**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 
| **x** | ** ** | **QUARTERLY REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
|-------|------------|--------------------------------------------------------------------------------------------------------|

 

**For the quarterly period ended September 30,2009**

** **

**OR**

 
| **o** | ** ** | **TRANSITION REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934** |
|-------|------------|---------------------------------------------------------------------------------------------------------|

 

**For the transition period from                to                 **

 

**Commission File Number 0-52505**

 

# **ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC**

(Exact Name of Registrantas specified in its charter)

 

| **Delaware**                    | ** ** | **30-0408280**                    |
|---------------------------------|------------|-----------------------------------|
| (State or other jurisdiction of |       | (IRS Employer Identification No.) |
| incorporation or organization)  |       |                              |

 

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

**Four World Financial Center, 6****th**** Floor**

**250 Vesey Street**

**New York, New York 10080**

(Address of principalexecutive offices)

(Zip Code)

** **

**212-449-3517**

(Registrant’s telephonenumber, including area code)

 

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

**New York, New York 10281**

(Former name, formeraddress and former fiscal year, if changed since last report)

 

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

 

Indicate by checkmark whether the registrant has submitted electronically and posted on itscorporate Web site, if any, every Interactive Data File required to besubmitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 ofthis chapter) during the preceding 12 months (or for such shorter period thatthe registrant was required to submit and post such 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) |   |                      |

 

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

 

As of September 30, 2009, 667,513,599 units of membership wereoutstanding.

 

 

 

----

 

**ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC**

 

QUARTERLY REPORT FORSEPTEMBER 30, 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 | 14       |
|         |                                                                                        |     |
| Item  3.     | Quantitative  and Qualitative Disclosures About Market Risk                                 | 21       |
|         |                                                                                        |     |
| Item  4T.    | Controls  and Procedures                                                                    | 29       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item  1.     | Legal  Proceedings                                                                          | 30       |
|         |                                                                                        |     |
| Item  1A.    | Risk  Factors                                                                               | 30       |
|         |                                                                                        |     |
| Item  2.     | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 30       |
|         |                                                                                        |     |
| Item  3.     | Defaults  Upon Senior Securities                                                            | 31       |
|         |                                                                                        |     |
| Item  4.     | Submission  of Matters to a Vote of Security Holders                                        | 31       |
|         |                                                                                        |     |
| Item  5.     | Other  Information                                                                          | 31       |
|         |                                                                                        |     |
| Item  6.     | Exhibits                                                                                    | 31       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item 1.    Financial Statements

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION(unaudited)

 
| ** **                                                                                                | ** ** | **September 30,** | ** **  | **December 31,** | ** ** |
|-----------------------------------------------------------------------------------------------------------|------------|------------------------|-------------|-----------------------|------------|
| ** **                                                                                                | ** ** | **2009**               | ** **  | **2008**              | ** ** |
| **ASSETS:**                                                                                               |       |                   |        |                  |       |
|                                                                                                      |       |                   |        |                  |       |
| Cash                                                                                                      |       | $                      | 50,659,602  |                  | $          | 36,548 |   |
| Accrued Interest Recievable                                                                               |       | 10,458                 |        | —                |       |
| Investment in Portfolio Funds (Cost $757,009,163 at  2009 and $614,639,346 at 2008)                       |       | 800,740,193            |        | 701,122,301           |       |
| Prepaid fee                                                                                               |       | 65,809                 |        | —                |       |
| Due from Managers                                                                                         |       | 792,627                |        | 22,935                |       |
|                                                                                                      |       |                   |        |                  |       |
| **TOTAL  ASSETS**                                                                                         |       | $                      | 852,268,688 |                  | $          | 701,181,784 |   |
|                                                                                                      |       |                   |        |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                               |       |                   |        |                  |       |
| LIABILITIES:                                                                                              |       |                   |        |                  |       |
| Sponsor fee payable                                                                                       |       | $                      | 1,337,038   |                  | $          | 1,018,265 |   |
| Redemptions payable                                                                                       |       | 45,704,550             |        | 21,004,290            |       |
| Other                                                                                                     |       | 323,521                |        | 461,141               |       |
|                                                                                                      |       |                   |        |                  |       |
| Total liabilities                                                                                         |       | 47,365,109             |        | 22,483,696            |       |
|                                                                                                      |       |                   |        |                  |       |
| MEMBERS’ CAPITAL:                                                                                    |       |                   |        |                  |       |
| Members’ Interest (667,513,599 Units and 532,683,079  Units outstanding; unlimited Units authorized) |       | 804,903,579            |        | 678,698,088           |       |
| Total members’ capital                                                                               |       | 804,903,579            |        | 678,698,088           |       |
|                                                                                                      |       |                   |        |                  |       |
| **TOTAL  LIABILITIES AND MEMBERS’ CAPITAL**                                                          |       | $                      | 852,268,688 |                  | $          | 701,181,784 |   |

 

**NETASSET VALUE PER UNIT (SEE NOTE 4)**

 

See notes tofinancial statements.

 

1

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three**           | ** ** | **For the three**           | ** ** | **For the nine**            | ** ** | **For the nine**            | ** **  |
|----------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|-------------|
| ** **                                   | ** ** | **months ended**            | ** ** | **months ended**            | ** ** | **months ended**            | ** ** | **months ended**            | ** **  |
| ** **                                   | ** ** | **September 30, 2009** | ** ** | **September 30, 2008** | ** ** | **September 30, 2009** | ** ** | **September 30, 2008** | ** **  |
| **TRADING  PROFIT (LOSS):**                  |       |                        |       |                        |       |                        |       |                        |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| Realized                                     |       | $                           | 253,227    |                        | $          | 6,377,938                   |       | $                           | 2,721,050   |   | $ | 6,436,969 |   |
| Change in unrealized, net                    |       | 13,322,943                  |       | (36,016,486                 | )          | (42,751,019                 | )          | 5,618,693                   |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| Total trading profit (loss)                  |       | 13,576,170                  |       | (29,638,548                 | )          | (40,029,969                 | )          | 12,055,662                  |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| **INVESTMENT  INCOME:**                      |       |                        |       |                        |       |                        |       |                        |        |
| Interest                                     |       | 37,755                      |       | 9,056                       |       | 74,828                      |       | 86,587                      |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| **EXPENSES:**                                |       |                        |       |                        |       |                        |       |                        |        |
| Sponsor fee                                  |       | 3,876,939                   |       | 2,025,866                   |       | 10,691,151                  |       | 4,088,396                   |        |
| Other                                        |       | 413,404                     |       | 241,515                     |       | 689,741                     |       | 787,105                     |        |
| Total expenses                               |       | 4,290,343                   |       | 2,267,381                   |       | 11,380,892                  |       | 4,875,501                   |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| **NET  INVESTMENT INCOME (LOSS)**            |       | (4,252,588                  | )          | (2,258,325                  | )          | (11,306,064                 | )          | (4,788,914                  | )           |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| **NET  INCOME (LOSS)**                       |       | $                           | 9,323,582  |                        | $          | (31,896,873                 | )          | $                           | (51,336,033 | ) | $ | 7,266,748 |   |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| **NET  INCOME (LOSS) PER UNIT:**             | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                  | ** **  |
| ** **                                   | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                  | ** ** | ** **                  | ** **  |
| Weighted average number of Units outstanding |       |                        |       |                        |       |                        |       |                        |        |
| Class A**                               |       | 76,461,127                  |       | 31,239,094                  |       | 63,627,220                  |       | 18,229,165                  |        |
| Class C*                                |       | 446,179,004                 |       | 240,431,660                 |       | 401,925,073                 |       | 158,206,339                 |        |
| Class D                                 |       | 24,473,058                  |       | 27,925,749                  |       | 27,459,659                  |       | 23,190,809                  |        |
| Class I*                                |       | 69,904,917                  |       | 27,846,118                  |       | 65,643,380                  |       | 15,617,620                  |        |
| Class D1***                             |       | 39,185,542                  |       | 47,421,103                  |       | 35,796,407                  |       | 37,864,668                  |        |
| Class DA****                            |       | 42,492,885                  |       | —                      |       | 46,290,806                  |       | —                      |        |
|                                         |       |                        |       |                        |       |                        |       |                        |        |
| Net income (loss) per weighted average Unit  |       |                        |       |                        |       |                        |       |                        |        |
| Class A**                               |       | $                           | 0.0153     |                        | $          | (0.0799                     | )          | $                           | (0.0684     | ) | $ | (0.0129 | ) |
| Class C*                                |       | $                           | 0.0115     |                        | $          | (0.0827                     | )          | $                           | (0.0867     | ) | $ | 0.0184 |   |
| Class D                                 |       | $                           | 0.0227     |                        | $          | (0.0997                     | )          | $                           | (0.0788     | ) | $ | 0.0924 |   |
| Class I*                                |       | $                           | 0.0162     |                        | $          | (0.0782                     | )          | $                           | (0.0770     | ) | $ | 0.0118 |   |
| Class D1***                             |       | $                           | 0.0189     |                        | $          | (0.0959                     | )          | $                           | (0.0622     | ) | $ | 0.0596 |   |
| Class DA****                            |       | $                           | 0.0141     |                        | $          | —                      |       | $                           | (0.0608     | ) | $ | — |   |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

2

----

 

ML SYSTEMATIC MOMENTUM FUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital  September 30, 2009** | ** ** |
|---------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|----------------------------------------------------|------------|
| Class A**            |       | 5,078,646                                         |       | 34,024,260        |       | (3,853,230      | )          | 35,249,676                                         |       | 43,411,942                                        |       | 46,663,535        |       | (8,906,021      | )          | 81,169,456                                         |       |
| Class C*             |       | 69,888,701                                        |       | 242,361,701       |       | (28,265,360     | )          | 283,985,042                                        |       | 317,357,227                                       |       | 183,162,637       |       | (49,697,657     | )          | 450,822,207                                        |       |
| Class D              |       | 16,803,705                                        |       | 13,750,728        |       | (5,360,215      | )          | 25,194,218                                         |       | 34,878,314                                        |       | 7,270,875         |       | (16,404,119     | )          | 25,745,070                                         |       |
| Class I*             |       | 14,757,114                                        |       | 26,552,358        |       | —          |       | 41,309,472                                         |       | 53,200,108                                        |       | 32,263,082        |       | (15,059,882     | )          | 70,403,308                                         |       |
| Class D1***          |       | 4,990,154                                         |       | 36,754,895        |       | (4,414,476      | )          | 37,330,573                                         |       | 31,040,046                                        |       | 9,937,042         |       | (1,603,530      | )          | 39,373,558                                         |       |
| Class DA****         |       | —                                            |       | —            |       | —          |       | —                                             |       | 52,795,442                                        |       | —            |       | (52,795,442     | )          | —                                             |       |
|                      |       |                                              |       |              |       |            |       |                                               |       |                                              |       |              |       |            |       |                                               |       |
| Total Members’ Units |       | 111,518,320                                       |       | 353,443,942       |       | (41,893,281     | )          | 423,068,981                                        |       | 532,683,079                                       |       | 279,297,171       |       | (144,466,651    | )          | 667,513,599                                        |       |

 

----

*Units issued June 1,2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

3

----

 

ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

STATEMENTS OF CHANGES INMEMBERS’ CAPITAL

For the nine months endedSeptember 30, 2009 and 2008

(unaudited)

 
| ** **                   | ** ** | **Members’ Capital December 31, 2007** | ** **  | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income  (Loss)** | ** **  | **Members’ Capital  September 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **Members’ Capital  September 30, 2009** | ** **  |
|------------------------------|------------|--------------------------------------------------|-------------|-------------------|------------|-----------------|------------|------------------------|-------------|----------------------------------------------------|------------|---------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------|------------|----------------------------------------------------|-------------|
|                         |       |                                             |        |              |       |            |       |                   |        |                                               |       |                                              |       |              |        |            |       |                  |       |                                               |        |
| Class A**               |       | $                                                | 5,217,419   |              | $          | 38,892,082      |       | $                      | (4,326,897  | )                                                  | $          | (235,263                                          | )          | $                 | 39,547,341  |            | $          | 54,529,667            |       | $                                                  | 55,611,209  |   | $ | (10,522,755 | ) | $ | (4,347,343 | ) | $ | 95,270,778 |   |
| Class C*                |       | 74,531,573                                       |        | 282,546,201       |       | (31,763,063     | )          | 2,917,517              |        | 328,232,228                                        |       | 409,646,343                                       |       | 225,722,814       |        | (60,854,240     | )          | (34,794,774           | )          | 539,720,143                                        |        |
| Class D                 |       | 19,442,860                                       |        | 17,492,760        |       | (6,867,030      | )          | 2,143,454              |        | 32,212,044                                         |       | 50,152,681                                        |       | 9,722,097         |        | (22,746,218     | )          | (2,106,774            | )          | 35,021,786                                         |        |
| Class I*                |       | 15,867,209                                       |        | 30,709,170        |       | —          |       | 183,922                |        | 46,760,301                                         |       | 70,208,485                                        |       | 40,932,681        |        | (19,006,615     | )          | (5,045,483            | )          | 87,089,068                                         |        |
| Class D1***             |       | 5,165,016                                        |        | 42,489,527        |       | (5,155,165      | )          | 2,257,118              |        | 44,756,496                                         |       | 39,876,273                                        |       | 12,202,026        |        | (2,050,814      | )          | (2,225,681            | )          | 47,801,804                                         |        |
| Class DA****            |       | —                                           |        | —            |       | —          |       | —                 |        | —                                             |       | 54,284,639                                        |       | —            |        | (51,468,661     | )          | (2,815,978            | )          | —                                             |        |
| ** **                   | ** ** | ** **                                       | ** **  | ** **        | ** ** | ** **      | ** ** | ** **             | ** **  | ** **                                         | ** ** | ** **                                        | ** ** | ** **        | ** **  | ** **      | ** ** | ** **            | ** ** | ** **                                         | ** **  |
| Total Members’ Interest |       | $                                                | 120,224,077 |              | $          | 412,129,740     |       | $                      | (48,112,155 | )                                                  | $          | 7,266,748                                         |       | $                 | 491,508,410 |            | $          | 678,698,088           |       | $                                                  | 344,190,827 |   | $ | (166,649,303 | ) | $ | (51,336,033 | ) | $ | 804,903,579 |   |

 

----

*Units issuedJune 1, 2007.

** Units issued onJuly 1, 2007.

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

**** Units issuedon December 1, 2008.

 

See notes tofinancial statements.

 

4

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED SEPTEMBER 30, 2009

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**          | ** ** | **2009**           | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
| ** **                                               |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Per  Unit Operating Performance:**                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value,  beginning of period                    |       | $                | 1.1601     |             | $          | 1.1863           |       | $                | 1.3395     |              | $          | 1.2214             |       | $ | 1.1955 |   | $ | 0.9568 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Realized and change in  unrealized trading profit (loss) |       | 0.0185           |       | 0.0189           |       | 0.0214           |       | 0.0195           |       | 0.0191            |       | 0.0153             |       |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001            |       | 0.0000             |       |
| Expenses                                                 |       | (0.0049          | )          | (0.0080          | )          | (0.0008          | )          | (0.0039          | )          | (0.0006           | )          | (0.0004            | )          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, end of  period                          |       | $                | 1.1737     |             | $          | 1.1972           |       | $                | 1.3603     |              | $          | 1.2370             |       | $ | 1.2141 |   | $ | 0.9716 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total  Return:**                                       |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return before  Performance fees                    |       | 1.17             | %          | 0.92             | %          | 1.55             | %          | 1.27             | %          | 1.55              | %          | 1.55               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Total return after  Performance fees                     |       | 1.17             | %          | 0.92             | %          | 1.55             | %          | 1.27             | %          | 1.55              | %          | 1.55               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios  to Average Members’ Capital:**            |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses (excluding  Performance fees)                   |       | 0.43             | %          | 0.68             | %          | 0.05             | %          | 0.33             | %          | 0.05              | %          | 0.05               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Expenses (including  Performance fees)                   |       | 0.43             | %          | 0.68             | %          | 0.05             | %          | 0.33             | %          | 0.05              | %          | 0.05               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income  (loss)                            |       | -0.42            | %          | -0.67            | %          | -0.05            | %          | -0.32            | %          | -0.05             | %          | -0.05              | %          |

 

----

*Units issuedDecember 1, 2008

 

See notes tofinancial statements.

 

5

----

 

ML SYSTEMATICMOMENTUM FUTURESACCESS LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE NINEMONTHS ENDED SEPTEMBER 30, 2009

 

The following perUnit data and ratios have been derived from information provided in thefinancial statements.

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**          | ** ** | **2009**           | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|-------------------|------------|--------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** | **Class D1** | ** ** | **Class DA*** | ** ** |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Per  Unit Operating Performance:**                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value,  beginning of period                    |       | $                | 1.2561     |             | $          | 1.2908           |       | $                | 1.4379     |              | $          | 1.3197             |       | $ | 1.2847 |   | $ | 1.0282 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Realized and change in  unrealized trading profit (loss) |       | (0.0679          | )          | (0.0697          | )          | (0.0762          | )          | (0.0714          | )          | (0.0696           | )          | (0.0557            | )          |
| Interest income                                          |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001           |       | 0.0001            |       | 0.0001             |       |
| Expenses                                                 |       | (0.0146          | )          | (0.0240          | )          | (0.0016          | )          | (0.0114          | )          | (0.0012           | )          | (0.0009            | )          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net asset value, end of  period                          |       | $                | 1.1737     |             | $          | 1.1972           |       | $                | 1.3603     |              | $          | 1.2370             |       | $ | 1.2141 |   | $ | 0.9716 |   |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Total  Return:**                                       |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Total return before  Performance fees                    |       | -6.56            | %          | -7.26            | %          | -5.50            | %          | -6.28            | %          | -5.50             | %          | -5.50              | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Total return after  Performance fees                     |       | -6.56            | %          | -7.26            | %          | -5.50            | %          | -6.28            | %          | -5.50             | %          | -5.50              | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| **Ratios  to Average Members’ Capital:**            |       |             |       |             |       |             |       |             |       |              |       |               |       |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Expenses (excluding  Performance fees)                   |       | 1.22             | %          | 1.97             | %          | 0.10             | %          | 0.92             | %          | 0.10              | %          | 0.10               | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00              | %          | 0.00               | %          |
| Expenses (including  Performance fees)                   |       | 1.22             | %          | 1.97             | %          | 0.10             | %          | 0.92             | %          | 0.10              | %          | 0.10               | %          |
|                                                     |       |             |       |             |       |             |       |             |       |              |       |               |       |
| Net investment income  (loss)                            |       | -1.21            | %          | -1.96            | %          | -0.09            | %          | -0.91            | %          | -0.09             | %          | -0.09              | %          |

 

See notes tofinancial statements.

 

6

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ML SYSTEMATIC MOMENTUMFUTURESACCESS LLC

(a Delaware LimitedLiability Company)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.                                       SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

MLSystematic Momentum FuturesAccess LLC (the “Fund”) was organized under theDelaware Limited Liability Company Act on March 8, 2007 and commencedtrading activities on April 1, 2007. The Fund issues new units of limitedliability company interest (“Units”) at Net Asset Value per Unit as of thebeginning of each calendar month.

 

Merrill Lynch AlternativeInvestments LLC (“MLAI”) is the sponsor (“Sponsor”) and manager (“Manager”) ofthe Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”),a wholly-owned subsidiary of Merrill Lynch, is the Fund’s commodity broker. On September 15,2008, Merrill Lynch entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank ofAmerica merged with and into Merrill Lynch, with Merrill Lynch continuing asthe surviving corporation and a subsidiary of Bank of America.

 

In the opinion ofmanagement, these interim financial statements contain all adjustments,consisting only of normal recurring adjustments, necessary for a fair statementof the financial position of the Fund as of September 30, 2009, and theresults of its operations for the three and nine months ended September 30,2009 and 2008. However, the operating results for the interim period may not beindicative of the results for the full year.

 

Certain information and footnote disclosures normallyincluded in annual financial statements prepared in accordance with accountingprinciples generally accepted in the United States of America (“U.S. GAAP”)have been omitted.  These financialstatements should be read in conjunction with the financial statements andnotes thereto included in the Fund’s Annual Report on Form 10-K filed withthe Securities and Exchange Commission for the year ended December 31,2008.

 

In July 2009, the Financial Accounting StandardsBoard (“FASB”) issued Accounting Standards Codification (“ASC”) 105, *Generally Accepted Accounting Principles,*(ASC 105), whichapproved the FASB Accounting Standards Codification (the “Codification”) as thesingle source of authoritative nongovernmental GAAP. The Codification iseffective for interim or annual periods ending after September 15, 2009.All existing accounting standards have been superseded and all other accountingliterature not included in the Codification will be considerednonauthoritative. ASC 105 was not intended to change the accounting literatureand did not impact the Fund’s financial condition or results ofoperations.  All accounting referenceswithin this report are in accordance with the new Codification.

 

The preparation of financial statements in conformitywith U.S. GAAP requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities and disclosure ofcontingent assets and liabilities at the date of the financial statements andthe reported amounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

 

7

----

 

2.                                       INVESTMENTS INUNDERLYING FUNDS

 

Theseven funds (each a “Portfolio Fund” and collectively “Portfolio Funds”) inwhich the Fund is invested as of September 30, 2009 are: ML AltisFuturesAccess LLC (“Altis”), ML Aspect FuturesAccess LLC (“Aspect”), MLChesapeake FuturesAccess LLC (“Chesapeake”), ML Blue Trend FuturesAccess LLC (“BlueTrend”), ML John Locke FuturesAccess LLC (“John Locke”) ML Transtrend DTPEnhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”). Effective May 31, 2009,GSA was liquidated and the Fund no longer invests in GSA. The Sponsorreallocated the liquidation proceeds among the existing Portfolio Funds. MLAI,in its discretion, may change the Portfolio Funds at any time. MLAI, also atits discretion, may vary the percentage of the Fund’s total portfolio allocatedto the different Portfolio Funds. There is no pre-established range for theminimum and maximum allocations that may be made to any individual PortfolioFund.

 

Theinvestments in Portfolio Funds at fair value at September 30, 2009 and December 31,2008 are as follows:

 

| ** ** | ** ** | **% of Partnership’s  Capital @9/30/09** | ** ** | **% of Partnership’s  Capital @12/31/08** | ** ** | **Fair Value @ 9/30/09** | ** **  | **Fair Value @  12/31/08** | ** ** | **Cost @ 9/30/09** | ** ** | **Cost @  12/31/08** | ** **  |
|------------|------------|-----------------------------------------------|------------|------------------------------------------------|------------|--------------------------|-------------|----------------------------|------------|--------------------|------------|----------------------|-------------|
|       |       |                                          |       |                                           |       |                     |        |                       |       |               |       |                 |        |
| Chesapeake |       | 10.75                                         | %          | 10.43                                          | %          | $                        | 86,509,512  |                       | $          | 70,779,579         |       | $                    | 84,042,756  |   | $ | 67,146,804 |   |
| Transtrend |       | 18.43                                         | %          | 16.47                                          | %          | 148,354,101              |        | 111,765,499                |       | 140,832,194        |       | 93,094,156           |        |
| Altis      |       | 13.81                                         | %          | 13.77                                          | %          | 111,139,982              |        | 93,483,991                 |       | 85,708,137         |       | 64,293,199           |        |
| Winton     |       | 19.25                                         | %          | 16.36                                          | %          | 154,951,241              |        | 111,014,511                |       | 151,935,460        |       | 99,022,159           |        |
| Aspect     |       | 10.76                                         | %          | 10.45                                          | %          | 86,571,117               |        | 70,896,651                 |       | 83,965,582         |       | 60,926,872           |        |
| John Locke |       | 18.94                                         | %          | 15.40                                          | %          | 152,437,298              |        | 104,525,135                |       | 145,842,739        |       | 92,724,807           |        |
| BlueTrend  |       | 7.55                                          | %          | 7.22                                           | %          | 60,776,942               |        | 48,989,192                 |       | 51,955,799         |       | 41,040,653           |        |
| GSA (a)    |       | 0.00                                          | %          | 13.21                                          | %          | —                   |        | 89,667,743                 |       | 12,726,496         |       | 96,390,696           |        |
|       |       |                                          |       |                                           |       |                     |        |                       |       |               |       |                 |        |
| Total      |       |                                          |       |                                           |       | $                        | 800,740,193 |                       | $          | 701,122,301        |       | $                    | 757,009,163 |   | $ | 614,639,346 |   |

 

----

(a) In May, the GSA Portfolio was liquidated andthe Fund no longer invests in the GSA Portfolio.

 

8

----

 

These investments arerecorded at fair value which is consistent with equity method accounting, inaccordance with fund of fund accounting guidance and in accordance withRegulation S-X; the following is summarized financial information for each ofthe Portfolio Funds which requires disclosure.

 

As of September 30,2009

 
| ** **                                         | ** ** | **Total Assets**       | ** **    | **Total Liabilities**      | ** ** | **Total Capital**      | ** ** | ** **             | ** **    |
|----------------------------------------------------|------------|------------------------|---------------|----------------------------|------------|------------------------|------------|------------------------|---------------|
| Winton                                             |       | $                      | 774,945,019   |                       | $          | 12,691,401             |       | $                      | 762,253,618   |   |   |   |
| Transtrend                                         |       | 241,061,174            |          | 1,129,060                  |       | 239,932,114            |       |                   |          |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| Total                                              |       | $                      | 1,016,006,193 |                       | $          | 13,820,461             |       | $                      | 1,002,185,732 |   |   |   |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| As of  December 31, 2008                      |
|                                               |
| ** **                                         | ** ** | **Total Assets**  | ** **    | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** **             | ** **    |
| Winton                                             |       | $                      | 864,513,961   |                       | $          | 60,525,401             |       | $                      | 803,988,560   |   |   |   |
| Transtrend                                         |       | 234,472,658            |          | 17,137,534                 |       | 217,335,124            |       |                   |          |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
|                                               |       | $                      | 1,098,986,619 |                       | $          | 77,662,935             |       | $                      | 1,021,323,684 |   |   |   |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| For the nine  months ended September 30,2009  |
|                                               |
| ** **                                         | ** ** | ** **             | ** **    | ** **                 | ** ** | ** **             | ** ** | **Net**                | ** **    |
| ** **                                         | ** ** | **Income (Loss)** | ** **    | **Commissions**            | ** ** | **Other**              | ** ** | **Income (Loss)** | ** **    |
| Winton                                             |       | $                      | (6,734,079    | )                          | $          | (101,262               | )          | $                      | (2,141,190    | ) | $ | (8,976,531 | ) |
| Transtrend                                         |       | (8,474,815             | )             | (473,165                   | )          | (2,201,283             | )          | (11,149,263            | )             |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| Total                                              |       | $                      | (15,208,894   | )                          | $          | (574,427               | )          | $                      | (4,342,473    | ) | $ | (20,125,794 | ) |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| For the nine  months ended September 30, 2008 |
|                                               |
| ** **                                         | ** ** | ** **             | ** **    | ** **                 | ** ** | ** **             | ** ** | **Net**                | ** **    |
| ** **                                         | ** ** | **Income (Loss)** | ** **    | **Commissions**            | ** ** | **Other**              | ** ** | **Income (Loss)** | ** **    |
| Winton                                             |       | $                      | 2,381,942     |                       | $          | (52,762                | )          | $                      | (748,105      | ) | $ | 1,581,075 |   |
| Transtrend                                         |       | 8,600,945              |          | (153,110                   | )          | (781,688               | )          | 7,666,147              |          |
|                                               |       |                   |          |                       |       |                   |       |                   |          |
| Total                                              |       | $                      | 10,982,887    |                       | $          | (205,872               | )          | $                      | (1,529,793    | ) | $ | 9,247,222 |   |

 

3.                                       FAIR VALUE OF INVESTMENTS

 

In September 2006,the FASB issued authoritative guidance on fair value measurement. This guidancedefines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Fund adopted thisguidance as of January 1, 2008. The adoption of this guidance did not havea material impact on the Fund’s financial statements.

 

Fair value of an investment is the amount that wouldbe received to sell the investment in an orderly transaction between marketparticipants at measurement date (i.e. the exit price). Purchase and sale ofinvestments is recorded on a trade date basis. Realized gains and losses oninvestments is recognized when the investments are sold. Any change in netunrealized gain or loss from the preceding period is reported on the Statementof Operations.

 

9

----

 

The fair valuemeasurement guidance established a hierarchal disclosure framework whichprioritizes and ranks the level of market price observability used in measuringinvestments at fair value. Market price observability is impacted by a numberof factors, including the type of investment and the characteristics specificto the investment. Investments with readily available active quoted prices orfor which fair value can be measured from actively quoted prices generally willhave a higher degree of market price observability and a lesser degree ofjudgment used in measuring fair value.

 

Investments measured andreported at fair value are classified and disclosed in one of the followingcategories:

 

Level I — Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required, the Fund does not adjust the quoted price for theseinvestments even in situations where the Fund holds a large position and a salecould reasonably impact the quoted price.

 

Level II — Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of generally accepted and understood models or other valuationmethodologies. Investments which are generally included in this category areinvestments valued using market data.

 

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

 

In certain cases,the inputs used to measure fair value may fall into different levels of thefair value hierarchy. In such cases, an investment’s level within the fairvalue hierarchy is based on the lowest level of input that is significant tothe fair value measurement. The Sponsor’s assessment of the significance of aparticular input to the fair value measurement in its entirety requiresjudgment, and considers factors specific to the investment.

 

Following is a description of the valuationmethodologies used for investments, as well as the general classification ofsuch investments pursuant to the valuation hierarchy.

 

Investments in other investment companies are valuedusing the net asset value reported by the investment company, which managementbelieves approximates fair value. These net asset values are the prices used toexecute trades 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 monthly transactions in theseinvestment company interests, the Net Asset Value’s (“NAV”) 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.

 

10

----

 

The followingtable summarizes the valuation of the Fund’s investment by the above fair valuehierarchy levels as of September 30, 2009 and December 31, 2008:

 
| ** **                    | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
| Investment in Portfolio Funds |       |      |        |        |       |         |       |          |       |
| September 30, 2009       |       | $         | 800,740,193 |        | N/A        |         | $          | 800,740,193   |       | N/A |   |
| December 31, 2008        |       | $         | 701,122,301 |        | N/A        |         | $          | 701,122,301   |       | N/A |   |

 

Effective January 1, 2009 the Fund adopted the guidance ondisclosures about derivative instruments and hedging activities which requiresqualitative disclosures about objectives and strategies for using derivatives,quantitative disclosures about fair value amounts of and gains and losses onderivative instruments, and disclosures about credit-risk-related contingentfeatures in derivative agreements. This guidance only expands the disclosurerequirements for derivative instruments and related hedging activities and hasno impact on Statement of Financial Condition or Statement of Operations andMembers’ Capital. As the Fund invests only in other Portfolio Funds, it doesnot have any direct investments in derivative instruments.

 

4.                                       NET ASSET VALUE PER UNIT

 

In conformity with U.S.GAAP, the Fund amortizes over a twelve-month period the initial offering costsfor purposes of determining Net Asset Value. The Net Asset Value per Unit ofthe different Classes at September 30, 2009 and December 31, 2008 areas follows:

 

September 30, 2009

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.1737     |   |
| Class C  |       | 1.1972                       |       |
| Class D  |       | 1.3603                       |       |
| Class I  |       | 1.2370                       |       |
| Class D1 |       | 1.2141                       |       |
| Class DA |       | 0.9716                       |       |
|               |            |                              |            |  |

 

December 31, 2008

 
| ** **    | ** ** | **Net Asset Value per Unit** | ** ** |
|---------------|------------|------------------------------|------------|
| Class A  |       | $                            | 1.2561     |   |
| Class C  |       | 1.2908                       |       |
| Class D  |       | 1.4379                       |       |
| Class I  |       | 1.3197                       |       |
| Class D1 |       | 1.2847                       |       |
| Class DA |       | 1.0282                       |       |
|               |            |                              |            |  |

 

5.                                       MARKET, CREDITAND 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.

 

11

----

 

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 risks associated with exchange-tradedcontracts are typically perceived to be less than those associated withover-the-counter (non-exchange-traded) transactions, because exchangestypically provide clearinghouse arrangements in which the collective credit (insome cases limited in amount, in some cases not) of the members of the exchangeis pledged to support the financial integrity of the exchange.  In over-the-counter transactions, on theother hand, traders must rely solely on the credit of their respectiveindividual counterparties. Margins, which may be subject to loss in the eventof a default, are generally required in exchange trading, and counterpartiesmay 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 Portfolio Funds, intheir normal course of business, enter into various contracts, with MLPF&Sacting as their commodity broker. Pursuant to the brokerage arrangement with MLPF&S (which includes anetting arrangement), to the extent that such trading results in receivablesfrom and payables to MLPF&S, these receivables and payables are offset andreported as a net receivable or payable and included in Equity in commodityfutures trading accounts in the Statements of Financial Condition of thePortfolio Funds.

 

Concentration Risk

 

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

 

12

----

 

6.                                       RECENT ACCOUNTING PRONOUNCEMENTS

 

In April 2009,the FASB issued guidance on determining**fair value when the volume and**level of**activity for the asset or liability have significantly decreased andidentifying transactions that are**notorderly. This provides additional guidance for estimating fair value inaccordance with FASB guidance on fairvalue measurements, when the volume and level of activity for the assetor liability have significantly decreased. This also identifies circumstancesthat indicate a transaction is not orderly. The guidance emphasizes that even ifthere has been a significant decrease in the volume and level of activity forthe asset or liability and regardless of the valuation technique(s) used,the objective of a fair value measurement remains the same. Fair value is theprice that would be received to sell an asset or paid to transfer a liabilityin an orderly transaction (that is, not a forced liquidation or distressedsale) between market participants at the measurement date under current marketconditions. The guidance also contains enhanced disclosure requirements wherebyfair value disclosures as well as certain disaggregated information will bedisclosed. The adoption of this guidance has no impact on the financialstatements.

 

In September 2009, the FASB issued Accounting Standards Update No. 2009-12,*Investments in Certain Entities ThatCalculate Net Asset Value per Share (or Its Equivalent)*(the “ASU2009-12”)*,*which is effective forinterim or annual financial periods ending after December 15, 2009. Atthis time, the Manager is evaluating the implications of this statement. However, the adoption is not expected to have material impact on the Fund’sfinancial statements.

 

13

----

 

7.                                       SUBSEQUENT EVENTS

 

The Fund has performed anevaluation of subsequent events through November 12, 2009, which is the datethe financial statements were issued, and determined that there are nosubsequent events that require an adjustment of or disclosure in the financialstatements.

 

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

 

MONTH-END NET ASSET VALUEPER UNIT

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value and toreport performance to investors throughout the year is the most valuableperformance measure to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for financial reporting purposes,as discussed in Note 4 to the financial statements.

 

**MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS A**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.0416     |     | $          | 1.1508   |       | $        | 1.1243     |     | $          | 1.1183   |       | $        | 1.1597     |     | $          | 1.2164    |       | $ | 1.1364 |   | $ | 1.1075 |   | $ | 1.1220 |   |
| 2009       |       | $        | 1.2473     |     | $          | 1.2484   |       | $        | 1.2081     |     | $          | 1.1729   |       | $        | 1.1861     |     | $          | 1.1601    |       | $ | 1.1456 |   | $ | 1.1597 |   | $ | 1.1737 |   |

 

**MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS C**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.0803     |     | $          | 1.1926   |       | $        | 1.1642     |     | $          | 1.1570   |       | $        | 1.1988     |     | $          | 1.2564    |       | $ | 1.1727 |   | $ | 1.1420 |   | $ | 1.1559 |   |
| 2009       |       | $        | 1.2807     |     | $          | 1.2808   |       | $        | 1.2385     |     | $          | 1.2014   |       | $        | 1.2139     |     | $          | 1.1863    |       | $ | 1.1705 |   | $ | 1.1839 |   | $ | 1.1972 |   |

 

**MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.1774     |     | $          | 1.3025   |       | $        | 1.2741     |     | $          | 1.2689   |       | $        | 1.3175     |     | $          | 1.3836    |       | $ | 1.2942 |   | $ | 1.2629 |   | $ | 1.2810 |   |
| 2009       |       | $        | 1.4312     |     | $          | 1.4343   |       | $        | 1.3898     |     | $          | 1.3509   |       | $        | 1.3679     |     | $          | 1.3395    |       | $ | 1.3244 |   | $ | 1.3424 |   | $ | 1.3603 |   |

 

**MONTH-END NET ASSET VALUE PER INITIALUNIT CLASS I**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.0905     |     | $          | 1.2052   |       | $        | 1.1779     |     | $          | 1.1719   |       | $        | 1.2157     |     | $          | 1.2756    |       | $ | 1.1920 |   | $ | 1.1622 |   | $ | 1.1777 |   |
| 2009       |       | $        | 1.3110     |     | $          | 1.3126   |       | $        | 1.2708     |     | $          | 1.2341   |       | $        | 1.2484     |     | $          | 1.2214    |       | $ | 1.2066 |   | $ | 1.2219 |   | $ | 1.2370 |   |

 

**MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS D1**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | $        | 1.0508     |     | $          | 1.1624   |       | $        | 1.1371     |     | $          | 1.1324   |       | $        | 1.1758     |     | $          | 1.2348    |       | $ | 1.1550 |   | $ | 1.1271 |   | $ | 1.1432 |   |
| 2009       |       | $        | 1.2773     |     | $          | 1.2800   |       | $        | 1.2403     |     | $          | 1.2057   |       | $        | 1.2208     |     | $          | 1.1955    |       | $ | 1.1820 |   | $ | 1.1981 |   | $ | 1.2141 |   |

 

**MONTH-END NET ASSET VALUE PERINITIAL UNIT CLASS DA**

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** | **Jul.** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|
| 2008       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A       |       |
| 2009       |       | $        | 1.0222     |     | $          | 1.0244   |       | $        | 0.9927     |     | $          | 0.9649   |       | $        | 0.9770     |     | $          | 0.9568    |       | $ | 0.9460 |   | $ | 0.9588 |   | $ | 0.9716 |   |
|            |            |          |            |          |            |          |            |          |            |          |            |          |            |          |            |          |            |           |            |  |  |  |  |  |  |  |  |  |

 

14

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Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are it’s (i) investmentin Portfolio Funds and (ii) cash. Because of the low margin deposits normally required in commodityfutures trading relatively small price movements may result in substantiallosses to the Fund.  While substantiallosses could lead to a material decrease in liquidity, no such material lossesoccurred during the third quarter of 2009 and there was not impact on the Fund’sliquidity.

 

The Fund’s capital consists of the capitalcontributions of the members as increased or decreased by gains or losses ontrading, expenses, interest income, redemptions of Redeemable Units anddistributions of profits, if any.

 

For the nine months ended September 30, 2009,Fund capital increased 18.60% from $678,698,088 to $804,903,579.  This increase wasattributable to the net loss from operations of $51,336,033, coupled with theredemption of 144,466,651 Redeemable Units resulting in an outflow of$166,649,471.  The cash outflow wasoffset with cash inflow of $344,190,827 due to subscription of 279,297,171units.  Future redemptions could impactthe amount of funds available for investment in commodity contract positions insubsequent months.

 

Critical Accounting Policies

 

Use of Estimates

 

The preparation of financial statements andaccompanying notes in conformity with U.S. generally accepted accountingprinciples (“GAAP”‘) requires management to make estimates and assumptions thataffect the reported amounts of assets and liabilities, income and expenses, andrelated disclosures of contingent assets and liabilities in the financialstatements and accompanying notes.  As aresult, actual results could differ from these estimates.

 

Statement of Cash Flows

 

The Fund has elected not to provide a Statement ofCash Flows as permitted by the ASC guidance for Statement of Cash Flowsspecifically relating to the exemption of certain enterprises and theclassification of cash flows from certain securities acquired for resale.

 

Investments

 

Fair value of an investment is the amount that wouldbe received to sell the investment in an orderly transaction between marketparticipants at measurement date (i.e. the exit price). Purchase and sale ofinvestments is recorded on a trade date basis. Realized gains and losses oninvestments is recognized when the investments are sold. Any change in netunrealized gain or loss from the preceding period is reported on the Statementsof Operations.

 

Fair Value Measurements

 

The Fund adopted guidance on fair value measurementsas of January 1, 2008 which defines fair value as the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction between market participants at the measurement date.  The Fund did not apply the deferral allowedfor nonfinancial assets and nonfinancial liabilities measured at fair value ona nonrecurring basis.  For moreinformation on our treatment of fair value, see Note 3, Fair Value ofInvestments.

 

15

----

 

Income Taxes

 

Income taxes have not been provided as each memberis individually liable for the taxes, if any, on their share of the Fund’sincome and expenses and Members’ Capital.

 

In 2007, the Fund adopted the guidance on accountingfor uncertainty in income taxes.  Thisguidance provides how uncertain tax positions should be recognized, measured,presented and disclosed in the financial statements.  This guidance also requires the evaluation oftax positions 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 thisguidance had no impact on the operations of the Fund for the period ended September 30,2009 and that no provision for income tax is required in the Fund’s financialstatements.

 

Results ofOperations

 

January 1, 2009to March 31, 2009

 

The Fundexperienced a net trading loss in the first quarter of 2009 of $25,864,131.

 

Performanceof the Portfolio Funds were mixed in January which reflected the choppymarkets and diversification of the Portfolio Funds approach to trading. Wintonwas the best performer, while Altis and GSA performed the worst. The PortfolioFunds profited from falling equities, with long-term managers capturing more ofthe move. The Portfolio Funds also profited from a continuous down-trend in commodities.Largest losses were suffered in fixed income positions as the U.S. Treasuryyields rallied and other global bonds shadowed the move.

 

Timehorizon focus did not seem to be a driver of returns in the middle of thequarter, while asset allocation played a more significant role. The PortfolioFunds had small net short exposures to equity markets and thus registered gainsin this asset class. In addition, most of the Portfolio Funds that had longpositions in the U.S. dollar against various currencies posted profits. Some ofthe Portfolio Funds that had long positions in the Japanese yen vs. the U.S.dollar posted losses due to the Japanese yen ending the month downsignificantly relative to the U.S. dollar. Fixed income markets experiencedvolatile swings during the month as most of the Portfolio Funds ended withsmall losses in this sector.

 

Atthe start of March, most of the Portfolio Funds had long positions in the fixedincome markets. and kept this position throughout the month of March andbenefited from falling yields. John Locke was the exception. As a shorter termmanager, its positioning was influenced significantly by intra-month choppinessin fixed income markets, causing large losses.

 

Allother sectors had posted losses in March as a result of significantreversals in many markets. During March, equity markets rallied following somepositive corporate news in the first week. When the U.S. Federal Reserveannounced the start of quantitative easing mid-month, the U.S. dollar beganlosing value against most major currencies and the commodity markets which arenegatively correlated with the U.S. dollar and risk aversion moved up. Giventhat most managers in the vertical are medium to long term trend followers,they were not in a position to cut exposures very fast and were negativelyaffected by these reversals.

 

16

----

 

April 1, 2009 to June 30, 2009

 

The Fundexperienced a net trading loss in the second quarter of 2009 of $ 27,742,008.

 

The market environment thatcaused a loss for the Fund in March continued through April as well.The Portfolio Funds continued to be positioned against market moves andexperienced losses in most of the sectors they traded. In March, being longfixed income helped to offset losses in equity indices, currencies andcommodities. In April, the losses in equity indices, currencies and commoditieswere more muted as many Portfolio Funds had trimmed risk in those sectors;however, having long positions in fixed income proved to be a problem as globalbond yields rose significantly, hurting those long positions. Overall, fixedincome was the worst performing sector for the Portfolio Funds, followed bycurrencies. The Portfolio Funds approach to trading was mixed exposure in commodities,making money in some markets and losing money in others. In equities,positioning was more on the short side, but with extremely small exposures;losses thus were muted.

 

May wasa continuation of March and April in terms of market direction and moves.Equities and commodities were up, and bonds and the U.S. dollar was down. Thesenew trends gave many Portfolio Fund managers a reason to adjust theirportfolios to match the new environment resulting in profits being posted tothe Fund. Short and medium term Portfolio Funds were more in sync with marketsgiven that they adjust faster to new trends, while longer term Portfolio Fundshave held on to their pre-March positioning somewhat longer and were notable to avoid losses. So the main difference in May relative to March andApril was that many Portfolio Funds were now correctly positioned to takeadvantage of current trends. Short to medium term managers (John Locke, GSA,BlueTrend, Altis, Transtrend) had better performance than longer term managers(Winton, Chesapeake, Aspect). The shorter term managers have adjusted better tothe current market environment where equities and commodities are doing welland the U.S. dollar and bonds performed poorly. Risk by asset class continuesto be biased towards fixed income which has a roughly 50% risk allocation, downfrom more than 80% in April. Fixed income was the asset class with the fewestreversals recently and thus risk had moved there as equities, commodities andcurrencies experienced changes in trend during March. But now, the riskallocated to other asset classes is creeping up: commodities are about a thirdof the total and the remainder is split between currencies and equities.

 

March, April and May hadbeen characterized by market moves most commonly seen during periods whereinvestors are risk seeking. There were up moves in equities and commodities anddown moves in bonds and the U.S. dollar. The Portfolio Fund managers were justbeginning to adjust their portfolios to match these new market directions.After suffering losses during March and April (as they were notpositioned for the new trends that began in early March), most managers hadbegun turning around their portfolios to be more in line with where marketswere going and many were able to post gains in May. That came to a stop in June asseveral events took place. First, short term interest rates suffered a sharpreversal during the first week of the month and the U.S. dollar had a similarreversal, gaining against most currencies. Then, mid-month, the up trends inequities and commodities reversed, as sentiment became risk averse again. As aresult of these moves, most asset classes ended the month with negativeattribution. The worst were short term rates and commodities. The quarter endedwith losses being posted to the Fund. The worst were short term rates andcommodities. Medium term managers had the worst performance as they not onlysuffered from the rates and U.S. dollar moves, but also the reversals inequities and commodities. John Locke, the manager with the shortest timehorizon was able to avoid big losses. Winton and Chesapeake, the longest termmanagers, had relatively smaller losses because the equity and commodityreversals were actually good for them since they were still holding on to theirpre-March positions in those asset classes.

 

17

----

 

July 1, 2009to September 30, 2009

 

The Fundexperienced a net trading profit in the third quarter of 2009 of $13,576,170.

 

Losses were posted to theFund in July which was characterized by two types of moves in mostmarkets. At the beginning of the month, equities, commodities and bond yieldswere moving lower while the United States dollar gained ground against othermajor currencies. In mid-July, sentiment reversed and equities and commoditiesresumed their up trends from prior month and the United States dollar lostvalue against other major currencies. The moves in the second part of the monthwere larger in magnitude, therefore, the Portfolio Funds who shifted towards ‘riskseeking’ trades faster performed better. Transtrend was an underperformerresulting in losses in the synthetic markets it trades in.

 

Losses were posted to theFund in August attributable to a continuation of trends from the secondhalf of July. Equities and fixed income ended the month up. Similarly, mostcommodities finished up (except oil, natural gas and grains) and currencyperformance was mixed. Coming into August, Systematic Momentum had small longpositions in all geographies in equity indices. In commodities, the PortfolioFunds had more long positions than short positions: long positions in crudeoil, softs and metals with short positions in natural gas, grains andlivestock. In currencies, the Portfolio Funds held short positions in theUnited States dollar and in fixed income, it was long across the yield curve.In general, the equity and fixed income positioning posted profits for thePortfolio Funds throughout the month of August. Similarly, the Portfolio Fundswere spot on in their Commodity positioning except in crude oil. Currencieswere mixed and losses in some markets canceled out profits in others. Sugar,metals and equity positions were the best performers.

 

In September, the Portfolio Funds made most of their profitsin equity indices and currencies as trends from late summer continued. Shortpositions in the United States dollar performed the best as the United Statesdollar continued to slide against other major currencies. Long equity index andlong fixed income positions also continued to be profitable for the PortfolioFunds as there were neither reversals nor choppiness in those asset classes astrends from late summer continued. Commodities detracted from performance dueto choppiness in crude oil and huge adverse moves in natural gas. Transtrendwas the only Portfolio Fund showing a loss for the month due to its shortpositions in natural gas.

 

January 1,2008 to March 31, 2008

 

The Fund experienced a net trading gain in the firstquarter of 2008 of $13,641,919.

 

The Fund is a fund of fundsinvesting in seven separate Portfolio Funds which are domiciled at MerrillLynch FuturesAccess Program. The Fund posted gains for the quarter.

 

January was a positivemonth for the Fund, despite dramatic declines in global stock indices,illustrating the fund’s low correlation with equities over a market cycle.Managers had long positions in fixed income and precious metals, both of whichbenefited from fears of a US recession, as well as sharp Fed rate cuts totaling1.25% for the month. The continuing rally in grain markets was another sourceof profit for managers. Losses came primarily from energy markets as oil pricesweakened and natural gas rebounded. Aspect was the top performer within theFund, gaining 4.7%, while Altis was the main underperformer, declining -4.6%for the month. Going into February, commodities and fixed income are the twolargest risk allocations for most managers. CTAs continue to be long in mostfixed income markets, while in commodities, they generally have long positionsin grains, softs and precious metals, and shorts in livestock. Energy exposurehas been cut back significantly after January’s losses. In equities, there is asmall short bias for most managers, while in FX there is a short USD tiltagainst most currencies except the GBP.

 

18

----

 

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

 

The Fund was unprofitablefor March. GSA, a short term manager was the top performer in the vertical inMarch, gaining 1.5%, while Altis was the bottom performer losing -6.8%. For the1st Quarter as a whole, John Locke was the top performer in the vertical, up12.0%, while GSA had the smallest gains, rising 4.2%. The strong trends incommodity markets in February made a sharp reversal in March, hurting mostfunds in the vertical. After gaining 11.7% in February, the CRB Commodity Indexfell -6.3% March. The grains and precious metals sectors recorded particularlylarge reversals. The Fund was able to participate more in the upward move in February (whenit gained 10.4%) than in the March reversal (when it lost -2.4%), therebypreserving its gains for the quarter. Managers were able to limit the damage inMarch by reducing leverage. Most managers scaled back positions in inverseproportion to rising volatility in commodity markets. By the end of March overallleverage for most managers was about 40% lower than at the start of the month.Losses for 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.

 

April 1, 2008to June 30, 2008

 

The Fund experienced a net trading gain in thesecond quarter of 2008 of $27,742,008.

 

The Fund is a fund of fundsinvesting in seven separate Portfolio Funds which are domiciled at MerrillLynch FuturesAccess Program. The Fund posted gains for the quarter.

 

The Portfolio Funds madegains in their long energy positions at the beginning of the quarter, as oiland natural gas hit historic highs which were offset by losses from reversalsin financial futures markets. Most of the Portfolio Funds came into April withshort positions in the U.S. dollar, long positions in bonds and short positionsin equities. However, markets experienced a relief rally in April asinvestors began to believe the end of the credit crisis might be over. Thiscaused the U.S. dollar to rebound, bonds to fall and equities to rise, thushurting the Portfolio Funds performance. The Portfolio Funds with more energyexposure did better in the month, as well as the Portfolio Funds who had shortpositions in the financial futures were able to unwind their positions quickly.

 

May was a month whereenergies jumped to record levels. Crude oil and natural gas was up continuingtrends from previous months. The primary drivers of performance for the Fundwere in the commodities and energy sectors. Altis, which has the largestcommodity bias among the seven Portfolio Funds in the vertical, was up with twothirds of Altis gains came from its energy positions. Other Portfolio Fundsalso benefited from energy exposure, though none to the extent of Altis.Non-commodity markets were mixed as most of the Funds managed to be flat topositive in the financial markets overall. Several Portfolio Funds did well infixed income but then lost money in the equity indices.

 

19

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ThePortfolio Funds made gains through long positions in commodities and shortequities positions at the end of the quarter. Longer term Portfolio Fundstended to have higher commodity and equity exposure than their shorter termpeers. Short term managers meanwhile were caught out by choppiness incurrencies and rates. Altis was the top performer in the vertical benefitingfrom its higher commodity exposure and higher leverage than other managers.Meanwhile, GSA, a short term manager fell as some of its relative value tradesunderperformed.

 

July 1, 2008 to September 30,2008

 

The Fund is a fund of fundsinvesting in eight separate Portfolio Funds which are domiciled at MerrillLynch FuturesAccess Program. The Fund posted a loss for the quarter.

 

The Portfolio Funds postedlosses at the beginning of the quarter as bullish trends in commoditiesdramatically reversed. The Portfolio Funds came into the month of July withlong positions in most of the commodity markets. After having made most oftheir year-to-date gains in commodities, the Portfolio Funds had the largestlosses in these markets. Goldman Sachs Commodity Index was down for the month,as well as the Energy sub-index and the correction was particularly severe inNatural Gas Index which was also down.

 

The Portfolio Funds had asecond month of poor performance in August. There were two major trends thatcaused the Portfolio Funds to lose money. The first was the strengthening inthe U.S. dollar, following a long period of declines against most majorcurrencies. Typically, the Portfolio Funds will be short on the U.S. dollarpositions which caused losses to be posted in the middle of the quarter. Thesecond trend was the continued decline in commodities, following the dramaticreversal from July.

 

ThePortfolio Funds posted gains at the end of the quarter. September witnessedan extended weakness in financial markets that was manifested in a sharpsell-off in global equities and commodities, including energies, grains, andindustrial metals. Bond yields fell moderately, while the U.S. dollar continuedits upward move against other major currencies. The Portfolio Funds performanceexhibited a fair amount of variance which was a function of the time frame ofthe underlying strategy. Medium-term trend followers, who form the bulk ofSystematic Momentum, did quite well as they were correctly positioned for themarket moves. Altis and Transtrend were the best performers respectively.BlueTrend, a medium-term trend follower added to the portfolio on September 1,had an impressive debut. Performance of long-term followers were lessimpressive as they tended to maintain long positions in commodities whichdetracted from performance. Long term managers also continued to favor weaknessof the U.S. dollar and more neutral stances on equities than their medium-termcounterparts.

 

The Fund has noapplicable off-balance sheet arrangements and tabular disclosure or contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

20

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Item 3. Quantitative andQualitative Disclosures About Market Risk

 

QuantitativeForward-Looking Statements

 

The followingquantitative disclosures regarding the Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor from civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 21Eof the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to beforward-looking statements for purposes of the safe harbor, except forstatements of historical fact.

 

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

 

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

 

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

 

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

 

21

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#  

# The Portfolio Funds’ TradingValue 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 nine months ended September 30,2009 and September 30, 2008.

** **

**AltisClass DS (1) **

** **
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 129,117    |   | 0.13 | % | $ | 253,440 |   | $ | 30,906 |   |
| Energy                   |       | 165,995                      |       | 0.17 | % | 351,115 |   | 27,763 |   |
| Interest Rates           |       | 9,253,880                    |       | 9.25 | % | 11,279,824 |   | 7,331,246 |   |
| Metals                   |       | 250,061                      |       | 0.25 | % | 531,943 |   | 79,345 |   |
| Stock Indices            |       | 376,092                      |       | 0.38 | % | 1,284,200 |   | 32,824 |   |
| Currencies               |       | 179,040                      |       | 0.18 | % | 438,433 |   | 31,310 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 10,354,185 |   | 10.36 | % | $ | 14,138,955 |   | $ | 7,533,394 |   |

 

----

(1) Average capitalization of Altis Class DSis $100,006,258.

 

**AltisClass DS (1)**

 
| ** **               | ** ** | **September 30, 2008** |       |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 626,283    |   | 1.51 | % | $ | 1,458,996 |   | $ | 54,072 |   |
| Energy                   |       | 612,819                     |       | 1.47 | % | 1,866,010 |   | 12,279 |   |
| Interest Rates           |       | 4,877,108                   |       | 11.72 | % | 9,327,165 |   | 189,485 |   |
| Metals                   |       | 434,400                     |       | 1.04 | % | 1,102,077 |   | 77,059 |   |
| Stock Indices            |       | 586,752                     |       | 1.41 | % | 2,257,511 |   | 37,656 |   |
| Currencies               |       | 745,373                     |       | 1.79 | % | 3,171,565 |   | 49,042 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,882,735  |   | 18.94 | % | $ | 19,183,324 |   | $ | 419,593 |   |

 

----

(1) The average capitalization for AltisClass DS is $41,597,215.

 

22

----

 

**TranstrendClass DS (2)**

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**            | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 331,397    |   | 0.26 | % | $ | 1,197,217 |   | $ | 109,282 |   |
| Energy                   |       | 359,711                      |       | 0.28 | % | 810,589 |   | 39,677 |   |
| Interest Rates           |       | 10,782,855                   |       | 8.39 | % | 14,708,674 |   | 5,997,177 |   |
| Metals                   |       | 90,834                       |       | 0.07 | % | 248,259 |   | 2,739 |   |
| Stock Indices            |       | 556,066                      |       | 0.43 | % | 1,142,960 |   | 33,691 |   |
| Currencies               |       | 402,336                      |       | 0.31 | % | 977,358 |   | 60,805 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 12,523,199 |   | 9.74 | % | $ | 19,085,057 |   | $ | 6,243,371 |   |

 

----

(2) Average capitalization of TranstrendClass DS is $128,595,510.

 

**Transtrend Class DS (2)**

 
| ** **               | ** ** | **September 30, 2008** |       |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 195,372    |   | 0.46 | % | $ | 611,794 |   | $ | 9,653 |   |
| Energy                   |       | 318,020                     |       | 0.75 | % | 903,111 |   | 6,302 |   |
| Interest Rates           |       | 3,223,854                   |       | 7.62 | % | 4,817,628 |   | 1,124,248 |   |
| Metals                   |       | 151,163                     |       | 0.36 | % | 385,465 |   | 5,586 |   |
| Stock Indices            |       | 296,259                     |       | 0.70 | % | 587,895 |   | 33,200 |   |
| Currencies               |       | 880,748                     |       | 2.08 | % | 1,979,632 |   | 31,374 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 5,065,416  |   | 11.97 | % | $ | 9,285,525 |   | $ | 1,210,363 |   |

 

----

(2) The average capitalization for TranstrendClass DS is $42,325,524.

 

23

----

** **

**AspectClass DS (3) **

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 48,590     |   | 0.06 | % | $ | 92,819 |   | $ | 2,419 |   |
| Energy                   |       | 61,428                       |       | 0.08 | % | 149,193 |   | 8,266 |   |
| Interest Rates           |       | 8,014,553                    |       | 10.50 | % | 14,837,852 |   | 4,680,142 |   |
| Metals                   |       | 81,522                       |       | 0.11 | % | 213,341 |   | 3,601 |   |
| Stock Indices            |       | 122,936                      |       | 0.16 | % | 379,208 |   | 5,887 |   |
| Currencies               |       | 324,767                      |       | 0.43 | % | 646,060 |   | 97,270 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 8,653,796  |   | 11.34 | % | $ | 16,318,473 |   | $ | 4,797,585 |   |

 

----

(3) Average Capitalization of AspectClass DS is $76,335,815.

 

**Aspect Class DS (3)**

 
|                     |       | **September 30,  2008** |       |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**            | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 147,425    |   | 0.38 | % | $ | 578,645 |   | $ | 26,389 |   |
| Energy                   |       | 241,392                      |       | 0.63 | % | 798,988 |   | 39,490 |   |
| Interest Rates           |       | 3,577,155                    |       | 9.32 | % | 7,499,164 |   | 1,462,844 |   |
| Metals                   |       | 97,425                       |       | 0.25 | % | 366,936 |   | 25,073 |   |
| Stock Indices            |       | 305,568                      |       | 0.80 | % | 941,736 |   | 66,942 |   |
| Currencies               |       | 551,241                      |       | 1.44 | % | 1,619,743 |   | 72,560 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 4,920,206  |   | 12.82 | % | $ | 11,805,212 |   | $ | 1,693,298 |   |

 

----

(3) The average capitalization for AspectClass DS is $38,382,377.

 

24

----

** **

**ChesapeakeClass DS (4) **

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 357,829    |   | 0.47 | % | $ | 1,333,240 |   | $ | 77,437 |   |
| Energy                   |       | 721                          |       | 0.00 | % | 3,258 |   | — |   |
| Interest Rates           |       | 4,114,434                    |       | 5.35 | % | 6,340,519 |   | 3,416,885 |   |
| Metals                   |       | 378,082                      |       | 0.49 | % | 1,848,800 |   | 34,228 |   |
| Stock Indices            |       | 6,543                        |       | 0.01 | % | 57,132 |   | — |   |
| Stock Futures            |       | 148,338                      |       | 0.19 | % | 1,143,955 |   | — |   |
| Currencies               |       | 190,799                      |       | 0.25 | % | 1,000,168 |   | 23,079 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 5,196,746  |   | 6.76 | % | $ | 11,727,072 |   | $ | 3,551,629 |   |

 

----

(4) Average capitalization of ChesapeakeClass DS is $76,876,140.

 

**Chesapeake Class DS (4)**

 
| ** **               | ** ** | **September 30, 2008** |       |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 417,991    |   | 1.10 | % | $ | 899,332 |   | $ | 30,339 |   |
| Energy                   |       | 353,063                     |       | 0.93 | % | 674,311 |   | 85,971 |   |
| Interest Rates           |       | 3,211,342                   |       | 8.46 | % | 4,290,090 |   | 1,541,194 |   |
| Metals                   |       | 180,414                     |       | 0.48 | % | 376,232 |   | 13,636 |   |
| Stock Futures            |       | 83,947                      |       | 0.22 | % | 157,913 |   | 14,811 |   |
| Currencies               |       | 596,682                     |       | 1.57 | % | 1,295,092 |   | 29,240 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 4,843,439  |   | 12.76 | % | $ | 7,692,970 |   | $ | 1,715,191 |   |

 

----

(4) The average capitalization for ChesapeakeClass DS is $37,962,083.

 

25

----

 

**WintonClass DS (5)**

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at Risk**            | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 66,419     |   | 0.05 | % | $ | 143,791 |   | $ | 2,120 |   |
| Energy                   |       | 35,624                       |       | 0.03 | % | 68,518 |   | 7,259 |   |
| Interest Rates           |       | 7,082,038                    |       | 5.51 | % | 8,547,657 |   | 6,181,929 |   |
| Metals                   |       | 65,496                       |       | 0.05 | % | 220,247 |   | 11,874 |   |
| Stock Indices            |       | 151,038                      |       | 0.12 | % | 358,169 |   | 52,988 |   |
| Currencies               |       | 478,226                      |       | 0.37 | % | 939,118 |   | 127,347 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 7,878,841  |   | 6.13 | % | $ | 10,277,500 |   | $ | 6,383,517 |   |

 

----

(5) Averagecapitalization of Winton Class DS is $128,457,694

 

**Winton Class DS(5) **

 
| ** **               | ** ** | **September 30,  2008** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 185,768    |   | 0.44 | % | $ | 365,847 |   | $ | 13,191 |   |
| Energy                   |       | 201,166                      |       | 0.48 | % | 419,274 |   | 44,824 |   |
| Interest Rates           |       | 2,498,370                    |       | 5.96 | % | 3,867,029 |   | 1,715,436 |   |
| Metals                   |       | 124,834                      |       | 0.30 | % | 241,005 |   | 1,591 |   |
| Stock Indices            |       | 319,692                      |       | 0.76 | % | 1,029,005 |   | 9,284 |   |
| Currencies               |       | 562,310                      |       | 1.34 | % | 1,006,414 |   | 111,600 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 3,892,140  |   | 9.28 | % | $ | 6,928,574 |   | $ | 1,895,926 |   |

 

----

(5) Theaverage capitalization for Winton Class DS is $41,933,983.

 

26

----

 

**JohnLocke Class DS (6) **

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 275,554    |   | 0.22 | % | $ | 968,849 |   | $ | 6,390 |   |
| Energy                   |       | 407,751                      |       | 0.33 | % | 1,812,797 |   | 16,382 |   |
| Interest Rates           |       | 43,022,304                   |       | 34.50 | % | 305,915,780 |   | 1,922,404 |   |
| Metals                   |       | 538,652                      |       | 0.43 | % | 3,324,914 |   | 30,523 |   |
| Stock Indices            |       | 446,146                      |       | 0.36 | % | 1,976,182 |   | 34,401 |   |
| Currencies               |       | 2,626,631                    |       | 2.11 | % | 13,102,677 |   | 500,808 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 47,317,038 |   | 37.95 | % | $ | 327,101,199 |   | $ | 2,510,908 |   |

 

----

(6) Averagecapitalization of John Locke Class DS is $124,709,424

 

**JohnLocke Class DS (6) **

 
| ** **               | ** ** | **September 30,  2008** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 83,748     |   | 0.23 | % | $ | 264,554 |   | $ | 3,386 |   |
| Energy                   |       | 107,236                      |       | 0.29 | % | 368,725 |   | 9,148 |   |
| Interest Rates           |       | 2,627,259                    |       | 7.21 | % | 4,922,791 |   | 769,897 |   |
| Metals                   |       | 83,818                       |       | 0.23 | % | 221,857 |   | 24,169 |   |
| Stock Indices            |       | 68,490                       |       | 0.19 | % | 261,571 |   | 9,144 |   |
| Currencies               |       | 331,685                      |       | 0.91 | % | 588,857 |   | 34,661 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 3,302,236  |   | 9.06 | % | $ | 6,628,355 |   | $ | 850,405 |   |

 

----

(6) Theaverage capitalization for John Locke Class DS is $36,454,310.

 

27

----

 

**BlueTrendClass DS (8) **

 
| ** **               | ** ** | **September 30,  2009** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 11,546     |   | 0.02 | % | $ | 16,802 |   | $ | 2,512 |   |
| Energy                   |       | 47,904                       |       | 0.09 | % | 126,648 |   | 4,415 |   |
| Interest Rates           |       | 4,167,371                    |       | 7.74 | % | 7,415,576 |   | 2,727,545 |   |
| Metals                   |       | 10,480                       |       | 0.02 | % | 22,254 |   | 3,646 |   |
| Stock Indices            |       | 103,046                      |       | 0.19 | % | 360,685 |   | 8,830 |   |
| Currencies               |       | 25,093                       |       | 0.05 | % | 63,560 |   | 1,961 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 4,365,439  |   | 8.11 | % | $ | 8,005,525 |   | $ | 2,748,907 |   |

 

----

(8) Averagecapitalization of BlueTrend Class DS is $53,859,118

 

**BlueTrendClass DS (8)**

 
| ** **               | ** ** | **September 30,  2008** | ** ** |
|--------------------------|------------|------------------------------|------------|
| ** **               | ** ** | **Average**                  | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**        | ** ** | **Value at  Risk**           | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                         |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                            | 12,073     |   | 0.03 | % | $ | 12,073 |   | $ | 12,073 |   |
| Energy                   |       | 23,984                       |       | 0.07 | % | 23,984 |   | 23,984 |   |
| Interest Rates           |       | 1,854,518                    |       | 5.15 | % | 1,854,518 |   | 1,854,518 |   |
| Metals                   |       | 24,924                       |       | 0.07 | % | 24,924 |   | 24,924 |   |
| Stock Indices            |       | 193,271                      |       | 0.54 | % | 193,271 |   | 193,271 |   |
| Currencies               |       | 35,515                       |       | 0.10 | % | 35,515 |   | 35,515 |   |
|                     |       |                         |       |   |   |   |   |   |   |
| TOTAL                    |       | $                            | 2,144,285  |   | 5.96 | % | $ | 2,144,285 |   | $ | 2,144,285 |   |

 

----

(8) Theaverage capitalization for Class DS is $36,029,745.

 

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 — givesno indication of this “risk of ruin.”

 

28

----

 

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.

 

MaterialLimitations on Value at Risk as an Assessment of Market Risk

 

The facevalue of the market sector instruments held by the Portfolio Funds aretypically many times the applicable maintenance margin requirement (maintenancemargin requirements generally ranging between approximately 1% and 10% ofcontract face value) as well as many times the capitalization of the PortfolioFunds.  The magnitude of the PortfolioFunds’ open positions creates a “risk of ruin” not typically found in mostother investment vehicles.  Because ofthe size of its positions, certain market conditions — unusual, buthistorically recurring from time to time — could cause the Portfolio Funds toincur severe losses over a short period of time.   The foregoing Value at Risk table — as wellas the past performance of the Portfolio Funds — gives no indication of this “riskof ruin.”

 

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.

 

Item4T. Controls and Procedures

 

MLAI, the Sponsor of MLSystematic Momentum FuturesAccess LLC, with the participation of the Sponsor’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls and procedureswith respect to the Fund as of the end of the period of this quarterly report,and, based on this evaluation, has concluded that these disclosure controls andprocedures are effective.  Additionally,there were no changes in the Fund’s internal controls or in other factorsduring the latest fiscal quarter that has materially affected, or is reasonablylikely to materially affect, the Fund’s internal control over financialreporting.

 

29

----

 

PART II - OTHERINFORMATION

 

Item 1.                                   Legal Proceedings

 

None.

 

Item 1A.                         Risk Factors

 

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

 

Item 2.                                   Unregistered Sales of Equity Securitiesand Use of Proceeds

 

(a) Issuanceto accredited investors pursuant to Regulation D and Section 4(6) underthe Securities Act.  The selling agent ofthe following Class of Units 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 |   |
| May-09     |       | 8,887,887        |       | 7,577,702  |       | 1.1729 |   |
| Jun-09     |       | 5,546,629        |       | 4,676,359  |       | 1.1861 |   |
| Jul-09     |       | 6,263,068        |       | 5,398,731  |       | 1.1601 |   |
| Aug-09     |       | 6,042,246        |       | 5,274,307  |       | 1.1456 |   |
| Sep-09     |       | 7,667,607        |       | 6,611,716  |       | 1.1597 |   |
| Oct-09     |       | 15,636,738       |       | 13,322,602 |       | 1.1737 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-09     |       | 29,957,332       |       | 24,935,352 |       | 1.2014 |   |
| Jun-09     |       | 19,611,804       |       | 16,156,030 |       | 1.2139 |   |
| Jul-09     |       | 25,790,268       |       | 21,740,089 |       | 1.1863 |   |
| Aug-09     |       | 15,532,334       |       | 13,269,828 |       | 1.1705 |   |
| Sep-09     |       | 16,895,697       |       | 14,271,220 |       | 1.1839 |   |
| Oct-09     |       | 39,415,410       |       | 32,922,995 |       | 1.1972 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.4396 |   |
| Feb-09     |       | —           |       | —     |       | 1.4312 |   |
| Mar-09     |       | —           |       | —     |       | 1.4343 |   |
| Apr-09     |       | —           |       | —     |       | 1.3898 |   |
| May-09     |       | —           |       | —     |       | 1.3509 |   |
| Jun-09     |       | —           |       | —     |       | 1.3679 |   |
| Jul-09     |       | 5,147,100        |       | 3,842,553  |       | 1.3395 |   |
| Aug-09     |       | 1,999,999        |       | 1,510,117  |       | 1.3244 |   |
| Sep-09     |       | 2,574,998        |       | 1,918,205  |       | 1.3424 |   |
| Oct-09     |       | 599,981          |       | 441,065    |       | 1.3603 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-09     |       | 7,170,562        |       | 5,810,357  |       | 1.2341 |   |
| Jun-09     |       | 1,759,941        |       | 1,409,757  |       | 1.2484 |   |
| Jul-09     |       | 4,077,683        |       | 3,338,532  |       | 1.2214 |   |
| Aug-09     |       | 2,590,820        |       | 2,147,207  |       | 1.2066 |   |
| Sep-09     |       | 2,282,822        |       | 1,868,256  |       | 1.2219 |   |
| Oct-09     |       | 6,931,734        |       | 5,603,665  |       | 1.2370 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

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 |   |
| May-09     |       | 4,504,529        |       | 3,736,028  |       | 1.2057 |   |
| Jun-09     |       | 1,681,341        |       | 1,377,245  |       | 1.2208 |   |
| Jul-09     |       | 1,048,230        |       | 876,813    |       | 1.1955 |   |
| Aug-09     |       | 715,895          |       | 605,664    |       | 1.1820 |   |
| Sep-09     |       | —           |       | —     |       | 1.1981 |   |
| Oct-09     |       | 807,517          |       | 665,116    |       | 1.2141 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS DA

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.0282 |   |
| Feb-09     |       | —           |       | —     |       | 1.0222 |   |
| Mar-09     |       | —           |       | —     |       | 1.0244 |   |
| Apr-09     |       | —           |       | —     |       | 0.9927 |   |
| May-09     |       | —           |       | —     |       | 0.9649 |   |
| Jun-09     |       | —           |       | —     |       | 0.9770 |   |
| Jul-09     |       | —           |       | —     |       | 0.9568 |   |
| Aug-09     |       | —           |       | —     |       | 0.9460 |   |
| Sep-09     |       | —           |       | —     |       | 0.9588 |   |
| Oct-09     |       | —           |       | —     |       | 0.9716 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginningof the month Net Asset Value for all other purposes

 

(b)         None.

(c)          None.

 

30

----

 

Item 3.                                   Defaults Upon Senior Securities

 

None.

 

Item 4.                                   Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.                                   Other Information

 

None.

 

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 filed herewith.

 

32.01 and

32.02                                             Section 1350 Certifications

 

Exhibit 32.01

and 32.02                      Are filed herewith.

 

31

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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: November 12, 2009  | By                                        | /s/ JUSTIN C. FERRI |
|                          |                                      | Justin C. Ferri |
|                          |                                      | Chief  Executive Officer and President |
|                          |                                      | (Principal  Executive Officer) |
|                          |                                      |
| Date:  November 12, 2009 |                                      |
|                          | By                                        | /s/  BARBRA E. KOCSIS |
|                          |                                      | Barbra  E. Kocsis |
|                          |                                      | Chief  Financial Officer |
|                          |                                      | (Principal Financial and Accounting Officer) |
|                               |                                           |  |  |  |

 

32

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