**UNITEDSTATES**

**SECURITIESAND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

** **

**FORM 10-Q**

** **

**(MarkOne)**

 
| **x**                                                   | **QUARTERLY REPORT PURSUANT TO SECTION 13 OR  15(d) OF THE SECURITIES EXCHANGE ACT OF 1934**      |
|---------------------------------------------------------|-------------------------------------------------------------------------------------------------------------|
|                                                    |                                                                                                        |
| **For the quarterly period ended March 31,  2009** |
| ** **                                              | ** **                                                                                                  |
| **OR**                                                  |
|                                                    |                                                                                                        |
| **o**                                                   | **TRANSITION REPORT PURSUANT TO  SECTION 13 OR 15(d) OF THE SECURITIES****EXCHANGE  ACT OF 1934** |

 

**For the transition period from                to                **

 

**Commission File Number 0-28928**

 

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

(Exact Name of Registrant as

specified in its charter)

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

 

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

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

**New York, New York 10281**

(Address of principalexecutive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephonenumber, including area code)

 

Indicate by check markwhether the registrant (1) has filed all reports required to be filed by Section 13or 15(d) of the Securities Exchange Act of 1934 during the preceding 12months (or for such shorter period that the registrant was required to filesuch reports), and (2) has been subject to such filing requirements forthe past 90 days.  Yes x  No o

 

Indicate by check markwhether the Registrant has submitted electronically and posted on its corporateWeb site, if any, an Interactive Data File required to be submitted and postedpursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) duringthe preceding 12 months (or for such shorter period that the Registrant wasrequired to submit and post such files). Yes   o  No  o

 

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

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

 

Indicate by check markwhether the registrant is a shell company (as defined by Rule 12b-2 of theExchange Act). Yes  o  No  x

 

The limited partnershipunits of the registrant are not publicly traded. Accordingly, there is noaggregate market value for registrant’s outstanding equity that is readilydeterminable.

 

As of March 31, 2009,1,668,296 units of membership were outstanding.

 

 

 

----

 

**ML TREND-FOLLOWINGFUTURES FUND L.P.**

 

QUARTERLYREPORT FOR MARCH 31, 2009 ON FORM 10-Q

 
|         |                                                                                        |   | **PAGE** |
|--------------|---------------------------------------------------------------------------------------------|--------|----------|
|         |                                                                                        |   |
| PART I  |                                                                                        |   |
|         |                                                                                        |   |
| Item 1.      | Financial  Statements                                                                       |   | 2        |
|         |                                                                                        |   |     |
| Item 2.      | Management’s  Discussion and Analysis of Financial Condition and Results of Operations |   | 11       |
|         |                                                                                        |   |     |
| Item 3.      | Quantitative  and Qualitative Disclosures About Market Risk                                 |   | 14       |
|         |                                                                                        |   |     |
| Item 4.      | Controls and  Procedures                                                                    |   | 19       |
|         |                                                                                        |   |     |
| PART II |                                                                                        |   |
|         |                                                                                        |   |     |
| Item 1.      | Legal  Proceedings                                                                          |   | 20       |
|         |                                                                                        |   |     |
| Item 1A.     | Risk Factor                                                                                 |   | 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                                                                                    |   | 21       |

 

----

 

PART I -FINANCIAL INFORMATION

 

Item 1.    Financial Statements

 

MLTREND-FOLLOWING FUTURES FUND L.P.

(a DelawareLimited Partnership)

 

STATEMENTS OFFINANCIAL CONDITION

(unaudited)

 
| ** **                                                                              | ** ** | **March 31,** | ** **  | **December 31,** | ** ** |
|-----------------------------------------------------------------------------------------|------------|---------------|-------------|------------------|------------|
| ** **                                                                              | ** ** | **2009**      | ** **  | **2008**         | ** ** |
|                                                                                    |       |          |        |             |       |
| **ASSETS:**                                                                             |       |          |        |             |       |
| Cash                                                                                    |       | $             | 111,468     |             | $          | 251,804 |   |
| Investments in Portfolio Funds (cost $249,241,452  for 2009 and $264,645,269 for 2008.) |       | 323,871,811   |        | 353,161,083      |       |
| Due from Portfolio Funds                                                                |       | 8,116,577     |        | 11,064,145       |       |
| **TOTAL ASSETS**                                                                        |       | $             | 332,099,856 |             | $          | 364,477,032 |   |
|                                                                                    |       |          |        |             |       |
| **LIABILITIES AND PARTNERS’ CAPITAL**                                              |       |          |        |             |       |
| **LIABILITIES:**                                                                        |       |          |        |             |       |
| Wrap fee payable                                                                        |       | $             | 1,106,449   |             | $          | 1,213,435 |   |
| Redemptions payable                                                                     |       | 7,751,633     |        | 11,138,285       |       |
| Other                                                                                   |       | 169,918       |        | 250,804          |       |
|                                                                                    |       |          |        |             |       |
| Total liabilities                                                                       |       | 9,028,000     |        | 12,602,524       |       |
|                                                                                    |       |          |        |             |       |
| **PARTNERS’ CAPITAL:**                                                             |       |          |        |             |       |
| General Partner (41,734 Units and 41,734  Units)                                        |       | 8,076,173     |        | 8,313,413        |       |
| Limited Partners (1,626,562 Units and  1,724,666 Units)                                 |       | 314,995,683   |        | 343,561,095      |       |
|                                                                                    |       |          |        |             |       |
| Total partners’ capital                                                            |       | 323,071,856   |        | 351,874,508      |       |
|                                                                                    |       |          |        |             |       |
| **TOTAL LIABILITIES AND PARTNERS’ CAPITAL:**                                       |       | $             | 332,099,856 |             | $          | 364,477,032 |   |
|                                                                                    |       |          |        |             |       |
| **NET ASSET VALUE PER UNIT**                                                            |       |          |        |             |       |
| (Based on 1,668,296 and 1,766,400 Units  outstanding,unlimited Units authorized)        |       | $             | 193.8905    |             | $          | 199.2043 |   |

 

See accompanying notes to financialstatements.

 

2

----

 

MLTREND-FOLLOWING FUTURES FUND L.P.

(a DelawareLimited Partnership)

STATEMENTS OFOPERATIONS

(unaudited)

 
| ** **                                                                        | ** ** | **For the three** | ** ** | **For the three** | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------------|------------|-------------------|------------|
| ** **                                                                        | ** ** | **months ended**  | ** ** | **months ended**  | ** ** |
| ** **                                                                        | ** ** | **March 31,**     | ** ** | **March 31,**     | ** ** |
| ** **                                                                        | ** ** | **2009**          | ** ** | **2008**          | ** ** |
| **TRADING PROFIT (LOSS):**                                                        |       |              |       |              |       |
| Realized                                                                          |       | $                 | (7,916,653 | )                 | $          | 4,666,960 |   |
| Change in unrealized, net                                                         |       | 13,885,456        |       | 35,041,137        |       |
| Total trading profit (loss)                                                       |       | (5,968,803        | )          | 39,708,097        |       |
|                                                                              |       |              |       |              |       |
| **INVESTMENT INCOME:**                                                            |       |              |       |              |       |
| Interest                                                                          |       | 2,388             |       | 2,345             |       |
|                                                                              |       |              |       |              |       |
| **EXPENSES:**                                                                     |       |              |       |              |       |
| Wrap Fees                                                                         |       | 3,449,197         |       | 3,915,244         |       |
| Other Expenses                                                                    |       | 62,500            |       | 343,750           |       |
| Total expenses                                                                    |       | 3,511,697         |       | 4,258,994         |       |
|                                                                              |       |              |       |              |       |
| **NET INVESTMENT (INCOME) LOSS**                                                  |       | (3,509,309        | )          | (4,256,649        | )          |
|                                                                              |       |              |       |              |       |
| **NET PROFIT (LOSS)**                                                             |       | $                 | (9,478,111 | )                 | $          | 35,451,448 |   |
|                                                                              |       |              |       |              |       |
| **NET PROFIT (LOSS) PER UNIT:**                                                   |       |              |       |              |       |
| Weighted average number of General Partner  and Limited Partner Units outstanding |       | $                 | 1,741,129  |              | 2,197,950  |   |
|                                                                              |       |              |       |              |       |
| Net proftit (loss) per weighted  averageGeneral Partner and Limited Partner Unit  |       | $                 | (5.44      | )                 | $          | 16.13 |   |

 

See accompanying notes to financialstatements.

 

3

----

 

MLTREND-FOLLOWING FUTURES FUND L.P.

(a DelawareLimited Partnership)

 

STATEMENTS OFCHANGES IN PARTNERS’ CAPITAL

For the threemonths ended March 31, 2009 and 2008

(unaudited)

 

 
| ** **                                | ** ** | **Units** | ** ** | **General   Partner** | ** ** | **Limited   Partners** | ** ** | **Total**   | ** ** |
|-------------------------------------------|------------|-----------|------------|-----------------------|------------|------------------------|------------|-------------|------------|
| 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 Profit (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 |   |
|                                      |       |      |       |                  |       |                   |       |        |       |
| PARTNERS’  CAPITAL,December 31, 2008 |       | 1,766,400 |       | 8,313,413             |       | 343,561,095            |       | 351,874,508 |       |
|                                      |       |      |       |                  |       |                   |       |        |       |
| Subscriptions                             |       | 15,988    |       | —                |       | 3,185,216              |       | 3,185,216   |       |
|                                      |       |      |       |                  |       |                   |       |        |       |
| Net Profit (Loss)                         |       | —    |       | (237,240              | )          | (9,240,871             | )          | (9,478,111  | )          |
|                                      |       |      |       |                  |       |                   |       |        |       |
| Redemptions                               |       | (114,092  | )          | —                |       | (22,509,757            | )          | (22,509,757 | )          |
|                                      |       |      |       |                  |       |                   |       |        |       |
| PARTNERS’ CAPITAL, March 31, 2009    |       | 1,668,296 |       | $                     | 8,076,173  |                   | $          | 314,995,683 |       | $ | 323,071,856 |   |

 

See accompanying notes to financial statements.

 

4

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MLTREND-FOLLOWING FUTURES FUND L.P.

(a DelawareLimited Partnership)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.               SUMMARYOF SIGNIFICANT ACCOUNTING 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 underlyingFuturesAccess Funds (each a “Portfolio Fund” and collectively the “PortfolioFunds”) (See Note 2).

 

In the opinionof management, these interim financial statements contain all adjustmentsnecessary to present fairly the financial position of the Partnership as of March 31,2009 and the results of its operations for the three months ended March 31,2009 and 2008. 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 itsname to ML Trend-Following Futures Fund L.P.

 

·                  The Partnership’s assetswere reinvested in MLAI-sponsored Portfolio Funds: ML Aspect FuturesAccess LLC(“Aspect”), ML Chesapeake FuturesAccess LLC (“Chesapeake”), ML Transtrend DTPEnhanced FuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC(“Winton”). These Portfolio Funds employ a variety of systematic models with anemphasis on a style of investment commonly referred to as “diversified trendfollowing” and the Partnership no longer utilizes the services of John W. Henry &Company, Inc. as the commodity trading advisor.

 

·                  On May 7, 2007, thePartnership was deregistered under the Securities Act of 1933, as amended, butretained its registration under the Securities Act of 1934, as amended (the“Act”).

 

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

 

OnSeptember 15, 2008, Merrill Lynch & Co., Inc. (“MerrillLynch” or the “Company”) entered into an Agreement and Plan of Merger (asamended by Amendment No. 1 dated as of October 21, 2008, the “MergerAgreement”) with Bank of America Corporation (“Bank of America”). Pursuant tothe Merger Agreement, on January 1, 2009, a wholly-owned subsidiary ofBank of America (“Merger Sub”) merged with and into Merrill Lynch, with MerrillLynch continuing as the surviving corporation and a subsidiary of Bank ofAmerica (the “Merger”).

 

5

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Certaininformation and footnote disclosures normally included in annual financialstatements prepared in conformity with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted. Thesefinancial statements should be read in conjunction with the financialstatements and notes thereto included in the Partnership’s and three of thePortfolio Funds’ Annual Reports on Form 10-K filed with the Securities andExchange Commission for the year ended December 31, 2008. For the otherPortfolio Fund, Chesapeake, the selected financial information has beenprovided below. Certain prior period items have been reclassified to conform tothe current period presentation.

 

Thepreparation of financial statements in conformity with U.S. GAAP requiresmanagement to make estimates and assumptions that affect the reported amountsof assets and liabilities and disclosure of contingent assets and liabilitiesat the date of the financial statements and the reported amounts of revenuesand expenses during the reporting period. Actual results could differ from those estimates.

 

2.               INVESTMENTS IN PORTFOLIO FUNDS

 

The Partnership’s assets areinvested in Winton, Aspect, Transtrend and Chesapeake.

 

MLAI may, inits 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.   The investment in portfolio funds at March 31,2009 snd December 31, 2008 are as follows:

 
| ** ** | ** ** | **% of Partnership’s Capital @3/31/09** | ** ** | **% of Partnership's  Capital @12/31/08** | ** ** | **Fair Value @  3/31/09** | ** **  | **Fair Value @  12/31/08** | ** ** | **Cost @ 3/31/09** | ** ** | **Cost @ 12/31/08** | ** **  |
|------------|------------|----------------------------------------------|------------|-------------------------------------------|------------|---------------------------|-------------|----------------------------|------------|--------------------|------------|---------------------|-------------|
|       |       |                                         |       |                                      |       |                      |        |                       |       |               |       |                |        |
| Winton     |       | 25.06                                        | %          | 25.09                                     | %          | $                         | 80,967,484  |                       | $          | 88,290,271         |       | 59,483,734          |        | 64,048,216 |   |
| Aspect     |       | 25.06                                        | %          | 25.09                                     | %          | 80,967,323                |        | 88,290,270                 |       | 60,791,432         |       | 65,018,330          |        |
| Transtrend |       | 25.06                                        | %          | 25.09                                     | %          | 80,966,854                |        | 88,290,271                 |       | 56,756,022         |       | 57,629,808          |        |
| Chesapeake |       | 25.06                                        | %          | 25.09                                     | %          | 80,970,150                |        | 88,290,271                 |       | 72,210,264         |       | 77,948,915          |        |
|       |       |                                         |       |                                      |       |                      |        |                       |       |               |       |                |        |
| Total      |       |                                         |       |                                      |       | $                         | 323,871,811 |                       | $          | 353,161,083        |       | $                   | 249,241,452 |   | $ | 264,645,269 |   |
|            |            |                                              |            |                                           |            |                           |             |                            |            |                    |            |                     |             |  |  |  |  |

 

Theseinvestments are recorded at fair value which is consistent with equity methodaccounting, In accordance with Regulation S-X, the following is summarizedfinancial information for the Portfolio Funds:

 
| ** ** | ** ** | **March 31,2009** | ** ** | ** ** | ** ** |
|------------|------------|-------------------|------------|------------|------------|
| ** ** | ** ** | **Total Assets**  | ** ** | ** ** | ** ** | **Total Liabilities** | ** ** | **Total Capital** | ** ** |
| Winton     |       | 810,950,327       |       |       |       | 20,819,087 |   | 790,131,240 |   |
| Aspect     |       | 309,564,000       |       |       |       | 9,109,778 |   | 300,454,522 |   |
| Transtrend |       | 217,058,520       |       |       |       | 1,714,010 |   | 215,344,510 |   |
| Chesapeake |       | 159,329,233       |       |       |       | 3,514,347 |   | 155,814,886 |   |
|       |       |              |       |       |       |   |   |   |   |
| Total      |       | 1,496,902,080     |       |       |       | 35,157,222 |   | 1,461,745,158 |   |

 
| ** ** | ** ** | **December 31, 2008** |       |       |       |
|------------|------------|-----------------------|------------|------------|------------|
| ** ** | ** ** | **Total Assets**      | ** ** | ** ** | ** ** | **Total Liabilities** | ** ** | **Total Capital** |   |
| Winton     |       | 864,513,961           |       |       |       | 60,525,401 |   | 803,988,560 |   |
| Aspect     |       | 346,419,209           |       |       |       | 25,985,403 |   | 320,433,806 |   |
| Transtrend |       | 234,472,658           |       |       |       | 17,137,534 |   | 217,335,124 |   |
| Chesapeake |       | 165,463,537           |       |       |       | 6,426,196 |   | 159,037,341 |   |
|       |       |                  |       |       |       |   |   |   |   |
|       |       | 1,610,869,365         |       |       |       | 110,074,534 |   | 1,500,794,831 |   |

 
| ** ** | ** ** | **March 31,2009** | ** ** | ** ** |       | **Net**         |       |
|------------|------------|-------------------|------------|------------|------------|-----------------|------------|
| ** ** | ** ** | **Income (Loss)** | ** ** | ** ** | ** ** | **Commissions** | ** ** | **Other** | ** ** | **Income  (Loss)** |   |
| Winton     |       | (660,917          | )          |       |       | (18,963         | )          | (355,887 | ) | (1,035,767 |   |
| Aspect     |       | (1,145,409        | )          |       |       | (26,024         | )          | (362,568 | ) | (1,534,001 |   |
| Transtrend |       | (2,008,489        | )          |       |       | (74,392         | )          | (265,398 | ) | (2,348,279 |   |
| Chesapeake |       | (765,267          | )          |       |       | (12,653         | )          | (265,131 | ) | (1,043,051 |   |
|       |       |              |       |       |       |            |       |   |   |   |   |
| Total      |       | (4,580,082)       |       |       |       | (132,032        | )          | (1,248,984 | ) | (5,961,098 | ) |

 
| ** ** | ** ** | **March  31,2008** | ** ** | ** ** |       | **Net**         |       |
|------------|------------|--------------------|------------|------------|------------|-----------------|------------|
| ** ** | ** ** | **Income (Loss)**  | ** ** | ** ** | ** ** | **Commissions** | ** ** | **Other** | ** ** | **Income  (Loss)** |   |
| Winton     |       | 12,638,013         |       |       |       | (52,497         | )          | (2,145,547 | ) | 10,439,969 |   |
| Aspect     |       | 13,630,452         |       |       |       | (66,791         | )          | (2,306,039 | ) | 11,257,622 |   |
| Transtrend |       | 9,207,129          |       |       |       | (110,706        | )          | (2,226,456 | ) | 6,869,967 |   |
| Chesapeake |       | 12,664,578         |       |       |       | (64,055         | )          | (279,304 | ) | 12,321,219 |   |
|       |       |               |       |       |       |            |       |   |   |   |   |
| Total      |       | 48,140,172         |       |       |       | (294,049        | )          | (6,957,346 | ) | 40,888,777 |   |

 

6

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3.         FAIR VALUE OF INVESTMENTS

 

In September 2006, the Financial Accounting Standards Board(“FASB”) issued Statement of Financial Accounting Standards No. 157, FairValue Measurement (“FAS 157”). FAS 157 defines fair value, establishes aframework for measuring fair value and expands disclosures about fair valuemeasurements. The Partnership adopted FAS 157 as of January 1, 2008. Theadoption of FAS 157 did not have a material impact on the Partnership’s financialstatements.

 

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

 

FAS 157 established a hierarchal disclosure framework which prioritizesand ranks the level of market price observability used in measuring investmentsat fair value. Market price observability is impacted by a number of factors,including the type of investment and the characteristics specific to theinvestment. Investments with readily available active quoted prices or forwhich fair value can be measured from actively quoted prices generally willhave a higher degree of market price observability and a lesser degree ofjudgment used in measuring fair value.

 

Investments measured and reported at fair value are classified anddisclosed in one of the following categories:

 

Level I — Quoted prices are available in active markets for identicalinvestments as of the reporting date. The type of investments included in LevelI are publicly traded investments.

 

Level II — Pricing inputs are other than quoted prices in activemarkets, which are either directly or indirectly observable as of the reportingdate, and fair value is determined through the use of generally accepted andunderstood models or other valuation methodologies. Investments which aregenerally included in this category are investments valued using market data.

 

Level III — Pricing inputs are unobservable including the Partnership’sown assumptions in determining the fair value of investments.

 

In certain cases, the inputs used to measurefair value may fall into different levels of the fair value hierarchy. In suchcases, an investment’s level within the fair value hierarchy is based on the lowestlevel of input that is significant to the fair value measurement. The Sponsor’sassessment of the significance of a particular input to the fair valuemeasurement in its entirety requires judgment, and considers factors specificto the investment.

 

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

 

Investments in other investment companies are valuedusing the net asset value reported by the investment company. These net assetvalues are the prices used to execute trades with these investment companies.If appropriate, adjustments to the reported net asset value may be made basedon various factors, including, but not limited to, the attributes of theinterest held, including the rights and obligations, and any restrictions or illiquidity.

 

7

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Although there are monthly transactions in theseinvestment company interests, the NAV’s are materially based on portfolios ofLevel I and Level II assets and liabilities for which the Fund hastransparency. As such, the Fund determined that its investments in theseinvestment companies in this case, would be classified as Level II.

 

The following table summarizes the valuationof the Partnership’s investments by the above FAS 157 fair value hierarchylevels as of December 31, 2008 and March 31, 2009:

 
| ** **                     | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|--------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
| Investments in Portfolio Funds |       |      |        |        |       |         |       |          |       |
| 12/31/08                       |       | $         | 353,161,083 |        | N/A        |         | $          | 353,161,083   |       | N/A |   |
| 03/31/08                       |       | $         | 323,873,811 |        | N/A        |         | $          | 323,873,811   |       | N/A |   |

 

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

 

4.               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 below. The followingsummarizes some 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.

 

8

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Credit Risk

 

The risks associated with exchange-tradedcontracts are typically perceived to be less than those associated withover-the-counter (non-exchange-traded) transactions, because exchangestypically (but not universally) provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-counter transactions,on the other hand, traders must rely solely on the credit of their respectiveindividual counterparties.  Margins,which may be subject to loss in the event of a default, are generally requiredin exchange trading, and counterparties may also require margin in theover-the-counter markets.

 

The credit risk associated with theseinstruments from counterparty nonperformance is the Net unrealized profit, ifany, included in the PortfolioFunds’ Statements of Financial Condition. The Portfolio Funds attempt to mitigate this risk by dealingexclusively with Merrill Lynch entities as clearing brokers.

 

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

 

Concentration Risk

 

ThePartnership’s investments in the Portfolio Funds are subject to the market andcredit risk of the Portfolio Funds. Because the majority of the Partnership’scapital is invested in the Portfolio Funds, any changes in the marketconditions that would adversely affect the Portfolio Funds could significantlyimpact the solvency of the Partnership.

 

9

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5.     RECENTACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources of accountingprinciples and the framework for selecting the accounting principles used inpreparing financial statements of nongovernmental entities that are presentedin conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy is provided in theAmerican Institute of Certified Public Accountants U.S. Auditing Standards(“AU”) Section 411, “*The Meaning of PresentFairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Partnership does not expect the adoption of FAS 162 to have an impact onits financial statements.

 

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

 

10

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Item 2: Management’s Discussion and Analysis of Financial Condition and Resultsof Operations

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|
| 2008       |       | $        | 168.36     |     | $          | 184.45   |       | $ | 180.10 |   |
| 2009       |       | $        | 199.54     |     | $          | 199.02   |       | $ | 193.65 |   |

 

Liquidity and Capital Resources

 

The Partnership does not engage in the sale of goodsor services.  The Partnership’s assetsare its (i) investment in Funds and (ii) Cash.  Because of the low margin deposits normallyrequired in commodity futures trading relatively small price movements mayresult in substantial losses to the Partnership.  While substantial losses could lead to amaterial decrease in liquidity, no such material losses occurred during thefirst quarter of 2009.

 

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

 

For the three months ended March 31, 2009, partnershipcapital decreased 8.19% from $351,874,508 to $323,071,856.  This decrease was attributable to the netloss from operations of $9,478,111, coupled with the redemption of 114,092Redeemable Units of Limited Partnership Interest resulting in an outflow of$22,509,757.  The cash outflow was offsetwith cash inflow of $3,185,217 due to subscription of 15,988 units.    Future redemptions could impact the amountof funds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

 

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

 

Statement of Cash Flows

 

The Partnership has elected not to provide aStatement of Cash Flows as permitted by Statement of Financial AccountingStandards No. 102 “Statement of Cash Flows-Exemption of CertainEnterprises and Classification of Cash Flows from Certain Securities Acquiredfor Resale” (“FAS 102”).

 

Fair Value Measurements

 

The Partnership adopted Statement of FinancialAccounting Standards No. 157, *Fair Value Measurements*(“SFAS 157”) as of January 1, 2008 which defines fair value as the pricethat would be received to sell an asset or paid to transfer a liability in anorderly transaction between market participants at the measurement date.  The Partnership did not apply the deferralallowed by FASB Staff Positions No. FAS 157-2, for nonfinancial assets andnonfinancial liabilities measured at fair value on a nonrecurring basis. Formore information on our treatment of fair value see Note 3, Fair Value ofInvestments.

 

11

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Investments in other investment companies are valuedusing the net asset value reported by the investment company. If appropriate,adjustments to the reported net asset value may be made based on variousfactors, including, but not limited to, the attributes of the interest held,including the rights and obligations, and any restrictions or illiquidity.

 

Income Taxes

 

Income taxes have not been provided as each partneris individually liable for the taxes, if any, on their share of thePartnership’s income and expenses and Partners’ Capital.

 

In 2007, the Partnership adopted FASB interpretationNo. 48 “Accounting for Uncertainty in income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertaintax positions should be recognized, measured, presented and disclosed in thefinancial statements.  FIN 48 requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Partnership’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the partnership level not deemed to meet the “more-likely-than-not”threshold would be recorded as a tax benefit or expense in the currentyear.  The General Partner has concludedthat the adoption of FIN 48 had no impact on the operations of the Partnershipfor the period ended March 31, 2009 and that no provision for income taxis required in the Partnership’s financial statements.

 

Resultsof Operations

 

January 1,2009 to March 31, 2009

 

During the first quarter of 2009, the Partnership’s Net Asset Value perRedeemable Unit decreased 2.67% from $199.20 to $193.89 as compared to anincrease of 9.67% in the same period of 2008. The Partnership experienced a net trading loss before brokeragecommissions and related fees in the first quarter of 2009 of $5,968,803.

 

The performances of thePortfolio Funds were mixed at the beginning of the quarter which reflected thechoppy markets and diversification of the Portfolio Fund’s approach to trading.The Partnership profited from falling equities, with long-term Portfolio Fundsmanagers capturing more of the move. The Partnership also profited from acontinuous down-trend in commodities. Largest losses were suffered in fixedincome positions as U.S. Treasury yields rallied and other global bondsshadowed the move.

 

Time horizon focus did notseem to be a driver of returns, while asset allocation played a moresignificant role in the middle of the quarter. Most of the Portfolio Funds hadsmall net short exposures to equity markets posting profits for thePartnership. In addition, the Portfolio Funds that had long positions in theU.S. dollar against various currencies also posted profits for the Partnership.The Portfolio Funds that had long positions in the Japanese yen vs. the U.S.dollar was detrimental as the Japanese yen ended the month down significantlyrelative to the U.S. dollar. Fixed income markets experienced volatile swingsin February and most of the Portfolio Funds ended with losses being postedfor the Partnership.

 

12

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The Partnership postedlosses at the end of the quarter. At the start of March, the Portfolio Fundswere positioned long in the fixed income markets. Most Portfolio Funds keptthis positioning throughout the month and benefited from falling yieldsresulting in profits posted for the Partnership. This was the only sectorcontributing to profits for the Partnership. All other sectors had negativeattribution for the month as a result of significant reversals in many markets.During March, equity markets rallied, following some positive corporate news inthe first week. When the U.S. Federal Reserve announced the start ofquantitative easing midmonth, the U.S. dollar began losing value against mostmajor currencies along with commodity markets which are negatively correlated withthe U.S. dollar and risk aversion, moved up. The Portfolio Funds are medium tolong term trend followers and were not in a position to cut exposures very fastand were negatively affected by these reversals.

 

January 1,2008 to March 31, 2008

 

The Partnership experienced a net trading gain before brokeragecommissions and related fees in the first quarter of 2008 of $39,708,097.

 

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 shortcurrency positions against the U.S. dollar. The top performer within the verticalin February was Chesapeake, a long-term trend-follower, which gained16.7%. The bottom performer 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 itgained 9.6%) than in the March reversal (when it lost -2.0%), therebypreserving its gains for the quarter. The Portfolio Funds’ Managers were ableto limit the damage in March by reducing leverage. and scaling backpositions in inverse proportion to rising volatility in commodity markets.

 

13

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Item3.    Quantitative and QualitativeDisclosures 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 the PortfolioFunds’ open positions and the liquidity of the markets in which they trade.

 

Value at Risk is a measure of the maximum amount which the Portfolio Funds could reasonably beexpected to lose in a given market sector. However, the inherent uncertainty of the Portfolio Funds’ speculative trading and the recurrence in themarkets traded by the Portfolio Fundsof market movements far exceeding expectations could result in actual tradingor non-trading losses far beyond the indicated Value at Risk or the Portfolio Funds’ experience to date(i.e., “risk of ruin”).  In light of theforegoing as well as the risks and uncertainties intrinsic to all futureprojections, the inclusion of the quantification in this section should not beconsidered to constitute any assurance or representation that the Portfolio Funds’ losses in any marketsector will be limited to Value at Risk or by the Portfolio Funds’ attempts to manage their market risks.

 

Quantifying the Partnership’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 Private SecuritiesLitigation Reform Act of 1995 (set forth in Section 27A of the SecuritiesAct of 1933 and Section 21E of the Securities Exchange Act of 1934).  All quantitative disclosures in this sectionare deemed to be forward-looking statements for purposes of the safe harbor,except for statements of historical fact.

 

Dueto the Partnership’s fund of funds structure, the following statements arerelated to the Portfolio Funds.

 

Exchangemaintenance margin requirements have been used by the Portfolio Funds as themeasure of their Value at Risk. Maintenance margin requirements are set by exchanges to equal or exceedthe maximum loss in the fair value of any given contract incurred in 95% to 99%of the one-day time periods included in the historical sample (approximatelyone year, generally) researched for purposes of establishing marginlevels.  The maintenance margin levelsare established by dealers and exchanges using historical price studies as wellas an assessment of current market volatility (including the implied volatilityof the options on a given futures contract) and economic fundamentals toprovide a probabilistic estimate of the maximum expected near-term one-dayprice fluctuation.

 

Inthe case of market sensitive instruments which are not exchange-traded (almostexclusively currencies in the case of the Portfolio Funds), the marginrequirements for the equivalent futures positions have been used as Value atRisk.  In those rare cases in which afutures-equivalent margin is not available, dealers’ margins have been used.

 

14

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100%positive correlation in the different positions held in each market riskcategory has been assumed.  Consequently,the margin requirements applicable to the open contracts have been aggregatedto determine each trading category’s aggregate Value at Risk.  The diversification effects (which wouldreduce the Value at Risk estimates) resulting from the fact that the PortfolioFunds’ positions are rarely, if ever, 100% positively correlated have not beenreflected.

 

# **The Partnership’s Trading Valueat Risk in Different Market Sectors**

 

Thefollowing table indicates the average, highest, and lowest trading Value atRisk associated with the Partnership’s open positions by market category forthe three months ended March 31, 2009 and 2008.

 

**Aspect Class DT (3)**

 
| ** **               | ** ** | **March 31, 2009** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 63,773     |   | 0.07 | % | $ | 191,320 |   | $ | 41,350 |   |
| Energy                   |       | 31,147             |       | 0.04 | % | 93,440 |   | 21,533 |   |
| Interest Rates           |       | 5,145,751          |       | 6.03 | % | 15,437,252 |   | 4,070,454 |   |
| Metals                   |       | 41,746             |       | 0.05 | % | 125,238 |   | 34,883 |   |
| Stock Indices            |       | 42,661             |       | 0.05 | % | 127,984 |   | 38,782 |   |
| Currencies               |       | 153,197            |       | 0.18 | % | 459,592 |   | 84,599 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 5,478,275  |   | 6.42 | % | $ | 16,434,826 |   | $ | 4,291,601 |   |

 

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(3) Average Capitalization of Aspect Class DTis $85,295,625.

 

**AspectClass DT (3)**

 
| ** **               | ** ** | **March 31, 2008** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 522,926    |   | 0.55 | % | $ | 1,113,062 |   | $ | 146,850 |   |
| 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 |   |
| Currencies               |       | 1,744,013          |       | 1.84 | % | 3,115,683 |   | 900,856 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 8,472,902  |   | 8.95 | % | $ | 14,118,689 |   | $ | 4,461,604 |   |

 

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(3) Average capitalization of Aspect Class DTis $94,625,582

 

15

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**Chesapeake Class DT (4)**

 
| ** **               | ** ** | **March 31, 2009** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 168,742    |   | 0.20 | % | $ | 506,227 |   | $ | 120,812 |   |
| Energy                   |       | —             |       | 0.00 | % | — |   | — |   |
| Interest Rates           |       | 3,788,900          |       | 4.44 | % | 11,366,701 |   | 3,491,307 |   |
| Metals                   |       | 39,501             |       | 0.05 | % | 118,502 |   | 35,915 |   |
| Stock Indices            |       | —             |       | 0.00 | % | — |   | — |   |
| Stock Futures            |       | 531                |       | 0.00 | % | 1,594 |   | 298 |   |
| Currencies               |       | 36,324             |       | 0.04 | % | 108,971 |   | 21,840 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 4,033,998  |   | 4.73 | % | $ | 12,101,995 |   | $ | 3,670,172 |   |

 

----

(4) Average capitalization of ChesapeakeClass DT is $85,294,625.

 

**Chesapeake Class DT (4)**

 
| ** **               | ** ** | **March  31, 2008** |       |
|--------------------------|------------|---------------------|------------|
| ** **               | ** ** | **Average**         | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                   | 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 Indices            |       | —              |       | — |   | — |   | — |   |
| 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 |   |

 

----

(4) Average capitalization of ChesapeakeClass DT is $93,888,653

 

16

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**Transtrend Class DT (2)**

 
| ** **               | ** ** | **March 31, 2009** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 340,668    |   | 0.40 | % | $ | 1,022,004 |   | $ | 115,800 |   |
| Energy                   |       | 295,540            |       | 0.35 | % | 886,620 |   | 55,314 |   |
| Interest Rates           |       | 4,955,523          |       | 5.81 | % | 14,866,568 |   | 3,646,403 |   |
| Metals                   |       | 18,083             |       | 0.02 | % | 54,248 |   | 3,497 |   |
| Stock Indices            |       | 335,900            |       | 0.39 | % | 1,007,700 |   | 20,485 |   |
| Currencies               |       | 65,434             |       | 0.08 | % | 196,303 |   | 36,971 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 6,011,148  |   | 7.05 | % | $ | 18,033,443 |   | $ | 3,878,470 |   |

 

----

(2) Average capitalization of TranstrendClass DT is $85,295,625.

 

**TranstrendClass DT (2)**

 
| ** **               | ** ** | **March 31, 2008** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 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 |   |
| Stock Indices            |       | 1,566,522          |       | 1.66 | % | 2,999,793 |   | 215,354 |   |
| Currencies               |       | 322,550            |       | 0.34 | % | 416,085 |   | 164,348 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 7,152,717  |   | 7.58 | % | $ | 10,685,376 |   | $ | 2,553,022 |   |

 

----

(2) Average capitalization of TranstrendClass DT is $94,400,868

 

17

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**WintonClass DT (5)**

 
| ** **               | ** ** | **March 31, 2009** | ** ** |
|--------------------------|------------|--------------------|------------|
| ** **               | ** ** | **Average**        | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
| **Market Sector**        | ** ** | **Value at Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |               |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                  | 58,531     |   | 0.07 | % | $ | 175,597 |   | $ | 38,800 |   |
| Energy                   |       | 10,744             |       | 0.01 | % | 32,236 |   | 3,659 |   |
| Interest Rates           |       | 3,654,083          |       | 4.28 | % | 10,962,240 |   | 3,219,496 |   |
| Metals                   |       | 10,942             |       | 0.01 | % | 32,830 |   | 5,985 |   |
| Stock Indices            |       | 30,295             |       | 0.04 | % | 90,885 |   | 26,710 |   |
| Currencies               |       | 123,037            |       | 0.14 | % | 369,111 |   | 64,192 |   |
|                     |       |               |       |   |   |   |   |   |   |
| TOTAL                    |       | $                  | 3,887,632  |   | 4.55 | % | $ | 11,662,899 |   | $ | 3,358,842 |   |

 

----

(5) Average capitalization of Winton Class DTis $85,294,625.

 

**WintonClass DT (5)**

 
| ** **               | ** ** | **March  31, 2008** |       |
|--------------------------|------------|---------------------|------------|
| ** **               | ** ** | **Average**         | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market  Sector**       | ** ** | **Value at  Risk**  | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                   | 369,671    |   | 0.39 | % | $ | 527,766 |   | $ | 272,311 |   |
| 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 |   |
| Currencies               |       | 1,105,180           |       | 1.17 | % | 1,277,088 |   | 834,735 |   |
|                     |       |                |       |   |   |   |   |   |   |
| TOTAL                    |       | $                   | 5,319,914  |   | 5.62 | % | $ | 6,318,639 |   | $ | 3,949,629 |   |

 

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(5) Average capitalization ofWinton Class DT is $94,625,551

 

18

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

 

QualitativeDisclosures Regarding Primary Trading Risk Exposures

 

The followingqualitative disclosures regarding the Partnership’s market risk exposuresthrough the Portfolio Funds after the change in structure— except for (i) thosedisclosures that are statements of historical fact and (ii) the descriptions of how the Partnershipmanages its primary market risk exposures constitute forward-looking statements within the meaning of Section 27Aof the 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.

 

Item4. Control and Procedures

 

MLAI, the Sponsor of ML Trend-FollowingFutures Fund L.P.  with the participationof the Sponsor’s Chief Executive Officer and the Chief Financial Officer, hasevaluated the effectiveness of the design and operation of its disclosure controlsand procedures with respect to the Partnership as of the end of the period ofthis quarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significant changesin the Partnership’s internal controls or in other factors during the latestfiscal quarter that has materially affected, or is reasonably likely tomaterially affect, the funds’ internal control over financial reporting.

 

19

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PART II - OTHER INFORMATION

 

Item 1.  Legal Proceedings

 

None.

 

Item 1A:  Risk Factors

 

There are no materialchanges from risk factors as previously disclosed in the Annual Report on

 

Form 10-K for the yearended December 31, 2008, filed March 31, 2009.

 

Item 2.    Unregistered Sales of Securities and Use ofProceeds

 

(a)           Issuance to accredited investorspursuant to Regulation D and Section 4(6) under the SecuritiesAct.  The selling agent of the following Class ofUnits was MLPF&S

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 1,288,226  |       | $          | 6,467 |   | 199.20 |   |
| Feb-09     |       | 814,123          |       | 4,080      |       | 199.54 |   |
| Mar-09     |       | 1,082,868        |       | 5,441      |       | 199.02 |   |
| Apr-09     |       | 741,486          |       | 3,829      |       | 193.65 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

(b) None.

 

(c) None.

 

Item 3.          Defaults Upon Senior Securities

 

None.

 

Item 4.          Submission of Matters to a Vote ofSecurity Holders

 

None.

 

Item 5.          OtherInformation

 

None.

 

20

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Item 6.          Exhibits

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

** **

**21**

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** **

**SIGNATURES**

 

Pursuant to the requirements of theSecurities Exchange Act of 1934, the registrant has duly caused this report tobe signed on 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 15, 2009 | By                                   | /s/ PAUL MORTON |
|                    |                                 | Paul  Morton |
|                    |                                 | Chief Executive Officer and President |
|                    |                                 | (Principal Executive Officer) |
|                    |                                 |   |
|                    |                                 |   |
| Date: May 15, 2009 | By                                   | /s/ BARBRA E. KOCSIS |
|                    |                                 | Barbra E. Kocsis |
|                    |                                 | Chief Financial Officer |
|                    |                                 | (Principal Financial and Accounting Officer) |

 

22

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