** **

**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 

**x**** QUARTERLY REPORT PURSUANTTO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**

 

**For thequarterly period ended March 31, 2008**

** **

**OR**

 

**o****TRANSITION REPORT PURSUANT TO SECTION 13OR 15(d) OF THE SECURITIES**

**EXCHANGEACT OF 1934**

 

**For thetransition period from                to                          **

 

**CommissionFile Number 0-52505**

 

# **MLSYSTEMATIC MOMENTUM LLC**

(Exact Name of Registrant as

specified in its charter)

 

| **Delaware**                    | ** ** | **30-0408228**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

** **

**c/o Merrill Lynch Alternative Investments LLC**

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

**1200 Merrill Lynch Drive - First Floor**

**Pennington, New Jersey 08534**

(Address of principalexecutive offices)

(Zip Code)

 

**609-274-5838**

(Registrant’s telephonenumber, including area code)

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.

Yes  x  No  o

 

Indicateby check mark whether the registrant is a large accelerated filer, anaccelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2of the Exchange Act. (Check one):

 

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

 

Indicateby check mark whether registrant is a shell company (as defined by Rule 12b-2of the Exchange Act).

Yes  o  No  x

 

Indicateby check mark whether the registrant has filed all documents and reportsrequired to be filed by Sections 12, 13 or 15(d) of the SecuritiesExchange Act of 1934 subsequent to the distribution of securities under a planconfirmed by a court.

Yes  o  No  o

 

Thelimited partnership units of the registrant are not publicly traded.Accordingly, there is no aggregate market value for registrant’s outstandingequity that is readily determinable.

 

 

----

 

**ML SYSTEMATIC MOMENTUM LLC**

 

QUARTERLY REPORT FOR MARCH 31,2008 ON FORM 10-Q

 

Table of Contents

 
|     | PART I                                                                                 | **PAGE** |
|----------|---------------------------------------------------------------------------------------------|----------|
|     |                                                                                        |     |
| Item 1.  | Financial Statements                                                                        | 1        |
|     |                                                                                        |     |
| Item 2.  | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 8        |
|     |                                                                                        |     |
| Item 3.  | Quantitative  and Qualitative Disclosures About Market Risk                                 | 9        |
|     |                                                                                        |     |
| Item 4.  | Controls and  Procedures                                                                    | 14       |
|     |                                                                                        |     |
|     | PART II                                                                                |     |
|     |                                                                                        |     |
| Item 1.  | Legal Proceedings                                                                           | 15       |
|     |                                                                                        |     |
| Item 1A. | Risk Factors                                                                                | 15       |
|     |                                                                                        |     |
| Item 2.  | Unregistered Sales of  Equity Securities and Use of Proceeds                                | 17       |
|     |                                                                                        |     |
| Item 3.  | Defaults Upon Senior  Securities                                                            | 17       |
|     |                                                                                        |     |
| Item 4.  | Submission of  Matters to a Vote of Security Holders                                        | 17       |
|     |                                                                                        |     |
| Item 5.  | Other Information                                                                           | 17       |
|     |                                                                                        |     |
| Item 6.  | Exhibits                                                                                    | 18       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item 1.    FinancialStatements

 

ML SYSTEMATIC MOMENTUM LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

 
| ** **                                                                                           | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                                           | ** ** | **2008**           | ** **  | **2007**              | ** ** |
| ** **                                                                                           | ** ** | **(unaudited)**    | ** **  | ** **            | ** ** |
| ** **                                                                                           | ** ** | ** **         | ** **  | ** **            | ** ** |
| **ASSETS:**                                                                                          | ** ** | ** **         |        |                  |       |
|                                                                                                 |       |               |        |                  |       |
| Cash                                                                                                 |       | $                  | 444,951     |                  | $          | 94,318 |   |
| Investments in  Portfolio Funds (cost $147,059,892 for 2008 and $106,513,819 for 2007)               |       | 175,192,855        |        | 121,063,894           |       |
| Deferred initial  offering costs                                                                     |       | —             |        | 33,750                |       |
| Receivable from  Portfolio Fund                                                                      |       | —             |        | 34,775                |       |
| **TOTAL  ASSETS**                                                                                    |       | $                  | 175,637,806 |                  | $          | 121,226,737 |   |
|                                                                                                 |       |               |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL**                                                           | ** ** | ** **         |        |                  |       |
| LIABILITIES:                                                                                         |       |               |        |                  |       |
| Sponsor fee  payable                                                                                 |       | $                  | 253,577     |                  | $          | 177,810 |   |
| Redemptions  payable                                                                                 |       | 12,209,074         |        | 505,214               |       |
| Due to Manager                                                                                       |       | 703,861            |        | —                |       |
| Due to Portfolio  Fund                                                                               |       | 136,123            |        | —                |       |
| Other                                                                                                |       | 652,082            |        | 319,636               |       |
| Total  liabilities                                                                                   |       | 13,954,717         |        | 1,002,660             |       |
|                                                                                                 |       |               |        |                  |       |
| MEMBERS’  CAPITAL:                                                                              |       |               |        |                  |       |
| Members’  Interest (137,282,791 and 111,518,320 Units outstanding, unlimited Units  authorized) |       | 161,683,089        |        | 120,224,077           |       |
| Total members’  capital                                                                         |       | 161,683,089        |        | 120,224,077           |       |
|                                                                                                 |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                     |       | $                  | 175,637,806 |                  | $          | 121,226,737 |   |
|                                                                                                 | ** ** | ** **         |        |                  |       |
| **NET  ASSET VALUE PER UNIT (NOTE 3)**                                                               | ** ** | ** **         |        |                  |       |

 

See notes tofinancial statements.

 

1

----

 

ML SYSTEMATIC MOMENTUM LLC

(a Delaware Limited Liability Company)

 

STATEMENT OF OPERATIONS

(unaudited)

 
| ** **                                    | ** ** | **For the three  months ended  March 31, 2008** | ** ** |
|-----------------------------------------------|------------|--------------------------------------------------------------------------|------------|
| **TRADING  PROFIT (LOSS):**                   |       |                                                                     |       |
|                                          |       |                                                                     |       |
| Realized                                      |       | $                                                                        | 59,031     |   |
| Change in  unrealized                         |       | 13,582,888                                                               |       |
|                                          |       |                                                                     |       |
| Total trading  profit                         |       | 13,641,919                                                               |       |
|                                          |       |                                                                     |       |
| **INVESTMENT  INCOME:**                       |       |                                                                     |       |
| Interest                                      |       | 2,404                                                                    |       |
|                                          |       |                                                                     |       |
| **EXPENSES:**                                 |       |                                                                     |       |
| Sponsor fee                                   |       | 680,290                                                                  |       |
| Other                                         |       | 383,244                                                                  |       |
|                                          |       |                                                                     |       |
| Total expenses                                |       | 1,063,534                                                                |       |
|                                          |       |                                                                     |       |
| **NET  INVESTMENT LOSS**                      |       | (1,061,130                                                               | )          |
| ** **                                    |       |                                                                     |       |
| **NET  INCOME**                               |       | $                                                                        | 12,580,789 |   |
|                                          |       |                                                                     |       |
| **NET  INCOME PER UNIT:**                     |       |                                                                     |       |
|                                          |       |                                                                     |       |
| Weighted average  number of Units outstanding |       |                                                                     |       |
| Class A                                  |       | 6,702,285                                                                |       |
| Class C                                  |       | 79,722,721                                                               |       |
| Class D                                  |       | 17,128,976                                                               |       |
| Class D- SD                              |       | 4,997,767                                                                |       |
| Class I                                  |       | 24,971,967                                                               |       |
|                                          |       |                                                                     |       |
| Net income per  weighted average Unit         |       |                                                                     |       |
| Class A                                  |       | $                                                                        | 0.0812     |   |
| Class C                                  |       | $                                                                        | 0.0875     |   |
| Class D                                  |       | $                                                                        | 0.1092     |   |
| Class D- SD                              |       | $                                                                        | 0.1014     |   |
| Class I                                  |       | $                                                                        | 0.1076     |   |

 

See notes tofinancial statements.

 

2

----

 

ML SYSTEMATIC MOMENTUM LLC

(a Delaware LimitedLiability Company)

 

STATEMENT OF CHANGES INMEMBERS’ CAPITAL

For the three monthsended March 31, 2008

(unaudited)

 
| ** **                 | ** ** | **Members’ Capital**  | ** ** | ** **        | ** ** | ** **      | ** ** | **Members’ Capital** | ** ** |
|----------------------------|------------|---------------------------------|------------|-------------------|------------|-----------------|------------|--------------------------------|------------|
| ** **                 | ** ** | **December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **March 31, 2008**   | ** ** |
|                       |       |                            |       |              |       |            |       |                           |       |
| Class A               |       | 5,078,646                       |       | 3,181,564         |       | (2,445,767      | )          | 5,814,443                      |       |
| Class C               |       | 69,888,701                      |       | 30,278,614        |       | (21,178,778     | )          | 78,988,537                     |       |
| Class D               |       | 16,803,705                      |       | 975,814           |       | —          |       | 17,779,519                     |       |
| Class D- SD           |       | 4,990,154                       |       | 11,419            |       | —          |       | 5,001,573                      |       |
| Class I               |       | 14,757,114                      |       | 16,500,907        |       | (1,559,302      | )          | 29,698,719                     |       |
|                       |       |                            |       |              |       |            |       |                           |       |
| Total Members’  Units |       | 111,518,320                     |       | 50,948,318        |       | (25,183,847     | )          | 137,282,791                    |       |

 
| ** **                    | ** ** | **Members’ Capital**  | ** **  | ** **        | ** ** | ** **      | ** ** | ** **          | ** **  | **Members’ Capital** | ** ** |
|-------------------------------|------------|---------------------------------|-------------|-------------------|------------|-----------------|------------|---------------------|-------------|--------------------------------|------------|
| ** **                    | ** ** | **December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income** | ** **  | **March 31, 2008**   | ** ** |
|                          |       |                            |        |              |       |            |       |                |        |                           |       |
| Class A                  |       | $                               | 5,217,419   |              | $          | 3,522,310       |       | $                   | (2,750,049  | )                              | $          | 544,267 |   | $ | 6,533,947 |   |
| Class C                  |       | 74,531,573                      |        | 33,865,728        |       | (23,457,663     | )          | 6,971,801           |        | 91,911,439                     |       |
| Class D                  |       | 19,442,860                      |        | 1,270,999         |       | —          |       | 1,870,574           |        | 22,584,433                     |       |
| Class D- SD              |       | 5,165,016                       |        | 11,999            |       | —          |       | 506,825             |        | 5,683,840                      |       |
| Class I                  |       | 15,867,209                      |        | 18,233,580        |       | (1,818,681      | )          | 2,687,322           |        | 34,969,430                     |       |
|                          |       |                            |        |              |       |            |       |                |        |                           |       |
| Total Members’  Interest |       | $                               | 120,224,077 |              | $          | 56,904,616      |       | $                   | (28,026,393 | )                              | $          | 12,580,789 |   | $ | 161,683,089 |   |

 

See notes to financialstatements.

 

3

----

 

ML SYSTEMATIC MOMENTUM LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING POLICIES

 

ML Systematic Momentum FuturesAccess LLC (the “Fund”) was organizedunder the Delaware Limited Liability Company Act on March 8, 2007 andcommenced trading activities on April 2, 2007. The Fund issues new unitsof limited liability company interest (“Units”) at Net Asset Value per Unit asof the beginning of each calendar month.

 

Merrill Lynch Alternative Investments LLC (“MLAI”), an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”), is the Sponsor (“Sponsor”) and Manager (“Manager”) of the Fund.

 

In theopinion of management, the financial statements contain all adjustmentsnecessary to present fairly the financial position of the Fund as of March 31,2008, and the results of its operations for the three months ended March 31,2008.  However, the operating results forthe interim period may not be indicative of the results for the full year.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin accordance with accounting principles generally accepted in the UnitedStates of America (“U.S. GAAP”) have been omitted.  It is suggested that these financialstatements be read in conjunction with the financial statements and notesthereto included in the Fund’s Annual Report on Form 10-K filed with theSecurities and Exchange Commission for the period ended December 31, 2007.

 

The preparation offinancial statements in conformity with U.S. GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of contingent assets and liabilities at the date ofthe financial statements and the reported amounts of revenues and expensesduring the reporting period.  Actualresults could differ from those estimates.

 

2.               INVESTMENTS IN UNDERLYING FUNDS

 

The seven funds (“Portfolio Funds”) in which the Fundis invested as of March 31, 2008 are: ML Chesapeake FuturesAccess LLC (“Chesapeake”),ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”), ML AltisFuturesAccess LLC (“Altis”), ML Winton FuturesAccess LLC (“Winton”), ML AspectFuturesAccess LLC (“Aspect”), ML John Locke FuturesAccess LLC (“John Locke”)and  ML GSA FuturesAccess LLC (“GSA”).  Merrill Lynch Alternative Investment LLC (“MLAI”),the Sponsor and advisor of the Fund, may in its discretion, change thePortfolio Funds at any time. MLAI, also at its discretion may vary thepercentage of the Fund’s total portfolio allocated to the different PortfolioFunds. There is no pre-established range for the minimum and maximumallocations that may be made to any given Portfolio Fund.

 

4

----

 

At March 31, 2008, Investments in Portfolio Fundsat fair value are as follows:

 
| ** **                                                              | ** ** | **Fair Value** | ** **  | **Percentage of Members’  Capital** | ** ** |
|-------------------------------------------------------------------------|------------|---------------------|-------------|-----------------------------------------------|------------|
| Altis                                                                   |       | $                   | 25,005,335  |                                          | 15.47      | % |
| Transtrend                                                              |       | 27,218,643          |        | 16.83                                         | %          |
| Aspect                                                                  |       | 26,497,649          |        | 16.39                                         | %          |
| Chesapeake                                                              |       | 24,864,319          |        | 15.38                                         | %          |
| Winton                                                                  |       | 26,487,686          |        | 16.38                                         | %          |
| John Locke                                                              |       | 22,415,051          |        | 13.86                                         | %          |
| GSA                                                                     |       | 22,704,172          |        | 14.04                                         | %          |
| Total  Investments in Portfolio Funds at Fair Value (Cost $147,059,892) |       | $                   | 175,192,855 |                                          | 108.35     | % |

 

3.               NETASSET VALUE PER UNIT

 

Forfinancial reporting purposes, in conformity with U.S. GAAP, the Fund amortizesover a twelve-month period the initial offering costs for purposes ofdetermining Net Asset Value. Such costs initially were paid by MLAI.  For all other purposes, including computingNet Asset Value for purposes of member subscription and redemption activity,such costs are amortized over 60 months. Consequently, the Net Asset Value andNet Asset Value per Unit of the different Classes for financial reportingpurposes and for all other purposes at March 31, 2008 and December 31,2007 are as follows:

 

March 31,2008

 

| ** **       | ** ** | **Net Asset Value** | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|------------------|------------|-------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **       | ** ** | **All Other  Purposes**  | ** **  | **Financial Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A     |       | $                             | 6,537,405   |                         | $          | 6,533,947                                        |       | 5,814,443 |   | $ | 1.1243 |   | $ | 1.1237 |   |
| Class C     |       | 91,956,190                    |        | 91,911,439                   |       | 78,988,537                                       |       | 1.1642 |   | 1.1636 |   |
| Class D     |       | 22,653,384                    |        | 22,584,433                   |       | 17,779,519                                       |       | 1.2741 |   | 1.2702 |   |
| Class D- SD |       | 5,687,380                     |        | 5,683,840                    |       | 5,001,573                                        |       | 1.1371 |   | 1.1364 |   |
| Class I     |       | 34,981,216                    |        | 34,969,430                   |       | 29,698,719                                       |       | 1.1779 |   | 1.1775 |   |
|             |       | $                             | 161,815,575 |                         | $          | 161,683,089                                      |       | 137,282,791 |   |   |   |   |   |
|                  |            |                               |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

December 31,2007

 

| ** **       | ** ** | **Net Asset Value** | ** **  | ** **                   | ** ** | **Net Asset Value per Unit** | ** ** |
|------------------|------------|-------------------------------|-------------|------------------------------|------------|--------------------------------------------------|------------|
| ** **       | ** ** | **All Other  Purposes**  | ** **  | **Financial Reporting** | ** ** | **Number of Units**                    | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A     |       | $                             | 5,219,799   |                         | $          | 5,217,419                                        |       | 5,078,646 |   | $ | 1.0278 |   | $ | 1.0273 |   |
| Class C     |       | 74,560,703                    |        | 74,531,573                   |       | 69,888,701                                       |       | 1.0668 |   | 1.0664 |   |
| Class D     |       | 19,497,806                    |        | 19,442,860                   |       | 16,803,705                                       |       | 1.1603 |   | 1.1571 |   |
| Class D- SD |       | 5,167,584                     |        | 5,165,016                    |       | 4,990,154                                        |       | 1.0356 |   | 1.0350 |   |
| Class I     |       | 15,872,806                    |        | 15,867,209                   |       | 14,757,114                                       |       | 1.0756 |   | 1.0752 |   |
|             |       | $                             | 120,318,698 |                         | $          | 120,224,077                                      |       | 111,518,320 |   |   |   |   |   |
|                  |            |                               |             |                              |            |                                                  |            |  |  |  |  |  |  |  |  |

 

5

----

 

4.               MARKET, CREDIT AND CONCENTRATION RISKS

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements.  Additionally,the Fund invests in other commodity funds with similar market risk asmentioned.  The following summarizes someof those risks.

 

Market Risk

 

Derivative instruments 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 instruments frequentlyresult in changes in Net unrealized profit (loss) on such derivativeinstruments as reflected in the Statements of Financial Condition of thePortfolio Funds.  The Fund’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by the Portfolio Funds as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

 

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 provide clearinghouse arrangements in which the collectivecredit (in some cases limited in amount, in some cases not) of the members ofthe exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject toloss in the event 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 fromcounterparty nonperformance is the Net unrealized profit, if any, included inthe Statements of Financial Condition of the Portfolio Funds. The PortfolioFunds attempt to mitigate this risk by dealing exclusively with Merrill Lynchentities as clearing brokers.

 

The Portfolio Funds, in their normal course ofbusiness, enter into various contracts, with Merrill Lynch Pierce Fenner &Smith Inc.(“MLPF&S”) acting as their commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Equity in commodity futures trading accounts in the Statementsof Financial Condition of the Portfolio Funds.

 

Concentration Risk

 

The Fund’s investments in the Portfolio Funds aresubject to the market and credit risk of the Portfolio Funds. Because themajority of the Fund’s capital is invested in the Portfolio Funds, any changesin the market conditions that would adversely affect the Portfolio Funds couldsignificantly impact the solvency of the Fund.

 

6

----

 

5.               RECENTACCOUNTING PRONOUNCEMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157defines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Fund adopted FAS 157 asof January 1, 2008. The adoption of FAS 157 did not have a material impacton the Fund’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 hierarchal 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.

 

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.

 

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 models or other valuation methodologies.Investments which are generally included in this category are investmentsvalued using market data.

 

LevelIII – Pricing inputs are unobservable including the Fund’s own assumptions indetermining the fair value of investments.

 

In certain cases, the inputs used to measure fairvalue may fall into different levels of the fair value hierarchy. In suchcases, an investment’s level within the fair value hierarchy is based on thelowest level of input that is significant to the fair value measurement. TheSponsor’s assessment of the significance of a particular input to the fairvalue measurement in its entirety requires judgment, and considers factorsspecific to the investment.

 

The following table summarizes the valuation of theFund’s investment by the above FAS 157 fair value hierarchy levels as of March 31,2008:

 

| ** **                      | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|---------------------------------|------------|-----------|-------------|------------------|------------|-------------------|------------|--------------------|------------|
| Investments in  Portfolio Funds |       | $         | 175,192,855 |             | N/A        |              | N/A        |               | $          | 175,192,855 |   |
|                                 |            |           |             |                  |            |                   |            |                    |            |  |  |

 

Thevaluation of the Portfolio Funds’ investments by FAS 157 fair value hierarchylevels as of March 31, 2008 are Level I and Level II.

 

In March 2008,the FASB released Statement of Financial Accounting Standards No. 161,Disclosures about Derivative Instruments and Hedging Activities – an amendmentto FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitative disclosuresabout objectives and strategies for using derivatives, quantitative disclosuresabout fair value amounts of and gains and losses on derivative instruments, anddisclosures about credit-risk related contingent features in derivativeagreements. The application of 

 

7

----

 

FAS 161 isrequired for fiscal years beginning after November 15, 2008 and interimperiods within those fiscal years. Currently, the Fund is evaluating theimplications of FAS 161 on its financial statements.

 

Item 2.   Management’s Discussion and Analysis ofFinancial Condition and Results of Operations

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAIbelieves that the Net Asset Value used to calculate subscription and redemptionvalue and to report performance to investors throughout the year is the mostvaluable to the Members of the Fund.  Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for all other purposes, asdiscussed in Note 3 to the financial statements.

 

Class A

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0416     |     | $          | 1.1508   |       | $ | 1.1243 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class C

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0803     |     | $          | 1.1926   |       | $ | 1.1642 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class D

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.1774     |     | $          | 1.3025   |       | $ | 1.2741 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class I

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0905     |     | $          | 1.2052   |       | $ | 1.1779 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Class D-SD

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0508     |     | $          | 1.1624   |       | $ | 1.1371 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

Performance Summary

January 1, 2008 – March 31, 2008

 

The Fund is a fund of funds investing in sevenseparate Portfolio Funds which are domiciled at Merrill Lynch FuturesAccessProgram. The Fund posted gains for the quarter.

 

January was a positive month for the Fund,despite dramatic declines in global stock indices, illustrating the Fund’s lowcorrelation with equities over a market cycle. Managers had long positions infixed income and precious metals, both of which benefited from fears of a USrecession, as well as sharp U.S. Federal Reserve rate cuts totaling 1.25% forthe month. The continuing rally in grain markets was another source of profitfor managers. Losses came primarily from energy markets as oil prices weakenedand natural gas rebounded. Aspect was the top performer within the Fund,gaining 4.7%, while Altis was the main underperformer, declining -4.6% for themonth. Going into February, commodities and fixed income are the two largestrisk allocations for most managers. CTAs continue to be long in most fixedincome markets, while in commodities, they generally have long positions in grains,softs and precious metals, and shorts in

 

8

----

 

livestock.Energy exposure has been cut back significantly after January’s losses. Inequities, there is a small short bias for most managers, while in FX there is ashort U.S. dollar tilt against most currencies except the Great British Pound.

 

February was a verystrong month for the Fund and the Fund continue to remain up for the year 2008.As a point of comparison, the Newedge CTA Index (formerly Calyon FinancialBarclay Index) returned 4.6% for the month and is up 6.3% for the year. Thebulk of returns were earned in surging commodity markets. Grains and softsrallied strongly due to low inventories and positive forecasts of demand.Energy and metals climbed as these sectors are perceived as an inflation hedge.The other profitable trades included short currency positions against the U.S.dollar. The top performer within the vertical in February was Altis, whichgained 24.3%. Altis is a medium to short term manager, with higher than averagecommodity exposure and higher than average leverage. The bottom performer wasGSA, which gained 2.1%. GSA is a short term manager with a blend of trendfollowing and econometric models, the latter type faring less well during themonth. Going into March, most managers increased their risk-taking toabove-average levels. The largest allocation remained in commodities, wheremanagers are long in most markets. In interest rates, most managers are biasedlong, whereas in currencies most are tilted against the U.S. dollar. Equitieshave a very low risk allocation.

 

The Fund was unprofitablefor March. GSA, a short term manager was the top performer in the vertical inMarch, gaining 1.4%, while Altis was the bottom performer losing -6.8%. For thefirst quarter as a whole, John Locke was the top performer in the vertical, up12.0%, while GSA had the smallest gains, rising 4.2%. The strong trends incommodity markets in February made a sharp reversal in March, hurting mostfunds in the vertical. After gaining 11.7% in February, the Commodity ResearchBureau (“CRB”) Commodity Index fell -6.3% March. The grains and precious metalssectors recorded particularly large reversals. The Fund was able to participatemore in the upward move in February (when it gained 10.4%) than in the March reversal(when it lost -2.4%), thereby preserving its gains for the quarter. Managerswere able to limit the damage in March by reducing leverage. Most managersscaled back positions in inverse proportion to rising volatility in commoditymarkets. By the end of March, overall leverage for most managers was about40% lower than at the start of the month. Losses for the vertical during themonth were also mitigated by the positive performance of short term managerssuch as GSA and John Locke, who exploited opportunities outside of commodities.

 

Item3. Quantitative and Qualitative Disclosures About Market Risk

 

QuantitativeForward-Looking Statements

 

The followingquantitative disclosures regarding the Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor from civil liability providedfor such statements

 

9

----

 

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.

 

Due to the Fund’s fund offunds structure, the following statements are related to the Portfolio Funds.

 

Maintenance marginrequirements have been used by the Portfolio Funds as the measure of theirValue at Risk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value ofany given contract incurred in 95%-99% of the one-day time periods included inthe historical sample (generally approximately one year) researched forpurposes of establishing margin levels. The maintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of current marketvolatility (including the implied volatility of the options on a given futurescontract) and economic fundamentals to provide a probabilistic estimate of themaximum expected near-term one-day price fluctuation.

 

In the case of market sensitive instruments which are notexchange-traded (almost exclusively currencies in the case of the PortfolioFunds), the margin requirements for the equivalent futures positions have beenused as Value at Risk.  In those rarecases in which a futures-equivalent margin is not available, dealers’ marginshave been used.

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Portfolio Funds’ positions are rarely, ifever, 100% positively correlated have not been reflected.  Since the Fund is invested in the PortfolioFunds, the Value at Risk chart for the underlying funds have been provided.

 

# The Portfolio Funds’ Trading Value at Risk in Different Market Sectors

 

The following tables indicate the average, highest,and lowest trading Value at Risk associated with the Portfolio  Funds’ open positions by market category forthe first quarter of 2008.

 

10

----

** **

**Altis Class D-SM (1)**

** **

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 575,492    |                       | 2.59       | %                      | $          | 1,154,418             |       | $ | 263,637 |   |
| Energy                    |       | 504,665                     |       | 2.27                       | %          | 937,255                |       | 103,942               |       |
| Interest Rates            |       | 2,094,788                   |       | 9.42                       | %          | 3,461,460              |       | 954,658               |       |
| Metals                    |       | 460,974                     |       | 2.07                       | %          | 1,102,077              |       | 77,059                |       |
| Stock Indices             |       | 415,355                     |       | 1.87                       | %          | 487,330                |       | 283,220               |       |
| Currencies                |       | 187,456                     |       | 0.84                       | %          | 258,149                |       | 49,042                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 4,238,730  |                       | 19.06      | %                      | $          | 7,400,689             |       | $ | 1,731,558 |   |

 

----

(1)The averagecapitalization for Class D-SM is $22,249,117. 

 

**Transtrend Class D-SM(2) **

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 69,486     |                       | 0.32       | %                      | $          | 101,630               |       | $ | 9,811 |   |
| Energy                    |       | 265,232                     |       | 1.21                       | %          | 448,273                |       | 3,128                 |       |
| Interest Rates            |       | 1,105,160                   |       | 5.04                       | %          | 1,433,386              |       | 558,038               |       |
| Metals                    |       | 72,997                      |       | 0.33                       | %          | 106,190                |       | 53,687                |       |
| Stock Indices             |       | 92,709                      |       | 0.42                       | %          | 119,593                |       | 47,238                |       |
| Currencies                |       | 450,256                     |       | 2.05                       | %          | 862,213                |       | 61,898                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 2,055,840  |                       | 9.37       | %                      | $          | 3,071,285             |       | $ | 733,800 |   |

 

----

(2) The average capitalization for Class D-SM is $21,931,550.

 

11

----

 

**Aspect Class D-SM(3) **

 

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 146,242    |                       | 0.66       | %                      | $          | 311,280               |       | $ | 41,068 |   |
| Energy                    |       | 220,635                     |       | 0.99                       | %          | 429,813                |       | 81,351                |       |
| Interest Rates            |       | 1,214,291                   |       | 5.46                       | %          | 1,770,309              |       | 786,932               |       |
| Metals                    |       | 92,384                      |       | 0.42                       | %          | 197,392                |       | 13,488                |       |
| Stock Indices             |       | 208,256                     |       | 0.94                       | %          | 368,318                |       | 72,963                |       |
| Currencies                |       | 4,814,110                   |       | 21.67                      | %          | 871,335                |       | 251,934               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 6,695,918  |                       | 30.14      | %                      | $          | 3,948,447             |       | $ | 1,247,736 |   |

 

----

(3) The averagecapitalization for Class D-SM is $22,220,249. 

 

**Chesapeake Class D-SM(4)**

 

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 469,991    |                       | 2.11       | %                      | $          | 530,675               |       | $ | 381,345 |   |
| Energy                    |       | 273,694                     |       | 1.23                       | %          | 397,896                |       | 189,141               |       |
| Interest Rates            |       | 1,309,033                   |       | 5.87                       | %          | 1,646,516              |       | 909,424               |       |
| Metals                    |       | 142,953                     |       | 0.64                       | %          | 222,006                |       | 63,437                |       |
| Stock Indices             |       | —                      |       | 0.00                       | %          | —                 |       | —                |       |
| Stock Futures             |       | 77,492                      |       | 0.35                       | %          | 93,181                 |       | 69,376                |       |
| Currencies                |       | 561,937                     |       | 2.52                       | %          | 762,289                |       | 327,964               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 2,835,100  |                       | 12.72      | %                      | $          | 3,652,563             |       | $ | 1,940,687 |   |

 

----

(4) The average capitalization for Class D-SM is $22,304,456.

 

**Winton Class D-SM(5)**

 

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 103,346    |                       | 0.47       | %                      | $          | 147,543               |       | $ | 76,128 |   |
| Energy                    |       | 92,819                      |       | 0.42                       | %          | 127,456                |       | 47,971                |       |
| Interest Rates            |       | 879,377                     |       | 3.99                       | %          | 982,097                |       | 691,822               |       |
| Metals                    |       | 66,561                      |       | 0.30                       | %          | 90,796                 |       | 51,142                |       |
| Stock Indices             |       | 36,179                      |       | 0.16                       | %          | 61,534                 |       | 3,744                 |       |
| Currencies                |       | 308,966                     |       | 1.40                       | %          | 358,304                |       | 233,361               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 1,487,248  |                       | 6.74       | %                      | $          | 1,767,730             |       | $ | 1,104,168 |   |

 

----

(5) The average capitalization for Class D-SM is $22,036,487.

 

12

----

 

**John Locke Class D-SM(6)**

 

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 58,302     |                       | 0.32       | %                      | $          | 112,433               |       | $ | 29,993 |   |
| Energy                    |       | 74,627                      |       | 0.40                       | %          | 125,297                |       | 9,148                 |       |
| Interest Rates            |       | 1,330,538                   |       | 7.21                       | %          | 2,096,249              |       | 769,897               |       |
| Metals                    |       | 57,560                      |       | 0.31                       | %          | 82,847                 |       | 36,019                |       |
| Stock Indices             |       | 96,028                      |       | 0.52                       | %          | 261,571                |       | 9,144                 |       |
| Currencies                |       | 214,490                     |       | 1.16                       | %          | 324,410                |       | 90,074                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 1,831,545  |                       | 9.92       | %                      | $          | 3,002,807             |       | $ | 944,275 |   |

 

----

(6) The average capitalization for Class D-SM is $18,461,557.

 

**GSA Class D-SM(7)**

**March 31, 2008**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural  Commodities |       | $                           | 6,472      |                       | 0.04       | %                      | $          | 11,052                |       | $ | 2,984 |   |
| Energy                    |       | 6,405                       |       | 0.04                       | %          | 14,897                 |       | 73                    |       |
| Interest Rates            |       | 2,255,456                   |       | 12.42                      | %          | 2,540,200              |       | 1,861,503             |       |
| Metals                    |       | 3,954                       |       | 0.02                       | %          | 5,475                  |       | 1,862                 |       |
| Stock Indices             |       | 201,569                     |       | 1.11                       | %          | 497,743                |       | 42,209                |       |
| Currencies                |       | 69,151                      |       | 0.38                       | %          | 167,614                |       | 14,452                |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 2,543,007  |                       | 14.01      | %                      | $          | 3,236,981             |       | $ | 1,923,083 |   |

 

----

(7) The average capitalization for Class D-SM is $18,160,745.

 

13

----

 

Material Limitations on Value at Riskas an Assessment of Market Risk

 

The face value of the market sectorinstruments held by the Portfolio Funds is typically many times the applicablemaintenance margin requirement (maintenance margin requirements generallyranging between approximately 1% and 10% of contract face value) as well asmany times the capitalization of the Portfolio Funds.  The magnitude of the Portfolio Funds’ openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Portfolio Funds to incur severe losses over ashort period of time.   The foregoingValue at Risk table — as well as the past performance of the Portfolio Funds —gives no indication of this “risk of ruin.”

 

**Non-TradingRisk**

 

ForeignCurrency Balances; Cash on Deposit with MLPF&S

 

ThePortfolio Funds have non-trading market risk on its foreign cash balances notneeded for margin. However, these balances (as well as the market risk theyrepresent) are immaterial.

 

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

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Portfolio Funds’ market riskexposures — except for (i) those disclosures that are statements ofhistorical fact and (ii) the descriptions of how the Portfolio Fundsmanage their primary market risk exposures — constitute forward-lookingstatements within the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act. The Portfolio Funds’ primary market riskexposures as well as the strategies used and to be used by Portfolio Funds’managers for managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of thePortfolio Funds’ risk controls to differ materially from the objectives of suchstrategies. Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Portfolio Funds. There can be no assurancethat the Portfolio Funds’ current market exposure and/or risk managementstrategies will not change materially or that any such strategies will beeffective in either the short- or long-term. Investors must be prepared to loseall or substantially all of the time value of their investment in the Fund.

 

Item 4. Controls and Procedures

 

MLAI, the Sponsorof ML Systematic Momentum LLC, with the participation of the Sponsor’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors that couldsignificantly affect these controls subsequent to the date of this evaluation,including any corrective actions with regard to significant deficiencies andmaterial weaknesses.

 

14

----

 

PART II -OTHER INFORMATION

 

Item 1.           LegalProceedings

 

None.

 

Item 1A.       RiskFactors

 

## PastPerformance Not Necessarily Indicative of Future Results

 

Past performance is not necessarily indicativeof future results.  The trading advisors’past performance may not be representative of how it may trade in the futurefor the Fund.

 

## VolatileMarkets; Highly Leveraged Trading

 

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

 

## Importanceof General Market Conditions

 

Overall market or economic conditions — whichneither MLAI nor the trading advisors can predict or control — have a materialeffect on the performance of any managed futures strategy of the PortfolioFunds.

 

## ForwardTrading

 

The Portfolio Funds will trade currencies in theforward markets in addition to in the futures markets.  The forward markets are over-the-counter,non-exchange markets, and in trading in these markets, the Portfolio Funds willbe dependent on the credit standing of the counterparties with which theytrade, without the financial support of any clearinghouse system.  In addition, the prices offered for the sameforward contract may vary significantly among different forward marketparticipants.  Forward marketcounterparties are under no obligation to enter into forward transactions witha Fund, including transactions through which the Portfolio Funds are attemptingto liquidate open positions.

 

## IncreasedAssets Under Management

 

There appears to be a tendency for the rates ofreturn achieved by managed futures advisors to decline as assets undermanagement increase.  The trading advisorhas not agreed to limit the amount of additional equity which it may manage.

 

## TradingAdvisor Risk

 

The Portfolio Funds are subject to the risk ofthe bad judgment, negligence or misconduct of its trading advisor.  There have been a number of instances inrecent years in which private investment funds have incurred substantial lossesdue to manager misconduct.

 

15

----

 

## Changesin Trading Strategy

 

The trading advisors may make materialchanges in its trading strategies without the knowledge of MLAI.

 

## IlliquidMarkets

 

Certain positions held by the Portfolio Fundsmay become illiquid, preventing the Portfolio Funds’ trading advisors fromacquiring positions otherwise indicated by its strategy or making it impossiblefor the trading advisors to close out positions against which the market ismoving.

 

Certain futures markets are subject to “dailyprice limits,” restricting the maximum amount by which the price of aparticular contract can change during any given trading day.  Once a contract’s price has moved “the limit,”it may be impossible or economically non-viable to execute trades in suchcontract.  From time to time, prices havemoved “the limit” for a number of consecutive days, making it impossible fortraders against whose positions the market was moving to prevent large losses.

 

## Tradingon Non-U.S. Exchanges

 

The trading advisors may trade extensively onnon-U.S. exchanges.  These exchanges arenot regulated by any United States governmental agency.  The Portfolio Funds could incur substantiallosses trading on foreign exchanges to which it would not have been subject hadits trading advisor limited its trading to U.S. markets.

 

The profits and losses derived from tradingforeign futures and options will generally be denominated in foreigncurrencies; consequently, the Portfolio Funds will be subject to a certaindegree of exchange-rate risk in trading such contracts.

 

The Portfolio Funds Could Lose Assets and Have Its Trading DisruptedDue to the Bankruptcy of One of the Parties

 

The Portfolio Funds aresubject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S. Portfolio Funds’ assets could be lost or impoundedduring lengthy bankruptcy proceedings. Were a substantial portion of the Portfolio Funds’ capital tied up in abankruptcy, MLAI might suspend or limit trading, perhaps causing the PortfolioFunds to miss significant profit opportunities. There are increased risks indealing with unregulated trading counterparties including the risk that assetsmay not benefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

16

----

 

Item2.            Unregistered Sales ofEquity Securities and Use ofProceeds

 

(a) Issuance to accredited investors pursuant toRegulation D and Section 4(6) under the Securities Act.  The selling agent of the following Class ofUnits was MLPF&S.

 

**CLASS A**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 490,879    |       | 477,602    |   | $ | 1.0278 |   |
| Feb-08     |       | 765,834          |       | 735,248    |       | 1.0416 |   |
| Mar-08     |       | 2,265,597        |       | 1,968,714  |       | 1.1508 |   |
| Apr-08     |       | 9,401,839        |       | 8,361,650  |       | 1.1243 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

**CLASS C**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 9,676,279  |       | 9,070,378  |   | $ | 1.0668 |   |
| Feb-08     |       | 10,615,351       |       | 9,826,299  |       | 1.0803 |   |
| Mar-08     |       | 13,574,098       |       | 11,381,937 |       | 1.1926 |   |
| Apr-08     |       | 59,470,138       |       | 51,082,407 |       | 1.1642 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

**CLASS D-SD**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | —     |       | —     |   | $ | 1.0356 |   |
| Feb-08     |       | 11,999           |       | 11,419     |       | 1.0508 |   |
| Mar-08     |       | —           |       | —     |       | 1.1624 |   |
| Apr-08     |       | 899,999          |       | 791,487    |       | 1.1371 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

**CLASS D**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | —     |       | —     |   | $ | 1.1603 |   |
| Feb-08     |       | —           |       | —     |       | 1.1774 |   |
| Mar-08     |       | 1,270,999        |       | 975,814    |       | 1.3025 |   |
| Apr-08     |       | 974,999          |       | 765,246    |       | 1.2741 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

**CLASS I**

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
|       |       |             |       |       |       |   |   |
| Jan-08     |       | $                | 175,293    |       | 162,972    |   | $ | 1.0756 |   |
| Feb-08     |       | 15,517,918       |       | 14,230,094 |       | 1.0905 |   |
| Mar-08     |       | 2,540,369        |       | 2,107,841  |       | 1.2052 |   |
| Apr-08     |       | 12,073,337       |       | 10,249,883 |       | 1.1779 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Net Asset Valuefor all other purposes

 

(b)         None.

(c)          None.

 

Item3.            Defaults Upon Senior Securities

 

None.

 

Item4.            Submission of Mattersto a Vote of Security Holders

 

None.

 

Item5.            Other Information

 

None.

 

17

----

 
| Item 6. | Exhibits                                                                                                                 |
|---------|--------------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                     |
|    | The following exhibits  are incorporated by reference or are filed herewith to this Quarterly Report  on Form 10-Q: |
|    |                                                                                                                     |
|    | 31.01 and                                                                                                                |
|    | 31.02                                                                                                                    | Rule 13a-14(a)/15d-14(a) Certifications |
|    |                                                                                                                     |
|    | Exhibit 31.01                                                                                                       |
|    | and 31.02:                                                                                                               | Are filed herewith. |
|    |                                                                                                                     |
|    | 32.01 and                                                                                                                |
|    | 32.02                                                                                                                    | Section 1350  Certifications |
|    |                                                                                                                     |
|    | Exhibit 32.01                                                                                                       |
|    | and 32.02                                                                                                                | Are filed herewith. |

 

18

----

 

**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|   | ML SYSTEMATIC MOMENTUM  LLC    |
|--------|--------------------------------|
|   |                           |
|   |                           |
|   | By: MERRILL LYNCH  ALTERNATIVE |   |
|   | INVESTMENTS LLC                |   |
|   | (Manager)                      |   |

 

 
| Date:   May 14, 2008 | By     | /s/ PAUL MORTON                        |
|--------------------------------|--------|----------------------------------------|
|                           |   | Paul  Morton                           |
|                           |   | Chief Executive Officer  and President |
|                           |   | (Principal Executive  Officer)         |

 

 
| Date:   May 14, 2008 | By     | /s/  BARBRA E. KOCSIS                         |
|--------------------------------|--------|-----------------------------------------------|
|                           |   | Barbra  E. Kocsis                             |
|                           |   | Chief Financial Officer                       |
|                           |   | (Principal Financial  and Accounting Officer) |

 

19

----