**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

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

 

**For thequarterly period ended March 31, 2009**

 

**OR**

 

**o****         TRANSITION REPORTPURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF1934**

 

**For thetransition period from                to**

 

**CommissionFile Number 0-52505**

 

# **ML SYSTEMATIC MOMENTUM FUTURESACCESS 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/oMerrill Lynch Alternative Investments LLC**

**Two World Financial Center, 7****th**** Floor**

**New York, New York 10281**

(Address of principal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2) hasbeen subject to such filing requirements for the past 90 days.  Yes  x  No  o

 

Indicate by check mark whether the Registrant has submittedelectronically and posted on its corporate Web site, if any, an InteractiveData File required to be submitted and posted pursuant to Rule 405 ofRegulation S-T (§232.405 of this chapter) during the preceding 12 months (orfor such shorter period that the Registrant was required to submit and postsuch files).  Yes  o  No  o

 

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, a non-accelerated filer, or asmaller reporting company.  See thedefinitions of “large accelerated filer,” “accelerated filer” and “smallerreporting company” in Rule 12b-2 of the Exchange Act. (Check one):

 

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

 

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

 

The limited partnershipunits of the registrant are not publicly traded. Accordingly, there is no aggregatemarket value for registrant’s outstanding equity that is readily determinable.

 

As of March 31, 2009,585,145,408 units of membership were outstanding.

 

 

 

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**ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

 

QUARTERLY REPORT FOR MARCH 31, 2009 ON FORM 10-Q

 

Table of Contents

 
| ** ** | ** **                                                                                  | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|----------|
|       | PART I                                                                                 |     |
|       |                                                                                        |     |
| Item 1.    | Financial Statements                                                                        | 1        |
|       |                                                                                        |     |
| Item 2.    | Management’s Discussion  and Analysis of Financial Condition and Results of Operations | 12       |
|       |                                                                                        |     |
| Item 3.    | Quantitative and  Qualitative Disclosures About Market Risk                                 | 16       |
|       |                                                                                        |     |
| Item 4.    | Controls and Procedures                                                                     | 24       |
|       |                                                                                        |     |
|       | PART II                                                                                |     |
|       |                                                                                        |     |
| Item 1.    | Legal Proceedings                                                                           | 25       |
|       |                                                                                        |     |
| Item 1A.   | Risk Factors                                                                                | 25       |
|       |                                                                                        |     |
| Item 2.    | Unregistered Sales of  Equity Securities and Use of Proceeds                                | 25       |
|       |                                                                                        |     |
| Item 3.    | Defaults Upon Senior  Securities                                                            | 26       |
|       |                                                                                        |     |
| Item 4.    | Submission of Matters  to a Vote of Security Holders                                        | 26       |
|       |                                                                                        |     |
| Item 5.    | Other Information                                                                           | 26       |
|       |                                                                                        |     |
| Item 6.    | Exhibits                                                                                    | 26       |

 

----

 

PART I - FINANCIAL INFORMATION

 

Item1.   Financial Statements

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                                 | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                                                 | ** ** | **2009**           | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                                                |       |               |        |                  |       |
|                                                                                                       |       |               |        |                  |       |
| Cash                                                                                                       |       | $                  | 161,855     |                  | $          | 36,548 |   |
| Investment  in Portfolio Funds (Cost $672,719,900 at 2009 and $614,639,346 at 2008)                        |       | 733,337,988        |        | 701,122,301           |       |
| Receivable  from Portfolio Fund                                                                            |       | —             |        | 22,935                |       |
|                                                                                                       |       |               |        |                  |       |
| **TOTAL ASSETS**                                                                                           |       | $                  | 733,499,843 |                  | $          | 701,181,784 |   |
|                                                                                                       |       |               |        |                  |       |
| **LIABILITIES AND MEMBERS’ CAPITAL:**                                                                 |       |               |        |                  |       |
| LIABILITIES:                                                                                               |       |               |        |                  |       |
| Sponsor  fee payable                                                                                       |       | $                  | 1,111,381   |                  | $          | 1,018,265 |   |
| Redemptions  payable                                                                                       |       | 14,183,036         |        | 21,004,290            |       |
| Ongoing  offering costs payable                                                                            |       | 104,370            |        | 22,623                |       |
| Other                                                                                                      |       | 256,912            |        | 438,518               |       |
|                                                                                                       |       |               |        |                  |       |
| Total  liabilities                                                                                         |       | 15,655,699         |        | 22,483,696            |       |
|                                                                                                       |       |               |        |                  |       |
| MEMBERS’  CAPITAL:                                                                                    |       |               |        |                  |       |
| Members’  Interest (585,145,408 Units and 532,683,079 Units outstanding, unlimited  Units authorized) |       | 717,844,144        |        | 678,698,088           |       |
| Total  members’ capital                                                                               |       | 717,844,144        |        | 678,698,088           |       |
|                                                                                                       |       |               |        |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’ CAPITAL**                                                            |       | $                  | 733,499,843 |                  | $          | 701,181,784 |   |
| ** **                                                                                                 |       |               |        |                  |       |
| **NET ASSET VALUE PER UNIT (SEE NOTE 4)**                                                                  |       |               |        |                  |       |

** **

See accompanying notes tofinancial statements.

 

1

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                    | ** ** | **For the three**       | ** **  | **For the three**       | ** ** |
|-----------------------------------------------|------------|-------------------------|-------------|-------------------------|------------|
| ** **                                    | ** ** | **months ended**        | ** **  | **months ended**        | ** ** |
| ** **                                    | ** ** | **March 31, 2009** | ** **  | **March 31, 2008** | ** ** |
| **TRADING PROFIT (LOSS):**                    | ** ** | ** **              | ** **  | ** **              | ** ** |
|                                          |       |                    |        |                    |       |
| Realized                                      |       | $                       | 735         |                    | $          | 59,031 |   |
| Change  in unrealized, net                    |       | (25,864,866             | )           | 13,582,888              |       |
|                                          |       |                    |        |                    |       |
| Total  trading profit (loss)                  |       | (25,864,131             | )           | 13,641,919              |       |
|                                          |       |                    |        |                    |       |
| **INVESTMENT INCOME:**                        |       |                    |        |                    |       |
| Interest                                      |       | 7,442                   |        | 2,404                   |       |
|                                          |       |                    |        |                    |       |
| **EXPENSES:**                                 |       |                    |        |                    |       |
| Sponsor  fee                                  |       | 3,263,123               |        | 680,290                 |       |
| Other                                         |       | 177,687                 |        | 383,244                 |       |
| Total  expenses                               |       | 3,440,810               |        | 1,063,534               |       |
|                                          |       |                    |        |                    |       |
| **NET INVESTMENT INCOME (LOSS)**              |       | (3,433,368              | )           | (1,061,130              | )          |
|                                          |       |                    |        |                    |       |
| **NET INCOME (LOSS)**                         |       | $                       | (29,297,499 | )                       | $          | 12,580,789 |   |
|                                          |       |                    |        |                    |       |
| **NET INCOME (LOSS) PER UNIT:**               |       |                    |        |                    |       |
|                                          |       |                    |        |                    |       |
| Weighted  average number of Units outstanding |       |                    |        |                    |       |
| Class A**                                |       | 50,543,546              |        | 6,702,285               |       |
| Class C*                                 |       | 354,696,908             |        | 79,722,721              |       |
| Class D                                  |       | 32,607,973              |        | 17,128,976              |       |
| Class I*                                 |       | 60,599,596              |        | 24,971,967              |       |
| Class D1***                              |       | 32,455,297              |        | 4,997,767               |       |
| Class DA****                             |       | 50,557,717              |        | —                  |       |
|                                          |       |                    |        |                    |       |
| Net  income (loss) per weighted average Unit  |       |                    |        |                    |       |
| Class A**                                |       | $                       | (0.0506     | )                       | $          | 0.0812 |   |
| Class C*                                 |       | $                       | (0.0538     | )                       | $          | 0.0875 |   |
| Class D                                  |       | $                       | (0.0458     | )                       | $          | 0.1092 |   |
| Class I*                                 |       | $                       | (0.0492     | )                       | $          | 0.1076 |   |
| Class D1***                              |       | $                       | (0.0439     | )                       | $          | 0.1014 |   |
| Class DA****                             |       | $                       | (0.0348     | )                       | $          | — |   |

 

----

*Units issued June 1,2007.

** Units issued on July 1,2007.

*** Units issued on July 1,2007 and Class D1 was previously known as Class D-SD.

**** Units issued on December 1,2008.

 

See accompanying notes tofinancial statements.

 

2

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the three months ended March 31,2009 and 2008

(unaudited)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  March 31, 2009** | ** ** |
|---------------------------|------------|-------------------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------------------------------|------------|--------------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------------|------------|
| Class A**            |       | 5,078,646                                                   |       | 3,181,564         |       | (2,445,767      | )          | 5,814,443                                           |       | 43,411,942                                             |       | 12,354,829        |       | (1,744,770      | )          | 54,022,001                                               |       |
| Class C*             |       | 69,888,701                                                  |       | 30,278,614        |       | (21,178,778     | )          | 78,988,537                                          |       | 317,357,227                                            |       | 66,096,950        |       | (22,206,229     | )          | 361,247,948                                              |       |
| Class D              |       | 16,803,705                                                  |       | 975,814           |       | —          |       | 17,779,519                                          |       | 34,878,314                                             |       | —            |       | (5,511,010      | )          | 29,367,304                                               |       |
| Class I*             |       | 14,757,114                                                  |       | 16,500,907        |       | (1,559,302      | )          | 29,698,719                                          |       | 53,200,108                                             |       | 13,155,387        |       | (5,352,553      | )          | 61,002,942                                               |       |
| Class D1***          |       | 4,990,154                                                   |       | 11,419            |       | —          |       | 5,001,573                                           |       | 31,040,046                                             |       | 2,914,238         |       | (1,582,722      | )          | 32,371,562                                               |       |
| Class DA****         |       | —                                                      |       | —            |       | —          |       | —                                              |       | 52,795,442                                             |       | —            |       | (5,661,791      | )          | 47,133,651                                               |       |
|                      |       |                                                        |       |              |       |            |       |                                                |       |                                                   |       |              |       |            |       |                                                     |       |
| Total Members’ Units |       | 111,518,320                                                 |       | 50,948,318        |       | (25,183,847     | )          | 137,282,791                                         |       | 532,683,079                                            |       | 94,521,404        |       | (42,059,075     | )          | 585,145,408                                              |       |

 

----

*Unitsissued June 1, 2007.

**Units issued on July 1, 2007.

*** Units issued on July 1,2007 and Class D1 was previously known as Class D-SD.

****Units issued on December 1, 2008.

 

Seeaccompanying notes to financial statements.

 

3

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS  OF CHANGES IN MEMBERS’ CAPITAL

For the three months ended March 31,2009 and 2008

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital  December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  March 31, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income  (Loss)** | ** ** | **Members’ Capital  March 31, 2009** | ** **  |
|------------------------------|------------|---------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|-------------|-----------------|------------|------------------------|------------|------------------------------------------------|-------------|
| Class A**               |       | $                                                 | 5,217,419   |              | $          | 3,522,310       |       | $                      | (2,750,049  | )                                              | $          | 544,267                                           |       | $                 | 6,533,947   |            | $          | 54,529,667             |       | $                                              | 15,440,789  |   | $ | (2,148,819 | ) | $ | (2,555,650 | ) | $ | 65,265,987 |   |
| Class C*                |       | 74,531,573                                        |        | 33,865,728        |       | (23,457,663     | )          | 6,971,801              |        | 91,911,439                                     |       | 409,646,343                                       |       | 84,875,891        |        | (28,065,108     | )          | (19,083,152            | )          | 447,373,974                                    |        |
| Class D                 |       | 19,442,860                                        |        | 1,270,999         |       | —          |       | 1,870,574              |        | 22,584,433                                     |       | 50,152,681                                        |       | —            |        | (7,900,412      | )          | (1,494,918             | )          | 40,757,351                                     |        |
| Class I*                |       | 15,867,209                                        |        | 18,233,580        |       | (1,818,681      | )          | 2,687,322              |        | 34,969,430                                     |       | 70,208,485                                        |       | 17,289,573        |        | (7,009,265      | )          | (2,978,698             | )          | 77,510,095                                     |        |
| Class D1***             |       | 5,165,016                                         |        | 11,999            |       | —          |       | 506,825                |        | 5,683,840                                      |       | 39,876,273                                        |       | 3,722,356         |        | (2,025,884      | )          | (1,423,587             | )          | 40,149,158                                     |        |
| Class DA****            |       | —                                            |        | —            |       | —          |       | —                 |        | —                                         |       | 54,284,639                                        |       | —            |        | (5,735,566      | )          | (1,761,494             | )          | 46,787,579                                     |        |
|                         |       |                                              |        |              |       |            |       |                   |        |                                           |       |                                              |       |              |        |            |       |                   |       |                                           |        |
| Total Members’ Interest |       | $                                                 | 120,224,077 |              | $          | 56,904,616      |       | $                      | (28,026,393 | )                                              | $          | 12,580,789                                        |       | $                 | 161,683,089 |            | $          | 678,698,088            |       | $                                              | 121,328,609 |   | $ | (52,885,054 | ) | $ | (29,297,499 | ) | $ | 717,844,144 |   |

 

----

*Unitsissued June 1, 2007.

**Units issued on July 1, 2007.

***Units issued on July 1, 2007 and Class D1 was previously known as Class D-SD.

****Units issued on December 1, 2008.

 

Seeaccompanying notes to financial statements.

 

4

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ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.         SUMMARY OFSIGNIFICANT 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”)is the sponsor (“Sponsor”) and manager (“Manager”) of the Fund. MLAI is anindirect wholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”).  Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Fund’s commodity broker. On September 15, 2008, Merrill Lynch &Co., Inc. (“Merrill Lynch” or the “Company”) entered into an Agreement andPlan of Merger (as amended by Amendment No. 1 dated as of October 21,2008, the “Merger Agreement”) with Bank of America Corporation (“Bank ofAmerica”). Pursuant to the Merger Agreement, on January 1, 2009, awholly-owned subsidiary of Bank of America (“Merger Sub”) merged with and intoMerrill Lynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America (the “Merger”).

 

In the opinion of management, these interim financialstatements contain all adjustments necessary to present fairly the financialposition of the Fund as of March 31, 2009, and the results of itsoperations for the three months ended March 31, 2009 and 2008. However,the operating results for the interim period may not be indicative of theresults for the full year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the period ended December 31, 2008.

 

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.

 

Certain prior yearitems have been reclassified to conform to the current year presentation.

 

5

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2.         INVESTMENTS IN UNDERLYING FUNDS

 

The eight funds (each a “Portfolio Fund” andcollectively “Portfolio Funds”) in which the Fund is invested as of March 31,2009 are: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”),ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML Blue Trend FuturesAccess LLC(“Blue Trend”), ML GSA FuturesAccess LLC (“GSA”), ML John Locke FuturesAccessLLC (“John Locke”) ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”)  and ML Winton FuturesAccess LLC (“Winton”).  MLAI, in its discretion may, 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.

 

At March 31, 2009 Investments in Portfolio Fundsat fair value are as follows:

 
| ** ** | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  |
|------------|------------|-------------------------------------------|------------|----------------|-------------|
| Chesapeake |       | 10.43                                     | %          | 74,845,294     |        |
| Transtrend |       | 16.26                                     | %          | 116,717,552    |        |
| Altis      |       | 13.38                                     | %          | 96,052,871     |        |
| Winton     |       | 16.57                                     | %          | 118,946,176    |        |
| Aspect     |       | 10.20                                     | %          | 73,241,921     |        |
| John Locke |       | 14.69                                     | %          | 105,470,230    |        |
| BlueTrend  |       | 7.30                                      | %          | 52,407,932     |        |
| GSA        |       | 13.33                                     | %          | 95,656,012     |        |
|       |       | 102.16                                    | %          | $              | 733,337,988 |   |
|            |            |                                           |            |                |             |  |

 

Total Investmentsin Portfolio Funds at Fair Value (Cost $672,719,900)

 

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

 
| ** **  | ** ** | **Percentage of  Members’  Capital** | ** ** | **Fair Value** | ** **  |
|-------------|------------|------------------------------------------------|------------|---------------------|-------------|
| Chesapeake  |       | 10.43                                          | %          | 70,779,579          |        |
| Transtrend  |       | 16.47                                          | %          | 111,765,499         |        |
| Altis       |       | 13.77                                          | %          | 93,483,991          |        |
| Winton      |       | 16.36                                          | %          | 111,014,511         |        |
| Aspect      |       | 10.45                                          | %          | 70,896,651          |        |
| John  Locke |       | 15.40                                          | %          | 104,525,135         |        |
| BlueTrend   |       | 7.22                                           | %          | 48,989,192          |        |
| GSA         |       | 13.21                                          | %          | 89,667,743          |        |
|        |       | 103.31                                         | %          | $                   | 701,122,301 |   |
|             |            |                                                |            |                     |             |  |

 

Total Investmentsin Portfolio Funds at Fair Value (Cost $614,639,346)

 

6

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3.         FAIRVALUE OF INVESTMENTS

 

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 as of January 1,2008. The adoption of FAS 157 did not have a material impact on the Fund’sfinancial statements.

 

Fair value of an investmentis the amount that would be received to sell the investment in an orderlytransaction between market participants at measurement date (i.e. the exitprice). Purchase and sale of investments is recorded on a trade date basis.Realized gains and losses on investments is recognized when the investments aresold. Any change in net unrealized gain or loss from the preceding period isreported on the Statement of Operations.

 

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 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 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.

 

Following is a descriptionof the valuation methodologies used for investments, as well as the generalclassification of such investments pursuant to the valuation hierarchy.

 

Investments in otherinvestment companies are valued using the net asset value reported by theinvestment company. These net asset values are the prices used to executetrades with these investment companies. If appropriate, adjustments to the reported net asset value may be madebased on various factors, including, but not limited to, the attributes of theinterest held, including the rights and obligations, and any restrictions orilliquidity.

 

Although there are monthlytransactions in these investment company interests, the NAV’s are materiallybased on portfolios of Level I and Level II assets and liabilities for whichthe Fund has transparency.  As such, theFund determined that its investments in these investment companies in thiscase, would be classified as Level II.

 

7

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The following table summarizes the valuation of theFund’s investment by the above FAS 157 fair value hierarchy levels as of December 31,2008 and March 31, 2009:

 
| ** **                    | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
| Investment in Portfolio Funds |       |      |        |        |       |         |       |          |       |
|                          |       |      |        |        |       |         |       |          |       |   |   |
| 12/31/2008                    |       | $         | 701,122,301 |        | N/A        |         | $          | 701,122,301   |       | N/A |   |
|                          |       |      |        |        |       |         |       |          |       |
| 03/31/2009                    |       | $         | 733,337,988 |        | N/A        |         | $          | 733,337,988   |       | N/A |   |

 

The Fund adopted Statement of Financial Accounting Standards No. 161,“Disclosures about Derivative Instruments and Hedging Activities” (“FAS 161”)as of January 1, 2009 which requires qualitative disclosures aboutobjectives and strategies for using derivatives, quantitative disclosures aboutfair value amounts of and gains and losses on derivative instruments, anddisclosures about credit-risk-related contingent features in derivativeagreements. FAS 161 only expands the disclosure requirements for derivativeinstruments and related hedging activities and has no impact on Statement ofFinancial Condition or Statement of Income and Expenses and Partners’ Capital.The Fund invests only in other Portfolio Funds, it does not have any directinvestments in derivative instruments.

 

8

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4.         NET ASSETVALUE 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. For all other purposes, including computing NetAsset Value for purposes of member subscription and redemption activity, suchcosts are amortized over 60 months. Consequently, the Net Asset Value and NetAsset Value per Unit of the different Classes for financial reporting purposesand for all other purposes at March 31, 2009 and December 31, 2008are as follows:

 

March 31,2009

 
| ** **    | ** ** | **Net Asset Value**     | ** **        | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|-------------------------|-------------------|--------------------------|------------|------------------------------|------------|
| ** **    | ** ** | **All Other  Purposes** | ** **        | **Financial  Reporting** | ** ** | **Number of  Units**         | ** ** | **All Other  Purposes** | ** ** | **Financial  Reporting** | ** ** |
| Class A  |       | $                       | 65,268,089        |                     | $          | 65,265,987                   |       | 54,022,001 |   | $ | 1.2081 |   | $ | 1.2081 |   |
| Class C  |       | 447,407,196             |              | 447,373,974              |       | 361,247,948                  |       | 1.2385 |   | 1.2384 |   |
| Class D  |       | 40,814,606              |              | 40,757,351               |       | 29,367,304                   |       | 1.3898 |   | 1.3878 |   |
| Class I  |       | 77,519,481              |              | 77,510,095               |       | 61,002,942                   |       | 1.2708 |   | 1.2706 |   |
| Class D1 |       | 40,151,563              |              | 40,149,158               |       | 32,371,562                   |       | 1.2403 |   | 1.2403 |   |
| Class DA |       | 46,787,580              |              | 46,787,579               |       | 47,133,651                   |       | 0.9927 |   | 0.9927 |   |
|          |       | $                       |  717,948,515 |                     | $          | 717,844,144                  |       | 585,145,408 |   |   |   |   |   |
|               |            |                         |                   |                          |            |                              |            |  |  |  |  |  |  |  |  |

 

December 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  |       | $                       | 54,531,772        |                     | $          | 54,529,667                   |       | 43,411,942 |   | $ | 1.2561 |   | $ | 1.2561 |   |
| Class C  |       | 409,679,565             |              | 409,646,343              |       | 317,357,227                  |       | 1.2909 |   | 1.2908 |   |
| Class D  |       | 50,209,935              |              | 50,152,681               |       | 34,878,314                   |       | 1.4396 |   | 1.4379 |   |
| Class I  |       | 70,217,871              |              | 70,208,485               |       | 53,200,108                   |       | 1.3199 |   | 1.3197 |   |
| Class D1 |       | 39,878,678              |              | 39,876,273               |       | 31,040,046                   |       | 1.2848 |   | 1.2847 |   |
| Class DA |       | 54,284,639              |              | 54,284,639               |       | 52,795,442                   |       | 1.0282 |   | 1.0282 |   |
|          |       | $                       |  678,802,460 |                     | $          | 678,698,088                  |       | $ | 532,683,079 |   |   |   |   |   |
|               |            |                         |                   |                          |            |                              |            |  |  |  |  |  |  |  |  |  |

 

9

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5.                           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 as mentionedbelow.  The following summarizes some ofthose 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 instrumentsfrequently result 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 thecollective credit (in some cases limited in amount, in some cases not) of themembers of the 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 riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statements of Financial Condition ofthe Portfolio Funds. The Portfolio Funds attempt to mitigate this risk bydealing exclusively with Merrill Lynch entities as clearing brokers.

 

The PortfolioFunds, in their normal course of business, enter into various contracts, withMerrill Lynch Pierce, Fenner & Smith Inc., (“MLPF&S”) acting astheir commodity broker.  Pursuant to thebrokerage arrangement with MLPF&S (which includes a netting arrangement),to the extent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Equity in commodity futures tradingaccounts in the Statements of Financial Condition of the Portfolio Funds.

 

Concentration Risk

 

The Fund’sinvestments in the Portfolio Funds are subject to the market and credit risk ofthe Portfolio Funds. Because the majority of the Fund’s capital is invested inthe Portfolio Funds, any changes in the market conditions that would adverselyaffect the Portfolio Funds could significantly impact the solvency of the Fund.

 

10

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6.                           RECENTACCOUNTING PRONOUNCEMENTS

 

In May 2008, the FASB issued Statement ofFinancial Accounting Standards No. 162, “*TheHierarchy of Generally Accepted Accounting Principles*” (“FAS 162”).FAS 162 identifies the sources of accounting principles and the framework forselecting the accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.Currently, U.S. GAAP hierarchy is provided in the American Institute ofCertified Public Accountants U.S. Auditing Standards (“AU”) Section 411, “*The Meaning of Present Fairly in Conformity With Generally AcceptedAccounting Principles*” (“AU Section 411”). FAS 162 is effective60 days following the SEC’s approval of the Public Company Accounting OversightBoard’s amendments to AU Section 411. The Fund does not expect theadoption of FAS 162 to have an impact on its financial statements.

 

In April 2009, the FASB issued FSP No. FAS157-4, “*Determining Fair Value When theVolume and Level of Activity for the Asset or Liability Have SignificantlyDecreased and Identifying Transactions That Are Not Orderly*” (FSP157-4). FSP 157-4 provides additional guidance for estimating fair value inaccordance with FASB Statement No. 157, *FairValue Measurements*, when the volume and level of activity for theasset or liability have significantly decreased. This FSP also includesguidance on identifying circumstances that indicate a transaction is notorderly. The FSP emphasizes that even if there has been a significant decreasein the volume and level of activity for the asset or liability and regardlessof the valuation technique(s) used, the objective of a fair valuemeasurement remains the same. Fair value is the price that would be received tosell an asset or paid to transfer a liability in an orderly transaction (thatis, not a forced liquidation or distressed sale) between market participants atthe measurement date under current market conditions. The FSP also contains enhanceddisclosure requirements whereby fair value disclosures as well as certaindisaggregated information will be disclosed beginning in the second quarter2009.

 

7.                           SUBSEQUENTEVENT

 

ML GSA FuturesAccess LLC is one of the Portfolio Fundsin which the Fund, a FuturesAccess fund of funds, invests. As of April 30,2009, approximately 13% of the capital of the Fund was allocated to GSA.However, the underlying manager of GSA has informed the Sponsor that it isdiscontinuing the strategy and will no longer act as the trading adviser forGSA. As a result, effective on or about May 31, 2009, GSA will beliquidated and Systematic Momentum will no longer invest in GSA. The Sponsormay reallocate the liquidation proceeds among other new or existing Portfolio Funds.

 

11

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Item2. Management’s Discussion and Analysis of Financial Condition and Resultsof Operations

 

MONTH-END NET ASSET VALUEPER UNIT

(NON U.S. GAAP)

 

MLAI believes that the Net Asset Value used tocalculate subscription and redemption value and to report performance toinvestors throughout the year is the most valuable performance measure to theMembers of the Fund.  Therefore, thecharts below referencing Net Asset Value and performance measurements are basedon the Net Asset Value for all other purposes, as discussed in Note 4 to thefinancial statements.

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS A

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0416     |     | $          | 1.1508   |       | $ | 1.1243 |   |
| 2009       |       | $        | 1.2473     |     | $          | 1.2484   |       | $ | 1.2081 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0803     |     | $          | 1.1926   |       | $ | 1.1642 |   |
| 2009       |       | $        | 1.2807     |     | $          | 1.2808   |       | $ | 1.2385 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** |   |
|------------|------------|----------|------------|----------|------------|----------|--------|
| 2008       |       | $        | 1.1774     |     | $          | 1.3025   |   | $ | 1.2741 |   |
| 2009       |       | $        | 1.4312     |     | $          | 1.4343   |   | $ | 1.3898 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0905     |     | $          | 1.2052   |       | $ | 1.1779 |   |
| 2009       |       | $        | 1.3110     |     | $          | 1.3126   |       | $ | 1.2708 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D1

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 1.0508     |     | $          | 1.1624   |       | $ | 1.1371 |   |
| 2009       |       | $        | 1.2773     |     | $          | 1.2800   |       | $ | 1.2403 |   |

 

MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DA

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | N/A      |       | N/A      |       | N/A      |       |
| 2009       |       | $        | 1.0222     |     | $          | 1.0244   |       | $ | 0.9927 |   |
|            |            |          |            |          |            |          |            |  |  |  |

 

12

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Liquidity and CapitalResources

 

The Fund does not engagein the sale of goods or services.  TheFund’s assets are it’s (i) investment in Funds and (ii) Cash.    Because of the low margin deposits normallyrequired in commodity futures trading relatively small price movements mayresult in substantial losses to the Fund. While substantial losses could lead to a material decrease in liquidity,no such material losses occurred during the first quarter of 2009.

 

The Fund’s capitalconsists of the capital contributions of the members as increased or decreasedby gains or losses on trading, expenses, interest income, redemptions ofRedeemable Units and distributions of profits, if any.

 

For the three months ended March 31, 2009, Fundcapital increased 5.77% from $678,698,088 to $717,844,144.  This increase was attributable to the netloss from operations of $29,297,499, coupled with the redemption of 42,059,075Redeemable Units of Limited Fund Interest resulting in an outflow of $52,885,054.  The cash outflow was offset with cash inflowof $121,328,609 due to subscription of 94,521,404 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical AccountingPolicies

 

Use of Estimates

 

The preparation offinancial statements and accompanying notes in conformity with U.S. generallyaccepted accounting principles (“GAAP”‘) requires management to make estimatesand assumptions that affect the reported amounts of assets and liabilities,income and expenses, and related disclosures of contingent assets andliabilities in the financial statements and accompanying notes.  As a result, actual results could differ fromthese estimates.

 

Statement of Cash Flows

 

The Fund has elected notto provide a Statement of Cash Flows as permitted by Statement of FinancialAccounting Standards No. 102 “Statement of Cash Flows-Exemption of CertainEnterprises and Classification of Cash Flows from Certain Securities Acquiredfor Resale” (“FAS 102”).

 

Investments

 

Fair value of aninvestment is the amount that would be received to sell the investment in anorderly transaction between market participants at measurement date (i.e. theexit price). Purchase and sale of investments is recorded on a trade datebasis. Realized gains and losses on investments is recognized when theinvestments are sold. Any change in net unrealized gain or loss from thepreceding period is reported on the Statement of Operations.

 

Fair Value Measurements

 

The Fund adopted Statementof Financial Accounting Standards No. 157, *Fair ValueMeasurements* (“SFAS 157”) as of January 1, 2008 which definesfair value as the price that would be received to sell an asset or paid totransfer a liability in an orderly transaction between market participants atthe measurement date.  The Fund did notapply the deferral allowed by FASB Staff Positions No. FAS 157-2, fornonfinancial assets and nonfinancial liabilities measured at fair value on anonrecurring basis. For information on the Fund’s valuation policies, see Note3. Fair Value of Investments.

 

Income Taxes

 

Income taxes have not beenprovided as each member is individually liable for the taxes, if any, on theirshare of the Fund’s income and expenses and Members’ Capital.

 

13

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In2007, the Fund adopted FASB interpretation No. 48 “Accounting forUncertainty in income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should berecognized, measured, presented and disclosed in the financial statements.  FIN 48 requires the evaluation of taxpositions taken or expected to be taken in the course of preparing the Fund’sfinancial statements to determine whether the tax positions are “more-likely-than-not”to be sustained by the applicable tax authority.  Tax positions with respect to tax at the Fundlevel not deemed to meet the “more-likely-than-not” threshold would be recordedas a tax benefit or expense in the current year.  MLAI has concluded that the adoption of FIN48 had no impact on the operations of the Fund for the period ended March 31,2009 and that no provision for income tax is required in the Fund’s financialstatements

 

Results of Operations

 

January 1, 2009 to March 31, 2009

 

TheFund experienced a net trading loss before brokerage commissions and relatedfees in the first quarter of 2009 of $25,864,131.

 

Performance of the Portfolio Funds were mixed in January whichreflected the choppy markets and diversification of the Portfolio Fundsapproach to trading. Winton was the best performer, while Altis and GSAperformed the worst. The Portfolio Funds profited from falling equities, withlong-term managers capturing more of the move. The Portfolio Funds alsoprofited from a continuous down-trend in commodities. Largest losses weresuffered in fixed income positions as the U.S. Treasury yields rallied andother global bonds shadowed the move.

 

Time horizon focus did not seem to be a driver ofreturns in the middle of the quarter, while asset allocation played a moresignificant role. The Portfolio Funds had small net short exposures to equitymarkets and thus registered gains in this asset class. In addition, most of thePortfolio Funds that had long positions in the U.S. dollar against variouscurrencies posted profits. Some of the Portfolio Funds that had long positionsin the Japanese yen vs. the U.S. dollar posted losses due to the Japanese yenending the month down significantly relative to the U.S. dollar. Fixed incomemarkets experienced volatile swings during the month as most of the PortfolioFunds ended with small losses in this sector.

 

At the start of March, most of the Portfolio Fundshad long positions in the fixed income markets. and kept this positionthroughout the month of March and benefited from falling yields. JohnLocke was the exception. As a shorter term manager, its positioning wasinfluenced significantly by intra-month choppiness in fixed income markets,causing large losses.

 

All other sectors had posted losses in March asa result of significant reversals in many markets. During March, equity marketsrallied following some positive corporate news in the first week. When the U.S.Federal Reserve announced the start of quantitative easing mid-month, the U.S.dollar began losing value against most major currencies and the commoditymarkets which are negatively correlated with the U.S. dollar and risk aversionmoved up. Given that most managers in the vertical are medium to long termtrend followers, they were not in a position to cut exposures very fast andwere negatively affected by these reversals.

 

14

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January 1, 2008 to March 31, 2008

 

TheFund experienced a net trading gain before brokerage commissions and relatedfees in the first quarter of 2008 of $13,641,919.

 

TheFund is a fund of funds investing in seven separate Portfolio Funds which aredomiciled at Merrill Lynch FuturesAccess Program. The Fund posted gains for thequarter.

 

January wasa positive month for the Fund, despite dramatic declines in global stockindices, illustrating the fund’s low correlation with equities over a marketcycle. Managers had long positions in fixed income and precious metals, both ofwhich benefited from fears of a US recession, as well as sharp Fed rate cutstotaling 1.25% for the month. The continuing rally in grain markets was anothersource of profit for managers. Losses came primarily from energy markets as oilprices weakened and natural gas rebounded. Aspect was the top performer withinthe Fund, gaining 4.7%, while Altis was the main underperformer, declining-4.6% for the month. Going into February, commodities and fixed income are thetwo largest risk allocations for most managers. CTAs continue to be long inmost fixed income markets, while in commodities, they generally have longpositions in grains, softs and precious metals, and shorts in livestock. Energyexposure has been cut back significantly after January’s losses. In equities,there is a small short bias for most managers, while in FX there is a short USDtilt against most currencies except the GBP.

 

February wasa very strong month for the Fund and the Fund continue to remain up for theyear 2008. As a point of comparison, the Newedge CTA Index (formerly CalyonFinancial Barclay Index) returned 4.6% for the month and is up 6.3% for theyear. The bulk of returns were earned in surging commodity markets. Grains andsofts rallied 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 USD.The top performer within the vertical in February was Altis, which gained24.3%. Altis is a medium to short term manager, with higher than average commodityexposure and higher than average leverage. The bottom performer was GSA, whichgained 2.1%. GSA is a short term manager with a blend of trend following andeconometric models, the latter type faring less well during the month. Goinginto March, most managers have increased their risk-taking to above-averagelevels. The largest allocation remains in commodities, where managers are longin most markets. In interest rates, most managers are biased long, whereas incurrencies most are tilted against the USD. Equities have a very low riskallocation.

 

TheFund was unprofitable for March. GSA, a short term manager was the topperformer in the vertical in March, gaining 1.5%, while Altis was the bottomperformer losing -6.8%. For the 1st Quarter as a whole, John Locke was the topperformer in the vertical, up 12.0%, while GSA had the smallest gains, rising4.2%. The strong trends in commodity markets in February made a sharpreversal in March, hurting most funds in the vertical. After gaining 11.7% inFebruary, the CRB Commodity Index fell -6.3% March. The grains and preciousmetals sectors recorded particularly large reversals. The Fund was able toparticipate more in the upward move in February (when it gained 10.4%)than in the March reversal (when it lost -2.4%), thereby preserving itsgains for the quarter. Managers were able to limit the damage in March byreducing leverage. Most managers scaled back positions in inverse proportion torising volatility in commodity markets. By the end of March overall leveragefor most managers was about 40% lower than at the start of the month. Lossesfor the vertical during the month were also mitigated by the positiveperformance of short term managers such as GSA and John Locke, who exploitedopportunities outside of commodities.

 

15

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Item3. Quantitative and Qualitative Disclosures About Market Risk

 

Quantitative Forward-Looking Statements

 

The following quantitative disclosures regarding theFund’s market risk exposures contain “forward-looking statement” within themeaning of the safe harbor from civil liability provided for such statements bythe Private Securities Litigation Reform Act of 1995 (set forth in Section 27Aof the Securities Act of 1933 and Section 21E of the Securities ExchangeAct of 1934).  All quantitativedisclosures in this section are deemed to be forward-looking statements forpurposes of the safe harbor, except for statements of historical fact.

 

Due to the Fund’s fund of funds structure, the followingstatements are related to the Portfolio Funds.

 

Maintenance margin requirements have been used by thePortfolio Funds as the measure of their Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95%-99% of the one-day time periods included in thehistorical sample (generally approximately one year) researched for purposes ofestablishing margin levels.  The maintenancemargin levels are established by dealers and exchanges using historical pricestudies as well as an assessment of current market volatility (including theimplied volatility of the options on a given futures contract) and economicfundamentals to provide a probabilistic estimate of the maximum expectednear-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, if ever,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.

 

# ThePortfolio 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 for the three months ended March 31,2009 and March 31, 2008.

 

16

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**Altis Class DS(1)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 171,657    |               | 0.18       | %                 | $          | 514,971          |       | $ | 87,114 |   |
| Energy                    |       | 187,692           |       | 0.20               | %          | 563,075           |       | 134,610          |       |
| Interest  Rates           |       | 10,463,884        |       | 11.09              | %          | 31,391,652        |       | 9,720,435        |       |
| Metals                    |       | 84,583            |       | 0.09               | %          | 253,748           |       | 79,345           |       |
| Stock  Indices            |       | 96,054            |       | 0.10               | %          | 288,163           |       | 50,163           |       |
| Currencies                |       | 282,697           |       | 0.30               | %          | 848,090           |       | 50,954           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 11,286,567 |               | 11.96      | %                 | $          | 33,859,699       |       | $ | 10,122,621 |   |

 

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(1) Averagecapitalization of Altis Class DS is $94,317,331. 

 

**Altis Class DS(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 |   |

 

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(1) The averagecapitalization for Class DS is $22,249,117.

 

17

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**TranstrendClass DS (2)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 491,077    |               | 0.42       | %                 | $          | 1,473,232        |       | $ | 166,927 |   |
| Energy                    |       | 426,025           |       | 0.37               | %          | 1,278,075         |       | 79,737           |       |
| Interest  Rates           |       | 7,143,450         |       | 6.17               | %          | 21,430,349        |       | 5,256,336        |       |
| Metals                    |       | 26,067            |       | 0.02               | %          | 78,200            |       | 5,041            |       |
| Stock  Indices            |       | 484,204           |       | 0.42               | %          | 1,452,613         |       | 29,529           |       |
| Currencies                |       | 94,325            |       | 0.08               | %          | 282,974           |       | 53,294           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 8,665,148  |               | 7.48       | %                 | $          | 25,995,443       |       | $ | 5,590,864 |   |

 

----

(2) Averagecapitalization of Transtrend Class DS is $115,748,006

 

**TranstrendClass DS (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 averagecapitalization for Class DS is $21,931,550.

 

18

----

 

**Aspect Class DS(3)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 57,687     |               | 0.08       | %                 | $          | 173,062          |       | $ | 37,404 |   |
| Energy                    |       | 28,174            |       | 0.04               | %          | 84,523            |       | 19,478           |       |
| Interest  Rates           |       | 4,654,681         |       | 6.39               | %          | 13,964,044        |       | 3,682,002        |       |
| Metals                    |       | 37,762            |       | 0.05               | %          | 113,286           |       | 31,554           |       |
| Stock  Indices            |       | 38,590            |       | 0.05               | %          | 115,770           |       | 35,081           |       |
| Currencies                |       | 138,577           |       | 0.19               | %          | 415,732           |       | 76,525           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 4,955,471  |               | 6.80       | %                 | $          | 14,866,417       |       | $ | 3,882,044 |   |

 

----

(3) AverageCapitalization of Aspect Class DS is $72,792,703

 

**Aspect Class DS(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 DS is $22,220,249.

 

19

----

 

**ChesapeakeClass DS (4)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 155,986    |               | 0.21       | %                 | $          | 467,957          |       | $ | 111,679 |   |
| Energy                    |       | —            |       | 0.00               | %          | —            |       | —           |       |
| Interest  Rates           |       | 3,502,467         |       | 4.81               | %          | 10,507,400        |       | 3,227,371        |       |
| Metals                    |       | 36,515            |       | 0.05               | %          | 109,544           |       | 33,200           |       |
| Stock  Indices            |       | —            |       | 0.00               | %          | —            |       | —           |       |
| Stock  Futures            |       | 491               |       | 0.00               | %          | 1,474             |       | 276              |       |
| Currencies                |       | 33,578            |       | 0.05               | %          | 100,733           |       | 20,189           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 3,729,037  |               | 5.12       | %                 | $          | 11,187,108       |       | $ | 3,392,715 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DS is $72,867,192

** **

**ChesapeakeClass DS (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                           |       | 0.00               | %          | 0                 |       | —           |       |
| 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 averagecapitalization for Class DS is $22,304,456.

 

20

----

** **

**Winton Class DS(5)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 85,984     |               | 0.07       | %                 | $          | 257,952          |       | $ | 56,998 |   |
| Energy                    |       | 15,785            |       | 0.01               | %          | 47,355            |       | 5,375            |       |
| Interest  Rates           |       | 5,367,841         |       | 4.65               | %          | 16,103,522        |       | 4,729,437        |       |
| Metals                    |       | 16,076            |       | 0.01               | %          | 48,228            |       | 8,792            |       |
| Stock  Indices            |       | 44,503            |       | 0.04               | %          | 133,510           |       | 39,237           |       |
| Currencies                |       | 180,741           |       | 0.16               | %          | 542,224           |       | 94,298           |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 5,710,930  |               | 4.94       | %                 | $          | 17,132,791       |       | $ | 4,934,137 |   |

 

----

(5) Average capitalizationof Winton Class DS is $115,346,611

 

**Winton Class DS(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 averagecapitalization for Class DS is $22,036,487.

 

21

----

 

**John Locke Class DS (6)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** **  | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|-------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** **  | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |        |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 601,875     |               | 0.56       | %                 | $          | 1,805,624        |       | $ | 351,245 |   |
| Energy                    |       | 875,131           |        | 0.82               | %          | 2,625,394         |       | 193,188          |       |
| Interest  Rates           |       | 105,904,949       |        | 98.93              | %          | 317,714,846       |       | 1,922,404        |       |
| Metals                    |       | 1,133,197         |        | 1.06               | %          | 3,399,590         |       | 30,523           |       |
| Stock  Indices            |       | 892,539           |        | 0.83               | %          | 2,677,617         |       | 69,733           |       |
| Currencies                |       | 5,806,748         |        | 5.42               | %          | 17,420,245        |       | 585,988          |       |
|                      |       |              |        |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 115,214,439 |               | 107.62     | %                 | $          | 345,643,316      |       | $ | 3,153,081 |   |

 

----

(6) Averagecapitalization of John Locke Class DS is $107,055,519

 

**JohnLocke Class DS (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 averagecapitalization for Class DS is $18,461,557.

 

22

----

 

**GSA Class DS(7)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 578,979    |               | 0.62       | %                 | $          | 1,736,937        |       | $ | 165,243 |   |
| Energy                    |       | 685,887           |       | 0.73               | %          | 2,057,660         |       | 82,472           |       |
| Interest  Rates           |       | 2,813,185         |       | 3.00               | %          | 8,439,554         |       | 60,305           |       |
| Metals                    |       | 443,970           |       | 0.47               | %          | 1,331,909         |       | 66,177           |       |
| Stock  Indices            |       | 2,462,888         |       | 2.63               | %          | 7,388,665         |       | 440,437          |       |
| Currencies                |       | 800,455           |       | 0.85               | %          | 2,401,364         |       | 370,036          |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 7,785,364  |               | 8.30       | %                 | $          | 23,356,089       |       | $ | 1,184,670 |   |

 

----

(7) Averagecapitalization of GSA Class DS is $93,699,263

 

**GSA Class DS(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 averagecapitalization for Class DS is $18,160,745.

 

**BlueTrendClass DS (8)**

 

**March 31, 2009**

 
| ** **                | ** ** | **Average**       | ** ** | **% of Average**   | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-------------------|------------|--------------------|------------|-------------------|------------|------------------|------------|
| **Market Sector**         | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |              |       |               |       |              |       |             |       |
| Agricultural  Commodities |       | $                 | 8,895      |               | 0.02       | %                 | $          | 35,578           |       | $ | 7,253 |   |
| Energy                    |       | 5,555             |       | 0.01               | %          | 22,219            |       | 4,902            |       |
| Interest  Rates           |       | 2,487,594         |       | 4.89               | %          | 9,950,376         |       | 2,487,594        |       |
| Metals                    |       | 4,523             |       | 0.01               | %          | 18,092            |       | 4,048            |       |
| Stock  Indices            |       | 27,381            |       | 0.05               | %          | 109,526           |       | 25,728           |       |
| Currencies                |       | 9,140             |       | 0.02               | %          | 36,562            |       | 5,450            |       |
|                      |       |              |       |               |       |              |       |             |       |
| TOTAL                     |       | $                 | 2,543,088  |               | 5.00       | %                 | $          | 10,172,353       |       | $ | 2,534,975 |   |

 

----

(8) Averagecapitalization of BlueTrend Class DS is $44,805,928

 

23

----

 

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-Trading Risk

 

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 management strategieswill not change materially or that any such strategies will be effective ineither the short- or long-term. Investors must be prepared to lose all orsubstantially all of the time value of their investment in the Fund.

 

Item4. Controls and Procedures

 

MLAI, the Sponsor of MLSystematic Momentum FuturesAccessLLC, with the participation of the Sponsor’s Chief Executive Officer andthe Chief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to the Fund asof the end of the period of this quarterly report, and, based on thisevaluation, has concluded that these disclosure controls and procedures areeffective.  Additionally, there were nosignificant changes in the Fund’s internal controls or in other factors duringthe latest fiscal quarter that has materially affected, or is reasonably likelyto materially affect, the Fund’s internal control over financial reporting.

 

24

----

 

PART II - OTHERINFORMATION

 

Item 1.                                   LegalProceedings

 

None.

 

Item 1A.                         RiskFactors

 

Thereare no material changes from risk factors as previously disclosed in the AnnualReport on Form 10-K for the year ended December 31, 2008, filed March 31,2009.

 

Item 2.                                   UnregisteredSales of Equity Securities and Use of Proceeds

 

(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-09     |       | $                | 3,599,510  |       | 2,865,624  |   | $ | 1.2561 |   |
| Feb-09     |       | 5,720,556        |       | 4,586,351  |       | 1.2473 |   |
| Mar-09     |       | 6,120,724        |       | 4,902,854  |       | 1.2484 |   |
| Apr-09     |       | 5,762,982        |       | 4,769,891  |       | 1.2081 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 28,240,030 |       | 21,876,234 |   | $ | 1.2909 |   |
| Feb-09     |       | 26,028,041       |       | 20,323,293 |       | 1.2807 |   |
| Mar-09     |       | 30,607,819       |       | 23,897,423 |       | 1.2808 |   |
| Apr-09     |       | 33,059,489       |       | 26,693,168 |       | 1.2385 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.4396 |   |
| Feb-09     |       | —           |       | —     |       | 1.4312 |   |
| Mar-09     |       | —           |       | —     |       | 1.4343 |   |
| Apr-09     |       | —           |       | —     |       | 1.3898 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 5,655,080  |       | 4,284,476  |   | $ | 1.3199 |   |
| Feb-09     |       | 7,755,169        |       | 5,915,461  |       | 1.3110 |   |
| Mar-09     |       | 3,879,323        |       | 2,955,450  |       | 1.3126 |   |
| Apr-09     |       | 5,761,281        |       | 4,533,586  |       | 1.2708 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D1

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |   | — |   | $ | 1.2848 |   |
| Feb-09     |       | 3,722,356        |       | 2,914,238 |   | 1.2773 |   |
| Mar-09     |       | —           |       | — |   | 1.2800 |   |
| Apr-09     |       | 529,675          |       | 427,054 |   | 1.2403 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS DA

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.0282 |   |
| Feb-09     |       | —           |       | —     |       | 1.0222 |   |
| Mar-09     |       | —           |       | —     |       | 1.0244 |   |
| Apr-09     |       | —           |       | —     |       | 0.9927 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning of themonth Net Asset Value for all other purposes

 

(b)       None.

(c)        None.

 

25

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Item 3.                                   DefaultsUpon Senior Securities

 

None.

 

Item 4.                                   Submissionof Matters to a Vote of Security Holders

 

None.

 

Item 5.                                   OtherInformation

 

MLGSA FuturesAccess LLC (“GSA FuturesAccess”) is one of the FuturesAccess Fundsin which ML Systematic Momentum FuturesAccess LLC (“Systematic Momentum”), aFuturesAccess fund of funds, invests. As of April 30, 2009, approximately13% of the capital of Systematic Momentum was allocated to GSA FuturesAccess.However, the underlying manager of GSA FuturesAccess has informed the Sponsorthat it is discontinuing the strategy and will no longer act as the tradingadviser for GSA FuturesAccess. As a result, effective on or about May 31,2009, GSA FuturesAccess will be liquidated and Systematic Momentum will nolonger invest in GSA FuturesAccess. The Sponsor may reallocate the liquidationproceeds among other new or existing Underlying FuturesAccess Funds.

 

Item 6.                                   Exhibits

 

The following exhibits are incorporated by referenceor 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 filedherewith.

 

32.01 and

32.02                                             Section 1350Certifications

 

Exhibit 32.01

and 32.02                      Are filedherewith.

 

26

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**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 FUTURESACCESS  LLC |
|--------------------------|--------------------------------------------|
|                     |                                       |
|                     |                                       |
|                     | By: MERRILL LYNCH ALTERNATIVE              |
|                     | INVESTMENTS LLC                            |   |
|                     | (Manager)                                  |   |
|                     |                                       |
|                     |                                       |
| Date: May 15, 2009  | By                                         | /s/ PAUL MORTON |
|                     |                                       | Paul Morton |
|                     |                                       | Chief  Executive Officer and President |
|                     |                                       | (Principal  Executive Officer) |
|                     |                                       |   |
|                     |                                       |   |
| Date:  May 15, 2009 |                                       |   |
|                     | By                                         | /s/  BARBRA E. KOCSIS |
|                     |                                       | Barbra  E. Kocsis |
|                     |                                       | Chief  Financial Officer |
|                     |                                       | (Principal Financial and Accounting Officer) |
|                          |                                            |  |  |

 

27

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