**UNITEDSTATES SECURITIES AND EXCHANGE COMMISSION**

**Washington,D.C. 20549**

 

**FORM 10-Q**

 

**(MarkOne)**

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

 

**Commission File Number 0-52384**

 

# **SYSTEMATIC MOMENTUM II LLC**

(Exact Name of Registrantas

specified in its charter)

 

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

 

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

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

**New York, New York 10281**

(Address of principal executiveoffices)

(Zip Code)

 

**212-236-2063**

(Registrant’s telephonenumber, including area code)

 

Indicate by checkmark whether the registrant (1) has filed all reports required to be filedby Section 13 or 15(d) of the Securities Exchange Act of 1934 duringthe preceding 12 months (or for such shorter period that the registrant wasrequired to file such reports), and (2) has been subject to such filingrequirements for the past 90 days.  Yes  x   No  o

 

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

 

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

 

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

 

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

 

Asof June 30, 2009, 38,754,955 units of membership were outstanding.

 

 

 

----

 

**SYSTEMATIC MOMENTUM II LLC**

 

QUARTERLY REPORT FOR JUNE30, 2009 ON FORM 10-Q

 

Table of Contents

 
|         | ** **                                                                                  | **PAGE** |
|--------------|---------------------------------------------------------------------------------------------|----------|
| PART I  |
|         |                                                                                        |     |
| Item 1.      | Financial Statements                                                                        | 1        |
|         |                                                                                        |     |
| Item 2.      | Management’s  Discussion and Analysis of Financial Condition and Results of Operations | 14       |
|         |                                                                                        |     |
| Item 3.      | Quantitative  and Qualitative Disclosures About Market Risk                                 | 19       |
|         |                                                                                        |     |
| Item 4T.     | Controls and  Procedures                                                                    | 21       |
|         |                                                                                        |     |
| PART II |
|         |                                                                                        |     |
| Item 1.      | Legal Proceedings                                                                           | 22       |
|         |                                                                                        |     |
| Item 1A.     | Risk Factors                                                                                | 22       |
|         |                                                                                        |     |
| Item 2.      | Unregistered  Sales of Equity Securities and Use of Proceeds                                | 22       |
|         |                                                                                        |     |
| Item 3.      | Defaults Upon  Senior Securities                                                            | 22       |
|         |                                                                                        |     |
| Item 4.      | Submission  of Matters to a Vote of Security Holders                                        | 23       |
|         |                                                                                        |     |
| Item 5.      | Other Information                                                                           | 23       |
|         |                                                                                        |     |
| Item 6.      | Exhibits                                                                                    | 23       |

 

----

 

PART I- FINANCIAL INFORMATION

 

Item 1.   Financial Statements

 

SYSTEMATIC MOMENTUM II LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF FINANCIALCONDITION

(unaudited)

 
| ** **                                                                                              | ** ** | **June 30,** | ** ** | **December 31,** | ** ** |
|---------------------------------------------------------------------------------------------------------|------------|-------------------|------------|-----------------------|------------|
| ** **                                                                                              | ** ** | **2009**          | ** ** | **2008**              | ** ** |
| **ASSETS:**                                                                                             |       |              |       |                  |       |
| Investments in Systematic Momentum (cost $43,845,752  for 2009 and $52,795,442 for 2008)                |       | $                 | 41,949,499 |                  | $          | 54,284,473 |   |
| Due from Systematic Momentum                                                                            |       | 615,969           |       | 3,752,667             |       |
| Cash                                                                                                    |       | 102,143           |       | 117,899               |       |
| Accrued interest                                                                                        |       | 112               |       | 2,092                 |       |
|                                                                                                    |       |              |       |                  |       |
| **TOTAL ASSETS**                                                                                        |       | $                 | 42,667,723 |                  | $          | 58,157,131 |   |
|                                                                                                    |       |              |       |                  |       |
| **LIABILITIES  AND MEMBERS’ CAPITAL:**                                                             |       |              |       |                  |       |
| LIABILITIES:                                                                                            |       |              |       |                  |       |
| Sponsor fee payable                                                                                     |       | $                 | 74,859     |                  | $          | 96,219 |   |
| Redemptions payable                                                                                     |       | 492,837           |       | 3,583,417             |       |
| Other                                                                                                   |       | 104,083           |       | 147,375               |       |
|                                                                                                    |       |              |       |                  |       |
| Total liabilities                                                                                       |       | 671,779           |       | 3,827,011             |       |
|                                                                                                    |       |              |       |                  |       |
| MEMBERS’ CAPITAL:                                                                                  |       |              |       |                  |       |
| Members’ Interest (Units 38,754,955 and 46,011,832  Units outstanding, unlimited Units authorized) |       | 41,995,944        |       | 54,330,120            |       |
| Total members’ capital                                                                             |       | 41,995,944        |       | 54,330,120            |       |
|                                                                                                    |       |              |       |                  |       |
| **TOTAL LIABILITIES AND MEMBERS’  CAPITAL**                                                        |       | $                 | 42,667,723 |                  | $          | 58,157,131 |   |
| ** **                                                                                              | ** ** | ** **        | ** ** | ** **            | ** ** |
| **NET ASSET VALUE PER UNIT (SEE NOTE  4)**                                                              |       |              |       |                  |       |

 

See notes to financial statements.

 

1

----

 

SYSTEMATIC MOMENTUM II LLC

(a Delaware LimitedLiability Company)

 

STATEMENTS OF OPERATIONS

(unaudited)

 
| ** **                                   | ** ** | **For the three  months ended** | ** ** | **For the three  months ended** | ** ** | **For the six  months ended** | ** ** | **For the six  months ended** | ** ** |
|----------------------------------------------|------------|---------------------------------|------------|---------------------------------|------------|-------------------------------|------------|-------------------------------|------------|
| ** **                                   | ** ** | **June 30,  2009**         | ** ** | **June 30, 2008**          | ** ** | **June 30, 2009**        | ** ** | **June 30, 2008**        | ** ** |
| **TRADING PROFIT (LOSS):**                   | ** ** | ** **                      | ** ** | ** **                      | ** ** | ** **                    | ** ** | ** **                    | ** ** |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| Realized                                     |       | $                               | (104,243   | )                               | $          | (616,166                      | )          | $                             | (30,468    | ) | $ | 11,666,434 |   |
| Change in unrealized, net                    |       | (1,549,742                      | )          | 5,428,848                       |       | (3,385,011                    | )          | 2,364,685                     |       |
| Brokerage commissions                        |       | —                          |       | (80,706                         | )          | —                        |       | (147,939                      | )          |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| Total trading profit (loss)                  |       | (1,653,985                      | )          | 4,731,976                       |       | (3,415,479                    | )          | 13,883,180                    |       |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| **INVESTMENT INCOME:**                       |       |                            |       |                            |       |                          |       |                          |       |
| Interest                                     |       | 457                             |       | 408,339                         |       | 8,126                         |       | 948,832                       |       |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| **EXPENSES:**                                |       |                            |       |                            |       |                          |       |                          |       |
| Management fee                               |       | —                          |       | 376,215                         |       | —                        |       | 707,462                       |       |
| Sponsor fee                                  |       | 233,316                         |       | 413,584                         |       | 501,575                       |       | 725,321                       |       |
| Performance fee                              |       | —                          |       | 642,841                         |       | —                        |       | 1,957,770                     |       |
| Other                                        |       | 47,718                          |       | 69,848                          |       | 125,259                       |       | 122,860                       |       |
| Total expenses                               |       | 281,034                         |       | 1,502,488                       |       | 626,834                       |       | 3,513,413                     |       |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| **NET INVESTMENT INCOME (LOSS)**             |       | (280,577                        | )          | (1,094,149                      | )          | (618,708                      | )          | (2,564,581                    | )          |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| **NET INCOME (LOSS)**                        |       | $                               | (1,934,562 | )                               | $          | 3,637,827                     |       | $                             | (4,034,187 | ) | $ | 11,318,599 |   |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| Weighted average number of Units outstanding |       |                            |       |                            |       |                          |       |                          |       |
| Class A                                 |       | 6,055,856                       |       | 7,462,429                       |       | 6,216,738                     |       | 6,878,870                     |       |
| Class C                                 |       | 28,680,202                      |       | 41,495,408                      |       | 29,918,589                    |       | 36,032,121                    |       |
| Class D                                 |       | 1,448,290                       |       | 13,917,641                      |       | 1,597,407                     |       | 16,887,640                    |       |
| Class I                                 |       | 4,110,217                       |       | 15,579,439                      |       | 4,498,855                     |       | 14,156,802                    |       |
|                                         |       |                            |       |                            |       |                          |       |                          |       |
| Net income (loss) per weighted average Unit  |       |                            |       |                            |       |                          |       |                          |       |
| Class A                                 |       | $                               | (0.0485    | )                               | $          | 0.0452                        |       | $                             | (0.0956    | ) | $ | 0.1436 |   |
| Class C                                 |       | $                               | (0.0489    | )                               | $          | 0.0428                        |       | $                             | (0.0973    | ) | $ | 0.1328 |   |
| Class D                                 |       | $                               | (0.0501    | )                               | $          | 0.0552                        |       | $                             | (0.0933    | ) | $ | 0.2017 |   |
| Class I                                 |       | $                               | (0.0470    | )                               | $          | 0.0485                        |       | $                             | (0.0906    | ) | $ | 0.1511 |   |

 

See notes to financial statements.

 

2

----

 

SYSTEMATIC MOMENTUM II LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2009 and 2008

(unaudited in Units)

 
| ** **                | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital June 30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Members’ Capital June   30, 2009** | ** ** |
|---------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|-------------------------------------------|------------|
| Class A              |       | 4,247,792                                         |       | 3,756,481         |       | (880,294        | )          | 7,123,979                               |       | 6,501,601                                         |       | —            |       | (793,316        | )          | 5,708,285                                 |       |
| Class C              |       | 23,461,920                                        |       | 22,360,292        |       | (2,721,614      | )          | 43,100,598                              |       | 31,802,737                                        |       | 2,533             |       | (4,090,160      | )          | 27,715,110                                |       |
| Class D              |       | 19,675,186                                        |       | 2,291,737         |       | (9,269,432      | )          | 12,697,491                              |       | 1,746,524                                         |       | —            |       | (447,351        | )          | 1,299,173                                 |       |
| Class I              |       | 8,783,678                                         |       | 7,601,289         |       | (1,543,370      | )          | 14,841,597                              |       | 5,960,970                                         |       | —            |       | (1,928,583      | )          | 4,032,387                                 |       |
|                      |       |                                              |       |              |       |            |       |                                    |       |                                              |       |              |       |            |       |                                      |       |
| Total Members’ Units |       | 56,168,576                                        |       | 36,009,799        |       | (14,414,710     | )          | 77,763,665                              |       | 46,011,832                                        |       | 2,533             |       | (7,259,410      | )          | 38,754,955                                |       |

 

See notes tofinancial statements.

 

3

----

 

SYSTEMATIC MOMENTUM II LLC

(a Delaware Limited Liability Company)

 

STATEMENTS OF CHANGES IN MEMBERS’ CAPITAL

For the six months ended June 30, 2009 and 2008

(unaudited)

 
| ** **                  | ** ** | **Members’ Capital  December 31, 2007** | ** ** | **Subscriptions** | ** ** | **Redemptions** | ** ** | **Net Income (Loss)** | ** **  | **Members’ Capital June  30, 2008** | ** ** | **Members’ Capital  December 31, 2008** | ** ** | **Subscriptions** | ** **  | **Redemptions** | ** ** | **Net Income (Loss)** | ** ** | **Members’ Capital June  30, 2009** | ** ** |
|-----------------------------|------------|---------------------------------------------------|------------|-------------------|------------|-----------------|------------|-----------------------|-------------|------------------------------------------|------------|---------------------------------------------------|------------|-------------------|-------------|-----------------|------------|-----------------------|------------|------------------------------------------|------------|
| Class A                |       | $                                                 | 4,849,384  |              | $          | 4,580,879       |       | $                     | (1,106,593  | )                                        | $          | 988,052                                           |       | $                 | 9,311,722   |            | $          | 7,793,914             |       | $                                        | —     |   | $ | (899,230 | ) | $ | (591,257 | ) | $ | 6,303,427 |   |
| Class C                |       | 26,459,564                                        |       | 27,323,078        |       | (3,371,814      | )          | 4,785,314             |        | 55,196,142                               |       | 37,238,734                                        |       | 2,966             |        | (4,599,318      | )          | (2,905,112            | )          | 29,737,270                               |       |
| Class D                |       | 22,237,106                                        |       | 2,823,057         |       | (11,741,846     | )          | 3,405,520             |        | 16,723,837                               |       | 2,112,788                                         |       | —            |        | (511,009        | )          | (131,973              | )          | 1,469,806                                |       |
| Class I                |       | 10,022,992                                        |       | 9,239,706         |       | (2,001,538      | )          | 2,139,713             |        | 19,400,873                               |       | 7,184,684                                         |       | —            |        | (2,293,398      | )          | (405,845              | )          | 4,485,441                                |       |
|                        |       |                                              |       |              |       |            |       |                  |        |                                     |       |                                              |       |              |        |            |       |                  |       |                                     |       |
| Total Members’ Capital |       | $                                                 | 63,569,046 |              | $          | 43,966,720      |       | $                     | (18,221,791 | )                                        | $          | 11,318,599                                        |       | $                 | 100,632,574 |            | $          | 54,330,120            |       | $                                        | 2,966      |   | $ | (8,302,955 | ) | $ | (4,034,187 | ) | $ | 41,995,944 |   |

 

See notes tofinancial statements.

 

4

----

 

SYSTEMATICMOMENTUM II LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE THREEMONTHS ENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net asset value, beginning of period                     |       | $                | 1.1514     |             | $          | 1.1219           |       | $                | 1.1660     |   | $ | 1.1587 |   |
|                                                     |       |             |       |             |       |             |       |             |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0416          | )          | (0.0405          | )          | (0.0425          | )          | (0.0418          | )          |
| Brokerage commissions                                    |       | —           |       | —           |       | —           |       | —           |       |
| Interest income                                          |       | 0.0000           |       | 0.0000           |       | 0.0000           |       | 0.0000           |       |
| Expenses                                                 |       | (0.0055          | )          | (0.0084          | )          | 0.0078           |       | (0.0045          | )          |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net asset value, end of period                           |       | $                | 1.1043     |             | $          | 1.0730           |       | $                | 1.1313     |   | $ | 1.1124 |   |
|                                                     |       |             |       |             |       |             |       |             |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Total return before Performance fees                     |       | -4.13            | %          | -4.37            | %          | -3.77            | %          | -4.04            | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          |
| Total return after Performance fees                      |       | -4.13            | %          | -4.37            | %          | -3.77            | %          | -4.04            | %          |
|                                                     |       |             |       |             |       |             |       |             |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Expenses (excluding Performance fees)                    |       | 0.54             | %          | 0.79             | %          | 0.17             | %          | 0.44             | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          |
| Expenses (including Performance fees)                    |       | 0.54             | %          | 0.79             | %          | 0.17             | %          | 0.44             | %          |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net investment income (loss)                             |       | -0.54            | %          | -0.79            | %          | -0.17            | %          | -0.44            | %          |

 

----

*Class DS andwas previously known as Class D-SM.

**Class DTwas previously known as Class D-TF.

 

See notes tofinancial statements.

 

5

----

 

SYSTEMATIC MOMENTUMII LLC

(a DelawareLimited Liability Company)

FINANCIAL DATAHIGHLIGHTS

FOR THE SIX MONTHSENDED JUNE 30, 2009

 

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

 
| ** **                                               | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** | **2009**         | ** ** |
|----------------------------------------------------------|------------|------------------|------------|------------------|------------|------------------|------------|------------------|------------|
| ** **                                               | ** ** | **Class A** | ** ** | **Class C** | ** ** | **Class D** | ** ** | **Class I** | ** ** |
| **Per Unit Operating Performance:**                      |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net asset value, beginning of period                     |       | $                | 1.1988     |             | $          | 1.1709           |       | $                | 1.2097     |   | $ | 1.2053 |   |
|                                                     |       |             |       |             |       |             |       |             |       |
| Realized and change in unrealized trading profit  (loss) |       | (0.0829          | )          | (0.0807          | )          | (0.0845          | )          | (0.0834          | )          |
| Brokerage commissions                                    |       | —           |       | —           |       | —           |       | —           |       |
| Interest income                                          |       | 0.0002           |       | 0.0002           |       | 0.0002           |       | 0.0002           |       |
| Expenses                                                 |       | (0.0118          | )          | (0.0174          | )          | 0.0059           |       | (0.0097          | )          |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net asset value, end of period                           |       | $                | 1.1043     |             | $          | 1.0730           |       | $                | 1.1313     |   | $ | 1.1124 |   |
|                                                     |       |             |       |             |       |             |       |             |       |
| **Total Return:**                                        |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Total return before Performance fees                     |       | -7.92            | %          | -8.38            | %          | -7.23            | %          | -7.73            | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          |
| Total return after Performance fees                      |       | -7.92            | %          | -8.38            | %          | -7.23            | %          | -7.73            | %          |
|                                                     |       |             |       |             |       |             |       |             |       |
| **Ratios to Average Members’ Capital:**             |       |             |       |             |       |             |       |             |       |
|                                                     |       |             |       |             |       |             |       |             |       |
| Expenses (excluding Performance fees)                    |       | 1.06             | %          | 1.56             | %          | 0.32             | %          | 0.87             | %          |
| Performance fees                                         |       | 0.00             | %          | 0.00             | %          | 0.00             | %          | 0.00             | %          |
| Expenses (including Performance fees)                    |       | 1.06             | %          | 1.56             | %          | 0.32             | %          | 0.87             | %          |
|                                                     |       |             |       |             |       |             |       |             |       |
| Net investment income (loss)                             |       | -1.05            | %          | -1.55            | %          | -0.30            | %          | -0.85            | %          |

 

----

*Class DS and waspreviously known as Class D-SM.

**Class DT waspreviously known as Class D-TF.

 

See notes to financialstatements.

 

6

----

 

SYSTEMATIC MOMENTUM II LLC

(a Delaware Limited Liability Company)

 

NOTES TO FINANCIAL STATEMENTS

(unaudited)

 

1.     SUMMARY OF SIGNIFICANT ACCOUNTINGPOLICIES

 

Organization

 

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

 

OnOctober 22, 2008, MLAI issued an announcement regarding a restructuring ofthe Fund. Effective December 1, 2008 as part of the restructuring thefollowing occurred:

 

·      The Fund changed its name to SYSTEMATIC MOMENTUM IILLC

 

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

 

·      The Fund’s assets were reinvested in ML SystematicMomentum FuturesAccess LLC (“Systematic Momentum”).  Systematic Momentum invests into thefollowing Funds: ML Altis FuturesAccess LLC (“Altis”), ML Aspect FuturesAccessLLC (“Aspect”), ML BlueTrend FuturesAccess LLC (“BlueTrend”), ML ChesapeakeFuturesAccess LLC (“Chesapeake”), ML GSA FuturesAccess LLC (“GSA”), ML JohnLocke FuturesAccess LLC (“John Locke”), ML Transtrend DTP EnhancedFuturesAccess LLC (“Transtrend”) and ML Winton FuturesAccess LLC (“Winton”)and, (each a “Portfolio Fund”, collectively “Portfolio Funds”).  The Portfolio Funds employ a variety ofsystematic models and the Fund no longer utilizes the services of Absolute PlusManagement, 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. Effective May 31,2009, GSA was liquidated and the Fund no longer invests in GSA. The Sponsorreallocated the liquidation proceeds among the existing Portfolio Funds.

 

·      The Portfolio Funds are a group of commodity poolssponsored by MLAI, each of which places substantially all of its assets in amanaged futures and forward trading account managed by a single or multiplecommodity trading advisors.  Each of thePortfolio Funds implements a different trading strategy.

 

MLAIis the sponsor and the manager of the Fund. MLAI is an indirect wholly-owned subsidiary of Merrill Lynch &Co., Inc. (“Merrill Lynch”). Merrill Lynch, Pierce, Fenner &Smith Incorporated (“MLPF&S”), a wholly-owned subsidiary of Merrill Lynch,is the commodity broker of the Portfolio Funds. On September 15, 2008,Merrill Lynch entered into an Agreement and Plan of Merger (as amended byAmendment No. 1 dated as of October 21, 2008, the “Merger Agreement”)with Bank of America Corporation (“Bank of America”). Pursuant to the MergerAgreement, on January 1, 2009, a wholly-owned subsidiary of Bank of Americamerged with and into Merrill Lynch, with Merrill Lynch continuing as thesurviving corporation and a subsidiary of Bank of America.

 

7

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In the opinion ofmanagement, these interim financial statements contain all adjustmentsnecessary for a fair statement of the financial position of the Fund as of June 30,2009 and the results of its operations for the three and six months ended June 30,2009 and 2008.  However, the operatingresults for the interim periods may not be indicative of the results for thefull year.

 

Certaininformation and footnote disclosures normally included in annual financialstatements prepared in accordance with accounting principles generally acceptedin the United States of America (“U.S. GAAP”) have been omitted.  These financial statements should be read inconjunction with the financial statements and notes thereto included in theFund’s Annual Report on Form 10-K filed with the Securities and ExchangeCommission for the year ended December 31, 2008.

 

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

 

The Fund investssubstantially all of its assets in the Systematic Momentum.  The financialstatements of Systematic Momentum, including the schedule of investments, arepresented as Exhibit 99 to this interim report on form 10-Q and should beread with the Fund’s financial statements. The percentage of SystematicMomentum owned by the Fund at June 30, 2009, was 5.80% and December 31, 2008 was 7.74%.

 

2.     INVESTMENT IN SYSTEMATIC MOMENTUM

 

The Fund investssubstantially all of its assets in Systematic Momentum. The investmenttransactions are accounted for on a trade date basis. Investment in SystematicMomentum is valued at fair value and reflected on the Statements of FinancialCondition. In determining fair value, MLAI utilizes the net asset valuation ofSystematic Momentum. The fair value of Systematic Momentum is net of all fees relatingto Systematic Momentum, paid or accrued. Additionally, MLAI monitors theperformance of the Portfolio Funds. Such monitoring procedures include, but arenot limited to: monitoring market movements in Portfolio Funds’ investments,comparing performance to industry benchmarks, and in-depth conference calls andsite visits with Portfolio Funds managers.

 

At June 30, 2009 and December 31, 2008 Investments inPortfolio Funds at fair value are as follows:

 
| ** ** | ** ** | **June 30,  2009**                  | ** ** |
|------------|------------|------------------------------------------|------------|
| ** ** | ** ** | **Percentage of  Member’s Capital** | ** ** | **Fair Value** | ** ** |
|       |       |                                     |       |   |   |
| Chesapeake |       | 10.73                                    | %          | 4,499,515 |   |
| Transtrend |       | 19.24                                    | %          | 8,072,350 |   |
| Altis      |       | 13.75                                    | %          | 5,769,350 |   |
| Winton     |       | 19.31                                    | %          | 8,098,836 |   |
| Aspect     |       | 9.99                                     | %          | 4,191,892 |   |
| John Locke |       | 19.54                                    | %          | 8,198,367 |   |
| BlueTrend  |       | 7.44                                     | %          | 3,119,189 |   |
| GSA (a)    |       | 0.00                                     | %          | — |   |
|       |       |                                     |       |   |   |
|       |       | 100.00                                   | %          | $ | 41,949,499 |   |
|            |            |                                          |            |  |  |  |

 

----

(a) In May, the GSA Portfolio was liquidated and SystematicMomentum no longer invests in the GSA Portfolio.

 

8

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| ** **  | ** ** | **December  31, 2008**              | ** ** |
|-------------|------------|-------------------------------------|------------|
| ** **  | ** ** | **Percentage of  Member's Capital** | ** ** | **Fair Value** | ** ** |
|        |       |                                |       |   |   |
| Chesapeake  |       | 10.09                               | %          | 5,480,117 |   |
| Transtrend  |       | 15.93                               | %          | 8,653,456 |   |
| Altis       |       | 13.32                               | %          | 7,238,009 |   |
| Winton      |       | 15.82                               | %          | 8,595,311 |   |
| Aspect      |       | 10.10                               | %          | 5,489,181 |   |
| John  Locke |       | 14.90                               | %          | 8,092,870 |   |
| BlueTrend   |       | 6.98                                | %          | 3,792,994 |   |
| GSA         |       | 12.78                               | %          | 6,942,535 |   |
|        |       |                                |       |   |   |
|        |       | 99.92                               | %          | $ | 54,284,473 |   |
|             |            |                                     |            |  |  |  |

 

3.     FAIR VALUE OF INVESTMENTS

 

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

 

Fair value of an investmentis the amount that would be received to sell the investment in an orderlytransaction between market participants at the measurement date (i.e. the exitprice). Purchase and sale of investments is recordedon a trade date basis. Realized gains and losses on investments is recognizedwhen the investments are sold. Any change in net unrealized gain or loss fromthe preceding period is reported on the Statement of Operations.

 

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

 

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

 

Level I — Quoted pricesare available in active markets for identical investments as of the reportingdate. The type of investments included in Level I are publicly tradedinvestments. As required by FAS 157, the Fund does not adjust the quoted pricefor these investments even in situations where the Fund holds a large positionand a sale could reasonably impact the quoted price.

 

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

 

Level III — Pricinginputs are unobservable and include situations where there is little, if any,market activity for the investment.

 

9

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

 

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

 

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

 

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

 

The followingtable summarizes the valuation of the Fund’s investment by the above FAS 157fair value hierarchy levels as of December 31, 2008 and June 30,2009:

 
| ** **                    | ** ** | **Total** | ** ** | **Level I** | ** ** | **Level II** | ** ** | **Level III** | ** ** |
|-------------------------------|------------|-----------|------------|-------------|------------|--------------|------------|---------------|------------|
| Investment in Portfolio Funds |       |      |       |        |       |         |       |          |       |
|                          |       |      |       |        |       |         |       |          |       |
| December 31, 2008        |       | $         | 54,284,473 |        | N/A        |         | $          | 54,284,473    |       | N/A |   |
|                          |       |      |       |        |       |         |       |          |       |
| June 30, 2009            |       | $         | 41,949,999 |        | N/A        |         | $          | 41,949,999    |       | N/A |   |

 

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

 

10

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4.     NET ASSET VALUE PER UNIT

 

In conformity with U.S. GAAP, the Fund amortizes over a twelve-monthperiod the total initial offering costs payable to MLAI for purposes ofdetermining Net Asset Value.  The NetAsset Value per Unit at June 30, 2009 and December 31, 2008 are asfollows:

 
| June 30, 2009 | ** ** |
|--------------------|------------|
| ** **         | ** ** |
| ** **         | ** ** | **Net Asset Value per Unit** | ** ** |
| Class A       |       | $ | 1.1043 |   |
| Class C       |       | 1.0730 |   |
| Class D       |       | 1.1313 |   |
| Class I       |       | 1.1124 |   |
|                    |            |  |  |  |

 
| December 31, 2008 | ** ** |
|------------------------|------------|
| ** **             | ** ** |
| ** **             | ** ** | **Net Asset Value per Unit** | ** ** |
| Class A           |       | $ | 1.1988 |   |
| Class C           |       | 1.1709 |   |
| Class D           |       | 1.2097 |   |
| Class I           |       | 1.2053 |   |
|                        |            |  |  |  |

 

5.     MARKET CREDIT AND CONCENTRATION RISKS

 

The nature of this Fund has certain risks, which cannot be presented onthe financial statements.  Additionally,the Fund invests in other commodity funds with similar market risk as mentionedbelow.  The following summarizes some ofthose risks.

 

Market Risk

 

Derivative instruments involve varying degrees of market risk.  Changes in the level or volatility ofinterest rates, foreign currency exchange rates or the market values of thefinancial instruments or commodities underlying such derivative instrumentsfrequently result in changes in Net unrealized profit (loss) on such derivativeinstruments as reflected in the Statements of Financial Condition of thePortfolio Funds.  The Fund’s exposure tomarket risk is influenced by a number of factors, including the relationshipsamong the derivative instruments held by the Portfolio Funds as well as thevolatility and liquidity of the markets in which the derivative instruments aretraded. Investments in foreign markets may also entail legal and politicalrisks.

 

Credit Risk

 

The risksassociated with exchange-traded contracts are typically perceived to be lessthan those associated with over-the-counter (non-exchange-traded) transactions,because exchanges typically provide clearinghouse arrangements in which thecollective credit (in some cases limited in amount, in some cases not) of themembers of the exchange is pledged to support the financial integrity of theexchange.  In over-the-countertransactions, on the other hand, traders must rely solely on the credit oftheir respective individual counterparties. Margins, which may be subject toloss in the event of a default, are generally required in exchange trading, andcounterparties may also require margin in the over-the-counter markets.

 

The credit riskassociated with these instruments from counterparty nonperformance is the Netunrealized profit, if any, included in the Statements of Financial Condition ofthe Portfolio Funds. The Portfolio Funds attempt to mitigate this risk bydealing exclusively with Merrill Lynch entities as clearing brokers.

 

11

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The Portfolio Funds, in their normal course ofbusiness, enter into various contracts, with MLPF&S acting as theircommodity broker.  Pursuant to thebrokerage arrangement with MLPF&S (which includes a netting arrangement),to the extent that such trading results in receivables from and payables toMLPF&S, these receivables and payables are offset and reported as a netreceivable or payable and included in Equity in commodity futures tradingaccounts in the Statements of Financial Condition of the Portfolio Funds.

 

Concentration Risk

 

The Fund’s investments in the Portfolio Funds aresubject to the market and credit risk of the Portfolio Funds. Because themajority of the Fund’s capital is invested in the Portfolio Funds, any changesin the market conditions that would adversely affect the Portfolio Funds couldsignificantly impact the solvency of the Fund.

 

6.     RECENT ACCOUNTING PRONOUNCEMENTS

 

InMay 2008, the FASB issued Statement of Financial Accounting Standards No. 162,“*The Hierarchy of Generally Accepted AccountingPrinciples*” (“FAS 162”). FAS 162 identifies the sources ofaccounting principles and the framework for selecting the accounting principlesused in preparing financial statements of nongovernmental entities that arepresented in conformity with U.S. GAAP. Currently, U.S. GAAP hierarchy isprovided in the American Institute of Certified Public Accountants U.S.Auditing Standards (“AU”) Section 411, “*The Meaningof Present Fairly in Conformity With Generally Accepted Accounting Principles*”(“AU Section 411”). FAS 162 is effective 60 days following the SEC’sapproval of the Public Company Accounting Oversight Board’s amendments to AU Section 411.The Fund does not expect the adoption of FAS 162 to have an impact on itsfinancial statements.

 

In April 2009,the FASB issued FSP No. FAS 157-4, “*DeterminingFair Value When the Volume and Level of Activity for the Asset or LiabilityHave Significantly Decreased and Identifying Transactions That Are Not Orderly*”(FSP 157-4). FSP 157-4 provides additional guidance for estimating fair valuein accordance with FASB Statement No. 157, *Fair Value Measurements*, when the volume and level ofactivity for the asset or liability have significantly decreased. This FSP alsoincludes guidance on identifying circumstances that indicate a transaction isnot orderly. The FSP emphasizes that even if there has been a significantdecrease in the volume and level of activity for the asset or liability andregardless of the valuation technique(s) used, the objective of a fairvalue measurement remains the same. Fair value is the price that would bereceived to sell an asset or paid to transfer a liability in an orderlytransaction (that is, not a forced liquidation or distressed sale) betweenmarket participants at the measurement date under current market conditions.The Fund does not expect the adoption of FAS 157-4 to have an impact on itsfinancial statements.

 

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

 

12

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FASB issued FASB Statement No. 165, Subsequent Events (“FASB 165”),which is effective for interim and annual periods ending after June 15,2009.  FASB 165 establishes generalstandards of accounting for and disclosure of events that occur after thebalance sheet date but before financial statements are issued or are availableto be issued.  It requires the disclosureof the date through which an entity has evaluated subsequent events and thebasis for that date. The Fund has performed an evaluation of subsequent events,as defined under FAS 165, through August 14, 2009, which is the date thefinancial statements were issued, and determined that there are no subsequentevents that are required to be adjusted to, or disclosed in, the financialstatements other than those disclosed in the subsequent event section in Note 7.

 

7.     SUBSEQUENT EVENT

 

The following subsequent event occurred that requires disclosure underFAS 165.

 

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

 

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

 

3. Effective as of August 13, 2009, Justin C. Ferri, a VicePresident and a member of MLAI’s Board of Managers, became the Chief ExecutiveOfficer and President of MLAI. He continues to serve as a member of MLAI’sBoard of Managers, a position which he held prior to his appointment as theChief Executive Officer and President.

 

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

 

13

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

 

MONTH-END NET ASSET VALUE PER UNIT

(NON U.S. GAAP)

 

MLAI believes thatthe Net Asset Value used to calculate subscription and redemption value andto    report performance to investorsthroughout the year is the most valuable performance measure to the Members ofthe Fund.   Therefore, the charts belowreferencing Net Asset Value and performance measurements are based on the NetAsset Value for financial reporting purposes, as discussed in Note 4 to thefinancial statements.

 
| MONTH-END NET ASSET VALUE  PER INITIAL UNIT CLASS A |       |
|----------------------------------------------------------|------------|
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| ** **                                               | ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|                                                     | 2008       |   | $ | 1.2225 |   | $ | 1.2945 |   | $ | 1.2606 |   | $ | 1.2385 |   | $ | 1.2576 |   | $ | 1.3075 |   |
|                                                     | 2009       |   | $ | 1.1903 |   | $ | 1.1908 |   | $ | 1.1519 |   | $ | 1.1177 |   | $ | 1.1297 |   | $ | 1.1043 |   |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE  PER INITIAL UNIT CLASS C |       |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| ** **                                               | ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|                                                     | 2008       |   | $ | 1.2061 |   | $ | 1.2750 |   | $ | 1.2414 |   | $ | 1.2175 |   | $ | 1.2348 |   | $ | 1.2808 |   |
|                                                     | 2009       |   | $ | 1.1614 |   | $ | 1.1609 |   | $ | 1.1220 |   | $ | 1.0878 |   | $ | 1.0986 |   | $ | 1.0730 |   |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE  PER INITIAL UNIT CLASS D |       |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| ** **                                               | ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|                                                     | 2008       |   | $ | 1.2119 |   | $ | 1.2852 |   | $ | 1.2590 |   | $ | 1.2445 |   | $ | 1.2656 |   | $ | 1.3185 |   |
|                                                     | 2009       |   | $ | 1.2119 |   | $ | 1.2139 |   | $ | 1.1758 |   | $ | 1.1423 |   | $ | 1.1559 |   | $ | 1.1313 |   |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| MONTH-END NET ASSET VALUE  PER INITIAL UNIT CLASS I |       |
|                                                     |       |   |   |   |   |   |   |   |   |   |   |   |   |   |
| ** **                                               | ** ** | ** ** | **Jan.** | ** ** | **Feb.** | ** ** | **Mar.** | ** ** | **Apr.** | ** ** | **May.** | ** ** | **Jun.** | ** ** |
|                                                     | 2008       |   | $ | 1.2218 |   | $ | 1.2921 |   | $ | 1.2614 |   | $ | 1.2395 |   | $ | 1.2586 |   | $ | 1.3073 |   |
|                                                     | 2009       |   | $ | 1.1971 |   | $ | 1.1979 |   | $ | 1.1592 |   | $ | 1.1251 |   | $ | 1.1376 |   | $ | 1.1124 |   |

 

Liquidity and Capital Resources

 

The Fund does not engage in the sale of goods orservices.  The Fund’s assets are it’s (i) investmentin Funds and (ii) Cash.    Becauseof the low margin deposits normally required in commodity futures tradingrelatively small price movements may result in substantial losses to theFund.  While substantial losses couldlead to a material decrease in liquidity, no such material losses occurredduring the second quarter of 2009.

 

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

 

14

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Forthe six months ended June 30, 2009, Fund capital decreased 22.70% from$54,330,120 to $41,995,944.  This decrease was attributable to the netloss from operations of $4,034,187, coupled with the redemption of 7,259,410Redeemable Units of Limited Fund Interest resulting in an outflow of$8,302,956.  The cash outflow was offsetwith cash inflow of $2,966 due to subscription of 2,533 units.  Future redemptions could impact the amount offunds available for investment in commodity contract positions in subsequentmonths.

 

Critical Accounting Policies

 

Use of Estimates

 

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

 

Statement of Cash Flows

 

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

 

Investments

 

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

 

Fair Value Measurements

 

The Fund adopted Statement of Financial AccountingStandards No. 157, *Fair Value Measurements*(“SFAS 157”) as of January 1, 2008 which defines fair value as the pricethat would be received to sell an asset or paid to transfer a liability in anorderly transaction between market participants at the measurement date.  The Fund did not apply the deferral allowedby FASB Staff Positions No. FAS 157-2, for nonfinancial assets andnonfinancial liabilities measured at fair value on a nonrecurring basis.  For information on the Fund’s valuationpolicies, see Note 3. Fair Value of Investments.

 

Income Taxes

 

Income taxes have not been provided as each memberis individually liable for the taxes, if any, on their share of the Fund’sincome and expenses and Members’ Capital.

 

In 2007, the Fund adopted FASB interpretationNo. 48 “Accounting for Uncertainty in income Taxes” (“FIN 48”).  FIN 48 provides guidance for how uncertaintax positions should be recognized, measured, presented and disclosed in thefinancial statements.  FIN 48 requiresthe evaluation of tax positions taken or expected to be taken in the course ofpreparing the Fund’s financial statements to determine whether the taxpositions are “more-likely-than-not” to be sustained by the applicable taxauthority.  Tax positions with respect totax at the Fund level not deemed to meet the “more-likely-than-not” thresholdwould be recorded as a tax benefit or expense in the current year.  MLAI has concluded that the adoption of FIN48 had no impact on the operations of the Fund for the period ended June 30,2009 and that no provision for income tax is required in the Fund’s financialstatements

 

15

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Results of Operations

 

January 1,2009 to March 31, 2009

 

The Fund experienced a net trading loss in the firstquarter of 2009 of $1,761,494.

 

Performanceof the Portfolio Funds were mixed in January which reflected the choppymarkets and diversification of the Portfolio Funds approach to trading. Wintonwas the best performer, while Altis and GSA performed the worst. The PortfolioFunds profited from falling equities, with long-term managers capturing more ofthe move. The Portfolio Funds also profited from a continuous down-trend incommodities. Largest losses were suffered in fixed income positions as the U.S.Treasury yields rallied and other global bonds shadowed the move.

 

Timehorizon focus did not seem to be a driver of returns in the middle of thequarter, while asset allocation played a more significant role. The PortfolioFunds had small net short exposures to equity markets and thus registered gainsin this asset class. In addition, most of the Portfolio Funds that had longpositions in the U.S. dollar against various currencies posted profits. Some ofthe Portfolio Funds that had long positions in the Japanese yen vs. the U.S.dollar posted losses due to the Japanese yen ending the month down significantlyrelative to the U.S. dollar. Fixed income markets experienced volatile swingsduring the month as most of the Portfolio Funds ended with small losses in thissector.

 

Atthe start of March, most of the Portfolio Funds had long positions in the fixedincome markets and kept this position throughout the month of March andbenefited from falling yields. John Locke was the exception. As a shorter termmanager, its positioning was influenced significantly by intra-month choppinessin fixed income markets, causing large losses.

 

Allother sectors had posted losses in March as a result of significantreversals in many markets. During March, equity markets rallied following somepositive corporate news in the first week. When the U.S. Federal Reserveannounced the start of quantitative easing mid-month, the U.S. dollar beganlosing value against most major currencies and the commodity markets which arenegatively correlated with the U.S. dollar and risk aversion moved up. Giventhat most managers in the vertical are medium to long term trend followers,they were not in a position to cut exposures very fast and were negativelyaffected by these reversals.

 

April 1, 2009to June 30, 2009

 

The Fundexperienced a net trading loss in the second quarter of 2009 of ($1,653,985).

 

The market environment thatcaused a loss for the Fund in March continued through April as well.The Portfolio Funds continued to be positioned against market moves andexperienced losses in most of the sectors they traded. In March, being longfixed income helped to offset losses in equity indices, currencies andcommodities. In April, the losses in equity indices, currencies and commoditieswere more muted as many Portfolio Funds had trimmed risk in those sectors;however, having long positions in fixed income proved to be a problem as globalbond yields rose significantly, hurting those long positions. Overall, fixedincome was the worst performing sector for the Portfolio Funds, followed bycurrencies. The Portfolio Funds approach to trading was mixed exposure incommodities, making money in some markets and losing money in others. Inequities, positioning was more on the short side, but with extremely smallexposures; losses thus were muted.

 

May wasa continuation of March and April in terms of market direction andmoves. Equities and commodities were up, and bonds and the U.S. dollar wasdown. These new trends gave many Portfolio Fund managers a reason to adjusttheir portfolios to match the new environment resulting in profits being postedto the Fund. Short and medium term Portfolio Funds were more in sync withmarkets given that they adjust faster to new trends, while longer termPortfolio Funds have held on to their pre-March positioning somewhatlonger and were not able to avoid losses. So the main difference in May relativeto 

 

16

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March andApril was that many Portfolio Funds were now correctly positioned to takeadvantage of current trends. Short to medium term managers (John Locke, GSA,BlueTrend, Altis, Transtrend) had better performance than longer term managers(Winton, Chesapeake, Aspect). The shorter term managers have adjusted better tothe current market environment where equities and commodities are doing welland the U.S. dollar and bonds performed poorly. Risk by asset class continuesto be biased towards fixed income which has a roughly 50% risk allocation, downfrom more than 80% in April. Fixed income was the asset class with the fewestreversals recently and thus risk had moved there as equities, commodities andcurrencies experienced changes in trend during March. But now, the riskallocated to other asset classes is creeping up: commodities are about a thirdof the total and the remainder is split between currencies and equities.

 

March, April and May hadbeen characterized by market moves most commonly seen during periods whereinvestors are risk seeking. There were up moves in equities and commodities anddown moves in bonds and the U.S. dollar. The Portfolio Fund managers were justbeginning to adjust their portfolios to match these new market directions.After suffering losses during March and April (as they were notpositioned for the new trends that began in early March), most managers hadbegun turning around their portfolios to be more in line with where marketswere going and many were able to post gains in May. That came to a stop in June asseveral events took place. First, short term interest rates suffered a sharpreversal during the first week of the month and the U.S. dollar had a similarreversal, gaining against most currencies. Then, mid-month, the up trends inequities and commodities reversed, as sentiment became risk averse again. As aresult of these moves, most asset classes ended the month with negative attribution.The worst were short term rates and commodities. The quarter ended with lossesbeing posted to the Fund. The worst were short term rates and commodities.Medium term managers had the worst performance as they not only suffered fromthe rates and U.S. dollar moves, but also the reversals in equities andcommodities. John Locke, the manager with the shortest time horizon was able toavoid big losses. Winton and Chesapeake, the longest term managers, hadrelatively smaller losses because the equity and commodity reversals wereactually good for them since they were still holding on to their pre-March positionsin those asset classes.

 

January 1,2008 to March 31, 2008

 

TheFund posted profits in all sectors for the first quarter.

 

The agriculture sector postedprofits for the Fund. Corn and soybeans had a strong January as SouthKorea, who is the 4th largest importer of U.S. corn, was reportedlylooking to buy more corn off of the U.S. dollar’s weakness posting profits forthe Fund. Soybeans surged on concerns that Chinese demand will reduce U.S.inventories mid-quarter. Wheat rose on reports that production will not keeppace with output and reports from the U.S. Department of Agriculture that showinventory at a 60 year low. Later in the month, wheat corrected as crops in theNorthern Hemisphere appear in better condition than initially reported. Alsowheat crops in the Ukraine and Russia look better than previously forecasted.The quarter ended with losses being posted to the Fund due to the following factors.Grains closed lower at –0.30% as both wheat and soybeans faced correctionswhile corn ended about flat. Softs also took away about –1.00% from returns ascoffee and sugar both corrected for a total of –0.85%. Commodities sell offended on March 20th with the biggest weekly decline in 50 years asexpectations of slower economic growth impacted prices. China announcedsubsidies to farmers in an attempt to curb inflation at an 11-year high.

 

The metals sector postedprofits for the Fund. The largest returns came from precious metals which wereup by about 2% (gold +1.5% and silver +0.5%) at the beginning of the yearposting profits to the Fund. Gold moved to a record level of over $942 on the backof the U.S. Federal Reserve’s aggressive move and the U.S. dollar’s weaknessand copper rose on reports the supply is the lowest in seven months.  The quarter ended with losses being posted tothe Fund due to precious metals which fell -1.00% in March with goldmostly responsible, finishing down -0.70%.

 

17

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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 mid-quarter due tothe volatility in the market as the fixed income ended slightly negative byroughly -0.80%. The quarter ended with profits being posted to the Fund as theU.S. Federal Reserve lowered overnight rates by 75 basis points to 2.25% whichwas 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, whichall caused concern that current market levels cannot be maintained. Oil roseabove $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, 2008 to June30, 2008

 

TheFund posted gains for the second quarter with the energy and agriculturesectors posting gains while metals 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.

 

Theagriculture sector posted profits for the Fund. Profits were posted to the Fundat the beginning of the quarter in spite of wheat tumbling due to a UnitedStates government report stating a larger amount of wheat crops being graded asgood. Wheat has fallen about 38% from the highs made back in February of thisyear. Corn rose as wet weather in the United States would possibly delay theharvesting season. Losses were posted to the Fund mid-quarter as coffee fellwhen Brazil, the world’s largest exporter, produced more than originallyplanned. Hogs traded at a 14 month high on views that slaughterhouses have toincrease purchases after Memorial Day weekend. A strong return was experienced as coffee and sugar provided most of theprofits being posted to the Fund while cotton and cocoa fell slightly. Cornfutures climbed on the news of continued severe rains in the Midwest which isexpected to disrupt supplies and should further tighten supply and demand withreserves at 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 the UnitedStates dollar stabilized. The quarter ended with profits posted to the Fundeven through a volatile market.

 

18

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The interest rate sector postedlosses for the Fund. Losses were posted at the beginning of the quarter due tothe fixed income closing down due to the performance of the United StatesTreasury market rates finishing April at a loss of -2.70% while Euro andPacific Rim interest rates each took away about -0.50% from returns. Lossescontinued to be posted through mid-quarter as the United States interest ratesrose. Higher oil prices and signs of economic strength sifted expectationstowards a rate hike. The quarter ended with profits posted to the Fund as theEuropean rates closed up +1.10, Japan and Australia finished at +0.10%,however, the United States interest rates subtracted from performance byfinishing down -1.10%.

 

The Fund has noapplicable off-balance sheet arrangements and tabular disclosure or contractualobligations of the type described in Items 303(a)(4) and 303(a)(5) ofRegulation S-K.

 

Item 3.  Quantitative and Qualitative DisclosuresAbout Market Risk

 

Introduction

 

The Fund is a fund of fundwhich invests in a speculative commodity pool Portfolio Funds. The marketsensitive instruments held by the Portfolio Funds are acquired for speculativetrading purposes and all or substantially all of the Portfolio Funds’ assetsare subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments isintegral, not incidental, to the Portfolio Fund’s main line of business.

 

Market movements result infrequent changes in the fair market value of the Portfolio Fund’s openpositions and, consequently, in its earnings and cash flow. The PortfolioFunds’ market risk is influenced by a wide variety of factors, including thelevel and volatility of interest rates, exchange rates, equity price levels,the market value of financial instruments and contracts, the diversificationeffects among the Portfolio Funds’ open positions and the liquidity of themarkets in which it trades.

 

The Portfolio Funds, underthe direction of their respective advisors, rapidly acquire and liquidate bothlong and short positions in wide range of different markets.  Consequently, it is not possible to predicthow a particular future market scenario will affect performance, and the Fund’spast performance is not necessarily indicative of its future results.

 

Value at Risk is a measureof the maximum amount which the Portfolio Funds could reasonably be expected tolose in a given market sector. However, the inherent uncertainty of thePortfolio Fund’s speculative trading and the recurrence in the markets tradedby the Portfolio Funds of market movements far exceeding expectations couldresult in actual trading or non-trading losses far beyond the indicated Valueat Risk or the Fund’s experience to date (i.e., “risk of ruin”). In light ofthe foregoing, as well as the risks and uncertainties intrinsic to all futureprojections, the quantifications included in this section should not beconsidered to constitute any assurance or representation that the PortfolioFund’s losses in any market sector will be limited to Value at Risk or by the PortfolioFund’s attempts to manage its market risk.

 

Quantifying The Fund’sTrading Value At Risk

 

Quantitative Forward-LookingStatements

 

The following quantitativedisclosures regarding the Portfolio Fund’s market risk exposures contain “forward-lookingstatement” within the meaning of the safe harbor form civil liability providedfor such statements by the Private Securities Litigation Reform Act of 1995(set forth in Section 27A of the Securities Act of 1933 and Section 21E of theSecurities Exchange Act of 1934).  Allquantitative disclosures in this section are deemed to be forward-lookingstatements for purposes of the safe harbor, except for statements of historicalfact.

 

19

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The Portfolio Fund’s riskexposure in the various market sectors traded by the Portfolio Funds advisors is quantifiedbelow in terms of Value at Risk.  Due tothe Portfolio Fund’s mark-to-market accounting, any loss in the fair value ofthe Fund’s open positions is directly reflected in the Fund’s earnings(realized or unrealized) and cash flow (at least in the case of exchange-tradedcontracts in which profits and losses on open positions are settled dailythrough variation margin).

 

Exchange maintenance marginrequirements of the Portfolio Funds have been used as the measure of its Valueat Risk.  Maintenance margin requirementsare set by exchanges to equal or exceed the maximum loss in the fair value ofany given contract incurred in 95%-99% of the one-day time periods included inthe historical sample (generally approximately one year) researched forpurposes of establishing margin levels. The maintenance margin levels are established by dealers and exchangesusing historical price studies as well as an assessment of current marketvolatility (including the implied volatility of the options on a given futurescontract) and economic fundamentals to provide a probabilistic estimate of themaximum expected near-term one-day price fluctuation.

 

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

 

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

 

Material Limitations on Value at Risk as an Assessment ofMarket Risk

 

The face value of the market sector instruments held by theFund is typically many times the applicable maintenance margin requirement(maintenance margin requirements generally ranging between approximately 1% and10% of contract face value) as well as many times the capitalization of theFund.  The magnitude of the 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 Fund to incur severe losses over a short periodof time.   The foregoing Value at Risktable — as well as the past performance of the Fund — gives no indication ofthis “risk of ruin.”

 

Non-Trading Risk

 

Foreign Currency Balances;Cash on Deposit with MLPF&S

 

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

 

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

 

20

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Qualitative Disclosures Regarding Primary Trading Risk Exposures

 

Thefollowing qualitative disclosures regarding the Fund’s market risk exposures —except for (i) those disclosures that are statements of historical fact and (ii)the descriptions of how the Fund manages its primary market risk exposures —constitute forward-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 APM 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 controls to differ materially from the objectives of suchstrategies. Government interventions, defaults and expropriations, illiquidmarkets, the emergence of dominant fundamental factors, political upheavals,changes in historical price relationships, an influx of new marketparticipants, increased regulation and many other factors could result inmaterial losses as well as in material changes to the risk exposures and therisk management strategies of the Fund. There can be no assurance that theFund’s current market exposure and/or risk management strategies will notchange materially or that any such strategies will be effective in either theshort- or long-term. Investors must be prepared to lose all or substantiallyall of the time value of their investment in the Fund.

 

Item4T. Controls and Procedures

 

MLAI, the Sponsorof Systematic Momentum II LLC, with the participation of the Sponsor’s ChiefExecutive Officer and the Chief Financial Officer, has evaluated theeffectiveness of the design and operation of its disclosure controls andprocedures with respect to the Fund as of the end of the period of thisquarterly report, and, based on this evaluation, has concluded that thesedisclosure controls and procedures are effective.  Additionally, there were no significantchanges in the Fund’s internal controls or in other factors during the latestfiscal quarter that has materially affected, or is reasonably likely to materiallyaffect the Fund’s internal control over financial reporting.

 

21

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PART II - OTHERINFORMATION

 
| Item 1.                                                                                                                                                                 | Legal  Proceedings                                                                                                                                                            |
|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                                    |                                                                                                                                                                          |
|                                                                                                                                                                    |                                                                                                                                                                          | None. |
|                                                                                                                                                                    |                                                                                                                                                                          |   |
| Item  1A.                                                                                                                                                               | Risk Factors                                                                                                                                                                  |
|                                                                                                                                                                    |                                                                                                                                                                          |
| There are no material  changes from risk factors as previously disclosed in the Annual Report on  Form 10-K for the year ended December 31, 2008, filed March 31, 2009. |
|                                                                                                                                                                    |                                                                                                                                                                          |
| Item 2.                                                                                                                                                                 | Unregistered  Sales of Equity Securities and Use of Proceeds                                                                                                                  |
|                                                                                                                                                                    |                                                                                                                                                                          |
|                                                                                                                                                                    | (a) Issuance to  accredited investors pursuant to Regulation D and Section 4(6) under the  Securities Act. The selling agent of the following Class of Units was  MLPF&S. |

 

CLASS A

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.1992 |   |
| Feb-09     |       | —           |       | —     |       | 1.1903 |   |
| Mar-09     |       | —           |       | —     |       | 1.1908 |   |
| Apr-09     |       | —           |       | —     |       | 1.1519 |   |
| May-09     |       | —           |       | —     |       | 1.1177 |   |
| Jun-09     |       | —           |       | —     |       | 1.1297 |   |
| Jul-09     |       | —           |       | —     |       | 1.1043 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS C

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | 2,966      |       | 2,533      |   | $ | 1.1709 |   |
| Feb-09     |       | —           |       | —     |       | 1.1614 |   |
| Mar-09     |       | —           |       | —     |       | 1.1609 |   |
| Apr-09     |       | —           |       | —     |       | 1.1220 |   |
| May-09     |       | —           |       | —     |       | 1.0878 |   |
| Jun-09     |       | —           |       | —     |       | 1.0986 |   |
| Jul-09     |       | —           |       | —     |       | 1.0730 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS D

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.2195 |   |
| Feb-09     |       | —           |       | —     |       | 1.2119 |   |
| Mar-09     |       | —           |       | —     |       | 1.2139 |   |
| Apr-09     |       | —           |       | —     |       | 1.1758 |   |
| May-09     |       | —           |       | —     |       | 1.1423 |   |
| Jun-09     |       | —           |       | —     |       | 1.1559 |   |
| Jul-09     |       | —           |       | —     |       | 1.1313 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

CLASS I

 
| ** ** | ** ** | **Subscription** | ** ** | ** ** | ** ** |
|------------|------------|------------------|------------|------------|------------|
| ** ** | ** ** | **Amount**       | ** ** | **Units**  | ** ** | **NAV (1)** | ** ** |
| Jan-09     |       | $                | —     |       | —     |   | $ | 1.2056 |   |
| Feb-09     |       | —           |       | —     |       | 1.1971 |   |
| Mar-09     |       | —           |       | —     |       | 1.1979 |   |
| Apr-09     |       | —           |       | —     |       | 1.1592 |   |
| May-09     |       | —           |       | —     |       | 1.1251 |   |
| Jun-09     |       | —           |       | —     |       | 1.1376 |   |
| Jul-09     |       | —           |       | —     |       | 1.1124 |   |
|            |            |                  |            |            |            |  |  |  |  |

 

----

(1) Beginning ofthe month Net Asset Value for all other purposes

 
|    | (b)  None.                  |
|---------|----------------------------------|
|    | (c)  None.                  |
|    |                             |
| Item 3. | Defaults  Upon Senior Securities |
|    |                             |
|    | None.                            |

 

22

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| Item 4. | Submission  of Matters to a Vote of Security Holders                                                                |
|---------|---------------------------------------------------------------------------------------------------------------------|
|    |                                                                                                                |
|    | None.                                                                                                               |
|    |                                                                                                                |
| Item 5. | Other  Information                                                                                                  |
|    |                                                                                                                |
|    | None.                                                                                                               |
|    |                                                                                                                |
| Item 6. | Exhibits                                                                                                            |
|    |                                                                                                                |
|    | The following exhibits  are incorporated by reference or are filed herewith to this Quarterly Report  on Form 10-Q: |
|    |                                                                                                                |   |
|    | 31.01 and                                                                                                           |
|    | 31.02                                                                                                               | Rule  13a-14(a)/15d-14(a) Certifications |
|    |                                                                                                                |   |
|    | Exhibit 31.01                                                                                                       |
|    | and 31.02:                                                                                                          | Are filed herewith. |
|    |                                                                                                                |   |
|    | 32.01 and                                                                                                           |
|    | 32.02                                                                                                               | Section 1350  Certifications |
|    |                                                                                                                |   |
|    | Exhibit 32.01                                                                                                       |
|    | and 32.02                                                                                                           | Are filed herewith. |
|    |                                                                                                                |   |
|    | Exhibit 99                                                                                                          | The financial statements of ML Systematic Momentum  FuturesAccess LLC are filed herewith. |
|         |                                                                                                                     |  |  |

 

23

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**SIGNATURES**

 

Pursuant to therequirements of the Securities Exchange Act of 1934, the registrant has dulycaused this report to be signed on its behalf by the undersigned thereunto dulyauthorized.

 

 
|                        |   | SYSTEMATIC MOMENTUM II  LLC                     |
|-----------------------------|--------|-------------------------------------------------|
|                        |   |                                            |
|                        |   |                                            |
|                        | By:    | MERRILL LYNCH  ALTERNATIVE                      |
|                        |   | INVESTMENTS LLC                                 |
|                        |   | (Manager)                                       |
|                        |   |                                            |
|                        |   |                                            |
| Date:  August 14, 2009 | By:    | /s/  JUSTIN C. FERRI                            |
|                        |   | Justin  C. Ferri                                |
|                        |   | Chief Executive  Officer, President and Manager |
|                        |   | (Principal Executive  Officer)                  |
|                        |   |                                            |
|                        |   |                                            |
| Date August 14, 2009        | By:    | /s/ BARBRA E. KOCSIS                            |
|                        |   | Barbra E. Kocsis                                |
|                        |   | Chief Financial Officer                         |
|                        |   | (Principal Financial and Accounting Officer)    |

 

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