** **

**UNITED STATESSECURITIES AND EXCHANGE COMMISSION**

**Washington, D.C.20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

| **x**                                                                                                                                                          | **QUARTERLY REPORT PURSUANT TO  SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**   |
|----------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------------------------------------------------|
|                                                                                                                                                           |
| **For the  quarterly period ended****March 31, 2008**                                                                                                     |
|                                                                                                                                                           |
| **OR**                                                                                                                                                         | ** **                                                                                               |
|                                                                                                                                                           |
| **o**                                                                                                                                                          | **TRANSITION  REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE  ACT OF 1934** |
|                                                                                                                                                           |                                                                                                     |
| **For the  transition period  from          to          ** |
|                                                                                                                                                           |                                                                                                     |
| **Commission  File Number****0-28928**                                                                                                                         |
|                                                                                                                                                                |                                                                                                          |  |  |

 

**MLTREND-FOLLOWING FUTURES FUND L.P.**

(Exact Name of Registrant asspecified in its charter)

 

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

 

**c/o Merrill Lynch Alternative Investments LLCHopewell Corporate Campus, Building No. 21200 Merrill Lynch Drive - First FloorPennington, New Jersey 08534**(Address of principal executive offices)(Zip Code)

 

**609-274-5838**

(Registrant’s telephone number, including area code)

 

Indicate by check mark whether the registrant (1) hasfiled all reports required to be filed by Section 13 or 15(d) of theSecurities Exchange Act of 1934 during the preceding 12 months (or for suchshorter period that the registrant was required to file such reports), and (2) hasbeen subject to such filing requirements for the past 90 days.

Yes x    Noo

 

Indicate by check markwhether the registrant is a large accelerated filer, an accelerated filer, anon-accelerated filer, or a smaller reporting company. See definitions of“large accelerated filer,” “accelerated filer,” and “smaller reporting company”in Rule 12b-2 of the Exchange Act. (Check one):

 

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

 

Indicate by check markwhether registrant is a shell company (as defined by Rule 12b-2 of theExchange Act).

Yes o    Nox

 

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 thedistribution of securities under a plan confirmed by a court.

Yes o    Noo

 

The limited partnership units of the registrant arenot publicly traded. Accordingly, there is no aggregate market value forregistrant’s outstanding equity that is readily determinable.

 

 

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

 

QUARTERLY REPORT FOR MARCH 31, 2008 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 | 9        |
|         |                                                                                        |     |
| Item 3.      | Quantitative  and Qualitative Disclosures About Market Risk                                 | 12       |
|         |                                                                                        |     |
| Item 4.      | Controls and  Procedures                                                                    | 16       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item 1.      | Legal Proceedings                                                                           | 17       |
|         |                                                                                        |     |
| Item  1A.    | Risk Factor                                                                                 | 17       |
|         |                                                                                        |     |
| Item 2.      | Unregistered  Sales of Securities and Use of Proceeds                                       | 19       |
|         |                                                                                        |     |
| 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 - FINANCIALINFORMATION

 

Item1.  Financial Statements

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTSOF FINANCIAL CONDITION

 
| ** **                                                                               | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|------------------------------------------------------------------------------------------|------------|--------------------|-------------|-----------------------|------------|
| ** **                                                                               | ** ** | **2008**           | ** **  | **2007**              | ** ** |
| ** **                                                                               | ** ** | **(unaudited)**    | ** **  | ** **            | ** ** |
|                                                                                     |       |               |        |                  |       |
| **ASSETS:**                                                                              | ** ** |               |        |                  |       |
| Cash                                                                                     |       | $                  | 286,207     |                  | $          | 225,042 |   |
| Investments in  Portfolio Funds (cost $318,202,837 for 2008 and $347,355,241 for 2007)   |       | 375,870,810        |        | 369,982,077           |       |
| Due from  Portfolio Funds                                                                |       | 10,679,551         |        | 17,014,386            |       |
| Accrued interest                                                                         |       | 59,180             |        | 59,180                |       |
| Subscriptions  receivable                                                                | ** ** | 10,607             |        | —                |       |
|                                                                                     | ** ** |               |        |                  |       |
| **TOTAL  ASSETS**                                                                        | ** ** | $                  | 386,906,355 |                  | $          | 387,280,685 |   |
|                                                                                     |       |               |        |                  |       |
| **LIABILITIES  AND PARTNERS’ CAPITAL**                                              | ** ** |               |        |                  |       |
| **LIABILITIES:**                                                                         |       |               |        |                  |       |
| Management fee  payable                                                                  |       | $                  | 1,287,861   |                  | $          | — |   |
| Wrap fee payable                                                                         |       | —             |        | 1,290,255             |       |
| Redemptions  payable                                                                     |       | 6,470,672          |        | 15,662,095            |       |
| Other                                                                                    |       | 552,804            |        | 209,053               |       |
|                                                                                     |       |               |        |                  |       |
| Total  liabilities                                                                       |       | 8,311,337          |        | 17,161,403            |       |
|                                                                                     |       |               |        |                  |       |
| **PARTNERS’  CAPITAL:**                                                             | ** ** |               |        |                  |       |
| General Partner  (42,282 and 42,282 Units)                                               |       | 7,636,888          |        | 6,943,734             |       |
| Limited Partners  (2,059,839 and 2,211,461 Units)                                        |       | 370,958,130        |        | 363,175,548           |       |
|                                                                                     |       |               |        |                  |       |
| Total partners’  capital                                                            |       | 378,595,018        |        | 370,119,282           |       |
|                                                                                     |       |               |        |                  |       |
| **TOTAL  LIABILITIES AND PARTNERS’ CAPITAL**                                        | ** ** | $                  | 386,906,355 |                  | $          | 387,280,685 |   |
|                                                                                     |       |               |        |                  |       |
| **NET  ASSET VALUE PER UNIT**                                                            | ** ** |               |        |                  |       |
| (Based on  2,102,121 and 2,253,743 H:H Units outstanding and unlimited Units authorized) |       | $                  | 180.10      |                  | $          | 164.22 |   |

 

See notes tofinancial statements.

 

2

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ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                                                        | ** ** | **For the three** | ** ** | **For the three** | ** ** |
|-----------------------------------------------------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|
| ** **                                                                        | ** ** | **months ended**       | ** ** | **months ended**       | ** ** |
| ** **                                                                        | ** ** | **March 31,**          | ** ** | **March 31,**          | ** ** |
| ** **                                                                        | ** ** | **2008**                    | ** ** | **2007**                    | ** ** |
|                                                                              |       |                        |       |                        |       |
| **TRADING  PROFIT (LOSS):**                                                       |       |                        |       |                        |       |
| ** **                                                                        |       |                        |       |                        |       |
| Realized                                                                          |       | $                           | 4,666,960  |                        | $          | (75,622,348 | ) |
| Change in  unrealized                                                             |       | 35,041,137                  |       | (11,599,425                 | )          |
| ** **                                                                        |       |                        |       |                        |       |
| Total trading  profit (loss)                                                      |       | 39,708,097                  |       | (87,221,773                 | )          |
|                                                                              |       |                        |       |                        |       |
| **INVESTMENT  INCOME:**                                                           |       |                        |       |                        |       |
|                                                                              |       |                        |       |                        |       |
| Interest                                                                          |       | 2,345                       |       | 9,225,346                   |       |
|                                                                              |       |                        |       |                        |       |
| **EXPENSES:**                                                                     |       |                        |       |                        |       |
|                                                                              |       |                        |       |                        |       |
| Management fee                                                                    |       | 3,915,244                   |       | —                      |       |
| Brokerage  commissions                                                            |       | —                      |       | 10,185,362                  |       |
| Administrative  and filing fees                                                   |       | —                      |       | 505,342                     |       |
| Ongoing offering  costs                                                           |       | —                      |       | 25,000                      |       |
| Other expenses                                                                    |       | 343,750                     |       | —                      |       |
|                                                                              |       |                        |       |                        |       |
| Total expenses                                                                    |       | 4,258,994                   |       | 10,715,704                  |       |
|                                                                              |       |                        |       |                        |       |
| **NET  INVESTMENT PROFIT (LOSS)**                                                 |       | (4,256,649                  | )          | (1,490,358                  | )          |
| ** **                                                                        |       |                        |       |                        |       |
| **INCOME  (LOSS) BEFORE MINORITY INTEREST**                                       |       | 35,451,448                  |       | (88,712,131                 | )          |
| ** **                                                                        |       |                        |       |                        |       |
| Minority interest  in (income) loss                                               |       | —                      |       | 21,378                      |       |
|                                                                              |       |                        |       |                        |       |
| **NET  INCOME (LOSS)**                                                            |       | $                           | 35,451,448 |                        | $          | (88,690,753 | ) |
|                                                                              |       |                        |       |                        |       |
| **NET  INCOME (LOSS) PER UNIT:**                                                  |       |                        |       |                        |       |
| Weighted average  number of General Partner and Limited Partner Units outstanding |       | 2,197,950                   |       | 4,282,551                   |       |
|                                                                              |       |                        |       |                        |       |
| Net income  (loss) per weighted average General Partner and Limited Partner Unit  |       | $                           | 16.13      |                        | $          | (20.71 | ) |

 

See notes to financialstatements.

 

3

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ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the three months ended March 31, 2008 and2007

(unaudited)

 
| ** **                                      | ** ** | **Units** | ** ** | **General  Partner** | ** ** | **Limited  Partners** | ** ** | **Total**    | ** ** |
|-------------------------------------------------|------------|-----------|------------|----------------------|------------|-----------------------|------------|--------------|------------|
|                                            |       |      |       |                 |       |                  |       |         |       |
| PARTNERS’  CAPITAL, December 31, 2006 |       | 4,511,816 |       | $                    | 8,204,766  |                  | $          | 784,098,296  |       | $ | 792,303,062 |   |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Subscriptions                                   |       | 43,373    |       | —               |       | 7,449,030             |       | 7,449,030    |       |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Net income  (loss)                              |       | —    |       | (987,524             | )          | (87,703,229           | )          | (88,690,753  | )          |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Redemptions                                     |       | (871,573  | )          | (687,107             | )          | (141,513,990          | )          | (142,201,097 | )          |
|                                            |       |      |       |                 |       |                  |       |         |       |
| PARTNERS’  CAPITAL, March 31, 2007    |       | 3,683,616 |       | $                    | 6,530,135  |                  | $          | 562,330,107  |       | $ | 568,860,242 |   |
|                                            |       |      |       |                 |       |                  |       |         |       |
| PARTNERS’  CAPITAL, December 31, 2007 |       | 2,253,743 |       | $                    | 6,943,734  |                  | $          | 363,175,548  |       | $ | 370,119,282 |   |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Subscriptions                                   |       | 2,382     |       | —               |       | 424,191               |       | 424,191      |       |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Net income  (loss)                              |       | —    |       | 693,154              |       | 34,758,294            |       | 35,451,448   |       |
|                                            |       |      |       |                 |       |                  |       |         |       |
| Redemptions                                     |       | (154,004  | )          | —               |       | (27,399,903           | )          | (27,399,903  | )          |
|                                            |       |      |       |                 |       |                  |       |         |       |
| PARTNERS’  CAPITAL, March 31, 2008    |       | 2,102,121 |       | $                    | 7,636,888  |                  | $          | 370,958,130  |       | $ | 378,595,018 |   |

 

See notes tofinancial statements.

 

4

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ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANTACCOUNTING POLICIES

 

ML TrendFollowing Futures Fund L.P. (the “Partnership”), formerly knownas ML JWH Strategic Allocation Fund L.P. was organized under the DelawareRevised Uniform Limited Partnership Act on December 11, 1995 and commencedtrading on July 15, 1996.  ThePartnership operates as a “fund of funds”, allocating and reallocating itscapital, under the discretion of Merrill Lynch Alternative Investments LLC (“MLAI”)the general partner of the Partnership, among four underlying FuturesAccessFunds (each a “Portfolio Fund” and collectively the “Portfolio Funds”) (SeeNote 2).

 

In the opinion ofmanagement, the financial statements contain all adjustments necessary topresent fairly the financial position of the Partnership as of March 31,2008 and the results of its operations for the three month period ended March 31,2008 and 2007. However, the operating results for the interim periods may notbe indicative of the results for the full year.

 

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

 

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

 

·      The Partnership’s assets were reinvested in MLAI sponsored PortfolioFunds: ML Winton FuturesAccess LLC (“Winton”), ML Aspect FuturesAccess LLC (“Aspect”),ML Chesapeake FuturesAccess LLC (“Chesapeake”) and ML Transtrend DTP EnhancedFuturesAccess LLC (“Transtrend”). These Portfolio Funds employ a variety ofsystematic models with an emphasis on a style of investment commonly referredto as “diversified trend following” and the Partnership no longer utilizes theservices of John W. Henry & Company, Inc. as the commoditytrading advisor.

 

·      On May 7, 2007, the Partnership was deregistered under theSecurities Act of 1933, as amended, but retained its registration under theSecurities Act of 1934, as amended.

 

·      Prior to June 1, 2007, the Partnership’s brokerage commissions andadministrative fees constituted a single annual “wrap fee” in an amount of 6.0%of the Partnership’s average month-end Net Asset Value, which covered all ofthe Partnership’s costs and expenses, other than bid-ask spreads and certaintrading fees as well as an annual filing fee payable to the State of New Jerseyand offering costs. After June 1, 2007, the Partnership pays a wrap fee inthe amount of 4.0% of the Partnership’s average month-end Net Asset Value.Other than this 4.0% wrap fee, the only direct expense of the Partnership isthe annual New Jersey filing fee, which is assessed on a per-partner basis witha maximum charge of $250,000 per year.

 

Certain information andfootnote disclosures normally included in annual financial statements preparedin conformity with accounting principles generally accepted in the UnitedStates of America (“U.S. GAAP”) have been omitted. It is suggested that thesefinancial statements be read in conjunction with the financial statements andnotes thereto included in the Partnership’s and the Portfolio Funds’ AnnualReports on Form 10-K filed with the Securities and Exchange Commission forthe year ended December 31, 2007. Certain prior period items have beenreclassified to conform to the current period presentation.

 

5

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

 

2.     INVESTMENTS IN PORTFOLIO FUNDS

 

MLAImay, in its discretion, change Portfolio Funds at any time. MLAI may vary thepercentage of the Partnership’s total portfolio allocated to the differentPortfolio Funds at MLAI’s discretion. There is no pre-established range for theminimum and maximum allocations that may be made to any given Portfolio Funds.

 
| ** **                                                             | ** ** | **Fair Value** | ** **  | **Percentage of  Partners’ Capital** | ** ** |
|------------------------------------------------------------------------|------------|---------------------|-------------|-----------------------------------------------------|------------|
| ML Chesapeake  FuturesAccess LLC                                       |       | $                   | 91,738,066  |                                                | 24.23      | % |
| ML Transtrend  DTP Enhanced FuturesAccess LLC                          |       | 94,690,790          |        | 25.01                                               | %          |
| ML Aspect  FuturesAccess LLC                                           |       | 94,721,040          |        | 25.02                                               | %          |
| ML Winton  FuturesAccess LLC                                           |       | 94,720,914          |        | 25.02                                               | %          |
|                                                                   |       |                |        |                                                |       |
| Total Investment  in Portfolio Funds at fair value (cost $318,202,837) |       | $                   | 375,870,810 |                                                | 99.28      | % |

 

3.     MARKET, CREDIT AND CONCENTRATION RISKS

 

Thenature of this Partnership has certain risks, which cannot be presented on thefinancial statements. Additionally, the Partnership invests in the PortfolioFunds which have similar market risk as mentioned. The following summarizessome of those risks.

 

MarketRisk

 

Derivativeinstruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in the Portfolio Funds’ Net unrealized profit(loss) on such derivative instruments as reflected in the Portfolio Funds’Statements of Financial Condition.  ThePortfolio Funds’ exposure to market risk is influenced by a number of factors,including the relationships among the derivative instruments held by thePortfolio Funds as well as the volatility and liquidity of the markets in whichthe derivative instruments are traded. Investments in foreign markets may alsoentail legal and political risks.

 

CreditRisk

 

The risks associated withexchange-traded contracts are typically perceived to be less than thoseassociated with over-the-counter (non-exchange-traded) transactions, becauseexchanges typically (but not universally) provide clearinghouse arrangements inwhich the collective credit (in some cases limited in amount, in some casesnot) of the members of the exchange is pledged to support the financialintegrity 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.

 

6

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The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Portfolio Funds’ Statements ofFinancial Condition. The PortfolioFunds attempt to mitigate this risk by dealing exclusively with MerrillLynch entities as clearing brokers.

 

The Portfolio Funds, in their normalcourse of business, enter into various contracts, with Merrill Lynch PierceFenner & Smith Inc. (“MLPF&S”) acting as their commodity broker.  Pursuant to the brokerage arrangement withMLPF&S (which includes a netting arrangement), to the extent that suchtrading results in receivables from and payables to MLPF&S, thesereceivables and payables are offset and reported as a net receivable or payableand included in Net unrealized profit (loss) on open contracts on the Portfolio Funds’ Statements ofFinancial Condition.

 

Concentration Risk

 

The Partnership’sinvestments in the Portfolio Funds are subject to the market and credit risk ofthe Portfolio Funds. Because the majority of the Partnership’s capital isinvested in the Portfolio Funds, any changes in the market conditions thatwould adversely affect the Portfolio Funds could significantly impact thesolvency of the Partnership.

 

4.     RECENT ACCOUNTING PRONOUNCEMENTS

 

In September 2006,the Financial Accounting Standards Board (“FASB”) issued Statement of FinancialAccounting Standards No. 157, Fair Value Measurement (“FAS 157”). FAS 157defines fair value, establishes a framework for measuring fair value andexpands disclosures about fair value measurements. The Partnership adopted FAS157 as of January 1, 2008. The adoption of FAS 157 did not have a materialimpact on the Partnership’s financial statements.

 

Fair value of aninvestment is the amount that would be received to sell the investment in anorderly transaction between market participants at the measurement date (i.e.the exit price).

 

FAS 157 established ahierarchal disclosure framework which prioritizes and ranks the level of marketprice observability used in measuring investments at fair value. Market priceobservability is impacted by a number of factors, including the type ofinvestment and the characteristics specific to the investment. Investments withreadily available active quoted prices or for which fair value can be measuredfrom actively quoted prices generally will have a higher degree of market priceobservability and a lesser degree of judgment used in measuring fair value.

 

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

 

Level I – Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly traded investments.

 

Level II – Pricing inputsare other than quoted prices in active markets, which are either directly orindirectly observable as of the reporting date, and fair value is determinedthrough the use of models or other valuation methodologies. Investments whichare generally included in this category are investments valued using marketdata.

 

Level III – Pricinginputs are unobservable including the Partnership’s own assumptions indetermining the fair value of investments.

 

7

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

 

The followingtable summarizes the valuation of the Partnership’s investments by the aboveFAS 157 fair value hierarchy levels as of March 31, 2008:

 
| ** **                      | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|---------------------------------|------------|-----------|-------------|------------------|------------|-------------------|------------|--------------------|------------|
| Investments in  Portfolio Funds |       | $         | 375,870,810 |             | N/A        |              | N/A        |               | $          | 375,870,810 |   |
|                                 |            |           |             |                  |            |                   |            |                    |            |  |  |

 

The valuation ofthe Portfolio Funds’ investments by FAS 157 fair value hierarchy levels as of March 31,2008 are Level I and Level II.

 

In March 2008,the FASB released Statement of Financial Accounting Standards No. 161,Disclosures about Derivative Instruments and Hedging Activities – an amendmentto FASB Statement No. 133 (“FAS 161”). FAS 161 requires qualitativedisclosures about objectives and strategies for using derivatives, quantitativedisclosures about fair value amounts of and gains and losses on derivativeinstruments, and disclosures about credit-risk related contingent features inderivative agreements. The application of FAS 161 is required for fiscal yearsbeginning after November 15, 2008 and interim periods within those fiscalyears. Currently, the Partnership is evaluating the implications of FAS 161 onits financial statements.

 

8

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Item 2:                    Management’s Discussion andAnalysis of Financial Condition and Results of Operations

 

MONTH-END NET ASSET VALUE PER UNIT

 

| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2007       |       | $        | 173.44     |     | $          | 164.76   |       | $ | 154.43 |   |
| 2008       |       | $        | 168.36     |     | $          | 184.45   |       | $ | 180.10 |   |

 

PerformanceSummary

 

January 1,2008 to March 31, 2008

 

The Partnership postedgains for the first quarter.

 

January was a positivemonth for the Partnership, despite dramatic declines in global stock indices,illustrating the Partnership’s low correlation with equities over a marketcycle. The Portfolio Funds’ Managers had long positions in fixed income andprecious metals, both of which benefited from fears of a U.S. recession, aswell as sharp U.S. Federal Reserve rate cuts totaling 1.25% for the month. Thecontinuing rally in grain markets was another source of profit for thePortfolio Funds. Losses came primarily from energy markets as oil pricesweakened and natural gas rebounded.

 

February was a verystrong month for the Partnership and it continues to be up year to date in2008. As a point of comparison, the Newedge CTA Index returned 4.6% for themonth and was up 6.3% for the year. The bulk of returns were earned in surgingcommodity markets. Grains and softs rallied strongly due to low inventories andpositive forecasts of demand. Energy and metals climbed as these sectors areperceived as an inflation hedge. The other profitable trades included short currencypositions against the U.S. dollar. The top performer within the vertical in February wasChesapeake, a long-term trend-follower, which gained 16.7%. The bottomperformer was Transtrend, which gained 5.4%.

 

The Partnership finished March down-2.35%. In comparison, the Newedge CTA Index was down marginally -0.1% inMarch, and is up 6.3% year to date. Transtrend, the most diversified manager inthe vertical, was the top performer in March, gaining 0.6%, while Chesapeakewas the bottom performer, losing -6.6%. For the 1st quarter as a whole,Chesapeake was the top performer in the vertical, up 11.2%, while Transtrendhad the smallest gains, rising 5.7%. The strong trends in commodity markets in February madea sharp reversal in March, hurting most funds in the vertical. After gaining11.7% in February, the CRB Commodity Index fell -6.3% March. The grains andprecious metals sectors recorded particularly large reversals. The Partnershipwas able to participate more in the upward move in February (when it gained9.6%) than in the March reversal (when it lost -2.0%), thereby preservingits gains for the quarter. The Portfolio Funds’ Managers were able to limit thedamage in March by reducing leverage. and scaling back positions ininverse proportion to rising volatility in commodity markets.

 

9

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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 reachedan eighteen month 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, as investors bailed out of the commodity following the global plunge inequities. As a result of the plunge in global equity prices investors bailedout of commodities as the quarter ended and took profits in corn and soybeans,which had 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 November 2006on signs that supply may be exceeding demand as stocks piled up in warehousesmonitored 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, crude oilprices 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 itdropped 7.7 % on February 12th, its biggest one-day percentage declinesince December 26, 2006. The drop in natural gas price March deliverywas spurred by a government report that U.S. gas supplies were 19 percenthigher than 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.stocks rose the highest in more than three months. This was due to expectationsthat profits at technology companies, such as Apple Inc. and Microsoft

 

10

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Corp., would increase as new products would promptconsumers and businesses to spend more. The NASDAQ had a 2.8 percent increase,a level not seen since February 2001. However, stocks fell towards the endof the first quarter after profit reports from Intel Corp. and IBM causedconcern that analysts’ forecasts for earnings at computer-related companieswere too high. U.S. stocks had their biggest tumble since 2002 mid-quarterafter a plunge in the Chinese equity market caused by concern that a governmentcrackdown on investments with borrowed money will end a rally that drovebenchmarks to records, sparked a global drop in equity prices and raisedconcerns that investors would unload equities after a four-year bull market. OnFebruary 27th, Chinese stocks suffered their greatest loss in adecade, while the Dow Jones Stoxx 600 Index dropped 3% and the Dow JonesIndustrial Average fell as much as 546 points intraday, the most since thefirst day of trading after September 11th, 2001. The Eurostoxx 50 was thesector’s worst performer while the Nikkei 225 offset some losses as the sector’sbest performer. The quarter ended as the global sell-off that began on February 27thcaused more than $2.4 trillion in share value to 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 torise 3.9% as the U.S. dollar once again weakened and speculation increased thatthe precious metal’s decline was excessive. The London Metal Exchange limitedthe copper sector’s losses as copper prices fell 10% and 35% since reaching arecord high of 8,724 metric tons since May 2006. Copper prices declinedamid expectations 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 signaledproduction was exceeding demand and rallied on speculation that China, itslargest user, would accelerate its buying. Performance in gold and silver hadlimited losses as prices found further support as they climbed to nine-monthhighs as escalating tension over Iran’s nuclear research program increased andinvestors searched for safe-haven investments. However, as the quarter endedthe drop in price in the equity markets sent precious metals lower, reversingtheir strengthening trend.  Althoughmetals eventually 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, and the Bank of Japan followed through withno change in rates. The global bond markets reversed their weakening trendmid-quarter as the sell-off in the global equity markets fueled demand forgovernment debt.  The Japanese GovernmentBenchmark ten-year bonds added to the Partnership’s negative performance asspeculation grew that the Bank of Japan, which doubled interest rates, from .25to .50, at its February 21st meeting would pause before raising borrowingcosts any further. This prompted a move higher in the market and the rally wasfurther supported after the Nikkei 225 stock average posted its biggest declinesince June 2006.  Fixed-incomemarkets, which had rallied mid-quarter continued to strengthen as uncertaintyincreased that the drop in equities and the rising defaults among the riskiestmortgages would slow consumer spending and the global economy. Europeangovernment bonds posted their biggest back-to-back weekly decline in threemonths as European Central Bank President Jean-Claude Trichet reassuredinvestors and stated that growth was “broader and sustained” and left “no timefor complacency.”  The quarter ended asthe U.S. ten-year Treasury note surrendered the remainder of the gains it hadamassed after the equity sell-off that began on February 27thwhich 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 largesteconomies. On January 3rd, the U.S. dollar rose to its highest level insix

 

11

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months against the Euro on the news that the Institutefor Supply Management Manufacturing Index came in at a higher than expected51.4, signaling an expansion of the U.S. economy. The Japanese yen declined to122.19 per U.S. dollar, the lowest in more than four years, due to speculationthat there would be increased government pressure on policy makers not to raiseborrowing costs. The U.S. dollar had its largest fall mid-quarter against theJapanese yen in more than two months after U.S. Treasury Secretary HenryPaulson said he would be watching the Japanese currency “very carefully”. TheJapanese yen rallied against the U.S. dollar to its highest level in more than19 months amid a correction in U.S. stocks as the investors avoided emergingmarket assets, triggering an unwinding of trades betting on a decline in theJapanese currency. The Japanese yen continued to advance against the U.S.dollar and gained against all 16 of the most-active currencies during the firstweek of March, as global stocks extended a slump. The British pound, the sector’sworst performer fell to its lowest level against the Japanese yen in more thanfour months, as in one month the British pound sterling/Japanese yen impliedvolatility soared to a record high of 11.75 due to concerns of rising risk. Thequarter ended with slight gains produced by the Brazilian Real as the currency’sstrengthening trend remained intact and reached a six-year high on speculationthat the U.S. dollar flows from both financial investments and a trade surpluswould remain strong.

 

Item 3.    Quantitativeand Qualitative Disclosures About Market Risk

 

Introduction

 

ThePartnership was a speculative commodity pool through May 31, 2007.Effective June 1, 2007 the Partnership invests in Portfolio Funds that arecommodity pools.  The market sensitiveinstruments held by the Portfolio Funds are acquired for speculative tradingpurposes and all or substantially all of the Portfolio Funds’ assets aresubject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Partnership’s main line of business.

 

Marketmovements result in frequent changes in the fair market value of the PortfolioFunds’ open positions and, consequently, in their earnings and cash flow.  The Portfolio Funds’ 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 thePortfolio Funds’ open positions and the liquidity of the markets in which ittrades.

 

Value at Risk is ameasure of the maximum amount which the Portfolio Funds could reasonably be expected to lose in a givenmarket sector.  However, the inherentuncertainty of the Portfolio Funds’speculative trading and the recurrence in the markets traded by the Portfolio Funds of market movementsfar exceeding expectations could result in actual trading or non-trading lossesfar beyond the indicated Value at Risk or the Portfolio Funds’ experience to date (i.e., “risk of ruin”).  In light of the foregoing as well as therisks and uncertainties intrinsic to all future projections, the inclusion ofthe quantification in this section should not be considered to constitute anyassurance or representation that the PortfolioFunds’ losses in any market sector will be limited to Value at Risk orby the Portfolio Funds’ attemptsto manage its market risk.

 

Quantifying thePartnership’s Trading Value at Risk

 

QuantitativeForward-Looking Statements

 

Thefollowing quantitative disclosures regarding the Partnership’s market riskexposures contain “forward-looking statements” within the meaning of the safeharbor from civil liability provided for such statements by the PrivateSecurities Litigation Reform Act of 1995 (set forth in Section 27A of theSecurities Act of 1933 and Section 21E of the Securities Exchange Act of1934).  All quantitative disclosures inthis section are deemed to be forward-looking statements for purposes of thesafe harbor, except for statements of historical fact.

 

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

 

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Exchange maintenance margin requirements have been used by thePortfolio Funds as the measure of their Value at Risk.  Maintenance margin requirements are set byexchanges to equal or exceed the maximum loss in the fair value of any givencontract incurred in 95% 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 which are notexchange-traded (almost exclusively currencies in the case of the PortfolioFunds), the margin requirements for the equivalent futures positions have beenused as Value at Risk.  In those rarecases in which a futures-equivalent margin is not available, dealers’ marginshave been used.

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effects (whichwould reduce the Value at Risk estimates) resulting from the fact that thePortfolio Funds’ positions are rarely, if ever, 100% positively correlated havenot been reflected.

 

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

# ** **

The following table indicates the average, highest, and lowest tradingValue at Risk associated with the Partnership’s open positions by marketcategory for the first quarter 2008 and 2007. During the first quarter 2007,the Partnership’s average capitalization was $691,132,335.

 

**Winton CLASS D-TF (1)**

**March 31,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                           | 369,671    |                       | 0.39       | %                      | $          | 527,766               |       | $ | 272,311 |   |
| Currencies             |       | 1,105,180                   |       | 1.17                       | %          | 1,277,088              |       | 834,735               |       |
| Energy                 |       | 332,014                     |       | 0.35                       | %          | 455,913                |       | 171,594               |       |
| Interest Rates         |       | 3,145,547                   |       | 3.32                       | %          | 3,512,981              |       | 2,474,661             |       |
| Metals                 |       | 238,090                     |       | 0.25                       | %          | 324,781                |       | 182,935               |       |
| Stock Indices          |       | 129,412                     |       | 0.14                       | %          | 220,110                |       | 13,393                |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 5,319,914  |                       | 5.62       | %                      | $          | 6,318,639             |       | $ | 3,949,629 |   |

 

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(1) Averagecapitalization of Winton Class D-TF is $94,625,551

 

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**Chesapeake Class D-TF (2)**

**March 31,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural           |       | $1,734,451                  |       | 1.85                       | %          | $1,958,400             |       | $1,407,312            |       |
| Energy                 |       | 1,010,039                   |       | 1.08                       | %          | 1,468,390              |       | 698,006               |       |
| Interest Rates         |       | 4,830,842                   |       | 5.15                       | %          | 6,076,287              |       | 3,356,130             |       |
| Metals                 |       | 527,551                     |       | 0.56                       | %          | 819,290                |       | 234,108               |       |
| Stock Futures          |       | 285,975                     |       | 0.30                       | %          | 343,874                |       | 256,024               |       |
| Currencies             |       | 2,073,768                   |       | 2.21                       | %          | 2,813,145              |       | 1,210,314             |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $10,462,626                 |       | 11.15                      | %          | $13,479,386            |       | $7,161,894            |       |

 

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(2) Averagecapitalization of Chesapeake Class D-TF is $93,888,653

 

**Transtrend CLASS D-TF (3)**

**March 31,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural           |       | $                           | 241,755    |                       | 0.26       | %                      | $          | 353,589               |       | $ | 34,134 |   |
| Energy                 |       | 922,871                     |       | 0.98                       | %          | 1,559,622              |       | 10,883                |       |
| Interest Rates         |       | 3,845,050                   |       | 4.07                       | %          | 4,987,006              |       | 1,941,516             |       |
| Metals                 |       | 253,969                     |       | 0.27                       | %          | 369,281                |       | 186,787               |       |
| Currencies             |       | 1,566,522                   |       | 1.66                       | %          | 2,999,793              |       | 215,354               |       |
| Stock Indices          |       | 322,550                     |       | 0.34                       | %          | 416,085                |       | 164,348               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 7,152,717  |                       | 7.58       | %                      | $          | 10,685,376            |       | $ | 2,553,022 |   |

 

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(3) Averagecapitalization of Transtrend Class D-TF is $94,400,868

 

**Aspect CLASS D-TF (4)**

**March 31,2008**

 
| ** **             | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| Agricultural           |       | $                           | 522,926    |                       | 0.55       | %                      | $          | 1,113,062             |       | $ | 146,850 |   |
| Currencies             |       | 1,744,013                   |       | 1.84                       | %          | 3,115,683              |       | 900,856               |       |
| Energy                 |       | 788,937                     |       | 0.83                       | %          | 1,536,907              |       | 290,892               |       |
| Interest Rates         |       | 4,342,010                   |       | 4.59                       | %          | 6,330,196              |       | 2,813,877             |       |
| Metals                 |       | 330,343                     |       | 0.35                       | %          | 705,826                |       | 48,230                |       |
| Stock Indices          |       | 744,673                     |       | 0.79                       | %          | 1,317,015              |       | 260,899               |       |
|                   |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                  |       | $                           | 8,472,902  |                       | 8.95       | %                      | $          | 14,118,689            |       | $ | 4,461,604 |   |

 

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(4) Averagecapitalization of Aspect Class D-TF is $94,625,582

 

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**March 31,2007**

 
| ** **                | ** ** | **Average**                 | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|---------------------------|------------|-----------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector**    | ** ** | **Value at Risk** | ** ** | **Capitalization**         | ** ** | **At Risk**       | ** ** | **At Risk**      | ** ** |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| Interest Rates            |       | $                           | 24,488,205 |                       | 3.54       | %                      | $          | 40,236,772            |       | $ | 16,609,271 |   |
| Currencies                |       | 18,648,390                  |       | 2.70                       | %          | 41,611,185             |       | 4,105,557             |       |
| Stock Indices             |       | 5,982,017                   |       | 0.87                       | %          | 14,311,887             |       | 764,235               |       |
| Energy                    |       | 3,952,621                   |       | 0.57                       | %          | 9,247,845              |       | 965,387               |       |
| Metals                    |       | 3,100,755                   |       | 0.45                       | %          | 5,072,344              |       | 550,447               |       |
| Agricultural  Commodities |       | 1,484,344                   |       | 0.21                       | %          | 2,841,904              |       | 136,329               |       |
|                      |       |                        |       |                       |       |                   |       |                  |       |
| TOTAL                     |       | $                           | 57,656,332 |                       | 8.34       | %                      | $          | 113,321,937           |       | $ | 23,131,226 |   |

 

Material Limitations onValue at Risk as an Assessment of Market Risk

 

The face value of the marketsector instruments held by the Portfolio Funds are 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 Portfolio Funds.  The magnitude of the Portfolio Funds openpositions’ creates a “risk of ruin” not typically found in most otherinvestment vehicles.  Because of the sizeof its positions, certain market conditions — unusual, but historicallyrecurring from time to time — could cause the Portfolio Funds to incur severelosses over a short period of time.   Theforegoing Value at Risk table — as well as the past performance of thePortfolio Funds — gives no indication of this “risk of ruin.”

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Partnership’s market riskexposures through the Portfolio Funds after the change in structure— except for(i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Partnership manages its primary market risk exposures —constitute forward-looking statements within the meaning of Section 27A ofthe Securities Act and Section 21E of the Securities Exchange Act.  The Partnership’s primary market riskexposures as well as the strategies used and to be used by MLAI and the tradingadvisors of the Portfolio Funds for managing such exposures are subject tonumerous uncertainties, contingencies and risks, any one of which could causethe actual results of the risk controls for the Partnership and for the tradingconducted through  Portfolio Funds todiffer materially from the objectives of such strategies.  Government interventions, defaults andexpropriations, illiquid markets, the emergence of dominant fundamentalfactors, political upheavals, changes in historical price relationships, aninflux of new market participants, increased regulation and many other factorscould result in material losses as well as in material changes to the riskexposures and the risk management strategies of the Partnership.  There can be no assurance that thePartnership’s risk management strategies will not change materially or that anysuch strategies will be effective in either the short- or long-term.  Investors must be prepared to lose all orsubstantially all of the value of their investment in the Partnership.

 

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Item4. Control and Procedures

 

MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of thePartnership, have evaluated the effectiveness of the design and operation ofthe disclosure controls and procedures with respect to the Partnership as ofand for the quarter which ended March 31, 2008, and, based on thisevaluation, have concluded that these disclosure controls and procedures areeffective. Additionally, there were no significant changes in the Partnership’sinternal controls over financial reporting which materially affect suchinternal controls.

 

*Changes in Internal Controls over Financial Reporting*

 

Nochange in internal controls over financial reporting (as defined in Rule 13a-15(f) underthe Exchange Act ) occurred during the quarter which ended March 31, 2008that has materially affected, or is reasonable likely to materially affect, thePartnership’s internal controls, over financial reporting.

 

*Management’s Report on Internal Control over FinancialReporting:*

 

ThePartnership’s management is responsible for establishing and maintainingadequate internal controls over financial reporting.  The Partnership’sinternal controls over financial reporting is a process designed under thesupervision of MLAI’s Chief Executive Officer and the Chief Financial Officer,on behalf of the Partnership and is effected by management, other personnel andservice providers to provide reasonable assurance regarding the reliability offinancial reporting and the preparation of financial statements for externalpurposes in accordance with U.S. GAAP include policies and procedures that:

 

·  Pertainto the maintenance of records that in reasonable detail accurately and fairlyreflect the transactions and dispositions of the assets of the Partnership.

 

·  Providereasonable assurance that transactions are recorded as necessary to permitpreparation of financial statements in accordance with U.S. GAAP and that receipts and expenditures of the Partnership are being made only in accordancewith authorizations of management of the Partnership and Board of Managers ofMLAI LLC.

 

·   Providereasonable assurance regarding prevention or timely detection of unauthorizedacquisitions, use or disposition of the Partnership’s assets that could have amaterial effect on the financial statements of the Partnership.

 

Becauseof its inherent limitations, internal controls over financial reporting canonly provide reasonable assurance with respect to financial statementpreparation and presentation.  Projections of any evaluation ofeffectiveness to future periods are subject to the risks that controls maybecome inadequate because of changes in condition, or that the degree ofcompliance with the policies or procedures may deteriorate.

 

ThePartnership’s management assessed the effectiveness of the Partnership’sinternal controls over financial reporting as March 31, 2008.  Inmaking this assessment, management used the criteria set forth by the Committeeof Sponsoring Organizations of the Treadway Commission (COSO) in “InternalControl-Integrated Framework”.

 

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Basedon its assessment the Partnership’s management concluded that at March 31,2008 the Partnership’s internal controls over financial reporting waseffective.

 

PART II - OTHER INFORMATION

 

Item 1.    Legal Proceedings

 

None.

 

Item 1A:    Risk Factors

 

## ***PastPerformance Not Necessarily Indicative of Future Results***

## *** ***

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

 

## ***VolatileMarkets; Highly Leveraged Trading***

## *** ***

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

 

## ***Importanceof General Market Conditions***

## *** ***

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

 

## ***ForwardTrading***

## *** ***

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

 

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## ***IncreasedAssets Under Management***

## *** ***

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

 

## ***TradingAdvisors Risk***

## *** ***

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

 

## ***Changes inTrading Strategy***

## *** ***

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

 

## ***IlliquidMarkets***

## *** ***

Certain positions held by the Portfolio Fundsmay become illiquid, preventing the Portfolio Funds’ trading advisors fromacquiring positions otherwise indicated by their strategy or making itimpossible for the trading advisors to close out positions against which themarket is moving.

 

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

 

## ***Trading onNon-U.S. Exchanges***

## *** ***

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

 

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

 

ThePortfolio Funds Could Lose Assets and Have Its Trading Disrupted Due to theBankruptcy of One of the Parties

 

The Portfolio Funds aresubject to the risk of insolvency of a counterparty, an exchange, aclearinghouse or MLPF&S. Portfolio Funds’ assets could be lost or impoundedduring lengthy bankruptcy proceedings. Were a substantial portion of the Portfolio Funds’ capital tied up in abankruptcy, MLAI might suspend or limit trading, perhaps causing the PortfolioFunds to miss significant profit opportunities. There are 

 

18

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increased risks in dealingwith unregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

Item 2.                    UnregisteredSales of Securities and Use of Proceeds

 

(a)           Issuance to accreditedinvestors pursuant to Regulation D and Section 4(6) under theSecurities Act.  The selling agent of thefollowing Class of Units was MLPF&S

 

During the first quarterof 2008 the fund issued Units as set forth in the following chart:

 

CLASSD

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | 35,636           |       | 217        |       | 164.22 |   |
| Feb-08     |       | 112,633          |       | 669        |       | 168.36 |   |
| Mar-08     |       | 275,922          |       | 1,496      |       | 184.45 |   |
| Apr-08     |       | 342,190          |       | 1,900      |       | 180.10 |   |

 

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(1) Beginningof the month Net Asset Value

 

(b) None.

(c) None.

 

19

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Item 3.                    Defaults UponSenior Securities

 

None.

 

Item 4.                    Submission ofMatters to a Vote of Security Holders

 

None.

 

Item 5.                    Other Information

 

SeeNote 1 in the Notes to Financial Statements

 

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              | Rule 13a-14(a)/15d-14(a) Certifications |
|--------------------|---------------------------------------------------|
|               |                                              |
| Exhibit 31.01 |                                              |
| and 31.02          | Are filed herewith.                               |
|               |                                              |
| 32.01 and          |                                              |
| 32.02              | Section 1350  Certifications                 |
|               |                                              |
| Exhibit 32.01 |                                              |
| and 32.02          | Are filed herewith.                               |

 

20

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**SIGNATURES**

 

 

Pursuant to the requirements of the SecuritiesExchange Act of 1934, the registrant has duly caused this report to be signedon its behalf by the undersigned thereunto duly authorized.

 

 
|                     | ML TREND-FOLLOWING  FUTURES FUND L.P. |
|--------------------------|---------------------------------------|
|                     |                                  |   |
|                     |                                  | By: MERRILL LYNCH  ALTERNATIVE |
| ** **               | ** **                            | **        INVESTMENTS  LLC** |
|                     |                                  |           (General Partner) |
|                     |                                  |   |
|                     |                                  |   |
| Date:  May 14, 2008 | By                                    | /s/ PAUL MORTON |
|                     |                                  | Paul  Morton |
|                     |                                  | Chief Executive Officer  and President |
|                     |                                  | (Principal Executive  Officer) |
|                     |                                  |   |
|                     |                                  |   |
| Date: May 14, 2008  | By                                    | /s/ BARBRA E. KOCSIS |
|                     |                                  | Barbra E. Kocsis |
|                     |                                  | Chief Financial Officer |
|                     |                                  | (Principal Financial and Accounting Officer) |

 

21

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