**Exhibit 13.01**

** **

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

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

 

FinancialStatements for the years ended

December 31,2008, 2007 and 2006

andReport of Independent Registered Public Accounting Firm

 

 

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

TABLEOF CONTENTS

 
| ** **                                                                                                  | **Page** |
|-------------------------------------------------------------------------------------------------------------|----------|
|                                                                                                        |     |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                                    | 1        |
|                                                                                                        |     |
| FINANCIAL  STATEMENTS:                                                                                      |     |
|                                                                                                        |     |
| Statements of Financial  Condition as of December 31, 2008 and 2007                                    | 2        |
|                                                                                                        |     |
| Statements of Operations  for the years ended December 31, 2008, 2007 and 2006                         | 3        |
|                                                                                                        |     |
| Statements of Changes  in Partners’ Capital for the years ended December 31, 2008, 2007 and  2006 | 4        |
|                                                                                                        |     |
| Financial Data  Highlights for the years ended December 31, 2008, 2007 and 2006                        | 5        |
|                                                                                                        |     |
| Notes to Financial  Statements                                                                              | 6        |

 

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|  |  

 

Deloitte & Touche LLP

Two World Financial Center

New York, NY 10281-1414

USA

 

Tel: +1 212 436 2000

www.deloitte.com |
|--|-----------------------------------------------------------------------------------------------------------------------------------------------------|

 

REPORT OF INDEPENDENT REGISTERED PUBLICACCOUNTING FIRM

 

To the Partners of

ML Trend-Following Futures Fund L.P.:

 

We have audited the accompanying statementsof financial condition of ML Trend-Following Futures Fund L.P. (the “Fund”), asof December 31, 2008 and 2007, and the related statements of operations,changes in partners’ capital, and the financial data highlights for each of thethree years in the period ended December 31, 2008. These financial statementsand financial data highlights are the responsibility of the Fund's management.Our responsibility is to express an opinion on these financial statements andfinancial data highlights based on our audits.

 

We conducted ouraudits in accordance with the standards of the Public Company AccountingOversight Board (United States). Those standards require that we plan andperform the audit to obtain reasonable assurance about whether the financialstatements and financial data highlights are free of material misstatement. TheFund is not required to have, nor were we engaged to perform, an audit of itsinternal control over financial reporting. Our audits included consideration ofinternal control over financial reporting as a basis for designing auditprocedures that are appropriate in the circumstances, but not for the purposeof expressing an opinion on the effectiveness of the Fund's internal control overfinancial reporting. Accordingly, we express no such opinion. An audit alsoincludes examining, on a test basis, evidence supporting the amounts anddisclosures in the financial statements, assessing the accounting principlesused and significant estimates made by management, as well as evaluating theoverall financial statement presentation. We believe that our audits provide areasonable basis for our opinion.

 

In our opinion,the financial statements and financial data highlights referred to above presentfairly, in all material respects, the financial position of ML Trend-FollowingFutures Fund L.P. as of December 31, 2008 and 2007, the results of itsoperations, changes in its partners’ capital, and the financial data highlightsfor each of the three years in the period ended December 31, 2008, inconformity with accounting principles generally accepted in the United Statesof America. 

 

 

March 30, 2009

 
|       | A member firm of          |
|------------|---------------------------|
| ** ** | Deloitte Touche  Tohmatsu |

 

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OF FINANCIAL CONDITIONDECEMBER 31, 2008 AND 2007

 
| ** **                                                                              | ** ** | **2008**    | ** **  | **2007**    | ** ** |
|-----------------------------------------------------------------------------------------|------------|-------------|-------------|-------------|------------|
|                                                                                    |       |        |        |        |       |
| **ASSETS:**                                                                             | ** ** | ** **  | ** **  | ** **  | ** ** |
| Equity in  commodity futures trading accounts:                                          |       |        |        |        |       |
| Cash                                                                                    |       | $           | 251,804     |        | $          | 225,042 |   |
| Investments in  Portfolio Funds (cost $264,645,269 for 2008 and $347,355,241 for 2007.) |       | 353,161,083 |        | 369,982,077 |       |
| Due from  Portfolio Funds                                                               |       | 11,064,145  |        | 17,014,386  |       |
| Accrued interest                                                                        |       | —      |        | 59,180      |       |
| **TOTAL  ASSETS**                                                                       |       | $           | 364,477,032 |        | $          | 387,280,685 |   |
|                                                                                    |       |        |        |        |       |
| **LIABILITIES  AND PARTNERS’ CAPITAL**                                             | ** ** | ** **  | ** **  | ** **  | ** ** |
| **LIABILITIES:**                                                                        | ** ** | ** **  | ** **  | ** **  | ** ** |
| Wrap fee payable                                                                        |       | $           | 1,213,435   |        | $          | 1,290,255 |   |
| Redemptions  payable                                                                    |       | 11,138,285  |        | 15,662,095  |       |
| Other                                                                                   |       | 250,804     |        | 209,053     |       |
|                                                                                    |       |        |        |        |       |
| Total  liabilities                                                                      |       | 12,602,524  |        | 17,161,403  |       |
|                                                                                    |       |        |        |        |       |
| **PARTNERS’  CAPITAL:**                                                            | ** ** | ** **  | ** **  | ** **  | ** ** |
| General Partner  (41,734 Units and 42,282 Units)                                        |       | 8,313,413   |        | 6,943,734   |       |
| Limited Partners  (1,724,666 Units and 2,211,461 Units)                                 |       | 343,561,095 |        | 363,175,548 |       |
|                                                                                    |       |        |        |        |       |
| Total partners’  capital                                                           |       | 351,874,508 |        | 370,119,282 |       |
|                                                                                    |       |        |        |        |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL:**                                      |       | $           | 364,477,032 |        | $          | 387,280,685 |   |
|                                                                                    |       |        |        |        |       |
| **NET  ASSET VALUE PER UNIT**                                                           | ** ** | ** **  | ** **  | ** **  | ** ** |
| (Based on  1,766,400 and 2,253,743 Units outstanding, unlimited Units authorized)       |       | $           | 199.2043    |        | $          | 164.2243 |   |

 

See notes tofinancial statements.

 

2

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OF OPERATIONSFOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

 
| ** **                                                                        | ** ** | **2008**    | ** ** | **2007**    | ** ** | **2006**     | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------|------------|-------------|------------|--------------|------------|
| **TRADING  PROFIT (LOSS):**                                                       |       |        |       |        |       |         |       |
|                                                                              |       |        |       |        |       |         |       |
| Realized                                                                          |       | $           | 20,765,365 |        | $          | (64,586,271  | )          | $ | (158,576,895 | ) |
| Change in  unrealized                                                             |       | 65,888,978  |       | 15,318,537  |       | 12,136,031   |       |
| Total trading  profit (loss)                                                      |       | 86,654,343  |       | (49,267,734 | )          | (146,440,864 | )          |
|                                                                              |       |        |       |        |       |         |       |
| **INVESTMENT  INCOME:**                                                           |       |        |       |        |       |         |       |
| Interest                                                                          |       | 10,654      |       | 13,909,510  |       | 51,861,211   |       |
|                                                                              |       |        |       |        |       |         |       |
| **EXPENSES:**                                                                     |       |        |       |        |       |         |       |
| Brokerage  commissions                                                            |       | —      |       | 15,400,942  |       | 61,808,517   |       |
| Administrative  and filing fees                                                   |       | 361,539     |       | 961,273     |       | 2,937,327    |       |
| Wrap fee                                                                          |       | 14,868,130  |       | 9,947,043   |       | —       |       |
| Other Expenses                                                                    |       | —      |       | 25,000      |       | 1,450,000    |       |
|                                                                              |       |        |       |        |       |         |       |
| Total expenses                                                                    |       | 15,229,669  |       | 26,334,258  |       | 66,195,844   |       |
|                                                                              |       |        |       |        |       |         |       |
| **NET  INVESTMENT (INCOME) LOSS**                                                 |       | (15,219,015 | )          | (12,424,748 | )          | (14,334,633  | )          |
| **PROFIT  (LOSS) BEFORE MINORITY INTEREST**                                       |       |        |       |        |       |         |       |
| ** **                                                                        |       |        |       |        |       |         |       |
| **AND  PROFIT SHARE ALLOCATION**                                                  |       | 71,435,328  |       | (61,692,482 | )          | (160,775,497 | )          |
|                                                                              |       |        |       |        |       |         |       |
| Minority  interest                                                                |       | —      |       | 18,048      |       | 29,872       |       |
|                                                                              |       |        |       |        |       |         |       |
| **NET  PROFIT (LOSS)**                                                            |       | $           | 71,435,328 |        | $          | (61,674,434  | )          | $ | (160,745,625 | ) |
|                                                                              |       |        |       |        |       |         |       |
| **NET  PROFIT (LOSS) PER UNIT:**                                                  |       |        |       |        |       |         |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       | $           | 2,029,868  |        | 3,220,807  |         | 5,604,599  |   |
|                                                                              |       |        |       |        |       |         |       |
| Net proftit  (loss) per weighted average General Partner and Limited Partner Unit |       | $           | 35.19      |        | $          | (19.15       | )          | $ | (28.68 | ) |

 

See notes tofinancial statements.

 

3

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITALFOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

 
| ** **                                 | ** ** | **Units**  | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | **Total**     | ** ** |
|--------------------------------------------|------------|------------|------------|----------------------|------------|-----------------------|------------|---------------|------------|
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2005 |       | 6,005,530  |       | $                    | 12,613,943 |                  | $          | 1,221,537,583 |       | $ | 1,234,151,526 |   |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                              |       | 652,497    |       | 4,888                |       | 126,252,532           |       | 126,257,420   |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Net Profit  (Loss)                         |       | —     |       | (1,731,789           | )          | (159,013,836          | )          | (160,745,625  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                |       | (2,146,211 | )          | (2,682,276           | )          | (404,677,983          | )          | (407,360,259  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2006 |       | 4,511,816  |       | 8,204,766            |       | 784,098,296           |       | 792,303,062   |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                              |       | 224,986    |       | —               |       | 36,094,976            |       | 36,094,976    |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Net Profit  (Loss)                         |       | —     |       | (573,924             | )          | (61,100,510           | )          | (61,674,434   | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                |       | (2,483,059 | )          | (687,108             | )          | (395,917,214          | )          | (396,604,322  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2007 |       | 2,253,743  |       | 6,943,734            |       | 363,175,548           |       | 370,119,282   |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                              |       | 96,444     |       | —               |       | 17,442,303            |       | 17,442,303    |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Net Profit  (Loss)                         |       | —     |       | 1,369,679            |       | 70,065,649            |       | 71,435,328    |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                |       | (583,787   | )          | —               |       | (107,122,405          | )          | (107,122,405  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2008 |       | 1,766,400  |       | $                    | 8,313,413  |                  | $          | 343,561,095   |       | $ | 351,874,508 |   |

 

See notes tofinancial statements.

 

4

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARE LIMITEDPARTNERSHIP)

 

FINANCIAL DATA HIGHLIGHTSFOR THE YEARS ENDED DECEMBER 31, 2008, 2007 AND 2006

 

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

 
| ** **                                               | ** ** | **2008** | ** ** | **2007** | ** ** | **2006** | ** ** |
|----------------------------------------------------------|------------|----------|------------|----------|------------|----------|------------|
| **Per  Unit Operating Performance:**                     |       |     |       |     |       |     |       |
| ** **                                               |       |     |       |     |       |     |       |
| Net asset value,  beginning of year                      |       | $        | 164.22     |     | $          | 175.61   |       | $ | 205.50 |   |
|                                                     |       |     |       |     |       |     |       |
| Realized and  unrealized change in trading profit (loss) |       | 42.48    |       | (7.05    | )          | (27.39   | )          |
| Interest income                                          |       | 0.01     |       | 3.52     |       | 9.28     |       |
| Minority  interest in Profit (loss)                      |       | —   |       | —   |  (1)  | 0.01     |       |
| Expenses (2)                                             |       | (7.51    | )          | (7.86    | )          | (11.79   | )          |
|                                                     |       |     |       |     |       |     |       |
| Net asset value,  end of year                            |       | $        | 199.20     |     | $          | 164.22   |       | $ | 175.61 |   |
|                                                     |       |     |       |     |       |     |       |
| **Total  Return:**                                       |       |     |       |     |       |     |       |
|                                                     |       |     |       |     |       |     |       |
| Total return                                             |       | 21.30    | %          | -6.48    | %          | -14.55   | %          |
|                                                     |       |     |       |     |       |     |       |
| **Ratios to  Average Net Assets: (2),(3)**               |       |     |       |     |       |     |       |
|                                                     |       |     |       |     |       |     |       |
| Expenses                                                 |       | 4.14     | %          | 5.22     | %          | 6.30     | %          |
|                                                     |       |     |       |     |       |     |       |
| Net investment  profit (loss)                            |       | -4.14    | %          | -2.46    | %          | -1.36    | %          |

 

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(1) Minority interest isless than $0.01.

(2) Includes the impactof brokerage commission expense.

(3) The ratios do notreflect the proportionate share of income and expense of the Portfolio Funds.

 

See notes to financialstatements.

 

5

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DELAWARELIMITED PARTNERSHIP)

 

NOTESTO FINANCIAL STATEMENTS

 

1.     SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

Organization

 

ML TrendFollowing Futures Fund L.P. (the “Partnership”) was organizedunder the Delaware Revised Uniform Limited Partnership Act on December 11,1995 and commenced trading on July 15, 1996.  The Partnership operates as a “fund of funds”,allocating and reallocating its capital, under the discretion of Merrill LynchAlternative Investments LLC (“MLAI”) the general partner of the Partnership,among four underlying FuturesAccess Funds (each a “Portfolio Fund” andcollectively the “Portfolio Funds”) (See Note 2).

 

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

 

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

 

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

 

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

 

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

 

Effective January 1,2009, Merrill Lynch & Co., Inc. became a wholly-owned subsidiaryof Bank of America Corporation pursuant to a merger agreement.

 

Interests in the Fund arenot insured or otherwise protected by the Federal Deposit Insurance Corporationor any other government authority. Interests are not deposits or other obligations of, and are notguaranteed by, Bank of America Corporation or any of its affiliates or by anybank.  Interests are subject toinvestment risks, including the possible loss of the full amount invested.

 

Estimates

 

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

 

6

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Revenue Recognition

 

The Portfolio Funds’ commodities, futures, options on futures andforward contract transactions are recorded on the trade date and open contractsare reflected in Net unrealized profit (loss) on open contracts in theStatements of Financial Condition of the Partnership and each of the PortfolioFunds as the difference between the original contract value and the marketvalue (for those commodity interests for which market quotations are readilyavailable) or at fair value.  The changein unrealized profit (loss) on open contracts from one period to the next isreflected in change in unrealized under trading profit (loss) in the Statementsof Operations of the Partnership and each of the Portfolio Funds.

 

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

 

ForeignCurrency Transactions

 

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

 

Ongoing Offering Costs, Operating Expenses and SellingCommissions

 

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

 

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

 

Cash

 

ThePartnership maintains cash at an unaffiliated bank for operational purposes.

 

Income Taxes

 

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

 

7

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Distributions

 

The Limited Partnersare entitled to receive, equally per Unit, any distribution which may be madeby the Partnership.  No suchdistributions have been declared for the years ended December 31, 2008,2007 and 2006.

 

Subscriptions

 

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

 

Redemptions

 

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

 

Dissolution of thePartnership

 

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

 

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

 

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

 

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

 

Indemnifications

 

In the normalcourse of business, the Partnership enters into contracts and agreements thatcontain a variety of representations and warranties and which provide generalindemnifications. The Partnership’s maximum exposure under these arrangementsis unknown, as this would involve future claims that may be made against thePartnership that have not yet occurred. The Partnership expects the risk of any future obligation under theseindemnifications to be remote.

 

2.     INVESTMENTS IN PORTFOLIO FUNDS

 

Thefour Portfolio Funds in which the Partnership is invested as of December 31,2008 and 2007 are: Winton, Aspect, Transtrend and Chesapeake. MLAI may in itsdiscretion, change the Portfolio Funds at any time. MLAI, also at itsdiscretion may vary the percentage of the Partnership’s total portfolioallocated to the different Portfolio Funds. There is no pre-established rangefor the minimum and maximum allocations that may be made to any given PortfolioFund.

 

At December 31,2008, Investments in Portfolio Funds at fair value are as follows:

 

8

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| ** **                                                             | ** ** | **Fair Value** | ** **  | **Percentage  of Partner’s  Capital** | ** ** | **Profit  (Loss)** | ** ** | **Management** | ** ** | **Performance** | ** ** | **Redemptions  Permitted** | ** ** |
|------------------------------------------------------------------------|------------|----------------|-------------|-------------------------------------------------|------------|--------------------|------------|----------------|------------|-----------------|------------|----------------------------|------------|
| ML Winton  FuturesAccess LLC                                           |       | $              | 88,290,271  |                                            | 25.09      | %                  | $          | 19,067,176     |       | $               | (1,421,072 | )                          | $          | (3,068,305 | ) | Monthly |   |
| ML Aspect  FuturesAccess LLC                                           |       | 88,290,270     |        | 25.09                                           |       | 25,131,209         |       | (1,429,262     | )          | (4,136,616      | )          | Monthly                    |       |
| ML Transtrend DTP  Enhanced FuturesAccess LLC                          |       | 88,290,271     |        | 25.09                                           |       | 25,962,636         |       | (962,678       | )          | (6,414,299      | )          | Monthly                    |       |
| ML Chesapeake  FuturesAccess LLC                                       |       | 88,290,271     |        | 25.09                                           |       | 16,493,322         |       | (936,971       | )          | (1,725,578      | )          | Monthly                    |       |
|                                                                   |       |           |        |                                            |       |               |       |           |       |            |       |                       |       |
| Total Investment  in Portfolio Funds at fair value (cost $264,645,269) |       | $              | 353,161,083 |                                            | 100.36     | %                  | $          | 86,654,343     |       |            |       |                       |       |   |   |
|                                                                        |            |                |             |                                                 |            |                    |            |                |            |                 |            |                            |            |  |  |  |  |

 

December 31, 2007:

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

 

3.     FAIR VALUE OF INVESTMENTS

 

InSeptember 2006, the Financial Accounting Standards Board (“FASB”) issuedStatement of Financial Accounting Standards No. 157, Fair ValueMeasurement (“FAS 157”). FAS 157 defines fair value, establishes a frameworkfor measuring fair value and expands disclosures about fair value measurements.The Partnership adopted FAS 157 as of January 1, 2008. The adoption of FAS157 did not have a material impact on the Partnership’s financial statements.

 

Fairvalue of an investment is the amount that would be received to sell theinvestment in an orderly transaction between market participants at themeasurement date (i.e. the exit price).

 

FAS157 established a hierarchical disclosure framework which prioritizes and ranksthe level of market price observability used in measuring investments at fairvalue. Market price observability is impacted by a number of factors, includingthe type of investment and the characteristics specific to the investment.Investments with readily available active quoted prices or for which fair valuecan be measured from actively quoted prices generally will have a higher degreeof market price observability and a lesser degree of judgment used in measuringfair value.

 

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Investmentsmeasured and reported at fair value are classified and disclosed in one of thefollowing categories:

 

LevelI – Quoted prices are available in active markets for identical investments asof the reporting date. The type of investments included in Level I are publiclytraded investments. As required by FAS 157, the Partnership does not adjust thequoted price for these investments even in situations where the Partnershipholds a large position and a sale could reasonably impact the quoted price.

 

LevelII – Pricing inputs are other than quoted prices in active markets, which areeither directly or indirectly observable as of the reporting date, and fairvalue is determined through the use of generally accepted and understood modelsor other valuation methodologies. Investments which are generally included inthis category are investments valued using market data.

 

LevelIII – Pricing inputs are unobservable and include situations where there is little,if any, market activity for the investment. Fair value for these investments isdetermined using valuation methodologies that consider a range of factors,including but not limited to the nature of the investment, local marketconditions, trading values on public exchanges for comparable securities,current and projected operating performance and financing transactionssubsequent to the acquisition of the investment. The inputs into thedetermination of fair value require significant management judgment. Due to theinherent uncertainty of these estimates, these values may differ materiallyfrom the values that would have been used had a ready market for theseinvestments existed. Investments that are included in this category generallyare privately held debt and equity securities.

 

In certain cases, the inputs used to measure fair value may fall intodifferent levels of the fair value hierarchy. In such cases, an investment’slevel within the fair value hierarchy is based on the lowest level of input thatis significant to the fair value measurement. MLAI’s assessment of thesignificance of a particular input to the fair value measurement in itsentirety requires judgment, and considers factors specific to the investment.

 

The following table summarizes the valuation of the Partnership’sinvestments by the above FAS 157 fair value hierarchy levels as of December 31,2008:

 
| ** **                                      | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------------------------|------------|-----------|-------------|------------------|------------|-------------------|------------|--------------------|------------|
| Net unrealized  profit (loss) on open contracts |       | $         | 353,161,083 |             | N/A        |              | $          | 353,161,083        |       | N/A |   |
|                                                 |            |           |             |                  |            |                   |            |                    |            |  |  |

 

4.     JOINTVENTURE AGREEMENT

 

The Joint VentureAgreement between the Partnership and JWH® wasterminated on May 31, 2007. MLAI was the manager of the Joint Venture,while JWH® had sole discretion in determining thecommodity futures, options on futures and forward trades that were made on itsbehalf, which was subject to the trading limitations outlined in the JointVenture Agreement.

 

Pursuant to theJoint Venture Agreement, JWH® and thePartnership shared in the profits of the Joint Venture based on equityownership provided that 20% of the Partnership’s allocable quarterly NewTrading Profits, as defined, were allocated to JWH®. Losses were allocated to JWH® and the Partnership based on equity ownership.

 

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5.     RELATEDPARTY TRANSACTIONS

 

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

 

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

 

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

 

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

 

Prior to May 7,2007 MLPF&S paid JWH® annual consulting fees of 2% of thePartnership’s average month-end assets, after reduction for a portion of thebrokerage commissions.  The Partnershipno longer pays consulting fees.

 

Effective June 1,2007, no brokeragecommission is charged to investors at the Partnership level, although brokeragecommissions are charged to investors at the Portfolio Funds’ level, andinvestors will be indirectly subject to their *pro rata*share of such fees based on the investment of the Partnership in suchunderlying Portfolio Funds. Brokerage commissions will be paid on thecompletion or liquidation of a trade and are referred to as round-turncommissions, which cover both the initial purchase (or sale) and the subsequentoffsetting sale (or purchase) of a commodity futures contract (a “round turn”commission).  A portion of the brokeragefees is paid to Portfolio Funds executing brokers, which may not includeMLPF&S, as the commission for their execution services. The “round-turn” commissionspaid will not exceed $15 per round-turn, except in the case of certain foreigncontracts on which the rates may be as high as $100 per round-turn due to thelarge size of the contracts traded.  Ingeneral, it is estimated that aggregate brokerage commission charges will notexceed .75% and should equal approximately 0.50% per annum of each of thePortfolio Fund’s average month-end assets.

 

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6.     ADVISORYAGREEMENT

 

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

 
| ** **              | ** ** | ** **                     | ** ** | **Next Renewal Date**     | ** ** | **Management**    | ** ** |
|-------------------------|------------|--------------------------------|------------|-------------------------------------|------------|-------------------|------------|
| **Portfolio Fund** | ** ** | **Advisor**                    | ** ** | **of Advisory Agreement** | ** ** | **Fee Rate** | ** ** |
| Aspect                  |       | Aspect Capital Management      |       | December 31, 2011                   |       | 1.5               | %          |
| Chesapeake              |       | Chesapeake Capital Corporation |       | December 31, 2016                   |       | 1                 | %          |
| Transtrend              |       | Transtrend B.V.                |       | December 31, 2009                   |       | 1                 | %          |
| Winton                  |       | Winton Capital Corporation     |       | December 31, 2014                   |       | 1.5               | %          |

 

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

 

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

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

 

7.     WEIGHTED AVERAGE UNITS

 

The weightedaverage number of Units outstanding was computed for purposes of disclosing netincome (loss) per weighted average Unit. The weighted average Units outstanding for the years ended December 31,2008, 2007 and 2006 equals the Units outstanding as of such date, adjustedproportionately for Units sold and redeemed based on the respective length oftime each was outstanding during the year.

 

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8.     RECENT ACCOUNTING PRONOUNCEMENTS

 

In March 2008, the FASB released Statement of Financial AccountingStandards No. 161, Disclosures about Derivative Instruments and HedgingActivities — an amendment to FASB Statement No. 133 (“FAS 161”). FAS 161requires qualitative disclosures about objectives and strategies for usingderivatives, quantitative disclosures about fair value amounts of and gains andlosses on derivative instruments, and disclosures about credit-risk relatedcontingent features in derivative agreements. The application of FAS 161 isrequired for fiscal years beginning after November 15, 2008 and interimperiods within those fiscal years. Currently, the Partnership and the PortfolioFunds are evaluating the implications of FAS 161 on their respective financialstatements.

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”.The Partnership and the Portfolio Funds do not expect the adoption of FAS 162to have an impact on their respective financial statements.

 

9.     MARKET AND CREDIT RISKS

 

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

 

Market Risk

 

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

 

Credit Risk

 

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

 

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

 

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

 

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*     *     *    *     *     *    *     *     *    *     *

 

To the best of the knowledge and belief of the

undersigned, theinformation contained in this

report is accurateand complete.

 
|   | /s/ Barbra E.  Kocsis |   |
|--------|-----------------------|--------|

Barbra E. Kocsis

Chief FinancialOfficer

Merrill LynchAlternative Investments LLC

General Partner of

ML TREND-FOLLOWING FUTURES FUND L.P.

 

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