**UNITED STATES SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C.20549**

**FORM 10-Q**

**(Mark One)**

**x****QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGEACT OF 1934**

**For the quarterly period ended June30, 2007**

**OR**

**o****TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGEACT OF 1934**

**For the transition period from                to                **

**Commission File Number 0-28928**

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

(Exact Name ofRegistrant as

specified in its charter)

| **Delaware**                     | ** ** | **13-3887922**                     |
|----------------------------------|------------|------------------------------------|
| (State or other  jurisdiction of |       | (IRS Employer  Identification No.) |
| incorporation or  organization)  |       |                               |

 

**c/oMerrill Lynch Alternative Investments LLC**

**PrincetonCorporate Campus**

**800Scudders Mill Road – Section 2G**

**Plainsboro,New Jersey  08536**

(Address ofprincipal executive offices)

(Zip Code)

**609-282-6091**

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of the SecuritiesExchange Act of 1934 during the preceding 12 months (or for such shorter periodthat the registrant was required to file such reports), and (2) has beensubject to such filing requirements for the past 90 days.

Yes x   No o

Indicate by check mark whether the registrant is alarge accelerated filer, an accelerated filer, or a non-accelerated filer.  See definition of “accelerated filer andlarge accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer o       Acceleratedfiler o           Non-acceleratedfiler x

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

Yes o   No x

Indicate by check mark whether the registrant hasfiled all documents and reports required to be filed by Sections 12, 13 or15(d) of the Securities Exchange Act of 1934 subsequent to the distribution ofsecurities under a plan confirmed by a court.

Yes o   No o         

 

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

QUARTERLY REPORT FOR JUNE 30, 2007 ON FORM 10-Q

Table of Contents
|         | ** ** | ** **                                                                                  | ** ** | **PAGE** |
|---------|------------|---------------------------------------------------------------------------------------------|------------|----------|
|    |       | PART I                                                                                      |       |     |
|    |       |                                                                                        |       |     |
| Item 1. |       | Financial Statements                                                                        |       | 2        |
|    |       |                                                                                        |       |     |
| Item 2. |       | Management’s Discussion and Analysis of Financial Condition  and Results of Operations |       | 8        |
|    |       |                                                                                        |       |     |
| Item 3. |       | Quantitative and Qualitative Disclosures About  Market Risk                                 |       | 15       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Controls and Procedures                                                                     |       | 19       |
|    |       |                                                                                        |       |     |
|    |       | PART II                                                                                     |       |     |
|    |       |                                                                                        |       |     |
| Item 1. |       | Legal Proceedings                                                                           |       | 20       |
|    |       |                                                                                        |       |     |
| Item 2. |       | Unregistered Sales of Securities and Use of Proceeds                                        |       | 20       |
|    |       |                                                                                        |       |     |
| Item 3. |       | Defaults Upon Senior Securities                                                             |       | 20       |
|    |       |                                                                                        |       |     |
| Item 4. |       | Submission of Matters to a Vote of Security Holders                                         |       | 20       |
|    |       |                                                                                        |       |     |
| Item 5. |       | Other Information                                                                           |       | 20       |
|    |       |                                                                                        |       |     |
| Item 6. |       | Exhibits                                                                                    |       | 20       |

 

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PART I - FINANCIAL INFORMATION

Item 1.  FinancialStatements

ML TREND-FOLLOWINGFUTURES FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
| ** **                                                                                                       | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                                                       | ** ** | **2007**          | ** **  | **2006**              | ** ** |
| ** **                                                                                                       | ** ** | **(unaudited)**   | ** **  | ** **            | ** ** |
|                                                                                                             |       |              |        |                  |       |
| **ASSETS:**                                                                                                      |       |              |        |                  |       |
| Equity in commodity  futures trading accounts:                                                                   |       |              |        |                  |       |
| Cash (includes  restricted cash of $0 for 2007 and $313,038,069 for 2006)                                        |       | $                 | 8,781,646   |                  | $          | 833,258,309 |   |
| Net unrealized  profit (loss) on open contracts                                                                  |       | (522,769          | )           | 7,308,299             |       |
| Investments in  Portfolio Funds (cost $455,491,941)                                                              |       | 466,512,194       |        | —                |       |
| Accrued interest                                                                                                 |       | 59,180            |        | 3,815,156             |       |
| Receivable from  Portfolio Funds                                                                                 |       | 12,604,083        |        | —                |       |
| Subscriptions  receivable                                                                                        |       | 237,370           |        | 10,648                |       |
|                                                                                                             |       |              |        |                  |       |
| **TOTAL  ASSETS**                                                                                                |       | $                 | 487,671,704 |                  | $          | 844,392,412 |   |
|                                                                                                             |       |              |        |                  |       |
| **LIABILITIES, PARTNERS’ CAPITAL  AND MINORITY INTEREST LIABILITIES:**                                      |       |              |        |                  |       |
| Brokerage  commissions payable                                                                                   |       | $                 | —      |                  | $          | 4,045,866 |   |
| Wrap fee payable                                                                                                 |       | 1,599,426         |        | 196,749               |       |
| Due to Portfolio  Funds                                                                                          |       | 7,662,979         |        | —                |       |
| Redemptions  payable                                                                                             |       | 11,695,266        |        | 47,544,300            |       |
| Ongoing offering  costs payable                                                                                  |       | —            |        | 125,000               |       |
| Other                                                                                                            |       | 180,940           |        | —                |       |
|                                                                                                             |       |              |        |                  |       |
| Total  liabilities                                                                                               |       | 21,138,611        |        | 51,911,915            |       |
|                                                                                                             |       |              |        |                  |       |
| **PARTNERS’ CAPITAL:**                                                                                      |       |              |        |                  |       |
| General Partner (42,282  and 46,719 Units)                                                                       |       | 6,812,793         |        | 8,204,766             |       |
| Limited Partners  (2,854,832 and 4,465,097 Units)                                                                |       | 459,720,300       |        | 784,098,296           |       |
|                                                                                                             |       |              |        |                  |       |
| Total partners’  capital                                                                                    |       | 466,533,093       |        | 792,303,062           |       |
|                                                                                                             |       |              |        |                  |       |
| **MINORITY INTEREST**                                                                                            |       | —            |        | 177,435               |       |
|                                                                                                             |       |              |        |                  |       |
| **TOTAL  LIABILITIES, PARTNERS' CAPITAL AND MINORITY INTEREST**                                                  |       | $                 | 487,671,704 |                  | $          | 844,392,412 |   |
|                                                                                                             |       |              |        |                  |       |
| **NET ASSET VALUE PER UNIT**(Based on 2,897,114 and 4,511,816 Units outstanding and unlimited  Units authorized) |       | $                 | 161.03      |                  | $          | 175.61 |   |

 

See notes toconsolidated financial statements.

2

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATEDSTATEMENTS OF OPERATIONS

(unaudited)
| ** **                                                                         | ** ** | **For the three  months ended  June 30,  2007** | ** ** | **For the three  months ended  June 30,  2006** | ** ** | **For the six  months ended  June 30,  2007** | ** ** | **For the six  months ended  June 30,  2006** | ** **  |
|------------------------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|---------------------------------------------------------------------|------------|-------------------------------------------------------------------|------------|-------------------------------------------------------------------|-------------|
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **TRADING  PROFITS (LOSSES):**                                                     |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Realized                                                                           |       | $                                                                   | 9,679,789  |                                                                | $          | 108,731,809                                                       |       | $                                                                 | (65,942,559 | ) | $ | (53,754,607 | ) |
| Change in unrealized                                                               |       | 14,788,610                                                          |       | (109,526,609                                                        | )          | 3,189,185                                                         |       | (29,809,166                                                       | )           |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Total trading profits (losses)                                                     |       | 24,468,399                                                          |       | (794,800                                                            | )          | (62,753,374                                                       | )          | (83,563,773                                                       | )           |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **INVESTMENT  INCOME:**                                                            |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Interest                                                                           |       | 4,674,750                                                           |       | 13,716,625                                                          |       | 13,900,096                                                        |       | 26,491,936                                                        |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **EXPENSES:**                                                                      |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Wrap fee                                                                           |       | 1,599,426                                                           |       | —                                                              |       | 1,599,426                                                         |       | —                                                            |        |
| Brokerage commissions                                                              |       | 5,215,580                                                           |       | 17,122,253                                                          |       | 15,400,942                                                        |       | 33,785,064                                                        |        |
| Administrative and filing fees                                                     |       | 268,431                                                             |       | 806,946                                                             |       | 773,773                                                           |       | 1,593,916                                                         |        |
| Ongoing offering costs                                                             |       | —                                                              |       | 375,000                                                             |       | 25,000                                                            |       | 700,000                                                           |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Total expenses                                                                     |       | 7,083,437                                                           |       | 18,304,199                                                          |       | 17,799,141                                                        |       | 36,078,980                                                        |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **NET  INVESTMENT LOSS**                                                           |       | (2,408,687                                                          | )          | (4,587,574                                                          | )          | (3,899,045                                                        | )          | (9,587,044                                                        | )           |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **INCOME (LOSS) BEFORE****MINORITY  INTEREST**                                     |       | 22,059,712                                                          |       | (5,382,374                                                          | )          | (66,652,419                                                       | )          | (93,150,817                                                       | )           |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Minority interest in (income) loss                                                 |       | (3,330                                                              | )          | 1,903                                                               |       | 18,048                                                            |       | 16,330                                                            |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **NET  INCOME (LOSS)**                                                             |       | $                                                                   | 22,056,382 |                                                                | $          | (5,380,471                                                        | )          | $                                                                 | (66,634,371 | ) | $ | (93,134,487 | ) |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| **NET  INCOME (LOSS) PER UNIT:**                                                   |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Weighted average number of General Partner and  Limited Partners Units outstanding |       | 3,276,519                                                           |       | 6,062,449                                                           |       | 3,779,536                                                         |       | 5,918,890                                                         |        |
|                                                                               |       |                                                                |       |                                                                |       |                                                              |       |                                                              |        |
| Net income  (loss) per weighted averageGeneral Partner and Limited Partners  Unit  |       | $                                                                   | 6.73       |                                                                | $          | (0.89                                                             | )          | $                                                                 | (17.63      | ) | $ | (15.74 | ) |

 

See notes toconsolidated financial statements.

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a Delaware Limited Partnership)

CONSOLIDATEDSTATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the six monthsended June 30, 2006 and 2007

(unaudited)
| ** **                                 | ** ** | **Units**  | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | **Total**     | ** ** |
|--------------------------------------------|------------|------------|------------|----------------------|------------|-----------------------|------------|---------------|------------|
| ** **                                 | ** ** | ** ** | ** ** | ** **           | ** ** | ** **            | ** ** | ** **    | ** ** |
| PARTNERS’  CAPITAL, December 31, 2005 | ** ** | 6,005,530  | ** ** | $                    | 12,613,943 | ** **            | $          | 1,221,537,583 | ** ** | $ | 1,234,151,526 | ** ** |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                              |       | 477,730    |       | 4,888                |       | 93,860,589            |       | 93,865,477    |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Net loss                                   |       | —     |       | (1,002,095           | )          | (92,132,392           | )          | (93,134,487   | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                |       | (926,782   | )          | —               |       | (183,705,357          | )          | (183,705,357  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, June 30, 2006     |       | 5,556,478  |       | $                    | 11,616,736 |                  | $          | 1,039,560,423 |       | $ | 1,051,177,159 |   |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, December 31, 2006 |       | 4,511,816  |       | $                    | 8,204,766  |                  | $          | 784,098,296   |       | $ | 792,303,062 |   |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Subscriptions                              |       | 224,956    |       | —               |       | 36,090,162            |       | 36,090,162    |       |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Net loss                                   |       | —     |       | (704,866             | )          | (65,929,505           | )          | (66,634,371   | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| Redemptions                                |       | (1,839,658 | )          | (687,107             | )          | (294,538,653          | )          | (295,225,760  | )          |
|                                       |       |       |       |                 |       |                  |       |          |       |
| PARTNERS’  CAPITAL, June 30, 2007     |       | 2,897,114  |       | $                    | 6,812,793  |                  | $          | 459,720,300   |       | $ | 466,533,093 |   |

 

See notes to consolidated financial statements.

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ML TREND-FOLLOWINGFUTURES FUND L.P.

(a DelawareLimited Partnership)

NOTES TO CONSOLIDATEDFINANCIAL STATEMENTS

(unaudited)

1.               SUMMARY OFSIGNIFICANT ACCOUNTING POLICIES

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of ML Trend-Following Futures Fund L.P.(the “Partnership”) as of June 30, 2007, and the consolidated results of itsoperations for the three and six month periods ended June 30, 2007 and 2006.However, the operating results for the interim periods may not be indicative ofthe results for the full year. These consolidated statements of operationcontain the activities of both the Partnership and the joint venture in whichthe trading activities occurred through May 31, 2007 at which time the jointventure was dissolved. Prior to June 1, 2007, the partnership was known as MLJWH Strategic Allocation Fund, L.P.

On April 20, 2007, MerrillLynch Alternative Investments LLC (“MLAI”), general partner of the Partnership,issued an announcement regarding a restructuring of the Partnership, effectiveJune 1, 2007.  As part of therestructuring the following occurred:

·                  The Partnership changed its name toTrend-Following Futures Fund L.P.

·                  The Partnership’s assets were reinvested inMLAI sponsored Portfolio Funds: ML Winton FuturesAccess LLC (“Winton”), MLAspect FuturesAccess LLC (“Aspect”), ML Chesapeake FuturesAccess LLC (“Chesapeake”)and ML Transtrend DTP Enhanced FuturesAccess LLC (“Transtrend”). These PortfolioFunds employ a variety of systematic models with an emphasis on a style ofinvestment commonly referred to as “diversified trend following” and thePartnership no longer utilizes the services of John W. Henry & Company,Inc. as a commodity trading advisor; and

·                  On May 7, 2007, the Partnership wasderegistered under the Securities Act of 1933, as amended, but retained itsregistration under the Securities Act of 1934, as amended.

·                  Prior to June 1, 2007, the Partnership’sbrokerage commissions and administrative fees constituted a single annual “wrapfee” in an amount of 6.0% of the Partnership’s average month-end Net AssetValue, which covered all of the Partnership’s costs and expenses, other thanbid-ask spreads and certain trading fees as well as an annual filing feepayable to the State of New Jersey and offering costs. After June 1, 2007, thePartnership pays a wrap fee in the amount of 4.0% of the Partnership’s averagemonth-end Net Asset Value. Other than this 4.0% wrap fee, the only direct expenseof the Partnership is the annual New Jersey filing fee, which is assessed on aper-partner basis with a maximum charge of $250,000 per year.

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in conformity with accounting principles generally acceptedin the United States of America (“US GAAP”) have been omitted. It is suggestedthat these consolidated financial statements be read in conjunction with theconsolidated financial statements and notes thereto included in the Partnership’sand the Portfolio Funds’ Annual Reports on Form 10-K filed with the Securitiesand Exchange Commission for the year ended December 31, 2006 and Form 10 filedwith Securities and Exchange Commission.

The preparation offinancial statements in conformity with US GAAP requires management to makeestimates and assumptions that affect the reported amounts of assets andliabilities and disclosure of

5

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contingent assetsand liabilities at the date of the financial statements and the reportedamounts of revenues and expenses during the reporting period.  Actual results could differ from thoseestimates.

2.               INVESTMENTS IN PORTFOLIO FUNDS

MLAI may, in its discretion, change Portfolio Funds at any time. MLAImay vary the percentage of the Partnership’s total portfolio allocated to thedifferent Portfolio Funds at MLAI’s discretion. There is no pre-establishedrange for the minimum and maximum allocations that may be made to any givenPortfolio Funds.

At June 30, 2007,Investment in Portfolio Funds at fair value as follows:

 
|                                                                        | ** ** | **Fair Value** | ** **  | **Percentage of  Investment** | ** ** |
|------------------------------------------------------------------------|------------|---------------------|-------------|------------------------------------|------------|
| ML Chesapeake  FuturesAccess LLC                                       |       | $                   | 116,622,792 |                               | 25.00      | % |
| ML Transtrend  DTP Enhanced FuturesAccess LLC                          |       | 116,622,852         |        | 25.00                              |       |
| ML Aspect  FuturesAccess LLC                                           |       | 116,633,276         |        | 25.00                              |       |
| ML Winton  FuturesAccess LLC                                           |       | 116,633,274         |        | 25.00                              |       |
|                                                                   |       |                |        |                               |       |
| Total Investment in  Portfolio Funds at fair value (cost $455,491,941) |       | $                   | 466,512,194 |                               | 100.00     | % |

 

3.               MARKET AND CREDIT RISKS

The nature of thisPartnership has certain risks, which cannot be presented on the consolidatedfinancial statements. Additionally, the Partnership invests in other commodityfunds with similar market risk as mentioned. The following summarizes some ofthose risks.

Market Risk

Derivative instrumentsinvolve varying degrees of market risk. Changes in the level or volatility of interest rates, foreign currencyexchange rates or the market values of the financial instruments or commoditiesunderlying such derivative instruments frequently result in changes in thePartnership’s Net unrealized profit (loss) on such derivative instruments asreflected in the consolidated Statements of Financial Condition.  The Partnership’s exposure to market risk isinfluenced by a number of factors, including the relationships among thederivative instruments held by the Partnership as well as the volatility andliquidity of the markets in which the derivative instruments are traded.Investments in foreign markets may also entail legal and political risks.

Credit Risk

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

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The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit (loss), if any, included in the consolidated Statements of FinancialCondition. The Partnership attempts to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers.

The Partnership,in its normal course of business, enters into various contracts, with MerrillLynch Pierce Fenner & Smith Inc. (“MLPF&S”) acting as its commoditybroker.  Pursuant to the brokeragearrangement with MLPF&S (which includes a netting arrangement), to theextent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Net unrealized profit (loss) on opencontracts on the consolidated Statements of Financial Condition.

4.               RECENT ACCOUNTING PRONOUNCEMENTS

During June 2006, the Financial Accounting StandardsBoard (“FASB”) issued Interpretation No. 48 (“FIN 48”), Accounting forUncertainty in Income Taxes - an interpretation of FASB Statement No. 109.During May 2007, FASB amended this guidance by issuing FASB Staff Position No.FIN 48-1, Definition of settlement in FASB Interpretation No. 48. FIN 48, asamended, prescribes the minimum recognition threshold a tax position must meetin connection with accounting for uncertainties in income tax positions takenor expected to be taken by an entity before being measured and recognized inthe financial statements. Adoption of FIN 48, as amended, is required forfiscal years beginning after December 15, 2006. The Fund has evaluated its taxpositions and has determined that the implementation of this pronouncement doesnot have a material impact to the financial statements.

During September 2006, the FASB issued Statement ofFinancial Accounting Standards No. 157, Fair Value Measurements (“FAS 157”). FAS 157 establishes a common definition for fair value under accountingprinciples generally accepted in the United States of America, establishes aframework for measuring fair value and expands disclosure requirements aboutsuch fair value measurements.  FAS 157 is effective for fiscal yearsbeginning after November 15, 2007.  The Partnership is currentlyevaluating the impact of adopting FAS 157 on its financial statements.

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Item2:            Management’sDiscussion and Analysis of Financial Condition and Results of Operations

MONTH-END NETASSET VALUE PER UNIT
|      | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **Jun.** | ** ** |
|------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|
| 2006 |       | $        | 198.52     |     | $          | 180.91   |       | $        | 191.14     |    | $          | 213.21   |       | $ | 212.48 |   | $ | 189.18 |   |
| 2007 |       | $        | 173.44     |     | $          | 164.76   |       | $        | 154.43     |    | $          | 157.93   |       | $ | 157.71 |   | $ | 161.03 |   |

 

Performance Summary

January 1, 2007 toJune 30, 2007

January 1, 2007 to March 31, 2007

The Partnership posted anoverall loss for the first quarter.

The agriculture sectorposted losses for the Partnership. Price instability hurt performance at thebeginning of the quarter as New York coffee fell from a ten month high. Therally in coffee had been fueled by speculation that drought would reduce Brazil’sharvest. The strong trend then suffered a reversal as coffee prices in New Yorksuffered their longest slump in thirteen months on speculation that favorableweather in Brazil might actually boost the harvest. Corn, which suffered asharp reversal by falling 7.2 % in the first two days of the year hurtingperformance, rebounded along with soybeans benefiting from speculation thatcold temperatures in the United States would boost demand for alternative fuelsmade from the nation’s two biggest crops. Corn regained its strength andreached a ten year high on January 17th, while soybeans reached an eighteenmonth high on January 18th.   Corn and soybeans continued posting gainsfor the Partnership through mid-quarter as soybeans reached their highest levelsince June 2004, as wet weather threatened to prevent Unites States farmersfrom planting enough crops to meet surging demand for crop-based fuels. ChicagoBoard of Trade limited wheat contract gains as it dropped in excess of 2percent after prices had reached $5.09, the highest since December 26, 2006, asinvestors bailed out of the commodity following the global plunge in equities.As a result of the plunge in global equity prices investors bailed out ofcommodities as the quarter ended and took profits in corn and soybeans, whichhad just reached multi-year highs. Slight gains were produced in New York coffee as its weakening trendaccelerated due to the fact that coffee fell to its lowest price since November2006 on signs that supply may be exceeding demand as stocks piled up inwarehouses monitored by the New York Coffee, Sugar & Cocoa Exchange.

The energy sector also posted losses for thePartnership. Geopolitical events and a record-breaking heat wave in theNortheastern United States caused volatility beginning of the quarter asnatural gas prices fell 6.9% after a government report showed asmaller-than-average decline in inventories of the fuel. Following a governmentreport indicating that the United States supplies of crude oil, gasoline,heating oil and diesel were above the five-year average for the period, crudeoil prices plunged and reached a nineteen month low of $49.90 a barrel.However, forecasts of colder weather throughout February reversed the weakeningtrend and sent energy prices upward. Despite the volatility within the sector,crude oil and London gas oil were able to offset a majority of the losses.  Natural gas reversed its strengthening trendmid-quarter and had its biggest loss in more than six weeks in New York.Larger-than-expected supplies and forecasts of more seasonal temperaturesacross the central United States contributed to the reversal. After reaching atwo-month high on February 5th for natural gas March delivery it dropped 7.7 %on February 12th, its biggest one-day percentage decline since December 26,

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2006. The drop in natural gas price March delivery wasspurred by a government report that U.S. gas supplies were 19 percent higherthan the average for the past five years. Crude oil’s reversal also hurtperformance as it rose to $61.79 a barrel, its highest closing price this yearon speculation that U.S. fuel inventories declined because refineries were downfor repairs and also as a result of the increasing tension with Iran. Thequarter ended as natural gas dropped to its lowest price in two months asforecasts for milder weather signaled reduced consumption of the heatingfuel.  However, when forecasterspredicted a shift in the weather pattern that would deliver colder-than-normalair to the eastern United States, the sector experienced losses as natural gassuffered a trend reversal as prices rose to a one-month high.  While gains were achieved in crude oil as itcontinued its weakening trend they were limited as crude oil spiked higher andtraded near a six-month high after Iran seized 15 British Naval personnel inthe Persian Gulf on March 23rd.

The stock indices posted losses for the Partnership.The beginning of the quarter was negative as losses in the NASDAQ E-mini offsetthe gains of the other components in the sector. Although U.S. stocks completedtheir longest stretch of monthly gains in more than a decade, intra-monthvolatility hurt the sectors overall performance. On January 13th, U.S. stocksrose the highest in more than three months. This was due to expectations that profitsat technology companies, such as Apple Inc. and Microsoft Corp., would increaseas new products would prompt consumers and businesses to spend more. The NASDAQhad a 2.8 percent increase, a level not seen since February 2001. However,stocks fell towards the end of the first quarter after profit reports fromIntel Corp. and IBM caused concern that analysts’ forecasts for earnings atcomputer-related companies were too high. U.S. stocks had their biggest tumblesince 2002 mid-quarter after a plunge in the Chinese equity market caused byconcern that a government crackdown on investments with borrowed money will enda rally that drove benchmarks to records, sparked a global drop in equityprices and raised concerns that investors would unload equities after afour-year bull market. On February 27th, Chinese stocks suffered their greatestloss in a decade, while the Dow Jones Stoxx 600 Index dropped 3%  and the Dow Jones Industrial Average fell asmuch as 546 points intraday, the most since the first day of trading afterSeptember 11th, 2001. The Eurostoxx 50 was the sector’s worst performer whilethe Nikkei 225 offset some losses as the sector’s best performer. The quarterended as the global sell-off that began on February 27th caused more than $2.4 trillion in share valueto be lost over five days.

The metals sector posted losses for the Partnership. Precious metal prices reacted tofluctuations in the U.S. dollar at the beginning of the quarter as reversal inthe U.S. dollar’s weakening trend reduced the appeal of gold as an alternativeinvestment. Gold weakened, falling 3.1% after the U.S. dollar rose to a six-week high as the United Statesannounced higher-than-expected employment figures in December 2006 only to rise3.9% as the U.S. dollar once again weakened and speculation increased that theprecious metal’s decline was excessive. The London Metal Exchange limited thecopper sector’s losses as copper prices fell 10% and 35% since reaching arecord high of 8,724 metric tons since May 2006. Copper prices declined amidexpectations that a housing slowdown in the United States, the world’ssecond-largest user of the metal, would continue to reduce demand this year.Base metals suffered strong reversals mid-quarter as copper, which had beenweakening prior to February on reports of rising stockpiles signaled productionwas exceeding demand and rallied on speculation that China, its largest user,would accelerate its buying. Performance in gold and silver had limited lossesas prices found further support as they climbed to nine-month highs asescalating tension over Iran’s nuclear research program increased and investorssearched for safe-haven investments. However, as the quarter ended the drop inprice in the equity markets sent precious metals lower, reversing theirstrengthening trend.  Although metalseventually began to rally the quarter ended down 0.5 percent.

The interest rate sector posted losses for thePartnership. The quarter began with stronger than expected growth and fears ofincreasing inflation led European ten-year bond yields to reach six-month highsand the U.K. two-year gilt yields to move toward five-year highs. U.K. longgilts slumped, which sent yields soaring after the Bank of England policymakers unexpectedly raised interest rates by a quarter point. Volatility in theten-year Japanese Government bonds limited the sector’s performance after KyodoNews reported that the Bank of Japan was unlikely to raise interest rates atits meeting on January 18th,

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and the Bank of Japan followed through with no changein rates. The global bond markets reversed their weakening trend mid-quarter asthe sell-off in the global equity markets fueled demand for governmentdebt.  The Japanese Government Benchmarkten-year bonds added to the Fund’s negative performance as speculation grewthat the Bank of Japan, which doubled interest rates, from .25 to .50, at itsFebruary 21st meeting would pause before raising borrowing costs any further.This prompted a move higher in the market and the rally was further supportedafter the Nikkei 225 stock average posted its biggest decline since June2006.  Fixed-income markets, which hadrallied mid-quarter continued to strengthen as uncertainty increased that thedrop in equities and the rising defaults among the riskiest mortgages wouldslow consumer spending and the global economy. European government bonds postedtheir biggest back-to-back weekly decline in three months as European CentralBank President Jean-Claude Trichet reassured investors and stated that growthwas “broader and sustained” and left “no time for complacency.”  The quarter ended as the U.S. ten-yearTreasury note surrendered the remainder of the gains it had amassed after theequity sell-off that began on February 27th which had driven the yield to as low as 4.44%.

The currency sector posted losses for the Partnership. The quarter began with marketsanticipating the economic data releases and central bank policy announcementsin the hopes of gaining insight into the health of the world’s largest economies.On January 3rd, the U.S. dollar rose to its highest level in six months againstthe Euro on the news that the Institute for Supply Management ManufacturingIndex came in at a higher than expected 51.4, signaling an expansion of theU.S. economy. The Japanese yen declined to 122.19 per U.S. dollar, the lowestin more than four years, due to speculation that there would be increasedgovernment pressure on policy makers not to raise borrowing costs. The U.S.dollar had its largest fall mid-quarter against the Japanese yen in more thantwo months after U.S. Treasury Secretary Henry Paulson said he would bewatching the Japanese currency “very carefully”. The Japanese yen ralliedagainst the U.S. dollar to its highest level in more than 19 months amid a correctionin U.S. stocks as the investors avoided emerging market assets, triggering anunwinding of trades betting on a decline in the Japanese currency. The Japaneseyen continued to advance against the U.S. dollar and gained against all 16 ofthe most-active currencies during the first week of March, as global stocksextended a slump. The British pound, the sector’s worst performer fell to itslowest level against the Japanese yen in more than four months, as in one monththe British pound sterling/Japanese yen implied volatility soared to a recordhigh of 11.75 due to concerns of rising risk. The quarter ended with slightgains produced by the Brazilian Real as the currency’s strengthening trendremained intact and reached a six-year high on speculation that the U.S. dollarflows from both financial investments and a trade surplus would remain strong.

April 1, 2007 to June 30,2007

The Partnership posted a gain for the two months ended May 31, 2007.

The interest rate sector was the most profitable sector for the period.The sector was negative for April as uncertainty grew over the interest ratepolicy of the central banks of the world’s two largest economies. Both U.S.Treasuries and Japanese Government 10-year Bonds (JGBs), the sector’s worstperformer, were trend-less in April as the markets’ interest rate expectationsshifted with each economic release about the current health of the U.S. andJapanese economies. While uncertainty surrounded the state of these twoeconomies, the strength of the German and British economies was clear. TheGerman Benchmark ten-year bund led performance as stronger growth and increasedfears of inflation sent yields to their highest level since August 2005. Thesell-off in European fixed income limited losses within the sector as yieldstouched multi-year highs.  The sector hadstrong performance for May as global interest rates sustained their steady riseas economic growth continued in Europe and as the U.S. housing market began tostabilize. The German Benchmark ten-year bund led performance as consumerconfidence in the euro region economy climbed to a six-year high. U.S.Treasuries also bolstered performance as the benchmark ten-year bond yieldincreased 26 basis points since April 30th, its biggest monthly increase sinceMarch 2006.

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The currency sector was alsoprofitable for the period. In April, the Euro reached an all-time high againstboth the U.S. dollar and the Japanese yen, while the British pound reached a25-year high against the U.S. dollar. The U.S. dollar weakened as investors speculated that the U.S. FederalReserve Board would cut borrowing costs to strengthen the U.S. economy; at thesame time, expectations grew that the European Central Bank and the Bank ofEngland would raise rates to tame inflation as their economiesstrengthened.  The U.S. dollar reboundedin May from an all time low against the Euro and rose one percent against theBritish pound. The U.S. dollar reversed as signs of economic strength reducedthe likelihood of a cut in interest rates by the Federal Reserve. The U.S.dollar’s biggest monthly advance against the Euro in more than a year causedthe Partnership to exit positions. A majority of the sector’s losses wereoffset by the U.S. dollar’s strengthening trend against the Japanese yen.

The stock indices sector wasprofitable for the period. Stronger-than-expectedfirst quarter earnings, an increase in mergers and acquisitions, economicgrowth in Europe, and benign inflation in the U.S. drove global equity priceshigher. Equity markets reached new highs during the period due to continuedeconomic growth in Europe and indications from the U.S. Federal Reserve Boardthat growth in the world’s largest economy would accelerate. The entire sectorwas positive as about $1.1 trillion of announced Merger and Acquisition dealsso far this year pushed the S&P 500 past its peak in the year 2000. TheNASDAQ ended the period at 2604.52, its highest level since February 2001.

The agricultural commoditiessector posted losses for the period. The sector’s performance at the beginningof the period was slightly positive as gains in N.Y. cotton and coffee werepartially offset by losses in CBOT wheat. Freezing temperatures at the beginning of the period caused damage tothe wheat crop. Wheat, which had been trending lower prior to the cold weather,suffered a reversal due to the resulting global supply concerns. The sectorsuffered its worst losses when coffee futures in N.Y. climbed to their highestlevel in weeks on concern that Brazil’s crop, the world’s largest, will declinedue to frost damage, tightening supplies.

The metals sector alsoposted losses for the period. Performance was positive for April as LME copperstrengthened, trading as high as $8,100 per ton on April 17th, the highest ithas been in more than seven months. Supply disruptions and demand from China,the world’s largest user, drove prices higher during the month. Gold also addedto performance as the precious metal reached an 11 month high when demand for ahedge against the weakness in the U.S. dollar increased.  The sector’s performance was negative in May,as a reversal in precious metals hurt performance as the Partnership exitedpositions. Gold fell to a two-month low in May and was down 2.5 percent for themonth, as a gain in the value of the U.S. dollar reduced demand for theprecious metal as an alternative investment. Silver (which has wider industrialapplications than gold) dropped 0.7 percent in May. Despite the drop, gold hasgained 4.5 percent for the year, while silver has risen 4.1 percent.

The energy sector was the least profitable for the month as weather andgeopolitical events once again were the driving force behind price movements.Natural gas, the sector’s worst performer, fluctuated throughout the period asweather drove demand. Crude oil also hurt performance as prices fell to $61.34a barrel on April 19th before reversing to $66.70 a barrel on April 27th. Thisreversal occurred when Saudi Arabian authorities announced the arrest of morethan 170 suspected terrorists, who were reportedly plotting to attack thecountry’s oil facilities. U.S. oil futures traded between $60 and $67 duringthe period as ample domestic stockpiles tempered the impact of supply shutdownsin Alaska and Nigeria.

Effective June 1, 2007, the Partnership became a multi-manager fund offunds with equal weighting to the FuturesAccess managed accounts of Aspect,Chesapeake, Transtrend and Winton. The Partnership returned an estimated +2.1%for the month of June.

During the month of June the most profitable trading across allmanagers came from the fixed income and currency sectors.  Bonds sold off on strong data and inflationconcerns and the managers’ trend following models were successful navigatingthe higher interest rate environment.  Incurrencies gains

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were achieved as higher yielding currencies (AUD, NZD, GBP, CAD)continued to appreciate at the expense of the “funding” currencies of Japan andSwitzerland.  Equity markets ended themonth lower although only small losses in this sector were realized as riskmanagement systems reduced exposure to this sector.  Commodities were mixed on the month withgains generally coming from long positions in grains and agriculturals andshort positions in natural gas.  Metalstrading produced net negative returns.

January 1, 2006 toJune 30, 2006

January 1, 2006 to March31, 2006

The Partnership’s performance was an overall loss for the first quarterwith metals, stock indices, interest rates, and agriculture posting gains whileenergy and currencies posted losses.

The metals sector was the most profitable for thePartnership. The quarter began with gold surging to a 25 year high and silverclimbing to its highest level since March 1984. This occurred because ofconcerns that the U.S. dollar may weaken because of higher oil prices,increasing the metal’s appeal as a hedge against further declines in the U.S.currency. London copper prices rose to a near record as production for theworld’s mines are failing to keep pace with increased demand from countrieslike China, the world’s largest user of the metal. Gold, silver and coppercontinued the upward trend throughout the quarter.

The stock indices were profitable for thePartnership. European stock indices had their best January rally in eight yearsas energy stocks along with miners and steelmakers gained on expectationsearnings would benefit from higher commodity prices. Leading the sector’sperformance was the Nikkei (Osaka), which despite increased volatility causedby geopolitical events, approached a decade high. The middle of the quarter wasvolatile for the stock indices sector as Asian stocks posted their firstmonthly decline since October 2005. The decline was short lived as Asian stocksapproached a 16-year high on surging demand for metals and oil at the end ofthe quarter. The Nikkei 225 climbed above 17,000 for the first time in morethan five years. The All Ordinaries rose 8% this quarter, while the NasdaqComposite Index rose to a five year high.

The interest rate sector was profitable for the Partnership,however, the beginning of the quarter was not profitable due the fact the fixedincome markets in the U.S., Europe and Japan sold off over fears of theirrespective central banks raising interest rates. Performance in various marketscounterbalanced each other in the middle of the quarter.  The sector benefited from Japanese Governmentbonds, which was in a price decline. Eurodollar posted gains, which were offsetby losses in U.S. 30 year bonds, German bunds and bobl. The quarter ended withboth the Federal Reserve and the European Central Bank raising their respectiveinterest rates 25 basis points. The true catalyst for the sell-off was growingspeculation in the markets that both central banks would be forced to continueto raise rates after consumer confidence reports released in both Europe andthe U.S. on March 28th weremuch stronger than expected. The largest gains in this sector were achieved inthe German bund and the Japanese Government bond while the largest lossoccurred in the Australian three-year bond as traders increased speculationthat the Federal Reserve Bank of Australia may have to raise interest rates tokeep pace with the U.S. Federal Reserve.

The agricultural sector was profitable for thePartnership.  The quarter began with recordhighs as a result of the surging cost of crude oil which increased the demandfor ethanol, a sugar cane by-product. Brazil, the biggest producer and exporterof sugar, is converting more of its cane crop to ethanol to cope with recordgasoline prices. New York (“N.Y.”) coffee rose to seven month highs asworldwide demand outpaced supply. N.Y. coffee and N.Y. sugar hindered returnsin the middle of the quarter while trading in CBOT (Chicago Board of Trade)wheat limited losses. CBOT wheat rose to a 20 month high on speculation thatunusually hot, dry weather from Texas to Nebraska reduced U.S. production. Thequarter ended with sugar prices in London rising to their highest levels since1989 on speculation that a jump in

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the cost of oil will force Brazil to direct more ofits output towards producing ethanol. Wheat was weaker as rains revived winterwheat crops in the U.S. great plains after four months of dry weather. Cornposted a loss for this sector as prices in Chicago rose the most in eight monthsafter U.S. farmers told the government they plan to slash this year’s plantingsto the lowest levels since 2001.

The energy sector was not profitable for thePartnership. Volatility within the energy sector increased as oil and naturalgas are now being used as “geopolitical weapons” by Iran, Russia, Venezuela andmilitants in Bolivia. Crude oil is up 41 percent from a year ago and 11 percentsince the beginning of the first quarter. However, the gains were not enough tooffset the losses incurred in natural gas, which for the first time in almostsix months dropped below $8 in New York. Natural gas fell 17 percent since thebeginning of the quarter as mild weather in the largest U.S. consuming regionscut demand which limited the need for utilities to pull from reserves. Themarket continued to be apprehensive over the unrest in Iran, Iraq, Nigeria andSaudi Arabia. Limiting losses in the sector was natural gas, as prices fell totheir lowest level in almost nine months as U.S. stockpiles for the week endedFebruary 17, 2006 were almost 700 billion cubic feet above the five yearaverage. The quarter ended with crude oil rising to a two month high andgasoline surged as U.S. fuel supplies declined. Prices fell after Iran statedit would not use crude oil as leverage in a dispute with western countries overits nuclear program.

Thecurrencies sector was the least profitable for the Partnership. The foreignexchange sector suffered losses as the U.S. dollar posted its biggest monthlydecline against the Euro since November 2004. This was due to the market’santicipation of the Federal Reserve’s removal of “measured pace” from itsstatement after its meeting on January 31st. The Euro also benefited as the marketwaited for the European Central Bank’s meeting on February 2, 2006 to raiseborrowing costs as Europe’s economy strengthened. The U.S. dollar also sufferedlosses against the Swiss franc, Japanese yen and the Euro. Investors no longerexpect interest rate differentials to benefit the U.S. dollar as the spreadnarrowed between the U.S. and both European and Japanese interest rates. TheU.S. dollar rose against the Euro in the middle of the quarter as new FederalReserve Chairman, Ben S. Bernanke, stated that inflation may quicken. Hiscomments suggest further tightening by the Federal Reserve. The quarter endedas range-bound trading continued to negatively affect the Partnership’s longterm trend following approach. Although some currencies had directional movesduring the month, they were accompanied by strong reversals.

April 1, 2006 to June 30,2006

The Partnershipposted an overall loss for the second quarter with metals, interest rates, andenergy posting gains while stock indices, agriculture and currencies postedlosses.

The metals sectorposted gains for the Partnership. The quarter began with gold surging to a 25year high and silver climbing 51% percent this year. This occurred due to theescalating dispute with Iran combined with a falling U.S. dollar which helpedto push the precious metal higher as investors look for a safe-haven given theglobal geopolitical uncertainty. Silver rallied on speculation that investordemand will grow as Barclays Bank PLC began offering an exchange traded fundbacked by the metal.  Both base andprecious metals began to retreat from highs set in the middle of the quarter.Gold fell to a three month low after reaching a 26-year high in May. Thedramatic sell-off was caused by the combination of a stronger dollar, asinvestors bought dollars as an alternative to gold, and increased speculationthat the U.S. Federal Reserve could hike interest rates as much as 50 basispoints. However, during the last two days of the quarter, gold surged, afterthe U.S. Federal Reserve suggested it may take a break from raising rates, erodingthe value of the U.S. dollar.

The interest ratesector also posted a gain for the Partnership. European, Japanese and U.S. fixed income markets were sold off thebeginning of the quarter which significantly added to the Partnership’sperformance. The largest gain in the sector was in the German benchmark 10-yearbund whose yield rose 22 basis points. This rise was due to speculation theEuropean Central Bank will raise its key interest rate three more times thisyear. The Japanese 10 year bond (JGB’s) also added to the sector’s performanceas

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it fell for afifth month, the longest since 1990, on concerns that the Bank of Japan willraise interest rates this year. Yields on U.S. 10-year Treasuries rose for afifth straight month mid-quarter, the longest stretch since 1999. Interest ratespeculation occurred at the end of the quarter in U.S. Treasuries with the U.S.Treasury bonds slightly rebounding due to U.S. Federal Reserve hinting a pausein increasing rates in the future.

The energy sectorposted profits for the Partnership primarily due to the increasing price ofcrude oil. Concerns that the U.N. Security Council will impose sanctions thatcould lead Iran, the fourth-largest oil producer, to cut shipments drove crudeoil for June delivery to a new high of $75.35 a barrel. Increased geopoliticaluncertainty drove all petroleum based products higher as Brent crude oil forJune settlement also reached a new high of $74.79 a barrel on April 21st. While the sector benefitedfrom increased instability in the world, mild weather in the U.S. hinderedperformance as natural gas fell 20 percent and approached a nine month low asdemand slowed. Brent crude oil for July settlement touched a record high of$74.97 a barrel the middle of the quarter, the highest since the contract begantrading in 1988, as attacks in Nigeria and doubts that Iran will embrace a newU.S. backed effort to rein in the country’s nuclear program kept crude relatedproducts from suffering the severe intra month reversals that plagued the majorityof the other sectors. Weakness in the markets caused by fears of a slowingworld economy was replaced by strength at the end of the quarter due to renewedtensions in the Middle East and speculation that gasoline consumption wouldjump during the 4th of July holiday weekend. Crude oil futures forAugust delivery touched $74.10 on the NYMEX, after falling to a low of $68.75during the month. Natural gas posted gains as prices fell in New York as hotweather eased in the northern U.S. trimming demand for the fuel from powerplants, which is used to meet air cooling needs.

The stock indicesattributed to the loss posted for the Partnership. The Partnership’sperformance was hindered by increased geopolitical instability in the globalstock markets, as well as a volatile interest rate environment. Asian stocksdropped from a 16-year high at the beginning of the quarter after Chinaunexpectedly raised its key lending rate. The rate rise, along with Chinaasking the nation’s banks to restrict lending to prevent the economy fromoverheating, sent shares of mining companies and commodity producers lower onspeculation that increased borrowing costs could curb demand for raw materialsin the world’s fastest growing major economy. Global equity markets began to fallmid-quarter after the U.S. Federal Reserve met and it became apparent anadditional rate hike was still a possibility in June. The losses continuedthrough the end of the quarter due to mounting speculation that actions of theU.S. Federal Reserve would hurt economic growth and 16 central banks raisedinterest rates to contain inflation. However, as it became evident that theU.S. Federal Reserve was actually closer to ending its rate hiking cycle, worldequity markets rallied. Despite the quarter end rally, the NASDAQ compositeslid 7.2 percent, its biggest drop since the first quarter of 2005.

The currencies sector wasnot profitable for the Partnership. In the beginning of the quarter, thecurrency sector started strong with the largest gain in the British pound whichposted its first back-to-back monthly gain mid-quarter against the U.S. dollarsince the end of 2004.  An improvingeconomic outlook increased speculation that the Bank of England may liftborrowing costs this year. However, losses were incurred at the end of thequarter by a strengthening of the U.S. dollar relative to most major currencieswhich adversely affected the Partnership. Stronger than expected June coreConsumer Price  (CPI) coupled with statementsfrom U.S. Federal Reserve Chairman Bernanke calling recent increases ininflation measures an “unwelcome development”, led investors to speculate thatthe U.S. Federal Reserve might raise rates 50 basis points rather than thepreviously expected 25. The increased rate speculation helped the dollar reachan eight-week high of 1.2479 against the Euro. On June 29th, the U.S. Federal Reserveraised rates 25 basis points and suggested it may be nearing the end of itstwo-year cycle of rate increases as the statement announcing their decisionindicated that slowing economic growth “should help to limit inflationpressures”. As a result, the U.S. dollar reversed once again and weakenedduring the last two days of the month. The U.S. dollar ended the quarter 5.3percent lower against the Euro and 2.8 percent versus the Japanese yen, whichwas the greatest percentage decrease since the last quarter of 2004.

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The agricultural sectorwas the least profitable for the Partnership. At the beginning of the quartercotton fell to its lowest close since December 2, 2005. Prices were down 3.7percent from a year ago after farmers harvested a record 23.72 million baleslast year, up 2 percent from 2004. The gains were not enough however to offsetthe losses in the rest of the sector as choppy price action dominated thesector’s performance. The largest loss occurred in N.Y. coffee as growers inLatin America and Africa took advantage of a recent rally to sell beans. Sugar,whose demand has increased on its ability to be made into ethanol, fell asenergy prices dropped mid-quarter. Sugar prices fell to nearly a three monthlow in London on speculation that the European Union will increase exportsbefore the world trade organization reforms take effect in July. Weatherconditions had severe affects on various crops in the U.S. and around the worldat the end of the quarter. CBOT (Chicago Board of Trade) wheat fell to afive-week low in the middle of June, after warm dry weather in the central U.S.helped farmers speed up the harvest. About 21 percent of the winter wheat crophad been collected as of June 11th, almost double the five-year average of11 percent. Corn and soybeans also hindered performance as prices in Chicagofell as Midwest rains helped revive crops after six weeks of hot, dry weather.

Item3.   Quantitative and QualitativeDisclosures About Market Risk

Introduction

The Partnership was a speculative commodity pool through May 31, 2007.Effective June 1, 2007 the Partnership invests in Portfolio Funds that arecommodity pools.  The market sensitive instrumentsheld by it are acquired for speculative trading purposes and all orsubstantially all of the Partnership’s assets are subject to the risk oftrading loss.  Unlike an operatingcompany, the risk of market sensitive instruments is integral, not incidental,to the Partnership’s main line of business.

Market movements result in frequent changes in the fair market value ofthe Partnership’s open positions and, consequently, in its earnings and cashflow.  The Partnership’s market risk isinfluenced by a wide variety of factors, including the level and volatility ofinterest rates, exchange rates, equity price levels, the market value offinancial instruments and contracts, the diversification effects among thePartnership’s open positions and the liquidity of the markets in which ittrades.

The Partnership, under the direction of JWH® through May 31, 2007 rapidly acquires andliquidates both long and short positions in a wide range of differentmarkets.  Consequently, it is notpossible to predict how a possible future market scenario will affectperformance, and the Partnership’s past performance is not necessarilyindicative of its future results.

Value at Risk is ameasure of the maximum amount which the Partnership could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty of the Partnership’s speculativetrading and the recurrence in the markets traded by the Partnership of marketmovements far exceeding expectations could result in actual trading ornon-trading losses far beyond the indicated Value at Risk or the Partnership’sexperience to date (i.e., “risk of ruin”). In light of the foregoing as well as the risks and uncertaintiesintrinsic to all future projections, the inclusion of the quantification in thissection should not be considered to constitute any assurance or representationthat the Partnership’s losses in any market sector will be limited to Value atRisk or by the Partnership’s attempts to manage its market risk.

Quantifying thePartnership’s Trading Value at Risk

QuantitativeForward-Looking Statements

The following quantitative disclosures regarding the Partnership’smarket risk exposures contain “forward-looking statements” within the meaningof the safe harbor from civil liability provided for such statements by thePrivate Securities Litigation Reform Act of 1995 (set forth in Section 27A ofthe Securities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative

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disclosures in this section are deemed to be forward-looking statementsfor purposes of the safe harbor, except for statements of historical fact.

The Partnership’s risk exposure in the variousmarket sectors traded by JWH® through May 31,2007and Investments in Portfolio Funds for June2007 is quantified below in terms of Value at Risk.  Due to the Partnership’s mark-to-marketaccounting, any loss in the fair value of the Partnership’s open positions isdirectly reflected in the Partnership’s earnings (realized or unrealized) andcash flow (at least in the case of exchange-traded contracts in which profitsand losses on open positions are settled daily through variation margin).

Exchange maintenance margin requirements have beenused by the Partnership as the measure of its Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95% to 99% of the one-day time periods included in thehistorical sample (approximately one year, generally) researched for purposesof establishing margin levels.  Themaintenance margin levels are established by dealers and exchanges usinghistorical price studies as well as an assessment of current market volatility(including the implied volatility of the options on a given futures contract)and economic fundamentals to provide a probabilistic estimate of the maximumexpected near-term one-day price fluctuation.

In the case of market sensitive instruments whichare not exchange-traded (almost exclusively currencies in the case of thePartnership), the margin requirements for the equivalent futures positions havebeen used as Value at Risk.  In thoserare cases in which a futures-equivalent margin is not available, dealers’margins have been used.

100% positive correlation in the different positionsheld in each market risk category has been assumed.  Consequently, the margin requirementsapplicable to the open contracts have been aggregated to determine each tradingcategory’s aggregate Value at Risk.  Thediversification effects (which would reduce the Value at Risk estimates)resulting from the fact that the Partnership’s positions are rarely, if ever,100% positively correlated have not been reflected.

# **The Partnership’s TradingValue at Risk in Different Market Sectors**

The following table indicates the average, highest,and lowest trading Value at Risk associated with the Partnership’s openpositions by market category for the second quarter 2007.  During the second quarter 2007, thePartnership’s average capitalization was approximately $596,056,986. During thesecond quarter 2006, the Partnership’s average capitalization was approximately$1,151,995,945.

The Value at Risk calculation for Class D-TF isbased upon the Portfolio Funds’ individual Value at Risk calculation in proportionto the percentage of capital invested by the Partnership in the PortfolioFunds.

**May 31, 2007**
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 846,301    |                       | 0.14       | %                      | $          | 2,805,345             |       | $ | — |   |
| Currencies             |       | 9,769,334                   |       | 1.64                       | %          | 17,688,603             |       | 14,804                |       |
| Energy                 |       | 1,595,481                   |       | 0.27                       | %          | 2,699,064              |       | —                |       |
| Interest Rates         |       | 27,474,079                  |       | 4.61                       | %          | 73,672,809             |       | —                |       |
| Metals                 |       | 2,203,184                   |       | 0.37                       | %          | 6,999,047              |       | —                |       |
| Stock Indices          |       | 2,444,700                   |       | 0.41                       | %          | 5,459,142              |       | —                |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 44,333,079 |                       | 7.44       | %                      | $          | 109,324,010           |       | $ | 14,804 |   |

 

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**Winton CLASS D-TFJune 30, 2007**
| **Market Sector** | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agriculture            |       | $                                    | 77,526     |                                       | 0.07       | %                                    | $          | 77,526                              |       | $ | 77,526 |   |
| Currencies             |       | 354,599                              |       | 0.30                                       | %          | 354,599                              |       | 354,599                             |       |
| Energy                 |       | 11,611                               |       | 0.01                                       | %          | 11,611                               |       | 11,611                              |       |
| Interest Rates         |       | 7,952,220                            |       | 6.74                                       | %          | 7,952,220                            |       | 7,952,220                           |       |
| Metals                 |       | 53,868                               |       | 0.05                                       | %          | 53,868                               |       | 53,868                              |       |
| Stock Indices          |       | 298,742                              |       | 0.25                                       | %          | 298,742                              |       | 298,742                             |       |
| FX                     |       | 789                                  |       | 0.00                                       | %          | 789                                  |       | 789                                 |       |
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| TOTAL                  |       | $                                    | 8,749,355  |                                       | 7.41       | %                                    | $          | 8,749,355                           |       | $ | 8,749,355 |   |

 

**Aspect CLASS D-TFJune 30, 2007**
| **Market Sector** | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agricultural           |       | $                                    | 95,335     |                                       | 0.10       | %                                    | $          | 95,335                              |       | $ | 95,335 |   |
| Currencies             |       | 321,210                              |       | 0.35                                       | %          | 321,210                              |       | 321,210                             |       |
| Energy                 |       | 73,844                               |       | 0.08                                       | %          | 73,844                               |       | 73,844                              |       |
| Interest Rates         |       | 14,132,577                           |       | 15.36                                      | %          | 14,132,577                           |       | 14,132,577                          |       |
| Metals                 |       | 109,571                              |       | 0.12                                       | %          | 109,571                              |       | 109,571                             |       |
| Stock Indices          |       | 556,733                              |       | 0.61                                       | %          | 556,733                              |       | 556,733                             |       |
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| TOTAL                  |       | $                                    | 15,289,270 |                                       | 16.62      | %                                    | $          | 15,289,270                          |       | $ | 15,289,270 |   |

 

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**Chesapeake ClassD-TFJune 30, 2007**
| **Market Sector** | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agricultural           |       | $                                    | 504,108    |                                       | 0.79       | %                                    | $          | 504,108                             |       | $ | 504,108 |   |
| Energy                 |       | 30,008                               |       | 0.05                                       | %          | 30,008                               |       | 30,008                              |       |
| Interest Rates         |       | 20,192,293                           |       | 31.48                                      | %          | 20,192,293                           |       | 20,192,293                          |       |
| Metals                 |       | 444,752                              |       | 0.69                                       | %          | 444,752                              |       | 444,752                             |       |
| Stock Futures          |       | 573,270                              |       | 0.89                                       | %          | 573,270                              |       | 573,270                             |       |
| Stock Indices          |       | 1,050,876                            |       | 1.64                                       | %          | 1,050,876                            |       | 1,050,876                           |       |
| Currencies             |       | 1,100,541                            |       | 1.72                                       | %          | 1,100,541                            |       | 1,100,541                           |       |
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| TOTAL                  |       | $                                    | 23,895,849 |                                       | 37.25      | %                                    | $          | 23,895,849                          |       | $ | 23,895,849 |   |

 

**Transtrend CLASSD-TFJune 30, 2007**
| **Market Sector** | ** ** | **Average  Value at Risk** | ** ** | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|------------------------|------------|--------------------------------------|------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| Agricultural           |       | $                                    | 159,910    |                                       | 0.25       | %                                    | $          | 159,910                             |       | $ | 159,910 |   |
| Energy                 |       | 55,777                               |       | 0.09                                       | %          | 55,777                               |       | 55,777                              |       |
| Interest Rates         |       | 14,968,848                           |       | 23.25                                      | %          | 14,968,848                           |       | 14,968,848                          |       |
| Metals                 |       | —                               |       | 0.00                                       | %          | —                               |       | —                              |       |
| Currencies             |       | 14,012                               |       | 0.02                                       | %          | 14,012                               |       | 14,012                              |       |
| Stock Indices          |       | 1,777,966                            |       | 2.76                                       | %          | 1,777,966                            |       | 1,777,966                           |       |
|                   |       |                                 |       |                                       |       |                                 |       |                                |       |
| TOTAL                  |       | $                                    | 16,976,513 |                                       | 26.36      | %                                    | $          | 16,976,513                          |       | $ | 16,976,513 |   |

 

**June 30, 2006**
| **Market Sector** | ** ** | **Average  Value at Risk** | ** **  | **% of Average  Capitalization** | ** ** | **Highest Value  At Risk** | ** ** | **Lowest Value  At Risk** | ** ** |
|------------------------|------------|--------------------------------------|-------------|--------------------------------------------|------------|--------------------------------------|------------|-------------------------------------|------------|
|                   |       |                                 |        |                                       |       |                                 |       |                                |       |
| Agriculture            |       | $                                    | 1,053,191   |                                       | 0.09       | %                                    | $          | 2,077,991                           |       | $ | 191,779 |   |
| Currencies             |       | 36,382,371                           |        | 3.16                                       | %          | 93,297,083                           |       | 6,095,675                           |       |
| Energy                 |       | 2,230,031                            |        | 0.19                                       | %          | 5,803,259                            |       | 630,938                             |       |
| Interest Rates         |       | 103,152,184                          |        | 8.95                                       | %          | 143,544,330                          |       | 43,863,637                          |       |
| Metals                 |       | 3,730,052                            |        | 0.32                                       | %          | 9,249,917                            |       | 1,019,554                           |       |
| Stock Indices          |       | 5,576,282                            |        | 0.48                                       | %          | 13,268,291                           |       | 3,733,442                           |       |
|                   |       |                                 |        |                                       |       |                                 |       |                                |       |
| TOTAL                  |       | $                                    | 152,124,111 |                                       | 13.19      | %                                    | $          | 267,240,871                         |       | $ | 55,535,025 |   |

 

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Material Limitations onValue at Risk as an Assessment of Market Risk

The face value of the marketsector instruments held by the Partnership is typically many times theapplicable maintenance margin requirement (maintenance margin requirementsgenerally ranging between approximately 1% and 10% of contract face value) aswell as many times the capitalization of the Partnership.  The magnitude of the Partnership’s 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 Partnership to incur severe losses over a shortperiod of time.   The foregoing Value atRisk table — as well as the past performance of the Partnership — gives noindication of this “risk of ruin.”

**Non-Trading Risk**

Foreign Currency Balances;Cash on Deposit with MLPF&S.

The Partnership hasnon-trading market risk on its foreign cash balances not needed for margin.However, these balances (as well as the market risk they represent) areimmaterial.

The Partnership also hasnon-trading market risk on the approximately 90%-95% of its assets which areheld in cash at MLPF&S. The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk isimmaterial.

Item 4. Controls and Procedures

MerrillLynch Alternative Investments LLC (MLAI), the General Partner of MLTrend-Following Fund L.P., with the participation of the General Partner’sChief Executive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Partnership as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that these disclosurecontrols and procedures are effective. Additionally, there were no significant changes in the Partnership’sinternal controls or in other factors that could significantly affect thesecontrols subsequent to the date of this evaluation, including any correctiveactions with regard to significant deficiencies and material weaknesses.

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PART II - OTHER INFORMATION

Item 1.                         LegalProceedings

On July 31, 2007, the CFTC issued an orderagainst MLAI and an advisory affiliate, to which MLAI and the affiliateconsented, containing findings, which MLAI and the affiliate neither admittednor denied, that MLAI and the affiliate filed with the NFA a number of annualreports for commodity pools for which they acted as commodity pool operatorsafter the deadline established by the CFTC’s regulations, in violation of CFTCRegulation 4.22(c). MLAI and the affiliate were ordered to cease and desistfrom violating Regulation 4.22(c) and to pay a civil penalty in the amount of$500,000.

Item 2.                         UnregisteredSales of Securities and Use of Proceeds

(a) None.

(b) None.

(c) None.

Item 3.                         DefaultsUpon Senior Securities

None.

Item 4.                         Submissionof Matters to a Vote of Security Holders

None.

Item 5.                         Other Information

See Note 1

Item 6.                         Exhibits

The following exhibitsare incorporated by reference or are filed herewith to this Quarterly Report onForm 10-Q:

31.01 and 31.02                                                                                                 Rule13a-14(a)/15d-14(a) Certifications

Exhibit 31.01 and 31.02:       Are filed herewith.

32.01 and 32.02                                                                                                 Section1350 Certifications

Exhibit 32.01and 32.02                                                             Arefiled herewith.

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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 TREND-FOLLOWING FUTURES FUND L.P. |
|-----------------------------|--------------------------------------|
|                        |                                 |
|                        |                                 | By: MERRILL  LYNCH ALTERNATIVE |
|                        |                                 | INVESTMENTS LLC |
|                        |                                 | (General Partner) |
|                        |                                 |   |
|                        |                                 |   |
| Date: August 14,  2007      | By                                   | /s/ ROBERT D. OLLWERTHER |
|                        |                                 | Robert D.  Ollwerther |
|                        |                                 | Chief Executive  Officer and President |
|                        |                                 | (Principal  Executive Officer) |
|                        |                                 |   |
|                        |                                 |   |
| Date:  August 14, 2007 | By                                   | /s/ BARBRA E. KOCSIS |
|                        |                                 | Barbra E. Kocsis |
|                        |                                 | Chief Financial  Officer |
|                        |                                 | (Principal  Financial and Accounting Officer) |

 

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