TSE).  Inaddition, Chesapeake continually monitors numerous markets, both U.S. andnon-U.S. and initiates trades at any point it determines that a market issufficiently liquid and tradable using the methods employed by Chesapeake.

 

The Chesapeake Fund’s commitments to different typesof markets — U.S. and non-U.S., regulated and non-regulated — differsubstantially from time to time, as well as over time.  The Chesapeake Fund has no policy restrictingits relative commitment to any of these different types of markets.

 

4

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**TranstrendFund**

 

**TradingStrategies and Investment Objectives**

 

Transtrend Fund and MLAI have entered into an AdvisoryAgreement with Transtrend whereby Transtrend trades in the internationalfutures and forwards markets pursuant to the Diversified Trend Program -Enhanced Risk Profile (USD) (the “Transtrend Trading Program”).  The Diversified Trend Program has two riskprofiles:  the Standard Risk Profile andthe Enhanced Risk Profile, investable in various currencies.  The Enhanced Risk Profile is approximately1.5 times the leverage of the Standard Risk Profile.

 

The applied principles of risk management play adominant role in Transtrend’s trading methodology.  The Transtrend Trading Program is designed topursue capital growth within the limits of a defined risk tolerance.  The Transtrend Trading Program is entirelybased on quantitative analysis of signaled price behavior of outright marketsand of intra-market and/or inter-market combinations of the instrumentsconcerned, and therefore not on fundamental analysis.

 

The Transtrend Trading Program may enter into bothlong and short positions in any of the instruments involved, or it may have noposition.  Long and short positions arelikely to be leveraged and unhedged and/or uncovered.  The degree of leverage is implicitlydetermined by the risk/reward profile selected by the Transtrend Fund.  The degree of leverage can be expressed asthe number of contracts traded or held in position per million U.S. dollarunder management.

 

The Transtrend Trading Program is systematic by natureand requires a consistent application. Therefore, discretionary inputs are not essential to the effectivenessof the Transtrend Trading Program. Exceptional market circumstances of the observed past, both favorableand unfavorable, are integrally reflected in the presented performance profileof the Transtrend Trading Program.  WhileTranstrend generally will not use discretionary inputs in trading clientaccounts, in the event of exceptional market circumstances Transtrend may usediscretion in an attempt to limit risk to a position or an account.  The use of discretion by Transtrend may havea positive or negative impact on performance of the Transtrend Fund.

 

Transtrend has the right to employ any form or methodof technical analysis that it deems appropriate in trading the TranstrendTrading Program.

 

**Markets**

 

Transtrend trades the following instruments on U.S.and non-U.S. exchanges and markets: (a) futures, options, options onfutures, and forward contracts on currencies, interest rates, interest rateinstruments, commodities, individual stocks, stock indices and other indices;and (b) spot currencies, in all cases ((a) and (b)) traded onregulated markets and/or OTC markets. Transtrend does not, however, currentlytrade futures, options, options on futures or forward contracts on individualstocks for the Transtrend Fund.  Over time,the underlying values of futures, options, options on futures and forwardcontracts traded may also include other economic variables which are now or mayhereafter become the subject of organized futures, options or forward trading.  Over time, the instruments that Transtrendtrades may also include swaps or other derivative, margined instruments, ineach case traded on regulated and/or OTC markets.

 

**Winton****Fund**

 

**TradingStrategies and Investment Objectives**

 

The Winton Fund and MLAI have entered into an AdvisoryAgreement with Winton whereby Winton trades in the international futures andforwards markets pursuant to the Winton Diversified Program (the “WintonTrading Program”).

 

The investment objective of the Winton Trading Programis to achieve long-term capital appreciation through compound growth.  Winton seeks to achieve this goal by pursuinga diversified trading scheme that does not rely upon favorable conditions inany particular market, or on market direction.

 

The Winton Trading Program seeks to combine highlyliquid financial instruments offering positive but low Sharpe ratios, meaningthat profits have been achieved with a certain level of risk and generally lowcorrelation over the long term to other markets such as equities and fixedincome.

 

5

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The Winton Trading Program employs what istraditionally known as a “systematic” approach to trading financialinstruments.  In this context, the term “systematic”implies that the vast majority of the trading decisions are executed, withoutdiscretion, either electronically or by a team responsible for the placement oforders, based upon the instructions generated by the Winton Computer TradingSystem.  A majority of the trades in theWinton Trading Program are executed electronically.  The Winton Trading Program blends short-termtrading with long-term trend following, using multiple time frames in additionto multiple models.  As its name implies,the Winton Trading Program seeks to allocate for maximum diversification.  A sophisticated system of risk management isused in the Winton Trading Program.

 

Winton’s trading principals may decide that externalevents fall entirely outside the scope of the research upon which the WintonTrading Program is based and may determine to exercise some discretion ratherthan follow the dictates of the system.

 

**Markets**

 

Winton trades in a variety of liquid U.S. and non-U.S.futures and forward contracts, including agricultural, currencies, energy,interest rates, metals and stock indices. The Winton Fund trades on a variety of United States and foreign futuresexchanges.  The Winton Trading Program’sportfolio consists mainly of positions in the following futures markets:  stock indices; bonds; short-term interestrates; currencies; precious and base metals; grains; livestock; energy andagricultural products.  In addition, theWinton Trading Program may trade in certain over-the-counter instruments, suchas, but not limited to, forward contracts on foreign exchange and interestrates and swaps.  In addition, the WintonTrading Program may trade in government securities such as bonds and othersimilar instruments.

 

***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 exposurecommensurate with the Partnership’s equity on the date of these transactions,the Partnership’s general practice is to adjust positions as near as possibleto the close of business on the last trading date of the month.  The intention is to provide for additions andredemptions at a NAV that will be the same for each of these transactions, andto eliminate possible variations in NAVs that could occur as a result ofinter-day price changes if, for example, additions were calculated on the firstday of the subsequent month.  Therefore,the Partnership may, at its sole discretion, adjust its investment of theassets associated with the addition or redemption as near as possible to theclose of business on the last business day of the month to reflect the amountthen available for trading.  Based on thePartnership’s determination of liquidity or other market conditions, thePartnership may decide to commence trading earlier in the day on, or before,the last business day of the month, or at its sole discretion, delayadjustments to trading for an account to a date or time after the close ofbusiness on the last day of the month. No assurance is given that the Partnership will be able to achieve theobjectives described above in connection with the Partnership’s equity levelchanges.  The use of discretion by thePartnership in the application of this procedure may affect performancepositively or negatively.

 

Custody of Assets.

 

Substantial portion of the Portfolio Funds’ assets arecurrently held in customer accounts at 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 offset accounts(as described below), which include “open trade equity” (unrealized gain andloss on open positions) on United States futures contracts, which is paid intoor out of the Partnership’s and the Portfolio Funds’ account, on a daily basisand 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.

 

6

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Interest Earned on the Partnership’s U.S. Dollar CashAssets

 

The Partnership’s U.S. dollar Cash Assets are held incash at MLPF&S, which utilizes offset accounts.

 

Certain of each FuturesAccess Fund’s U.S. dollar “CashAssets” (as defined below) are held by MLPF&S in customer segregatedaccounts and primarily invested in CFTC-eligible investments (including,without limitation, commercial paper, U.S. government and government agencysecurities, prime non-U.S. government securities, corporate notes and moneymarket funds). Cash Assets may also be maintained in “offset accounts” at majorU.S. banks, interest bearing savings accounts maintained with major U.S. banksunaffiliated with Merrill Lynch and/or money market investment funds that aremanaged by third party managers, including affiliates of Merrill Lynch.

 

Offset accounts are non-interest bearing demanddeposit accounts maintained with banks unaffiliated with Merrill Lynch.MLPF&S may in the future elect to maintain accounts of this nature with oneor more of its affiliates. Offset account deposits reduce Merrill Lynch’sborrowing costs with such banks. An integral feature of the offset arrangementsis that the participating banks specifically acknowledge that the offsetaccounts are for the benefit of MLPF&S’ customers, not subject to anyMerrill Lynch liability.

 

To the extent that Cash Assets are placed withaffiliates of Merrill Lynch, Merrill Lynch indirectly receives certain economicbenefits and therefore has a conflict of interest in selecting such thirdparties. For example, Merrill Lynch may invest in money market funds managed byBlackRock, Inc. or its affiliates (“BlackRock”). Merrill Lynch is asubstantial stockholder in BlackRock and, therefore, potentially benefits fromits economic interest in BlackRock whenever BlackRock receives compensation formanaging Cash Assets invested in money market investment funds managed byBlackRock.

 

Interest Paid by Merrill Lynch on the Partnership’sNon-U.S. Dollar Cash Assets

 

Each FuturesAccess Fund will generally earn interest,as described below, on its Cash Assets, which can be generally described as thecash actually held by such FuturesAccess Fund, plus its “open trade equity”(unrealized gain and loss marked to market daily on open positions). CashAssets are held primarily in U.S. dollars, and to a lesser extent in non-U.S.currencies, and comprise the following: (a) each FuturesAccess Fund’s cashbalances, plus open trade equity on U.S. futures; and (b) eachFuturesAccess Fund’s cash balances held in non-U.S. currencies as a result ofrealized profits and losses derived from its trading in non-U.S.dollar-denominated futures and options contracts, plus open trade equity onthose exchanges which settle gains and losses on open positions in suchcontracts prior to closing out such positions. Cash Assets do not include, andthe FuturesAccess Funds do not earn interest income on, the FuturesAccess Funds’gains or losses on their open forward, commodity option and certain non-U.S.futures positions as such gains and losses are not collected or paid until suchpositions are closed out.

 

Each FuturesAccess Fund’s Cash Assets may be greaterthan, less than or equal to such FuturesAccess Fund’s Net Asset Value (on whichthe redemption value of the Units is based) primarily because Net Asset Valuereflects all gains and losses on open positions as well as accrued but unpaidexpenses.

 

MLPF&S intends to pay interest on theFuturesAccess Funds’ Cash Assets (irrespective of how such Cash Assets are heldor invested) at the most favorable rate payable by MLPF&S to accounts ofMerrill Lynch affiliates, from time to time, although the actual rate paid toFuturesAccess Funds may be lower. In no event, however, will the rate so paidon such Cash Assets be less than 75% of such prevailing rate. MLPF&Sretains the additional economic benefit derived from possession of theFuturesAccess Funds’ Cash Assets.

 

MLPF&S, in the course of acting as commoditybroker for the FuturesAccess Funds, lends certain currencies to, and borrowscertain currencies from, the FuturesAccess Funds. In the course of doing so,MLPF&S both retains certain amounts of interest and receives other economicbenefits. In doing so, MLPF&S follows its standard procedures (as suchprocedures may change over time) for paying interest on the assets of thecommodity pools sponsored by MLAI and other MLPF&S affiliates and tradedthrough MLPF&S.

 

7

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

 

The followingtable summarizes the charges incurred by the Partnership during 2009, 2008 and2007.

 
| ** **                     | ** ** | **2009**           | ** ** | **2008**                                 | ** ** | **2007**           | ** ** |
|--------------------------------|------------|--------------------|------------|------------------------------------------|------------|--------------------|------------|
| **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 Commission           |       | $                  | —     |                                     | 0.00       | %                  | $          | — |   | 0.00 | % | $ | 15,400,942 |   | 3.05 | % |
| Administrative and Filing Fees |       | (20,718            | )          | -0.01                                    | %          | 361,539            |       | 0.10 | % | 961,273 |   | 0.19 | % |
| Wrap Fee                       |       | 12,143,045         |       | 4.04                                     | %          | 14,868,130         |       | 4.10 | % | 9,947,043 |   | 1.97 | % |
| Other Expenses                 |       | —             |       | 0.00                                     | %          | —             |       | 0.00 | % | 25,000 |   | 0.00 | % |
| Total                          |       | $                  | 12,122,327 |                                     | 4.03       | %                  | $          | 15,229,669 |   | 4.20 | % | $ | 26,334,258 |   | 5.21 | % |

 

The Partnership’s average month-end Net Assets during 2009, 2008 and2007 equaled $300,503,024, $362,197,519, and $505,150,607 respectively.

 

During the years ended December 31 2009, 2008 and 2007 thePartnership earned $4,357, $10,654, and $13,909,510 in interest income,respectively, or approximately 0.0014%, 0.0029% and 2.75% respectively, of thePartnership’s average month end Net Assets.

 

In addition to the abovecharges, the Partnership and JWH® prior to June 1, 2007, shared in theprofits of the Joint Venture based on equity provided that 20% of the JointVenture’s quarterly New Trading Profits are allocated to JWH®.  For the year ended December 31, 2007,JWH® did not receive a profit share allocation.

 

**Descriptionof Current Charges**

 

The Partnership is subject to the following charges:

 
| **Recipient**                  |   | **Nature of Payment**            |   | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|--------------------------------|--------|----------------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                           |   |                             |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |
| 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. “New Trading  Profits” equal any increase in the Net Asset Value of the Partnership, prior  to reduction for any accrued performance fee, as of the current performance  fee calculation date over the Partnership’s “High Water Mark.”    The “High Water Mark” attributable to the Partnership equals the highest Net  Asset Value after reduction for the performance fee then paid, as of any  preceding performance fee calculation date.  Net Asset Value, solely for  purposes of calculating the performance fee, does not include any interest  income |

 

8

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|                             |   |                    |   | earned by the  Partnership.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |
|----------------------------------|--------|-------------------------|--------|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                             |   |                    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| 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 of $250,000, which is  assessed per year on a per partner basis. The New Jersey filing will not  itself exceed $250,000. However, an amount slightly in excess of $250,000 may  be accrued in a particular 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.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|                             |   |                    |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |
| MLPF&S                       |   | Brokerage Commissions   |   | No Brokerage Commission is charged to investors at  the Partnership level, although Brokerage Commissions are charged at the  Portfolio Funds’ level to these parties, including the Partnership, invested  directly in the Portfolio Funds, and investors in the Partnership will be  indirectly subject to their pro rata share of such fees based on the  investment of the Partnership in such underlying Portfolio Funds.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |

 

9

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***Regulation***

 

The Commodity FuturesTrading Commission (“CFTC”) has delegated to the National Futures Associationresponsibility for the registration of “commodity trading advisors,” “commoditypool operators,” “futures commission merchants,” “introducing brokers” andtheir respective associated persons, and “floor brokers” and “floor traders.”  The Commodity Exchange Act requires commoditypool operators such as MLAI, commodity Trading Advisors such as the PortfolioFund’s Trading Advisors and commodity brokers or futures commission merchants (“FCMs”)such as MLPF&S to be registered and to comply with various reporting andrecord keeping requirements.  CFTCregulations also require FCMs to maintain a minimum level of net capital.  In addition, the CFTC and certain commoditiesexchanges have established limits referred to as “speculative position limits”on the maximum net long or net short speculative positions that any person mayhold or control in any particular futures or options contracts traded on U.S.commodities exchanges.  All accountsowned or managed by each of the Portfolio Funds respective Trading Advisorswill be combined for position limit purposes. Each of the Portfolio Funds Trading Advisors could be required toliquidate positions in order to comply with such limits.  Any such liquidation could result insubstantial costs to the Partnership.  Inaddition, many futures exchanges impose limits beyond which the price of afutures contract may not trade during the course of a trading day, and there isa potential for a futures contract to reach its daily price limit for severaldays in a row, making it impossible for the respective Trading Advisor toliquidate a position and thereby experiencing dramatic losses.  Currency forward contracts are not subject toregulation by any U.S. government agency.

 

Other than in respect of its periodic reportingrequirements under the Securities Exchange Act of 1934, and the registration ofthe Units for continuous public distribution under the Securities Act of 1933,the Partnership itself is generally not subject to regulation by the Securitiesand 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)                                 Financial Information about GeographicAreas:

 

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: Risk Factors**

 

***Past Performance Not NecessarilyIndicative of Future Results***

 

Past performance is not necessarily indicative offuture results.  The Trading Advisors’past performance may not be representative of how it may trade in the futurefor the Partnership.

 

***Volatile Markets; Highly LeveragedTrading***

 

Futures and forward trading is highly leveraged, andmarket price levels are volatile and materially affected by unpredictablefactors such as weather and governmental intervention. The combination ofleverage and volatility creates a high degree of risk.

 

***Importance of General MarketConditions***

 

Overall market or economic conditions — which neitherMLAI nor the Trading Advisors can predict or control — have a material effecton the performance of any managed futures strategy.

 

10

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***Possibility of Additional Governmentor Market Regulation***

 

Market disruptions and the dramatic increase in thecapital allocated to alternative investment strategies during recent years haveled to increased governmental as well as self-regulatory scrutiny of thealternative investment funds industry in general.  In addition, certain legislation proposinggreater regulation of the industry periodically is considered by the U.S.Congress, as well as the governing bodies of foreign jurisdictions. It isimpossible to predict what, if any, changes in the regulations applicable tothe Partnership, its general partner (MLAI), the markets in which they tradeand invest or the counterparties with which they do business may be institutedin the future. Any such regulation could have a material adverse impact on theprofit potential of the Partnership, as well as require increased transparencyas to the identity of the Partnership’s limited partners.

 

***Forward***Trading

 

ThePartnership will trade in the forward markets in addition to trading in thefutures markets.  The forward markets areover-the-counter, non-exchange traded markets, and in trading in theses forwardmarkets, the Portfolio Funds will be dependent on the credit standing of thecounterparties with which they trade, without the financial support of anyclearinghouse system.  In addition, theprices offered for the same forward contract may vary significantly amongdifferent forward market participants. Forward markets counterparties are under no obligation to enter into forwardtransactions, including transactions through which the Portfolio Funds areattempting to liquidate open positions.

 

***Effects of Speculative PositionLimits***

 

The CFTC and the U.S. commodities exchanges have established limitsreferred to as “speculative position limits” on the maximum net long or netshort speculative positions that any person may hold or control in anyparticular futures or options contracts traded on U.S. commoditiesexchanges.  For example, the CFTCcurrently imposes speculative position limits on a number of agriculturalcommodities (e.g., corn, oats, wheat, soybeans and cotton). All commodityaccounts controlled by the Trading Advisors and its principals and theiraffiliates are combined for speculative position limit purposes.  The Trading Advisors could be required toliquidate positions held for the Partnership, or may not be able to fullyimplement trading instructions generated by its trading models, in order tocomply with such limits.  Any suchliquidation or limited implementation could result in substantial costs to thePartnership.

 

***Increased Assets Under Management***

 

Thereappears to be a tendency for the rates of return achieved by managed futuresadvisors to decline as assets under management increase.  The Trading Advisors have not agreed to limitthe amount of additional equity which it may manage.

 

## **Trading Advisor Risk**

##  

ThePartnership is subject to the risk of the bad judgment, negligence ormisconduct of the Trading Advisors. There have been a number of instances in recent years in which privateinvestment funds have incurred substantial losses due to manager misconduct.

 

## **Changes in Trading Strategy**

##  

The Trading Advisors may make materialchanges in its trading strategies without the knowledge or seeking the approvalof MLAI.

 

## **Illiquid Markets**

##  

Certainpositions held by the Partnership may become illiquid, preventing the TradingAdvisors from acquiring positions otherwise indicated by its strategy or makingit impossible for the Trading Advisors to close out positions against which themarket is moving.

 

11

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Certainfutures markets are subject to “daily price limits,” restricting the maximumamount by which the price of a particular contract can change during any giventrading day.  Once a contract’s price hasmoved “the limit,” it may be impossible or economically non-viable to executetrades in such contract.  From time totime, prices have moved “the limit” for a number of consecutive days, making itimpossible for traders against whose positions the market was moving to preventlarge losses.

 

## **Trading on Non-U.S. Exchanges**

##  

TheTrading Advisors may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by anyUnited States governmental agency. The Partnership could incur substantiallosses trading on foreign exchanges to which they would not have been subjecthad the Trading Advisors limited their trading to U.S. markets.

 

Theprofits and losses derived from trading foreign futures and forwards will generallybe denominated in foreign currencies; consequently, the Partnership will besubject to a certain degree of exchange-rate risk in trading such contracts.

 

## **The Partnership Could Lose Assets andHave Its Trading Disrupted Due to the Bankruptcy of One of the Parties**

##  

ThePartnership is subject to the risk of insolvency of a counterparty, anexchange, a clearinghouse or MLPF&S. The Partnership’s assets could be lostor impounded during lengthy bankruptcy proceedings.  Were a substantial portion of the Partnership’scapital tied up in a bankruptcy, MLAI might suspend or limit trading, perhapscausing the Partnership’s to miss significant profit opportunities. There areincreased risks in dealing with unregulated trading counterparties includingthe risk that assets may not benefit from the protection afforded to “customerfunds” deposited with regulated dealers and brokers.

 

**Item 1B: Unresolved Staff Comments**

 

MLAI is currentlyresponding to the SEC comment letter dated February 4, 2010.

 

**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, Four World Financial Center, 6th Floor, 250 Vesey Street, New York New York10080).  MLAI performs administrativeservices for the Partnership from MLAI’s offices.

 

**Item 3:****         ****Legal Proceedings**

 

None.

 

**Item 4:****         ****Reserved**

 

**PART II**

 

**Item 5:****         ****Market for Registrant’s Common Equity, RelatedStockholder Matters and Issuer Purchases of Equity Securities**

 

Item 5(a)

 

(a)                                  Market Information:

 

Thereis no established public trading market for the Units, and none is likely todevelop.  Limited Partners may redeemUnits as of the end of each month at Net Asset Value, subject to certain earlyredemption charges.

 

12

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(b)                                 Holders:

 

As of December 31,2009, there were 10,165 holders of Units, including MLAI, none of whom owned 5%or more of the Fund’s Units.

 

(c)                                  Dividends:

 

MLAI has not made, anddoes not contemplate making, any distributions on the Units.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

(e)                                  Performance Graph:

 

Not applicable.

 

(f)                                    Recent Sales of Unregistered Securities:

 

Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under theSecurities Act. The selling agent of the following Class of Units wasMLPF&S.

 

During 2009, thePartnership issued Units as set forth in the following chart:

 

CLASS D

 
| ** ** | ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       |       | $                | 1,288,226  |       | $          | 6,467 |   | 199.20 |   |
| Feb-09     |       |       | 814,123          |       | 4,080      |       | 199.54 |   |
| Mar-09     |       |       | 1,082,868        |       | 5,441      |       | 199.02 |   |
| Apr-09     |       |       | 741,486          |       | 3,829      |       | 193.65 |   |
| May-09     |       |       | 5,878,325        |       | 31,155     |       | 188.68 |   |
| Jun-09     |       |       | 822,636          |       | 4,439      |       | 185.32 |   |
| Jul-09     |       |       | 2,004,330        |       | 11,198     |       | 178.99 |   |
| Aug-09     |       |       | 545,092          |       | 3,107      |       | 175.44 |   |
| Sep-09     |       |       | 369,842          |       | 2,065      |       | 179.11 |   |
| Oct-09     |       |       | 771,120          |       | 4,250      |       | 181.44 |   |
| Nov-09     |       |       | 313,356          |       | 1,801      |       | 173.99 |   |
| Dec-09     |       |       | 99,206           |       | 545        |       | 182.03 |   |
| Jan-10     |       |       | 432,387          |       | 2,458      |       | 175.91 |   |
| Feb-10     |       |       | 194,727          |       | 1,148      |       | 169.62 |   |
|            |            |            |                  |            |            |            |  |  |  |  |

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

13

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**Item 6:****         ****Selected Financial Data**

 
| ** **                                                          | ** ** | **For the  Years Ended December 31,** | ** **  |
|---------------------------------------------------------------------|------------|--------------------------------------------|-------------|
| **Income  Statement Data**                                          | ** ** | **2009**                                   | ** **  | **2008** | ** ** | **2007** | ** ** | **2006** | ** ** | **2005** | ** ** |
| Revenues                                                            |       |                                       |        |   |   |   |   |   |   |   |   |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Trading Profit (Loss):                                              |       |                                       |        |   |   |   |   |   |   |   |   |
| Realized, net                                                       |       | $                                          | 15,662,881  |   | $ | 20,765,365 |   | $ | (64,586,271 | ) | $ | (158,576,895 | ) | $ | (112,908,397 | ) |
| Change in unrealized, net                                           |       | (42,120,185                                | )           | 65,888,978 |   | 15,318,537 |   | 12,136,031 |   | (150,020,999 | ) |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Total trading profit (loss)                                         |       | (26,457,304                                | )           | 86,654,343 |   | (49,267,734 | ) | (146,440,864 | ) | (262,929,396 | ) |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Investment Income:                                                  |       |                                       |        |   |   |   |   |   |   |   |   |
| Interest                                                            |       | 4,357                                      |        | 10,654 |   | 13,909,510 |   | 51,861,211 |   | 39,816,009 |   |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Expenses:                                                           |       |                                       |        |   |   |   |   |   |   |   |   |
| Brokerage commissions                                               |       | —                                     |        | — |   | 15,400,942 |   | 61,808,517 |   | 73,622,017 |   |
| Administrative and filing fees                                      |       | (20,718                                    | )           | — |   | 961,273 |   | 2,937,327 |   | 3,450,957 |   |
| Wrap fee                                                            |       | 12,143,045                                 |        | 14,868,130 |   | 9,947,043 |   | — |   | — |   |
| Other expenses                                                      |       | —                                     |        | 361,539 |   | 25,000 |   | 1,450,000 |   | 475,000 |   |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Total expenses                                                      |       | 12,122,327                                 |        | 15,229,669 |   | 26,334,258 |   | 66,195,844 |   | 77,547,974 |   |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Net Investment Loss                                                 |       | (12,117,970                                | )           | (15,219,015 | ) | (12,424,748 | ) | (14,334,633 | ) | (37,731,965 | ) |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Income (loss) before Minority Interest and Profit  Share Allocation |       | (38,575,274                                | )           | 71,435,328 |   | (61,692,482 | ) | (160,775,497 | ) | (300,661,361 | ) |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Profit Share allocation                                             |       | —                                     |        | — |   | — |   | — |   | (6,312 | ) |
| Minority interest                                                   |       | —                                     |        | — |   | 18,048 |   | 29,872 |   | 55,162 |   |
|                                                                |       |                                       |        |   |   |   |   |   |   |   |   |
| Net Income (Loss)                                                   |       | $                                          | (38,575,274 | ) | $ | 71,435,328 |   | $ | (61,674,434 | ) | $ | (160,745,625 | ) | $ | (300,612,511 | ) |

 
| **Balance  Sheet Data**      | ** ** | **December 31, 2009** | ** **  | **December 31, 2008** | ** ** | **December 31, 2007** | ** ** | **December 31, 2006** | ** **  | **December 31, 2005** | ** ** |
|------------------------------|------------|----------------------------|-------------|----------------------------|------------|----------------------------|------------|----------------------------|-------------|----------------------------|------------|
|                         |       |                       |        |                       |       |                       |       |                       |        |                       |       |
| Total Partners’ Capital |       | $                          | 251,923,917 |                       | $          | 351,874,508                |       | $                          | 370,119,282 |                       | $          | 792,303,062 |   | $ | 1,234,151,526 |   |
| Net Asset Value per Unit     |       | $                          | 175.91      |                       | $          | 199.20                     |       | $                          | 164.22      |                       | $          | 175.61 |   | $ | 205.50 |   |

 

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

 

MONTH-END NET ASSETVALUE PER INITIAL UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 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 |   |
| 2008       |       | $        | 168.36     |     | $          | 184.45   |       | $        | 180.10     |    | $          | 177.98   |       | $        | 182.26     |     | $          | 192.63    |       | $        | 181.10     |     | $          | 174.13   |       | $ | 174.32 |   | $ | 185.70 |   | $ | 193.76 |   | $ | 199.20 |   |
| 2009       |       | $        | 199.54     |     | $          | 199.02   |       | $        | 193.65     |    | $          | 188.68   |       | $        | 185.32     |     | $          | 178.99    |       | $        | 175.44     |     | $          | 179.11   |       | $ | 181.44 |   | $ | 173.99 |   | $ | 182.03 |   | $ | 175.91 |   |

 

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

 

14

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

**December 31, 2009**

 

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

*Inception of Trading:* July 15, 1996

*Aggregate Subscriptions:*  $2,048,460,708

*Current Capitalization:*  $251,923,917

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

*Worst Peak-to-Valley Drawdown:(3) * (47.47)%  (June 2003 — August 2007)

 

**MonthlyRates of Return****(4)**

 
| **Month**                       | ** ** | **2009** | ** ** | **2008** | ** ** | **2007** | ** ** | **2006** | ** ** | **2005** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|
| January                         |       | 0.17     | %          | 2.52     | %          | (1.23    | )%         | (3.40    | )%         | (13.89   | )%         |
| February                        |       | (0.26    | )          | 9.55     |       | (5.01    | )          | (8.87    | )          | (4.89    | )          |
| March                           |       | (2.70    | )          | (2.35    | )          | (6.27    | )          | 5.65     |       | 0.00     |       |
| April                           |       | (2.57    | )          | (1.18    | )          | 2.26     |       | 11.55    |       | (10.79   | )          |
| May                             |       | (1.78    | )          | 2.41     |       | (0.13    | )          | (0.34    | )          | 9.40     |       |
| June                            |       | (3.42    | )          | 5.69     |       | 2.10     |       | (10.97   | )          | 2.20     |       |
| July                            |       | (1.98    | )          | (5.99    | )          | (4.70    | )          | (6.57    | )          | 1.33     |       |
| August                          |       | 2.09     |       | (3.85    | )          | (6.80    | )          | 7.89     |       | (0.23    | )          |
| September                       |       | 1.31     |       | 0.11     |       | 7.68     |       | (0.06    | )          | 0.06     |       |
| October                         |       | (4.11    | )          | 6.53     |       | 6.94     |       | (7.05    | )          | (0.05    | )          |
| November                        |       | 4.62     |       | 4.34     |       | (2.53    | )          | 6.16     |       | 8.28     |       |
| December                        |       | (3.36    | )          | 2.81     |       | 2.31     |       | (6.63    | )          | (11.72   | )          |
| Compound  Annual Rate of Return |       | (11.69   | )%         | 21.30    | %          | (6.48    | )%         | (14.55   | )%         | (21.06   | )%         |

 

----

(1) Certain Partnerships are structured so as toguarantee to investors that their investment will be worth no less than aspecified amount (typically, the amount initially invested) as of a datecertain after the date of investment. The CFTC refers to such Partnerships as “principal protected.”

 

(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 ofReturn is the net performance of the Partnership during the month ofdetermination (including interest income and after all expenses accrued orpaid) divided by the total equity of the Partnership as of the beginning ofsuch month, inclusive of subscription activity.

 

15

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**Item 7: Management’s Discussion and Analysis ofFinancial Condition and Results of Operations**

 

***OperationalOverview***

 

This performancesummary is an outline description of how the Partnership performed in the past,not necessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not in fact have caused suchmovements, but simply occurred at or about the same time.

 

The PortfolioFunds are unlikely to be profitable in markets in which such trends do notoccur.  Static or erratic prices arelikely to result in losses.  Similarly,unexpected events (for example, a political upheaval, natural disaster orgovernmental intervention) can lead to major short-term losses, as well asgains.

 

While there can beno assurance that the Portfolio Funds will be profitable under any given marketcondition, markets in which substantial and sustained price movements occurtypically offer the best profit potential for the Portfolio Funds andconsequently the Partnership.

 

This performancesummary is an outline description of how the Partnership performed in the past,not necessarily any indication of how it will perform in the future.  In addition, the general causes to whichcertain price movements are attributed may or may not have caused suchmovements, but simply occurred at or about the same time.

 

**2009**

 

Year ended December 31,2009

 
| ** **                                    | ** ** | **Total Trading  Profit (Loss)** | ** **  |
|-----------------------------------------------|------------|----------------------------------|-------------|
| ML  Winton FuturesAccess LLC                  |       | $                                | (5,336,877  | ) |
| ML  Aspect FuturesAccess LLC                  |       | (9,013,890                       | )           |
| ML  Transtrend DTP Enhanced FuturesAccess LLC |       | (11,662,966                      | )           |
| ML  Chesapeake FuturesAccess LLC              |       | (443,571                         | )           |
|                                          |       |                             |        |
|                                          |       | $                                | (26,457,304 | ) |

 

The Partnershipexperienced a net trading loss for the year ended December 31, 2009 of$26,457,304.

 

Performances of thePortfolio Funds were mixed in January which reflected the choppy marketsand diversification of the Portfolio Funds approach to trading. The PortfolioFunds profited from falling equities, with long-term Trading Advisors capturingmore of the move. The Portfolio Funds also profited from a continuousdown-trend in commodities. Largest losses were suffered in fixed incomepositions as the U.S. Treasury yields rallied and other global bonds shadowedthe move. Time horizon focus did not seem to be a driver of returns in themiddle of the first quarter, while asset allocation played a more significantrole. The Portfolio Funds had small net short exposures to equity markets andthus registered gains in this asset class. In addition, most of the PortfolioFunds that had long positions in the U.S. dollar against various currenciesposted profits. Some of the Portfolio Funds that had long positions in theJapanese yen vs. the U.S. dollar posted losses due to the Japanese yen endingthe month of February down significantly relative to the U.S. dollar.Fixed income markets experienced volatile swings during February as mostof the Portfolio Funds ended with small losses in this sector. At the start ofMarch, most of the Portfolio Funds had long positions in the fixed incomemarkets. and kept this position throughout the month of March andbenefited from falling yields. All other sectors had posted losses in March asa result of significant reversals in many markets. During March, equity marketsrallied following some positive corporate news in the first week. When the U.S.Federal Reserve announced the start of quantitative easing mid-month, the U.S.dollar began losing value against most major currencies and the commodity marketswhich are negatively correlated with the U.S. dollar and risk aversion movedup. Given that most Trading Advisors are medium to long term trend followers,they were not in a position to cut exposures very fast and were negativelyaffected by these reversals.

 

The market environmentthat caused a loss for the Partnership in March continued through April aswell. In March, being long fixed income helped to offset losses in equityindices, currencies and commodities. In April, the losses in equity 

 

16

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indices, currencies andcommodities were more muted as many Portfolio Funds had trimmed risk in thosesectors; however, long positions in fixed income proved to be a problem asglobal bond yields rose significantly, hurting those long positions. Overall,fixed income was the worst performing sector for the Portfolio Funds, followedby currencies. The Portfolio Funds approach to trading was mixed exposure incommodities, making money in some markets and losing money in others. Inequities the positioning was more on the short side, but with extremely smallexposures; losses thus were muted. May was a continuation of March andApril in terms of market direction and moves. Equities and commoditieswere up, and bonds and the U.S. dollar was down. These new trends gave manyTrading Advisors a reason to adjust their portfolios to match the newenvironment resulting in profits being posted to the Partnership. Short andmedium term Portfolio Funds were more in sync with markets given that theyadjust faster to new trends, while longer term Portfolio Funds have held on totheir pre-March positioning somewhat longer and were not able to avoidlosses. So the main difference in May relative to March and April wasthat many Portfolio Funds were now correctly positioned to take advantage ofcurrent trends. Short to medium term Trading Advisors such as Transtrend hadbetter performance than the longer term managers (Winton, Chesapeake, andAspect). The shorter term Trading Advisor adjusted better to the current marketenvironment where equities and commodities are doing well and the U.S. dollarand bonds performed poorly. Risk by asset class continued to be biased towardsfixed income which had a roughly 50% risk allocation, down from more than 80%in April. Fixed income was the asset class with the fewest reversals and thusrisk had moved there as equities, commodities and currencies experiencedchanges in trend during March. But the risk allocated to other asset classeswere moving up: commodities were a third of the total and the remainder wassplit between currencies and equities. March, April and May had beencharacterized by market moves most commonly seen during periods where investorswere risk seeking. There were up moves in equities and commodities and downmoves in bonds and the U.S. dollar. The Portfolio Fund managers were justbeginning to adjust their portfolios to match these new market directions.After suffering losses during March and April (as they were notpositioned for the new trends that began in early March), most managers hadbegun turning around their portfolios to be more in line with where marketswere going and many were able to post gains in May, but came to a stop in June asseveral events took place. First, short term interest rates suffered a sharpreversal during the first week of the month and the U.S. dollar had a similarreversal, gaining against most currencies. Then, mid-month, the up trends inequities and commodities reversed, as sentiment became risk averse again. As aresult of these moves, most asset classes ended the month with negativeattribution. The worst were short term rates and commodities. The secondquarter ended with losses being posted to the Partnership due to the short termrates and commodities. Medium term Trading Advisors had the worst performanceas they not only suffered from the rates and U.S. dollar moves, but also thereversals in equities and commodities. Winton and Chesapeake, the longest termTrading Advisors, had relatively smaller losses because the equity andcommodity reversals were actually good for them since they were still holdingon to their pre-March positions in those asset classes.

 

Losses were posted to thePartnership in July which was characterized by two types of moves in manymarkets. At the beginning of the month, equities, commodities and bond yieldswere moving lower while the United States dollar gained ground against othermajor currencies. In mid-July, sentiment reversed and equities and commoditiesresumed their up trends from prior month and the United States dollar lostvalue against other major currencies. The moves in the second part of the monthwere larger in magnitude, therefore, the Portfolio Funds who shifted towards ‘riskseeking’ trades faster performed better. Transtrend was an underperformerresulting in losses in the synthetic markets it trades in. Losses were postedto the Partnership in August attributable to a continuation of trends fromthe second half of July. Equities and fixed income ended the month up.Similarly, most commodities finished up (except oil, natural gas and grains)and currency performance was mixed. In August the Portfolio Funds had morelong positions than short positions i.e. long positions in crude oil, softs andmetals with short positions in natural gas, grains and livestock. Incurrencies, the Portfolio Funds held short positions in the United Statesdollar and in fixed income; it was long across the yield curve. In general, theequity and fixed income positioning posted profits for the Portfolio Fundsthroughout the month of August. Similarly, the Portfolio Funds were spot on intheir commodity positioning except in crude oil. Currencies were mixed andlosses in some markets canceled out profits in others. Sugar, metals and equitypositions were the best performers. In September, the Portfolio Funds made most of their profits in equity indices andcurrencies as trends from late summer continued. Short positions in theUnited States dollar performed the best as the United States dollar continuedto slide against other major currencies. Long equity index and long fixedincome positions also continued to be profitable for the Portfolio Funds asthere were neither reversals nor choppiness in those asset classes as trendsfrom late summer continued. Commodities detracted from performance due tochoppiness in crude oil and huge adverse moves in natural gas. Transtrend wasthe only Portfolio Fund showing a loss for the month due to its short positionsin natural gas.

 

In October thePortfolio Funds had the positioning that had been working in August and September withlong positions in equity indices and fixed income and short positions in theU.S. dollar. In commodities, there were long positions in metals with shortpositions in energy and grains. These positions worked in the first three weeksof the month. Equities and metals appreciated and the U.S. dollar continued itsdecline, so those positions posted profits to the Partnership. However, thegains were offset by losses from the bond positions where yields rose and inthe energy positions prices went up. Overall, the

 

17

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Portfolio Funds finished the first three weeks of October slightlyup. In the last week of October, big reversals hit most markets. Equities andcommodities declined and the U.S. dollar and bonds rallied posting losses tothe Partnership. Those reversals proved to be temporary and trends that hadbeen in place since earlier in the year resumed during November. The PortfolioFunds kept their positioning during the week of reversals and thus were able tocapitalize on the resumption of trends resulting in profits being posted to thePartnership.  In November, market moveswere well aligned with positioning. Long positions in equity indices and globalequity markets ended the month up significantly, resulting in profits beingposted to the Partnership. Similarly, the U.S. dollar continued its slid andthe Portfolio Funds benefiting from the short positions in the U.S. dollar. Infixed income, global interest rates continued to come down, resulting inprofits for the Portfolio Funds posting profits to the Partnership in theirlong positions in interest rates and bond positions. Commodities alsocontributed positively to performance due to long positions in precious metals.Overall, three out of the four Trading Advisors made money in all asset classesas trends continued in the direction of their positioning. Losses were postedto the Partnership in December. This was due primarily to reversals in three ofthe six major asset classes in which the Partnership invests. Fixed income wasthe worst performer where yields rose sharply during the month, hurting longpositioning in both interest rates and bonds. Currencies also saw a bigreversal as the U.S. dollar appreciated sharply against major foreigncurrencies which went against the Portfolio Funds short positions in the U.S.dollar. Finally in commodities, oil, natural gas and precious metals saw bigreversals, especially in the first part of December, hurting existingpositions. Equity indices posted profits with the long term up trend continued,generating profits. However, the profits were not enough to offset the losses.

 

Most of the losses in2009 came during the March-July period. March marked the beginning ofsignificant reversals in equities, currencies and commodities which medium andlong term trend Trading Advisors were not well prepared to deal with. Thesereversals caused relatively large losses at first until mid summer when theTrading Advisors finally turned around their portfolios to match the newtrends. The rest of the year was marked by choppiness in a very large number ofmarkets and smaller frequent reversals, which prevented the Partnership frommaking back earlier losses.

 

**2008**

 

Year ended December 31,2008

 
| ** **                                    | ** ** | **Total Trading  Profit (Loss)** | ** ** |
|-----------------------------------------------|------------|----------------------------------|------------|
| ML Winton  FuturesAccess LLC                  |       | $                                | 19,067,176 |   |
| ML Aspect FuturesAccess  LLC                  |       | 25,131,209                       |       |
| ML Transtrend  DTP Enhanced FuturesAccess LLC |       | 25,962,636                       |       |
| ML Chesapeake  FuturesAccess LLC              |       | 16,493,322                       |       |
|                                          |       |                             |       |
|                                          |       | $                                | 86,654,343 |   |

 

The Partnershipexperienced a net trading profit for the year ended December 31, 2008 of$86,654,343

 

The beginning of the first quarter was positive forthe Partnership despite dramatic declines in global stock indices, illustratingthe Partnership’s low correlation with equities over a market cycle. All fourPortfolio Funds had long positions in fixed income and precious metals, both ofwhich benefited from fears of a U.S. recession, as well as sharp U.S. FederalReserve rate cuts totaling 1.25% for the month and the continuing rally ingrain markets. Losses came primarily from energy markets as oil prices weakenedand natural gas rebounded. Profits continued to be posted to the Partnership inFebruary. The bulk of returns were earned in surging commodity markets asgrains and softs rallied strongly due to low inventories and positive forecastsof demand. Energy and metals climbed as these sectors are perceived as aninflation hedge. The other profitable trades included short currency positionsagainst the U.S. dollar. The Partnership posted losses at the end of the firstquarter. Transtrend, the most diversified manager in the vertical, was the topperformer while Chesapeake was the bottom performer. The Portfolio Funds wereable to limit the damage in at the end of the first quarter by reducingleverage and scaling back positions in inverse proportion to rising volatilityin the commodity markets.

 

18

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The Partnership posted losses at the beginning of thesecond quarter. Although most Portfolio Funds made gains in April withtheir long energy positions, as oil and natural gas hit historic highs, thesewere offset by losses from reversals in the financial futures markets. MostPortfolio Funds came into April with short positions in the United Statesdollar, long positions on bonds and short positions in equities. However,markets experienced a relief rally in April as investors began to believethe credit crisis might be over. This caused the United States dollar torebound, bonds to fall and equities to rise, resulting in losses for thePartnership. Profits were posted to the Partnership in May due to thePortfolio Funds long energy positions with crude oil up from April andnatural gas was up continuing the trends from previous months. Profitscontinued to be posted to the Partnership at the end of the second quarter dueto the Portfolio Funds long positions in commodities and short positions inequities.

 

Losses were posted to the Partnership at the beginningof the third quarter. The Portfolio Funds suffered their worst monthlyperformance of the year at the beginning of the third quarter, as bullishtrends in commodities dramatically reversed. Losses continued to be posted tothe Partnership due to the Portfolio Funds long positions in most of thecommodity markets. After having made most of their year to-date gains incommodities, the Portfolio Funds had their largest losses in these markets inJuly. The Goldman Sachs Commodity Index fell for the month and the energysub-index was also down as the correction was particularly severe in naturalgas. Losses continued to be posted to the Partnership in August due to twomajor trend themes. The first was the strengthening in the U.S. dollar,following a long period of declines against most major currencies due to thePortfolio Funds short positions in the U.S. dollar which caused them to losemoney. The second big theme was the continued decline in commodities, followingthe dramatic reversal from July. The Goldman Sachs Commodity Index was down fora second month in a row. Most of the Portfolio Funds within the verticalreduced their commodity exposure, however they were still long for most of themonth and were down accordingly. The end of the third quarter witnessed anextended weakness in the financial markets that was manifested in a sharpsell-off in global equities and commodities, including energies, grains, andindustrial metals. The Commodity Research Bureau Futures Index finished the endof the quarter down, bond yields fell moderately, while the U.S. dollarcontinued its upward move against other major currencies with the U.S. DollarIndex Future, finishing the month up. In light of September’s marketvolatility, the Portfolios Funds performance exhibited a fair amount ofvariance which was the function of the time frame of the underlying strategy.

 

Profits were posted to the Partnership at thebeginning of the fourth quarter that contained a story of two months. The firsthalf of the month was characterized by an acute panic in financial markets withglobal equities, commodities, and high yielding currencies dropping and dollarrising. The second half that started with the equity market rally on Monday October 13thwas characterized by wild day to day volatility but kept most marketsrelatively range bound. All four Portfolio Funds generated positive returns inthe first half of the month and then succeeded to keep most of these gains. AllPortfolio Funds benefited from bearish moves in commodities and equities andstrong U.S. dollar in the first half of the month. November was a stormymonth in the financial markets however profits were posted to the Partnership.The Portfolio Funds made money in November as most stayed away fromvolatile equity markets and instead benefited from long positions in globalbonds as bonds rallied and short positions in commodities as commoditiescontinued to decline. On average, fixed income was the best contributor to theperformance, followed by commodities, and then currencies as a distant thirdplace. The year ended with profits being posted to the Partnership. The largestgains were made in fixed income as the Portfolio Funds profited from longpositions across the curve as yields continued to fall dramatically. Shortpositions in commodities, particularly energy, and long positions in the Euroand short positions in the British pound positions also proved profitable andequity returns were flat.

 

19

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General

 

The following summary outlines the operations of thePartnership during January 1, 2007 to June 30, 2007.

 

PerformanceSummary

 

**2007**

 

Year ended December 31, 2007

 
| ** **                                    | ** ** | **Total Trading  Profit (Loss)** | ** **  |
|-----------------------------------------------|------------|----------------------------------|-------------|
| ML Winton  FuturesAccess LLC                  |       | $                                | 11,721,846  |   |
| ML Aspect  FuturesAccess LLC                  |       | 3,530,088                        |        |
| ML Transtrend  DTP Enhanced FuturesAccess LLC |       | 15,550,879                       |        |
| ML Chesapeake  FuturesAccess LLC              |       | (5,976,852                       | )           |
| ML JWH Strategic  Allocation Fund LP *        |       | (74,093,695                      | )           |
|                                          |       |                             |        |
|                                          |       | $                                | (49,267,734 | ) |

 

----

*JWH Strategic Allocation Fund LP liquidated in May 2007, effectiveJune, 2007 the fund was Trendfollowing.

 

ML JWH StrategicAllocation Fund L.P. Sector Commentary for the period January — June 2007

 

The Partnership posted an overall loss for the first quarter.

 

The agriculture sector posted losses for thePartnership. Price instability hurt performance at the beginning of the quarteras New York coffee fell from a ten month high. The rally in coffee had beenfueled by speculation that drought would reduce Brazil’s harvest. The strongtrend then suffered a reversal as coffee prices in New York suffered theirlongest slump in thirteen months on speculation that favorable weather inBrazil might actually boost the harvest. Corn, which suffered a sharp reversalby 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 the Partnership.Geopolitical events and a record-breaking heat wave in the Northeastern UnitedStates caused volatility beginning of the quarter as natural gas prices fell6.9% after a government report showed a smaller-than-average decline ininventories of the fuel. Following a government report indicating that theUnited States supplies of crude oil, gasoline, heating oil and diesel wereabove the five-year average for the period, crude oil prices plunged andreached a nineteen month low of $49.90 a barrel. However, forecasts of colderweather throughout February 2007 reversed the weakening trend and sentenergy prices upward. Despite the volatility within the sector, crude oil andLondon gas oil were able to offset a majority of the losses.  Natural gas reversed its strengthening trendmid-quarter and had its biggest loss in more than six weeks in New York.Larger-than-expected supplies and forecasts of more seasonal temperaturesacross the central United States contributed to the reversal. After reaching a two-monthhigh on February 5, 2007 for natural gas March 2007 delivery itdropped 7.7 % on February 12, 2007, its biggest one-day percentage declinesince 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 heating fuel.  However, when forecasters predicted a shiftin the weather pattern

 

20

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that would delivercolder-than-normal air to the eastern United States, the sector experiencedlosses as natural gas suffered a trend reversal as prices rose to a one-monthhigh.  While gains were achieved in crudeoil as it continued its weakening trend they were limited as crude oil spikedhigher and traded near a six-month high after Iran seized 15 British Navalpersonnel in the Persian Gulf on March 23, 2007.

 

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 as speculationgrew that the Bank of Japan, which doubled interest rates, from .25 to .50, atits February 21, 2007 meeting would pause before raising borrowing costsany further. This prompted a move higher in the market and the rally wasfurther supported after the Nikkei 225 stock average posted its biggest declinesince June 2006.  Fixed-incomemarkets, which had rallied mid-quarter continued to strengthen as uncertaintyincreased that the drop in equities and the rising defaults among the riskiestmortgages would slow consumer spending and the global economy. Europeangovernment bonds posted their biggest back-to-back weekly decline in threemonths as European Central Bank President Jean-Claude Trichet reassuredinvestors and stated that growth was “broader and sustained” and left “no timefor complacency.”  The quarter ended asthe U.S. ten-year Treasury note surrendered the remainder of the gains it hadamassed after the equity sell-off that began on February 27, 2007 whichhad 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.

 

21

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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 costs. The U.S. dollar had its largestfall mid-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 to itshighest level in more than 19 months amid a correction in U.S. stocks as theinvestors 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 a gain for the two months ended May 31,2007.

 

The interest rate sector was the most profitablesector for the period. The sector was negative for April 2007 asuncertainty 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’slargest user, drove prices higher during the month. Gold also added toperformance as the precious metal reached an 11 month high when demand for ahedge against the weakness in the U.S. dollar

 

22

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increased.  The sector’s performance was negative in May 2007,as a reversal in precious metals hurt performance as the Partnership exitedpositions. Gold fell to a two-month low in May 2007 and was down 2.5percent for the month, as a gain in the value of the U.S. dollar reduced demandfor the precious metal as an alternative investment. Silver (which has widerindustrial applications than gold) dropped 0.7 percent in May 2007.Despite the drop, gold has gained 4.5 percent for the year, while silver hasrisen 4.1 percent.

 

The energy sector was the least profitable for themonth as weather and geopolitical events once again were the driving forcebehind price movements. Natural gas, the sector’s worst performer, fluctuatedthroughout the period as weather drove demand. Crude oil also hurt performanceas prices fell to $61.34 a barrel on April 19, 2007 before reversing to$66.70 a barrel on April 27, 2007. This reversal occurred when SaudiArabian authorities announced the arrest of more than 170 suspected terrorists,who were reportedly plotting to attack the country’s oil facilities. U.S. oilfutures traded between $60 and $67 during the period as ample domesticstockpiles tempered the impact of supply shutdowns in Alaska and Nigeria.

 

Effective June 1, 2007, the Partnership becamemulti-manager fund of funds with equal weighting to the FuturesAccess managedaccounts of Aspect, Chesapeake, Transtrend, and Winton. The Partnershipreturned an estimated +2.1% for the month of June 2007.

 

During the month of June 2007 the most profitabletrading across all managers came from the fixed income and currencysectors.  Bonds sold off on strong dataand inflation concerns and the managers’ trend following models were successfulnavigating 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 naturalgas.  Metals trading produced netnegative 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 began with extreme market reversals.Practically all markets which were trending upward retraced as investors ranfor the exit in an attempt to reduce risk. Credit worries and a softeninghousing market finally caught up to the equity markets and led to a big rallyin global bonds. The Japanese yen, which has been persistently weak for years,suddenly rallied against all of its higher yielding counterparts. As a resultof the reversals, losses were posted to the Partnership. Long term markettrends continued to unwind mid-quarter as the long positions in the foreignexchange carry trades, long international equities, long energy and long metalsdue to a spike in risk aversion on August 16, 2007 caused significantlosses in each of these trades posting losses for the Partnership. The thirdquarter ended with a very strong performance after a turbulent summer. Strongtrends re-emerged in commodities in particular, as wheat gained 21%, and crudeoil rose 11% due to supply factors. In addition, precious metals rallied, withgold up by 10% and silver up by 13% due to the U.S. dollar weakening whichcaused demand for precious metals as a store of value. The U.S Federal Reserve’s50 basis points mid-month rate cut also helped to invigorate investor riskappetite, helping foreign exchange carry trades and boosting global equitymarkets.

 

The fourth quarter began with positive results for thePartnership. Trends were strongest in currencies and commodities. October 2007saw a continuation of U.S. dollar weakness due to housing and credit concerns,as well as the U.S. Federal Reserve interest rate cuts. Commodity basedcurrencies such as the Canadian dollar and the Australian dollar surged, whilelow yielding currencies such as the Japanese yen weakened. In commodities,supply worries pushed crude oil up 17% past $95.00 a barrel, while gold alsosurged as the U.S. dollar weakness caused investors to flock to precious metalsas a store of value. Stocks were also broadly positive, with the Hang SengIndex leading the major markets, gaining over 15% on reports that the Hong Kongmarket would open to mainland Chinese investors. Most Partnership managers hada moderately negative month in November 2007, which saw a swing backtowards global risk aversion.

 

23

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**Variables Affecting Performance**

 

The principal variables that determine the netperformance of the Partnership and the Portfolio Funds are gross profitabilityfrom the Partnership’s and the Portfolio Funds’ trading activities and interestincome.

 

The Partnership currently earns interest based on theprevailing Fed Funds rate plus a spread for short cash positions and minus aspread for long cash positions.  Thecurrent short term interest rates have remained extremely low when comparedwith historical rates and thus has contributed negligible amounts to overallPartnership performance.

 

During all periods set forth above in “SelectedFinancial Data”, the interest rates in many countries were at unusually lowlevels.  In addition, low interest ratesare frequently associated with reduced fixed income market volatility, and instatic markets the Partnership’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Partnership may be reduced as compared to high yieldingand much lower risk fixed-income investments.

 

The Partnership’s Brokerage Commissions andAdministrative Fees are a constant percentage of the Partnership costs, otherthan the insignificant currency trading costs which are not based on apercentage of the Partnership’s assets allocated to trading or total, and theProfit Shares payable to the Advisor based on the new Trading Profits generatedby the Partnership excluding interest and after reduction for a portion of theBrokerage Commissions.

 

Unlike many investment Partnerships, there is nomeaningful distinction in the operation of the Partnership between realized andunrealized profits.  Most of thecontracts traded by the Partnership and the Portfolio Funds are highly liquidand 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,have no material impact on the Partnership.

 

**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.  These borrowingsare at a prevailing short-term rate in the relevant currency.

 

Inflation byitself does not affect profitability, but it can cause price movements that doso.

 

The Partnership’s and thePortfolio Funds’ assets and open 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 necessarilyindicative of whether the Partnership and the Portfolio Funds will do so in thefuture.

 

As a commoditypool, the Partnership maintains an extremely large percentage of its assets incash at the underlying Fund, which it must have available to post initial andvariation margin on futures contracts. This cash is also used to fund redemptions.  While the Partnership has the ability to fundredemption proceeds from liquidating positions, as a practical matter positionsare not liquidated to fund redemptions. In the event that positions were liquidated to fund redemptions, MLAI,as the General Partner of the Partnership, has the ability to overridedecisions of one or more of the Trading Advisors to fund redemptions if necessary,but in practice the respective Trading Advisors would determine, in itsdiscretion which investments should be liquidated.

 

(The Partnership has no off-balance sheet arrangementsor tabular disclosure of contractual obligations of the type described in Items3.03(a)(4) and 3.03(a)(5) of Regulation S-K.)

 

***RecentAccounting Developments***

 

Recent accountingdevelopments are discussed in Exhibit 13.01.

 

24

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**Item 7A: Quantitative andQualitative Disclosures about Market Risk**

 

## Introduction

##  

The Portfolio Funds are aspeculative commodity pools.  The marketsensitive instruments held by the Portfolio Funds’ are acquired for speculativetrading purposes and all or substantially all of the Portfolio Funds’ assets aresubject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Portfolio Funds’ 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’under the direction of their respective Trading Advisors rapidly acquire andliquidate both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible 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 recurrencein the markets traded by the Partnership and the Portfolio Funds of marketmovements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Partnership’sand the Portfolio Funds’ experience to date (i.e., “risk of ruin”).  In light of the foregoing as well as therisks and uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered to constitute anyassurance or representation that the Partnership’s and the Portfolio Funds’losses in any market sector will be limited to Value at Risk or by thePartnership’s and the Portfolio Funds’ attempts to manage its market 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 the Portfolio Funds isquantified below in terms of Value at Risk. Due to the Portfolio Funds’ fair value accounting, any loss in the fairvalue of the Portfolio Funds’ open positions is directly reflected in thePortfolio Funds’ earnings (realized or unrealized) and cash flow (at least inthe case of exchange-traded contracts in which profits and losses on openpositions are settled daily through variation margin).

 

Exchange maintenancemargin requirements have been used by the Portfolio Funds as the measure of theirValue 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 marketsensitive instruments which are not exchange-traded (almost exclusivelycurrencies in the case of the Portfolio Funds), the margin requirements for theequivalent futures positions have been used as Value at Risk.  In those rare cases in which afutures-equivalent margin 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 following information with respect to Value AtRisk (“VAR”) is set forth in respect of the Portfolio Funds separately, ratherthan for the Partnership on a stand-alone basis.

 

25

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# **The Partnership’s TradingValue at Risk in Different Market 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 years2009 and 2008, with the period June 1, 2007 through December 31, 2007and five months ended May 31, 2007. The Partnership’s averagecapitalization was approximately $617,644,302. During the fiscal years 2009 and2008, the Partnership’s average capitalization was approximately $301,100,477and $362,197,519.

 
| **Aspect Class DT          (3)** | **December 31,  2009** |   |
|-----------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 58,545     |               | 0.08       | %                 | $          | 222,728          |       | $ | 1,853 |   |
| Energy                    |       | 47,040            |       | 0.06               | %          | 114,272           |       | 6,331            |       |
| Interest Rates            |       | 6,024,920         |       | 8.02               | %          | 11,364,825        |       | 3,584,683        |       |
| Metals                    |       | 117,262           |       | 0.16               | %          | 470,218           |       | 2,758            |       |
| Stock Indices             |       | 164,667           |       | 0.22               | %          | 640,072           |       | 4,509            |       |
| Currencies                |       | 305,501           |       | 0.41               | %          | 850,750           |       | 74,503           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 6,717,935  |               | 8.95       | %                 | $          | 13,662,865       |       | $ | 3,674,637 |   |

 

----

(3) AverageCapitalization of Aspect Class DT is $75,120,990.

 
| **Aspect Class DT          (3)** | **December 31,  2008** |   |
|-----------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 185,196    |               | 0.20       | %                 | $          | 889,832          |       | $ | 40,581 |   |
| Energy                    |       | 291,253           |       | 0.32               | %          | 1,228,672         |       | 43,388           |       |
| Interest Rates            |       | 5,380,977         |       | 5.93               | %          | 11,532,098        |       | 2,249,539        |       |
| Metals                    |       | 125,019           |       | 0.14               | %          | 564,269           |       | 38,558           |       |
| Stock Indices             |       | 356,658           |       | 0.39               | %          | 1,448,188         |       | 15,889           |       |
| Currencies                |       | 646,950           |       | 0.71               | %          | 2,490,817         |       | 27,035           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 6,986,053  |               | 7.69       | %                 | $          | 18,153,876       |       | $ | 2,414,990 |   |

 

----

(3) AverageCapitalization of Aspect Class DT is $90,732,270.

 

26

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| **Chesapeake Class DT          (4)** | **December 31,  2009** |   |
|---------------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 352,214    |               | 0.47       | %                 | $          | 1,006,140        |       | $ | 58,438 |   |
| Energy                    |       | 202,637           |       | 0.27               | %          | 891,019           |       | —           |       |
| Interest Rates            |       | 4,385,844         |       | 5.82               | %          | 8,859,143         |       | 2,578,580        |       |
| Metals                    |       | 530,364           |       | 0.70               | %          | 1,606,549         |       | 25,831           |       |
| Stock Indices             |       | 3,725             |       | 0.00               | %          | 43,115            |       | —           |       |
| Stock Futures             |       | 440,607           |       | 0.58               | %          | 1,952,608         |       | —           |       |
| Currencies                |       | 237,038           |       | 0.31               | %          | 754,785           |       | 17,417           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 6,152,429  |               | 8.15       | %                 | $          | 15,113,359       |       | $ | 2,680,266 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DT is $75,351,581.

 
| **Chesapeake Class DT          (4)** | **December 31,  2008** |   |
|---------------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 529,522    |               | 0.59       | %                 | $          | 1,383,301        |       | $ | 46,666 |   |
| Energy                    |       | 407,296           |       | 0.45               | %          | 1,037,186         |       | —           |       |
| Interest Rates            |       | 4,733,982         |       | 5.26               | %          | 6,598,772         |       | 2,370,577        |       |
| Metals                    |       | 221,449           |       | 0.25               | %          | 578,699           |       | 20,974           |       |
| Stock Indices             |       | 0                 |       | 0.00               | %          | 0                 |       | —           |       |
| Stock Futures             |       | 96,842            |       | 0.11               | %          | 242,893           |       | 0                |       |
| Currencies                |       | 702,668           |       | 0.78               | %          | 1,987,043         |       | 10,057           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 6,691,759  |               | 7.44       | %                 | $          | 11,827,894       |       | $ | 2,448,274 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DT is $89,997,090.

 
| **Transtrend Class DT          (2)** | **December 31,  2009** |   |
|---------------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 119,001    |               | 0.16       | %                 | $          | 517,498          |       | $ | 10,755 |   |
| Energy                    |       | 196,230           |       | 0.26               | %          | 732,217           |       | 3,582            |       |
| Interest Rates            |       | 4,845,718         |       | 6.44               | %          | 7,298,634         |       | 2,592,282        |       |
| Metals                    |       | 76,241            |       | 0.10               | %          | 235,481           |       | 1,184            |       |
| Stock Indices             |       | 291,525           |       | 0.39               | %          | 779,868           |       | 14,563           |       |
| Currencies                |       | 228,493           |       | 0.30               | %          | 802,119           |       | 26,283           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 5,757,208  |               | 7.65       | %                 | $          | 10,365,817       |       | $ | 2,648,649 |   |

 

----

(2) Averagecapitalization of Transtrend Class DT is $75,287,863.

 
| **Transtrend Class DT          (2)** | **December 31,  2008** |   |
|---------------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market  Sector**        | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 182,461    |               | 0.20       | %                 | $          | 582,659          |       | $ | 9,194 |   |
| Energy                    |       | 285,767           |       | 0.31               | %          | 860,102           |       | 6,002            |       |
| Interest Rates            |       | 3,320,343         |       | 3.66               | %          | 4,725,600         |       | 1,070,708        |       |
| Metals                    |       | 135,642           |       | 0.15               | %          | 367,108           |       | 5,320            |       |
| Stock Indices             |       | 269,176           |       | 0.30               | %          | 559,898           |       | 74,117           |       |
| Currencies                |       | 663,147           |       | 0.73               | %          | 1,885,356         |       | 22,246           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 4,856,536  |               | 5.35       | %                 | $          | 8,980,723        |       | $ | 1,187,587 |   |

 

----

(2) Averagecapitalization of Transtrend Class DT is $90,739,888.

 

27

----

 
| **Winton Class DT          (5)** | **December 31,  2009** |   |
|-----------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 23,349     |               | 0.03       | %                 | $          | 59,461           |       | $ | 877 |   |
| Energy                    |       | 12,483            |       | 0.02               | %          | 28,334            |       | 378              |       |
| Interest  Rates           |       | 2,965,758         |       | 3.94               | %          | 3,534,637         |       | 2,556,359        |       |
| Metals                    |       | 61,345            |       | 0.08               | %          | 203,170           |       | 4,910            |       |
| Stock  Indices            |       | 123,451           |       | 0.16               | %          | 446,208           |       | 21,912           |       |
| Currencies                |       | 256,475           |       | 0.34               | %          | 511,567           |       | 52,661           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 3,442,861  |               | 4.57       | %                 | $          | 4,783,377        |       | $ | 2,637,097 |   |

 

----

(5) Averagecapitalization of Winton Class DT is $75,340,044.

 
| **Winton Class DT          (5)** | **December 31,  2008** |   |
|-----------------------------------------------------------------------------------------|-----------------------------|--------|

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 170,852    |               | 0.19       | %                 | $          | 413,358          |       | $ | 14,904 |   |
| Energy                    |       | 179,406           |       | 0.20               | %          | 473,722           |       | 20,147           |       |
| Interest  Rates           |       | 2,951,536         |       | 3.25               | %          | 4,369,215         |       | 1,938,209        |       |
| Metals                    |       | 113,219           |       | 0.12               | %          | 272,303           |       | 1,798            |       |
| Stock  Indices            |       | 283,997           |       | 0.31               | %          | 1,162,635         |       | 10,490           |       |
| Currencies                |       | 503,530           |       | 0.55               | %          | 1,134,007         |       | 38,278           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 4,202,540  |               | 4.62       | %                 | $          | 7,825,240        |       | $ | 2,023,826 |   |

 

----

(5) Averagecapitalization of Winton Class DT is $90,903,740.

 

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

 

**May 31, 2007**

 
| ** **        | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|-------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|              |       |              |       |               |       |              |       |             |       |
| Agriculture       |       | $                 | 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 |   |

 

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 — gives no indication of this “risk of ruin.”

 

28

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**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 at MLPF&Sor BlackRock.  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.

 

**Qualitative Disclosures Regarding Primary TradingRisk Exposures**

 

The followingqualitative disclosures regarding the Partnership’s market risk exposuresthrough the Portfolio Funds after the change in structure— except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market risk exposures —constitute forward-looking statements within the meaning of Section 27A ofthe Securities Act and Section 21E of the Securities Exchange Act.  The Partnership’s primary market riskexposures as well as the strategies used and to be used by MLAI and the TradingAdvisors of the Portfolio Funds for managing such exposures are subject tonumerous uncertainties, contingencies and risks, any one of which could causethe actual results of the risk controls for the Partnership and for the tradingconducted through Portfolio Funds to differ materially from the objectives ofsuch strategies.  Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, and an influx of new market participants, increased regulationand many other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of thePartnership.  There can be no assurancethat the Partnership’s risk management strategies will not change materially orthat any such strategies will be effective in either the short- orlong-term.  Investors must be prepared tolose 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 inplace intended to control market risk, although there can be no assurance thatthey will, in fact, succeed in doing so. While MLAI does not intervene in the markets to hedge or diversify thePartnership’s market exposure MLAI may urge the Portfolio Funds to reallocatepositions in an attempt to avoid over-concentrations.  However, such interventions are unusual.  Except in cases in which it appears that thePortfolio Funds has begun to deviate from past practice and trading policies orto be trading erratically, MLAI basic risk control procedures consist simply ofthe ongoing process of monitoring the Portfolio Funds with the market risk controlsbeing applied by the Portfolio Funds.

 

Risk Management

 

Portfolio Funds attempt to control risk in all aspects of theinvestment process — from confirmation of a trend to determining the optimalexposure in a given market, and to money management issues such as the startupor 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 therisk of volatility while maintaining the potential for excellent performance, proprietaryresearch is conducted on an ongoing basis to refine the Portfolio Fundsinvestment strategies.  Research maysuggest substitution of alternative investment methodologies with respect toparticular contracts; this may occur, for example, when the testing of a newmethodology has indicated that its use might have resulted in differenthistorical performance.  In addition,risk management research and analysis may suggest modifications regarding therelative weighting among various contracts, the addition or deletion ofparticular contracts for a program, or a change in position size in relation toaccount equity.  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.

 

29

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Portfolio Funds maydetermine that risks arise when markets are illiquid or erratic, which mayoccur cyclically during holiday seasons, or on the basis of irregularlyoccurring market events.  In such cases,Portfolio Funds at their sole discretion, may override computer-generatedsignals and may at times use discretion in the application of its quantitativemodels, which may affect performance positively or negatively.

 

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,assessments of current market volatility and risk exposure, subjectivejudgment, and evaluation of these and other general market conditions.

 

## Non-Trading Risk

##  

The Partnership and thePortfolio Funds control the non-trading exchange rate risk by regularlyconverting foreign currency balances back into U.S. dollars at least once perweek and more frequently if a particular foreign currency balance becomesunusually high.

 

The Partnership and thePortfolio Funds have cash flow interest rate risk on its cash on deposit withMLPF&S and in the BlackRock sponsored money market fund 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 and in the BlackRock sponsored money market fund.

 

**Item 8:****         ****Financial Statements andSupplementary Data**

 

Net Income byQuarter

Eight Quartersthrough December 31, 2009

 
| ** **                                       | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** **  | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|--------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|-------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                       | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** **  | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                       | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** ** | **2009**    | ** **  | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** |
| Total  Income (Loss)                             |       | $           | (5,796,648 | )           | $          | 6,659,539   |       | $           | (21,349,423 | )           | $          | (5,966,415  | )          | $           | 50,692,975 |        | $          | (32,940,061 | ) | $ | 29,201,641 |   | $ | 39,710,442 |   |
| Total  Expenses                                  |       | 2,724,237   |       | 2,847,380   |       | 3,039,014   |       | 3,511,697   |        | 3,648,937   |       | 3,505,091   |       | 3,816,647   |       | 4,258,994   |       |
| Net  Income (Loss)                               |       | $           | (8,520,885 | )           | $          | 3,812,159   |       | $           | (24,388,437 | )           | $          | (9,478,112  | )          | $           | 47,044,038 |        | $          | (36,445,152 | ) | $ | 25,384,994 |   | $ | 35,451,448 |   |
|                                             |       |        |       |        |       |        |       |        |        |        |       |        |       |        |       |        |       |
| Net  Income (Loss) per weighted average Unit (a) |       | $           | (5.5641    | )           | $          | 2.3653      |       | $           | (14.6420    | )           | $          | (5.4437     | )          | $           | 25.06      |        | $          | (18.42 | ) | $ | 12.29 |   | $ | 16.13 |   |

 

----

(a) The NetIncome (Loss) per weighted average Unit is based on the weighted average of thetotal Units for each quarter.

 

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:****         ****Changes in andDisagreements with Accountants on Accounting and Financial Disclosure**

 

The Board of Managers ofMLAI dismissed Deloitte & Touche as the independent registered publicaccounting firm for the Partnership, effective April 20, 2009. The Boardof Managers of MLAI, on behalf of the Partnership, approved the engagement ofPricewaterhouseCoopers LLP as the independent registered public accounting firmfor the Partnership, effective April 20, 2009.

 

There were nodisagreements with the respective independent registered public accountingfirms on accounting and financial disclosure.

 

30

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**Item9A(T): Controls and Procedures**

 

MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of thePartnership, has evaluated the effectiveness of the design and operation of itsdisclosure controls and procedures with respect to the Partnership’s as of andfor the year which ended December 31, 2009, and, based on its evaluation,has concluded that these disclosure controls and procedures are effective.

 

*Changesin Internal Control over Financial Reporting*

 

Nochange in internal control over financial reporting (as defined in Rule 13a-15(f) underthe Securities Exchange Act of 1934) occurred during the quarter ended December 31,2009 that has materially affected, or is reasonable likely to materiallyaffect, the Partnership’s internal control, over financial reporting.

 

*Management’sReport on Internal Control over Financial Reporting:*

 

ThePartnership’s management is responsible for establishing and maintainingadequate internal control over financial reporting.  The Partnership’sinternal control over financial reporting is a process designed under thesupervision of MLAI’s Chief Executive Officer and the Chief Financial Officer,on behalf of the Partnership and is effected by management, other personnel andservice providers to provide reasonable assurance regarding the reliability offinancial 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 Partnership.

 

·                  Provide reasonable assurance that transactions arerecorded as necessary to permit preparation of financial statements inaccordance with generally accepted accounting principles, and that receipts and expenditures of the Partnership are being made only in accordancewith authorizations of management and directors of the Partnership; and

 

·                  Provide reasonable assurance regarding prevention ortimely detection of unauthorized acquisitions, use or disposition of thePartnership’s assets that could have a material effect on the financialstatements.

 

Becauseof its inherent limitations, internal control over financial reporting can onlyprovide only reasonable assurance with respect to financial statementpreparation and presentation.  Projections of any evaluation ofeffectiveness to future periods are subject to the risks that controls maybecome inadequate because of changes in condition, or that the degree ofcompliance with the policies or procedures may deteriorate.

 

ThePartnership’s management assessed the effectiveness of the Partnerships’internal control over financial reporting as of December 31, 2009. In making this assessment, management used the criteria set forth by theCommittee of Sponsoring Organizations of the Treadway Commission (COSO) in “InternalControl-Integrated Framework”.

 

Basedon its assessment the Partnership’s management concluded that at December 31,2009, the Partnership’s internal control over financial reporting waseffective.

 

This annual reportdoes not include an attestation report of the Partnership’s independentregistered public accounting firm regarding internal control over financialreporting. Management’s report was not subject to attestation by thePartnership’s independent registered public accounting firm pursuant totemporary rules of the Securities and Exchange Commission that permit thePartnership to provide only management’s report for this annual report.

 

**Item 9B:   OtherInformation**

 

Not applicable.

 

31

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**PART III**

 

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

 
| 10(a) and 10(b) | Identification of  Directors and Executive Officers: |
|----------------------|------------------------------------------------------|

 

 

As a Limited partnership,the Partnership has no officers or directors and is managed by MLAI.

 

Trading decisions aremade by Portfolio Funds’ Trading Advisors on behalf of the Partnership.

 

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

 
| **Justin C. Ferri**  | Chief Executive  Officer, President and Manager |
|----------------------|-------------------------------------------------|
|                 |                                            |
| **Barbra E. Kocsis** | Chief Financial Officer                         |
|                 | (Principal Financial  and Accounting Officer)   |
|                 |                                            |
| **Deann Morgan**     | Vice President and  Manager                     |

 

Justin C. Ferri is theChief Executive Officer, President and Manager of MLAI. Mr. Ferri, 34 years old, has been theChief Executive Officer and President of MLAI since August 2009. Mr. Ferrihas been a Manager of MLAI and has been listed as a principal of MLAI since July 29,2008. He has been registered with NFA as an associated person of MLAI since September 11,2009. He also serves as Managing Director within the Merrill Lynch GlobalWealth & Investment Management group and the Global InvestmentsSolutions group (“GWIM” and “GIS,” respectively), responsible for heading GWIM’sAlternative Investments business. In addition, Mr. Ferri serves as VicePresident of IQ Investment Advisors LLC (“IQ”), an indirect, wholly-owned investmentadviser subsidiary of Merrill Lynch & Co., and serves as President ofeach of IQ’s publicly traded closed-end mutual fund companies. Prior to hisrole in GIS, Mr. Ferri was a Director in the MLPF&S Global PrivateClient Market Investments & Origination group, and before that, heserved as a Vice President and head of the MLPF&S Global Private ClientRampart Equity Derivatives team. Prior to joining Merrill Lynch in 2002, Mr. Ferriwas a Vice President within the Quantitative Development group of mPowerAdvisors LLC from 1999 to 2002, and prior to that, he worked in the PrivateClient division of J.P. Morgan & Co. He holds a B.A. degree fromLoyola College in Maryland.

 

BarbraE. Kocsis**is the ChiefFinancial Officer for MLAI. Ms. Kocsis, 43 years old, has been the ChiefFinancial Officer of MLAI since October 2007.  Ms. Kocsis has been listed with the NFAas a principal of MLAI since May 21, 2007 and is a Director within theMerrill Lynch Global Wealth Management Investment Services group, positions shehas held since October 2006. Prior to serving in her current roles, shewas the Fund Controller of MLAI from May 1999 to September 2006.Before joining MLAI, Ms. Kocsis held various accounting and tax positionsat Derivatives Portfolio Management LLC from May 1992 until May 1999,at which time she held the position of accounting director. Prior to that, shewas an associate at Coopers & Lybrand in both the audit and taxpractices from September 1988 to February 1992. She graduated *cum laude*from Monmouth College with aBachelor of Science in Business Administration - Accounting.

 

Deann Morgan**is a Vice President and Manager of MLAI. Ms. Morgan,40 years old, hasbeen a Vice President of MLAI and Managing Director of GIS since March 2008.As Managing Director of GIS, Ms. Morgan heads Alternative InvestmentsOrigination. From April 2006 until March 2008, Ms. Morgan was aDirector for Merrill Lynch’s Investments, Wealth Management &Insurance group, where she was responsible for origination of private equityand listed alternative investments. Between August 2004 and April 2006,Ms. Morgan worked for Merrill Lynch’s Investment Banking Group coveringAsian corporate clients. She received her M.B.A. from University of Chicago andher B.B.A. from University of Michigan. Ms. Morgan has been registeredwith NFA as an associated person and listed as a principal of MLAI since August 21,2009. Ms. Morgan has also been registered with NFA as an associated personof MLPF&S since April 13, 2009.

 

32

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As of December 31, 2009, the principals of MLAIhad no investment in the Partnership, and MLAI’s general partner interest inthe Partnership was valued at $81,313,413.

 

MLAI acts as the sponsor, general partner or managerto seven public futures funds whose units of limited partner or memberinterests are registered under the Securities Exchange Act of 1934: ML AspectFuturesAccess LLC, ML BlueTrend FuturesAccess LLC, ML Select Futures I L.P., MLSystematic Momentum FuturesAccess LLC, ML Transtrend DTP Enhanced FuturesAccessLLC, ML Trend-Following Futures Fund L.P, and ML Winton FuturesAccess LLC.Because MLAI serves as the sole sponsor, general partner or manager of each ofthese funds, the officers and managers of MLAI effectively manage them asofficers and directors of such funds.

 

(c)                               Identification of Certain SignificantEmployees:

 

None.

 

(d)                                 Family Relationships:

 

None.

 

(e)                                  Business Experience:

 

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

 

(f)                                    Involvement in Certain Legal Proceedings:

 

None.

 

(g)                                 Promoters and Control Persons:

 

Not applicable.

 

(h)                                 Section 16(a) BeneficialOwnership Reporting Compliance

 

Not applicable.

 

Code of Ethics:

 

MLAI and Merrill Lynchhave adopted a code of ethics, which applies to the Partnership’s (MLAI’s) principalexecutive officer and principal financial officer or persons performing similarfunctions on behalf of the Partnership. A copy of the code of ethics is available to any person, without charge,upon request by calling 1-866-MER-ALTS.

 

Nominating Committee:

 

Not applicable.  (Neither the Partnership nor MLAI has anominating 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.

 

**Item 11:  ExecutiveCompensation**

 

The managers and officers of MLAI are remunerated byMLAI in their respective positions.  ThePartnership does not   have any officers,managers or employees.  The Partnershippays Brokerage 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.

 

33

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

 

(a)                                  Security Ownership of Certain BeneficialOwners:

 

Not applicable(The Units represent limited partnership interests.  The Partnership is managed by its generalpartner, MLAI).

 

(b)                                 Security Ownership of Management:

 

As of December 31, 2009, MLAI owned 41,909Unit-equivalent general partnership interests, which was 2.91% of the totalUnits outstanding. No partner holder owns 5% or more of the Fund’s Partnershipinterests.

 

(c)                                  Changes in Control:

 

None.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

**Item 13:  CertainRelationships and Related Transactions and Director Independence**

 

(a)                                  Transactions between Merrill Lynch andthe Partnership

 

Some of the service providers to the Partnership areaffiliates of Merrill Lynch. However, none of the fees paid by the Partnershipto such Merrill Lynch affiliates were negotiated and such fees charged to thePartnership might be higher than would have been obtained in arms-lengthnegotiations.

 

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)                                 Certain Business Relationships:

 

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

 

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)                                  Indebtedness of Management:

 

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

 

(d)                                 Transactions with Promoters:

 

Not applicable.

 

34

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(e)                                  Director Independence

 

No person who served as a manager of MLAI would be consideredindependent (based on the definition of an independent director under NASDAQrules).

 

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

 

(a)                                  AuditFees

 

Aggregate fees billed forprofessional services rendered by PricewaterhouseCoopers LLP in connection withthe audit of the Partnership’s financial statements as of and for the yearended December 31, 2009 were $85,000.

 

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, 2008 were $85,000.

 

(b)                                 Audit-RelatedFees

 

There were noother audit-related fees billed for the years ended December 31, 2009 and2008 related to the Partnership.

 

(c)                                  TaxFees

 

No fees werebilled by PricewaterhouseCoopers LLP or any member firms ofPricewaterhouseCoopers and their respective affiliates for the year ended December 31,2009 for professional services rendered to the Partnership in connection withtax compliance, tax advice and tax planning.

 

Aggregate feesbilled for professional services rendered by Deloitte Tax LLP in connectionwith the tax compliance, advice and preparation of the Partnership’s taxreturns for the year ended December 31, 2009 were $90,100.

 

Aggregate fees billedfor professional services rendered by Deloitte Tax LLP in connection with thetax compliance, advice and preparation of the Partnership’s tax returns for theyear ended December 31, 2008 were $106,000.

 

(d)                                 AllOther Fees

 

No fees werebilled by PricewaterhouseCoopers LLP or any member firms ofPricewaterhouseCoopers and their respective affiliates for the year ended December 31,2009 and for any other professional services in relation to the Partnership.

 

No fees werebilled by Deloitte and Touche LLP or Deloitte Tax LLP or any member firm ofDeloitte Touche Tohmatsu and their respective affiliates for the year ended December 31,2008 or for any other professional services in relation to the Partnership.

 

Neither thePartnership nor MLAI has an audit committee to pre-approve principal accountantfees and services. In lieu of an audit committee, the managers and theprincipal financial officer pre-approve all billings prior to the commencementof services.

 

35

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**PART IV**

 
| **Item 15:** | **Exhibits and Financial Statement Schedules** | ** **                                                                                                  |
|--------------|------------------------------------------------|-------------------------------------------------------------------------------------------------------------|
|         |                                           |                                                                                                        | **Page** |
|         | 1.                                             | Financial Statements:                                                                                       | ** ** |
|         |                                           |                                                                                                        |   |
|         |                                           | REPORTS OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRMS                                                  | 1 |
|         |                                           |                                                                                                        |   |
|         |                                           | FINANCIAL  STATEMENTS:                                                                                      |   |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Financial  Condition as of December 31, 2009 and 2008                                    | 3 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of  Operations for the years ended December 31, 2009, 2008 and 2007                         | 4 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Changes  in Partners’ Capital for the years ended December 31, 2009, 2008 and  2007 | 5 |
|         |                                           |                                                                                                        |   |
|         |                                           | Financial Data  Highlights for the years ended December 31, 2009, 2008 and 2007                        | 6 |
|         |                                           |                                                                                                        |   |
|         |                                           | Notes to Financial  Statements                                                                              | 7 |
|         |                                           |                                                                                                        |   |
|         | 2.                                             | Financial  Statement Schedules:                                                                             |   |
|         |                                           |                                                                                                        |   |
|         |                                           | (a)  Financial  Statements of ML Aspect FuturesAccess LLC                                         |   |
|         |                                           |                                                                                                        |   |
|         |                                           | Report of Independent  Registered Public Accounting Firms                                                   | 1 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Financial  Condition as of December 31, 2009 and 2008                                    | 3 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of  Operations for the years ended December 31, 2009, 2008 and 2007                         | 4 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Changes  in Members’ Capital for the years ended December 31, 2009, 2008 and 2007   | 5 |
|         |                                           |                                                                                                        |   |
|         |                                           | Financial Data  Highlights for the years ended December 31, 2009, 2008 and 2007                        | 7 |
|         |                                           |                                                                                                        |   |
|         |                                           | Notes to Financial  Statements                                                                              | 10 |
|         |                                           |                                                                                                        |   |
|         |                                           | (b)  Financial  Statements of ML Chesapeake FuturesAccess LLC                                     |   |
|         |                                           |                                                                                                        |   |
|         |                                           | Report of Independent Auditors                                                                              | 1 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Financial  Condition as of December 31, 2009 and 2008                                    | 3 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of  Operations for the years ended December 31, 2009 and 2008                               | 4 |
|         |                                           |                                                                                                        |   |
|         |                                           | Statements of Changes  in Members’ Capital for the years ended December 31, 2009 and 2008         | 5 |
|         |                                           |                                                                                                        |   |
|         |                                           | Financial Data  Highlights for the years ended December 31, 2009 and 2008                              | 7 |
|         |                                           |                                                                                                        |   |
|         |                                           | Notes to Financial  Statements                                                                              | 9 |

 

36

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|   |   | (c)  Financial  Statements of ML TransTrend DTP Enhanced FuturesAccess LLC                                                                                                            |   |
|--------|--------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|--------|
|   |   |                                                                                                                                                                                            |   |
|   |   | Report of Independent  Registered Public Accounting Firms                                                                                                                                       | 1      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Financial Statements                                                                                                                                                                            |   |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of Financial  Condition as of December 31, 2009 and 2008                                                                                                                        | 3      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of  Operations for the years ended December 31, 2009, 2008 and for the  period April 2, 2007 (commencement of operations) to December 31,  2007                       | 4      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of Changes  in Members’ Capital for the years ended December 31, 2009, 2008 and for  the period April 2, 2007 (commencement of operations) to December 31,  2007 | 5      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Financial Data  Highlights for the years ended December 31, 2009, 2008 and for the  period April 2, 2007 (commencement of operations) to December 31,  2007                      | 7      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Notes to Financial  Statements                                                                                                                                                                  | 10     |
|   |   |                                                                                                                                                                                            |   |
|   |   | (d)  Financial  Statements of ML Winton FuturesAccess LLC                                                                                                                             |   |
|   |   |                                                                                                                                                                                            |   |
|   |   | Report of Independent  Registered Public Accounting Firms                                                                                                                                       | 1      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Financial Statements                                                                                                                                                                            |   |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of Financial  Condition as of December 31, 2009 and 2008                                                                                                                        | 3      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of  Operations for the years ended December 31, 2009, 2008 and 2007                                                                                                             | 4      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Statements of Changes  in Members’ Capital for the years ended December 31, 2009, 2008 and 2007                                                                                       | 5      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Financial Data  Highlights for the years ended December 31, 2009, 2008 and 2007                                                                                                            | 7      |
|   |   |                                                                                                                                                                                            |   |
|   |   | Notes to Financial  Statements                                                                                                                                                                  | 10     |

 

Financial statement schedules not included in this Form 10-K havebeen omitted for the reason that they are not required or are not applicable orthat equivalent information has been included in the financial statements ornotes thereto.

 

37

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3.                                       Exhibits:

 

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

 
| **Designation**                                                                                          | ** ** | **Description**                                                                                                                                   |
|----------------------------------------------------------------------------------------------------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                     |       |                                                                                                                                              |
| 3.01(i)                                                                                                  |       | Amended and Restated  Certificate of Limited Partnership of ML JWH Strategic Allocation Fund L.P.                                                 |
|                                                                                                     |       |                                                                                                                                              |
| Exhibit 3.01(i):                                                                                    |       | Is incorporated herein  by reference from Exhibit 3.01(i) contained in the Registrant’s  Form 8-K filed August 13, 2007. |
|                                                                                                     |       |                                                                                                                                              |
| 3.01(ii)                                                                                                 |       | Eighth Amended and  Restated Limited Partnership Agreement.                                                                                       |
|                                                                                                     |       |                                                                                                                                              |
| Exhibit 3.01(ii):                                                                                   |       | Is filed herewith.                                                                                                                                |
|                                                                                                     |       |                                                                                                                                              |
| 13.01                                                                                                    |       | 2009 Annual Report and  Report of Independent Registered Public Accounting Firm.                                                                  |
|                                                                                                     |       |                                                                                                                                              |
| 13.02                                                                                                    |       | Financial Statements of  ML Aspect FuturesAccess LLC                                                                                              |
|                                                                                                     |       |                                                                                                                                              |
| 13.03                                                                                                    |       | Financial Statements of  ML Chesapeake FuturesAccess LLC                                                                                          |
|                                                                                                     |       |                                                                                                                                              |
| 13.04                                                                                                    |       | Financial Statements of  ML TransTrend DTP Enhanced FuturesAccess LLC                                                                             |
|                                                                                                     |       |                                                                                                                                              |
| 13.05                                                                                                    |       | Financial Statements of  ML Winton FuturesAccess LLC                                                                                              |
|                                                                                                     |       |                                                                                                                                              |
| Exhibit 13.01,  Exhibit 13.02, Exhibit 13.03, Exhibit 13.04 and  Exhibit 13.05: |       | Are filed herewith.                                                                                                                               |
|                                                                                                     |       |                                                                                                                                              |
| 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.                                                                                                                               |

 

38

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SIGNATURES

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, the Registrant has duly caused this report to be signed on its behalf bythe undersigned, thereunto duly authorized.

 
| **ML TREND-FOLLOWING FUTURES FUND  L.P.**                          |
|--------------------------------------------------------------------|
|                                                               |
| By: **MERRILL LYNCH ALTERNATIVE INVESTMENTS LLC, GENERAL PARTNER** |
|                                                               |
| By:                                                                | /s/Justin C.  Ferri |   |
| Justin C. Ferri                                                    |
| Chief Executive  Officer, President and Manager                    |
| (Principal Executive  Officer)                                     |

 

 

Pursuant to therequirements of Section 13 or 15(d) of the Securities Exchange Act of1934, this report has been signed on March 31, 2010 by the followingpersons on behalf of the Registrant and in the capacities indicated.

 
| **Signature**        | ** ** | **Title**                                           | ** ** | **Date**            |
|----------------------|------------|-----------------------------------------------------|------------|---------------------|
|                 |       |                                                |       |                |
| /s/ Justin C. Ferri  |       | Chief Executive  Officer, President and Manager     |       | March 31, 2010 |
| Justin C. Ferri      |       |                                                |       |                |
|                 |       |                                                |       |                |
| /s/ Barbra E. Kocsis |       | Chief Financial Officer                             |       | March 31, 2010 |
| Barbra E. Kocsis     |       |  (Principal  Financial and Accounting Officer) |       |                |
|                 |       |                                                |       |                |
| /s/ Dean Morgan      |       | Vice President and  Manager                         |       | March 31, 2010 |
| Dean Morgan          |       |                                                |       |                |

 

(Being theprincipal executive officer, the principal financial and accounting officer anda majority of the managers of Merrill Lynch Alternative Investments LLC)

 

39

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

 

2009 FORM 10-K

 

INDEX TO EXHIBITS

 

Exhibits

 
| Exhibit 3.01(ii) | Eighth Amended and  Restated Limited Partnership Agreement.                                                                                                                                                                                                                                   |
|-----------------------|-----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                  |                                                                                                                                                                                                                                                                                          |
| Exhibit 13.01    | Registrant’s 2008  Annual Report and Report of Independent Registered Public Accounting Firm                                                                                                                                                                                             |
|                  |                                                                                                                                                                                                                                                                                          |
| Exhibit 13.02    | ML Aspect FuturesAccess******Financial Statements as of and  for the years ended December 31, 2009, 2008 and 2007 and Report of  Independent Registered Public Accounting Firms                                                                                                          |
|                  |                                                                                                                                                                                                                                                                                          |
| Exhibit 13.03    | ML Chesapeake  FuturesAccess LLC Financial Statements as of and for the years ended December 31,  2009 and 2008 and Report of Independent Auditors (Under the Liquidation Basis  of Accounting)                                                                                          |
|                  |                                                                                                                                                                                                                                                                                          |
| Exhibit 13.04    | ML TransTrend DTP  Enhanced FuturesAccess LLC Financial Statements as of and for the years ended  December 31, 2009 and 2008 and for the Period April 2, 2007  (Commencement of Operations) to December 31, 2007 and Report of  Independent Registered Public Accounting Firms |
|                  |                                                                                                                                                                                                                                                                                          |
| Exhibit 13.05    | ML Winton FuturesAccess LLC Financial Statements as  of and for the years ended December 31, 2009, 2008 and 2007and Report of  Independent Registered Public Accounting Firms                                                                                                            |

 

Exhibit 31.01 and 31.02                         Rule 13a– 14(a) / 15d – 14(a) Certifications

 

Exhibit 32.01 and 32.02                         Sections1350 Certifications

 

40

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