** **

**UNITED STATES**

**SECURITIES AND EXCHANGE COMMISSION**

 

**Washington, D.C.  20549**

 

**FORM 10-K**

 

**x**** Annual Report Pursuant to Section 13 or 15(d)of the Securities Exchange Act of 1934**

 

**For the fiscal year ended:December 31, 2008**

 

**or**

 

**o****Transition Report Pursuant to Section 13or 15(d) of the Securities Exchange Act of 1934**

 

**Commission file number:000-52384**

 

**SYSTEMATIC MOMENTUM II LLC**

(Exact name of registrant asspecified in its charter)

 

| **Delaware**                     | ** ** | **20-5269618**      |
|----------------------------------|------------|---------------------|
| (State or other  jurisdiction of |       | (I.R.S. Employer    |
| incorporation or  organization)  |       | Identification No.) |

 

**c/oMerrill Lynch Alternative Investments LLC**

**TwoWorld Financial Center, 7****th**** Floor**

### **New York, New York  10281**

(Addressof principal executive offices)

 

**212-236-2063**

 (Registrant’s telephone number, including area code)

 

Securities registeredpursuant to Section 12(b) of the Act: **None**

 

Securities registeredpursuant to Section 12(g) of the Act: **Units ofLimited Liability Company Interest**

 

Indicate by check mark ifthe registrant is a well-known seasoned issuer, as defined in Rule 405 ofthe Securities Act.
|   |   | Yes o | No x |
|--------|--------|-------|------|

 

Indicate by check mark ifthe registrant is not required to file reports pursuant to Section 13 or15(d) of the Act.
|   |   | Yes o | No x |
|--------|--------|-------|------|

 

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

 

Indicate by check mark ifdisclosure of delinquent filers pursuant to Item 405 of Regulation S-K is notcontained herein, and will not be contained, to the best of registrant’sknowledge, in definitive proxy or information statements incorporated byreference in Part III of this Form 10-K or any amendment to this Form 10-K.x

 

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

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

 

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

 

The Units of thelimited liability company interest registrant are not publicly traded.Accordingly, there is no aggregate market value for the registrant’soutstanding equity that is readily determinable.

 

As January 31, 2009units of limited liability company interest with a Net Asset Value of$51,093,934 were outstanding and held by non-affiliates.

 

**DocumentsIncorporated by Reference**

 

The registrant’s 2008 AnnualReport and Report of Independent Registered Public Accounting Firm, theannual  report to security holders forthe year ended December 31, 2008, is incorporated by reference into Part II,Item 8, and Part IV hereof and filed as an Exhibit herewith. Copiesof the annual report are available free of charge by contacting AlternativeInvestments Client Services at 1-866-MER-ALTS.

 

 

 

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**SYSTEMATICMOMENTUM II LLC**

 

ANNUALREPORT FOR 2008 ON FORM 10-K

 

Table of Contents

 
|          |                                                                                                                | **PAGE** |
|---------------|---------------------------------------------------------------------------------------------------------------------|----------|
| PART I   |
|          |                                                                                                                |     |
| Item 1.       | Business                                                                                                            | 3        |
|          |                                                                                                                |     |
| Item 1A.      | Risk Factors                                                                                                        | 10       |
|          |                                                                                                                |     |
| Item 1B.      | Unresolved  Staff Comments                                                                                          | 12       |
|          |                                                                                                                |     |
| Item 2.       | Properties                                                                                                          | 12       |
|          |                                                                                                                |     |
| Item 3.       | Legal  Proceedings                                                                                                  | 12       |
|          |                                                                                                                |     |
| Item  4.      | Submission  of Matters to a Vote of Security Holders                                                                | 12       |
|          |                                                                                                                |     |
| PART II  |
|          |                                                                                                                |     |
| Item  5.      | Market for  Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases  of Equity Securities | 12       |
|          |                                                                                                                |     |
| Item 6.       | Selected  Financial Data                                                                                            | 14       |
|          |                                                                                                                |     |
| Item  7.      | Management’s  Discussion and Analysis of Financial Condition and Results of Operations                         | 21       |
|          |                                                                                                                |     |
| Item  7A.     | Quantitative  and Qualitative Disclosures about Market Risks                                                        | 27       |
|          |                                                                                                                |     |
| Item  8.      | Financial  Statements and Supplementary Data                                                                        | 31       |
|          |                                                                                                                |     |
| Item  9.      | Changes  in and Disagreements with Accountants on Accounting and Financial Disclosure                               | 32       |
|          |                                                                                                                |     |
| Item  9A(T).  | Controls  and Procedures                                                                                            | 32       |
|          |                                                                                                                |     |
| Item 9B.      | Other  Information                                                                                                  | 33       |
|          |                                                                                                                |     |
| PART III |
|          |                                                                                                                |     |
| Item  10.     | Directors,  Executive Officers and Corporate Governance                                                             | 33       |
|          |                                                                                                                |     |
| Item 11.      | Executive  Compensation                                                                                             | 35       |
|          |                                                                                                                |     |
| Item  12.     | Security  Ownership of Certain Beneficial Owners and Management and Related Stockholder  Matters                    | 35       |
|          |                                                                                                                |     |
| Item  13.     | Certain  Relationships and Related Transactions and Director Independence                                           | 35       |
|          |                                                                                                                |     |
| Item  14.     | Principal  Accountant Fees and Services                                                                             | 36       |
|          |                                                                                                                |     |
| PART IV  |
|          |                                                                                                                |     |
| Item 15.      | Exhibits and  Financial Statement Schedules                                                                         | 37       |

 

2

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**PART I**

 

**Item 1:****         ****Business**

 

(a)                                  General Development of Business:

 

SystematicMomentum II LLC (the “Fund”) formerly known as ML APM Global CommodityFuturesAccess LLC, a Merrill Lynch FuturesAccess Program (the “Program”) fund,was organized under the Delaware Limited Liability Company Act on May 17,2004 and commenced trading activities on December 1, 2006.

 

On October 22,2008, MLAI issued an announcement regarding a restructuring of the Fund.Effective December 1, 2008 as part of the restructuring the followingoccurred:

 

·                  The Fund changed its name to SYSTEMATIC MOMENTUM II LLC

 

·                  The name change amendment was filed with the Secretary of States ofDelaware, New Jersey and New York on December 1, 2008.

 

·                  The Fund’s assets were reinvested in ML Systematic MomentumFuturesAccess LLC (“Systematic Momentum”). Systematic Momentum invests in (Portfolio Funds) that employ a varietyof systematic models and the Fund no longer utilizes the services of AbsolutePlus Management, LLC (“APM”) as a commodity trading advisor. Prior to therestructure, the Fund engaged in the speculative trading of futures, options onfutures and forward contracts on a wide range of commodities.

 

·                  The Portfolio Funds are a group of commodity pools sponsored by MLAI,each of which places substantially all of its assets in a managed futures andforward trading account managed by a single commodity trading advisor.  Each of the Portfolio Funds implements adifferent trading strategy.

 

Merrill Lynch AlternativeInvestments LLC (“MLAI”) is the sponsor (“Sponsor”) of the Fund. MLAI is anindirect wholly-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 Fund’s commoditybroker.  On September 15, 2008,Merrill Lynch & Co., Inc. (“Merrill Lynch” or the “Company”)entered 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 (“Merger Sub”) merged withand into Merrill Lynch, with Merrill Lynch continuing as the survivingcorporation and a subsidiary of Bank of America (the “Merger”).

 

Asof December 31, 2008, the Net Asset Value of the Fund for all otherpurposes was $54,357,276 and the Net Asset Value per Unit for all otherpurposes, was $1.1992 for Class A, $1.1711 for Class C, $1.2195 for Class Dand $1.2056 for Class I. The Net Asset Value per Unit for financialreporting purposes in conformity with accounting principals generally acceptedin the United States of America (“U.S. GAAP”) was $1.1988 for Class A,$1.1709 for Class C, $1.2097 for Class D and $1.2053 for Class I,and the Net Asset Value of the Fund was $54,330,120.

 

Thehighest month-end Net Asset Value per Unit for all other purposes for Class Aas of December 31, 2008 was $1.3075 (June 30, 2008) and the lowestwas $0.9827 (May 31, 2007).  Thehighest month-end Net Asset Value per Unit for all other purposes for Class Cas of December 31, 2008 was $1.2808 (June 30, 2008) and the lowestwas $0.9776 (May 31, 2007).  Thehighest month-end Net Asset Value per Unit for all other purposes for Class Das of December 31, 2008 was $1.3185 (June 30, 2008) and the lowestwas $0.9695 (May 31, 2007).  Thehighest month-end Net Asset Value per Unit for all other purposes for Class Ias of December 31, 2008 was $1.3073 (June 30, 2008) and the lowestwas $0.9834 (May 31, 2007).

 

3

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(b)                                 Financial Information about Segments:

 

The Portfolio Funds’business constitutes only one segment for financial reporting purposes, i.e*.,* a speculative “commodity pool”. The Portfolio Funds donot engage in sales of goods or services.

 

(c)                                  Narrative Description of Business:

 

***General***

 

The investment objective of the Fund is to achieve superiorrisk-adjusted rates of return through a “single strategy-type” fund of fundsapproach focusing on, but not limited to, trend-following managed futuresstrategies. Under the direction of MLAI, the Fund will seek to achieve thisobjective by allocating its capital to Systematic Momentum which allocates itscapital among a group of Portfolio Funds managed by the Portfolio Funds tradingadvisors which, MLAI believes, collectively have the ability to achievesubstantial capital appreciation with controlled performance volatility anddraw downs.

 

Systematic trading generally assumes that a disciplined quantitativeanalysis of historical and contemporaneous market information withoutdiscretionary decision making can enable a trader to forecast price action interm of trends or other market dynamics and to take positions designed toprofit from it. These systems can incur substantial losses when the marketsignificantly deviates from its usual historical patterns, e.g.**whenweather-related catastrophes, international political disruptions, andunanticipated supply/demand imbalances unexpectedly dominate the market.Systematic trading systems share basic similarities, although the models whichthey apply to historical price data differ. Such similarities imply that therewill be certain market conditions which are likely to be adverse to all orsubstantially all of the Portfolio Funds in the Fund’s portfolio.

 

Systematic trading strategies are speculative and involve substantialrisk. By operating the Fund as a “fund of funds” and investing in a number ofdifferent Portfolio Funds, MLAI will attempt to mitigate the volatility andcertain other risks of investing in a single Portfolio Fund. While diversifyingamong different trading advisors of the Fund involves the risk of one manager’sloss frequently offsetting another’s profits, this same offsetting effect alsotypically reduces overall performance volatility, potentially producing arisk/return profile for the Fund that may be more consistent with the portfolioobjectives of certain investors than investing in a single Portfolio Fund.

 

***Background***

 

The Fund has an extensive operating and performance history, but hasonly recently terminated the agreement under which APM as a CTA was responsiblefor its performance to date provided advisory services, and allocated itscapital among the Portfolio Funds.

 

The past performance of the Fund prior to December 1, 2008 or ofthe Portfolio Funds in which the Fund will invest either individually or in anycombination is not indicative of the future results of the Fund or any of thePortfolio Funds. There can be no assurance that the Fund or any of thePortfolio Funds will achieve its objective or avoid substantial or totallosses. MLAI has only recently begun to manage single-advisor managed futuresfund of funds such as the Fund. Past performance is not necessarily indicativeof future results. The MLAI trading principals who make allocations for theFund have only recently begun to operate pools and trade accounts.

 

4

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***Employees***

 

The Fund has no employees.

 

Use of Proceeds and Cash Management Income

 

Subscription Proceeds

 

TheFund’s cash is used as security for and to pay the Fund’s trading losses aswell as its expenses and redemptions. The primary use of the proceeds of thesale of the Units is to permit the Portfolio Funds to trade on a speculativebasis in a wide range of different futures and forwards markets on behalf ofthe Fund.  While being used for thispurpose, the Portfolio Funds’ assets are also generally available for cashmanagement, as more fully described below under “Cash Assets”.

 

Market Sectors

 

APM applied its proprietarysystems to a broadly-diversified portfolio of futures and forward marketspursuant to their International Value Program. The International Value Program may trade in the following markets:  CBOT, CME, EUREX, IME, LME, LIFFE, MATIF, ME,MEFF, NYMEX, NZFOE, SFE, SIMEX, TIFFE, TSE and may expand to include trading inother markets.

 

 The Portfolio Funds’ commitments to different types of markets —U.S. and non-U.S., regulated and non-regulated — differ substantially from timeto time, as well as over time.  The PortfolioFunds does not have a policyrestricting its relative commitment to any of these different types of markets.

 

Market Types

 

The Portfolio Funds trade on a variety of United States andforeign futures exchanges.  Substantiallyall of the Portfolio Funds’ off-exchangetrading takes place in the highly liquid, institutionally-based currencyforward markets.

 

Many of the PortfolioFunds’ currency trades areexecuted in the spot and forward foreign exchange markets (the “FX Markets”)where there are no direct execution costs. Instead, the participants, banks and dealers in the FX Markets take a “spread”between the prices at which they are prepared to buy and sell a particularcurrency and such spreads are built into the pricing of the spot or forwardcontracts with the Portfolio Funds’.

 

Custody of Assets

 

Allof the Portfolio Fundsassets are currently held in Commodity Futures Trading Commission (“CFTC”)regulated customer accounts at MLPF&S.

 

Cash Assets

 

The Portfolio Funds will generally earn interest, as describedbelow, on its “Cash Assets”, which can be generally described as the cashactually held by the Fund plus its “open trade equity” (unrealized gain andloss marked to market daily on open positions).   Cash Assets are held primarily in U.S.dollars, and to a lesser extent in foreign currencies, and are comprised of thePortfolio Funds’ cash balancesheld in the offset accounts (as described below) — which include “open tradeequity” (unrealized gain and loss on open positions) on United States futurescontracts, which is paid into or out of the Fund’s account on a daily basis; thePortfolio Funds’ cash balance inforeign currencies derived from its trading in non-U.S. dollar denominatedfutures and options contracts, which includes open trade equity on thoseexchanges which settle gains and losses on open positions in such contractsprior to closing out such positions. Cash Assets do not include and the Portfolio Funds do  notearn interest income on the Fund’s gains or losses on its open forward,commodity option and certain foreign futures positions since such gains andlosses are not collected or paid until such positions are closed out.

 

5

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The Portfolio Funds’ Cash Assets may be greater than, less than orequal to the Fund’s Net Asset Value (on which the redemption value of the Unitsis based) primarily because Net Asset Value reflects all gains and losses onopen positions as well as accrued but unpaid expenses.

 

Interest Earned on the PortfolioFunds’  U.S. Dollar Cash Assets

 

The Portfolio Funds’ U.S. dollar Cash Assets are held in cash atMLPF&S, which utilizes offset accounts.

 

Offset accounts arenon-interest bearing demand deposit accounts maintained with banks unaffiliatedwith Merrill Lynch.  An integral featureof the offset arrangements is that the participating banks specificallyacknowledge that the offset accounts are MLPF&S customer accounts, notsubject to any Merrill Lynch liability.

 

MLPF&S credits the PortfolioFunds with interest at the mostfavorable rate payable by MLPF&S to accounts of Merrill Lynch affiliatesbut not less than 75% of such prevailing rate. The Portfolio Funds arecredited with interest on any of its assets and net gains actually held byMLPF&S non-U.S. dollar currencies at a prevailing local rate received byMerrill Lynch.  Merrill Lynch may derivecertain economic benefit, in excess of the interest, which Merrill Lynch paysto the Portfolio Funds, frompossession of such assets.

 

The use of the offsetaccount arrangements for the Portfolio Funds’  U.S.dollar Cash Assets may be discontinued by Merrill Lynch at any time.  If Merrill Lynch were to terminate the offsetarrangements, it would attempt to invest all of the Portfolio Funds’  U.S.dollar Cash Assets to the maximum practicable extent in short-term Treasurybills.  All interest earned on the U.S.dollar Available Assets so invested would be paid to the Portfolio Funds but MLAI would expect the amount of suchinterest to be less than that available to the Portfolio Funds under the offset account arrangements.  The remaining U.S. dollar available assets ofthe Portfolio Funds would bekept in cash to meet variation margin payments and pay expenses, but would notearn interest for the Portfolio Funds.

 

The banks at which theoffset accounts are maintained make available to Merrill Lynch interest-freeovernight credits, loans or overdrafts in the amount of the PortfolioFunds’ U.S. dollar AvailableAssets held in the offset accounts, charging Merrill Lynch a small fee for thisservice.  The economic benefits derivedby Merrill Lynch — net of the interest credits paid to the Fund and the feepaid to the offset banks — from the offset accounts have not exceeded 0.75% perannum of the Fund’s average daily U.S. dollar available assets held in theoffset accounts.  These revenues toMerrill Lynch are in addition to the Brokerage Commissions and Sponsor Feespaid by the Portfolio Funds toMLPF&S and MLAI, respectively.

 

Interest Paid by MerrillLynch on the Portfolio Funds’  Non-U.S. Dollar Cash Assets

 

Underthe single currency margining system implemented for the Portfolio Funds, the Portfolio Funds do not deposit foreign currencies to margintrading in non-U.S. dollar denominated futures contracts and options, ifany.  MLPF&S provides the necessarymargin, permitting the Portfolio Funds to retain the monies which would otherwise be required for such marginas part of the Fund’s U.S. dollar Cash Assets. The Portfolio Funds donot earn interest on foreign margin deposits provided by MLPF&S. The Funddoes, however, earn interest on its non-U.S. dollar Cash Assets.  Specifically, the Portfolio Funds are credited by Merrill Lynch with interestat prevailing short-term local rates on assets and net gains on non-U.S. dollardenominated positions for such gains actually held in cash by the Fund.  Merrill Lynch charges the PortfolioFunds Merrill Lynch’s cost of financingrealized and unrealized losses on such positions.

 

ThePortfolio Funds holdforeign currency gains and finances foreign currency losses on an interim basisuntil converted into U.S. dollars and either paid into or out of the PortfolioFunds’ U.S. dollar Cash Assets.  Foreign currency gains or losses on openpositions are not converted into U.S. dollars until the positions areclosed.  Assets of the Fund while held inforeign currencies are subject to exchange rate risk.

 

6

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***Charges***

 

Thefollowing table summarizes the charges incurred by the Fund for the year ended December 31,2008 and 2007 and for the period December 1, 2006 (commencement of operations)to December 31, 2006.

 
| ** **       | ** ** | **2008**           | ** ** | **2007**                                               | ** ** | **2006**           | ** ** |
|------------------|------------|--------------------|------------|--------------------------------------------------------|------------|--------------------|------------|
| **Charges**      | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets** | ** ** | **Dollar  Amount** | ** ** | **% of Average  Month-End  Net Assets (1)** | ** ** |
| Other Expenses   |       | $                  | 269,144    |                                                   | 0.32       | %                  | $          | 426,215 |   | 1.30 | % | $ | 23,284 |   | 0.26 | % |
| Sponsor fees     |       | 1,536,052          |       | 1.82                                                   | %          | 465,974            |       | 1.43 | % | — |   | 0.00 | % |
| Management fees  |       | 1,330,727          |       | 1.58                                                   | %          | 543,610            |       | 1.66 | % | 13,694 |   | 0.16 | % |
| Performance fees |       | 5,864              |       | 0.01                                                   | %          | 936,548            |       | 2.87 | % | — |   | 0.00 | % |
| Total            |       | $                  | 3,141,787  |                                                   | 3.73       | %                  | $          | 2,372,347 |   | 7.26 | % | $ | 36,978 |   | 0.42 | % |

 

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(1) Notannualized

 

The foregoing table does notreflect the bid-ask spreads paid by the Portfolio Funds on their forward trading, or the benefitswhich may be derived by Merrill Lynch from the deposit of certain of the PortfolioFunds’  dollar assets maintained at MLPF&S.

 

 The Fund’s average month-end Net Asset Valuefor all other purposes during 2008, 2007 and 2006 equaled $84,438,223,$32,675,322 and $8,820,717, respectively.

 

During 2008, the Fund earned$1,445,818 in interest income, or approximately 1.71% of the Fund’s averagemonth-end Net Assets for all other purposes. During 2007, the Fund earned$1,459,136 in interest income, or approximately 4.47% of the Fund’s averagemonth-end Net Assets for all other purposes. During 2006, the Fund earned$45,356 in interest income, or approximately 0.5142% of the Fund’s averagemonth-end Net Assets for all other purposes.

 

**Description of Current Charges**

 
| **Recipient** |   | **Nature of Payment** |   | **Amount of Payment**                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |
|---------------|--------|-----------------------|--------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
| MLPF&S    |   | Brokerage Commissions |   | Prior to  December 1, 2008 the Fund paid brokerage commissions on actual cost per  round turn. The average round-turn commission rate charged to the Fund for  the eleven month period ended November 30, 2008 was $7.96 and the  average round-turn commission rate charged to the Fund for the year ended  December 31, 2007 was approximately $7.63 respectively (not including,  in calculating round-turn, forward contracts on a futures-equivalent basis). and the average round-turn  commission rate charged to the Fund for the year ended December 31, 2006  was approximately $10.47 respectively (not including, in calculating  round-turn, forward contracts on a futures-equivalent basis). |

 

7

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| MLPF&S                                                                                   |   | Use of assets                                                     |   | Merrill Lynch may derive an economic benefit from the deposit of  certain of the Fund’s U.S. dollar assets in accounts maintained at  MLPF&S.                                                                                                                                                                                                                                                                                                                                                                                                           |
|----------------------------------------------------------------------------------------------|--------|-------------------------------------------------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLAI                                                                                         |   | Sponsor Fees                                                      |   | A flat-rate monthly charge of 0.125 of 1% (1.50% annual rate) on  Class A units, flat-rate monthly charge of 0.2083 of 1% (2.50% annual  rate) on Class C units, a flat-rate monthly charge of 0.0917 of 1%  (1.10% annual rate) on Class I units (including the monthly interest  credit and before reduction for accrued month-end redemptions, distributions,  brokerage commissions, sponsor fees, management fees or performance fees, in  each case as of the end of the month of determination). Class D does not  pay a Sponsor fee. |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLPF&S                                                                                   |   | Sales  Commissions                                                |   | Class A  Units are subject to a sales commission paid to Merrill Lynch ranging from  1.0% to 2.5%. Class D and Class I Units are subject to sales  commissions up to 0.5%. The rate assessed to a given subscription is based  upon the subscription amount. Sales commissions are deducted from  proceeds prior to entering the Fund. Shares purchased and reflected in the fund records are net of any  commissions charged by MLPF&S. Class C Units are not subject to any sales commissions.                                         |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| Merrill Lynch International Bank (“MLIB”) (or an affiliate); Other  counterparties |   | Bid—ask spreads                                              |   | Bid—ask spreads on forwards and related trades.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| MLIB (or an affiliate); Other counterparties                                                 |   | EFP differentials                                                 |   | Certain of the Fund’s currency trades were executed in the form of  “exchange of futures for physical” transactions, in which a counterparty  (which may be MLIB or an affiliate) receives an additional “differential”  spread for exchanging the Fund’s cash currency positions for equivalent  futures positions.                                                                                                                                                                                                               |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| APM and MLAI                                                                                 |   | Annual performance fees                                           |   | Prior to  December 1, 2008 15% of any New Trading Profits, as defined, generated  by the Fund as a whole, as of the end of each calendar year. MLAI received  25% of the 15% Annual Performance Fees.                                                                                                                                                                                                                                                                                                                                                       |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| APM and MLAI                                                                                 |   | Management fees                                                   |   | Prior to  December 1, 2008 a flat-rate monthly charge of 0.125 of 1% of the Fund’s  month-end assets (a 1.5% annual rate). MLAI received 25% of the 1.5% annual  rate.                                                                                                                                                                                                                                                                                                                                                                                 |
|                                                                                         |   |                                                              |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |
| Others                                                                                       |   | Operating expense of Fund including audit, legal and tax services |   | Actual payments to third parties.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |

 

8

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| MLAI; Others |   | Initial Offering Costsreimbursed |   | Actual costs incurred. |
|--------------|--------|----------------------------------|--------|------------------------|

 

9

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***Regulation***

 

MLAI, the Fund, Systematic Momentum, the Portfolio Funds and MLPF&Sare each subject to regulation by the Commodity Futures Trading Commission (“CFTC”)and the National Futures Association (“NFA”). Other than in respect of the registration requirements pertaining to theFund’s securities under Section 12(g) of the Securities Exchange Actof 1934, the Fund is generally not subject to regulation by the Securities andExchange Commission (the “SEC”). However, MLAI itself is registered as an “investment adviser” under theInvestment Advisers Act of 1940. MLPF&S is also regulated by the SEC and the Financial IndustryRegulatory Authority (“FINRA”).

 

(d)                                 Financial Information about Geographic Areas

 

The Portfolio Fund does not engage in material operations in foreigncountries, nor is a material portion of the Fund’s revenue derived fromcustomers in foreign countries.

 

The Portfolio Funds trade on a number of foreign commodityexchanges.  The Portfolio Funds  do not engage in the sales of goods orservices.

 

**Item 1A:  Risk Factors**

 

***Past Performance Not NecessarilyIndicative of Future Results***

*** ***

Past performance is not necessarily indicative offuture results.  The trading advisors’past performance may not be representative of how it may trade in the futurefor the Portfolio Funds.

 

***Volatile Markets; Highly LeveragedTrading***

*** ***

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

 

***Importance of General MarketConditions***

*** ***

Overall market or economic conditions — which neitherMLAI nor the trading advisors can predict or control — have a material effecton the performance of any managed futures strategy.

 

***Possibility of Additional Governmentor Market Regulation***

*** ***

Market disruptions and the dramatic increase in thecapital allocated to alternative investment strategies during recent years haveled to increased governmental as well as self-regulatory scrutiny of thealternative investment funds industry in general.  In addition, certain legislation proposinggreater regulation of the industry periodically is considered by the U.S.Congress, as well as the governing bodies of foreign jurisdictions. It isimpossible to predict what, if any, changes in the regulations applicable tothe Partnership, its general partner (MLAI), the markets in which they tradeand invest or the counterparties with which they do business may be institutedin the future. Any such regulation could have a material adverse impact on theprofit potential of the Partnership, as well as require increased transparencyas to the identity of the Partnership’s limited partners.

 

***Forward***Trading

*** ***

ThePortfolio Funds will trade in the forward markets in addition to trading in thefutures markets.  The forward markets areover-the-counter, non-exchange traded markets, and in trading in the forwardmarkets, the Portfolio Funds will be dependent on the credit standing of thecounterparties with which they trade, without the financial support of any clearinghousesystem.  In addition, the prices offeredfor the same forward contract may vary significantly among different forwardmarket participants.  Forward marketscounterparties are under no obligation to enter into forward transactions,including transactions through which the Portfolio Funds are attempting toliquidate open positions.

 

10

----

 

***Increased Assets Under Management***

*** ***

Thereappears to be a tendency for the rates of return achieved by managed futuresadvisors to decline as assets under management increase.  The trading advisors have not agreed to limitthe amount of additional equity which it may manage.

 

## **TradingAdvisor Risk**

##  

TheFund is subject to the risk of the bad judgment, negligence or misconduct ofthe trading advisors.  There have been anumber of instances in recent years in which private investment funds haveincurred substantial losses due to manager misconduct.

 

## **Changesin Trading Strategy**

##  

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

 

## **IlliquidMarkets**

##  

Certainpositions held by the Fund may become illiquid, preventing the trading advisorsfrom acquiring positions otherwise indicated by its strategy or making itimpossible for the trading advisors to close out positions against which themarket is moving.

 

Certainfutures markets are subject to “daily price limits,” restricting the maximumamount by which the price of a particular contract can change during any giventrading day.  Once a contract’s price hasmoved “the limit,” it may be impossible or economically non-viable to executetrades in such contract.  From time totime, prices have moved “the limit” for a number of consecutive days, making itimpossible for traders against whose positions the market was moving to preventlarge losses.

 

## **Tradingon Non-U.S. Exchanges**

##  

Thetrading advisors may trade extensively on non-U.S. exchanges.  These exchanges are not regulated by anyUnited States governmental agency. The Portfolio Funds and consequently theFund could incur substantial losses trading on foreign exchanges to which theywould not have been subject had their trading advisors limited their trading toU.S. markets.

 

Theprofits and losses derived from trading foreign futures and forwards willgenerally be denominated in foreign currencies; consequently, the PortfolioFunds will be subject to a certain degree of exchange-rate risk in trading suchcontracts.

 

## **The Portfolio Funds Could Lose Assets and Have Its TradingDisrupted Due to the Bankruptcy of One of the Parties**

##  

The Portfolio Funds’ are subject to therisk of insolvency of a counterparty, an exchange, a clearinghouseor MLPF&S. Portfolio Funds’ assets could be lost or impounded duringlengthy bankruptcy proceedings.  Were asubstantial portion of the Portfolio Funds’ capital tied up in a bankruptcy,MLAI might suspend or limit trading, perhaps causing the Portfolio Funds’ tomiss significant profit opportunities. There are increased risks in dealingwith unregulated trading counterparties including the risk that assets may notbenefit from the protection afforded to “customer funds” deposited withregulated dealers and brokers.

 

11

----

 

**Item 1B:  Unresolved StaffComments**

 

Not applicable.

 

**Item 2:****         ****Properties**

 

The Fund does not use any physical properties in the conduct of itsbusiness.

 

The Fund’s offices are the administrative offices of MLAI (MerrillLynch Alternative Investments LLC, Two World Financial Center, 7th Floor, New York, New York10281.  MLAI performs administrativeservices for the Fund from MLAI’s offices.

 

**Item 3:****         ****Legal Proceedings**

 

None.

 

**Item 4:****         ****Submission of Matters to a Voteof Security Holders**

 

None.

 

**PART II**

 

**Item 5:****         ****Market for Registrant’s CommonEquity, Related Stockholder Matters and Issuer Purchases of Equity Securities**

 

Item 5(a)

 

(a)                                  Market Information:

 

There is no established public trading market for the Units, and noneis likely to develop.  Members may redeemUnits on ten days written notice to MLAI as of the last day of each month attheir Net Asset Value for all other purposes, subject to certain earlyredemption charges.

 

(b)                                 Holders:

 

As of December 31, 2008, there were 925 holders of Units.

 

(c)                                  Dividends:

 

MLAI has not made and does not contemplate making any distributions onthe Units.

 

(d)                                 Securities Authorized for Issuance UnderEquity Compensation Plans:

 

Not applicable.

 

12

----

 

(e)           Recent Sales ofUnregistered Securities

 

Issuanceto accredited investors pursuant to Regulation D and Section 4(6) underthe Securities Act.  The selling agent ofthe following Class of Units was MLPF&S.

 

During2008, the Fund issued Units as set forth in the following chart.

 

CLASS A

 
| ** ** | ** ** | **Subscription** |       |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** |   |
| Jan-08     |       | $                | 1,786,860  |   | 1,564,128 |   | $ | 1.1424 |   |
| Feb-08     |       | 149,954          |       | 122,662 |   | 1.2225 |   |
| Mar-08     |       | 1,559,677        |       | 1,204,849 |   | 1.2945 |   |
| Apr-08     |       | 490,469          |       | 389,076 |   | 1.2606 |   |
| May-08     |       | 285,618          |       | 230,616 |   | 1.2385 |   |
| Jun-08     |       | 308,301          |       | 245,150 |   | 1.2576 |   |
| Jul-08     |       | 282,746          |       | 216,249 |   | 1.3075 |   |
| Aug-08     |       | 1,925,616        |       | 1,550,790 |   | 1.2417 |   |
| Sep-08     |       | 422,167          |       | 333,518 |   | 1.2658 |   |
| Oct-08     |       | 1,903,995        |       | 1,595,571 |   | 1.1933 |   |
| Nov-08     |       | 9,359            |       | 8,202 |   | 1.1411 |   |
| Dec-08     |       | 10,648           |       | 9,124 |   | 1.1671 |   |
| Jan-09     |       | —           |       | — |   | 1.1992 |   |
| Feb-09     |       | —           |       | — |   | 1.1903 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** |       |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** |   |
| Jan-08     |       | $                | 4,037,339  |   | 3,579,201 |   | $ | 1.1280 |   |
| Feb-08     |       | 3,584,330        |       | 2,971,835 |   | 1.2061 |   |
| Mar-08     |       | 6,156,484        |       | 4,828,615 |   | 1.2750 |   |
| Apr-08     |       | 6,772,110        |       | 5,455,220 |   | 1.2414 |   |
| May-08     |       | 3,517,037        |       | 2,888,737 |   | 1.2175 |   |
| Jun-08     |       | 3,255,778        |       | 2,636,684 |   | 1.2348 |   |
| Jul-08     |       | 1,526,391        |       | 1,191,748 |   | 1.2808 |   |
| Aug-08     |       | 2,563,987        |       | 2,109,409 |   | 1.2155 |   |
| Sep-08     |       | 1,764,611        |       | 1,423,533 |   | 1.2396 |   |
| Oct-08     |       | 908,990          |       | 778,445 |   | 1.1677 |   |
| Nov-08     |       | 99,860           |       | 89,464 |   | 1.1162 |   |
| Dec-08     |       | —           |       | — |   | 1.1407 |   |
| Jan-09     |       | 2,966            |       | 2,533 |   | 1.1711 |   |
| Feb-09     |       | 2,966            |       | 2,533 |   | 1.1614 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** | ** ** |
| Jan-08     |       | $                | 748,059    |   | 661,355 |   | $ | 1.1311 |   |
| Feb-08     |       | —           |       | — |   | 1.2119 |   |
| Mar-08     |       | 1,099,998        |       | 855,897 |   | 1.2852 |   |
| Apr-08     |       | 975,000          |       | 774,485 |   | 1.2590 |   |
| May-08     |       | —           |       | — |   | 1.2445 |   |
| Jun-08     |       | —           |       | — |   | 1.2656 |   |
| Jul-08     |       | 999,999          |       | 758,437 |   | 1.3185 |   |
| Aug-08     |       | —           |       | — |   | 1.2529 |   |
| Sep-08     |       | 2,984,999        |       | 2,329,483 |   | 1.2814 |   |
| Oct-08     |       | 550,000          |       | 455,411 |   | 1.2077 |   |
| Nov-08     |       | 1,676,939        |       | 1,448,884 |   | 1.1574 |   |
| Dec-08     |       | —           |       | — |   | 1.1853 |   |
| Jan-09     |       | —           |       | — |   | 1.2195 |   |
| Feb-09     |       | —           |       | — |   | 1.2119 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** |       |
|------------|------------|------------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units** | ** ** | **NAV (1)** |   |
| Jan-08     |       | $                | 2,535,059  |   | 2,221,008 |   | $ | 1.1414 |   |
| Feb-08     |       | 2,721,249        |       | 2,227,246 |   | 1.2218 |   |
| Mar-08     |       | 1,014,023        |       | 784,787 |   | 1.2921 |   |
| Apr-08     |       | 1,595,580        |       | 1,264,928 |   | 1.2614 |   |
| May-08     |       | 963,281          |       | 777,153 |   | 1.2395 |   |
| Jun-08     |       | 410,514          |       | 326,167 |   | 1.2586 |   |
| Jul-08     |       | 752,447          |       | 575,573 |   | 1.3073 |   |
| Aug-08     |       | 114,625          |       | 92,179 |   | 1.2435 |   |
| Sep-08     |       | 749,996          |       | 590,223 |   | 1.2707 |   |
| Oct-08     |       | 869,998          |       | 726,209 |   | 1.1980 |   |
| Nov-08     |       | 451,970          |       | 394,252 |   | 1.1464 |   |
| Dec-08     |       | —           |       | — |   | 1.1729 |   |
| Jan-09     |       | —           |       | — |   | 1.2056 |   |
| Feb-09     |       | —           |       | — |   | 1.1971 |   |
|            |            |                  |            |  |  |  |  |  |  |

 

----

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

 

Item 5(b)

 

Not applicable.

 

Item 5(c)

 

Not applicable.

 

13

----

 

**Item 6:   Selected FinancialData**

 

The following selected financial data has been derived from thefinancial statements of the Fund.

** **
| **Statements of Operations** | ** ** | **For the year  ended  December 31,  2008** | ** ** | **For the year  ended  December 31,  2007** | ** ** | **For the period  December 1, 2006  (commencement of  operations) to  December 31,2006** | ** ** |
|----------------------------------------|------------|------------------------------------------------------------|------------|------------------------------------------------------------|------------|-----------------------------------------------------------------------------------------------------------------------------|------------|
| ** **                             | ** ** | ** **                                                 | ** ** | ** **                                                 | ** ** | ** **                                                                                                                  | ** ** |
| Trading profit  (loss)                 |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| Realized                               |       | $                                                          | 4,207,691  |                                                       | $          | 4,791,852                                                                                                                   |       | $ | (238,314 | ) |
| Change in  unrealized                  |       | (1,253,632                                                 | )          | 2,721,629                                                  |       | 20,834                                                                                                                      |       |
| Brokerage  commissions                 |       | (294,966                                                   | )          | (82,693                                                    | )          | (3,465                                                                                                                      | )          |
| Total trading  profit (loss)           |       | 2,659,093                                                  |       | 7,430,788                                                  |       | (220,945                                                                                                                    | )          |
|                                   |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| INVESTMENT  INCOME:                    |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| Interest                               |       | 1,445,818                                                  |       | 1,459,136                                                  |       | 45,356                                                                                                                      |       |
|                                   |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| EXPENSES:                              |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| Management fees                        |       | 1,330,727                                                  |       | 543,610                                                    |       | 13,694                                                                                                                      |       |
| Performance fees                       |       | 5,864                                                      |       | 936,548                                                    |       | —                                                                                                                      |       |
| Sponsor fees                           |       | 1,536,052                                                  |       | 465,974                                                    |       | —                                                                                                                      |       |
| Other                                  |       | 269,144                                                    |       | 426,215                                                    |       | 23,284                                                                                                                      |       |
| Total Expenses                         |       | 3,141,787                                                  |       | 2,372,347                                                  |       | 36,978                                                                                                                      |       |
|                                   |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| NET INVESTMENT  LOSS                   |       | (1,695,969                                                 | )          | (913,211                                                   | )          | 8,378                                                                                                                       |       |
|                                   |       |                                                       |       |                                                       |       |                                                                                                                        |       |
| NET INCOME  (LOSS)                     |       | $                                                          | 963,124    |                                                       | $          | 6,517,577                                                                                                                   |       | $ | (212,567 | ) |

 
| **Balance  Sheet Data**                | ** ** | **December 31,  2008** | ** ** | **December 31,  2007** | ** ** | **December 31,  2006** | ** ** |
|----------------------------------------|------------|-----------------------------|------------|-----------------------------|------------|-----------------------------|------------|
|                                   |       |                        |       |                        |       |                        |       |
| Members’ Capital                  |       | $                           | 54,330,120 |                        | $          | 63,569,046                  |       | $ | 6,487,434 |   |
| Net Asset Value  per Class A Unit |       | $                           | 1.1988     |                        | $          | 1.1416                      |       | N/A |   |
| Net Asset Value  per Class C Unit |       | $                           | 1.1709     |                        | $          | 1.1278                      |       | N/A |   |
| Net Asset Value  per Class D Unit |       | $                           | 1.2097     |                        | $          | 1.1302                      |       | $ | 0.9807 |   |
| Net Asset Value  per Class I Unit |       | $                           | 1.2053     |                        | $          | 1.1411                      |       | N/A |   |

 

14

----

 

For financial reporting purposes, in conformity with GAAP, the Fundamortizes initial offering costs payable to MLAI over twelve months for purposesof determining Net Asset Value.  For allother purposes, including computing Net Asset Value for purposes of membersubscription and redemption activity, such payment is amortized over 60 months.  Consequently, as of December 31, 2008and 2007, the Net Asset Value and Net Asset Value per Unit of the differentClasses for financial reporting purposes and for all other purposes are asfollows:

 

**December 31,2008**

 
| ** **   | ** ** | **Net Asset Value**             | ** ** | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|--------------|------------|-------------------------------------------|------------|--------------------------|------------|--------------------------------------------------|------------|
| ** **   | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** | **Number of  Units**                        | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** |
| Class A |       | $                                         | 7,796,919  |                     | $          | 7,793,914                                        |       | 6,501,601 |   | $ | 1.1992 |   | $ | 1.1988 |   |
| Class C |       | 37,243,881                                |       | 37,238,734               |       | 31,802,737                                       |       | 1.1711 |   | 1.1709 |   |
| Class D |       | 2,129,830                                 |       | 2,112,788                |       | 1,746,524                                        |       | 1.2195 |   | 1.2097 |   |
| Class I |       | 7,186,646                                 |       | 7,184,684                |       | 5,960,970                                        |       | 1.2056 |   | 1.2053 |   |
|         |       | $                                         | 54,357,276 |                     | $          | 54,330,120                                       |       | $ | 46,011,832 |   |   |   |   |   |
|              |            |                                           |            |                          |            |                                                  |            |  |  |  |  |  |  |  |  |  |

 

**December 31,2007**

 
| ** **   | ** ** | **Net Asset Value**             | ** ** | ** **               | ** ** | **Net Asset Value per Unit** | ** ** |
|--------------|------------|-------------------------------------------|------------|--------------------------|------------|---------------------------------------------|------------|
| ** **   | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** | **Number of  Units**                   | ** ** | **All Other  Purposes  (unaudited)** | ** ** | **Financial  Reporting** | ** ** |
| Class A |       | $                                         | 4,852,693  |                     | $          | 4,849,384                                   |       | 4,247,792 |   | $ | 1.1424 |   | $ | 1.1416 |   |
| Class C |       | 26,466,199                                |       | 26,459,564               |       | 23,461,920                                  |       | 1.1280 |   | 1.1278 |   |
| Class D |       | 22,254,692                                |       | 22,237,106               |       | 19,675,186                                  |       | 1.1311 |   | 1.1302 |   |
| Class I |       | 10,025,466                                |       | 10,022,992               |       | 8,783,678                                   |       | 1.1414 |   | 1.1411 |   |
|         |       | $                                         | 63,599,050 |                     | $          | 63,569,046                                  |       | 56,168,576 |   |   |   |   |   |
|              |            |                                           |            |                          |            |                                             |            |  |  |  |  |  |  |  |  |  |

 

15

----

 

MLAI believes that the Net Asset Value used to calculate subscriptionand redemption value and report performance to investors throughout the year isthe most valuable to the Members of the Fund. Therefore, the charts below referencing Net Asset Value and performancemeasurements are based on the Net Asset Value for all other purposes.

 

MONTH-END NET ASSET VALUE PER INITIAL UNIT CLASS A

 
|   |   | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|--------|--------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2006   |   | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | N/A       |       | N/A      |       | N/A      |       | N/A      |       |
| 2007   |   | N/A      |       | $        | 0.9932     |     | $          | 0.9869   |       | $       | 0.9853     |     | $          | 0.9827   |       | $        | 1.0022     |      | $          | 1.0161   |       | $        | 1.0259     |     | $          | 1.0764 |   | $ | 1.1056 |   | $ | 1.1224 |   | $ | 1.1424 |   |
|        |        |          |            |          |            |          |            |          |            |         |            |          |            |          |            |          |            |           |            |          |            |          |            |          |            |  |  |  |  |  |  |  |  |  |  |  |
| 2008 |   | $ | 1.2225 |   | $ | 1.2945 |   | $ | 1.2606 |   | $ | 1.2385 |   | $ | 1.2576 |   | $ | 1.3075 |   | $ | 1.2417 |   | $ | 1.2658 |   | $ | 1.1933 |   | $ | 1.1411 |   | $ | 1.1671 |   | $ | 1.1992 |   |
|------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|---|--------|--------|

 

MONTH-END NET ASSET VALUEPER INITIAL UNIT CLASS C

 
|   | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|--------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2006   |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | N/A       |       | N/A      |       | N/A      |       | N/A      |       |
| 2007   |       | $        | 0.9982     |     | $          | 0.9906   |       | $        | 0.9835     |    | $          | 0.9810   |       | $        | 0.9776     |     | $          | 0.9962    |       | $        | 1.0092     |     | $          | 1.0181   |       | $ | 1.0671 |   | $ | 1.0949 |   | $ | 1.1098 |   | $ | 1.1280 |   |
| 2008   |       | $        | 1.2061     |     | $          | 1.2750   |       | $        | 1.2414     |    | $          | 1.2175   |       | $        | 1.2348     |     | $          | 1.2808    |       | $        | 1.2155     |     | $          | 1.2396   |       | $ | 1.1677 |   | $ | 1.1162 |   | $ | 1.1407 |   | $ | 1.1711 |   |

 

MONTH-END NETASSET VALUE PER INITIAL UNIT CLASS D

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | N/A       |       | N/A      |       | N/A      |       | $        | 0.9813     |   |
| 2007       |       | $        | 0.9816     |     | $          | 0.9762   |       | $        | 0.9712     |    | $          | 0.9708   |       | $        | 0.9695     |     | $          | 0.9899    |       | $        | 1.0049     |     | $          | 1.0160   |       | $ | 1.0672 |   | $ | 1.0955 |   | $ | 1.1121 |   | $ | 1.1311 |   |
| 2008       |       | $        | 1.2119     |     | $          | 1.2852   |       | $        | 1.2590     |    | $          | 1.2445   |       | $        | 1.2656     |     | $          | 1.3185    |       | $        | 1.2529     |     | $          | 1.2814   |       | $ | 1.2077 |   | $ | 1.1574 |   | $ | 1.1853 |   | $ | 1.2195 |   |

 

MONTH-END NETASSET VALUE PER INITIAL UNIT CLASS I

 
| ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May** | ** ** | **June** | ** ** | **July** | ** ** | **Aug.** | ** ** | **Sept.** | ** ** | **Oct.** | ** ** | **Nov.** | ** ** | **Dec.** | ** ** |
|------------|------------|----------|------------|----------|------------|----------|------------|----------|------------|---------|------------|----------|------------|----------|------------|----------|------------|-----------|------------|----------|------------|----------|------------|----------|------------|
| 2006       |       | N/A      |       | N/A      |       | N/A      |       | N/A      |       | N/A     |       | N/A      |       | N/A      |       | N/A      |       | N/A       |       | N/A      |       | N/A      |       | N/A      |       |
| 2007       |       | $        | 0.9994     |     | $          | 0.9930   |       | $        | 0.9870     |    | $          | 0.9857   |       | $        | 0.9834     |     | $          | 1.0032    |       | $        | 1.0175     |     | $          | 1.0277   |       | $ | 1.0783 |   | $ | 1.1066 |   | $ | 1.1225 |   | $ | 1.1414 |   |
| 2008       |       | $        | 1.2218     |     | $          | 1.2921   |       | $        | 1.2614     |    | $          | 1.2395   |       | $        | 1.2586     |     | $          | 1.3073    |       | $        | 1.2435     |     | $          | 1.2707   |       | $ | 1.1980 |   | $ | 1.1464 |   | $ | 1.1729 |   | $ | 1.2056 |   |

 

Pursuantto CFTC policy, monthly performance is presented from December 1, 2006(commencement of operations).

 

16

----

 

**SYSTEMATIC MOMENTUM II LLC**

**(CLASS A UNITS)**(5)

**December 31, 2008**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* February 1, 2007

*Aggregate Subscriptions:*   $13,619,820

*Current Capitalization: * $7,796,919

*Worst Monthly Drawdown(2): *(5.73) % (September 2008)

*Worst Peak-to-Valley Drawdown(3): *(12.72) % (July -October 2008)

 

*Net Asset Value per Unitfor Class A, December 31, 2008:*   $1.1992

 

**Monthly Rates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 7.00     | %          | 0.00     | %          |
| February                        |       | 5.89     |       | (0.68    | )          |
| March                           |       | (2.62    | )          | (0.64    | )          |
| April                           |       | (1.75    | )          | (0.16    | )          |
| May                             |       | 1.54     |       | (0.26    | )          |
| June                            |       | 3.97     |       | 1.98     |       |
| July                            |       | (5.03    | )          | 1.39     |       |
| August                          |       | 1.94     |       | 0.97     |       |
| September                       |       | (5.73    | )          | 4.92     |       |
| October                         |       | (4.37    | )          | 2.71     |       |
| November                        |       | 2.28     |       | 1.52     |       |
| December                        |       | 2.75     |       | 1.78     |       |
| Compound Annual  Rate of Return |       | 4.97     | %          | 14.24    | %          |

 

----

(1) Certain funds, including funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since February 1, 2007 by the Fund; a drawdownis measured on the basis of month-end Net Asset Value only, and does notreflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since February 1, 2007 from a month-end cumulativeMonthly Rate of Return without such cumulative Monthly Rate of Return beingequaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Returnwas -1% in each of January and February, 1% in March and -2% inApril, the Peak-to-Valley Drawdown would still be continuing at the end of April inthe amount of approximately -3%, whereas if the Monthly Rate of Return had beenapproximately 3% in March, the Peak-to-Valley Drawdown would have ended as ofthe end of February at approximately the -2% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total capital of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 19.88%.

 

17

----

 

**SYSTEMATIC MOMENTUM II LLC**

**(CLASS C UNITS)**(5)

**December 31, 2008**

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* January 1, 2007

*Aggregate Subscriptions:*   $60,611,325

*Current Capitalization: * $37,243,881

*Worst Monthly Drawdown(2): *(5.80) % (September 2008)

*Worst Peak-to-Valley Drawdown(3): *(12.85) % (July –October 2008)

 

*Net Asset Value per Unitfor Class C, December 31, 2008:*   $1.1711

** **

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 6.89     | %          | -0.18    | %          |
| February                        |       | 5.71     |       | (0.76    | )          |
| March                           |       | (2.64    | )          | (0.72    | )          |
| April                           |       | (1.93    | )          | (0.25    | )          |
| May                             |       | 1.42     |       | (0.35    | )          |
| June                            |       | 3.73     |       | 1.90     |       |
| July                            |       | (5.10    | )          | 1.30     |       |
| August                          |       | 1.98     |       | 0.88     |       |
| September                       |       | (5.80    | )          | 4.81     |       |
| October                         |       | (4.41    | )          | 2.61     |       |
| November                        |       | 2.19     |       | 1.36     |       |
| December                        |       | 2.67     |       | 1.64     |       |
| Compound Annual  Rate of Return |       | 3.78     | %          | 12.81    | %          |

 

----

(1) Certainfunds, including funds sponsored by MLAI, are structured so as to guarantee toinvestors that their investment will be worth no less than a specified amount(typically, the initial purchase price) as of a date certain after the date ofinvestment.  The CFTC refers to suchfunds as “principal protected”.  The Fundhas no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since January 1, 2007 by the Fund; a drawdownis measured on the basis of month-end Net Asset Value only, and does notreflect intra-month figures.

 

 (3) Worst Peak-to-ValleyDrawdown represents the greatest percentage decline since January 1, 2007from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was -1% in each of January and February, 1% in March and-2% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately -3%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the -2% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total capital of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 17.09%.

 

18

----

 

**SYSTEMATIC MOMENTUM II LLC**

**(CLASS D UNITS)**(5)

**December 31, 2008**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* December 1, 2006

*Aggregate Subscriptions:*   $45,338,080

*Current Capitalization: * $2,129,830

*Worst Monthly Drawdown(2): *(5.75) % (September 2008)

*Worst Peak-to-Valley Drawdown(3): *(12.22) % (July –October 2008)

 

*Net Asset Value per Unitfor Class D, December 31, 2008:*   $1.2195

** **

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 7.13     | %          | 0.03     | %          |
| February                        |       | 6.05     |       | (0.55    | )          |
| March                           |       | (2.05    | )          | (0.51    | )          |
| April                           |       | (1.14    | )          | (0.04    | )          |
| May                             |       | 1.70     |       | (0.14    | )          |
| June                            |       | 4.18     |       | 2.11     |       |
| July                            |       | (4.98    | )          | 1.51     |       |
| August                          |       | 2.27     |       | 1.10     |       |
| September                       |       | (5.75    | )          | 5.05     |       |
| October                         |       | (4.16    | )          | 2.65     |       |
| November                        |       | 2.40     |       | 1.52     |       |
| December                        |       | 2.89     |       | 1.71     |       |
| Compound Annual  Rate of Return |       | 7.80     | %          | 15.26    | %          |

 

----

(1) Certain funds, including funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since December 1, 2007 by the Fund; a drawdownis measured on the basis of month-end Net Asset Value only, and does notreflect intra-month figures.

 

(3) Worst Peak-to-Valley Drawdown represents the greatestpercentage decline since December 1, 2006 from a month-end cumulativeMonthly Rate of Return without such cumulative Monthly Rate of Return beingequaled or exceeded as of a subsequent month-end.  For example, if the Monthly Rate of Returnwas -1% in each of January and February, 1% in March and -2% inApril, the Peak-to-Valley Drawdown would still be continuing at the end of April inthe amount of approximately -3%, whereas if the Monthly Rate of Return had beenapproximately 3% in March, the Peak-to-Valley Drawdown would have ended as ofthe end of February at approximately the -2% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total capital of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 20.97%.

 

19

----

 

**SYSTEMATIC MOMENTUM II LLC**

**(CLASS I UNITS)**(5)

**December 31, 2008**

 

*Type of Pool:*  Single Advisor Non-“Principal Protected”(1)

*Inception of Trading:* January 1, 2007

*Aggregate Subscriptions:*   $21,334,872

*Current Capitalization: * $7,186,646

*Worst Monthly Drawdown(2): *(5.72)% (September 2008)

*Worst Peak-to-Valley Drawdown(3): *(12.31)%  (July – October 2008)

 

*Net Asset Value per Unitfor Class I, December 31, 2008:*   $1.2056

 

**MonthlyRates of Return (4)**

 
| **Month**                       | ** ** | **2008** | ** ** | **2007** | ** ** |
|---------------------------------|------------|----------|------------|----------|------------|
| January                         |       | 7.04     | %          | -0.06    | %          |
| February                        |       | 5.75     |       | (0.64    | )          |
| March                           |       | (2.38    | )          | (0.60    | )          |
| April                           |       | (1.74    | )          | (0.13    | )          |
| May                             |       | 1.54     |       | (0.23    | )          |
| June                            |       | 3.87     |       | 2.02     |       |
| July                            |       | (4.88    | )          | 1.42     |       |
| August                          |       | 2.19     |       | 1.00     |       |
| September                       |       | (5.72    | )          | 4.92     |       |
| October                         |       | (4.31    | )          | 2.63     |       |
| November                        |       | 2.30     |       | 1.43     |       |
| December                        |       | 2.80     |       | 1.68     |       |
| Compound Annual  Rate of Return |       | 5.63     | %          | 14.13    | %          |

 

----

(1) Certain funds, including funds sponsored by MLAI, arestructured so as to guarantee to investors that their investment will be worthno less than a specified amount (typically, the initial purchase price) as of adate certain after the date of investment. The CFTC refers to such funds as “principal protected”.  The Fund has no such feature.

 

(2) Worst Monthly Drawdown represents the largest negative MonthlyRate of Return experienced since January 1, 2007 by the Fund; a drawdownis measured on the basis of month-end Net Asset Value only, and does notreflect intra-month figures.

 

 (3) Worst Peak-to-ValleyDrawdown represents the greatest percentage decline since January 1, 2007from a month-end cumulative Monthly Rate of Return without such cumulativeMonthly Rate of Return being equaled or exceeded as of a subsequentmonth-end.  For example, if the MonthlyRate of Return was -1% in each of January and February, 1% in March and-2% in April, the Peak-to-Valley Drawdown would still be continuing at the endof April in the amount of approximately -3%, whereas if the Monthly Rateof Return had been approximately 3% in March, the Peak-to-Valley Drawdown wouldhave ended as of the end of February at approximately the -2% level.

 

(4) Monthly Rate of Return is the net performance of the Fundduring the month of determination (including interest income and after allexpenses have been accrued or paid) divided by the total capital of the Fund asof the beginning of such month*.*

 

(5) The information presented is based on Net Asset Value and NetAsset Value per Unit for all other purposes. The inception to date total return based on U.S. GAAP is 20.53%.

 

20

----

 

**Item 7:  Management’sDiscussion and Analysis of Financial Condition and Results of Operations**

 

**Results of Operations**

 

General

 

The following summary outlines the operations of the Fund during January 1,2008 to November 30, 2008

 

Performance Summary

 

This performance summary is an outline description of how the Fundperformed in the past, not necessarily any indication of how it will perform inthe future.  In addition, the generalcauses to which certain price movements are attributed may or may not in facthave caused such movements, but simply occurred at or about the same time.

 

ML APM Global Commodity FuturesAccess LLC Sector Commentary for thePeriod January 1, 2008 to November 30, 2008

 

The Fund posted gains forthis period.

 
| ** **                              | ** ** | **Total Trading** | ** ** |
|-----------------------------------------|------------|------------------------|------------|
| **November 30, 2008**         | ** ** | **Profit (Loss)** | ** ** |
|                                    |       |                   |       |
| Interest Rates                          |       | $                      | (2,166,123 | ) |
| Agricultural  Commodities               |       | 313,613                |       |
| Currencies/FX                           |       | (35,794                | )          |
| Energy                                  |       | 3,833,598              |       |
| Metals                                  |       | (895,090               | )          |
| Stock Indices                           |       | —                 |       |
|                                    |       | 1,050,204              |       |
| Change in  Brokerage Commission Payable |       | 311,901                |       |
|                                    |       | $                      | 1,362,105  |   |

 

January 1,2008 to March 31, 2008

 

The Fund posted profitsin all sectors for the first quarter.

 

The agriculture sectorposted profits for the Fund. Corn and soybeans had a strong January asSouth Korea, who is the 4th largest importerof U.S. corn, was reportedly looking to buy more corn off of the U.S. dollar’sweakness posting profits for the Fund. Soybeans surged on concerns that Chinesedemand will reduce U.S. inventories mid-quarter. Wheat rose on reports thatproduction will not keep pace with output and reports from the U.S. Departmentof Agriculture that show inventory at a 60 year low. Later in the month, wheatcorrected as crops in the Northern Hemisphere appear in better condition thaninitially reported. Also wheat crops in the Ukraine and Russia look better thanpreviously forecasted. The quarter ended with losses being posted to the Funddue to the following factors. Grains closed lower as both wheat and soybeansfaced corrections while corn ended about flat. Softs also took away about —1.00%from returns as coffee and sugar both corrected for a total of —0.85%.Commodities sell off ended on March 20th with the biggest weekly declinein 50 years as expectations of slower economic growth impacted prices. Chinaannounced subsidies to farmers in an attempt to curb inflation at an 11-yearhigh.

 

The metals sector postedprofits for the Fund. The largest returns came from precious metals which wereup at the beginning of the year posting profits to the Fund. Gold moved to arecord level of over $942 on the back of the U.S. Federal Reserve’s aggressivemove and the U.S. dollar’s weakness and copper rose on reports the supply isthe lowest in seven months.  The quarterended with losses being posted to the Fund due to precious metals which fell-1.00% in March with gold mostly responsible

 

21

----

 

The interest rate sectorposted profits for the Fund. The U.S. Federal Reserve made a historical move ofreducing rates at the beginning of the year by 125 basis points in nine daysciting both growth and credit concerns and that credit has still tightened forhouseholds and businesses. Losses were posted to the Fund in the middle of thequarter due to the volatility in the market as the fixed income ended slightlynegative by roughly.  The quarter endedwith profits being posted to the Fund as the U.S. Federal Reserve loweredovernight rates which was the 6th reduction since September 2007.

 

The energy sector postedprofits for the Fund. Losses were posted to the Fund at the beginning of theyear as crude oil has corrected due to several factors such as fears of theU.S. hitting a recession, the OPEC Minister saying they are ready to increaseproduction and an inventory surge for the week ending January 11, 2008,which all caused concern that current market levels cannot be maintained. Oilrose above $100 a barrel mid-quarter on supply concerns from loss of Nigerianoutput, pumping disruptions in Iraq and fire at a United Kingdom gas plant.Crude oil corrected as U.S. inventories rose for the 11 weeks out of the last12 by 2.25 million barrels helped by an earlier than expected opening of Iraqexport terminal.

 

April 1, 2008to June 30, 2008

 

The Fund posted gains forthe second quarter with the energy and agriculture sectors posting gains whilemetals and interest rate sectors posted losses.

 

The energy sector postedprofits for the Fund. The continued concerns surrounding the supply of oil keptthe energy sector strong at the beginning of the quarter. The recent move inthe energy sector has brought the option deltas back to higher levels. Thehigher deltas mean that the price of the options will closely resemble thereturn of the underlying commodities in an up market. Profits continued to beposted to the Fund mid-quarter as oil hit $135 a barrel as OPEC ministers saidthey could do nothing to prevent high prices. Nigeria, Africa’s largestexporter of oil, experienced attacks on pumping stations. Oil corrected fromhighs as the Commodity Futures Trading Commission (“CFTC”) announced greatercommunication with other exchanges to share information on position limits ofinvestors. Profits continued to be posted to the Fund at the end of thequarter. Oil hits record high of $143.67 a barrel as Israel talked aboutattacking Iran, Nigerian strikes in their oil fields and renewed dollarweakness. These bullish factors offset the bearish announcements of the Chinesesuddenly raising the price of domestic gas and diesel by 17% and the UnitedStates government, with help from the exchanges, seeking measure to stemspeculative activity in oil.

 

The agriculture sectorposted profits for the Fund. Profits were posted to the Fund at the beginningof the quarter in spite of wheat tumbling due to a United States governmentreport stating a larger amount of wheat crops being graded as good. Wheat hasfallen about 38% from the highs made back in February of this year. Cornrose as wet weather in the United States would possibly delay the harvestingseason. Losses were posted to the Fund mid-quarter as coffee fell when Brazil,the world’s largest exporter, produced more than originally planned. Hogstraded at a 14 month high on views that slaughterhouses have to increasepurchases after Memorial Day weekend.  Astrong return was experienced as coffee and sugar provided most of the profitsbeing posted to the Fund while cotton and cocoa fell slightly. Corn futuresclimbed on the news of continued severe rains in the Midwest which is expectedto disrupt supplies and should further tighten supply and demand with reservesat 24 year lows as the quarter ended.

 

The metals sector postedlosses for the Fund. Losses were posted at the beginning of the quarter due tothe first monthly advance by the United States dollar against the Euro thisyear causing a sell off in gold. Losses continued to be posted to the Fundmid-quarter as gold futures continued to drop since mid April as theUnited States dollar stabilized. The quarter ended with profits posted to theFund even through a volatile market.

 

The interest rate sectorposted losses for the Fund. Losses were posted at the beginning of the quarterdue to the fixed income closing down due to the performance of the UnitedStates Treasury market rates finishing April at a loss. Losses continuedto be posted through the middle of the quarter as the United States interestrates rose. Higher oil prices and signs of economic strength siftedexpectations towards a rate hike. The quarter ended with profits posted to theFund as the European rates closed up +1.10, Japan and Australia finished at+0.10%, however, the United States interest rates subtracted from performanceby finishing down -1.10%.

 

22

----

 

July 1, 2008to September 30, 2008

 

The Fund posted overalllosses for the third quarter due to volatility in Global Markets.

 

The interest rate sectorposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter due to falling interest rates in Europe, the Pacific Rim whichincludes Japan and Australia and the United States. The Fund’s long positionsin interest rates produced profits in the middle of the quarter. The Fundcontinued to have long positions in fixed income markets when the bailoutpackage was announced and was forced to sell those positions and ended upposting losses to the Fund at the end of the quarter.

 

The metals sector postedlosses for the Fund. Losses were posted to the Fund at the beginning of thequarter through the middle of the quarter due to the negative performance inprecious metals and base metals. However, profits were posted to the Fund bythe end of the quarter in lieu of volatile global markets.

 

The agriculture sectorposted losses for the Fund. Losses were posted to the Fund at the beginning ofthe quarter. Corn had the largest price drop since 1986 as warmer weather aidedcrop growth and offset earlier flood damage. Argentina revoked the export taxon grain exports bringing an end to the dispute that drove farmers to disruptshipments. Losses continued to be posted to the Fund from the middle of thequarter through the end as the markets continued to spiral down.

 

The energy sector postedlosses for the Fund. Losses were posted to the Fund at the beginning of thequarter. Oil had the biggest decline from the highs of over $147 per barrelsince December 2004 as weakness in underlying economy dampened demand forenergy. Losses were posted to the Fund from the middle of the quarter to theend due to continuing decline in oil prices.

 

October 1, 2008 to November 30,2008

 

The Fund posted lossesfor the period October 1, 2008 through November 30, 2008 with theinterest rate sector posting gains while the energy, agriculture and metalssectors posted losses.

 

The interest rate sectorposted overall profits to the Fund. Losses were posted to the Fund at thebeginning of the period due to the big price swings in the fixed incomemarkets.  The fixed income portion closedhigher at the end of the period as the United States, Europe and Pacific Rim interestrates which include Japan and Australia posted profits to the Fund.

 

The energy sector postedlosses to the Fund through the entire period due to the continuing decline inoil prices.

 

The agriculture sectorposted losses to the Fund through the entire period due to the volatility inthe global markets.

 

The metals sector postedlosses to the Fund through the entire period. Gold was the only precious metalthat produced gains to the Fund but not enough to offset the negativeperformance in the other precious and base metals.

 

Systematic Momentum II LLC Performance Summary December 1, 2008 toDecember 31, 2008

 

SystematicMomentum had another profitable month in December to finish a strong year.The largest gains were made in fixed income as the portfolio profited from longpositions across the curve as yields continued to fall dramatically. Shortpositions in commodities, particularly energy, and long position in the Euroand the short positions in the British pound also proved profitable. Equity returnswere flat as risk in stocks was minimal.

 

23

----

 
| ** **                              | ** ** | **Total Trading** | ** ** |
|-----------------------------------------|------------|------------------------|------------|
| **December 31, 2007**         | ** ** | **Profit (Loss)** | ** ** |
|                                    |       |                   |       |
| Interest Rates                          |       | $                      | 2,109,597  |   |
| Agricultural  Commodities               |       | 1,726,763              |       |
| Currencies/FX                           |       | 10,640                 |       |
| Energy                                  |       | 2,643,036              |       |
| Metals                                  |       | 955,905                |       |
|                                    |       | 7,445,941              |       |
| Change in  Brokerage Commission Payable |       | (15,153                | )          |
|                                    |       | $                      | 7,430,788  |   |

 

TheFund posted profits for the year with gains being posted in all the sectors.

 

Theenergy sector was the most profitable for the Fund. Energy prices droppedsharply at the beginning of the year but recovered mid-quarter through the endof the first quarter due to a combination of weather, geo-political concernsand near term inventory patterns worldwide. Profits continued to be posted atthe end of the second quarter due to lower than expected summer driving season.Crude oil traded over $78.00 a barrel on continued high demand during the thirdquarter along with the International Energy Agency forecast that global demandwill rise by 1.8% in 2008 without any output increase from OPEC. Losses wereposted to the Fund mid-quarter as crude oil traded down to $70.00 a barrel.Hurricane Dean did not significantly impact U.S. oil production, but it latertraded back up with inventory levels falling and a record demand for gasoline. The third quarter ended withprofits posted to the Fund as crude oil had strong recovery as the Departmentof Energy’s Short-Term Energy Outlook reported a continued low surplus production and weak inventories. The yearended with profits being posted to the Fund as crude oil traded higher asinventory figures announced by the Energy Department prompted a drop of 3.3million barrels to the lowest figure since January of 2005. Theassassination of Bhutto in Pakistan heightened geopolitical uncertainty in theregion which generally contributes to keeping oil firm.

 

Theinterest rate sector posted profits for the Fund. Profits were posted at thebeginning of the year in connection with the U.S. Federal Reserve refrained fromanother interest rate increase, amid inflationary concerns. Concurrently, theEuropean Central Bank and the Bank of England continue aggressive focus onreigning in inflationary expectations through higher market interest rates.Across the Group of Four (G-4) a focus remains towards reducing excess market liquidity andcontaining inflationary pressures stemming from, relatively low risk premiums,generally higher confidence and stronger economic activity. Long term bondprices retreated and European bonds finished down approximately 0.9% while U.S.bond prices fell 1.0% in value. Japanese prices countered the trend increasing0.3% with revised uncertainty of near term monetary policy changes. However,losses were posted in the middle part of the first quarter partly due to therevisions of market sentiment based on seeming evidence of some slowing in U.S.real growth coupled with a continuation of rising growth prospects particularlyin Europe and Asia. The first quarter ended with profits posted to the Fund asshort term yields continued to move up outside the U.S. coupled with the fixedincome trading. Profits were posted to the Fund as the fixed income marketstarted the second quarter with a strong U.S. non-farm payroll number thatsuggested a resumption of an upward growth path, however, the GDP came out atonly +1.3%, the lowest seen in 4 years, which suggested a possible continuationof slowing.   Net for the period,long-term bond prices moved sideways while short term yields continued to moveup outside the U.S. In the 10-year sector, European bonds finished downapproximately 0.7%, while U.S. bond prices rose 0.1% in value. Japanese fixedincome prices finished up 0.3% with revised uncertainty of near term monetarypolicy changes. The fixed income portfolio provided a positive impact with ashort position in rates across markets brought the overall strategy close toflat mid quarter. The fixed income sector benefited at the quarters end fromliquidations in global bond markets as consensus shifted from an ease to atightening. The beginning of the third quarter was challenging due to thesubprime mortgage problems impacting global markets and U.S. interest ratesstarting to reverse their trends of factoring a tightening of rates causing thelosses to be posted to the Fund. The Federal Funds futures had factored in anease of 25 basis points by December 2007. The shorter end of internationalcurves showed less of a reaction due to a view that the problem will becontained in the U.S.  Also, continuedstrength in underlying economic fundamentals brought another rate hike by theBank of England. Profits were posted to the Fund mid quarter as the FederalReserve lowered the discount rate to 5.75% from 6.25% in an attempt to boostcredit markets. Continued money market concerns caused short term U.S. treasurybills to have volatile swings up to 100 basis points in one day.  The United Kingdom is showing first signsthat past interest rate hikes are having an impact on its economy. The FederalReserve cutting rates by 50 basis points bringing the Federal Funds rate downto 4.75% and adding stability into financial markets at the end of the thirdquarter, it was not 

 

24

----

 

enoughto offset the losses posted to the Fund. In the fourth quarter, the FederalReserve lowered rates by 50 basis points on Federal Funds and Discount Rate.The Federal Reserve and other Central Banks executed an additional ease byproviding funds through an auction process over the year end. The S&Pdowngraded its outlook of two major bond insurers, MBIA and Ambac whichincreased concerns for credit concerns in financial markets. The year endedwith profits being posted to the Fund.

 

Theagriculture sector posted profits for the Fund. The agricultural market wassoft which attributed to the difficult trading environment resulting in theFund posting losses at the beginning of the year. The losses posted to the Fundat the beginning of the year were offset through profits being posted to theFund throughout the second quarter as wheat was the best performer in grains asdry conditions throughout the world had estimates of wheat stocks around a30-year low, the ending stocks to use ratio is expected to be 20% for 2007-2008(the lowest in 11 years). Soybeans also had a strong second quarter asforecasts on planting acreage was among the lowest in 12 years as more focusshifts to corn for ethanol production. Dry weather in China contributed to asqueeze in supply as China is the world’s largest buyer of oilseed.  The rally in commodities such as cotton,sugar, hogs and cattle moved up to 80% at the beginning of the third quarter.Profits continued to be posted to the Fund mid-quarter as wheat had a strongmonth in connection with a continued drought in Australia, Canada, and otherparts of Europe. U.S. supplies and inventories were among their lowest in 26years. Wheat continued to trade strong at the end of the third quarter due tothe on-going drought conditions. The softs reduced performance by approximately1.40% with coffee and wheat the primary contributors to the loss at thebeginning of the fourth quarter. Wheat graded strong as a weak dollar increasedspeculation that demand will grow outside the United States. Also, inventorieswill probably be lowered by continued drought conditions in the U.S. plainregion.  * *Soybean futures rose to among theirhighest level in 34 years as drought conditions hit Argentina.  Sugar rose to its highest level in 10 monthsas shipment delays from India were expected due to bottlenecks at ports as theyear ended.

 

Themetals sector posted profits for the Fund. Due to volatility in the market theonly profits posted to the Fund at the beginning of the year was during themiddle part of the first quarter partly due to the response in the marketspecific demand data which caused copper to move lower and broader commoditiesto fluctuate. At the beginning of the second quarter profits were posted to theFund due to the Asian demand for copper and zinc. Profits were posted to theFund at the beginning of the third quarter as copper remained strong partly dueto the labor unrest in Central and South America. Losses were posted to theFund mid-quarter as industrial metals weakened from expected slowing demand,however offset at the end of the third quarter with profits posted for the Fundas gold prices firmed on the continued weakness of the dollar and overallcredit concerns. The year ended with profits posted to the Fund as goldcontinued to climb on the weakness of the U.S. dollar finishing the year withits best yearly gain since 1979.

 

Thecurrency sector was also profitable for the Fund. At the beginning of the firstquarter profits were posted to the Fund due to the U.S. dollar reversed lossesto move slightly higher by 1.2%, subject to the new evidence of sustained U.S.growth. However, losses were posted to the Fund mid-quarter through the end ofthe first quarter as the U.S. dollar resumed moving slightly lower againsubject to the new evidence of moderating U.S. growth and inflation. The secondquarter began with a small loss being posted to the Fund due to marketvolatility and a minimal gain mid quarter. The U.S. dollar long positions andthe Gilt markets provided most of the gains at the end of the second quarter. Thethird quarter began with profits being posted to the Fund as the fixed incomeportions were set up well to take in a period of global equity volatility.Profits continued to be posted through mid-quarter as the fixed income bookcontinued to benefit from a period of global equity volatility. However, thequarter ended with a small loss due to the fixed income portion of the sectorwhich was basically long Euro dollars and short the very short durationinstruments in the Euro zone.  The yearended with profits posted to the Fund in spite of the continued turmoil in thefinancial markets.

* *
| ** **                              | ** ** | **Total Trading** | ** ** |
|-----------------------------------------|------------|------------------------|------------|
| **December 31, 2006**         | ** ** | **Profit (Loss)** | ** ** |
|                                    |       |                   |       |
| Interest Rates                          |       | $                      | (31,799    | ) |
| Agricultural  Commodities               |       | (10,685                | )          |
| Currencies/FX                           |       | 81                     |       |
| Energy                                  |       | (81,657                | )          |
| Metals                                  |       | (95,103                | )          |
|                                    |       | (219,163               | )          |
| Change in  Brokerage Commission Payable |       | (1,782                 | )          |
|                                    |       | $                      | (220,945   | ) |

 

25

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TheFund posted an overall loss for the period with currency sector posting gainsand agriculture, interest rates, energy and the metal sectors posting losses asthe Fund started trading December 1, 2006.

 

Thecurrency sector was the most profitable for the Fund.  The U.S. dollar furthered recent losses tomove slightly lower by 0.3%, subject to the then expected U.S. Federal Reservepolicy modifications.

 

Theagricultural sector posted losses for the Fund. The agricultural market wassoft which attributed to the difficult trading environment resulting in theFund posting losses for this sector.

 

Theinterest rate sector posted losses for the Fund. The year end revisions ofsentiment were based on potentially stronger U.S. real growth and improvingassessments for growth prospects particularly in Europe and the Pacific Rim.The U.S. Federal Reserve, now data-driven, once again validated its stance byrefraining from another interest rate increase. Concurrently, the EuropeanCentral Bank and Bank of England continue to focus on reigning in renewedinflationary expectations through higher market interest rates.

 

Theenergy sector posted losses for the Fund. Energy prices dropped sharply from acombination of weather, sanguine geo-political concerns and near-term inventorypatterns worldwide.

 

Themetals sector was the least profitable for the Fund. The metals collectivelymanaged to lose value in response to market specific demand data, moving copperlower by 9.5% and gold decreased roughly 1.7%.

 

Variables Affecting Performance

 

Theprincipal variables that determine the net performance of the Fund are grossprofitability from the Fund’s trading activities and interest income.

 

Duringthe period set forth above in “Selected Financial Data”, the interest rates inmany countries were at unusually low levels. The low interest rates in the United States (although higher than inmany other countries) negatively impacted revenues because interest income istypically a major component of the Fund’s profitability.  In addition, low interest rates arefrequently associated with reduced fixed income market volatility, and instatic markets the Fund’s profit potential generally tends to bediminished.  On the other hand, duringperiods of higher interest rates, the relative attractiveness of a high riskinvestment such as the Fund may be reduced as compared to high yielding andmuch lower risk fixed-income investments.

 

TheFund’s Management Fees and Sponsor Fees are a constant percentage of the Fund’sassets.  Brokerage Commissions, which arenot based on a percentage of the Fund’s assets, are based on actual roundturns.  The Performance Fees payable toAPM are based on the new Trading Profits generated by the Fund excludinginterest and after reduction of the Brokerage Commissions.

 

Unlikemany investment fields, there is no meaningful distinction in the operation ofthe Fund between realized and unrealized profits.  Most of the contracts traded by the Fund arehighly liquid and can be closed out at any time.

 

Exceptin unusual circumstances, factors—regulatory approvals, cost of goods sold,employee relations and the like—which often materially affect an operatingbusiness have no material impact on the Fund.

 

***Liquidity; Capital Resources***

 

The Portfolio Funds borrows only to a limited extent and only on astrictly short-term basis in order to finance losses on non-U.S. dollar denominatedtrading positions pending the conversion of the Portfolio Funds’ U.S. dollardeposits. These borrowings are at a prevailing short-term rate in the relevantcurrency.

 

Substantially all of the Portfolio Funds’ assets are held in cash. TheNet Asset Value of the Fund’s cash is not affected by inflation. However,changes in interest rates could cause periods of strong up or down pricetrends, during which the Fund’s profit potential generally increases. Inflationin commodity prices could also generate price movements, which the strategiesmight successfully follow.

 

26

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Because substantially all of the Portfolio Funds’ assets are held incash, the Portfolio Funds should be able to close out any or all of its opentrading positions and liquidate any or all of its securities holdings quicklyand at market prices, except in very unusual circumstances. This permits thePortfolio Funds to limit losses as well as reduce market exposure on shortnotice should its strategies indicate doing so. In addition, because there is areadily available market value for the Portfolio Funds’ positions and assets,the Portfolio Funds’ monthly Net Asset Value calculations are precise, andinvestors need only wait ten business days to receive the full redemptionproceeds of their Units.

 

(TheFund has no applicable off-balance sheet arrangements and tabular disclosuresor contractual obligations of the type described in Items 3.03(a) (4) and3.03(a) (5) of Regulation S-K.)

 

**Item 7A:****Quantitative and Qualitative Disclosures AboutMarket Risks**

 

Introduction

 

TheFund is a fund of fund which invests in a speculative commodity pool PortfolioFunds. The market sensitive instruments held by the Portfolio Funds areacquired for speculative trading purposes and all or substantially all of thePortfolio Funds’ assets are subject to the risk of trading loss.  Unlike an operating company, the risk ofmarket sensitive instruments is integral, not incidental, to the Portfolio Fund’smain line of business.

 

Marketmovements result in frequent changes in the fair market value of the PortfolioFund’s open positions and, consequently, in its earnings and cash flow. ThePortfolio Funds’ market risk is influenced by a wide variety of factors,including the level and volatility of interest rates, exchange rates, equityprice levels, the market value of financial instruments and contracts, thediversification effects among the Portfolio Funds’ open positions and theliquidity of the markets in which it trades.

 

ThePortfolio Funds, under the direction of their respective advisors, rapidlyacquire and liquidate both long and short positions in wide range of differentmarkets.  Consequently, it is notpossible to predict how a particular future market scenario will affectperformance, and the Fund’s past performance is not necessarily indicative ofits future results.

 

Valueat Risk is a measure of the maximum amount which the Portfolio Funds couldreasonably be expected to lose in a given market sector. However, the inherentuncertainty of the Portfolio Fund’s speculative trading and the recurrence inthe markets traded by the Portfolio Funds of market movements far exceedingexpectations could result in actual trading or non-trading losses far beyondthe indicated Value at Risk or the Fund’s experience to date (i.e., “risk ofruin”). In light of the foregoing, as well as the risks and uncertaintiesintrinsic to all future projections, the quantifications included in thissection should not be considered to constitute any assurance or representationthat the Portfolio Fund’s losses in any market sector will be limited to Valueat Risk or by the Portfolio Fund’s attempts to manage its market risk.

 

Quantifying The Fund’sTrading Value At Risk

 

QuantitativeForward-Looking Statements

 

Thefollowing quantitative disclosures regarding the Portfolio Fund’s market riskexposures contain “forward-looking statement” within the meaning of the safeharbor form 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.

 

ThePortfolio Fund’s risk exposure in the various market sectors traded by thePortfolio Funds advisors is quantified below in terms of Value at Risk.  Due to the Portfolio Fund’s mark-to-marketaccounting, any loss in the fair value of the Fund’s open positions is directlyreflected in the Fund’s earnings (realized or unrealized) and cash flow (atleast in the case of exchange-traded contracts in which profits and losses onopen positions are settled daily through variation margin).

 

27

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

 

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

 

100% positive correlation in the different positions held in eachmarket risk category has been assumed. Consequently, the margin requirements applicable to the open contractshave been aggregated to determine each trading category’s aggregate Value atRisk.  The diversification effectsresulting from the fact that the Fund’s positions are rarely, if ever, 100%positively correlated have not been reflected.

 

***The Fund’s Trading Valueat Risk in Different Market Sectors***

 

The following tables indicates the average, highest and lowest tradingValue at Risk associated with the Fund’s open positions by market category forthe fiscal period. During the year ended December 31, 2008, 2007 and forthe period December 1, 2006 (commencement of operations) to December 31,2006, the Fund’s average month-end Net Asset Value for all other purposes wasapproximately $84,438,222, $32,675,322 and $8,820,717, respectively.   The tables for 2008 show separately thevalue at risk of the Fund for the period managed by APM (January 1, 2008 —November 30, 2008) and the period allocated to Systematic Momentum (December 1,2008 — December 31, 2008) which invests effectively all of its assets inthe Portfolio Funds.  The SystematicMomentum table is a summary of the proportionate exposure to the securitiestraded by the Portfolio Funds.

 

**January 1,2008 - November 30, 2008 (APM)**

** **
| ** **             | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Agriculture            |       | 225,790                |       | 0.27                       | %          | $                      | 2,216,535  |                  | $          | — |   |
| Energy                 |       | 146,023                |       | 0.17                       | %          | 1,262,802              |       | —                |       |
| Interest Rates         |       | 3,367,648              |       | 3.99                       | %          | 7,469,952              |       | —                |       |
| Metals                 |       | 211,914                |       | 0.25                       | %          | 2,022,495              |       | —                |       |
| Stock Indices          |       | 0                      |       | 0.00                       | %          | —                 |       | —                |       |
| F/X                    |       | 25,454                 |       | 0.03                       | %          | 7,586,548              |       | —                |       |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Total                  |       | $                      | 3,976,829  |                       | 4.71       | %                      | $          | 20,558,332            |       | $ | — |   |
|                        |            |                        |            |                            |            |                        |            |                       |            |  |  |  |

 

28

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**December 1,2008 — December 31, 2008 (Systematic Momentum)**

 
| ** **             | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                      | 238,350    |                       | 1.30       | %                      | $          | 238,350               |       | $ | 238,350 |   |
| Energy                 |       | 167,637                |       | 0.91                       | %          | 167,637                |       | 167,637               |       |
| Interest Rates         |       | 7,273,469              |       | 39.59                      | %          | 7,273,469              |       | 7,273,469             |       |
| Metals                 |       | 92,146                 |       | 0.50                       | %          | 92,146                 |       | 92,146                |       |
| Stock Indices          |       | 424,866                |       | 2.31                       | %          | 424,866                |       | 424,866               |       |
| Currencies             |       | 122,153                |       | 0.66                       | %          | 122,153                |       | 122,153               |       |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Total                  |       | $                      | 8,318,621  |                       | 45.28      | %                      | $          | 8,318,621             |       | $ | 8,318,621 |   |

 

**December 31,2007**

 
| ** **             | ** ** | **Average Value** | ** ** | **% of Average** | ** ** | **Highest Value** | ** ** | **Lowest Value** | ** ** |
|------------------------|------------|------------------------|------------|----------------------------|------------|------------------------|------------|-----------------------|------------|
| **Market Sector** | ** ** | **at Risk**       | ** ** | **Capitalization**         | ** ** | **at Risk**       | ** ** | **at Risk**      | ** ** |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Agriculture            |       | $                      | 19,276     |                       | 0.06       | %                      | $          | 58,422                |       | $ | 2,586 |   |
| Currencies             |       | 1,986                  |       | 0.01                       | %          | 11,880                 |       | 9                     |       |
| Energy                 |       | 19,519                 |       | 0.06                       | %          | 51,490                 |       | 1,215                 |       |
| Interest Rates         |       | 1,924,370              |       | 5.89                       | %          | 4,994,439              |       | 390,839               |       |
| Metals                 |       | 18,570                 |       | 0.05                       | %          | 71,341                 |       | 2,545                 |       |
|                   |       |                   |       |                       |       |                   |       |                  |       |
| Total                  |       | $                      | 1,983,721  |                       | 6.07       | %                      | $          | 5,187,572             |       | $ | 397,194 |   |

 

MaterialLimitations on Value at Risk as an Assessment of Market Risk

 

The face value of the market sector instruments held by the Fund istypically 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 Fund.  The magnitude of the Portfolio Fund’s openpositions creates a “risk of ruin” not typically found in most other investmentvehicles.  Because of the size of itspositions, certain market conditions — unusual, but historically recurring fromtime to time — could cause the Portfolio Fund to incur severe losses over ashort period of time.   The foregoingValue at Risk table — as well as the past performance of the Portfolio Fund —gives no indication of this “risk of ruin.”

 

**Non-Trading Risk**

 

Foreign Currency Balances; Cash on Depositwith MLPF&S

 

The Portfolio Funds have non-trading market risk on its foreign cashbalances not needed for margin. However, these balances (as well as the marketrisk they represent) are immaterial.

 

The Portfolio Funds also has non-trading market risk on theapproximately 90%-95% of its assets which are held in cash at MLPF&S. Thevalue of this cash is not interest rate sensitive, but there is cash flow riskin that if interest rates decline so will the cash flow generated on thesemonies. This cash flow risk is immaterial.

 

**Qualitative DisclosuresRegarding Primary Trading Risk Exposures**

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures — exceptfor (i) those disclosures that are statements of historical fact and (ii) thedescriptions of how the Fund manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Fund’sprimary market risk exposures as well as the strategies used and to be used byMLAI and the Portfolio Funds’ advisors for managing such exposures are subject to numerous uncertainties,contingencies and risks, any one of which could cause the actual results of theFund’s risk

 

29

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controls to differmaterially from the objectives of such strategies. Government interventions,defaults and expropriations, illiquid markets, the emergence of dominantfundamental factors, political upheavals, changes in historical pricerelationships, and an influx of new market participants, increased regulationand many other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund.There can be no assurance that the Fund’s current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in theFund.

 

The following were the primary trading riskexposures of the Fund as of December 31, 2008, by market sector.

 

**Interest Rates**.

Interest rate risk is theprincipal market exposure of the Portfolio Fund.  Interest rate movements directly affect the priceof derivative sovereign bond positions held by the Portfolio Fund andindirectly the value of its stock index and currency positions. Interest ratemovements in one country as well as relative interest rate movements betweencountries materially impact the Fund’s profitability. The Portfolio Funds’primary interest rate exposure is to interest rate fluctuations in the UnitedStates and the other G-7 countries. However, the Fund also takes positions in the government debt of smallernations e.g., Australia. MLAI anticipates that G-7 interest rates will remainthe primary market exposure of the Portfolio Fund for the foreseeable future.

 

**Currencies**.

The Portfolio Funds trade ina number of currencies. However, the Portfolio Funds’ major exposures have typicallybeen in the U.S. dollar/Japanese yen, U.S. dollar/Euro and U.S. dollar/Swissfranc positions. The Fund does not anticipate that the risk profile of theFunds’ currency sector will change significantly in the future. The currencytrading Value at Risk figure includes foreign margin amounts converted intoU.S. dollars with an incremental adjustment to reflect the exchange rate riskof maintaining Value at Risk in a functional currency other than U.S. dollars.

 

**Metals**.

The Portfolio Funds’ metalsmarket exposure is to fluctuations in the price of precious and non-preciousmetals.

 

**Agricultural Commodities**

The Portfolio Funds’ primaryagricultural commodities exposure is to agricultural price movements which areoften directly affected by severe or unexpected weather conditions. Grains,sugar, and livestock accounted for the substantial bulk of the Funds’agricultural commodities exposure as of December 31, 2008.

 

**Energy**.

The Portfolio Funds’ primaryenergy market exposure is to natural gas and crude oil price movements, oftenresulting from political developments in the Middle East. Oil prices can bevolatile and substantial profits and losses have been and are expected tocontinue to be experienced in this market.

 

**QualitativeDisclosures Regarding Non-Trading Risk Exposure**

 

Thefollowing were the only non-trading risk exposures of the Fund as of December 31,2008.

 

**Foreign Currency Balances****.**

The Portfolio Funds’ primaryforeign currency balances are in British pounds and Euros.

 

**U.S. Dollar Cash Balance**.

ThePortfolio Funds hold U.S. dollars only in cash at MLPF&S. The PortfolioFunds have immaterial cash flow interest rate risk on its cash on deposit withMLPF&S in that declining interest rates would cause the income from suchcash to decline.

 

**QualitativeDisclosures Regarding Means of Managing Risk Exposure**

** **

#### **TradingRisk**

#### ** **

**Qualitative DisclosuresRegarding Primary Trading Risk Exposures**

 

The following qualitativedisclosures regarding the Funds’ market risk exposures — except for (i) thosedisclosures that are statements of historical fact and (ii) thedescriptions of how the manages its primary market risk exposures — constituteforward-looking statements within the meaning of Section 27A of theSecurities Act and Section 21E of the Securities Exchange Act. The Funds’primary market risk exposures as well as the strategies used

 

30

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andto be used by MLAI and the Portfolio Funds’ advisors for managing suchexposures are subject to numerous uncertainties, contingencies and risks, anyone of which could cause the actual results of the Funds’ risk controls todiffer materially from the objectives of such strategies. Governmentinterventions, defaults and expropriations, illiquid markets, the emergence ofdominant fundamental factors, political upheavals, changes in historical pricerelationships, an influx of new market participants, increased regulation andmany other factors could result in material losses as well as in materialchanges to the risk exposures and the risk management strategies of the Fund.There can be no assurance that the Funds’ current market exposure and/or riskmanagement strategies will not change materially or that any such strategieswill be effective in either the short- or long-term. Investors must be preparedto lose all or substantially all of the time value of their investment in theFund.

 

The following were theprimary trading risk exposures of the Portfolio Funds as of December 31,2008, by market sector.

 

**Qualitative DisclosuresRegarding Means of Managing Risk Exposure**

 

#### **TradingRisk**

 

MLAI has procedures in placeintended to control market risk, although there can be no assurance that theywill, in fact, succeed in doing so. While MLAI does not itself intervene in themarkets to hedge or diversify the Portfolio Funds’ market exposure, MLAI mayurge the Portfolio Funds’ advisors to reallocate positions in an attempt toavoid over-concentrations.  However, suchinterventions are unusual, except in cases in which it appears that the advisorshave begun to deviate from past practice and trading policies or to be tradingerratically, MLAI’s basic control procedures consist of simply of the ongoingprocess of monitoring the advisors with the market risk controls being appliedby the advisors themselves.

 

## Non-TradingRisk

##  

The Portfolio Funds control thenon-trading exchange rate risk by regularly converting foreign balances backinto U.S. dollars at least once per week, and more frequently if a particularforeign currency balance becomes unusually high.

 

The Portfolio Funds have cash flowinterest rate risk on its cash on deposit with MLPF&S in that declininginterest rates would cause the income from such cash to decline. However, acertain amount of cash or cash equivalents must be held by the Fund in order tofacilitate margin payments and pay expenses and redemptions. MLAI does not takeany steps to limit the cash flow risk on its cash held on deposit atMLPF&S.

 

**Item 8: Financial Statements and Supplementary Data**

** **

Net Profit (Loss)by Quarter

Eight Quartersthrough December 2008

 
| ** **                                       | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** | **Fourth**  | ** ** | **Third**   | ** ** | **Second**  | ** ** | **First**   | ** ** |
|--------------------------------------------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|-------------|------------|
| ** **                                       | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** | **Quarter** | ** ** |
| ** **                                       | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2008**    | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** | **2007**    | ** ** |
| Total Income  (Loss)                             |       | $           | (648,282   | )           | $          | (10,078,819 | )          | $           | 5,140,315  |        | $          | 9,691,697   |       | $           | 4,176,216  |        | $          | 3,877,277 |   | $ | 841,606 |   | $ | (5,175 | ) |
| Total Expenses                                   |       | 295,694     |       | (667,320    | )          | 1,502,488   |       | 2,010,925   |       | 988,948     |       | 854,595     |       | 330,753     |       | 198,051     |       |
| Net Income (Loss)                                |       | $           | (943,976   | )           | $          | (9,411,499  | )          | $           | 3,637,827  |        | $          | 7,680,772   |       | $           | 3,187,268  |        | $          | 3,022,682 |   | $ | 510,853 |   | $ | (203,226 | ) |
|                                             |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |        |       |
| Net Income (Loss)  per weighted average Unit (a) |       | $           | (0.0443    | )           | $          | (0.3214     | )          | $           | 0.1230     |        | $          | 0.2351      |       | $           | 0.0619     |        | $          | 0.0758 |   | $ | 0.0160 |   | $ | (0.0139 | ) |

 

----

(a) The NetIncome (Loss) per weighted average Unit is based on the weighted average of thetotal Units for each quarter.

 

The financial statements required by this Item are included in Exhibit 13.01.

 

The supplementary financial information (“information about oil and gasproducing activities”) specified by Item 302 of Regulation S-K is notapplicable.

 

31

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**Item 9: Changes in and Disagreements with Accountants on Accountingand Financial Disclosure**

 

There were no changes in or disagreements with the Funds’ independentregistered public accounting firm on accounting and financial disclosure.

 

**Item 9A(T):****Controls and Procedures**

 

MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of the Fund,has evaluated the effectiveness of the design and operation of its disclosurecontrols and procedures with respect to the Fund as of and for the year whichended December 31, 2008, and, based on its evaluation, has concluded thatthese disclosure controls and procedures are effective. Additionally, therewere no significant changes in the Funds’ internal controls over financialreporting which materially affect such internal control.

 

*Changes inInternal Control over Financial Reporting*

 

Nochange in internal control over financial reporting (as defined in Rule 13a-15(f) underthe Exchange Act ) occurred during the year ended December 31, 2008 thathas materially affected, or is reasonable likely to materially affect, theFunds’ internal control, over financial reporting.

 

*Management’sReport on Internal Control over Financial Reporting:*

 

TheFund’s management is responsible for establishing and maintaining adequateinternal control over financial reporting.  The Fund’s internal controlover financial reporting is a process designed under the supervision of MLAI’sChief Executive Officer and the Chief Financial Officer, on behalf of the Fundand is effected by management, other personnel and service providers to providereasonable assurance regarding the reliability of financial reporting and thepreparation of financial statements for external purposes in accordance withgenerally accepted accounting principles and included those policy andprocedures that:

 

·                                          Pertain to the maintenance of records that inreasonable detail accurately and fairly reflect the transactions anddispositions of the assets of the Fund.

 

·                                          Provide reasonable assurance thattransactions are recorded as necessary to permit preparation of financialstatements in accordance with generally accepted accounting principles, andthat  receipts and expenditures of the Fund are being made only in accordancewith authorizations of management and directors of the Fund; and

 

·                              Provide reasonable assurance regardingprevention or timely detection of unauthorized acquisitions, use or dispositionof the Fund’s assets that could have a material effect on the financialstatements.

 

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

 

TheFund’s management assessed the effectiveness of the Funds’ internal controlover financial reporting at December 31, 2008.  In making thisassessment, management used the criteria set forth by the Committee ofSponsoring Organizations of the Treadway Commission (COSO) in “InternalControl-Integrated Framework”.

 

Basedon its assessment the Fund’s management concluded that at December 31,2008, the Fund’s internal control over financial report was effective.

 

This annual report does not include an attestation report of the Fund’sregistered public accounting firm regarding internal control over financialreporting. Management’s report was not subject to attestation by the Fund’sregistered public accounting firm pursuant to temporary rules of theSecurities and Exchange Commission that permit the Fund to provide onlymanagement’s report for this annual report.

 

32

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**Item 9B:  Other Information**

 

Notapplicable.

 

**PART III**

 

**Item 10: Directors,Executive Officers and Corporate Governance**

 

10(a) and 10(b)                 Identification of Directors and ExecutiveOfficers:

 

Asa limited liability company, the Fund has no officers or directors and ismanaged by MLAI. Trading decisions are made by Systematic Momentum on behalf ofthe Fund.

 

The managers and executive officers of MLAI and their respectivebusiness backgrounds are as follows:

 
| **Paul  Morton**      |   | Chief  Executive Officer, President and Manager |
|-----------------------|--------|-------------------------------------------------|
|                  |   |                                            |
| **Barbra  E. Kocsis** |   | Chief  Financial Officer                        |
|                  |   |                                            |
| **Thomas  W. Lee**    |   | Vice  President and Manager                     |
|                  |   |                                            |
| **Justin  C. Ferri**  |   | Vice  President and Manager                     |

 

Paul Morton is the Chief Executive Officer, President, and Manager ofMLAI. He also serves as the Chief Operating Officer for the Global Investmentand Insurance Solutions (GIIS) group for Merrill Lynch.  As Chief Operating Officer of GIIS, Mr. Mortonleads the market investments business within the group, which includessecondary equity, debt, listed options, futures and FX for Merrill Lynch’sGlobal Wealth Management division.  Priorto serving as COO of GIIS, Mr. Morton worked in the equity and debttrading management of Merrill Lynch. Prior to joining Merrill Lynch in 1996, Mr. Mortonworked in the equity derivatives at Paine Webber.  From 1988-1993, Mr. Morton served as anofficer in the US Army for five years.  Mr. Mortonholds a BS (Aerospace Engineering) from the United States Military Academy atWest Point (1988) and a MBA (Finance) from the Wharton School at the Universityof Pennsylvania (1995).

 

Barbra E. Kocsis******isChief Financial Officer for MLAI. She is also a Director within the MerrillLynch Global Private Client Global Infrastructure Solutions group. Prior tothat, she was the Fund Controller of MLAI. Before coming to MLAI, Ms Kocsisheld various accounting and tax positions at Derivatives Portfolio ManagementLLC from May 1992 until May 1999, at which time she held the positionof accounting director. Prior to that, she was an associate at Coopers &Lybrand in both the audit and tax practices. She graduated cum laude fromMonmouth College in 1988 with a Bachelor of Science in Business Administration —Accounting.

 

Thomas W. Lee**isVice President and Manager of MLAI. He also is a Managing Director in MerrillLynch’s Market Investments and Origination Group, responsible for GlobalPrivate Client’s equity and debt new issue businesses, and is a Vice Presidentand Manager of the Manager, and his registration as a principal of the Manageris pending with NFA.  Prior to joiningMerrill Lynch in 1998, Mr. Lee was a corporate securities attorney at thelaw firm of Brown & Wood.  Mr. Leereceived his J.D. from Emory University School of Law and a B.S. from CornellUniversity.

 

Justin C. Ferri is Vice President and Manager of MLAI. He is also aManaging Director within the MLPF&S Structured and Alternative Solutions(SAS) group and is a Vice President of IQ Investment Advisors LLC.  Prior to his role in SAS, Mr. Ferri wasa Director in the MLPF&S Global Private Client Market Investments &Origination group, and before that, he served as a Vice President and Head ofGlobal Private Client Rampart Equity Derivatives group.  Prior to joining Merrill Lynch in 2002, Mr. Ferriwas a Vice President within the Quantitative Development group of MPowerAdvisors LLC from 1999 to 2002. He graduated with a Bachelor of Arts Degreefrom Loyola College in Baltimore, Maryland.

 

33

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As of December 31, 2008, the principals of MLAIhad no investment in the Fund, and MLAI had no sponsor interest in the Fund.

 

MLAIacts as the sponsor, general partner or manager to seven public futures fundswhose units of limited partner or member interests are registered under theSecurities Exchange Act of 1934: ML Aspect Futures Access LLC, ML SelectFutures I L.P., ML Systematic Momentum FuturesAccess LLC, Systematic MomentumII LLC, ML Transtrend DTP Enhanced FuturesAccess LLC, ML Trend-FollowingFutures Fund L.P, and ML Winton FuturesAccess LLC. Because MLAI serves as thesole sponsor, general partner or manager of each of these Funds, the officersand managers of MLAI effectively manage them as officers and directors of suchfunds.

 

(c)                                  Identification of Certain SignificantEmployees:

 

None.

 

(d)                                 Family Relationships:

 

None.

 

(e)                                  Business Experience:

 

See Item 10(a) and (b) above.

 

(f)                                    Involvement in Certain Legal Proceedings:

 

None.

 

(g)                                 Promoters and Control Persons:

 

Not applicable.

 

Section 16(a) BeneficialOwnership Reporting Compliance:

 

Notapplicable.

 

Code of Ethics:

 

MLAIand Merrill Lynch have adopted a code of ethics which applies to the Fund’s(MLAI’s) principal executive officer and principal financial officer or personsperforming similar functions on behalf of the Fund.  A copy of the code of ethics is available toany person, without charge, upon request by calling 1-866-MER-ALTS.

 

NominatingCommittee:

 

Notapplicable. (Neither the Fund nor MLAI has nominating committee.)

 

AuditCommittee: Audit Committee Financial Expert:

 

Notapplicable. (Neither the Fund nor MLAI has an audit committee.  There are no listed shares of the Fund orMLAI.)

 

34

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**Item 11: Executive Compensation**

 

The managers and officers of MLAI are remunerated by Merrill Lynch intheir respective positions. The Fund does not itself have any officers,managers or employees.  The Fund paysBrokerage Commissions to an affiliate of MLAI and Sponsor Fees to MLAI.  MLAI or its affiliates may also receivecertain economic benefits from possession of the Fund’s U.S. dollarassets.  The managers and officersreceive no “other compensation” from the Fund, and the managers receive nocompensation for serving as managers of MLAI. There are no compensation plans or arrangements relating to a change incontrol of either the Fund or MLAI.

 

**Item 12: Security Ownership of Certain Beneficial Owners andManagement and Related Stockholder Matters**

 

(a)                                  Security Ownership of Certain BeneficialOwners:

 

Not applicable. (The Units are non-voting securities limited liabilitycompany interests. The Fund is managed by MLAI, its sponsor and manager.)

 

(b)                                 Security Ownership of Management:

 

As of December 31, 2008, MLAI owned no Unit-equivalent memberinterests, the principals of MLAI did not own any Units, and APM did not ownany Units.

 

(c)                                  Changes in Control:

 

None.

 

**Item 13: Certain Relationships and Related Transactions and DirectorIndependence**

 

(a)                                  Transactions between Merrill Lynch and theFund

 

Some of the service providers to the Fund areaffiliates of Merrill Lynch. However, none of the fees paid by the Fund to suchMerrill Lynch affiliates were negotiated and such fees charged to the Fundmight be higher thatn would have been obtained in arms-length negotiations”.

 

The Partnership paysindirectly Merrill Lynch through MLPF&S and MLAI substantial BrokerageCommissions and Administrative Fees, respectively, as well as bid-ask spreadson forward currency trades.  ThePartnership also pays MLPF&S interest on short-term loans extended byMLPF&S to cover losses on foreign currency positions.

 

Within the Merrill Lynchorganization, MLAI is the direct beneficiary of the revenues received bydifferent Merrill Lynch entities from the Partnership.  MLAI controls the management of the Fund andserves as its promoter.  Although MLAIhas not sold any assets, directly or indirectly, to the Partnership MLAI makessubstantial profits from the Fund due to the foregoing revenues.

 

No loans have been, are orwill be outstanding between MLAI or any of its principals and the Fund.

 

MLAI pays substantial selling commissions andtrailing commissions to MLPF&S for distributing the Units.  MLAI is ultimately paid back for theseexpenditures from the revenues it receives from the Partnership.

 

35

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(b)                                 Certain Business Relationships:

 

MLPF&S, an affiliate of MLAI, acts as the principal commoditybroker for the Portfolio Funds.

 

See Item 1(c), “Narrative Description of Business — Charges” and “—Description of Current Charges” for a discussion of other business dealingsbetween MLAI affiliates and the Fund.

 

(c)                                  Indebtedness of Management:

 

None.

 

(d)                                 Transactions with Promoters:

 

Not applicable.

 

(e)                                  Director Independence

 

No person who served as a manager of MLAI during 2008 would beconsidered independent (based on the definition of an independent directorunder the NASDAQ rules.

 

**Item 14: Principal Accountant Fees and Services**

 

(a)                                  Audit Fees

 

Aggregate fees billed for professionalservices rendered by Deloitte & Touche LLP in connection with theaudit of the Fund’s financial statements as of and for the year ended December 31,2008 were $69,000. Aggregate fees billed for theses services for the year endedDecember 31, 2007 were $69,000. Aggregate fees billed for these servicesfor the period ended December 31, 2006 were $18,000.

 

(b)                                 Audit-Related Fees

 

There were no other audit-related fees billed for the period ended December 31,2008, 2007 and for the period ended December 31, 2006 related to the Fund.

 

(c)                                  Tax Fees

 

Aggregate fees billed for professional services rendered by DeloitteTax LLP in connection with the tax compliance, advice and preparation of theFund’s tax returns for the year ended December 31, 2008 were $58,000.Aggregate fees billed for these services for the year ended December 31,2007 were $64,000. Aggregate fees billed for these services for the periodended December 31, 2006 were $27,500.

 

(d)                                 All Other Fees

 

No fees were billed by Deloitte & Touche LLP, Deloitte TaxLLP, or any member firms of Deloitte Touche Tohmatsu and their respectiveaffiliates during the years ended December 31, 2008, 2007 and for theperiod ended December 31, 2006 for any other professional services inrelation to the Fund.

 

Neither the Fund nor MLAI has an audit committee to pre-approveprincipal accountant fees and services. In lieu of an audit committee, the managers and the principal financialofficer pre-approve all billings prior to the commencement of services.

 

36

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#### **PART IV**

#### ** **

**Item 15: Exhibits and Financial Statement Schedules**

 
| ** **                                                                                                                                                                                                                                                                                  | ** ** | **Page:** |
|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|-----------|
| 1.                                       Financial Statements (found in  Exhibit 13.01): |       |      |
|                                                                                                                                                                                                                                                                                        |       |      |
| REPORT OF INDEPENDENT  REGISTERED PUBLIC ACCOUNTING FIRM                                                                                                                                                                                                                                    |       | 1         |
|                                                                                                                                                                                                                                                                                        |       |      |
| FINANCIAL STATEMENTS:                                                                                                                                                                                                                                                                       |       |      |
|                                                                                                                                                                                                                                                                                        |       |      |
| Statements of Financial  Condition as of December 31, 2008 and 2007                                                                                                                                                                                                                    |       | 2         |
|                                                                                                                                                                                                                                                                                        |       |      |
| Statements of  Operations for the years ended December 31, 2008, 2007 and for the  period December 1, 2006 (commencement of operations) to  December 31, 2006                                                                                                                |       | 3         |
|                                                                                                                                                                                                                                                                                        |       |      |
| Statements of Changes  in Members’ Capital for the years ended December 31, 2008, 2007 and for  the period December 1, 2006 (commencement of operations) to  December 31, 2006                                                                                          |       | 4         |
|                                                                                                                                                                                                                                                                                        |       |      |
| Financial Data  Highlights for the years ended December 31, 2008, 2007 and for the  period December 1, 2006 (commencement of operations) to  December 31, 2006                                                                                                               |       | 5         |
|                                                                                                                                                                                                                                                                                        |       |      |
| Notes to Financial  Statements                                                                                                                                                                                                                                                              |       | 8         |

 

2.                                       Financial Statement Schedules:

 

Financialstatement schedules not included in this Form 10-K have been omitted forthe reason that they are not required or are not applicable or that equivalentinformation has been included in the financial statements or notes thereto.

 

3.                                       Exhibits:

 

Thefollowing exhibits are incorporated by reference or are filed herewith to thisAnnual Report on Form 10-K:

 
| **Designation**                                                                                                                                                        | ** ** | **Description**                                                                                                                                                                                                                                                                                   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------|------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| 3.01                                                                                                                                                                   |       | Certificate of Amendment of ML APM Global Commodity FuturesAccess  LLC.                                                                                                                                                                                                                           |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| Exhibit 3.01:                                                                                                                                                     |       | Is filed herewith.                                                                                                                                                                                                                                                                                |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| 3.02                           3.02  |       | Amended and restated Limited Liability Company Operating Agreement of  ML APM Global Commodity FuturesAccess LLC.                                                                                                                                                                                 |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| Exhibit 3.02                                                                                                                                                      |       | Is incorporated by reference from Exhibit 3.01 contained in the  Form 8-K filed on February 6, 2009.                                                                                                                                                                               |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| 3.03                           10.01 |       | Customer Agreement between ML APM Global Commodity FuturesAccess LLC.  and Merrill Lynch, Pierce, Fenner & Smith Incorporated.                                                                                                                                                           |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| Exhibit 10.01:                                                                                                                                                    |       | Is Incorporated by reference from Exhibit 10.01 contained in the  Registrants Registration Statements.                                                                                                                                                                                       |
|                                                                                                                                                                   |       |                                                                                                                                                                                                                                                                                              |
| 3.04                           10.02 |       | Advisory Agreement by and among ML Absolute Plus Management LLC and  Merrill Lynch Alternative Investments LLC. (file No. 000-52384) filed on  December 20, 2004 on Form 10 under the Securities Exchange Act of  1934 (the “Registrant’s Registration Statement”). |

 

37

----

 
| Exhibit 10.02:            |   | Is incorporated hereby by reference from Exhibit 10.02 contained  in the Registrant’s Registration Statement. |
|--------------------------------|--------|-------------------------------------------------------------------------------------------------------------------------|
|                           |   |                                                                                                                    |
| 13.01                          |   | 2008 Annual Report and Report of Independent Registered Public  Accounting Firm.                                        |
|                           |   |                                                                                                                    |
| Exhibit 13.01:            |   | Is filed herewith.                                                                                                      |
|                           |   |                                                                                                                    |
| 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 32.01and32.02:    |   | Are  filed herewith.                                                                                                    |

 

38

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**SIGNATURES**

 

Pursuant to the requirementsof Section 13 or 15(d) of the Securities Exchange Act of 1934, theRegistrant has duly caused this report to be signed on its behalf by theundersigned, thereunto duly authorized.

 
|   | SYSTEMATIC MOMENTUM II LLC                     |
|--------|------------------------------------------------|
|   |                                           |
|   |                                           |
|   | By:                                            | Merrill Lynch Alternative Investments LLC |
|   | Its:                                           | Manager |
|   |                                           |
|   |                                           |
|   | By:                                            | /s/ Paul Morton |
|   | Paul Morton                                    |
|   | Chief Executive Officer, President and Manager |
|   | (Principal Executive Officer)                  |
|        |                                                |  |  |

 

 

Pursuant to the requirementsof Section 13 or 15(d) of the Securities Exchange Act of 1934, thisreport has been signed on March 31, 2009 by the following persons onbehalf of the Registrant and in the capacities indicated.

 
| **Signature**        | ** ** | **Title**                                      | ** ** | **Date**            |
|----------------------|------------|------------------------------------------------|------------|---------------------|
|                 |       |                                           |       |                |
| /s/ Paul Morton      |       | Chief Executive Officer, President and Manager |       | March 31, 2009 |
| Paul F. Morton       |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Barbra E. Kocsis |       | Chief Financial Officer                        |       | March 31, 2009 |
| Barbra E. Kocsis     |       | (Principal Financial and Accounting Officer)   |       |                |
|                 |       |                                           |       |                |
| /s/ Steven B. Olgin  |       | Vice President and Manager                     |       | March 31, 2009 |
| Steven B. Olgin      |       |                                           |       |                |
|                 |       |                                           |       |                |
| /s/ Thomas W. Lee    |       | Vice President and Manager                     |       | March 31, 2009 |
| Thomas W. Lee        |       |                                           |       |                |

 

(Being the principalexecutive officer, the principal financial and accounting officer and amajority of the managers of Merrill Lynch Alternative Investments LLC)

 

39

----

 

**SYSTEMATIC MOMENTUM II LLC**

 

2008FORM 10-K

 

INDEXTO EXHIBITS

 
| **Exhibit**                   | ** ** | ** **                                                                      |
|-------------------------------|------------|---------------------------------------------------------------------------------|
|                          |       |                                                                            |
| Exhibit 3.01             |       | Certificate of Amendment of ML APM Global Commodity FuturesAccess  LLC.         |
|                          |       |                                                                            |
| Exhibit 13.01            |       | 2008 Annual Report and Report of Independent Registered Public  Accounting Firm |
|                          |       |                                                                            |
| Exhibit 31.01  and 31.02 |       | Rule 13a -  14(a) / 15d - 14(a) Certifications                   |
|                          |       |                                                                            |
| Exhibit 32.01  and 32.02 |       | Sections 1350  Certifications                                                   |

 

40

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