**UNITEDSTATES**

**SECURITIESAND EXCHANGE COMMISSION**

**Washington, D.C. 20549**

** **

**FORM 10-Q**

** **

**(Mark One)**

 

| **x**      | **QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE  SECURITIES EXCHANGE ACT OF 1934**  |
|------------|---------------------------------------------------------------------------------------------------------|
| ** ** | ** **                                                                                              |
| ** ** | **For the  quarterly period ended June 30, 2009**                                                  |
| ** ** | ** **                                                                                              |
| ** ** | **OR**                                                                                                  |
| ** ** | ** **                                                                                              |
| **o**      | **TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE  SECURITIES EXCHANGE ACT OF 1934** |

** **

**For the transition period from           to          **

** **

**Commission File Number 0-28928**

 

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

(Exact Name ofRegistrant as specified in its charter)

 

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

 

**c/o Merrill Lynch AlternativeInvestments LLC**

**Two WorldFinancial Center, 7****th**** Floor**

**New York,New York 10281**

(Address ofprincipal executive offices)

(Zip Code)

 

**212-236-2063**

(Registrant’stelephone number, including area code)

 

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

 

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

 

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

 

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

 

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

 

As of June 30, 2009,1,625,635 units of membership were outstanding.

 

 

 

----

 

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

 

QUARTERLY REPORTFOR JUNE 30, 2009 ON FORM 10-Q

 
| ** ** | ** **                                                                                  | ** ** | **PAGE** |
|------------|---------------------------------------------------------------------------------------------|------------|----------|
|       | PART I                                                                                 |       |     |
|       |                                                                                        |       |     |
| Item 1.    | Financial  Statements                                                                       |       | 1        |
|       |                                                                                        |       |     |
| Item 2.    | Management’s  Discussion and Analysis of Financial Condition and Results of Operations |       | 11       |
|       |                                                                                        |       |     |
| Item 3.    | Quantitative  and Qualitative Disclosures About Market Risk                                 |       | 15       |
|       |                                                                                        |       |     |
| Item 4T.   | Controls and  Procedures                                                                    |       | 23       |
|       |                                                                                        |       |     |
|       | PART II                                                                                |       |     |
|       |                                                                                        |       |     |
| Item 1.    | Legal Proceedings                                                                           |       | 23       |
|       |                                                                                        |       |     |
| Item  1A.  | Risk  Factor                                                                                |       | 23       |
|       |                                                                                        |       |     |
| Item 2.    | Unregistered  Sales of Securities and Use of Proceeds                                       |       | 23       |
|       |                                                                                        |       |     |
| Item 3.    | Defaults  Upon Senior Securities                                                            |       | 23       |
|       |                                                                                        |       |     |
| Item 4.    | Submission  of Matters to a Vote of Security Holders                                        |       | 23       |
|       |                                                                                        |       |     |
| Item 5.    | Other Information                                                                           |       | 24       |
|       |                                                                                        |       |     |
| Item  6.   | Exhibits                                                                                    |       | 24       |

 

----

 

PART I - FINANCIALINFORMATION

 

Item1.             Financial Statements

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF FINANCIAL CONDITION

(unaudited)

 
| ** **                                                                             | ** ** | **June 30,** | ** **  | **December 31,** | ** ** |
|----------------------------------------------------------------------------------------|------------|-------------------|-------------|-----------------------|------------|
| ** **                                                                             | ** ** | **2009**          | ** **  | **2008**              | ** ** |
|                                                                                   |       |              |        |                  |       |
| **ASSETS:**                                                                            |       |              |        |                  |       |
| Cash                                                                                   |       | $                 | 238,478     |                  | $          | 251,804 |   |
| Investments in Portfolio Funds (cost $240,325,178  for 2009 and $264,645,269 for 2008) |       | 289,804,787       |        | 353,161,083           |       |
| Due from Portfolio Funds                                                               |       | —            |        | 11,064,145            |       |
| Accrued interest                                                                       |       | 376               |        | —                |       |
| Due to Managers                                                                        |       | 6,138,309         |        | —                |       |
| **TOTAL ASSETS**                                                                       |       | $                 | 296,181,950 |                  | $          | 364,477,032 |   |
|                                                                                   |       |              |        |                  |       |
| **LIABILITIES AND PARTNERS’ CAPITAL**                                             |       |              |        |                  |       |
| **LIABILITIES:**                                                                       |       |              |        |                  |       |
| Wrap fee payable                                                                       |       | $                 | 974,937     |                  | $          | 1,213,435 |   |
| Redemptions payable                                                                    |       | 4,110,510         |        | 11,138,285            |       |
| Other                                                                                  |       | 127,948           |        | 250,804               |       |
|                                                                                   |       |              |        |                  |       |
| Total liabilities                                                                      |       | 5,213,395         |        | 12,602,524            |       |
|                                                                                   |       |              |        |                  |       |
| **PARTNERS’ CAPITAL:**                                                            |       |              |        |                  |       |
| General Partner (41,734 Units and 41,734 Units)                                        |       | 7,454,217         |        | 8,313,413             |       |
| Limited Partners (1,583,901 Units and 1,724,666  Units)                                |       | 283,514,338       |        | 343,561,095           |       |
|                                                                                   |       |              |        |                  |       |
| Total partners’ capital                                                           |       | 290,968,555       |        | 351,874,508           |       |
|                                                                                   |       |              |        |                  |       |
| **TOTAL LIABILITIES AND PARTNERS’  CAPITAL:**                                     |       | $                 | 296,181,950 |                  | $          | 364,477,032 |   |
|                                                                                   |       |              |        |                  |       |
| **NET ASSET VALUE PER UNIT**                                                           |       |              |        |                  |       |
| (Based on 1,625,635 and 1,766,400 Units outstanding, unlimited  Units authorized) |       | $                 | 178.9975    |                  | $          | 199.2044 |   |

 

See notes to  financial statements.

 

1

----

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                                                        | ** ** | **For the three** | ** ** | **For the three** | ** ** | **For the six**   | ** ** | **For the six**   | ** ** |
|-----------------------------------------------------------------------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|-------------------|------------|
| ** **                                                                        | ** ** | **months ended**  | ** ** | **months ended**  | ** ** | **months ended**  | ** ** | **months ended**  | ** ** |
| ** **                                                                        | ** ** | **June 30,** | ** ** | **June 30,** | ** ** | **June 30,** | ** ** | **June 30,** | ** ** |
| ** **                                                                        | ** ** | **2009**          | ** ** | **2008**          | ** ** | **2009**          | ** ** | **2008**          | ** ** |
|                                                                              |       |              |       |              |       |              |       |              |       |
| **TRADING PROFIT (LOSS):**                                                        |       |              |       |              |       |              |       |              |       |
| Realized                                                                          |       | $                 | 3,765,833  |              | $          | 4,247,342         |       | $                 | 11,682,486 |   | $ | 8,914,302 |   |
| Change in unrealized, net                                                         |       | (25,116,609       | )          | 24,952,396        |       | (39,002,065       | )          | 59,993,533        |       |
| Total trading profit (loss)                                                       |       | (21,350,776       | )          | 29,199,738        |       | (27,319,579       | )          | 68,907,835        |       |
|                                                                              |       |              |       |              |       |              |       |              |       |
| **INVESTMENT INCOME:**                                                            |       |              |       |              |       |              |       |              |       |
|  Interest                                                                    |       | 1,353             |       | 1,903             |       | 3,741             |       | 4,248             |       |
|                                                                              |       |              |       |              |       |              |       |              |       |
| **EXPENSES:**                                                                     |       |              |       |              |       |              |       |              |       |
| Wrap fee                                                                          |       | 3,080,984         |       | 3,816,647         |       | 6,530,181         |       | 7,731,891         |       |
| Other Expenses                                                                    |       | (41,970           | )          | —            |       | 20,530            |       | 343,750           |       |
|  Total expenses                                                              |       | 3,039,014         |       | 3,816,647         |       | 6,550,711         |       | 8,075,641         |       |
| ** **                                                                        |       |              |       |              |       |              |       |              |       |
| **NET INVESTMENT (INCOME) LOSS**                                                  |       | (3,037,660        | )          | (3,814,744        | )          | (6,546,970        | )          | (8,071,393        | )          |
| ** **                                                                        |       |              |       |              |       |              |       |              |       |
| **NET PROFIT (LOSS)**                                                             |       | (24,388,437       | )          | $                 | 25,384,994 |              | $          | (33,866,549       | )          | $ | 60,836,442 |   |
|                                                                              |       |              |       |              |       |              |       |              |       |
| **NET PROFIT (LOSS) PER UNIT:**                                                   |       |              |       |              |       |              |       |              |       |
| Weighted average number of General Partner and  Limited Partner Units outstanding |       | 1,665,654         |       | 2,065,146         |       | $                 | 1,703,391  |              | 2,131,548  |   |
|                                                                              |       |              |       |              |       |              |       |              |       |
| Net proftit (loss) per weighted average General  Partner and Limited Partner Unit |       | $                 | (14.64     | )                 | $          | 12.29             |       | $                 | (19.88     | ) | $ | 28.54 |   |

 

See notes to  financial statements.

 

2

----

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

STATEMENTS OF CHANGES IN PARTNERS’ CAPITAL

For the six months ended June 30, 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           |       | 8,882     |       | —               |       | 1,590,071             |       | 1,590,071   |       |
|                    |       |      |       |                 |       |                  |       |        |       |
| Net Profit (Loss)       |       | —    |       | 1,232,636            |       | 59,603,806            |       | 60,836,442  |       |
|                    |       |      |       |                 |       |                  |       |        |       |
| Redemptions             |       | (273,065  | )          | —               |       | (49,300,399           | )          | (49,300,399 | )          |
|                    |       |      |       |                 |       |                  |       |        |       |
| PARTNERS’ CAPITAL, |       |      |       |                 |       |                  |       |        |       |
| June 30, 2008      |       | 1,989,560 |       | $                    | 8,176,370  |                  | $          | 375,069,026 |       | $ | 383,245,396 |   |
|                    |       |      |       |                 |       |                  |       |        |       |
| PARTNERS’ CAPITAL, |       |      |       |                 |       |                  |       |        |       |
| December 31, 2008  |       | 1,766,400 |       | $                    | 8,313,413  |                  | $          | 343,561,095 |       | $ | 351,874,508 |   |
|                    |       |      |       |                 |       |                  |       |        |       |
| Subscriptions           |       | 55,411    |       |                 |       | 10,627,664            |       | 10,627,664  |       |
|                    |       |      |       |                 |       |                  |       |        |       |
| Net Profit (Loss)       |       |      |       | (859,196             | )          | (33,007,353           | )          | (33,866,549 | )          |
|                    |       |      |       |                 |       |                  |       |        |       |
| Redemptions             |       | (196,176  | )          |                 |       | (37,667,068           | )          | (37,667,068 | )          |
|                    |       |      |       |                 |       |                  |       |        |       |
| PARTNERS’ CAPITAL, |       |      |       |                 |       |                  |       |        |       |
| June 30, 2009      |       | 1,625,635 |       | $                    | 7,454,217  |                  | $          | 283,514,338 |       | $ | 290,968,555 |   |

 

See notes to  financial statements.

 

3

----

 

ML TREND-FOLLOWINGFUTURES FUND L.P.

(A DelawareLimited Partnership)

 

FINANCIAL DATAHIGHLIGHTS

FOR THE THREE ANDSIX MONTHS ENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **Three months ended** | ** ** | **Six months ended**   | ** ** |
|----------------------------------------------------------|------------|------------------------|------------|------------------------|------------|
| ** **                                               | ** ** | **June 30, 2009** | ** ** | **June 30, 2009** | ** ** |
| **Per Unit Operating Performance:**                      |       |                   |       |                   |       |
|                                                     |       |                   |       |                   |       |
| Net asset value, beginning of year                       |       | $                      | 193.65     |                   | $          | 199.20 |   |
|                                                     |       |                   |       |                   |       |
| Realized and unrealized change in trading profit  (loss) |       | (12.84                 | )          | (16.38                 | )          |
| Interest income                                          |       | 0                      |       | 0                      |       |
| Expenses                                                 |       | (1.82                  | )          | (3.83                  | )          |
|                                                     |       |                   |       |                   |       |
| Net asset value, end of period                           |       | $                      | 178.99     |                   | $          | 178.99 |   |
|                                                     |       |                   |       |                   |       |
| **Total Return:**                                        |       |                   |       |                   |       |
|                                                     |       |                   |       |                   |       |
| Total return                                             |       | -7.57                  | %          | -10.15                 | %          |
|                                                     |       |                   |       |                   |       |
| **Ratios to Average Net Assets:**                        |       |                   |       |                   |       |
|                                                     |       |                   |       |                   |       |
| Expenses                                                 |       | 5.22                   | %          | 1.99                   | %          |
|                                                     |       |                   |       |                   |       |
| Net investment profit (loss)                             |       | -2.46                  | %          | -10.55                 | %          |

 

See notes tofinancial statements.

 

4

----

 

ML TREND-FOLLOWING FUTURES FUND L.P.

(a Delaware Limited Partnership)

 

NOTES TO FINANCIALSTATEMENTS

(unaudited)

 

1.               SUMMARY OF 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 underlying FuturesAccessFunds (each a “Portfolio Fund” and collectively the “Portfolio Funds”) (SeeNote 2).

 

In the opinion ofmanagement, these interim financial statements contain all adjustmentsnecessary for a fair statement of  thefinancial position of the Partnership as of June 30, 2009 and the resultsof its operations for the three and six months ended June 30, 2009 and2008. However, the operating results for the interim periods may not beindicative of the results for the full year.

 

OnApril 20, 2007, MLAI issued an announcement regarding a restructuring ofthe Partnership, effective June 1, 2007. As part of the restructuring the following occurred:

 

·  The Partnership changed its name to MLTrend-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 an emphasis ona style of investment commonly referred to as “diversified trend following” andthe 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 the Partnership’saverage month-end Net Asset Value. Other than this 4.0% wrap fee, the onlydirect expense of the Partnership is the annual New Jersey filing fee, which isassessed on a per-partner basis with a maximum charge of $250,000 per year.

 

5

----

 

MLAI,the sponsor (“Sponsor”) and general partner of the Partnership, is an indirectwholly-owned subsidiary of Merrill Lynch & Co., Inc. (“MerrillLynch”).  Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the Partnership’s commodity broker. As used herein, the capitalized term “MLAI”also refers to the general partner at times when its name was MLIM AlternativeStrategies LLC, as applicable. On September 15, 2008, Merrill Lynchentered into an Agreement and Plan of Merger (as amended by Amendment No. 1dated as of October 21, 2008, the “Merger Agreement”) with Bank of AmericaCorporation (“Bank of America”). Pursuant to the Merger Agreement, on January 1,2009, a wholly-owned subsidiary of Bank of America merged with and into MerrillLynch, with Merrill Lynch continuing as the surviving corporation and asubsidiary of Bank of America.

 

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. These financial statementsshould be read in conjunction with the financial statements and notes theretoincluded in the Partnership’s and three (Winton, Aspect, Transtrend) 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.

 

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 INPORTFOLIO FUNDS

 

ThePartnership’s assets are invested in Winton, Aspect, Transtrend and Chesapeake.

 

MLAI may, in itsdiscretion, change Portfolio Funds at any time. MLAI may vary the percentage ofthe Partnership’s total portfolio allocated to the different Portfolio Funds atMLAI’s discretion. There is no pre-established range for the minimum andmaximum allocations that may be made to any given Portfolio Funds.   The investment in portfolio funds at June 30,2009 and December 31, 2008 are as follows:

 
| ** ** | ** ** | **% of Partnership’s  Capital @6/30/09** | ** ** | **% of Partnership’s  Capital @12/31/08** | ** ** | **Fair Value @  6/30/09** | ** **  | **Fair Value @  12/31/08** | ** ** | **Cost @ 6/30/09** | ** ** | **Cost @  12/31/08** | ** **  |
|------------|------------|-----------------------------------------------|------------|------------------------------------------------|------------|---------------------------|-------------|----------------------------|------------|--------------------|------------|----------------------|-------------|
|       |       |                                          |       |                                           |       |                      |        |                       |       |               |       |                 |        |
| Winton     |       | 25.16                                         | %          | 25.09                                          | %          | $                         | 73,209,916  |                       | $          | 88,290,271         |       | 57,675,654           |        | 64,048,216 |   |
| Aspect     |       | 24.12                                         | %          | 25.09                                          | %          | 70,172,360                |        | 88,290,270                 |       | 60,516,849         |       | 65,018,330           |        |
| Transtrend |       | 25.16                                         | %          | 25.09                                          | %          | 73,211,851                |        | 88,290,271                 |       | 51,701,241         |       | 57,629,808           |        |
| Chesapeake |       | 25.16                                         | %          | 25.09                                          | %          | 73,210,660                |        | 88,290,271                 |       | 70,431,435         |       | 77,948,915           |        |
|       |       |                                          |       |                                           |       |                      |        |                       |       |               |       |                 |        |
| Total      |       |                                          |       |                                           |       | $                         | 289,804,787 |                       | $          | 353,161,083        |       | $                    | 240,325,179 |   | $ | 264,645,269 |   |
|            |            |                                               |            |                                                |            |                           |             |                            |            |                    |            |                      |             |  |  |  |  |

 

6

----

 

These investments arerecorded at fair value which is consistent with equity method accounting, inaccordance with fund of fund accounting guidance and in accordance withRegulation S-X, the following is summarized financial information for thePortfolio Funds:

 
| ** ** | ** ** | **As of June 30,2009** | ** **    | ** **            | ** ** |
|------------|------------|-----------------------------|---------------|-----------------------|------------|
| ** ** | ** ** | **Total Assets**            | ** **    | **Total Liabilities** | ** ** | **Total Capital** | ** ** | ** ** | ** ** |
| Winton     |       | $                           | 767,933,797   |                  | $          | 17,309,755 |   | $ | 750,624,042 |   |   |   |
| Aspect     |       | 267,280,968                 |          | 5,144,202             |       | 262,136,765 |   |   |   |
| Transtrend |       | 235,326,554                 |          | 2,602,182             |       | 232,724,372 |   |   |   |
| Chesapeake |       | 153,252,453                 |          | 2,449,403             |       | 150,803,050 |   |   |   |
|       |       |                        |          |                  |       |   |   |   |   |
| Total      |       | $                           | 1,423,793,772 |                  | $          | 27,505,542 |   | $ | 1,396,288,229 |   |   |   |

 
| ** ** | ** ** | **As of 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 |   |   |   |

 
| ** ** | ** ** | **For the six months ended  June 30,2009** | ** **  |
|------------|------------|-------------------------------------------------|-------------|
| ** ** | ** ** | ** **                                      | ** **  | ** ** | ** ** | ** ** | ** ** | **Net** | ** ** |
| ** ** | ** ** | **Income (Loss)**                               | ** **  | **Commissions** | ** ** | **Other** | ** ** | **Income (Loss)** | ** ** |
| Winton     |       | $                                               | (5,602,979  | ) | $ | (40,114 | ) | $ | (683,122 | ) | $ | (6,326,215 | ) |
| Aspect     |       | (11,015,684                                     | )           | (104,555 | ) | (701,711 | ) | (11,821,950 | ) |
| Transtrend |       | (1,492,762                                      | )           | (177,096 | ) | (513,444 | ) | (2,183,302 | ) |
| Chesapeake |       | (6,449,396                                      | )           | (32,148 | ) | (502,365 | ) | (6,983,909 | ) |
|       |       |                                            |        |   |   |   |   |   |   |
| Total      |       | $                                               | (24,560,821 | ) | $ | (353,913 | ) | $ | (2,400,642 | ) | $ | (27,315,376 | ) |

 
| ** ** | ** ** | **For the six months ended  June 30, 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 |       | 26,970,471                                       |       | (118,879 | ) | (570,202 | ) | 26,281,389 |   |
|       |       |                                             |       |   |   |   |   |   |   |
| Total      |       | $                                                | 62,446,065 |   | $ | (348,873 | ) | $ | (7,248,244 | ) | $ | 54,848,947 |   |

 

3.               FAIR VALUE OFINVESTMENTS

 

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 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 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.

 

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

 

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

 

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

 

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

 

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

 

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

 

Investments in other investment companies are valuedusing the net asset value reported by the investment company, which managementbelieves approximates fair value. These net asset values are the prices used toexecute trades with these investment companies. If appropriate, adjustments to the reported net asset value may be madebased on various factors, including, but not limited to, the attributes of theinterest held, including the rights and obligations, and any restrictions orilliquidity.

 

Although there are monthly transactions in theseinvestment company interests, the Net Asset Value’s (“NAV”) are materiallybased on portfolios of Level I and Level II assets and liabilities for whichthe Fund has transparency.  As such, theFund determined that its investments in these investment companies in thiscase, would be classified as Level II.

 

The followingtable summarizes the valuation of the Partnership’s investments by the aboveFAS 157 fair value hierarchy levels as of December 31, 2008 and June 30,2009:

 
| ** **                      | ** ** | **Total** | ** **  | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|---------------------------------|------------|-----------|-------------|-------------|------------|--------------|------------|---------------|------------|
|                            |       |      |        |        |       |         |       |          |       |
| Investments in Portfolio  Funds |       |      |        |        |       |         |       |          |       |
| December 31, 2008          |       | $         | 353,161,083 |        | N/A        |         | $          | 353,161,083   |       | N/A |   |
| June 30, 2009              |       | $         | 289,804,787 |        | N/A        |         | $          | 289,804,787   |       | N/A |   |

 

As of January 1, 2009, the Partnership adopted Statement ofFinancial Accounting Standards No. 161, “Disclosures about DerivativeInstruments and Hedging Activities” (“FAS 161”) as of January 1, 2009which requires qualitative disclosures about objectives and strategies forusing derivatives, quantitative disclosures about fair value amounts of andgains and losses on derivative instruments, and disclosures aboutcredit-risk-related contingent features in derivative agreements. FAS 161 onlyexpands the disclosure requirements for derivative instruments and relatedhedging activities and has no impact on Statements of Financial Condition orStatements of Operations and Partners’ Capital. As the Partnership invests onlyin other Portfolio Funds, it does not have any direct investments in derivativeinvestments.

 

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4.               MARKET, CREDIT ANDCONCENTRATION 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 the PortfolioFunds as well as the volatility and liquidity of the markets in which thederivative instruments are traded. Investments in foreign markets may alsoentail legal and political risks.

 

Credit Risk

 

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

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Portfolio Funds’ 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 of business,enter into various contracts, with Merrill Lynch Pierce Fenner & SmithInc. (“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 of Financial 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.

 

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5.               RECENT ACCOUNTING 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 ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly 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. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 provides additional guidance for estimating fair valuein accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volume and level ofactivity for the asset or liability have significantly decreased. This FSP alsoincludes guidance on identifying circumstances that indicate a transaction isnot orderly. The FSP emphasizes that even if there has been a significantdecrease in the volume and level of activity for the asset or liability andregardless of the valuation technique(s) used, the objective of a fairvalue measurement remains the same. Fair value is the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction (that is, not a forced liquidation or distressed sale) betweenmarket participants at the measurement date under current market conditions.The Partnership does not expect the adoption of FSP 157-4 to have an impact onits financial statements.

 

In June 2008, the FASB issued Statement of Financial AccountingStandards No. 168, “The FASB Accounting Standards Codification and “TheHierarchy of Generally Accepted Accounting Principles - a replacement of FASBStatement No. 162” (“FAS 168”).  FAS168 identifies the sources of accounting principles and the framework forselecting the accounting principles used in preparing financial statements ofnongovernmental entities that are presented in conformity with U.S. GAAP.  FAS 168 will be effective for financialstatements that cover interim and annual periods ending after September 15,2009.  The Partnership does not expectthe adoption of FAS 168 to have an impact on our financial statements

 

FASB issued Statement of Financial Accounting Statement No. 165,Subsequent Events (“FAS 165”), which is effective for interim and annualperiods ending after June 15, 2009. FAS 165 establishes general standards of accounting for and disclosureof events that occur after the balance sheet date but before financialstatements are issued or are available to be issued.  It requires the disclosure of the datethrough which an entity has evaluated subsequent events and the basis for thatdate. The Partnership has performed an evaluation of subsequent events, asdefined under FAS 165, through August 14, 2009, which is the date thefinancial statements were issued, and determined that there are no subsequentevents that are required to be adjusted to, or disclosed in, the financialstatements other than those disclosed in the subsequent event section in Note6.

 

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6.               SUBSEQUENT EVENT

 

The following subsequentevent occurred that requires disclosure under FAS 165.

 

1. Effective as of August 13,2009, Paul Morton resigned as a Chief Executive Officer and President of MLAIand resigned as a member of MLAI’s Board of Managers.

 

2. Effective as of August 13,2009, Thomas W. Lee resigned as a Vice President of MLAI and resigned as amember of MLAI’s Board of Managers.

 

3. Effective as of August 13,2009, Justin C. Ferri, a Vice President and a member of MLAI’s Board ofManagers, became the Chief Executive Officer and President of MLAI. Hecontinues to serve as a member of MLAI’s Board of Managers, a position which heheld prior to his appointment as the Chief Executive Officer and President.

 

4. Effective as of August 13,2009, Deann Morgan, a Vice President of MLAI, became amember of MLAI’s Board of Managers. She continues to serve as a Vice President of MLAI, aposition which she held prior to her appointment as a member of MLAI’s Board ofManagers.

 

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

 

| ** ** | ** ** | **MONTH-END NET ASSET VALUE PER  INITIAL UNIT** | ** ** |
|------------|------------|-------------------------------------------------|------------|
| ** ** | ** ** | **Jan.**                                        | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **April** | ** ** | **May** | ** ** | **June** | ** ** |
| 2008       |       | $                                               | 168.36     |   | $ | 184.45 |   | $ | 180.10 |   | $ | 177.98 |   | $ | 182.26 |   | $ | 192.63 |   |
| 2009       |       | $                                               | 199.54     |   | $ | 199.02 |   | $ | 193.65 |   | $ | 188.68 |   | $ | 185.32 |   | $ | 178.99 |   |

 

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 thesecond 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 six months ended June 30, 2009,Partnership capital decreased 17.31% from $351,874,508 to $290,968,555.  This decrease was attributable to the netloss from operations of $33,866,549, coupled with the redemption of 196,176Redeemable Units resulting in an outflow of $37,667,068.  The cash outflow was offset with cash inflowof $ 10,627,664due to subscription of 55,411 units.   Future redemptions could impact the amount of funds available forinvestment in commodity contract positions in subsequent months.

 

Critical Accounting Policies

 

Use of Estimates

 

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

 

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Statement of Cash Flows

 

The Partnership has elected not to provide a Statementof Cash Flows as permitted by Statement of Financial Accounting Standards No. 102“Statement of Cash Flows-Exemption of Certain Enterprises and Classification ofCash Flows from Certain Securities Acquired for Resale” (“FAS 102”).

 

Fair Value Measurements

 

The Partnership adopted Statement of FinancialAccounting Standards No. 157, *Fair Value Measurements*(“FAS 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.

 

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.

 

Where the Partnership believes that quoted market pricesare not available or that the market is not active, fair values are estimatedby using quoted prices of securities with similar characteristics, pricingmodels or matrix pricing, observable net asset values and these are generallyclassified as Level II securities the Partnership determined that itsinvestments in other investment funds would be classified as Level II.

 

Income Taxes

 

Income taxes have not been provided as each partneris individually liable for the taxes, if any, on their share of the Partnership’sincome 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 FIN 48 had no impact on the operations of the Partnership for the periodended June 30, 2009 and that no provision for income tax is required inthe Partnership’s financial statements.

 

Results ofOperations

 

January 1, 2009to March 31, 2009

 

During the first quarterof 2009, the Partnership’s Net Asset Value per Redeemable Unit decreased 2.67%from $199.20 to $193.89 as compared to an increase of 9.67% in the same periodof 2008.  The Partnership experienced anet trading loss 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 

 

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equity markets postingprofits for the Partnership. In addition, the Portfolio Funds that had longpositions in the U.S. dollar against various currencies also posted profits forthe Partnership. The Portfolio Funds that had long positions in the Japaneseyen vs. the U.S. dollar was detrimental as the Japanese yen ended the monthdown significantly relative to the U.S. dollar. Fixed income marketsexperienced volatile swings in February and most of the Portfolio Fundsended with losses being posted for the Partnership.

 

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 most majorcurrencies 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.

 

April 1, 2009to June 30, 2009

 

During the second quarterof 2009, the Partnership’s Net Asset Value per Redeemable Unit decreased 7.68%from $193.89 to $178.99 as compared to an increase of 6.95% in the same periodof 2008.  The Partnership experienced anet trading loss in the second quarter of 2009 of $21,350,776.

 

The performances of thePortfolio Funds were down at the beginning of the quarter which resulted inlosses being posted to the Partnership. The market environment that causedlosses for the Partnership in March persisted through April as well.The Portfolio Fund Managers continued to be positioned against market moves andexperienced losses in most of the sectors they traded in. In March 2009having long positions in fixed income helped to offset losses in equityindices, currencies and commodities. In April, the losses in equity indices,currencies and commodities were more muted as many managers had trimmed risk inthose sectors; however, having long positions in fixed income proved to be aproblem as global bond yields rose significantly, hurting those long positions. Overall, fixedincome was the worst performing sector for the Partnership, followed bycurrencies. Most managers had mixed exposure in commodities, making money insome markets and losing money in others. In equities, positioning was more onthe short side, but with extremely small exposures; losses thus were muted.

 

The Partnership postedlosses in April as many big trends reversed as the Portfolio Fund Managerswere not correctly positioned in the markets movements. The reversing trendscontinued in May and only one of the Portfolio Fund Managers turned aroundits portfolio to be in line with them. Winton and Chesapeake have long timehorizons and need more conviction about new trends before reversingpositioning. Aspect and Transtrend are more medium term, but only Transtrendwas able to adjust its portfolio enough to take advantage of new trends. As aresult, losses were posted to the Partnership in the middle of the quarter.Overall, equity positioning was flat therefore, attribution from equities waslikely zero. Commodity positioning was mostly short positions and that hurt thePartnership as commodities moved up during May. Long positions in the U.S.dollar and long positions in bond bias also detracted from performance.

 

The Portfolio Funds had anegative month resulting in losses being posted to the Partnership at the endof the quarter. April and May had been characterized by market movesmost commonly seen during periods where investors are risk seeking. There wereup moves in equities and commodities and down moves in bonds and the U.S.dollar. June continued to be a challenging month as several events tookplace. First, short term interest rates suffered a sharp reversal during thefirst week of June and the U.S. dollar had a similar reversal, gainingagainst most currencies. Then, mid-month, the up trends in equities andcommodities reversed, as sentiment became risk averse again. As a result ofthese moves, most asset classes ended the month with negative attribution. Theworst were short term interest rates and 

 

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commodities. Medium termmanagers had the worst performance as they not only suffered from the interestrates and U.S. dollar moves, but also the reversals in equities andcommodities. Winton and

 

Chesapeake, the longest termmanagers, had relatively smaller losses because the equity and commodityreversals were actually good for them since they were still holding on to theirpre-March positions in those asset classes.

 

January 1,2008 to March 31, 2008

 

The Partnershipexperienced a net trading gain 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 thevertical in February was Chesapeake, a long-term trend-follower, whichgained 16.7%. 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 first 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.

 

April 1, 2008 to June 30, 2008

 

The Partnership declined by-1.18% in April. In comparison, the Newedge Commodity Trader Advisor Index wasdown -2.1% for the month, and is up 4.1% for the year. Although most PortfolioFunds made gains in April with their long energy positions, as oil andnatural gas hit historic highs, these were offset by losses from reversals inthe financial futures markets. Most Portfolio Funds came into April withshort positions in the United States dollar, long positions on bonds and shortpositions in equities. However, markets experienced a relief rally in April asinvestors began to believe the end of the credit crisis might be over. Thiscaused the United States dollar to rebound, bonds to fall and equities to rise,resulting in losses.

 

May was a strong monthfor the Partnership and continues to be up year to date. The best performingPortfolio Fund in the vertical was Aspect, which gained 3.0% for the month. Theworst performer was Winton, which gained only 1.4% for the month. All fourPortfolio Funds in the Partnership made gains in their long energy positionswith crude oil up 13% from April and natural gas was up 6.6%, continuingthe trends from previous months.

 

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The Partnership returned anestimated 5.69% in June. The Portfolio Funds posted profits in June throughlong positions in commodities and short positions in equities. Chesapeake wasthe best performing Portfolio Fund in the Partnership vertical gaining 7.9%with the longest time horizon and currently the largest exposure to commoditytrades. Meanwhile, Transtrend was the bottom performer in the group, but stillgained 2.3% for the month. Transtrend is the most diversified Portfolio Fundacross markets, trading over 200 standalone markets and 100 synthetic markets.As a result, Transtrend had less risk allocated to those markets which had thestrongest performance.

 

The Partnershiphas no applicable off-balance sheet arrangements and tabular disclosure orcontractual obligations of the type described in Items 303(a)(4) and303(a)(5) of Regulation S-K.

 

Item3.  Quantitative and QualitativeDisclosures About Market Risk

 

Introduction

 

Themarket sensitive instruments held by the Portfolio Funds are acquired forspeculative trading purposes and all or substantially all of the PortfolioFunds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Partnership’smain 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 is influencedby a wide variety of factors, including the level and volatility of interestrates, exchange rates, equity price levels, the market value of financialinstruments and contracts, the diversification effects among the PortfolioFunds’ open positions and the liquidity of the markets in which they trade.

 

Value at Risk is ameasure of the maximum amount which the Portfolio Funds could reasonably be expected to lose ina given market sector.  However, theinherent uncertainty of the Portfolio Funds’ speculative trading and the recurrence in the marketstraded by the Portfolio Funds of market movements far exceeding expectations couldresult in actual trading or non-trading losses far beyond the indicated Valueat 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 Portfolio Funds’ losses in any market sector will belimited to Value at Risk or by the Portfolio Funds’ attempts to manage their market risks.

 

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.

 

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.

 

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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 Trading Value at Risk in Different MarketSectors**

 

The following table indicates the average, highest, and lowest tradingValue at Risk associated with the Partnership’s open positions by marketcategory for the six months ended June 30, 2009 and 2008.

 

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**Aspect Class DT (3)**

 
| ** **               | ** ** | **June 30,  2009**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 53,216     |   | 0.07 | % | $ | 319,298 |   | $ | 2,090 |   |
| Energy                   |       | 52,304                      |       | 0.06 | % | 313,825 |   | 11,286 |   |
| Interest Rates           |       | 7,210,013                   |       | 8.91 | % | 43,260,077 |   | 4,042,808 |   |
| Metals                   |       | 37,661                      |       | 0.05 | % | 225,965 |   | 3,111 |   |
| Stock Indices            |       | 37,281                      |       | 0.05 | % | 223,687 |   | 5,085 |   |
| Currencies               |       | 187,959                     |       | 0.23 | % | 1,127,751 |   | 84,024 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,578,434  |   | 9.37 | % | $ | 45,470,603 |   | $ | 4,148,404 |   |

 

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(3) AverageCapitalization of Aspect Class DT is $80,889,208.

 

**Aspect Class DT(3)**

 
| ** **               | ** ** | **June 30,  2008**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 301,041    |   | 0.32 | % | $ | 994,627 |   | $ | 90,659 |   |
| Energy                   |       | 495,730                     |       | 0.53 | % | 1,373,373 |   | 246,613 |   |
| Interest Rates           |       | 5,431,436                   |       | 5.78 | % | 9,109,110 |   | 2,514,468 |   |
| Metals                   |       | 178,580                     |       | 0.19 | % | 630,723 |   | 43,099 |   |
| Stock Indices            |       | 447,930                     |       | 0.48 | % | 1,176,878 |   | 157,659 |   |
| Currencies               |       | 1,040,251                   |       | 1.11 | % | 2,784,160 |   | 397,113 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,894,968  |   | 8.41 | % | $ | 16,068,871 |   | $ | 3,449,611 |   |

 

----

(3) Averagecapitalization of Aspect Class DT is $93,896,553

 

17

----

 

**ChesapeakeClass DT (4)**

 
| ** **               | ** ** | **June 30,  2009**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 146,814    |   | 0.18 | % | $ | 880,883 |   | $ | 68,462 |   |
| Energy                   |       | 89                          |       | 0.00 | % | 531 |   | — |   |
| Interest Rates           |       | 3,443,613                   |       | 4.23 | % | 20,661,675 |   | 3,110,485 |   |
| Metals                   |       | 47,080                      |       | 0.06 | % | 282,479 |   | 30,261 |   |
| Stock Indices            |       | —                      |       | 0.00 | % | — |   | — |   |
| Stock Futures            |       | 323                         |       | 0.00 | % | 1,939 |   | — |   |
| Currencies               |       | 65,494                      |       | 0.08 | % | 392,962 |   | 20,404 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 3,703,412  |   | 4.55 | % | $ | 22,220,469 |   | $ | 3,229,612 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DT is $81,317,447.

 

**ChesapeakeClass DT (4)**

 
| ** **               | ** ** | **June 30,  2008**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 952,325    |   | 1.02 | % | $ | 1,558,938 |   | $ | 356,404 |   |
| Energy                   |       | 712,117                     |       | 0.76 | % | 1,168,877 |   | 555,631 |   |
| Interest Rates           |       | 5,327,798                   |       | 5.69 | % | 7,436,615 |   | 2,671,568 |   |
| Metals                   |       | 351,909                     |       | 0.38 | % | 652,176 |   | 186,356 |   |
| Stock Indices            |       | —                      |       | — |   | — |   | — |   |
| Stock Futures            |       | 173,543                     |       | 0.19 | % | 273,733 |   | 90,350 |   |
| Currencies               |       | 1,264,708                   |       | 1.35 | % | 2,239,337 |   | 746,242 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 8,782,400  |   | 9.38 | % | $ | 13,329,676 |   | $ | 4,606,551 |   |

 

----

(4) Averagecapitalization of Chesapeake Class DT is $93,694,981

 

18

----

 

**TranstrendClass DT (2)**

 
| ** **               | ** ** | **June 30,  2009**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 204,209    |   | 0.25 | % | $ | 1,225,253 |   | $ | 87,687 |   |
| Energy                   |       | 276,491                     |       | 0.34 | % | 1,658,949 |   | 46,285 |   |
| Interest Rates           |       | 6,376,162                   |       | 7.83 | % | 38,256,973 |   | 3,051,202 |   |
| Metals                   |       | 15,619                      |       | 0.02 | % | 93,713 |   | 1,737 |   |
| Stock Indices            |       | 255,531                     |       | 0.31 | % | 1,533,189 |   | 17,141 |   |
| Currencies               |       | 233,777                     |       | 0.29 | % | 1,402,664 |   | 30,936 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 7,361,789  |   | 9.04 | % | $ | 44,170,741 |   | $ | 3,234,988 |   |

 

----

(2) Averagecapitalization of Transtrend Class DT is $81,398,026.

** **

**TranstrendClass DT (2)**

 
| ** **               | ** ** | **June 30,  2008**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 285,549    |   | 0.30 | % | $ | 832,566 |   | $ | 13,137 |   |
| Energy                   |       | 605,838                     |       | 0.65 | % | 1,229,006 |   | 8,576 |   |
| Interest Rates           |       | 3,571,090                   |       | 3.81 | % | 4,640,247 |   | 1,529,943 |   |
| Metals                   |       | 224,477                     |       | 0.24 | % | 524,564 |   | 46,206 |   |
| Stock Indices            |       | 436,864                     |       | 0.47 | % | 800,042 |   | 129,509 |   |
| Currencies               |       | 1,465,049                   |       | 1.56 | % | 2,694,000 |   | 169,702 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 6,588,867  |   | 7.03 | % | $ | 10,720,425 |   | $ | 1,897,073 |   |

 

----

(2) Averagecapitalization of Transtrend Class DT is $93,811,769

 

19

----

 

**Winton Class DT(5)**

 
| ** **               | ** ** | **June 30,  2009**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 37,103     |   | 0.05 | % | $ | 222,620 |   | $ | 1,017 |   |
| Energy                   |       | 16,048                      |       | 0.02 | % | 96,286 |   | 3,483 |   |
| Interest Rates           |       | 3,236,411                   |       | 3.98 | % | 19,418,465 |   | 2,966,081 |   |
| Metals                   |       | 12,778                      |       | 0.02 | % | 76,669 |   | 5,697 |   |
| Stock Indices            |       | 60,895                      |       | 0.07 | % | 365,373 |   | 25,424 |   |
| Currencies               |       | 150,587                     |       | 0.19 | % | 903,519 |   | 61,101 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 3,513,822  |   | 4.33 | % | $ | 21,082,932 |   | $ | 3,062,803 |   |

 

----

(5) Averagecapitalization of Winton Class DT is $81,317,000.

 

**Winton Class DT(5)**

 
| ** **               | ** ** | **June 30,  2008**     | ** ** |
|--------------------------|------------|-----------------------------|------------|
| ** **               | ** ** | **Average**                 | ** ** | **% of  Average** | ** ** | **Highest  Value** | ** ** | **Lowest  Value** | ** ** |
| **Market Sector**   | ** ** | **Value at Risk** | ** ** | **Capitalization** | ** ** | **At Risk** | ** ** | **At Risk** | ** ** |
|                     |       |                        |       |   |   |   |   |   |   |
| Agricultural Commodities |       | $                           | 265,923    |   | 0.28 | % | $ | 475,003 |   | $ | 110,006 |   |
| Energy                   |       | 253,720                     |       | 0.27 | % | 410,334 |   | 121,942 |   |
| Interest Rates           |       | 3,123,180                   |       | 3.32 | % | 3,628,426 |   | 2,227,262 |   |
| Metals                   |       | 180,240                     |       | 0.19 | % | 292,311 |   | 96,675 |   |
| Stock Indices            |       | 210,055                     |       | 0.22 | % | 533,117 |   | 12,054 |   |
| Currencies               |       | 804,445                     |       | 0.85 | % | 1,149,414 |   | 468,489 |   |
|                     |       |                        |       |   |   |   |   |   |   |
| TOTAL                    |       | $                           | 4,837,563  |   | 5.13 | % | $ | 6,488,605 |   | $ | 3,036,428 |   |

 

----

(5) Averagecapitalization of Winton Class DT is $94,116,066

 

20

----

 

MaterialLimitations on Value at Risk as an Assessment of Market Risk

 

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

 

Non-Trading Risk

 

Foreign Currency Balances; Cash on Deposit with MLPF&S

 

The Portfolio Funds have non-trading market risk on its foreign cashbalances not needed for margin. These balances (as well as the market risk theyrepresent) are generally immaterial.

 

The Portfolio Funds also have non-trading market risk on theapproximately 90-95% of its assets which are held in cash at MLPF&S.  The value of this cash is not interest ratesensitive, but there is cash flow risk in that if interest rates decline sowill the cash flow generated on these monies. This cash flow risk is immaterial.

 

Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

The following qualitative disclosures regarding thePartnership’s market risk exposures through the Portfolio Funds after thechange in structure— except for (i) those disclosures that are statementsof historical fact and (ii) the descriptions of how the Partnershipmanages its primary market risk exposures constitute forward-looking statementswithin the meaning of Section 27A of the Securities Act and Section 21Eof the Securities Exchange Act.  ThePartnership’s primary market risk exposures as well as the strategies used andto be used by MLAI and the trading advisors of the Portfolio Funds for managingsuch exposures are subject to numerous uncertainties, contingencies and risks,any one of which could cause the actual results of the risk controls for thePartnership and for the trading conducted through Portfolio Funds to differmaterially 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.

 

Qualitative Disclosures Regarding Means of ManagingRisk Exposure

 

#### **Trading Risk**

#### ** **

MLAIhas procedures in place intended to control market risk, although there can beno assurance that they will, in fact, succeed in doing so.  While MLAI does not intervene in the marketsto hedge or diversify the Partnership’s market exposure; MLAI may urge thePortfolio Funds to reallocate positions in an attempt to avoidover-concentrations.  However, such interventionsare unusual.  Except in cases in which itappears that the Portfolio Funds has begun to deviate from past practice andtrading policies or to be trading erratically, MLAI basic risk controlprocedures consist simply of the ongoing process of monitoring the PortfolioFunds with the market risk controls being applied by the Portfolio Funds.

 

21

----

 

Risk Management

 

Portfolio Funds attempt to control risk inall aspects of the investment process — from confirmation of a trend todetermining the optimal exposure in a given market, and to money managementissues such as the startup or upgrade of investor accounts.  Portfolio Funds double check the accuracy ofmarket data, and will not trade a market without multiple price sources foranalytical input.  In constructing aportfolio, Portfolio Funds seek to control overall risk as well as the risk ofany one position, and Portfolio Funds trade only markets that have beenidentified as having positive performance characteristics.  Trading discipline requires plans for theexit of a market as well as for entry. Portfolio Funds factor the point of exit into the decision to enter (stoploss).  The size of Portfolio Fund’spositions in a particular market is not a matter of how large a return can begenerated but of how much risk it is willing to take relative to that expectedreturn.

 

Toattempt to reduce the risk of volatility while maintaining the potential forexcellent performance, proprietary research is conducted on an ongoing basis torefine the Portfolio Funds investment strategies.  Research may suggest substitution ofalternative investment methodologies with respect to particular contracts; thismay occur, for example, when the testing of a new methodology has indicatedthat its use might have resulted in different historical performance.  In addition, risk management research andanalysis may suggest modifications regarding the relative weighting amongvarious contracts, the addition or deletion of particular contracts for aprogram, or a change in position size in relation to account equity.  The weighting of capital committed to variousmarkets in the investment programs is dynamic, and Portfolio Funds may vary theweighting at its discretion as market conditions, liquidity, position limitconsiderations and other factors warrant.

 

PortfolioFunds may determine that risks arise when markets are illiquid or erratic,which may occur cyclically during holiday seasons, or on the basis ofirregularly occurring market events.  Insuch cases, Portfolio Funds at its sole discretion may overridecomputer-generated signals and may at times use discretion in the applicationof its quantitative models, which may affect performance positively ornegatively.

 

Adjustmentsin position size in relation to account equity have been and continue to be anintegral part of Portfolio Fund’s investment strategy.  At its discretion, Portfolio Funds may adjustthe size of a position in relation to equity in certain markets or entireprograms.  Such adjustments may be madeat certain times for some programs but not for others.  Factors which may affect the decision toadjust the size of a position in relation to account equity include ongoingresearch, program volatility, assessments of current market volatility and riskexposure, subjective judgment, and evaluation of these and other general marketconditions.

 

## ***Non-TradingRisk***

## *** ***

ThePartnership and the Portfolio Funds control the non-trading exchange rate riskby regularly converting foreign currency balances back into U.S. dollars atleast once per week and more frequently if a particular foreign currencybalance becomes unusually high.

 

ThePartnership and the Portfolio Funds have cash flow interest rate risk on itscash on deposit with MLPF&S in that declining interest rates would causethe income from such cash to decline. However, a certain amount of cash or cash equivalents must be held bythe Partnership in order to facilitate margin payments and pay expenses andredemptions.  MLAI does not take anysteps to limit the cash flow risk on the cash held on deposit at MLPF&S.

 

22

----

 

Item 4T. Control and Procedures

 

MLAI, the Sponsorof ML Trend-Following Futures Fund L.P. with the participation of the Sponsor’s Chief Executive Officer and theChief Financial Officer, has evaluated the effectiveness of the design andoperation of its disclosure controls and procedures with respect to thePartnership as of the end of the period of this quarterly report, and, based onthis evaluation, has concluded that these disclosure controls and proceduresare effective.  Additionally, there wereno changes in the Partnership’s internal controls or in other factors duringthe latest fiscal quarter that has materially affected, or is reasonably likelyto materially affect, the funds’ internal control over financial reporting.

 

PART II - OTHER INFORMATION

 

Item 1.  Legal Proceedings

 

None.

 

Item 1A:  Risk Factors

 

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

 

Item 2.                                                          Unregistered Sales of Securities and Useof Proceeds

 

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

 
| ** ** | ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV** | ** ** |
| 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 |   |
| May-09     |       |       | 5,878,325        |       | 31,155     |       | 188.68 |   |
| Jun-09     |       |       | 822,636          |       | 4,439      |       | 185.32 |   |
| Jul-09     |       |       | 2,004,330        |       | 11,198     |       | 178.99 |   |
|            |            |            |                  |            |            |            |  |  |  |  |

 

(b) None.

(c) None.

 

Item 3.                            Defaults Upon Senior Securities

 

None.

 

Item 4.                            Submission of Matters to a Vote of Security Holders

 

None.

 

23

----

 

Item5.                            OtherInformation

 

None.

 

Item 6.                            Exhibits

 

The followingexhibits are incorporated by reference or are filed herewith to this QuarterlyReport on Form 10-Q:

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

 

24

----

** **

**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: August 14, 2009  | By                                    | /s/ JUSTIN C. FERRI |
|                        |                                  | Justin C. Ferri |
|                        |                                  | Chief  Executive Officer and President |
|                        |                                  | (Principal  Executive Officer) |
|                        |                                  |
|                        |                                  |
| Date:  August 14, 2009 | By                                    | /s/  BARBRA E. KOCSIS |
|                        |                                  | Barbra  E. Kocsis |
|                        |                                  | Chief  Financial Officer |
|                        |                                  | (Principal Financial and Accounting Officer) |

 

25

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